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 811-21944
First Trust Exchange-Traded Fund II |
(Exact name of registrant as specified in charter) |
120 East Liberty Drive, Suite 400 Wheaton, IL 60187 |
(Address of principal executive offices) |
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: September 30
Date of reporting period: March 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) | The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
FIRST TRUST First Trust Exchange-Traded Fund II -------------------------------------------------------------------------------- Book 1 First Trust STOXX(R) European Select Dividend Index Fund (FDD) First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund (FFR) First Trust Dow Jones Global Select Dividend Index Fund (FGD) First Trust Global Wind Energy ETF (FAN) First Trust Global Engineering and Construction ETF (FLM) First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund (GRID) First Trust Indxx Global Natural Resources Income ETF (FTRI) First Trust Indxx Global Agriculture ETF (FTAG) First Trust BICK Index Fund (BICK) First Trust Indxx NextG ETF (NXTG) First Trust S-Network Future Vehicles & Technology ETF (CARZ) (formerly First Trust NASDAQ Global Auto Index Fund) First Trust Cloud Computing ETF (SKYY) First Trust International Equity Opportunities ETF (FPXI) First Trust Nasdaq Cybersecurity ETF (CIBR) First Trust IPOX(R) Europe Equity Opportunities ETF (FPXE) First Trust Dow Jones International Internet ETF (FDNI) ---------------------- Semi-Annual Report March 31, 2022 ---------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II SEMI-ANNUAL REPORT MARCH 31, 2022 <TABLE> <CAPTION> <S> <C> Shareholder Letter....................................................................... 2 Market Overview.......................................................................... 3 Fund Performance Overview First Trust STOXX(R) European Select Dividend Index Fund (FDD)..................... 4 First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund (FFR)........ 6 First Trust Dow Jones Global Select Dividend Index Fund (FGD)...................... 8 First Trust Global Wind Energy ETF (FAN)........................................... 10 First Trust Global Engineering and Construction ETF (FLM).......................... 12 First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund (GRID).... 14 First Trust Indxx Global Natural Resources Income ETF (FTRI)....................... 16 First Trust Indxx Global Agriculture ETF (FTAG).................................... 18 First Trust BICK Index Fund (BICK)................................................. 20 First Trust Indxx NextG ETF (NXTG)................................................. 22 First Trust S-Network Future Vehicles & Technology ETF (CARZ)...................... 24 First Trust Cloud Computing ETF (SKYY)............................................. 26 First Trust International Equity Opportunities ETF (FPXI).......................... 28 First Trust Nasdaq Cybersecurity ETF (CIBR)........................................ 30 First Trust IPOX(R) Europe Equity Opportunities ETF (FPXE)......................... 32 First Trust Dow Jones International Internet ETF (FDNI)............................ 34 Notes to Fund Performance Overview....................................................... 36 Understanding Your Fund Expenses......................................................... 37 Portfolio of Investments First Trust STOXX(R) European Select Dividend Index Fund (FDD)..................... 39 First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund (FFR)........ 41 First Trust Dow Jones Global Select Dividend Index Fund (FGD)...................... 48 First Trust Global Wind Energy ETF (FAN)........................................... 51 First Trust Global Engineering and Construction ETF (FLM).......................... 55 First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund (GRID).... 58 First Trust Indxx Global Natural Resources Income ETF (FTRI)....................... 62 First Trust Indxx Global Agriculture ETF (FTAG).................................... 65 First Trust BICK Index Fund (BICK)................................................. 67 First Trust Indxx NextG ETF (NXTG)................................................. 71 First Trust S-Network Future Vehicles & Technology ETF (CARZ)...................... 75 First Trust Cloud Computing ETF (SKYY)............................................. 79 First Trust International Equity Opportunities ETF (FPXI).......................... 82 First Trust Nasdaq Cybersecurity ETF (CIBR)........................................ 86 First Trust IPOX(R) Europe Equity Opportunities ETF (FPXE)......................... 89 First Trust Dow Jones International Internet ETF (FDNI)............................ 93 Statements of Assets and Liabilities..................................................... 96 Statements of Operations................................................................. 100 Statements of Changes in Net Assets...................................................... 104 Financial Highlights..................................................................... 111 Notes to Financial Statements............................................................ 119 Additional Information................................................................... 131 </TABLE> <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 II (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 objectives. 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 II SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO MARCH 31, 2022 Dear Shareholders, First Trust is pleased to provide you with the semi-annual report for certain series of the First Trust Exchange-Traded Fund II (the "Funds"), which contains detailed information about the Funds for the six months ended March 31, 2022. How are investors expected to make sense of the markets in a climate like the one we are in today? For what it is worth, the famous adage that "perception is reality" is a complete misnomer, in my opinion. Perception is a perspective of reality. Reality is the truth. When it comes to investing one's capital, it can be difficult to ascertain the truth, especially in the age of the internet and the 24/7 news cycle. There is so much information pumped out daily pertaining to the securities markets that it can be counterproductive if you consume too much of it, particularly if you do not have a discerning eye. To be frank, a lot of financial information adds up to nothing more than noise, or is an extension of someone's agenda, and we at First Trust encourage investors to ignore it as best they can. That is why we believe that investors should lean on those market principles that are tried and true. That is how you make sense of the markets, in my opinion. There is essentially nothing major transpiring around the globe today that we have not encountered to some degree before, including war. Even the coronavirus ("COVID-19") pandemic, which arrived in the U.S. in the first quarter of 2020, was somewhat matched in scope by the 1918 flu (Spanish flu) pandemic. Approximately 987,000 lives have been lost so far in the U.S. from the COVID-19 pandemic, compared to 675,000 spanning the 1918 flu pandemic, according to data from the Centers for Disease Control and Prevention. While we have had more deaths from the COVID-19 virus, the speed in which no fewer than three effective vaccines were brought to bear to combat this virus was astounding. U.S. ingenuity is what keeps this country ascending, in my opinion. I believe it to be one of the main reasons why the investment philosophy "time in the market" has been such a tried and true principle of the wealth building process. Endure the ups and downs of the stock market and you can persevere over time. In the short-run, it is anybody's guess, and guessing should not play any role in developing a financial plan. History is on your side. Keep in mind, the S&P 500(R) Index has never failed to fully recover any losses sustained in a downturn and it stood at its all-time closing high on January 3, 2022. The stock and bond markets have been more volatile of late and may stay that way, at least over the near-term. Based on some thorough guidance from the Federal Reserve (the "Fed") with respect to its bias towards raising short-term interest rates more aggressively than once thought to fight inflation, there is a good chance that the days of artificially low interest rates are finally coming to an end. Bond yields have spiked recently to reflect the surge in inflation, which stood at 8.5% on a trailing 12-month basis in March 2022, and the anticipated rate hikes from the Fed. In other words, interest rates and bond yields are in the process of normalizing. What is normal? Well, the Federal Funds target rate (upper bound), which stood at 0.50% at the close on April 21, 2022, averaged 2.48% for the 30-year period ended April 21, 2022, according to Bloomberg. It reached as high as 6.50% in 2000. The yield on the 10-Year Treasury Note ("T-Note"), which stood at 2.91% at the close on April 21, 2022, averaged 3.98% over that same 30-year period. The 10-Year T-Note reached as high as 8.03% in 1994. All eyes will likely be on the Fed for the remainder of this year. The economy is still growing, albeit at a slower clip, and it looks like more Americans are heading back to work. Keep an eye on interest rates, bond yields and inflation in the months ahead. We would prefer slow and steady as they rise as opposed to sharp moves higher. As always, stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II SEMI-ANNUAL REPORT MARCH 31, 2022 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 GLOBAL ECONOMY The latest global growth forecast from the International Monetary Fund ("IMF") released in April 2022 sees real gross domestic product growth rising by 3.6% worldwide in 2022, down from its 4.4% projection in January 2022. The IMF is calling for a 3.7% growth rate for the U.S., down from its January estimate of 4.0%. Emerging Market and Developing Economies are expected to grow by 3.8% this year, down markedly from the IMF's 4.8% estimate in January. While global growth is expected to slow some in 2022, there does not appear to be a significant threat of recession in the near-term. The IMF notes that the reduction in its economic growth targets is largely a byproduct of Russia's decision to invade Ukraine back on February 24, 2022. Robust inflation and the war between Russia and Ukraine have been the dominant stories of late, in our opinion. Inflation, as measured by the Consumer Price Index, stood at 8.5% on a trailing 12-month basis at the end of March 2022, according to the U.S. Bureau of Labor Statistics. The last time inflation in the U.S. was this high was in 1982. Consumer prices are up significantly across the board, including groceries, gasoline, automobiles, homes, and apartment rents. It has been reported that the war between Russia and Ukraine could lead to global food shortages. It has already helped drive energy prices higher. These two events are worth monitoring closely. If one or both end up being protracted, then we would anticipate higher levels of volatility in the markets moving forward. Perhaps the biggest beneficiary of the spike in inflation is commodity prices, which surged 27.03% in the first quarter of 2022, as measured by the Refinitiv/CC CRB Excess Return Index. PERFORMANCE OF GLOBAL STOCKS AND BONDS The major U.S. stock indices delivered mixed results over the past six months. The S&P 500(R), S&P MidCap 400(R) and S&P SmallCap 600(R) Indices posted total returns of 5.92%, 2.73% and -0.30%, respectively, for the six-month period ended March 31, 2022. Due to the ongoing economic headwinds stemming from the coronavirus pandemic, rising inflation, and, more recently, the war between Russia and Ukraine, large-capitalization ("cap") stocks outperformed their mid- and small-cap counterparts over the period, an indication that investors were somewhat concerned about the level of risk they were willing to assume, in our opinion. Ten of the 11 major sectors that comprise the S&P 500(R) Index (the "Index") were up on a total return basis. The top-performer was Energy, up 50.11%, while the worst showing came from Communication Services, down 11.93%. A Bloomberg survey of 24 equity strategists found that their average 2022 year-end price target for the Index was 4,868 as of April 2022, according to its own release. The highest and lowest estimates were 5,330 and 4,400, respectively. Brian Wesbury, Chief Economist at First Trust, announced in May 2022 that he is looking for a year-end price target of 4,900, a downward revision from his 5,250 projection at the close of 2021. The Index closed trading on March 31, 2022, at 4,530.41. The outlook for corporate earnings remains optimistic. Bloomberg's consensus year-over-year earnings growth rate estimates for the Index for 2022 and 2023 were 10.25% and 9.44%, respectively, as of April 1, 2022. The broader foreign stock indices lagged the performance of the major U.S. stock indices. Over the past six months, the MSCI World ex USA and MSCI Emerging Markets equity indices posted total returns of -1.82% (USD) and -8.20% (USD), respectively, according to Bloomberg. The major foreign bond indices were also down over the same period. The Bloomberg Global Aggregate Index of higher quality debt posted a total return of -6.79% (USD), while the Bloomberg EM Hard Currency Aggregate Index of emerging markets debt declined by 10.58% (USD), according to Bloomberg. The U.S. dollar rose by 4.33% over the past six months against a basket of major currencies, as measured by the U.S. Dollar Index (DXY). The sizable jump in the dollar provided a drag on the performance of both foreign stock and bond indices, in our opinion. In the U.S. bond market, the results were also disappointing. The top-performing major debt group we track was speculative-grade corporate bonds. The Bloomberg U.S. Corporate High Yield Index posted a total return of -4.16% for the six-month period ended March 31, 2022. The worst-performing U.S. debt group that we track was long-term municipal bonds. The Bloomberg Municipal Bond: Long Bond (22+ years) posted a total return of -7.21%. The yield on the benchmark 10-Year Treasury Note ("T-Note") rose by 85 basis points in the period to close at 2.34% on March 31, 2022, according to Bloomberg. For comparative purposes, the average yield on the 10-Year T-Note was 2.03% for the 10-year period ended March 31, 2022. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST STOXX(R) EUROPEAN SELECT DIVIDEND INDEX FUND (FDD) First Trust STOXX(R) European Select 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 STOXX(R) Europe Select Dividend 30 Index (the "STOXX Index"). The shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol "FDD." 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 STOXX Index. The STOXX Index consists of 30 high dividend-yielding securities selected from the STOXX(R) Europe 600 Index, including secondary lines of those companies (where there are multiple lines of equity capital in a company), which covers 18 European countries: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. In addition, a company must have a non-negative five-year dividend-per-share growth rate and a dividend-to-earnings ratio of 60% or less. The STOXX Index is compiled and maintained by STOXX Limited. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (8/27/07) Ended Ended (8/27/07) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -2.98% -1.46% 6.03% 5.20% -1.07% 34.01% 66.01% -14.48% Market Price -3.27% -1.83% 5.90% 5.08% -1.09% 33.18% 64.09% -14.78% INDEX PERFORMANCE STOXX(R) Europe Select Dividend 30 Index -2.40% -0.60% 6.64% 5.69% -0.55% 37.88% 73.88% -7.78% STOXX(R) Europe 600 Index -2.96% 2.71% 7.13% 6.59% 2.82% 41.10% 89.32% 50.06% MSCI Europe Index -2.12% 3.51% 6.92% 6.27% 2.57% 39.74% 83.76% 44.75% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- The STOXX(R) Europe Select Dividend 30 Index ("STOXX Index") is the intellectual property (including registered trademarks) of STOXX Ltd., Zug, Switzerland ("STOXX"), Deutsche Borse Group or their licensors, which is used under license. The Fund is neither sponsored nor promoted, distributed or in any other manner supported by STOXX Deutsche Borse Group or their licensors, research partners or data providers and STOXX, Deutsche Borse Group and their licensors, research partners or data providers do not give any warranty, and exclude any liability (whether in negligence or otherwise) with respect thereto generally or specifically in relation to any errors, omissions or interruptions in the STOXX Index or its data. Page 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST STOXX(R) EUROPEAN SELECT DIVIDEND INDEX FUND (FDD) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 39.8% Utilities 14.8 Materials 12.1 Industrials 10.2 Communication Services 8.6 Consumer Discretionary 6.7 Real Estate 4.3 Health Care 3.5 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Rio Tinto PLC 6.9% AP Moller - Maersk A/S, Class A 5.8 ACS Actividades de Construccion y Servicios S.A. 4.4 Legal & General Group PLC 4.3 Credit Agricole S.A. 3.8 IG Group Holdings PLC 3.8 ASR Nederland N.V. 3.8 Electricite de France S.A. 3.6 Mercedes-Benz Group AG 3.6 GlaxoSmithKline PLC 3.5 ------ Total 43.5% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust STOXX(R) European STOXX(R) Europe Select STOXX(R) Europe MSCI Europe Select Dividend Index Fund Dividend 30 Index 600 Index Index ----------------------------- ---------------------- --------------- ----------- <S> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 3/31/12 10,756 10,697 11,681 11,663 9/30/12 10,773 10,725 11,770 11,731 3/31/13 10,763 10,731 12,979 12,894 9/30/13 12,205 12,206 14,738 14,573 3/31/14 13,654 13,676 16,308 16,052 9/30/14 13,265 13,307 15,615 15,421 3/31/15 13,038 13,119 15,515 15,259 9/30/15 12,217 12,257 14,354 13,982 3/31/16 12,548 12,658 14,358 13,971 9/30/16 12,691 12,797 14,670 14,330 3/31/17 13,324 13,489 15,673 15,335 9/30/17 15,093 15,282 17,944 17,526 3/31/18 15,470 15,682 17,994 17,558 9/30/18 15,204 15,447 17,891 17,474 3/31/19 14,985 15,251 17,286 16,904 9/30/19 15,562 15,827 17,748 17,342 3/31/20 11,810 12,271 14,678 14,283 9/30/20 13,127 13,478 17,917 17,205 3/31/21 18,121 18,712 21,533 20,703 9/30/21 18,404 19,056 22,788 21,896 3/31/22 17,856 18,599 22,113 21,432 </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 FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) First Trust FTSE EPRA/NAREIT Developed Markets Real Estate 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 FTSE EPRA/NAREIT Developed Index (the "FTSE Index"). The shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol "FFR." 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 FTSE Index. The FTSE Index is compiled and maintained by FTSE International Limited. The FTSE Index is modified market cap weighted based on free float market capitalization and includes the securities of listed real estate companies or real estate investment trusts ("REITs") that are publicly traded on an official stock exchange located in North America, Europe or Asia and provide an audited annual report in English. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (8/27/07) Ended Ended (8/27/07) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 5.56% 14.57% 6.67% 7.00% 3.60% 38.11% 96.73% 67.55% Market Price 5.29% 14.36% 6.61% 7.00% 3.58% 37.74% 96.77% 67.18% INDEX PERFORMANCE FTSE EPRA/NAREIT Developed Index 6.21% 15.37% 7.49% 7.83% 4.45% 43.52% 112.60% 88.80% S&P Global REIT Index 8.07% 18.97% 7.10% 7.48% 4.35% 40.93% 105.76% 86.22% MSCI World REIT Index 8.06% 20.41% 9.25% 8.61% 4.73% 55.67% 128.32% 96.38% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- The Fund has been developed solely by First Trust. The Fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings, including FTSE International Limited (collectively, the "LSE Group"), European Public Real Estate Association ("EPRA"), or the National Association of Real Estate Investments Trusts ("Nareit") (and together the "Licensor Parties"). FTSE Russell is a trading name of certain of the LSE Group companies. All rights in the FTSE Index vest in the Licensor Parties. "FTSE(R)" and "FTSE Russell(R)" are trademarks of the relevant LSE Group company and are used by any other LSE Group company under license. "Nareit(R)" is a trademark of Nareit, "EPRA(R)" is a trademark of EPRA and all are used by the LSE Group under license. The FTSE Index is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. The Licensor Parties do not accept any liability whatsoever to any person arising out of (a) the use of, reliance on or any error in the FTSE Index or (b) investment in or operation of the Fund. The Licensor Parties make no claim, prediction, warranty or representation either as to the results to be obtained from the Fund or the suitability of the FTSE Index for the purpose to which it is being put by First Trust. Page 6 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Real Estate 99.9% Health Care 0.1 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Prologis, Inc. 6.0% Equinix, Inc. 3.4 Public Storage 3.0 Simon Property Group, Inc. 2.2 Welltower, Inc. 2.1 Digital Realty Trust, Inc. 2.0 Realty Income Corp. 2.0 Vonovia SE 1.8 AvalonBay Communities, Inc. 1.8 Alexandria Real Estate Equities, Inc. 1.7 ------ Total 26.0% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust FTSE EPRA/ NAREIT Developed FTSE EPRA/NAREIT S&P Global MSCI World Markets Real Estate Index Fund Developed Index REIT Index REIT Index -------------------------------------- ---------------- ---------- ---------- <S> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 3/31/12 12,146 12,121 12,098 12,055 9/30/12 13,022 13,059 12,880 12,960 3/31/13 14,620 14,697 14,397 14,185 9/30/13 14,327 14,489 13,742 13,500 3/31/14 14,770 14,998 14,561 14,191 9/30/14 15,167 15,461 15,076 14,862 3/31/15 17,007 17,406 17,135 16,760 9/30/15 15,618 16,014 15,696 15,605 3/31/16 17,095 17,627 17,605 17,632 9/30/16 17,951 18,552 18,351 18,337 3/31/17 17,299 17,955 17,665 17,681 9/30/17 18,071 18,835 18,165 18,295 3/31/18 17,908 18,699 17,622 17,949 9/30/18 18,791 19,703 18,683 18,875 3/31/19 20,322 21,395 20,077 20,929 9/30/19 21,269 22,482 21,500 22,718 3/31/20 15,471 16,428 15,383 17,411 9/30/20 17,414 18,547 17,506 20,052 3/31/21 20,850 22,334 20,928 22,857 9/30/21 22,635 24,263 23,035 25,470 3/31/22 23,894 25,770 24,894 27,523 </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 DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND (FGD) First Trust Dow Jones Global Select 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 Dow Jones Global Select Dividend Index (the "Select Dividend Index"). The shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol "FGD." 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 Select Dividend Index. The Index is compiled and maintained by S&P Dow Jones Indices LLC. The Select Dividend Index is an indicated annual dividend yield weighted index of 100 stocks selected from the developed-market portion of the Dow Jones World Index(SM). Indicated annual dividend yield is a stock's unadjusted indicated annual dividend (not including any special dividends) divided by its unadjusted price. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (11/21/07) Ended Ended (11/21/07) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 3.73% 6.51% 6.42% 6.10% 3.95% 36.49% 80.74% 74.43% Market Price 3.78% 6.25% 6.42% 6.06% 3.95% 36.48% 80.15% 74.37% INDEX PERFORMANCE Dow Jones Global Select Dividend Index 4.13% 7.13% 6.79% 6.37% 4.19% 38.90% 85.42% 80.21% Dow Jones World Developed Markets Index 1.19% 8.41% 12.20% 10.98% 7.25% 77.80% 183.40% 173.30% MSCI World Index 2.21% 10.12% 12.42% 10.88% 6.97% 79.58% 180.98% 162.99% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- The Select Dividend 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(s) nor do they have any liability for any errors, omissions, or interruptions of the Select Dividend Index. Page 8 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND (FGD) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 44.6% Materials 11.7 Communication Services 9.4 Industrials 7.8 Consumer Discretionary 6.6 Utilities 6.4 Consumer Staples 5.1 Real Estate 4.9 Energy 3.5 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Fortescue Metals Group Ltd. 2.8% AP Moller - Maersk A/S, Class A 1.9 Rio Tinto PLC 1.6 Mitsui OSK Lines Ltd. 1.6 Lumen Technologies, Inc. 1.6 Samsung Securities Co., Ltd. 1.4 Enagas S.A. 1.4 Mapfre S.A. 1.4 Jupiter Fund Management PLC 1.4 PCCW Ltd. 1.3 ------ Total 16.4% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust Dow Jones Global Dow Jones Global Dow Jones World Developed MSCI World Select Dividend Index Fund Select Dividend Index Markets Index(SM) Index ---------------------------- ----------------------- ------------------------- ---------- <S> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 3/31/12 11,311 11,211 12,018 12,003 9/30/12 11,758 11,675 12,166 12,159 3/31/13 12,367 12,274 13,529 13,426 9/30/13 13,450 13,370 14,774 14,616 3/31/14 14,788 14,719 16,197 15,984 9/30/14 14,601 14,527 16,544 16,399 3/31/15 14,173 14,114 17,176 16,948 9/30/15 12,482 12,371 15,776 15,565 3/31/16 13,276 13,244 16,615 16,363 9/30/16 14,189 14,105 17,662 17,332 3/31/17 14,978 14,965 19,154 18,779 9/30/17 16,196 16,180 20,954 20,480 3/31/18 16,345 16,292 21,910 21,318 9/30/18 16,562 16,558 23,301 22,783 3/31/19 15,686 15,682 22,625 22,188 9/30/19 16,030 16,024 23,578 23,200 3/31/20 11,601 11,627 20,088 19,882 9/30/20 13,405 13,488 25,962 25,612 3/31/21 19,184 19,402 31,414 30,624 9/30/21 19,708 19,963 33,655 32,996 3/31/22 20,443 20,787 34,055 33,725 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 9 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST GLOBAL WIND ENERGY ETF (FAN) First Trust Global Wind Energy 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 Global Wind Energy Index(TM) (the "Index"). The shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol "FAN." 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 developed, maintained and sponsored by Nasdaq, Inc. The Index provides a benchmark for investors interested in tracking public companies throughout the world that are active in the wind energy industry. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (6/16/08) Ended Ended (6/16/08) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -5.51% -10.65% 11.72% 12.23% -1.03% 74.03% 216.97% -13.28% Market Price -5.14% -11.10% 11.73% 12.34% -1.01% 74.10% 220.17% -13.07% INDEX PERFORMANCE ISE Clean Edge Global Wind Energy Index(TM) -4.61% -9.38% 12.68% 13.21% -0.17% 81.67% 245.70% -2.25% Russell 3000(R) Index 3.51% 11.92% 15.40% 14.28% 11.18% 104.64% 280.04% 331.01% MSCI World Index 2.21% 10.12% 12.42% 10.88% 7.54% 79.58% 180.98% 172.61% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- Nasdaq(R), Clean Edge(R), and ISE Clean Edge Global Wind Energy Index(TM) 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 GLOBAL WIND ENERGY ETF (FAN) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Utilities 66.9% Industrials 30.3 Materials 2.4 Energy 0.4 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Orsted A/S 7.7% China Longyuan Power Group Corp., Ltd., Class H 7.5 Northland Power, Inc. 7.3 Vestas Wind Systems A/S 7.2 EDP Renovaveis S.A. 6.5 Innergex Renewable Energy, Inc. 3.3 Boralex, Inc., Class A 3.2 Siemens Gamesa Renewable Energy S.A. 3.0 Duke Energy Corp. 2.2 NextEra Energy, Inc. 2.2 ------ Total 50.1% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust Global ISE Clean Edge Global Russell 3000(R) MSCI World Wind Energy ETF Wind Energy Index(TM) Index Index ------------------ --------------------- --------------- ---------- <S> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 3/31/12 9,705 9,691 12,655 12,003 9/30/12 8,386 8,424 13,021 12,159 3/31/13 9,624 9,667 14,499 13,426 9/30/13 13,135 13,272 15,833 14,617 3/31/14 15,298 15,519 17,777 15,985 9/30/14 14,734 14,977 18,645 16,399 3/31/15 14,180 14,486 19,974 16,948 9/30/15 13,648 13,965 18,552 15,565 3/31/16 15,460 15,962 19,906 16,363 9/30/16 17,799 18,406 21,327 17,332 3/31/17 17,676 18,443 23,500 18,779 9/30/17 18,904 19,740 25,314 20,480 3/31/18 19,248 20,068 26,744 21,318 9/30/18 18,351 19,263 29,763 22,783 3/31/19 19,390 20,403 29,087 22,188 9/30/19 19,743 20,891 30,632 23,200 3/31/20 18,475 19,679 26,435 19,882 9/30/20 26,737 28,531 35,227 25,612 3/31/21 34,427 36,973 42,963 30,624 9/30/21 32,555 35,121 46,464 32,996 3/31/22 30,762 33,502 48,094 33,726 </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 GLOBAL ENGINEERING AND CONSTRUCTION ETF (FLM) First Trust Global Engineering and Construction 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 Global Engineering and Construction(TM) Index (the "Index"). The shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol "FLM." The Fund will normally invest in at least 90% of its net assets (including investment borrowings) in the common stocks and depositary receipts that comprise the Index. The Index is developed, maintained and sponsored by Nasdaq, Inc. The Index provides a benchmark for investors interested in tracking public companies throughout the world that are active in the engineering and construction industries. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (10/13/08) Ended Ended (10/13/08) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 1.48% 0.24% 2.94% 4.79% 6.32% 15.61% 59.62% 128.32% Market Price 1.29% -0.18% 2.93% 4.75% 6.32% 15.51% 59.10% 128.10% INDEX PERFORMANCE ISE Global Engineering and Construction(TM) Index 2.21% 1.66% 4.13% 6.02% 7.86% 22.41% 79.44% 176.97% Russell 3000(R) Index 3.51% 11.92% 15.40% 14.28% 14.05% 104.64% 280.04% 486.79% MSCI World Industrials Index -0.73% 1.46% 9.34% 9.77% 10.48% 56.29% 153.92% 282.66% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- Nasdaq(R) and the ISE Global Engineering and Construction(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 12 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST GLOBAL ENGINEERING AND CONSTRUCTION ETF (FLM) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 99.3% Utilities 0.6 Energy 0.1 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Quanta Services, Inc. 3.7% Vinci S.A. 3.6 AECOM 3.5 KBR, Inc. 3.5 Fluor Corp. 3.3 Eiffage S.A. 3.2 Jacobs Engineering Group, Inc. 3.1 Bouygues S.A. 3.1 ACS Actividades de Construccion y Servicios S.A. 3.0 Taisei Corp. 2.9 ------ Total 32.9% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust Global Engineering ISE Global Engineering and Russell 3000(R) MSCI World and Construction ETF Construction(TM) Index Index Industrials Index ------------------------------ -------------------------- --------------- ----------------- <S> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 3/31/12 12,202 12,135 12,655 12,357 9/30/12 11,793 11,811 13,021 12,092 3/31/13 13,006 13,047 14,499 13,893 9/30/13 14,745 14,922 15,833 15,500 3/31/14 16,153 16,413 17,777 16,899 9/30/14 15,049 15,358 18,645 16,766 3/31/15 14,661 15,188 19,974 17,356 9/30/15 13,967 14,510 18,552 15,598 3/31/16 14,822 15,513 19,906 17,224 9/30/16 15,700 16,462 21,327 18,393 3/31/17 16,848 17,788 23,500 20,076 9/30/17 18,588 19,707 25,314 22,375 3/31/18 18,720 19,808 26,744 23,116 9/30/18 18,900 20,157 29,763 24,024 3/31/19 16,708 17,907 29,087 23,003 9/30/19 15,943 17,150 30,632 23,932 3/31/20 12,306 13,459 26,435 18,978 9/30/20 14,745 16,120 35,227 24,881 3/31/21 19,432 21,419 42,963 30,925 9/30/21 19,193 21,306 46,464 31,607 3/31/22 19,477 21,777 48,095 31,376 </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 NASDAQ(R) CLEAN EDGE(R) SMART GRID INFRASTRUCTURE INDEX FUND (GRID) First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure 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 Clean Edge Smart Grid Infrastructure Index(TM) (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "GRID." 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 act as a transparent and liquid benchmark for the grid and electric energy infrastructure sector. The Index includes companies that are primarily engaged and involved in electric grid, electric meters and devices, networks, energy storage and management, and enabling software used by the smart grid infrastructure sector. Clean Edge, Inc. and Nasdaq, Inc. serve as index providers to the Index. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (11/16/09) Ended Ended (11/16/09) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 1.88% 10.31% 18.81% 14.08% 10.82% 136.76% 273.24% 256.56% Market Price 1.61% 9.82% 18.87% 14.08% 10.81% 137.37% 273.19% 255.87% INDEX PERFORMANCE Nasdaq Clean Edge Smart Grid Infrastructure Index(TM) 2.49% 11.54% 19.91% 15.07% 11.78% 147.95% 306.87% 296.38% Russell 3000(R) Index 3.51% 11.92% 15.40% 14.28% 14.14% 104.64% 280.04% 413.26% S&P Composite 1500(R) Industrials Index 5.51% 5.61% 11.52% 12.88% 13.38% 72.47% 235.91% 372.96% MSCI World Industrials Index -0.73% 1.46% 9.34% 9.77% 9.84% 56.29% 153.92% 219.25% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- Nasdaq(R), Clean Edge(R), and Nasdaq Clean Edge Smart Grid Infrastructure Index(TM) 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 NASDAQ(R) CLEAN EDGE(R) SMART GRID INFRASTRUCTURE INDEX FUND (GRID) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 51.7% Information Technology 25.2 Utilities 13.0 Consumer Discretionary 10.1 Materials 0.0* ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Schneider Electric SE 8.3% Johnson Controls International PLC 7.8 Eaton Corp. PLC 7.6 ABB Ltd. 7.4 Aptiv PLC 7.2 Enphase Energy, Inc. 4.7 Quanta Services, Inc. 4.7 Samsung SDI Co., Ltd. 4.1 Terna Rete Elettrica Nazionale S.p.A. 4.0 SolarEdge Technologies, Inc. 3.9 ------ Total 59.7% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust NASDAQ(R) NASDAQ Russell MSCI World Clean Edge(R) Smart Grid Clean Edge Smart Grid 3000(R) S&P Composite 1500(R) Industrials Infrastructure Index Fund Infrastructure Index(TM) Index Industrials Index Index ------------------------- ------------------------ ------- ------------------- ----------- <S> <C> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 $10,000 3/31/12 11,706 11,679 12,655 13,107 12,357 9/30/12 12,082 12,113 13,021 13,035 12,092 3/31/13 13,474 13,565 14,499 15,241 13,892 9/30/13 14,310 14,486 15,833 17,041 15,500 3/31/14 16,481 16,753 17,777 19,330 16,900 9/30/14 15,195 15,503 18,645 19,643 16,766 3/31/15 15,418 15,787 19,974 20,939 17,356 9/30/15 13,679 14,025 18,552 18,939 15,598 3/31/16 15,073 15,558 19,906 21,390 17,225 9/30/16 17,197 17,777 21,327 22,682 18,395 3/31/17 18,458 19,165 23,500 25,526 20,078 9/30/17 21,793 22,691 25,314 27,895 22,377 3/31/18 22,100 23,034 26,744 29,187 23,118 9/30/18 21,433 22,451 29,763 31,236 24,027 3/31/19 19,721 20,725 29,087 30,005 23,006 9/30/19 22,575 23,902 30,632 31,478 23,935 3/31/20 19,613 20,914 26,435 24,150 18,980 9/30/20 28,917 30,917 35,227 31,868 24,883 3/31/21 39,619 42,607 42,963 41,687 30,927 9/30/21 42,889 46,364 46,464 41,726 31,607 3/31/22 43,695 47,518 48,095 44,028 31,376 </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 INDXX GLOBAL NATURAL RESOURCES INCOME ETF (FTRI) First Trust Indxx Global Natural Resources Income 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 Indxx Global Natural Resources Income Index (the "Index"). The shares of the Fund are listed and traded on The Nasdaq Stock Market LLC under the ticker symbol "FTRI." 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 owned and is developed, maintained and sponsored by Indxx, LLC. The Index is a free float adjusted market capitalization weighted index designed to measure the market performance of the 50 highest dividend yielding companies involved in the upstream (i.e., generally exploration and production) segment of the natural resources sector. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (3/11/10) Ended Ended (3/11/10) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 31.75% 33.78% 13.76% -2.58% -1.38% 90.56% -23.02% -15.44% Market Price 31.63% 33.45% 13.72% -2.56% -1.36% 90.16% -22.85% -15.22% INDEX PERFORMANCE Indxx Global Natural Resources Income Index* 32.79% 35.90% 15.08% N/A N/A 101.85% N/A N/A MSCI ACWI Materials Index 10.09% 10.88% 11.61% 5.96% 5.37% 73.16% 78.40% 87.85% MSCI ACWI Index 0.96% 7.28% 11.64% 10.00% 9.50% 73.43% 159.26% 198.64% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) * Effective on the close of business December 18, 2015, the Fund's underlying index changed from the ISE Global Copper(TM) Index to the Indxx Global Natural Resources Income Index. Therefore, the Fund's performance and total returns shown for the period prior to December 18, 2015, are not necessarily indicative of the performance the Fund, based on its current index, would have generated. Since the Fund's new underlying index had an inception date of June 1, 2015, it was not in existence for all the periods disclosed. ----------------------------- Indxx and the Index are trademarks of Indxx, LLC ("Indxx") and have been licensed for use for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by Indxx, and Indxx makes no representation regarding the advisability of trading in such product. The Index is determined, composed and calculated by Indxx without regard to First Trust or the Fund. Page 16 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDXX GLOBAL NATURAL RESOURCES INCOME ETF (FTRI) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Materials 67.1% Energy 14.1 Consumer Staples 9.8 Utilities 9.0 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- BHP Group Ltd., ADR 10.3% Vale S.A., ADR 9.9 Rio Tinto PLC, ADR 9.6 Nutrien Ltd. 9.1 Archer-Daniels-Midland Co. 4.7 Fortescue Metals Group Ltd. 4.5 Petroleo Brasileiro S.A., ADR 4.5 Tyson Foods, Inc., Class A 4.2 Veolia Environnement S.A. 4.0 Coterra Energy, Inc. 4.0 ------ Total 64.8% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust Indxx Global MSCI ACWI MSCI ACWI Natural Resources Income ETF Materials Index Index ---------------------------- --------------- --------- <S> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 3/31/12 12,328 11,575 11,991 9/30/12 11,382 11,066 12,098 3/31/13 10,388 11,083 13,253 9/30/13 9,075 11,109 14,243 3/31/14 9,010 11,653 15,451 9/30/14 8,860 11,333 15,856 3/31/15 6,947 10,831 16,289 9/30/15 4,652 8,663 14,800 3/31/16 4,349 9,485 15,581 9/30/16 4,661 10,746 16,569 3/31/17 4,980 11,927 17,924 9/30/17 5,382 13,300 19,659 3/31/18 5,735 13,812 20,571 9/30/18 5,982 13,914 21,581 3/31/19 5,902 13,394 21,121 9/30/19 5,717 13,242 21,879 3/31/20 4,277 10,545 18,745 9/30/20 5,043 14,794 24,164 3/31/21 7,096 18,624 28,980 9/30/21 7,203 18,759 30,794 3/31/22 9,490 20,652 31,090 </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 INDXX GLOBAL AGRICULTURE ETF (FTAG) First Trust Indxx Global Agriculture 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 Indxx Global Agriculture Index (the "Index"). The shares of the Fund are listed and traded on The Nasdaq Stock Market LLC under the ticker symbol "FTAG." 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 owned and is developed, maintained and sponsored by Indxx, LLC. The Index is a market capitalization weighted index designed to measure the performance of companies that are directly or indirectly engaged in improving agricultural yields. The Index is composed of farmland companies and firms involved in chemicals and fertilizers, seeds, irrigation equipment, and farm machinery. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (3/11/10) Ended Ended (3/11/10) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 13.63% 12.38% 8.26% -8.68% -10.43% 48.69% -59.69% -73.49% Market Price 14.40% 12.69% 8.31% -8.73% -10.41% 49.06% -59.90% -73.41% INDEX PERFORMANCE Indxx Global Agriculture Index* 14.38% 14.15% 9.40% N/A N/A 56.70% N/A N/A MSCI ACWI Index 0.96% 7.28% 11.64% 10.00% 9.50% 73.43% 159.26% 198.64% MSCI ACWI Materials Index 10.09% 10.88% 11.61% 5.96% 5.37% 73.16% 78.40% 87.85% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) * Effective on the close of business December 18, 2015, the Fund's underlying index changed from the ISE Global Platinum(TM) Index to the Indxx Global Agriculture Index. Therefore, the Fund's performance and total returns shown for the period prior to December 18, 2015, are not necessarily indicative of the performance the Fund, based on its current Index, would have generated. Since the Fund's new underlying index had an inception date of June 1, 2015, it was not in existence for all the periods disclosed. ----------------------------- Indxx and the Index are trademarks of Indxx, LLC ("Indxx") and have been licensed for use for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by Indxx and Indxx makes no representation regarding the advisability of trading in such product. The Index is determined, composed and calculated by Indxx without regard to First Trust or the Fund. Page 18 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDXX GLOBAL AGRICULTURE ETF (FTAG) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Materials 55.4% Industrials 26.8 Health Care 9.8 Consumer Staples 6.0 Consumer Discretionary 2.0 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Deere & Co. 10.4% Bayer AG 9.8 Nutrien Ltd. 8.3 BASF SE 7.7 Corteva, Inc. 4.7 Industries Qatar QSC 4.0 Mosaic (The) Co. 3.7 Kubota Corp. 3.4 Wilmar International Ltd. 3.4 CNH Industrial N.V. 3.3 ------ Total 58.7% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust Indxx MSCI ACWI MSCI ACWI Global Agriculture ETF Index Materials Index ---------------------- --------- --------------- <S> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 3/31/12 10,249 11,991 11,575 9/30/12 7,592 12,098 11,066 3/31/13 7,274 13,253 11,083 9/30/13 6,845 14,243 11,109 3/31/14 6,801 15,451 11,653 9/30/14 6,117 15,856 11,333 3/31/15 5,062 16,289 10,831 9/30/15 2,985 14,800 8,663 3/31/16 2,308 15,581 9,485 9/30/16 2,420 16,569 10,746 3/31/17 2,779 17,924 11,927 9/30/17 3,076 19,659 13,300 3/31/18 3,034 20,571 13,812 9/30/18 3,029 21,581 13,914 3/31/19 2,712 21,121 13,394 9/30/19 2,723 21,879 13,241 3/31/20 1,944 18,744 10,544 9/30/20 2,638 24,163 14,792 3/31/21 3,679 28,979 18,622 9/30/21 3,637 30,794 18,759 3/31/22 4,133 31,090 20,652 </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 19 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST BICK INDEX FUND (BICK) The First Trust BICK 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 ISE BICK(TM) Index (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "BICK." 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 developed, maintained and sponsored by Nasdaq, Inc. The Index is designed to provide a benchmark for investors interested in tracking some of the largest and most liquid public companies that are domiciled in Brazil, India, China (including Hong Kong) and South Korea that are accessible for investment by U.S. investors. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/12/10) Ended Ended (4/12/10) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -7.73% -15.31% 5.96% 3.20% 1.77% 33.57% 37.08% 23.32% Market Price -8.61% -16.87% 5.83% 2.99% 1.67% 32.74% 34.24% 21.91% INDEX PERFORMANCE ISE BICK(TM) Index -7.16% -14.09% 7.22% 4.23% 2.75% 41.68% 51.35% 38.32% MSCI ACWI Index 0.96% 7.28% 11.64% 10.00% 9.19% 73.43% 159.26% 186.35% MSCI Emerging Markets Index -8.20% -11.37% 5.98% 3.36% 3.20% 33.67% 39.14% 45.75% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- Nasdaq(R) and ISE BICK(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 20 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST BICK INDEX FUND (BICK) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 21.2% Financials 17.7 Information Technology 16.6 Communication Services 10.3 Health Care 7.3 Materials 6.5 Industrials 5.7 Utilities 5.4 Energy 5.3 Consumer Staples 3.4 Real Estate 0.6 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Infosys Ltd., ADR 2.3% Reliance Industries Ltd., GDR 2.3 Wipro Ltd., ADR 2.2 Dr. Reddy's Laboratories Ltd., ADR 2.2 ReNew Energy Global PLC, Class A 2.1 WNS (Holdings) Ltd., ADR 2.1 Azure Power Global Ltd. 2.1 State Bank of India, GDR 2.0 HDFC Bank Ltd., ADR 2.0 ICICI Bank Ltd., ADR 2.0 ------ Total 21.3% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust BICK ISE BICK(TM) MSCI ACWI MSCI Emerging Index Fund Index Index Markets Index ---------------- ------------ --------- ------------- <S> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 3/31/12 11,859 11,724 11,991 11,913 9/30/12 10,978 10,924 12,098 11,693 3/31/13 11,178 11,116 13,253 12,119 9/30/13 11,054 11,098 14,243 11,808 3/31/14 11,611 11,709 15,451 11,972 9/30/14 11,930 12,100 15,856 12,316 3/31/15 11,201 11,443 16,289 12,024 9/30/15 9,049 9,189 14,800 9,940 3/31/16 9,732 9,971 15,581 10,577 9/30/16 11,220 11,491 16,569 11,608 3/31/17 12,171 12,525 17,924 12,397 9/30/17 14,264 14,767 19,659 14,214 3/31/18 15,307 15,820 20,571 15,466 9/30/18 13,293 13,939 21,581 14,099 3/31/19 13,823 14,575 21,121 14,340 9/30/19 13,058 13,800 21,878 13,817 3/31/20 10,518 11,231 18,744 11,807 9/30/20 14,895 15,907 24,165 15,273 3/31/21 19,194 20,655 28,981 18,699 9/30/21 17,619 19,114 30,794 18,054 3/31/22 16,257 17,745 31,090 16,574 </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> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDXX NEXTG ETF (NXTG) The First Trust Indxx NextG 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 Indxx 5G & NextG Thematic Index(SM) (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "NXTG." 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 owned and is developed, maintained and sponsored by Indxx, LLC. The Index is designed to track the performance of companies that have devoted, or have committed to devote, material resources to the research, development and application of fifth generation (5G) and next generation digital cellular technologies as they emerge. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (2/17/11) Ended Ended (2/17/11) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 0.70% 6.47% 11.81% 12.04% 9.98% 74.75% 211.59% 187.86% Market Price 0.75% 5.99% 11.79% 12.04% 9.98% 74.59% 211.72% 187.88% INDEX PERFORMANCE Indxx 5G & NextG Thematic IndexSM (1) (2) 1.54% 8.09% N/A N/A N/A N/A N/A N/A MSCI ACWI Information Technology Index 1.02% 12.27% 23.63% 18.12% 16.94% 188.82% 428.64% 469.50% MSCI ACWI Index 0.96% 7.28% 11.64% 10.00% 8.82% 73.43% 159.26% 155.80% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) (1) On May 30, 2019, the Fund's underlying index changed from the Nasdaq CTA Smartphone Index(SM) to the Indxx 5G & NextG Thematic Index(SM). Therefore, the Fund's performance and historical returns shown for the periods prior to this date are not necessarily indicative of the performance that the Fund, based on its current index, would have generated. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. ----------------------------- Indxx and the Index are trademarks of Indxx, LLC ("Indxx") and have been licensed for use for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by Indxx and Indxx makes no representation regarding the advisability of trading in such product. The Index is determined, composed and calculated by Indxx without regard to First Trust or the Fund. Page 22 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDXX NEXTG ETF (NXTG) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 58.7% Communication Services 31.6 Real Estate 6.2 Consumer Discretionary 2.3 Industrials 1.2 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Advanced Micro Devices, Inc. 2.2% Amdocs Ltd. 1.5 Juniper Networks, Inc. 1.5 Hewlett Packard Enterprise Co. 1.4 Arista Networks, Inc. 1.4 Broadcom, Inc. 1.4 Infosys Ltd., ADR 1.4 Nippon Telegraph & Telephone Corp. 1.4 International Business Machines Corp. 1.4 Tata Consultancy Services Ltd. 1.4 ------ Total 15.0% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust Indxx MSCI ACWI Information MSCI ACWI NextG ETF Technology Index Index --------------------- --------------------- --------- <S> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 3/31/12 12,312 12,841 11,991 9/30/12 10,403 12,594 12,098 3/31/13 12,024 12,842 13,253 9/30/13 14,628 14,012 14,243 3/31/14 16,151 15,919 15,451 9/30/14 16,992 17,285 15,856 3/31/15 18,554 18,457 16,289 9/30/15 16,253 17,078 14,800 3/31/16 17,457 18,815 15,581 9/30/16 19,438 20,984 16,569 3/31/17 21,955 23,504 17,924 9/30/17 24,043 27,276 19,659 3/31/18 25,231 30,377 20,571 9/30/18 24,091 33,506 21,581 3/31/19 23,744 32,993 21,121 9/30/19 24,518 35,623 21,879 3/31/20 22,821 35,206 18,744 9/30/20 29,168 51,577 24,163 3/31/21 36,037 60,453 28,979 9/30/21 38,098 67,195 30,794 3/31/22 38,365 67,880 31,090 </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 23 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST S-NETWORK FUTURE VEHICLES & TECHNOLOGY ETF (CARZ) The First Trust S-Network Future Vehicles & Technology ETF (the "Fund"), formerly First Trust NASDAQ Global Auto Index 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-Network Electric & Future Vehicle Ecosystem Index (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "CARZ." 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 owned and is developed, maintained and sponsored by S-Network Global Indexes, Inc. To be eligible for inclusion in the Index a company must be listed on a major recognized stock exchange and engaged in one of the following sectors: (a) electric and autonomous vehicle manufacturing; (b) enabling technologies; or (c) enabling materials. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/9/11) Ended Ended (5/9/11) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 0.96% 3.04% 12.25% 9.60% 8.08% 78.20% 150.13% 133.24% Market Price 0.69% 2.46% 12.22% 9.56% 8.09% 78.01% 149.16% 133.50% INDEX PERFORMANCE S-Network Electric & Future Vehicle Ecosystem Index(1)(2) -0.77% N/A N/A N/A N/A N/A N/A N/A MSCI ACWI Index 0.96% 7.28% 11.64% 10.00% 8.92% 73.43% 159.26% 153.62% MSCI World Index 2.21% 10.12% 12.42% 10.88% 9.83% 79.58% 180.98% 177.63% Nasdaq Global Auto Index(SM) (1) -8.28% -5.84% 11.07% 9.49% 8.12% 69.07% 147.56% 134.17% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) (1) On January 26, 2022, the Fund's underlying index changed from the Nasdaq Global Auto Index(SM) to the S-Network Electric & Future Vehicle Ecosystem Index. Therefore, the Fund's performance and historical returns shown for the periods prior to this date are not necessarily indicative of the performance that the Fund, based on its current index, would have generated. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. ----------------------------- S-Network and S-Network Electric & Future Vehicle Ecosystem Index are service marks of S-Network Global Indexes, Inc. and have been licensed for use by First Trust Advisors L.P. The Fund is not issued, sponsored, endorsed, sold or promoted by S-Network Global Indexes, Inc. or its affiliates (collectively, "S-Network"). S-Network makes no representation or warranty, express or implied, to the purchasers or 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 Index to track general market performance. Page 24 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST S-NETWORK FUTURE VEHICLES & TECHNOLOGY ETF (CARZ) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 49.8% Consumer Discretionary 30.4 Materials 8.8 Communication Services 5.9 Industrials 5.1 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Tesla, Inc. 5.3% NVIDIA Corp. 5.2 Apple, Inc. 5.1 Alphabet, Inc., Class A 5.1 Intel Corp. 4.6 Samsung Electronics Co., Ltd. 4.4 Toyota Motor Corp. 4.3 QUALCOMM, Inc. 4.2 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 3.8 Advanced Micro Devices, Inc. 3.0 ------ Total 45.0% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust S-Network Future Vehicles & MSCI ACWI MSCI World Nasdaq Global Technology ETF Index Index Auto Index(SM) ---------------------- ---------- ---------- -------------- <S> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 3/31/12 12,358 11,991 12,003 12,258 9/30/12 10,977 12,098 12,159 10,935 3/31/13 13,532 13,253 13,426 13,478 9/30/13 17,502 14,243 14,616 17,598 3/31/14 18,017 15,451 15,984 18,191 9/30/14 17,343 15,856 16,398 17,565 3/31/15 18,600 16,289 16,947 18,919 9/30/15 15,542 14,800 15,564 15,818 3/31/16 15,673 15,581 16,362 16,090 9/30/16 15,891 16,569 17,331 16,261 3/31/17 17,350 17,924 18,778 17,947 9/30/17 19,619 19,659 20,479 20,368 3/31/18 20,147 20,571 21,317 20,873 9/30/18 18,134 21,581 22,781 18,990 3/31/19 16,551 21,121 22,186 17,397 9/30/19 16,505 21,879 23,200 17,441 3/31/20 12,452 18,744 19,883 13,259 9/30/20 20,355 24,163 25,613 21,750 3/31/21 30,000 28,979 30,626 32,225 9/30/21 30,620 30,793 32,996 33,082 3/31/22 30,913 31,090 33,725 30,343 </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 25 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CLOUD COMPUTING ETF (SKYY) The First Trust Cloud Computing 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 CTA Cloud Computing Index(TM) (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "SKYY." 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 developed, maintained and sponsored by Nasdaq, Inc. The Index is designed to provide a benchmark for investors interested in tracking companies involved in the cloud computing industry. To be eligible for inclusion in the Index, a security must be issued by a "cloud computing" company as classified by the Consumer Technology Association ("CTA"). A cloud computing company is a company engaged in one or more of the following activities: Infrastructure-as-a-Service, Platform-as-a-Service or Software-as-a-Service. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (7/5/11) Ended Ended (7/5/11) 3/31/22 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -13.54% -4.71% 19.20% 15.97% 15.42% 140.67% 340.16% 366.73% Market Price -13.47% -4.68% 19.21% 15.98% 15.43% 140.70% 340.45% 367.04% INDEX PERFORMANCE ISE CTA Cloud Computing Index(TM) (1) -13.23% -4.10% 19.99% 16.63% 16.08% 148.73% 365.83% 395.70% S&P 500(R) Index 5.92% 15.65% 15.99% 14.64% 14.29% 109.94% 291.97% 319.47% S&P Composite 1500(R) Information Technology Index 6.62% 19.84% 26.17% 20.23% 20.51% 219.74% 531.17% 640.89% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) (1) On June 24, 2019, the Fund's underlying index changed its methodology and changed its name from "ISE Cloud Computing(TM) Index" to "ISE CTA Cloud Computing Index(TM)." ----------------------------- Nasdaq(R) and the 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 26 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CLOUD COMPUTING ETF (SKYY) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 86.2% Consumer Discretionary 6.9 Communication Services 6.4 Health Care 0.5 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Pure Storage, Inc., Class A 4.5% Arista Networks, Inc. 3.7 Oracle Corp. 3.6 Amazon.com, Inc. 3.5 Alibaba Group Holding Ltd., ADR 3.4 Microsoft Corp. 3.4 Alphabet, Inc., Class A 3.4 Rackspace Technology, Inc. 3.3 DigitalOcean Holdings, Inc. 3.2 VMware, Inc., Class A 3.2 ------ Total 35.2% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 30, 2011 - MARCH 31, 2022 First Trust Cloud ISE CTA Cloud S&P 500(R) S&P Composite 1500(R) Computing ETF Computing Index(TM) Index Information Technology Index ----------------- ------------------- ---------- ---------------------------- <S> <C> <C> <C> <C> 9/30/11 $10,000 $10,000 $10,000 $10,000 3/31/12 13,419 13,454 12,589 13,211 9/30/12 12,483 12,561 13,020 13,161 3/31/13 13,327 13,454 14,347 13,147 9/30/13 15,456 15,648 15,538 14,313 3/31/14 16,944 17,211 17,482 16,493 9/30/14 17,186 17,514 18,604 18,179 3/31/15 18,413 18,821 19,707 19,417 9/30/15 17,708 18,149 18,489 18,623 3/31/16 18,714 19,278 20,059 20,793 9/30/16 21,656 22,376 21,343 22,874 3/31/17 24,538 25,200 23,503 26,081 9/30/17 26,638 27,440 25,315 29,425 3/31/18 30,836 31,863 26,793 33,083 9/30/18 36,177 37,512 29,850 38,370 3/31/19 37,049 38,559 29,337 38,017 9/30/18 36,382 38,027 31,121 41,587 3/31/20 35,243 36,928 27,290 41,450 9/30/20 50,768 53,365 35,834 60,268 3/31/21 61,983 65,361 42,668 69,585 9/30/21 68,315 72,242 46,586 78,206 3/31/22 59,065 62,670 49,344 83,383 </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 27 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INTERNATIONAL EQUITY OPPORTUNITIES ETF (FPXI) First Trust International 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 index called the IPOX(R) International Index (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FPXI." 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 owned and is developed, maintained and sponsored by IPOX(R) Schuster LLC (the "Index Provider"). The Index is a market-cap weighted portfolio measuring the performance of the top 50 companies domiciled outside the United States ranked quarterly by market capitalization in the IPOX(R) Global Composite Index (the "Base Index") and represents, on average, 25% of the total market capitalization of the Base Index, a fully market capitalization-weighted index constructed and managed to provide a broad and objective view of global aftermarket performance of initial public offerings and spin-offs in all world countries (both developed and emerging market countries). <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (11/4/14) Ended (11/4/14) 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -23.48% -24.82% 12.12% 7.91% 77.21% 75.67% Market Price -23.28% -25.24% 12.16% 7.91% 77.47% 75.67% INDEX PERFORMANCE IPOX(R) International Index -22.68% -23.72% 13.28% 8.89% 86.55% 87.88% MSCI ACWI ex USA Index -3.72% -1.48% 6.76% 5.10% 38.71% 44.47% MSCI World ex USA Index -1.82% 3.04% 7.14% 5.47% 41.15% 48.29% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- IPOX(R) and the Index are registered international trademarks and service marks of IPOX(R) Schuster LLC ("IPOX") and have been licensed for use by First Trust. The Fund is not sponsored, endorsed, sold or promoted by IPOX, and IPOX makes no representation regarding the advisability of trading in such Fund. Page 28 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INTERNATIONAL EQUITY OPPORTUNITIES ETF (FPXI) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Health Care 19.2% Financials 17.9 Consumer Discretionary 15.1 Information Technology 12.5 Energy 11.7 Communication Services 9.4 Utilities 5.4 Industrials 4.6 Consumer Staples 2.3 Materials 1.9 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Saudi Arabian Oil Co. 10.0% Adyen N.V. 8.6 China Merchants Bank Co., Ltd., Class H 6.0 SoftBank Corp. 5.8 Siemens Healthineers AG 5.6 BioNTech SE, ADR 5.0 Meituan, Class B 4.2 Macquarie Group Ltd. 3.7 Prosus N.V. 3.6 Gulf Energy Development PCL 2.9 ------ Total 55.4% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT NOVEMBER 4, 2014 - MARCH 31, 2022 First Trust International IPOX(R) International MSCI ACWI MSCI World Equity Opportunities ETF Index ex USA Index ex USA Index ------------------------- --------------------- ------------ ------------ <S> <C> <C> <C> <C> 11/4/14 $10,000 $10,000 $10,000 $10,000 3/31/15 9,798 9,813 10,137 10,252 9/30/15 8,526 8,522 8,950 9,212 3/31/16 8,864 8,954 9,206 9,386 9/30/16 9,432 9,523 9,779 9,872 3/31/17 9,913 10,072 10,415 10,506 9/30/17 11,952 12,204 11,696 11,722 3/31/18 12,949 13,217 12,118 11,951 9/30/18 12,352 12,713 11,903 12,036 3/31/19 12,308 12,716 11,625 11,594 9/30/19 12,920 13,403 11,756 11,922 3/31/20 13,086 13,684 9,815 9,866 9/30/20 20,185 21,054 12,109 11,940 3/31/21 23,365 24,630 14,664 14,391 9/30/21 22,956 24,297 15,005 15,104 3/31/22 17,567 18,788 14,447 14,829 </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 29 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ CYBERSECURITY ETF (CIBR) The First Trust Nasdaq Cybersecurity 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 CTA Cybersecurity Index(TM) (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "CIBR." 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 owned by Nasdaq, Inc. (the "Index Provider"). The Index Provider and the Consumer Technology Association ("CTA") have jointly developed the eligibility and selection criteria and rules for the Index. The Index includes securities of companies classified as "cybersecurity" companies by the CTA. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (7/6/15) Ended (7/6/15) 3/31/22 3/31/22 3/31/22 to 3/31/22 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 9.02% 27.61% 20.26% 16.29% 151.51% 176.47% Market Price 9.23% 27.58% 20.32% 16.32% 152.16% 176.93% INDEX PERFORMANCE Nasdaq CTA Cybersecurity Index(TM) 9.66% 28.78% 21.17% 17.18% 161.17% 190.91% S&P 500(R) Index 5.92% 15.65% 15.99% 14.50% 109.94% 148.93% S&P Composite 1500(R) Information Technology Index 6.62% 19.84% 26.17% 24.08% 219.74% 327.51% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- Nasdaq(R) and the 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 30 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ CYBERSECURITY ETF (CIBR) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 90.1% Industrials 9.9 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Crowdstrike Holdings, Inc., Class A 6.6% Palo Alto Networks, Inc. 5.9 Cloudflare, Inc., Class A 5.8 Zscaler, Inc. 5.7 Cisco Systems, Inc. 5.7 Splunk, Inc. 3.6 Akamai Technologies, Inc. 3.1 Juniper Networks, Inc. 3.1 Infosys Ltd., ADR 3.1 Mandiant, Inc. 3.1 ------ Total 45.7% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 6, 2015 - MARCH 31, 2022 First Trust Nasdaq Nasdaq CTA S&P 500(R) S&P Composite 1500(R) Cybersecurity ETF Cybersecurity Index(TM) Index Information Technology Index ------------------ ----------------------- ---------- ---------------------------- <S> <C> <C> <C> <C> 7/6/15 $10,000 $10,000 $10,000 $10,000 9/30/15 8,575 8,585 9,328 9,547 3/31/16 8,595 8,645 10,120 10,659 9/30/16 10,018 10,113 10,768 11,726 3/31/17 10,993 11,137 11,858 13,370 9/30/17 11,093 11,276 12,772 15,084 3/31/18 12,713 12,943 13,518 16,959 9/30/18 14,475 14,808 15,060 19,669 3/31/19 14,271 14,642 14,801 19,488 9/30/19 14,074 14,493 15,701 21,318 3/31/20 13,318 13,794 13,767 21,250 9/30/20 18,050 18,758 18,077 30,898 3/31/21 21,665 22,591 21,525 35,674 9/30/21 25,359 26,529 23,501 40,098 3/31/22 27,647 29,091 24,893 42,751 </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 31 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST IPOX(R) EUROPE EQUITY OPPORTUNITIES ETF (FPXE) The First Trust IPOX(R) Europe 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 Europe Index (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FPXE." 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 owned, developed, maintained and sponsored by IPOX(R) Schuster LLC. 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 companies that are economically tied to Europe. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (10/4/18) (10/4/18) 3/31/22 3/31/22 to 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV -17.74% -9.98% 8.48% 32.83% Market Price -17.79% -10.14% 8.48% 32.82% INDEX PERFORMANCE IPOX(R)-100 Europe Index -16.58% -8.09% 10.10% 39.86% MSCI Europe Index -2.12% 3.51% 6.53% 24.69% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- IPOX(R) and the Index are registered international trademarks of IPOX(R) Schuster LLC ("IPOX") and have been licensed for use by First Trust. The Fund is not sponsored, endorsed, sold or promoted by IPOX, and IPOX makes no representation regarding the advisability of trading in such Fund. IPOX(R) is an international trademark of IPOX Schuster LLC. Index of Initial Public Offerings (IPOX) and IPOX Derivatives Patent No. US 7,698,197. Page 32 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST IPOX(R) EUROPE EQUITY OPPORTUNITIES ETF (FPXE) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Health Care 22.2% Information Technology 18.3 Industrials 16.9 Consumer Discretionary 13.5 Financials 9.1 Communication Services 8.7 Utilities 2.6 Real Estate 2.6 Energy 2.4 Materials 2.1 Consumer Staples 1.6 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Siemens Healthineers AG 8.5% Adyen N.V. 7.7 Prosus N.V. 4.5 BioNTech SE, ADR 4.2 UCB S.A. 3.5 EQT AB 2.9 Vantage Towers AG 2.7 Universal Music Group N.V. 2.4 Daimler Truck Holding AG 2.3 Volvo Car AB, Class B 2.2 ------ Total 40.9% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT OCTOBER 4, 2018 - MARCH 31, 2022 First Trust IPOX(R) Europe IPOX(R)-100 MSCI Europe Equity Opportunities ETF Europe Index Index -------------------------- ------------ ------------ <S> <C> <C> <C> 10/4/18 $10,000 $10,000 $10,000 3/31/19 9,715 9,769 9,836 9/30/19 10,132 10,255 10,091 3/31/20 9,587 9,800 8,311 9/30/20 13,003 13,352 10,011 3/31/21 14,757 15,217 12,046 9/30/21 16,147 16,766 12,739 3/31/22 13,283 13,986 12,469 </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 33 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES INTERNATIONAL INTERNET ETF (FDNI) The First Trust Dow Jones International Internet 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 International Internet Index (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FDNI." 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 developed, maintained and sponsored by S&P Dow Jones Indices LLC and is designed to measure the performance of securities of non-US issuers whose primary business focus is Internet-related. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 6 Months Ended 1 Year Ended (11/5/18) (11/5/18) 3/31/22 3/31/22 to 3/31/22 to 3/31/22 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV -34.53% -41.59% 9.86% 37.68% Market Price -33.42% -41.07% 10.36% 39.80% INDEX PERFORMANCE Dow Jones International Internet Index -33.47% -40.43% 11.15% 43.23% MSCI ACWI ex-USA Information Technology Index -10.67% -5.35% 20.74% 89.78% MSCI ACWI ex-USA Index -3.72% -1.48% 8.03% 30.03% ------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 36.) ----------------------------- Dow Jones International Internet 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 34 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES INTERNATIONAL INTERNET ETF (FDNI) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Communication Services 39.1% Consumer Discretionary 38.9 Information Technology 19.9 Health Care 1.6 Financials 0.5 ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Alibaba Group Holding Ltd., ADR 10.8% Tencent Holdings Ltd. 9.5 Shopify, Inc., Class A 8.0 Meituan, Class B 7.9 Prosus N.V. 4.8 Adyen N.V. 4.8 Atlassian Corp. PLC, Class A 4.3 NAVER Corp. 4.2 Sea Ltd., ADR 4.2 JD.com, Inc., ADR 4.1 ------ Total 62.6% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT NOVEMBER 5, 2018 - MARCH 31, 2022 MSCI All Country World First Trust Dow Jones Dow Jones International ex-USA Information MSCI All Country International Internet ETF Internet Index Technology Index World ex-USA Index -------------------------- --------------------- ---------------------- ------------------ <S> <C> <C> <C> <C> 11/5/18 $10,000 $10,000 $10,000 $10,000 3/31/19 11,275 11,318 10,863 10,463 9/30/19 10,907 10,977 11,546 10,581 3/31/20 11,865 12,008 11,000 8,834 9/30/20 20,535 20,785 15,539 10,899 3/31/21 23,574 24,042 20,050 13,199 9/30/21 21,033 21,527 21,243 13,505 3/31/22 13,770 14,322 18,976 13,003 </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 35 <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. For certain Funds, 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 36 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II UNDERSTANDING YOUR FUND EXPENSES MARCH 31, 2022 (UNAUDITED) As a shareholder of First Trust STOXX(R) European Select Dividend Index Fund, First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund, First Trust Dow Jones Global Select Dividend Index Fund, First Trust Global Wind Energy ETF, First Trust Global Engineering and Construction ETF, First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund, First Trust Indxx Global Natural Resources Income ETF, First Trust Indxx Global Agriculture ETF, First Trust BICK Index Fund, First Trust Indxx NextG ETF, First Trust S-Network Future Vehicles & Technology ETF, First Trust Cloud Computing ETF, First Trust International Equity Opportunities ETF, First Trust Nasdaq Cybersecurity ETF, First Trust IPOX(R) Europe Equity Opportunities ETF or First Trust Dow Jones International Internet 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 (in U.S. dollars) 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 March 31, 2022. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------ ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH OCTOBER 1, 2021 MARCH 31, 2022 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FIRST TRUST STOXX(R) EUROPEAN SELECT DIVIDEND INDEX FUND (FDD) Actual $1,000.00 $ 970.20 0.57% $2.80 Hypothetical (5% return before expenses) $1,000.00 $1,022.09 0.57% $2.87 FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) Actual $1,000.00 $1,055.60 0.60% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,021.94 0.60% $3.02 FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND (FGD) Actual $1,000.00 $1,037.30 0.56% $2.84 Hypothetical (5% return before expenses) $1,000.00 $1,022.14 0.56% $2.82 FIRST TRUST GLOBAL WIND ENERGY ETF (FAN) Actual $1,000.00 $ 944.90 0.60% $2.91 Hypothetical (5% return before expenses) $1,000.00 $1,021.94 0.60% $3.02 FIRST TRUST GLOBAL ENGINEERING AND CONSTRUCTION ETF (FLM) Actual $1,000.00 $1,014.80 0.70% $3.52 Hypothetical (5% return before expenses) $1,000.00 $1,021.44 0.70% $3.53 </TABLE> Page 37 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) MARCH 31, 2022 (UNAUDITED) <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------ ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH OCTOBER 1, 2021 MARCH 31, 2022 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) SMART GRID INFRASTRUCTURE INDEX FUND (GRID) Actual $1,000.00 $1,018.80 0.57% $2.87 Hypothetical (5% return before expenses) $1,000.00 $1,022.09 0.57% $2.87 FIRST TRUST INDXX GLOBAL NATURAL RESOURCES INCOME ETF (FTRI) Actual $1,000.00 $1,317.50 0.70% $4.04 Hypothetical (5% return before expenses) $1,000.00 $1,021.44 0.70% $3.53 FIRST TRUST INDXX GLOBAL AGRICULTURE ETF (FTAG) Actual $1,000.00 $1,136.30 0.70% $3.73 Hypothetical (5% return before expenses) $1,000.00 $1,021.44 0.70% $3.53 FIRST TRUST BICK INDEX FUND (BICK) Actual $1,000.00 $ 922.70 0.64% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,021.74 0.64% $3.23 FIRST TRUST INDXX NEXTG ETF (NXTG) Actual $1,000.00 $1,007.00 0.70% $3.50 Hypothetical (5% return before expenses) $1,000.00 $1,021.44 0.70% $3.53 FIRST TRUST S-NETWORK FUTURE VEHICLES & TECHNOLOGY ETF (CARZ) Actual $1,000.00 $1,009.60 0.70% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,021.44 0.70% $3.53 FIRST TRUST CLOUD COMPUTING ETF (SKYY) Actual $1,000.00 $ 864.60 0.60% $2.79 Hypothetical (5% return before expenses) $1,000.00 $1,021.94 0.60% $3.02 FIRST TRUST INTERNATIONAL EQUITY OPPORTUNITIES ETF (FPXI) Actual $1,000.00 $ 765.20 0.70% $3.08 Hypothetical (5% return before expenses) $1,000.00 $1,021.44 0.70% $3.53 FIRST TRUST NASDAQ CYBERSECURITY ETF (CIBR) Actual $1,000.00 $1,090.20 0.60% $3.13 Hypothetical (5% return before expenses) $1,000.00 $1,021.94 0.60% $3.02 FIRST TRUST IPOX(R) EUROPE EQUITY OPPORTUNITIES ETF (FPXE) Actual $1,000.00 $ 822.60 0.70% $3.18 Hypothetical (5% return before expenses) $1,000.00 $1,021.44 0.70% $3.53 FIRST TRUST DOW JONES INTERNATIONAL INTERNET ETF (FDNI) Actual $1,000.00 $ 654.70 0.65% $2.68 Hypothetical (5% return before expenses) $1,000.00 $1,021.69 0.65% $3.28 </TABLE> (a) These expense ratios reflect expense caps for certain Funds. See Note 3 in the 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 (October 1, 2021 through March 31, 2022), multiplied by 182/365 (to reflect the six-month period). Page 38 <PAGE> FIRST TRUST STOXX(R) EUROPEAN SELECT DIVIDEND INDEX FUND (FDD) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 98.8% BELGIUM -- 6.0% 169,193 Ageas S.A./N.V. (b) $ 8,553,309 433,250 Proximus SADP (b) 8,067,758 -------------- 16,621,067 -------------- DENMARK -- 5.7% 5,376 AP Moller - Maersk A/S, Class A (b) 15,872,074 -------------- FINLAND -- 5.5% 371,368 Fortum OYJ (b) 6,787,552 524,739 Nokian Renkaat OYJ (b) 8,516,452 -------------- 15,304,004 -------------- FRANCE -- 22.6% 166,055 BNP Paribas S.A. (b) 9,489,209 88,820 Covivio (b) 7,068,690 876,300 Credit Agricole S.A. (b) 10,470,577 1,056,245 Electricite de France S.A. (b) 9,914,175 720,287 Orange S.A. 8,529,180 285,573 Rubis SCA (b) 8,393,857 278,416 SCOR SE (b) 8,952,638 -------------- 62,818,326 -------------- GERMANY -- 9.9% 30,863 Allianz SE (b) 7,370,376 204,232 Evonik Industries AG (b) 5,665,928 138,784 Mercedes-Benz Group AG (b) 9,741,240 209,912 TAG Immobilien AG (b) 4,753,242 -------------- 27,530,786 -------------- ITALY -- 8.2% 392,232 Assicurazioni Generali S.p.A. (b) 8,971,241 596,408 Poste Italiane S.p.A. (b) (c) (d) 6,763,665 1,205,647 Snam S.p.A. (b) 6,952,462 -------------- 22,687,368 -------------- NETHERLANDS -- 7.1% 220,834 ASR Nederland N.V. (b) 10,309,895 186,804 NN Group N.V. (b) 9,467,047 -------------- 19,776,942 -------------- SPAIN -- 4.3% 443,310 ACS Actividades de Construccion y Servicios S.A. (b) 11,951,459 -------------- SWEDEN -- 2.6% 469,233 Tele2 AB, Class B (b) 7,092,831 -------------- SWITZERLAND -- 5.5% 175,972 Holcim Ltd. (b) 8,558,710 13,665 Zurich Insurance Group AG (b) 6,749,143 -------------- 15,307,853 -------------- UNITED KINGDOM -- 21.4% 443,319 GlaxoSmithKline PLC (b) 9,592,045 962,492 IG Group Holdings PLC (b) 10,337,831 3,295,869 Legal & General Group PLC (b) 11,685,112 237,950 Rio Tinto PLC (b) 19,023,229 377,951 SSE PLC (b) 8,635,794 -------------- 59,274,011 -------------- TOTAL COMMON STOCKS -- 98.8% 274,236,721 (Cost $265,113,720) -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.0% 77,040 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.19% (e) $ 77,040 (Cost $77,040) -------------- TOTAL INVESTMENTS -- 98.8% 274,313,761 (Cost $265,190,760) NET OTHER ASSETS AND LIABILITIES -- 1.2% 3,357,878 -------------- NET ASSETS -- 100.0% $ 277,671,639 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $265,707,541 or 95.7% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (d) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (e) Rate shown reflects yield as of March 31, 2022. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- Euro 64.4% British Pound Sterling 21.6 Danish Krone 5.8 Swiss Franc 5.6 Swedish Krona 2.6 United States Dollar 0.0* ------ Total 100.0% ====== * Amount is less than 0.1%. See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST STOXX(R) EUROPEAN SELECT DIVIDEND INDEX FUND (FDD) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: France........................................ $ 62,818,326 $ 8,529,180 $ 54,289,146 $ -- Other Country Categories*..................... 211,418,395 -- 211,418,395 -- Money Market Funds.............................. 77,040 77,040 -- -- --------------- --------------- --------------- --------------- Total Investments............................... $ 274,313,761 $ 8,606,220 $ 265,707,541 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 98.7% AUSTRALIA -- 3.7% 8,413 Abacus Property Group (b) $ 20,728 5,738 Arena REIT (b) 20,997 196,196 BGP Holdings PLC (b) (c) (d) (e) (f) 0 8,721 BWP Trust (b) 26,158 9,376 Centuria Industrial REIT (b) 26,811 8,254 Centuria Office REIT (b) 13,536 11,748 Charter Hall Long Wale REIT (b) 46,600 8,688 Charter Hall Retail REIT (b) 27,242 5,888 Charter Hall Social Infrastructure REIT (b) 17,233 25,412 Cromwell Property Group (b) 15,724 19,294 Dexus (b) 157,491 3,810 Dexus Industria REIT (b) 9,646 34,363 GPT Group (The) (b) 132,549 4,984 Growthpoint Properties Australia Ltd. (b) 16,263 2,459 Home Consortium Ltd. (b) 12,665 23,691 HomeCo Daily Needs REIT (g) 25,440 3,408 Hotel Property Investments (b) 9,802 6,570 Ingenia Communities Group (b) 24,803 8,824 Irongate Group (b) 12,588 1,684 Lifestyle Communities Ltd. (b) 21,298 70,557 Mirvac Group (b) 130,831 20,440 National Storage REIT (b) 41,124 93,025 Scentre Group (b) 211,507 19,888 Shopping Centres Australasia Property Group (b) 43,265 42,785 Stockland (b) 135,586 67,576 Vicinity Centres (b) 93,772 12,942 Waypoint REIT Ltd. (b) 25,760 -------------- 1,319,419 -------------- AUSTRIA -- 0.1% 744 CA Immobilien Anlagen AG (b) 23,051 -------------- BELGIUM -- 1.1% 651 Aedifica S.A. (b) 81,867 92 Ascencio 5,242 385 Befimmo S.A. (b) 20,138 568 Cofinimmo S.A. (b) 82,721 423 Intervest Offices & Warehouses N.V. 12,798 219 Montea N.V. (b) 28,548 74 Nextensa S.A. 5,771 188 Retail Estates N.V. (b) 15,330 2,523 Warehouses De Pauw C.V.A. (b) 108,858 397 Xior Student Housing N.V. (b) (g) 22,175 -------------- 383,448 -------------- BERMUDA -- 0.3% 20,817 Hongkong Land Holdings Ltd. (b) 101,710 -------------- CANADA -- 3.0% 2,252 Allied Properties Real Estate Investment Trust 83,999 1,641 Artis Real Estate Investment Trust 17,156 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CANADA (CONTINUED) 678 Boardwalk Real Estate Investment Trust $ 31,884 3,102 Canadian Apartment Properties REIT 133,122 4,139 Chartwell Retirement Residences 41,054 4,576 Choice Properties Real Estate Investment Trust 56,699 1,836 Crombie Real Estate Investment Trust 26,949 3,988 Dream Industrial Real Estate Investment Trust 51,487 633 Dream Office Real Estate Investment Trust 14,112 3,879 First Capital Real Estate Investment Trust 55,696 1,103 Granite Real Estate Investment Trust 85,035 5,043 H&R Real Estate Investment Trust 52,643 2,335 InterRent Real Estate Investment Trust 29,866 2,026 Killam Apartment Real Estate Investment Trust 34,713 3,453 NorthWest Healthcare Properties Real Estate Investment Trust 38,034 1,727 Primaris Real Estate Investment Trust 21,398 5,610 RioCan Real Estate Investment Trust 113,219 2,320 SmartCentres Real Estate Investment Trust 60,925 2,902 Summit Industrial Income REIT 51,115 4,331 Tricon Residential, Inc. 68,837 -------------- 1,067,943 -------------- CAYMAN ISLANDS -- 1.1% 35,160 CK Asset Holdings Ltd. (b) 240,334 29,227 Wharf Real Estate Investment Co., Ltd. (b) 144,447 -------------- 384,781 -------------- FINLAND -- 0.3% 1,299 Citycon OYJ (b) 9,833 3,495 Kojamo OYJ (b) 83,979 -------------- 93,812 -------------- FRANCE -- 0.9% 718 Carmila S.A. (b) 11,306 897 Covivio (b) 71,387 924 Gecina S.A. (b) 116,451 583 ICADE (b) 37,508 3,314 Klepierre S.A. (b) 88,233 1,119 Mercialys S.A. (b) 11,089 -------------- 335,974 -------------- GERMANY -- 2.5% 916 Deutsche EuroShop AG (b) 16,880 883 Deutsche Wohnen SE (b) 29,607 1,266 Hamborner REIT AG (b) 13,371 See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) GERMANY (CONTINUED) 1,307 LEG Immobilien SE (b) $ 148,839 2,262 TAG Immobilien AG (b) 51,221 13,931 Vonovia SE (b) 649,333 -------------- 909,251 -------------- GUERNSEY -- 0.2% 4,299 BMO Real Estate Investments Ltd. (b) 5,297 7,882 Regional REIT Ltd. (g) (h) 9,060 8,801 Schroder Real Estate Investment Trust Ltd. (b) 6,655 19,311 Sirius Real Estate Ltd. 31,811 7,114 Standard Life Investment Property Income Trust Ltd. (b) 7,992 -------------- 60,815 -------------- HONG KONG -- 3.1% 35,827 Champion REIT (b) 16,264 24,393 Fortune Real Estate Investment Trust (b) 21,919 36,716 Hang Lung Properties Ltd. (b) 74,004 23,314 Henderson Land Development Co., Ltd. (b) 96,777 10,861 Hysan Development Co., Ltd. 31,751 37,770 Link REIT 323,055 25,101 New World Development Co., Ltd. (b) 101,838 20,873 Prosperity REIT (b) 7,593 64,571 Sino Land Co., Ltd. (b) 83,259 25,312 Sun Hung Kai Properties Ltd. (b) 301,149 19,196 Sunlight Real Estate Investment Trust (b) 9,434 18,862 Swire Properties Ltd. (b) 46,612 -------------- 1,113,655 -------------- IRELAND -- 0.1% 11,872 Hibernia REIT PLC 21,224 7,933 Irish Residential Properties REIT PLC (b) 12,751 -------------- 33,975 -------------- ISRAEL -- 0.2% 2,917 Amot Investments Ltd. (b) 21,855 656 Azrieli Group Ltd. (b) 57,633 -------------- 79,488 -------------- ITALY -- 0.0% 1,169 Immobiliare Grande Distribuzione SIIQ S.p.A. (b) (e) 5,617 -------------- JAPAN -- 9.0% 13 Activia Properties, Inc. (b) 45,321 23 Advance Residence Investment Corp. (b) 64,916 2,123 AEON Mall Co., Ltd. (b) 28,251 30 AEON REIT Investment Corp. (b) 37,110 12 Comforia Residential REIT, Inc. (b) 32,331 SHARES DESCRIPTION VALUE ------------------------------------------------------------- JAPAN (CONTINUED) 9 CRE Logistics REIT, Inc. (b) $ 15,302 38 Daiwa House REIT Investment Corp. (b) 102,448 5 Daiwa Office Investment Corp. (b) 31,040 36 Daiwa Securities Living Investments Corp. (b) 33,966 9 Frontier Real Estate Investment Corp. (b) 37,438 13 Fukuoka REIT Corp. (b) 17,922 17 Global One Real Estate Investment Corp. (b) 15,622 76 GLP J-REIT (b) 115,482 12 Hankyu Hanshin REIT, Inc. (b) 15,141 600 Heiwa Real Estate Co., Ltd. (b) 19,432 16 Heiwa Real Estate REIT, Inc. (b) 19,617 4 Hoshino Resorts REIT, Inc. (b) 22,397 7,467 Hulic Co., Ltd. (b) 66,990 23 Hulic REIT, Inc. (b) 31,422 21 Ichigo Office REIT Investment Corp. (b) 15,187 34 Industrial & Infrastructure Fund Investment Corp. (b) 51,512 87 Invincible Investment Corp. (b) 30,027 11 Itochu Advance Logistics Investment Corp. (b) 14,237 22 Japan Excellent, Inc. (b) 24,356 80 Japan Hotel REIT Investment Corp. (b) 40,786 15 Japan Logistics Fund, Inc. (b) 39,044 123 Japan Metropolitan Fund Invest (b) 103,788 16 Japan Prime Realty Investment Corp. (b) 52,375 23 Japan Real Estate Investment Corp. (b) 120,465 7 Kenedix Office Investment Corp. (b) 41,908 18 Kenedix Residential Next Investment Corp. (b) 31,471 10 Kenedix Retail REIT Corp. (b) 22,935 32 LaSalle Logiport REIT (b) 46,027 29 Mirai Corp. (b) 12,560 20,442 Mitsubishi Estate Co., Ltd. (b) 304,391 7 Mitsubishi Estate Logistics REIT Investment Corp. (b) 27,233 16,453 Mitsui Fudosan Co., Ltd. (b) 352,132 10 Mitsui Fudosan Logistics Park, Inc. (b) 47,156 28 Mori Hills REIT Investment Corp. (b) 34,686 18 Mori Trust Sogo REIT, Inc. (b) 21,104 8 Nippon Accommodations Fund, Inc. (b) 42,055 27 Nippon Building Fund, Inc. (b) 153,166 41 Nippon Prologis REIT, Inc. (b) 119,714 Page 42 See Notes to Financial Statements <PAGE> FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) JAPAN (CONTINUED) 8 NIPPON REIT Investment Corp. (b) $ 25,104 2,020 Nomura Real Estate Holdings, Inc. (b) 48,377 80 Nomura Real Estate Master Fund, Inc. (b) 105,753 24 NTT UD REIT Investment Corp. (b) 31,713 4 One REIT, Inc. (b) 9,834 47 Orix JREIT, Inc. (b) 63,738 8 Sankei Real Estate, Inc. (b) 7,345 74 Sekisui House REIT, Inc. (b) 48,957 12 SOSiLA Logistics REIT, Inc. (b) 15,817 29 Star Asia Investment Corp. (b) 14,761 4 Starts Proceed Investment Corp. (b) 7,810 7,079 Sumitomo Realty & Development Co., Ltd. (b) 195,914 10 Takara Leben Real Estate Investment Corp. (b) 10,105 3,550 Tokyo Tatemono Co., Ltd. (b) 53,198 16 Tokyu REIT, Inc. (b) 25,896 53 United Urban Investment Corp. (b) 61,085 -------------- 3,225,870 -------------- JERSEY -- 0.0% 1,419 Phoenix Spree Deutschland Ltd. (b) 7,097 -------------- LUXEMBOURG -- 0.6% 1,634 ADLER Group S.A. (b) (g) (h) 21,613 20,433 Aroundtown S.A. (b) 116,762 1,725 Grand City Properties S.A. (b) 34,460 450 Shurgard Self Storage S.A. (b) 27,871 -------------- 200,706 -------------- MULTI-NATIONAL -- 0.4% 1,840 Unibail-Rodamco- Westfield (b) (e) 137,830 -------------- NETHERLANDS -- 0.2% 905 Eurocommercial Properties N.V. (b) 24,810 318 NSI N.V. (b) 13,968 307 Vastned Retail N.V. (b) 9,214 722 Wereldhave N.V. (b) 14,072 -------------- 62,064 -------------- NEW ZEALAND -- 0.3% 14,910 Argosy Property Ltd. (b) 14,212 19,569 Goodman Property Trust (b) 31,956 28,141 Kiwi Property Group Ltd. (b) 21,407 23,830 Precinct Properties New Zealand Ltd. (b) 25,875 8,636 Stride Property Group (b) 11,881 7,647 Vital Healthcare Property Trust (b) 17,207 -------------- 122,538 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- NORWAY -- 0.0% 983 Entra ASA (b) (g) (h) $ 19,674 -------------- SINGAPORE -- 3.1% 9,900 AIMS APAC REIT (b) 10,126 22,800 ARA LOGOS Logistics Trust (b) 14,277 61,056 Ascendas Real Estate Investment Trust (b) 131,565 33,776 Ascott Residence Trust (b) 28,034 87,191 CapitaLand Integrated Commercial Trust (b) 144,244 45,634 Capitaland Investment Ltd. (b) (e) 133,711 14,267 CDL Hospitality Trusts (b) 13,516 8,420 City Developments Ltd. (b) 48,674 5,700 Cromwell European Real Estate Investment Trust (g) 14,377 47,800 ESR-REIT (b) 15,142 17,300 Far East Hospitality Trust (b) 8,268 19,273 Frasers Centrepoint Trust (b) 34,587 50,464 Frasers Logistics & Commercial Trust (b) (g) 54,125 22,794 Keppel DC REIT (b) 38,252 15,100 Keppel Pacific Oak US REIT (b) (g) 11,084 38,493 Keppel REIT (b) 34,536 15,800 Lendlease Global Commercial REIT (b) 9,008 28,476 Manulife US Real Estate Investment Trust (g) 19,221 39,266 Mapletree Commercial Trust (b) 54,631 33,182 Mapletree Industrial Trust (b) 65,691 57,377 Mapletree Logistics Trust 78,317 38,300 OUE Commercial Real Estate Investment Trust (b) 11,832 6,959 Parkway Life Real Estate Investment Trust (b) 24,091 11,400 Prime US REIT (b) (g) 8,591 16,800 SPH REIT (b) 11,999 25,300 Starhill Global REIT (b) 11,359 37,279 Suntec Real Estate Investment Trust (b) 47,936 8,815 UOL Group Ltd. (b) 45,642 -------------- 1,122,836 -------------- SPAIN -- 0.4% 6,153 Inmobiliaria Colonial Socimi S.A. (b) 56,091 1,062 Lar Espana Real Estate Socimi S.A. (b) 5,806 5,946 Merlin Properties Socimi S.A. (b) 69,516 -------------- 131,413 -------------- SWEDEN -- 2.3% 803 Atrium Ljungberg AB, Class B (b) 16,451 4,850 Castellum AB (b) 119,745 494 Catena AB (b) 29,763 777 Cibus Nordic Real Estate AB (b) 20,676 12,043 Corem Property Group AB, Class B (b) 31,257 See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) SWEDEN (CONTINUED) 1,585 Dios Fastigheter AB (b) $ 17,193 4,619 Fabege AB (b) 68,208 1,804 Fastighets AB Balder, Class B (b) (e) 118,776 1,922 Hufvudstaden AB, Class A (b) 27,281 1,104 K-fast Holding AB (b) (e) (g) 7,777 496 NP3 Fastigheter AB (b) 16,381 3,256 Nyfosa AB (b) 46,551 1,582 Pandox AB (b) (e) 23,824 966 Platzer Fastigheter Holding AB, Class B (b) 11,931 3,079 Sagax AB, Class B (b) 93,432 19,804 Samhallsbyggnadsbolaget i Norden AB (b) 88,400 2,990 Wallenstam AB, Class B (b) 43,412 2,376 Wihlborgs Fastigheter AB (b) 49,702 -------------- 830,760 -------------- SWITZERLAND -- 1.0% 260 Allreal Holding AG (b) 55,667 63 Hiag Immobilien Holding AG 7,091 20 Intershop Holding AG 13,831 116 Mobimo Holding AG (b) 37,006 214 Peach Property Group AG (b) 13,186 771 PSP Swiss Property AG (b) 101,257 1,346 Swiss Prime Site AG (b) 132,749 -------------- 360,787 -------------- UNITED KINGDOM -- 4.4% 7,016 Abrdn European Logistics Income PLC (b) (g) (h) 10,117 51,922 Assura PLC 45,630 3,027 Big Yellow Group PLC (b) 61,025 16,573 British Land (The) Co. PLC (b) 114,749 13,175 Capital & Counties Properties PLC (b) 30,064 10,989 Civitas Social Housing PLC (g) 12,617 2,796 CLS Holdings PLC (b) 7,329 7,292 Custodian REIT PLC 9,751 1,806 Derwent London PLC (b) 75,809 10,512 Empiric Student Property PLC 12,608 13,050 Grainger PLC (b) 49,770 4,541 Great Portland Estates PLC (b) 42,168 79,071 Hammerson PLC 34,298 1,807 Helical PLC (b) 9,692 10,071 Home REIT PLC 16,405 5,220 Impact Healthcare REIT PLC (b) (g) 8,386 12,772 Land Securities Group PLC (b) 131,038 16,974 LondonMetric Property PLC (b) 61,396 13,174 LXI REIT PLC (b) (g) 25,586 5,418 NewRiver REIT PLC 6,092 23,510 Primary Health Properties PLC (b) 45,679 9,253 PRS REIT (The) PLC (b) 13,054 3,674 Safestore Holdings PLC (b) 64,513 21,458 Segro PLC (b) 377,210 SHARES DESCRIPTION VALUE ------------------------------------------------------------- UNITED KINGDOM (CONTINUED) 4,986 Shaftesbury PLC (b) $ 40,234 11,113 Target Healthcare REIT PLC (b) 16,353 6,538 Triple Point Social Housing REIT PLC (b) (g) (h) 8,036 33,451 Tritax Big Box REIT PLC (b) 105,916 14,463 Tritax EuroBox PLC (b) (g) (h) 20,004 5,704 Unite Group (The) PLC (b) 86,401 8,258 Urban Logistics REIT PLC 20,666 2,392 Workspace Group PLC (b) 21,365 -------------- 1,583,961 -------------- UNITED STATES -- 60.4% 1,544 Acadia Realty Trust 33,459 1,251 Agree Realty Corp. 83,016 1,288 Alexander & Baldwin, Inc. 29,869 2,981 Alexandria Real Estate Equities, Inc. 599,926 888 American Assets Trust, Inc. 33,646 2,450 American Campus Communities, Inc. 137,127 5,268 American Homes 4 Rent, Class A 210,878 4,773 Americold Realty Trust 133,071 2,796 Apartment Income REIT Corp. 149,474 2,687 Apartment Investment and Management Co., Class A (e) 19,669 3,811 Apple Hospitality REIT, Inc. 68,484 1,185 Armada Hoffler Properties, Inc. 17,301 2,495 AvalonBay Communities, Inc. 619,683 2,794 Boston Properties, Inc. 359,867 3,017 Brandywine Realty Trust 42,660 5,297 Brixmor Property Group, Inc. 136,716 2,798 Broadstone Net Lease, Inc. 60,940 1,769 Camden Property Trust 294,008 1,716 CareTrust REIT, Inc. 33,119 254 Centerspace 24,923 425 Community Healthcare Trust, Inc. 17,939 2,008 Corporate Office Properties Trust 57,308 2,652 Cousins Properties, Inc. 106,849 3,900 CubeSmart 202,917 3,718 DiamondRock Hospitality Co. (e) 37,552 5,025 Digital Realty Trust, Inc. 712,545 8,626 DigitalBridge Group, Inc. (e) 62,107 4,219 Diversified Healthcare Trust 13,501 2,976 Douglas Emmett, Inc. 99,458 6,804 Duke Realty Corp. 395,040 1,539 Easterly Government Properties, Inc. 32,534 719 EastGroup Properties, Inc. 146,158 2,542 Empire State Realty Trust, Inc., Class A 24,962 1,324 EPR Properties 72,436 1,601 Equinix, Inc. 1,187,334 1,934 Equity Commonwealth (e) 54,558 3,166 Equity LifeStyle Properties, Inc. 242,136 6,597 Equity Residential 593,202 2,153 Essential Properties Realty Trust, Inc. 54,471 Page 44 See Notes to Financial Statements <PAGE> FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) UNITED STATES (CONTINUED) 1,160 Essex Property Trust, Inc. $ 400,757 2,347 Extra Space Storage, Inc. 482,543 1,396 Federal Realty Investment Trust 170,410 2,302 First Industrial Realty Trust, Inc. 142,517 1,374 Four Corners Property Trust, Inc. 37,153 4,170 Gaming and Leisure Properties, Inc. 195,698 724 Getty Realty Corp. 20,721 1,854 Global Net Lease, Inc. 29,163 2,623 Healthcare Realty Trust, Inc. 72,080 3,893 Healthcare Trust of America, Inc., Class A 122,007 9,648 Healthpeak Properties, Inc. 331,216 1,839 Highwoods Properties, Inc. 84,116 12,653 Host Hotels & Resorts, Inc. 245,848 2,652 Hudson Pacific Properties, Inc. 73,593 3,928 Independence Realty Trust, Inc. 103,856 1,155 Industrial Logistics Properties Trust 26,184 421 Innovative Industrial Properties, Inc. 86,473 1,203 InvenTrust Properties Corp. 37,028 10,682 Invitation Homes, Inc. 429,203 2,186 JBG SMITH Properties 63,875 2,112 Kennedy-Wilson Holdings, Inc. 51,512 2,077 Kilroy Realty Corp. 158,724 10,397 Kimco Realty Corp. 256,806 3,859 Kite Realty Group Trust 87,869 1,458 Life Storage, Inc. 204,747 692 LTC Properties, Inc. 26,621 4,969 LXP Industrial Trust 78,013 3,802 Macerich (The) Co. 59,463 10,575 Medical Properties Trust, Inc. 223,556 2,065 Mid-America Apartment Communities, Inc. 432,514 778 National Health Investors, Inc. 45,910 3,125 National Retail Properties, Inc. 140,438 1,444 National Storage Affiliates Trust 90,625 2,207 Necessity Retail REIT (The), Inc. 17,457 396 NexPoint Residential Trust, Inc. 35,763 851 Office Properties Income Trust 21,896 4,269 Omega Healthcare Investors, Inc. 133,022 1,012 Orion Office REIT, Inc. 14,168 3,319 Paramount Group, Inc. 36,210 4,201 Park Hotels & Resorts, Inc. 82,046 2,311 Pebblebrook Hotel Trust 56,573 3,920 Physicians Realty Trust 68,757 2,205 Piedmont Office Realty Trust, Inc., Class A 37,970 13,206 Prologis, Inc. 2,132,505 357 PS Business Parks, Inc. 60,005 2,699 Public Storage 1,053,366 10,128 Realty Income Corp. 701,870 3,022 Regency Centers Corp. 215,589 2,113 Retail Opportunity Investments Corp. 40,971 SHARES DESCRIPTION VALUE ------------------------------------------------------------- UNITED STATES (CONTINUED) 2,875 Rexford Industrial Realty, Inc. $ 214,446 2,941 RLJ Lodging Trust 41,409 1,489 RPT Realty 20,504 956 Ryman Hospitality Properties, Inc. (e) 88,688 4,060 Sabra Health Care REIT, Inc. 60,453 369 Safehold, Inc. 20,461 2,918 Service Properties Trust 25,766 5,839 Simon Property Group, Inc. 768,179 3,080 SITE Centers Corp. 51,467 1,211 SL Green Realty Corp. 98,309 2,278 Spirit Realty Capital, Inc. 104,834 3,185 STAG Industrial, Inc. 131,700 4,371 STORE Capital Corp. 127,764 1,844 Summit Hotel Properties, Inc. (e) 18,366 2,050 Sun Communities, Inc. 359,345 3,871 Sunstone Hotel Investors, Inc. (e) 45,600 1,819 Tanger Factory Outlet Centers, Inc. 31,269 1,311 Terreno Realty Corp. 97,080 5,665 UDR, Inc. 325,001 228 Universal Health Realty Income Trust 13,308 2,059 Urban Edge Properties 39,327 7,133 Ventas, Inc. 440,534 1,562 Veris Residential, Inc. (e) 27,163 11,258 VICI Properties, Inc. 320,403 3,140 Vornado Realty Trust 142,305 1,505 Washington Real Estate Investment Trust 38,378 7,796 Welltower, Inc. 749,507 3,382 WP Carey, Inc. 273,401 2,026 Xenia Hotels & Resorts, Inc. (e) 39,082 -------------- 21,634,299 -------------- TOTAL COMMON STOCKS -- 98.7% 35,352,774 (Cost $31,402,176) -------------- INVESTMENT COMPANIES (a) -- 0.2% GUERNSEY -- 0.2% 8,815 BMO Commercial Property Trust Ltd. (b) 13,333 9,808 Picton Property Income Ltd. (b) 12,632 13,191 UK Commercial Property REIT Ltd. (b) 15,237 -------------- TOTAL INVESTMENT COMPANIES -- 0.2% 41,202 (Cost $41,761) -------------- RIGHTS (a) -- 0.0% SINGAPORE -- 0.0% 4,582 Lendlease Global Commercial REIT, expiring 4/12/22 (b) (d) (e) 186 (Cost $0) -------------- See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.9% 332,788 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.19% (i) $ 332,788 (Cost $332,788) -------------- TOTAL INVESTMENTS -- 99.8% 35,726,950 (Cost $31,776,725) NET OTHER ASSETS AND LIABILITIES -- 0.2% 86,265 -------------- NET ASSETS -- 100.0% $ 35,813,215 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $11,934,864 or 33.3% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) This security's value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). (d) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisors, L.P., the Fund's Advisor. (e) Non-income producing security. (f) This is a restricted security which cannot be traded as a result of the in-specie distribution. It was acquired on August 6, 2009 at a cost of $0 and has a carrying value per share of $0. (g) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the "1933 Act"). (h) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (i) Rate shown reflects yield as of March 31, 2022. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 61.9% Japanese Yen 9.0 Euro 6.5 British Pound Sterling 4.7 Hong Kong Dollar 4.2 Australian Dollar 3.7 Singapore Dollar 3.0 Canadian Dollar 3.0 Swedish Krona 2.3 Swiss Franc 1.0 New Zealand Dollar 0.4 Israeli Shekel 0.2 Norwegian Krone 0.1 ------ Total 100.0% ====== Page 46 See Notes to Financial Statements <PAGE> FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Australia..................................... $ 1,319,419 $ 25,440 $ 1,293,979 $ --** Belgium....................................... 383,448 23,811 359,637 -- Canada........................................ 1,067,943 1,067,943 -- -- Guernsey...................................... 60,815 40,871 19,944 -- Hong Kong..................................... 1,113,655 354,806 758,849 -- Ireland....................................... 33,975 21,224 12,751 -- Singapore..................................... 1,122,836 111,915 1,010,921 -- Switzerland................................... 360,787 20,922 339,865 -- United Kingdom................................ 1,583,961 158,067 1,425,894 -- United States................................. 21,634,299 21,634,299 -- -- Other Country Categories*..................... 6,671,636 -- 6,671,636 -- Investment Companies*........................... 41,202 -- 41,202 -- Rights*......................................... 186 -- 186 -- Money Market Funds.............................. 332,788 332,788 -- -- --------------- --------------- --------------- --------------- Total Investments............................. $ 35,726,950 $ 23,792,086 $ 11,934,864 $ --** =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. ** Investment is valued at $0. Level 3 Common Stocks are fair valued by the Advisor's Pricing Committee and are footnoted in the Portfolio of Investments. Level 3 Common Stocks values are based on unobservable and non-quantitative inputs. See Notes to Financial Statements Page 47 <PAGE> FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND (FGD) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 98.7% AUSTRALIA -- 5.9% 1,148,450 Fortescue Metals Group Ltd. (b) $ 17,653,829 1,668,617 Harvey Norman Holdings Ltd. (b) 6,649,486 145,627 JB Hi-Fi Ltd. (b) 5,886,281 976,874 Super Retail Group Ltd. (b) 7,504,190 -------------- 37,693,786 -------------- BELGIUM -- 1.0% 129,698 Ageas S.A./N.V. (b) 6,556,696 -------------- BERMUDA -- 1.6% 761,821 CK Infrastructure Holdings Ltd. (b) 5,092,650 157,268 Lazard Ltd., Class A 5,425,746 -------------- 10,518,396 -------------- CANADA -- 9.5% 58,254 Bank of Nova Scotia (The) 4,175,146 98,972 BCE, Inc. 5,486,349 31,228 Canadian Imperial Bank of Commerce 3,790,624 172,940 Canadian Utilities Ltd., Class A 5,301,013 175,591 Great-West Lifeco, Inc. 5,174,397 137,273 IGM Financial, Inc. 4,850,097 244,696 Labrador Iron Ore Royalty Corp. 8,222,756 121,444 Laurentian Bank of Canada 4,037,286 253,091 Manulife Financial Corp. 5,397,277 163,558 Power Corp. of Canada 5,063,148 91,821 TC Energy Corp. 5,178,818 151,535 TELUS Corp. 3,958,831 -------------- 60,635,742 -------------- CAYMAN ISLANDS -- 0.8% 652,181 CK Hutchison Holdings Ltd. (b) 4,769,015 -------------- DENMARK -- 1.9% 4,151 AP Moller - Maersk A/S, Class A (b) 12,255,390 -------------- FINLAND -- 0.9% 316,684 Fortum OYJ (b) 5,788,084 -------------- FRANCE -- 1.9% 193,041 Nexity S.A. (b) 6,796,085 109,679 TotalEnergies SE (b) 5,549,738 -------------- 12,345,823 -------------- GERMANY -- 2.7% 23,073 Allianz SE (b) 5,510,050 91,698 BASF SE (b) 5,232,368 253,294 Freenet AG (b) 6,778,437 -------------- 17,520,855 -------------- HONG KONG -- 5.8% 1,252,116 BOC Hong Kong Holdings Ltd. (b) 4,711,444 1,334,419 Henderson Land Development Co., Ltd. (b) 5,539,206 2,218,105 Hysan Development Co., Ltd. 6,484,445 1,673,424 New World Development Co., Ltd. (b) 6,789,332 15,016,075 PCCW Ltd. (b) 8,439,298 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HONG KONG (CONTINUED) 828,914 Swire Pacific Ltd., Class A (b) $ 5,040,727 -------------- 37,004,452 -------------- ISRAEL -- 0.8% 276,791 Plus500 Ltd. (b) 5,107,278 -------------- ITALY -- 5.1% 2,842,356 A2A S.p.A. (b) 4,868,332 1,246,842 Anima Holding S.p.A. (b) (c) (d) 5,562,849 189,054 Azimut Holding S.p.A. (b) 4,382,972 311,776 Eni S.p.A. (b) 4,546,724 428,565 Poste Italiane S.p.A. (b) (c) (d) 4,860,213 2,824,063 UnipolSai Assicurazioni S.p.A. (b) 8,348,742 -------------- 32,569,832 -------------- JAPAN -- 8.1% 264,254 Aozora Bank Ltd. (b) 5,567,626 1,051,100 Daiwa Securities Group, Inc. (b) 5,945,767 392,000 Haseko Corp. (b) 4,502,440 393,770 Japan Tobacco, Inc. (b) 6,724,640 359,100 Mitsui OSK Lines Ltd. (b) 9,975,361 130,600 MS&AD Insurance Group Holdings, Inc. (b) 4,240,313 942,800 Resona Holdings, Inc. (b) 4,015,706 347,600 Sumitomo Corp. (b) 6,019,966 154,400 Sumitomo Mitsui Financial Group, Inc. (b) 4,877,246 -------------- 51,869,065 -------------- JERSEY -- 1.5% 3,740,954 Centamin PLC (b) 4,461,168 137,218 Janus Henderson Group PLC 4,805,374 -------------- 9,266,542 -------------- LUXEMBOURG -- 0.5% 78,423 APERAM S.A. (b) 3,466,072 -------------- NETHERLANDS -- 3.8% 143,016 ASR Nederland N.V. (b) 6,676,870 45,701 LyondellBasell Industries N.V., Class A 4,698,977 120,724 NN Group N.V. (b) 6,118,177 414,453 SBM Offshore N.V. (b) 6,570,186 -------------- 24,064,210 -------------- NEW ZEALAND -- 1.0% 1,963,185 Spark New Zealand Ltd. (b) 6,212,738 -------------- SOUTH KOREA -- 13.9% 1,159,870 BNK Financial Group, Inc. (b) 7,550,551 120,989 DB Insurance Co., Ltd. (b) 6,966,734 901,393 DGB Financial Group, Inc. (b) 6,889,386 171,900 Hana Financial Group, Inc. (b) 6,837,008 80,811 Hyundai Motor Co. (Preference Shares) (b) 5,743,135 842,754 Industrial Bank of Korea (b) 7,489,065 110,743 KB Financial Group, Inc. (b) 5,549,765 89,280 KT&G Corp. (b) 5,939,804 644,489 NH Investment & Securities Co., Ltd. (b) 6,026,324 25,807 POSCO Holdings, Inc. (b) 6,190,421 Page 48 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND (FGD) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) SOUTH KOREA (CONTINUED) 41,636 Samsung Fire & Marine Insurance Co., Ltd. (b) $ 7,498,017 262,126 Samsung Securities Co., Ltd. (b) 9,001,459 557,726 Woori Financial Group, Inc. (b) 6,990,374 -------------- 88,672,043 -------------- SPAIN -- 8.1% 306,011 ACS Actividades de Construccion y Servicios S.A. (b) 8,249,933 424,416 Cia de Distribucion Integral Logista Holdings S.A. (b) 7,762,891 395,478 Enagas S.A. (b) 8,782,148 4,138,295 Mapfre S.A. (b) 8,655,737 174,745 Naturgy Energy Group S.A. (b) 5,235,296 274,243 Red Electrica Corp., S.A. (b) 5,630,522 1,547,417 Telefonica S.A. (b) 7,499,223 -------------- 51,815,750 -------------- SWEDEN -- 1.0% 1,549,741 Telia Co., AB (b) 6,214,016 -------------- SWITZERLAND -- 2.8% 37,354 Helvetia Holding AG (b) 4,876,635 74,276 Swiss Re AG (b) 7,070,626 11,366 Zurich Insurance Group AG (b) 5,613,667 -------------- 17,560,928 -------------- UNITED KINGDOM -- 11.7% 2,721,778 abrdn PLC (b) 7,621,221 345,225 Antofagasta PLC (b) 7,501,350 2,171,527 Ashmore Group PLC (b) 6,595,390 160,276 British American Tobacco PLC (b) 6,731,126 2,153,962 Direct Line Insurance Group PLC (b) 7,761,504 3,188,725 Jupiter Fund Management PLC (b) 8,625,065 1,818,080 Legal & General Group PLC (b) 6,445,787 916,644 Phoenix Group Holdings PLC (b) 7,344,030 126,024 Rio Tinto PLC (b) 10,075,156 1,591,439 Synthomer PLC (b) 6,359,014 -------------- 75,059,643 -------------- UNITED STATES -- 8.4% 133,091 Altria Group, Inc. 6,954,005 194,801 AT&T, Inc. 4,603,148 255,262 Camping World Holdings, Inc., Class A 7,134,573 170,567 H&R Block, Inc. 4,441,565 878,941 Lumen Technologies, Inc. 9,905,665 398,156 Northwest Bancshares, Inc. 5,379,087 38,891 Prudential Financial, Inc. 4,595,749 99,056 Universal Corp. 5,752,182 150,919 Unum Group 4,755,458 -------------- 53,521,432 -------------- TOTAL COMMON STOCKS -- 98.7% 630,487,788 (Cost $607,352,603) -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 1,315,239 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.19% (e) $ 1,315,239 (Cost $1,315,239) -------------- TOTAL INVESTMENTS -- 98.9% 631,803,027 (Cost $608,667,842) NET OTHER ASSETS AND LIABILITIES -- 1.1% 7,335,332 -------------- NET ASSETS -- 100.0% $ 639,138,359 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $494,916,072 or 77.4% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (d) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (e) Rate shown reflects yield as of March 31, 2022. See Notes to Financial Statements Page 49 <PAGE> FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND (FGD) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- Euro 23.7% South Korean Won 14.0 British Pound Sterling 13.4 United States Dollar 11.0 Canadian Dollar 9.6 Japanese Yen 8.2 Hong Kong Dollar 7.4 Australian Dollar 6.0 Swiss Franc 2.8 Danish Krone 1.9 Swedish Krona 1.0 New Zealand Dollar 1.0 ------ Total 100.0% ====== ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Bermuda....................................... $ 10,518,396 $ 5,425,746 $ 5,092,650 $ -- Canada........................................ 60,635,742 60,635,742 -- -- Hong Kong..................................... 37,004,452 6,484,445 30,520,007 -- Jersey........................................ 9,266,542 4,805,374 4,461,168 -- Netherlands................................... 24,064,210 4,698,977 19,365,233 -- United States................................. 53,521,432 53,521,432 -- -- Other Country Categories*..................... 435,477,014 -- 435,477,014 -- Money Market Funds.............................. 1,315,239 1,315,239 -- -- --------------- --------------- --------------- --------------- Total Investments............................... $ 631,803,027 $ 136,886,955 $ 494,916,072 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Page 50 See Notes to Financial Statements <PAGE> FIRST TRUST GLOBAL WIND ENERGY ETF (FAN) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.7% BERMUDA -- 0.7% 23,518,460 Concord New Energy Group Ltd. (b) $ 2,175,895 -------------- CANADA -- 15.6% 322,649 Boralex, Inc., Class A 10,457,735 679,857 Innergex Renewable Energy, Inc. (c) 10,811,148 724,106 Northland Power, Inc. 24,072,188 394,852 TransAlta Renewables, Inc. 5,836,792 -------------- 51,177,863 -------------- CAYMAN ISLANDS -- 0.3% 1,572,608 China High Speed Transmission Equipment Group Co., Ltd. (b) (d) 948,627 -------------- CHINA -- 9.8% 7,678,266 China Datang Corp. Renewable Power Co., Ltd., Class H (b) 3,152,065 10,881,192 China Longyuan Power Group Corp., Ltd., Class H (b) 24,458,148 2,263,703 China Suntien Green Energy Corp., Ltd., Class H (b) 1,266,752 2,346,461 Xinjiang Goldwind Science & Technology Co., Ltd., Class H (b) 3,514,071 -------------- 32,391,036 -------------- DENMARK -- 15.0% 164,028 Cadeler A/S (b) (d) 625,679 202,011 Orsted A/S (b) (e) (f) 25,286,021 799,870 Vestas Wind Systems A/S (b) 23,464,043 -------------- 49,375,743 -------------- FRANCE -- 2.5% 409,801 Engie S.A. (b) 5,387,683 67,328 Neoen S.A. (b) (d) (e) (f) 2,860,276 -------------- 8,247,959 -------------- GERMANY -- 7.0% 24,556 Energiekontor AG (b) 2,362,128 361,070 Nordex SE (b) (c) (d) 6,252,777 135,934 PNE AG (b) 1,572,746 140,927 RWE AG (b) 6,136,350 75,303 SGL Carbon SE (b) (d) 467,753 272,844 Siemens Energy AG (b) 6,207,435 -------------- 22,999,189 -------------- GREECE -- 1.1% 192,847 Terna Energy S.A. (b) 3,533,281 -------------- ITALY -- 5.1% 886,050 Enel S.p.A. (b) 5,915,971 431,177 Falck Renewables S.p.A. 4,207,070 198,071 Prysmian S.p.A. (b) 6,721,814 -------------- 16,844,855 -------------- JAPAN -- 1.8% 1,146,610 Toray Industries, Inc. (b) 5,961,875 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- PORTUGAL -- 2.0% 1,339,836 EDP - Energias de Portugal S.A. (b) $ 6,594,559 -------------- SOUTH KOREA -- 1.9% 18,782 CS Bearing Co., Ltd. (b) (d) 296,629 96,715 CS Wind Corp. (b) 5,012,857 38,231 Dongkuk Structures & Construction Co., Ltd. (b) 185,813 393,411 Unison Co., Ltd. (b) (d) 920,462 -------------- 6,415,761 -------------- SPAIN -- 15.3% 33,031 Acciona S.A. (b) (c) 6,313,423 823,479 EDP Renovaveis S.A. (b) 21,172,366 297,333 Endesa S.A. (b) 6,482,975 574,366 Iberdrola S.A. (b) 6,277,843 564,114 Siemens Gamesa Renewable Energy S.A. (b) (d) 9,894,185 -------------- 50,140,792 -------------- SWEDEN -- 2.0% 80,386 Eolus Vind AB, Class B (b) (c) 824,772 352,585 SKF AB, Class B (b) (c) 5,749,238 -------------- 6,574,010 -------------- SWITZERLAND -- 3.6% 193,427 ABB Ltd. (b) 6,274,911 26,847 BKW AG (b) 3,362,649 1,289 Gurit Holding AG (b) 2,064,784 -------------- 11,702,344 -------------- UNITED KINGDOM -- 3.1% 428,235 ReNew Energy Global PLC, Class A (c) (d) 3,520,092 287,161 SSE PLC (b) 6,561,335 -------------- 10,081,427 -------------- UNITED STATES -- 12.9% 112,455 Alliant Energy Corp. 7,026,188 30,844 American Superconductor Corp. (d) 234,723 54,949 Arcosa, Inc. 3,145,830 88,734 Clearway Energy, Inc., Class C 3,239,678 65,406 Duke Energy Corp. 7,303,234 68,761 General Electric Co. 6,291,632 96,649 Hexcel Corp. 5,747,716 64,194 Infrastructure and Energy Alternatives, Inc. (d) 760,699 83,907 NextEra Energy, Inc. 7,107,762 118,275 TPI Composites, Inc. (d) 1,662,947 -------------- 42,520,409 -------------- TOTAL COMMON STOCKS -- 99.7% 327,685,625 (Cost $323,208,734) -------------- See Notes to Financial Statements Page 51 <PAGE> FIRST TRUST GLOBAL WIND ENERGY ETF (FAN) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 6.6% $ 667,471 Bank of America Corp., 0.26% (g), dated 03/31/22, due 04/01/22, with a maturity value of $667,476. Collateralized by U.S. Treasury Securities, interest rate of 0.00%, due 11/15/42 to 05/15/50. The value of the collateral including accrued interest is $680,820. (h) $ 667,471 10,434,895 Citigroup, Inc., 0.30% (g), dated 03/31/22, due 04/01/22, with a maturity value of $10,434,982. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 7.13%, due 04/07/22 to 02/15/50. The value of the collateral including accrued interest is $10,643,593. (h) 10,434,895 10,434,895 JPMorgan Chase & Co., 0.28% (g), dated 03/31/22, due 04/01/22, with a maturity value of $10,434,976. Collateralized by U.S. Treasury Securities, interest rates of 1.88% to 2.88%, due 08/31/24 to 08/15/49. The value of the collateral including accrued interest is $10,643,593. (h) 10,434,895 -------------- TOTAL REPURCHASE AGREEMENTS -- 6.6% 21,537,261 (Cost $21,537,261) -------------- TOTAL INVESTMENTS -- 106.3% 349,222,886 (Cost $344,745,995) NET OTHER ASSETS AND LIABILITIES -- (6.3)% (20,648,391) -------------- NET ASSETS -- 100.0% $ 328,574,495 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $226,260,191 or 68.9% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) All or a portion of this security is on loan (see Note 2E - 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 $20,428,434 and the total value of the collateral held by the Fund is $21,537,261. (d) Non-income producing security. (e) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (f) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (g) Rate shown reflects yield as of March 31, 2022. (h) This security serves as collateral for securities on loan. Page 52 See Notes to Financial Statements <PAGE> FIRST TRUST GLOBAL WIND ENERGY ETF (FAN) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 20,428,434 Non-cash Collateral(2) (20,428,434) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 21,537,261 Non-cash Collateral(4) (21,537,261) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- Euro 31.0% United States Dollar 19.3 Canadian Dollar 14.7 Danish Krone 14.0 Hong Kong Dollar 10.2 Swiss Franc 3.3 Swedish Krona 1.9 British Pound Sterling 1.9 South Korean Won 1.8 Japanese Yen 1.7 Norwegian Krone 0.2 ------ Total 100.0% ====== See Notes to Financial Statements Page 53 <PAGE> FIRST TRUST GLOBAL WIND ENERGY ETF (FAN) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Canada........................................ $ 51,177,863 $ 51,177,863 $ -- $ -- Italy......................................... 16,844,855 4,207,070 12,637,785 -- United Kingdom................................ 10,081,427 3,520,092 6,561,335 -- United States................................. 42,520,409 42,520,409 -- -- Other Country Categories*..................... 207,061,071 -- 207,061,071 -- Repurchase Agreements........................... 21,537,261 -- 21,537,261 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 349,222,886 $ 101,425,434 $ 247,797,452 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Page 54 See Notes to Financial Statements <PAGE> FIRST TRUST GLOBAL ENGINEERING AND CONSTRUCTION ETF (FLM) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.3% AUSTRALIA -- 3.3% 7,594 CIMIC Group Ltd. (b) (c) $ 124,596 50,652 Downer EDI Ltd. (b) 203,218 3,706 Monadelphous Group Ltd. (b) 30,297 -------------- 358,111 -------------- CANADA -- 4.9% 5,358 Aecon Group, Inc. 72,731 9,501 SNC-Lavalin Group, Inc. 228,757 4,586 Stantec, Inc. 230,043 -------------- 531,531 -------------- CAYMAN ISLANDS -- 1.9% 152,326 China State Construction International Holdings Ltd. (b) 201,996 -------------- CHINA -- 2.1% 402,901 China Railway Group Ltd., Class H (b) 224,404 -------------- FINLAND -- 0.1% 2,496 YIT OYJ (b) 9,431 -------------- FRANCE -- 9.9% 9,719 Bouygues S.A. (b) 339,235 3,407 Eiffage S.A. (b) 349,670 3,807 Vinci S.A. (b) 388,973 -------------- 1,077,878 -------------- GERMANY -- 1.4% 2,308 HOCHTIEF AG (b) 155,474 -------------- IRELAND -- 2.6% 2,902 Kingspan Group PLC (b) 283,663 -------------- ITALY -- 0.5% 33,117 Webuild S.p.A. (b) (c) 58,718 -------------- JAPAN -- 27.1% 18,800 Chiyoda Corp. (b) (d) 71,922 11,100 COMSYS Holdings Corp. (b) 241,714 9,300 EXEO Group, Inc. (b) 171,508 17,200 INFRONEER Holdings, Inc. (b) 146,797 25,700 JGC Holdings Corp. (b) 307,181 25,200 Kajima Corp. (b) 306,601 2,600 Kandenko Co., Ltd. (b) 17,738 9,400 Kinden Corp. (b) 121,150 3,470 Kumagai Gumi Co., Ltd. (b) 76,808 6,220 Nishimatsu Construction Co., Ltd. (b) 186,754 36,100 Obayashi Corp. (b) 264,964 1,300 Okumura Corp. (b) 31,554 25,900 Penta-Ocean Construction Co., Ltd. (b) 129,208 2,800 Raito Kogyo Co., Ltd. (b) 44,705 40,100 Shimizu Corp. (b) 240,646 3,900 SHO-BOND Holdings Co., Ltd. (b) 169,682 11,000 Taisei Corp. (b) 317,560 17,900 Toda Corp. (b) 108,417 -------------- 2,954,909 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- NETHERLANDS -- 4.4% 4,751 Arcadis N.V. (b) $ 213,465 4,826 Boskalis Westminster (b) 172,811 31,323 Koninklijke BAM Groep N.V. (b) (d) 94,502 -------------- 480,778 -------------- NORWAY -- 0.4% 3,033 Veidekke ASA (b) 42,131 -------------- PHILIPPINES -- 0.6% 9,730 Manila Electric Co. (b) 70,142 -------------- SOUTH KOREA -- 3.9% 24,614 Daewoo Engineering & Construction Co., Ltd. (b) (d) 141,083 7,603 GS Engineering & Construction Corp. (b) 288,721 -------------- 429,804 -------------- SPAIN -- 4.2% 12,170 ACS Actividades de Construccion y Servicios S.A. (b) 328,098 52,504 Sacyr S.A. (b) 126,778 794 Tecnicas Reunidas S.A. (b) (d) 6,764 -------------- 461,640 -------------- SWEDEN -- 4.6% 5,120 NCC AB, Class B (b) 72,741 13,644 Peab AB, Class B (b) 137,227 12,914 Skanska AB, Class B (b) 288,915 -------------- 498,883 -------------- UNITED KINGDOM -- 1.2% 37,971 Balfour Beatty PLC (b) 127,952 -------------- UNITED STATES -- 26.2% 4,932 AECOM 378,827 2,777 Dycom Industries, Inc. (d) 264,537 2,383 EMCOR Group, Inc. 268,397 12,302 Fluor Corp. (d) 352,944 4,611 Granite Construction, Inc. 151,241 2,472 Jacobs Engineering Group, Inc. 340,666 6,884 KBR, Inc. 376,761 3,353 MasTec, Inc. (d) 292,046 3,042 Quanta Services, Inc. 400,358 2,403 Tutor Perini Corp. (d) 25,953 -------------- 2,851,730 -------------- TOTAL COMMON STOCKS -- 99.3% 10,819,175 (Cost $9,631,015) -------------- WARRANTS (a) -- 0.0% ITALY -- 0.0% 1,985 Webuild S.p.A., expiring 8/2/30 (b) (c) (d) (e) 1,056 (Cost $0) -------------- See Notes to Financial Statements Page 55 <PAGE> FIRST TRUST GLOBAL ENGINEERING AND CONSTRUCTION ETF (FLM) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 2.7% 290,996 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (f) (g) $ 290,996 (Cost $290,996) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 32,457 BNP Paribas S.A., 0.24% (f), dated 03/31/22, due 04/01/22, with a maturity value of $32,457. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $33,069. (g) 32,457 (Cost $32,457) -------------- TOTAL INVESTMENTS -- 102.3% 11,143,684 (Cost $9,954,468) NET OTHER ASSETS AND LIABILITIES -- (2.3)% (248,607) -------------- NET ASSETS -- 100.0% $ 10,895,077 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $7,436,970 or 68.3% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) All or a portion of this security is on loan (see Note 2E - 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 $126,607 and the total value of the collateral held by the Fund is $323,453. (d) Non-income producing security. (e) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisors, L.P., the Fund's Advisor. (f) Rate shown reflects yield as of March 31, 2022. (g) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 126,607 Non-cash Collateral(2) (126,607) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 32,457 Non-cash Collateral(4) (32,457) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 56 See Notes to Financial Statements <PAGE> FIRST TRUST GLOBAL ENGINEERING AND CONSTRUCTION ETF (FLM) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 28.5% Japanese Yen 26.5 Euro 22.7 Canadian Dollar 4.8 Swedish Krona 4.5 South Korean Won 3.9 Hong Kong Dollar 3.8 Australian Dollar 3.2 British Pound Sterling 1.1 Philippine Peso 0.6 Norwegian Krone 0.4 ------ Total 100.0% ====== ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Canada........................................ $ 531,531 $ 531,531 $ -- $ -- United States................................. 2,851,730 2,851,730 -- -- Other Country Categories*..................... 7,435,914 -- 7,435,914 -- Warrants*....................................... 1,056 -- 1,056 -- Money Market Funds.............................. 290,996 290,996 -- -- Repurchase Agreements........................... 32,457 -- 32,457 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 11,143,684 $ 3,674,257 $ 7,469,427 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. See Notes to Financial Statements Page 57 <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) SMART GRID INFRASTRUCTURE INDEX FUND (GRID) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.7% BELGIUM -- 2.3% 108,755 Elia Group S.A./N.V. (b) $ 16,592,945 -------------- CANADA -- 0.3% 38,723 Fortis, Inc. 1,915,165 4,035 Stella-Jones, Inc. 121,261 -------------- 2,036,426 -------------- CAYMAN ISLANDS -- 0.1% 1,512,657 Wasion Holdings Ltd. (b) 540,410 -------------- CHILE -- 0.1% 177,107 Enel Americas S.A., ADR (c) 1,057,329 -------------- CHINA -- 0.3% 71,585 BYD Co., Ltd., Class H (b) 1,991,158 -------------- DENMARK -- 0.9% 138,938 NKT A/S (b) (d) 6,269,688 -------------- FRANCE -- 8.6% 150,927 Engie S.A. (b) 1,984,248 2,069 Nexans S.A. (b) 193,619 359,052 Schneider Electric SE (b) 60,281,690 11,142 SPIE S.A. (b) 263,536 -------------- 62,723,093 -------------- GERMANY -- 2.2% 172,311 E. ON SE (b) 2,001,946 99,038 Infineon Technologies AG (b) 3,350,477 691 PSI Software AG 29,659 60,996 Siemens AG (b) 8,445,999 61,700 SMA Solar Technology AG (b) (c) 2,560,807 -------------- 16,388,888 -------------- IRELAND -- 17.8% 365,361 Eaton Corp. PLC 55,447,186 867,788 Johnson Controls International PLC 56,900,859 493,958 nVent Electric PLC 17,179,859 -------------- 129,527,904 -------------- ITALY -- 8.4% 547,174 Enel S.p.A. (b) 3,653,366 823,542 Prysmian S.p.A. (b) 27,948,039 3,417,892 Terna Rete Elettrica Nazionale S.p.A. (b) 29,350,556 -------------- 60,951,961 -------------- JAPAN -- 1.9% 5,935 GS Yuasa Corp. (b) 112,760 78,924 Hitachi Ltd. (b) 3,949,689 130,999 Meidensha Corp. (b) 2,709,438 22,253 NEC Corp. (b) 934,864 20,425 NGK Insulators Ltd. (b) 291,364 170,790 Nissin Electric Co., Ltd. (b) 2,050,002 127,426 Osaki Electric Co., Ltd. (b) 486,574 200,070 Panasonic Corp. (b) 1,943,096 34,200 Takaoka Toko Co., Ltd. (b) 411,566 28,986 Toshiba Corp. (b) 1,101,279 -------------- 13,990,632 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- JERSEY -- 7.1% 435,503 Aptiv PLC (d) $ 52,134,064 -------------- NETHERLANDS -- 1.5% 70,316 Alfen Beheer BV (b) (d) (e) (f) 7,129,002 18,840 NXP Semiconductors N.V. 3,486,907 5,335 STMicroelectronics N.V. 230,579 -------------- 10,846,488 -------------- PORTUGAL -- 0.5% 1,143,194 REN - Redes Energeticas Nacionais SGPS S.A. (b) 3,599,786 -------------- SOUTH KOREA -- 4.2% 15,676 Hyosung Heavy Industries Corp. (b) (d) 784,408 61,842 Samsung SDI Co., Ltd. (b) 30,097,867 -------------- 30,882,275 -------------- SPAIN -- 3.7% 1,311,947 Red Electrica Corp., S.A. (b) (c) 26,935,770 -------------- SWITZERLAND -- 8.0% 1,660,291 ABB Ltd. (b) 53,861,033 69,160 Landis+Gyr Group AG (b) 4,374,394 -------------- 58,235,427 -------------- TAIWAN -- 0.4% 39,826 Advantech Co., Ltd. (b) 510,315 1,339,190 Chung-Hsin Electric & Machinery Manufacturing Corp. (b) 2,543,423 -------------- 3,053,738 -------------- UNITED KINGDOM -- 0.8% 261,560 National Grid PLC (b) 4,019,699 79,094 SSE PLC (b) 1,807,217 -------------- 5,826,916 -------------- UNITED STATES -- 30.6% 104,733 Advanced Energy Industries, Inc. 9,015,417 44,083 AES (The) Corp. 1,134,256 74,521 American Superconductor Corp. (d) 567,105 42,674 Analog Devices, Inc. 7,048,891 3,349 Arcosa, Inc. 191,730 1,510 AZZ, Inc. 72,842 3,008 Belden, Inc. 166,643 252,696 Cisco Systems, Inc. 14,090,329 2,055 Digi International, Inc. (d) 44,224 48,438 Emerson Electric Co. 4,749,346 3,027 EnerSys 225,723 169,081 Enphase Energy, Inc. (d) 34,117,164 1,590 ESCO Technologies, Inc. 111,173 92,771 Fluence Energy, Inc. (c) (d) 1,216,228 4,941 Generac Holdings, Inc. (d) 1,468,762 75,302 General Electric Co. 6,890,133 55,926 Honeywell International, Inc. 10,882,081 3,816 Hubbell, Inc. 701,266 73,335 International Business Machines Corp. 9,535,017 114,952 Itron, Inc. (d) 6,055,671 1,711 Littelfuse, Inc. 426,741 Page 58 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) SMART GRID INFRASTRUCTURE INDEX FUND (GRID) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) UNITED STATES (CONTINUED) 4,363 MasTec, Inc. (d) $ 380,017 42,756 MYR Group, Inc. (d) 4,020,774 57,793 NVIDIA Corp. 15,769,398 126,303 Oracle Corp. 10,449,047 9,821 Preformed Line Products Co. 622,848 258,727 Quanta Services, Inc. 34,051,060 88,240 SolarEdge Technologies, Inc. (d) 28,445,929 16,191 Tesla, Inc. (d) 17,447,422 19,256 Trimble, Inc. (d) 1,389,128 1,510 Valmont Industries, Inc. 360,286 3,432 WESCO International, Inc. (d) 446,640 34,738 Willdan Group, Inc. (d) 1,066,109 -------------- 223,159,400 -------------- TOTAL COMMON STOCKS -- 99.7% 726,744,298 (Cost $701,091,289) -------------- MONEY MARKET FUNDS -- 3.5% 25,802,764 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (g) (h) 25,802,764 (Cost $25,802,764) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 2,878,003 BNP Paribas S.A., 0.24% (g), dated 03/31/22, due 04/01/22, with a maturity value of $2,878,022. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $2,932,252. (h) 2,878,003 (Cost $2,878,003) -------------- TOTAL INVESTMENTS -- 103.6% 755,425,065 (Cost $729,772,056) NET OTHER ASSETS AND LIABILITIES -- (3.6)% (26,507,002) -------------- NET ASSETS -- 100.0% $ 728,918,063 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $315,082,030 or 43.2% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) All or a portion of this security is on loan (see Note 2E - 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 $27,381,518 and the total value of the collateral held by the Fund is $28,680,767. (d) Non-income producing security. (e) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (f) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (g) Rate shown reflects yield as of March 31, 2022. (h) This security serves as collateral for securities on loan. ADR - American Depositary Receipt See Notes to Financial Statements Page 59 <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) SMART GRID INFRASTRUCTURE INDEX FUND (GRID) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 27,381,518 Non-cash Collateral(2) (27,381,518) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 2,878,003 Non-cash Collateral(4) (2,878,003) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 58.0% Euro 25.7 Swiss Franc 7.7 South Korean Won 4.1 Japanese Yen 1.9 Danish Krone 0.8 British Pound Sterling 0.8 New Taiwan Dollar 0.4 Hong Kong Dollar 0.3 Canadian Dollar 0.3 ------ Total 100.0% ====== Page 60 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) SMART GRID INFRASTRUCTURE INDEX FUND (GRID) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Canada........................................ $ 2,036,426 $ 2,036,426 $ -- $ -- Chile......................................... 1,057,329 1,057,329 -- -- Germany....................................... 16,388,888 29,659 16,359,229 -- Ireland....................................... 129,527,904 129,527,904 -- -- Jersey........................................ 52,134,064 52,134,064 -- -- Netherlands................................... 10,846,488 3,717,486 7,129,002 -- United States................................. 223,159,400 223,159,400 -- -- Other Country Categories*..................... 291,593,799 -- 291,593,799 -- Money Market Funds.............................. 25,802,764 25,802,764 -- -- Repurchase Agreements........................... 2,878,003 -- 2,878,003 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 755,425,065 $ 437,465,032 $ 317,960,033 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. See Notes to Financial Statements Page 61 <PAGE> FIRST TRUST INDXX GLOBAL NATURAL RESOURCES INCOME ETF (FTRI) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.3% AUSTRALIA -- 17.5% 300,855 Beach Energy Ltd. (b) $ 351,079 137,538 BHP Group Ltd., ADR (c) 10,624,810 348,910 Evolution Mining Ltd. (b) 1,151,583 303,928 Fortescue Metals Group Ltd. (b) 4,671,943 31,354 Mineral Resources Ltd. (b) 1,235,985 135,128 St Barbara Ltd. (b) 142,439 -------------- 18,177,839 -------------- BERMUDA -- 1.0% 153,947 China Water Affairs Group Ltd. (b) 167,762 763,261 Kunlun Energy Co., Ltd. (b) 659,637 295,813 Nine Dragons Paper Holdings Ltd. (b) 256,868 -------------- 1,084,267 -------------- BRAZIL -- 14.7% 36,555 Cia de Saneamento de Minas Gerais-COPASA 105,034 315,020 Petroleo Brasileiro S.A., ADR 4,662,296 18,748 SLC Agricola S.A. 196,929 513,120 Vale S.A., ADR 10,257,269 -------------- 15,221,528 -------------- CANADA -- 9.0% 90,302 Nutrien Ltd. 9,390,505 -------------- CAYMAN ISLANDS -- 0.1% 228,954 Lee & Man Paper Manufacturing Ltd. (b) 118,792 -------------- CHINA -- 3.1% 379,057 China Coal Energy Co., Ltd., Class H (b) 283,431 653,447 China Shenhua Energy Co., Ltd., Class H (b) 2,080,052 279,848 Yankuang Energy Group Co., Ltd., Class H (b) 827,424 -------------- 3,190,907 -------------- FRANCE -- 4.3% 6,394 Imerys S.A. (b) 274,330 130,230 Veolia Environnement S.A. (b) 4,175,650 -------------- 4,449,980 -------------- INDIA -- 1.5% 2,381 Bayer CropScience Ltd. (b) 155,830 404,275 Coal India Ltd. (b) 972,611 218,320 NMDC Ltd. (b) 464,904 -------------- 1,593,345 -------------- INDONESIA -- 0.5% 2,712,637 Adaro Energy Indonesia Tbk PT (b) 506,289 -------------- IRELAND -- 2.1% 49,951 Smurfit Kappa Group PLC (b) 2,218,704 -------------- JAPAN -- 0.1% 25,026 Itoham Yonekyu Holdings, Inc. (b) 132,905 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- LUXEMBOURG -- 0.4% 8,888 APERAM S.A. (b) $ 392,824 -------------- MALAYSIA -- 0.3% 83,200 PPB Group Bhd 338,360 -------------- NORWAY -- 1.4% 29,755 Yara International ASA (b) 1,488,004 -------------- PORTUGAL -- 0.2% 41,327 Navigator (The) Co., S.A. (b) 153,847 -------------- SOUTH AFRICA -- 4.0% 20,485 African Rainbow Minerals Ltd. 401,148 46,762 Exxaro Resources Ltd. (b) 707,031 163,418 Impala Platinum Holdings Ltd. (b) 2,515,380 10,839 Kumba Iron Ore Ltd. (b) 481,474 -------------- 4,105,033 -------------- SWEDEN -- 2.5% 51,954 Boliden AB (b) 2,620,831 -------------- TAIWAN -- 0.6% 143,978 Taiwan Fertilizer Co., Ltd. (b) 366,336 201,522 YFY, Inc. (b) 239,024 -------------- 605,360 -------------- THAILAND -- 0.1% 253,050 TTW PCL 84,477 -------------- UNITED KINGDOM -- 15.1% 97,635 Ferrexpo PLC (b) 237,051 93,278 Mondi PLC (b) 1,813,119 123,591 Rio Tinto PLC, ADR 9,936,716 45,464 Severn Trent PLC (b) 1,832,388 129,736 United Utilities Group PLC (b) 1,910,424 -------------- 15,729,698 -------------- UNITED STATES -- 20.8% 6,071 Andersons (The), Inc. 305,128 53,395 Archer-Daniels-Midland Co. 4,819,433 39,859 CF Industries Holdings, Inc. 4,107,869 153,946 Coterra Energy, Inc. 4,151,924 72,481 International Paper Co. 3,344,998 5,374 SJW Group 373,923 6,784 Sylvamo Corp. (d) 225,771 48,166 Tyson Foods, Inc., Class A 4,317,119 -------------- 21,646,165 -------------- TOTAL COMMON STOCKS -- 99.3% 103,249,660 (Cost $92,413,488) -------------- MONEY MARKET FUNDS -- 7.3% 7,576,525 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (e) (f) 7,576,525 (Cost $7,576,525) -------------- Page 62 See Notes to Financial Statements <PAGE> FIRST TRUST INDXX GLOBAL NATURAL RESOURCES INCOME ETF (FTRI) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.8% $ 845,075 BNP Paribas S.A., 0.24% (e), dated 03/31/22, due 04/01/22, with a maturity value of $845,080. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $861,004. (f) $ 845,075 (Cost $845,075) -------------- TOTAL INVESTMENTS -- 107.4% 111,671,260 (Cost $100,835,088) NET OTHER ASSETS AND LIABILITIES -- (7.4)% (7,739,230) -------------- NET ASSETS -- 100.0% $ 103,932,030 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $35,605,951 or 34.3% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) All or a portion of this security is on loan (see Note 2E - 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 $8,157,600 and the total value of the collateral held by the Fund is $8,421,600. (d) Non-income producing security. (e) Rate shown reflects yield as of March 31, 2022. (f) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 8,157,600 Non-cash Collateral(2) (8,157,600) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 845,075 Non-cash Collateral(4) (845,075) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 63 <PAGE> FIRST TRUST INDXX GLOBAL NATURAL RESOURCES INCOME ETF (FTRI) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 67.1% Australian Dollar 6.8 Euro 6.5 British Pound Sterling 5.2 Hong Kong Dollar 3.9 South African Rand 3.7 Swedish Krona 2.3 Indian Rupee 1.4 Norwegian Krone 1.3 New Taiwan Dollar 0.5 Indonesian Rupiah 0.5 Malaysian Ringgit 0.3 Brazilian Real 0.3 Japanese Yen 0.1 Thai Baht 0.1 ------ Total 100.0% ====== ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Australia..................................... $ 18,177,839 $ 10,624,810 $ 7,553,029 $ -- Brazil........................................ 15,221,528 15,221,528 -- -- Canada........................................ 9,390,505 9,390,505 -- -- Malaysia...................................... 338,360 338,360 -- -- South Africa.................................. 4,105,033 401,148 3,703,885 -- United Kingdom................................ 15,729,698 9,936,716 5,792,982 -- United States................................. 21,646,165 21,646,165 -- -- Other Country Categories*..................... 18,640,532 -- 18,640,532 -- Money Market Funds.............................. 7,576,525 7,576,525 -- -- Repurchase Agreements........................... 845,075 -- 845,075 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 111,671,260 $ 75,135,757 $ 36,535,503 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Page 64 See Notes to Financial Statements <PAGE> FIRST TRUST INDXX GLOBAL AGRICULTURE ETF (FTAG) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.7% AUSTRALIA -- 1.1% 48,100 Incitec Pivot Ltd. (b) $ 136,158 9,411 Nufarm Ltd. (b) 44,339 -------------- 180,497 -------------- BERMUDA -- 2.4% 3,502 Bunge Ltd. 388,057 -------------- CANADA -- 8.3% 13,148 Nutrien Ltd. 1,359,025 -------------- CHILE -- 1.9% 3,537 Sociedad Quimica y Minera de Chile S.A., ADR 302,767 -------------- CHINA -- 0.1% 42,907 China BlueChemical Ltd., Class H (b) 14,640 -------------- GERMANY -- 20.3% 21,903 BASF SE (b) 1,249,804 23,428 Bayer AG (b) 1,602,463 11,542 Evonik Industries AG (b) 320,205 4,741 K+S AG (b) (c) 142,641 -------------- 3,315,113 -------------- INDIA -- 6.9% 1,116 Bayer CropScience Ltd. (b) 73,039 10,306 Chambal Fertilisers and Chemicals Ltd. (b) 57,046 7,261 Coromandel International Ltd. (b) 76,348 3,338 Escorts Ltd. (b) 74,335 3,850 Gujarat Narmada Valley Fertilizers & Chemicals Ltd. (b) 42,628 30,800 Mahindra & Mahindra Ltd. (b) 325,724 3,756 PI Industries Ltd. (b) 139,095 12,346 Sumitomo Chemical India Ltd. (b) 72,791 6,305 Tata Chemicals Ltd. (b) 80,596 18,922 UPL Ltd. (b) 191,230 -------------- 1,132,832 -------------- ISRAEL -- 2.3% 31,878 ICL Group Ltd. (b) 378,952 -------------- JAPAN -- 6.8% 29,700 Kubota Corp. (b) 556,705 5,000 Mitsui Chemicals, Inc. (b) 125,698 3,600 Nissan Chemical Corp. (b) 211,168 1,100 Sakata Seed Corp. (b) 33,345 41,000 Sumitomo Chemical Co., Ltd. (b) 187,731 -------------- 1,114,647 -------------- MALAYSIA -- 2.8% 198,101 Petronas Chemicals Group Bhd 452,291 -------------- MEXICO -- 0.8% 49,780 Orbia Advance Corp. SAB de CV 131,670 -------------- NETHERLANDS -- 4.4% 33,539 CNH Industrial N.V. 531,929 5,219 OCI N.V. (b) (c) 184,255 -------------- 716,184 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- NORWAY -- 1.9% 6,309 Yara International ASA (b) $ 315,504 -------------- QATAR -- 4.0% 126,134 Industries Qatar QSC (b) 657,439 -------------- RUSSIA -- 0.0% 1,918 PhosAgro PJSC (b) (d) (e) 7,871 -------------- SINGAPORE -- 3.4% 158,600 Wilmar International Ltd. (b) 549,267 -------------- SWITZERLAND -- 0.6% 254 Bucher Industries AG (b) 102,669 -------------- TAIWAN -- 0.4% 24,271 Taiwan Fertilizer Co., Ltd. (b) 61,755 -------------- TURKEY -- 0.3% 8,272 Gubre Fabrikalari TAS (c) 44,992 -------------- UNITED STATES -- 31.0% 1,845 AGCO Corp. 269,425 295 Alamo Group, Inc. 42,418 5,134 CF Industries Holdings, Inc. 529,110 843 Compass Minerals International, Inc. 52,932 13,241 Corteva, Inc. 761,093 265 CVR Partners, L.P. (f) 36,562 4,069 Deere & Co. 1,690,507 3,114 FMC Corp. 409,709 272 Lindsay Corp. 42,707 2,217 LSB Industries, Inc. (g) 48,419 9,122 Mosaic (The) Co. 606,613 1,376 Scotts Miracle-Gro (The) Co. 169,193 1,110 SiteOne Landscape Supply, Inc. (c) 179,476 2,598 Toro (The) Co. 222,103 -------------- 5,060,267 -------------- TOTAL INVESTMENTS -- 99.7% 16,286,439 (Cost $15,494,903) NET OTHER ASSETS AND LIABILITIES -- 0.3% 42,096 -------------- NET ASSETS -- 100.0% $ 16,328,535 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $8,015,441 or 49.1% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days See Notes to Financial Statements Page 65 <PAGE> FIRST TRUST INDXX GLOBAL AGRICULTURE ETF (FTAG) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) Non-income producing security. (d) This security's value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). (e) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisors, L.P., the Fund's Advisor. (f) Security is a Master Limited Partnership ("MLP"). (g) Non-income producing security which makes payment-in-kind ("PIK") distributions. There were no in-kind distributions received for the six months ended March 31, 2022. ADR - American Depositary Receipt % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 38.6% Euro 21.5 Canadian Dollar 8.3 Indian Rupee 7.0 Japanese Yen 6.8 Qatar Riyal 4.0 Singapore Dollar 3.4 Malaysian Ringgit 2.8 Israeli Shekel 2.3 Norwegian Krone 1.9 Australian Dollar 1.1 Mexican Peso 0.8 Swiss Franc 0.6 New Taiwan Dollar 0.4 Turkish Lira 0.3 Hong Kong Dollar 0.1 Russian Ruble 0.1 ------ Total 100.0% ====== ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Bermuda....................................... $ 388,057 $ 388,057 $ -- $ -- Canada........................................ 1,359,025 1,359,025 -- -- Chile......................................... 302,767 302,767 -- -- Malaysia...................................... 452,291 452,291 -- -- Mexico........................................ 131,670 131,670 -- -- Netherlands................................... 716,184 531,929 184,255 -- Russia........................................ 7,871 -- -- 7,871 Turkey........................................ 44,992 44,992 -- -- United States................................. 5,060,267 5,060,267 -- -- Other Country Categories*..................... 7,823,315 -- 7,823,315 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 16,286,439 $ 8,270,998 $ 8,007,570 $ 7,871 =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Level 3 Common Stocks are fair valued by the Advisor's Pricing Committee and are footnoted in the Portfolio of Investments. Level 3 Common Stocks values are based on unobservable and non-quantitative inputs. Page 66 See Notes to Financial Statements <PAGE> FIRST TRUST BICK INDEX FUND (BICK) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.5% BRAZIL -- 26.1% 72,257 Ambev S.A., ADR $ 233,390 35,760 Americanas S.A. 244,331 74,807 B3 S.A. - Brasil Bolsa Balcao 246,526 54,848 Banco Bradesco S.A., ADR 254,495 30,977 Banco do Brasil S.A. 225,119 31,369 Centrais Eletricas Brasileiras S.A. 250,238 43,454 Cia Siderurgica Nacional S.A. 236,936 42,839 Gerdau S.A. (Preference Shares) 276,413 89,917 Hapvida Participacoes e Investimentos S.A. (b) (e) 225,121 43,833 Itau Unibanco Holding S.A., ADR 250,287 108,851 Itausa S.A. (Preference Shares) 246,461 30,390 JBS S.A. 239,300 18,962 Localiza Rent a Car S.A. 243,783 43,076 Lojas Renner S.A. 249,894 181,479 Magazine Luiza S.A. 261,104 47,114 Natura & Co. Holding S.A. (c) 258,080 42,242 Petro Rio S.A. (c) 212,672 14,816 Petroleo Brasileiro S.A., ADR 219,277 21,386 Rede D'Or Sao Luiz S.A. (b) (e) 225,132 70,367 Rumo S.A. (c) 274,607 19,805 Suzano S.A. 229,829 11,450 Vale S.A., ADR 228,886 37,098 WEG S.A. 271,940 -------------- 5,603,821 -------------- CAYMAN ISLANDS -- 18.1% 2,013 Alibaba Group Holding Ltd., ADR (c) 219,014 13,851 ANTA Sports Products Ltd. (d) 171,822 1,389 Baidu, Inc., ADR (c) 183,765 6,698 Bilibili, Inc., ADR (c) 171,335 2,956 JD.com, Inc., ADR (c) 171,064 10,907 KE Holdings, Inc., ADR (c) 134,920 18,448 Kuaishou Technology (b) (c) (d) (e) 169,034 6,953 Li Auto, Inc., ADR (c) 179,457 21,509 Li Ning Co., Ltd. (d) 182,641 9,558 Meituan, Class B (b) (c) (d) (e) 181,066 2,221 NetEase, Inc., ADR 199,201 9,269 NIO, Inc., ADR (c) 195,112 13,282 Pagseguro Digital Ltd., Class A (c) 266,304 4,082 Pinduoduo, Inc., ADR (c) 163,729 18,836 StoneCo., Ltd., Class A (c) 220,381 8,847 Sunny Optical Technology Group Co., Ltd. (d) 140,502 3,886 Tencent Holdings Ltd. (d) 179,123 8,200 Trip.com Group Ltd., ADR (c) 189,584 25,541 Wuxi Biologics Cayman, Inc. (b) (c) (d) (e) 202,811 112,831 Xiaomi Corp., Class B (b) (c) (d) (e) 197,164 5,821 XPeng, Inc., ADR (c) 160,601 -------------- 3,878,630 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHINA -- 4.7% 7,179 BYD Co., Ltd., Class H (d) $ 199,686 281,843 China Construction Bank Corp., Class H (d) 211,119 25,119 China Merchants Bank Co., Ltd., Class H (d) 195,537 354,276 Industrial & Commercial Bank of China Ltd., Class H (d) 217,190 27,148 Ping An Insurance (Group) Co. of China Ltd., Class H (d) 189,793 -------------- 1,013,325 -------------- INDIA -- 16.8% 8,257 Dr. Reddy's Laboratories Ltd., ADR 460,162 7,095 HDFC Bank Ltd., ADR 435,136 22,654 ICICI Bank Ltd., ADR 429,067 19,638 Infosys Ltd., ADR 488,790 7,023 Reliance Industries Ltd., GDR (b) (d) 481,805 6,849 State Bank of India, GDR (d) (e) 435,844 14,562 Tata Motors Ltd., ADR (c) (f) 407,008 60,504 Wipro Ltd., ADR 466,486 -------------- 3,604,298 -------------- JERSEY -- 2.1% 5,338 WNS (Holdings) Ltd., ADR (c) 456,346 -------------- MAURITIUS -- 4.0% 26,651 Azure Power Global Ltd. (c) (f) 443,472 15,708 MakeMyTrip Ltd. (c) 421,446 -------------- 864,918 -------------- SOUTH KOREA -- 24.1% 1,596 Celltrion, Inc. (d) 224,707 12,238 Doosan Heavy Industries & Construction Co., Ltd. (c) (d) 203,703 678 Ecopro BM Co., Ltd. (d) 219,108 1,455 Hyundai Motor Co. (d) 214,672 2,705 Kakao Corp. 237,682 3,463 Kakao Games Corp. (c) (d) 220,781 5,303 KakaoBank Corp. (c) (d) 223,974 4,264 KB Financial Group, Inc. (d) 213,686 3,449 Kia Corp. (d) 208,900 863 Krafton, Inc. (c) (d) 194,423 1,305 L&F Co., Ltd. (c) (d) 240,150 451 LG Chem Ltd. (d) 197,072 2,061 LG Electronics, Inc. (d) 202,727 778 LG Innotek Co., Ltd. (d) 245,646 800 NAVER Corp. (d) 222,343 574 NCSoft Corp. (d) 220,133 893 POSCO Holdings, Inc. (d) 214,207 1,533 Samsung Electro-Mechanics Co., Ltd. (d) 206,411 3,531 Samsung Electronics Co., Ltd. (d) 202,054 465 Samsung SDI Co., Ltd. (d) 226,311 1,744 SK Bioscience Co., Ltd. (c) (d) 223,730 2,061 SK Hynix, Inc. (d) 198,267 1,271 SK Innovation Co., Ltd. (d) (g) 222,952 See Notes to Financial Statements Page 67 <PAGE> FIRST TRUST BICK INDEX FUND (BICK) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) SOUTH KOREA (CONTINUED) 2,333 Wemade Co., Ltd. (d) $ 195,395 -------------- 5,179,034 -------------- UNITED KINGDOM -- 2.1% 55,832 ReNew Energy Global PLC, Class A (c) 458,939 -------------- UNITED STATES -- 1.5% 7,983 Coupang, Inc. (c) 141,139 4,070 Yum China Holdings, Inc. 169,068 -------------- 310,207 -------------- TOTAL COMMON STOCKS -- 99.5% 21,369,518 (Cost $21,450,971) -------------- MONEY MARKET FUNDS -- 2.7% 579,638 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (h) (i) 579,638 (Cost $579,638) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 64,652 BNP Paribas S.A., 0.24% (h), dated 03/31/22, due 04/01/22, with a maturity value of $64,652. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $65,871. (i) 64,652 (Cost $64,652) -------------- TOTAL INVESTMENTS -- 102.5% 22,013,808 (Cost $22,095,261) NET OTHER ASSETS AND LIABILITIES -- (2.5)% (541,609) -------------- NET ASSETS -- 100.0% $ 21,472,199 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (c) Non-income producing security. (d) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $8,296,489 or 38.6% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (e) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (f) All or a portion of this security is on loan (see Note 2E - 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 $607,820 and the total value of the collateral held by the Fund is $644,290. (g) Non-income producing security which makes payment-in-kind ("PIK") distributions. For the six months ended March 31, 2022, the Fund received 16 PIK shares of SK Innovation Co., Ltd. (h) Rate shown reflects yield as of March 31, 2022. (i) This security serves as collateral for securities on loan. ADR -American Depositary Receipt GDR -Global Depositary Receipt Page 68 See Notes to Financial Statements <PAGE> FIRST TRUST BICK INDEX FUND (BICK) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 607,820 Non-cash Collateral(2) (607,820) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 64,652 Non-cash Collateral(4) (64,652) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 45.3% South Korean Won 23.5 Brazilian Real 20.1 Hong Kong Dollar 11.1 ------ Total 100.0% ====== See Notes to Financial Statements Page 69 <PAGE> FIRST TRUST BICK INDEX FUND (BICK) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Cayman Islands................................ $ 3,878,630 $ 2,454,467 $ 1,424,163 $ -- China......................................... 1,013,325 -- 1,013,325 -- India......................................... 3,604,298 2,686,649 917,649 -- South Korea................................... 5,179,034 237,682 4,941,352 -- Other Country Categories*..................... 7,694,231 7,694,231 -- -- Money Market Funds.............................. 579,638 579,638 -- -- Repurchase Agreements........................... 64,652 -- 64,652 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 22,013,808 $ 13,652,667 $ 8,361,141 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Page 70 See Notes to Financial Statements <PAGE> FIRST TRUST INDXX NEXTG ETF (NXTG) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 98.4% AUSTRALIA -- 0.6% 2,030,975 Telstra Corp., Ltd. (b) $ 6,000,443 -------------- BRAZIL -- 0.8% 687,190 Telefonica Brasil S.A., ADR (c) 7,730,888 -------------- CANADA -- 2.2% 113,999 BCE, Inc. 6,319,346 129,577 Rogers Communications, Inc., Class B 7,334,215 256,969 TELUS Corp. 6,713,280 -------------- 20,366,841 -------------- CAYMAN ISLANDS -- 1.9% 224,894 GDS Holdings Ltd., ADR (c) (d) 8,827,089 4,865,352 Xiaomi Corp., Class B (b) (d) (e) (f) 8,501,842 -------------- 17,328,931 -------------- CHINA -- 2.2% 102,593,983 China Tower Corp., Ltd., Class H (b) (e) (f) 11,484,611 4,290,250 ZTE Corp., Class H (b) 8,690,559 -------------- 20,175,170 -------------- FINLAND -- 2.5% 200,972 Elisa OYJ (b) 12,120,030 2,021,199 Nokia OYJ, ADR (d) 11,035,747 -------------- 23,155,777 -------------- FRANCE -- 0.7% 567,740 Orange S.A. 6,722,815 -------------- GERMANY -- 2.3% 327,101 Deutsche Telekom AG (b) 6,092,004 265,250 Infineon Technologies AG (b) 8,973,465 2,205,071 Telefonica Deutschland Holding AG (b) 5,997,376 -------------- 21,062,845 -------------- GUERNSEY -- 1.5% 169,157 Amdocs Ltd. 13,906,397 -------------- HONG KONG -- 1.3% 11,039,184 Lenovo Group Ltd. (b) 11,958,269 -------------- INDIA -- 7.0% 621,454 Bharti Airtel Ltd. (b) (d) 6,161,378 782,394 HCL Technologies Ltd. (b) 11,957,208 520,726 Infosys Ltd., ADR 12,960,870 253,835 Tata Consultancy Services Ltd. (b) 12,474,822 567,434 Tech Mahindra Ltd. (b) 11,164,260 1,390,010 Wipro Ltd., ADR 10,716,977 -------------- 65,435,515 -------------- ITALY -- 1.7% 1,064,808 Infrastrutture Wireless Italiane S.p.A. (b) (e) (f) 11,919,788 11,792,033 Telecom Italia S.p.A. (b) 4,329,207 -------------- 16,248,995 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- JAPAN -- 10.0% 69,432 Fujitsu Ltd. (b) $ 10,402,700 197,748 KDDI Corp. (b) 6,483,493 191,871 Kyocera Corp. (b) 10,736,995 933,565 Mitsubishi Electric Corp. (b) 10,706,920 254,359 NEC Corp. (b) 10,685,800 441,166 Nippon Telegraph & Telephone Corp. (b) 12,817,596 936,959 Renesas Electronics Corp. (b) (d) 10,856,515 907,498 SoftBank Corp. (b) 10,584,252 97,576 Sony Group Corp. (b) 10,038,201 -------------- 93,312,472 -------------- MALAYSIA -- 0.6% 6,013,155 DiGi.Com Bhd (b) 5,567,996 -------------- NETHERLANDS -- 2.2% 53,764 NXP Semiconductors N.V. 9,950,641 250,154 STMicroelectronics N.V. (b) 10,831,865 -------------- 20,782,506 -------------- NEW ZEALAND -- 0.7% 1,954,011 Spark New Zealand Ltd. (b) 6,183,706 -------------- NORWAY -- 0.6% 395,454 Telenor ASA (b) 5,674,579 -------------- PHILIPPINES -- 1.1% 86,335 Globe Telecom, Inc. (b) 4,237,205 171,095 PLDT, Inc., ADR (c) 6,012,278 -------------- 10,249,483 -------------- QATAR -- 0.7% 3,119,040 Ooredoo QPSC 6,091,196 -------------- RUSSIA -- 0.0% 739,978 Mobile TeleSystems PJSC, ADR (b) (g) (h) 263,761 -------------- SINGAPORE -- 0.7% 3,274,752 Singapore Telecommunications Ltd. (b) 6,358,748 -------------- SOUTH AFRICA -- 1.6% 591,716 MTN Group Ltd. (b) 7,656,288 705,276 Vodacom Group Ltd. 7,722,441 -------------- 15,378,729 -------------- SOUTH KOREA -- 4.1% 445,875 KT Corp., ADR 6,393,848 115,578 LG Electronics, Inc. (b) 11,368,642 181,796 Samsung Electronics Co., Ltd. (b) 10,402,909 92,016 Samsung SDS Co., Ltd. (b) 10,439,260 -------------- 38,604,659 -------------- SPAIN -- 1.2% 99,048 Cellnex Telecom S.A. (b) (e) (f) 4,766,652 1,408,788 Telefonica S.A. (b) 6,827,387 -------------- 11,594,039 -------------- SWEDEN -- 2.5% 419,139 Tele2 AB, Class B (b) 6,335,621 1,168,293 Telefonaktiebolaget LM Ericsson, Class B (b) (c) 10,649,626 See Notes to Financial Statements Page 71 <PAGE> FIRST TRUST INDXX NEXTG ETF (NXTG) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) SWEDEN (CONTINUED) 1,537,252 Telia Co., AB (b) (c) $ 6,163,938 -------------- 23,149,185 -------------- SWITZERLAND -- 0.7% 10,696 Swisscom AG (b) 6,426,225 -------------- TAIWAN -- 7.7% 3,208,832 ASE Technology Holding Co., Ltd. (b) 11,434,560 1,421,370 Chunghwa Telecom Co., Ltd. (b) 6,295,071 1,246,309 Delta Electronics, Inc. (b) 11,555,438 308,313 MediaTek, Inc. (b) 9,594,866 3,394,261 Taiwan Mobile Co., Ltd. (b) 12,420,755 101,312 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 10,562,789 5,240,029 United Microelectronics Corp. (b) 9,622,918 -------------- 71,486,397 -------------- THAILAND -- 0.7% 910,400 Advanced Info Service PCL (b) 6,361,246 -------------- UNITED ARAB EMIRATES -- 0.7% 616,889 Emirates Telecommunications Group Co. PJSC (b) 6,212,211 -------------- UNITED KINGDOM -- 2.0% 5,189,208 BT Group PLC (b) 12,372,646 3,929,822 Vodafone Group PLC (b) 6,444,048 -------------- 18,816,694 -------------- UNITED STATES -- 35.9% 185,835 Advanced Micro Devices, Inc. (d) 20,319,199 44,660 American Tower Corp. 11,219,485 65,912 Analog Devices, Inc. 10,887,344 69,355 Apple, Inc. 12,110,077 94,097 Arista Networks, Inc. (d) 13,077,601 256,125 AT&T, Inc. 6,052,234 20,755 Broadcom, Inc. 13,069,008 168,320 Ciena Corp. (d) 10,205,242 210,375 Cisco Systems, Inc. 11,730,510 63,844 Crown Castle International Corp. 11,785,602 72,793 Digital Realty Trust, Inc. 10,322,047 15,152 Equinix, Inc. 11,237,026 53,342 F5, Inc. (d) 11,145,811 787,187 Hewlett Packard Enterprise Co. 13,153,895 239,835 Intel Corp. 11,886,223 97,980 International Business Machines Corp. 12,739,360 369,795 Juniper Networks, Inc. 13,741,582 60,349 Keysight Technologies, Inc. (d) 9,533,332 124,849 Lumentum Holdings, Inc. (d) 12,185,262 134,472 Marvell Technology, Inc. 9,642,987 139,757 Microchip Technology, Inc. 10,501,341 142,557 Micron Technology, Inc. 11,103,765 39,713 NVIDIA Corp. 10,836,089 75,882 Qorvo, Inc. (d) 9,416,956 66,426 QUALCOMM, Inc. 10,151,221 34,303 SBA Communications Corp. 11,803,662 75,185 Skyworks Solutions, Inc. 10,020,657 SHARES DESCRIPTION VALUE ------------------------------------------------------------- UNITED STATES (CONTINUED) 51,536 T-Mobile US, Inc. (d) $ 6,614,646 117,136 Verizon Communications, Inc. 5,966,908 107,354 VMware, Inc., Class A 12,224,400 -------------- 334,683,472 -------------- TOTAL COMMON STOCKS -- 98.4% 917,290,190 (Cost $818,595,303) -------------- MONEY MARKET FUNDS -- 3.1% 28,862,942 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (i) (j) 28,862,942 (Cost $28,862,942) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 3,219,330 BNP Paribas S.A., 0.24% (i), dated 03/31/22, due 04/01/22, with a maturity value of $3,219,352. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $3,280,013. (j) 3,219,330 (Cost $3,219,330) -------------- TOTAL INVESTMENTS -- 101.8% 949,372,462 (Cost $850,677,575) NET OTHER ASSETS AND LIABILITIES -- (1.8)% (17,108,213) -------------- NET ASSETS -- 100.0% $ 932,264,249 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $443,605,901 or 47.6% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. Page 72 See Notes to Financial Statements <PAGE> FIRST TRUST INDXX NEXTG ETF (NXTG) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) (c) All or a portion of this security is on loan (see Note 2E - 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 $30,017,259 and the total value of the collateral held by the Fund is $32,082,272. (d) Non-income producing security. (e) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (f) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (g) This security's value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). (h) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisors, L.P., the Fund's Advisor. (i) Rate shown reflects yield as of March 31, 2022. (j) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 30,017,259 Non-cash Collateral(2) (30,017,259) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 3,219,330 Non-cash Collateral(4) (3,219,330) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 73 <PAGE> FIRST TRUST INDXX NEXTG ETF (NXTG) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 49.0% Japanese Yen 9.8 Euro 8.3 New Taiwan Dollar 6.4 Indian Rupee 4.4 Hong Kong Dollar 4.3 South Korean Won 3.4 Swedish Krona 2.4 Canadian Dollar 2.1 British Pound Sterling 2.0 South African Rand 1.6 Swiss Franc 0.7 Thai Baht 0.7 Singapore Dollar 0.7 United Arab Emirates Dirham 0.7 New Zealand Dollar 0.7 Qatar Riyal 0.6 Australian Dollar 0.6 Norwegian Krone 0.6 Malaysian Ringgit 0.6 Philippine Peso 0.4 ------ Total 100.0% ====== ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Brazil........................................ $ 7,730,888 $ 7,730,888 $ -- $ -- Canada........................................ 20,366,841 20,366,841 -- -- Cayman Islands................................ 17,328,931 8,827,089 8,501,842 -- Finland....................................... 23,155,777 11,035,747 12,120,030 -- France........................................ 6,722,815 6,722,815 -- -- Guernsey...................................... 13,906,397 13,906,397 -- -- India......................................... 65,435,515 23,677,847 41,757,668 -- Netherlands................................... 20,782,506 9,950,641 10,831,865 -- Philippines................................... 10,249,483 6,012,278 4,237,205 -- Qatar......................................... 6,091,196 6,091,196 -- -- Russia........................................ 263,761 -- -- 263,761 South Africa.................................. 15,378,729 7,722,441 7,656,288 -- South Korea................................... 38,604,659 6,393,848 32,210,811 -- Taiwan........................................ 71,486,397 10,562,789 60,923,608 -- United States................................. 334,683,472 334,683,472 -- -- Other Country Categories*..................... 265,102,823 -- 265,102,823 -- Money Market Funds.............................. 28,862,942 28,862,942 -- -- Repurchase Agreements........................... 3,219,330 -- 3,219,330 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 949,372,462 $ 502,547,231 $ 446,561,470 $ 263,761 =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Level 3 Common Stocks are fair valued by the Advisor's Pricing Committee and are footnoted in the Portfolio of Investments. Level 3 Common Stocks values are based on unobservable and non-quantitative inputs. Page 74 See Notes to Financial Statements <PAGE> FIRST TRUST S-NETWORK FUTURE VEHICLES & TECHNOLOGY ETF (CARZ) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.6% AUSTRALIA -- 2.0% 45,608 Allkem Ltd. (b) (c) $ 384,950 660,597 ioneer Ltd. (b) (c) 337,769 326,245 Nickel Mines Ltd. (b) 309,037 142,569 Pilbara Minerals Ltd. (b) (c) 336,824 -------------- 1,368,580 -------------- AUSTRIA -- 0.5% 21,971 ams-OSRAM AG (b) (c) 336,310 -------------- BELGIUM -- 0.5% 3,186 Solvay S.A. (b) 314,000 -------------- CANADA -- 1.4% 13,537 First Quantum Minerals Ltd. 468,649 12,917 Lithium Americas Corp. (c) (d) 497,710 -------------- 966,359 -------------- CAYMAN ISLANDS -- 4.3% 2,493 Ambarella, Inc. (c) 261,565 4,099 Baidu, Inc., ADR (c) 542,298 150,571 Geely Automobile Holdings Ltd. (b) 233,237 30,607 Himax Technologies, Inc., ADR (d) 332,392 12,612 Li Auto, Inc., ADR (c) 325,516 17,423 NIO, Inc., ADR (c) 366,754 26,383 Niu Technologies, ADR (c) 254,860 10,581 XPeng, Inc., ADR (c) 291,930 223,633 Yadea Group Holdings Ltd. (b) (e) (f) 342,574 -------------- 2,951,126 -------------- CHILE -- 0.9% 6,986 Sociedad Quimica y Minera de Chile S.A., ADR 598,002 -------------- CHINA -- 2.6% 30,945 BYD Co., Ltd., Class H (b) 860,744 25,668 Ganfeng Lithium Co., Ltd., Class H (b) (e) (f) 361,120 192,599 Great Wall Motor Co., Ltd., Class H (b) 302,281 363,156 Guangzhou Automobile Group Co., Ltd., Class H (b) 299,451 -------------- 1,823,596 -------------- GERMANY -- 5.4% 4,031 Bayerische Motoren Werke AG (b) 348,351 3,498 Continental AG (b) (c) 250,760 14,182 Infineon Technologies AG (b) 479,780 9,042 Mercedes-Benz Group AG (b) 634,657 3,800 Porsche Automobil Holding SE (Preference Shares) (b) 365,539 7,435 Volkswagen AG (Preference Shares) (b) 1,277,722 2,387 Wacker Chemie AG (b) 406,267 -------------- 3,763,076 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INDIA -- 0.5% 11,414 Tata Motors Ltd., ADR (c) (d) $ 319,021 -------------- JAPAN -- 8.5% 9,200 Aisin Corp. (b) 314,434 6,200 Denso Corp. (b) 395,561 21,364 Honda Motor Co., Ltd. (b) 605,581 68,509 Nissan Motor Co., Ltd. (b) (c) 304,408 33,700 Panasonic Corp. (b) 327,297 30,600 Renesas Electronics Corp. (b) (c) 354,561 19,910 Subaru Corp. (b) 316,230 19,700 Tanaka Chemical Corp. (b) (c) 276,805 165,260 Toyota Motor Corp. (b) 2,980,961 -------------- 5,875,838 -------------- JERSEY -- 0.5% 3,186 Aptiv PLC (c) 381,396 -------------- NETHERLANDS -- 2.5% 4,255 Alfen Beheer BV (b) (c) (e) (f) 431,394 2,756 NXP Semiconductors N.V. 510,081 27,535 Stellantis N.V. (b) 445,780 7,731 STMicroelectronics N.V. (b) 334,758 7,416 Yandex N.V., Class A (b) (c) (g) (h) 9,103 -------------- 1,731,116 -------------- SOUTH KOREA -- 8.1% 1,039 Ecopro BM Co., Ltd. (b) 335,771 2,191 Hyundai Motor Co. (b) 323,262 4,054 Iljin Materials Co., Ltd. (b) 319,493 5,420 Kia Corp. (b) 328,280 610 LG Chem Ltd. (b) 266,550 3,122 LX Semicon Co., Ltd. (b) 369,589 53,162 Samsung Electronics Co., Ltd. (b) 3,042,088 691 Samsung SDI Co., Ltd. (b) 336,303 2,959 SK IE Technology Co., Ltd. (b) (c) (e) (f) 304,861 -------------- 5,626,197 -------------- SWEDEN -- 0.6% 23,980 Volvo AB, Class B (b) 447,355 -------------- TAIWAN -- 4.5% 84,038 Coremax Corp. (b) 469,903 25,094 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 2,616,300 -------------- 3,086,203 -------------- UNITED STATES -- 56.8% 18,950 Advanced Micro Devices, Inc. (c) 2,071,993 1,650 Albemarle Corp. 364,897 12,596 Allegro MicroSystems, Inc. (c) 357,726 1,260 Alphabet, Inc., Class A (c) 3,504,501 6,318 Analog Devices, Inc. 1,043,607 20,285 Apple, Inc. 3,541,964 3,633 Autoliv, Inc. 277,707 16,932 Blink Charging Co. (c) (d) 448,021 7,781 BorgWarner, Inc. 302,681 5,144 Cerence, Inc. (c) 185,698 26,241 ChargePoint Holdings, Inc. (c) (d) 521,671 See Notes to Financial Statements Page 75 <PAGE> FIRST TRUST S-NETWORK FUTURE VEHICLES & TECHNOLOGY ETF (CARZ) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) UNITED STATES (CONTINUED) 4,190 Cirrus Logic, Inc. (c) $ 355,270 1,644 Cummins, Inc. 337,201 44,052 EVgo, Inc. (c) (d) 566,509 47,072 Ford Motor Co. 795,988 15,049 General Motors Co. (c) 658,243 10,976 Gentex Corp. 320,170 63,576 Intel Corp. 3,150,827 2,035 Lear Corp. 290,171 15,828 Livent Corp. (c) 412,636 24,610 Luminar Technologies, Inc. (c) (d) 384,654 8,342 Marvell Technology, Inc. 598,205 6,012 MaxLinear, Inc. (c) 350,800 5,817 Microchip Technology, Inc. 437,089 12,530 Micron Technology, Inc. 975,962 76,548 Microvast Holdings, Inc. (c) (d) 512,872 13,143 NVIDIA Corp. 3,586,199 6,004 ON Semiconductor Corp. (c) 375,910 94,657 Ouster, Inc. (c) (d) 425,956 16,232 Plug Power, Inc. (c) 464,398 2,645 Qorvo, Inc. (c) 328,244 18,995 QUALCOMM, Inc. 2,902,816 13,931 Rambus, Inc. (c) 444,260 2,081 Silicon Laboratories, Inc. (c) 312,566 1,692 SiTime Corp. (c) 419,311 2,543 Skyworks Solutions, Inc. 338,931 1,595 Synaptics, Inc. (c) 318,203 3,386 Tesla, Inc. (c) 3,648,754 10,334 Texas Instruments, Inc. 1,896,082 92,845 Velodyne Lidar, Inc. (c) (d) 237,683 98,751 Workhorse Group, Inc. (c) (d) 493,755 21,081 Xperi Holding Corp. 365,123 -------------- 39,325,254 -------------- TOTAL COMMON STOCKS -- 99.6% 68,913,429 (Cost $67,339,706) -------------- MONEY MARKET FUNDS -- 5.2% 3,618,077 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (i) (j) 3,618,077 (Cost $3,618,077) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.6% $ 403,555 BNP Paribas S.A., 0.24% (i), dated 03/31/22, due 04/01/22, with a maturity value of $403,558. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $411,162. (j) 403,555 (Cost $403,555) -------------- DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 105.4% $ 72,935,061 (Cost $71,361,338) NET OTHER ASSETS AND LIABILITIES -- (5.4)% (3,764,425) -------------- NET ASSETS -- 100.0% $ 69,170,636 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $21,821,701 or 31.5% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) Non-income producing security. (d) All or a portion of this security is on loan (see Note 2E - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $3,901,797 and the total value of the collateral held by the Fund is $4,021,632. (e) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (f) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (g) This security's value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). (h) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisors, L.P., the Fund's Advisor. (i) Rate shown reflects yield as of March 31, 2022. (j) This security serves as collateral for securities on loan. ADR - American Depositary Receipt Page 76 See Notes to Financial Statements <PAGE> FIRST TRUST S-NETWORK FUTURE VEHICLES & TECHNOLOGY ETF (CARZ) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 3,901,797 Non-cash Collateral(2) (3,901,797) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 403,555 Non-cash Collateral(4) (403,555) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 68.8% Japanese Yen 8.1 South Korean Won 7.7 Euro 7.2 Hong Kong Dollar 3.3 Australian Dollar 1.9 Canadian Dollar 1.3 New Taiwan Dollar 0.6 Swedish Krona 0.6 Swiss Franc 0.5 ------ Total 100.0% ====== See Notes to Financial Statements Page 77 <PAGE> FIRST TRUST S-NETWORK FUTURE VEHICLES & TECHNOLOGY ETF (CARZ) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Canada........................................ $ 966,359 $ 966,359 $ -- $ -- Cayman Islands................................ 2,951,126 2,375,315 575,811 -- Chile......................................... 598,002 598,002 -- -- India......................................... 319,021 319,021 -- -- Jersey........................................ 381,396 381,396 -- -- Netherlands................................... 1,731,116 510,081 1,211,932 9,103 Taiwan........................................ 3,086,203 2,616,300 469,903 -- United States................................. 39,325,254 39,325,254 -- -- Other Country Categories*..................... 19,554,952 -- 19,554,952 -- Money Market Funds.............................. 3,618,077 3,618,077 -- -- Repurchase Agreements........................... 403,555 -- 403,555 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 72,935,061 $ 50,709,805 $ 22,216,153 $ 9,103 =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Level 3 Common Stocks are fair valued by the Advisor's Pricing Committee and are footnoted in the Portfolio of Investments. Level 3 Common Stocks values are based on unobservable and non-quantitative inputs. Page 78 See Notes to Financial Statements <PAGE> FIRST TRUST CLOUD COMPUTING ETF (SKYY) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 100.0% CANADA -- 2.1% 673,553 Open Text Corp. $ 28,558,647 126,609 Shopify, Inc., Class A (b) 85,582,620 -------------- 114,141,267 -------------- CAYMAN ISLANDS -- 3.4% 1,671,240 Alibaba Group Holding Ltd., ADR (b) 181,830,912 -------------- GERMANY -- 1.1% 520,515 SAP SE, ADR (c) 57,756,344 -------------- ISRAEL -- 1.2% 639,873 Wix.com Ltd. (b) 66,841,134 -------------- NETHERLANDS -- 0.6% 338,139 Elastic N.V. (b) 30,077,464 -------------- UNITED KINGDOM -- 1.6% 287,516 Atlassian Corp. PLC, Class A (b) 84,480,826 -------------- UNITED STATES -- 90.0% 187,947 Adobe, Inc. (b) 85,632,412 1,082,565 Akamai Technologies, Inc. (b) 129,247,435 65,083 Alphabet, Inc., Class A (b) 181,018,602 57,244 Amazon.com, Inc. (b) 186,612,578 618,530 Anaplan, Inc. (b) 40,235,377 258,969 Appfolio, Inc., Class A (b) 29,317,881 961,277 Appian Corp. (b) 58,464,867 1,513,414 AppLovin Corp., Class A (b) 83,343,709 1,432,394 Arista Networks, Inc. (b) 199,074,118 534,766 Asana, Inc., Class A (b) 21,374,597 281,968 Avalara, Inc. (b) 28,058,636 468,867 Blackbaud, Inc. (b) 28,071,067 389,055 Blackline, Inc. (b) 28,486,607 1,144,070 Box, Inc., Class A (b) 33,246,674 2,101,462 Cisco Systems, Inc. 117,177,521 1,006,685 Cloudflare, Inc., Class A (b) 120,500,195 2,054,192 Confluent, Inc., Class A (b) 84,221,872 1,390,589 Couchbase, Inc. (b) (c) 24,224,060 242,125 Coupa Software, Inc. (b) 24,607,164 150,093 Crowdstrike Holdings, Inc., Class A (b) 34,083,118 181,860 Datadog, Inc., Class A (b) 27,546,334 2,963,552 DigitalOcean Holdings, Inc. (b) 171,441,483 247,403 DocuSign, Inc. (b) 26,501,809 1,316,838 Domo, Inc., Class B (b) 66,592,498 1,291,306 Dropbox, Inc., Class A (b) 30,022,865 741,390 Everbridge, Inc. (b) 32,354,260 4,725,750 Fastly, Inc., Class A (b) 82,133,535 5,521,291 Hewlett Packard Enterprise Co. 92,260,773 167,424 HubSpot, Inc. (b) 79,516,355 717,484 International Business Machines Corp. 93,287,270 61,768 Intuit, Inc. 29,700,525 14,140,757 Lumen Technologies, Inc. 159,366,331 588,364 Microsoft Corp. 181,398,505 198,416 MicroStrategy, Inc., Class A (b) (c) 96,493,669 383,517 MongoDB, Inc. (b) 170,124,306 1,121,444 NetApp, Inc. 93,079,852 SHARES DESCRIPTION VALUE ------------------------------------------------------------- UNITED STATES (CONTINUED) 2,314,041 Oracle Corp. $ 191,440,612 49,303 Palo Alto Networks, Inc. (b) 30,691,611 86,377 Paycom Software, Inc. (b) 29,919,265 137,917 Paylocity Holding Corp. (b) 28,379,181 6,777,092 Pure Storage, Inc., Class A (b) 239,299,119 450,417 Q2 Holdings, Inc. (b) 27,768,208 966,031 Qualtrics International, Inc., Class A (b) 27,580,185 233,816 Qualys, Inc. (b) 33,297,737 15,794,953 Rackspace Technology, Inc. (b) (c) 176,271,675 671,808 RingCentral, Inc., Class A (b) 78,742,616 417,514 salesforce.com, Inc. (b) 88,646,572 151,573 ServiceNow, Inc. (b) 84,409,488 551,057 Smartsheet, Inc., Class A (b) 30,186,902 110,293 Snowflake, Inc., Class A (b) 25,271,435 744,272 Splunk, Inc. (b) 110,606,262 450,000 Sprout Social, Inc., Class A (b) 36,054,000 989,520 Squarespace, Inc., Class A (b) 25,351,502 1,427,857 Toast, Inc., Class A (b) (c) 31,027,333 343,405 Trade Desk (The), Inc., Class A (b) 23,780,796 502,858 Twilio, Inc., Class A (b) 82,876,027 127,920 Veeva Systems, Inc., Class A (b) 27,177,883 1,498,446 VMware, Inc., Class A 170,628,046 127,920 Workday, Inc., Class A (b) 30,631,723 834,749 Workiva, Inc. (b) 98,500,382 251,136 Zendesk, Inc. (b) 30,209,149 220,962 Zoom Video Communications, Inc., Class A (b) 25,903,375 122,513 Zscaler, Inc. (b) 29,559,937 1,930,147 Zuora, Inc., Class A (b) 28,913,602 -------------- 4,811,943,483 -------------- TOTAL COMMON STOCKS -- 100.0% 5,347,071,430 (Cost $5,145,325,493) -------------- MONEY MARKET FUNDS -- 2.5% 134,129,399 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (d) (e) 134,129,399 (Cost $134,129,399) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 14,960,597 BNP Paribas S.A., 0.24% (d), dated 03/31/22, due 04/01/22, with a maturity value of $14,960,697. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $15,242,597. (e) 14,960,597 (Cost $14,960,597) -------------- See Notes to Financial Statements Page 79 <PAGE> FIRST TRUST CLOUD COMPUTING ETF (SKYY) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 102.8% $5,496,161,426 (Cost $5,294,415,489) NET OTHER ASSETS AND LIABILITIES -- (2.8)% (149,745,079) -------------- NET ASSETS -- 100.0% $5,346,416,347 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) Non-income producing security. (c) All or a portion of this security is on loan (see Note 2E - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $141,356,084 and the total value of the collateral held by the Fund is $149,089,996. (d) Rate shown reflects yield as of March 31, 2022. (e) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 141,356,084 Non-cash Collateral(2) (141,356,084) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 14,960,597 Non-cash Collateral(4) (14,960,597) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 80 See Notes to Financial Statements <PAGE> FIRST TRUST CLOUD COMPUTING ETF (SKYY) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 5,347,071,430 $ 5,347,071,430 $ -- $ -- Money Market Funds.............................. 134,129,399 134,129,399 -- -- Repurchase Agreements........................... 14,960,597 -- 14,960,597 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 5,496,161,426 $ 5,481,200,829 $ 14,960,597 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. See Notes to Financial Statements Page 81 <PAGE> FIRST TRUST INTERNATIONAL EQUITY OPPORTUNITIES ETF (FPXI) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.4% AUSTRALIA -- 4.1% 135,895 Macquarie Group Ltd. $ 20,670,610 194,268 Netwealth Group Ltd. (b) 2,157,287 -------------- 22,827,897 -------------- BERMUDA -- 1.2% 1,821,230 AutoStore Holdings Ltd. (b) (c) 6,598,645 -------------- BRAZIL -- 2.9% 2,529,340 Hapvida Participacoes e Investimentos S.A. (d) (e) 6,332,581 711,934 Rede D'Or Sao Luiz S.A. (d) (e) 7,494,593 715,476 Sendas Distribuidora S.A. 2,461,536 -------------- 16,288,710 -------------- CANADA -- 2.1% 32,672 ATS Automation Tooling Systems, Inc. (c) 1,178,664 62,355 Intact Financial Corp. 9,213,467 25,806 Stelco Holdings, Inc. 1,073,195 -------------- 11,465,326 -------------- CAYMAN ISLANDS -- 10.8% 1,571,639 China Risun Group Ltd. (b) (e) 829,759 1,508,700 Kuaishou Technology (b) (c) (d) (e) 13,823,782 365,768 Li Auto, Inc., ADR (c) 9,440,472 1,222,402 Meituan, Class B (b) (c) (d) (e) 23,157,111 1,641,837 NU Holdings Ltd. (c) (f) 12,674,982 -------------- 59,926,106 -------------- CHINA -- 6.3% 4,269,709 China Merchants Bank Co., Ltd., Class H (b) 33,237,237 1,539,714 China Merchants Securities Co., Ltd., Class H (b) (d) (e) 1,801,987 -------------- 35,039,224 -------------- DENMARK -- 0.5% 73,656 Genmab A/S, ADR (c) 2,664,874 -------------- FRANCE -- 0.5% 67,639 La Francaise des Jeux SAEM (b) (d) (e) 2,683,431 -------------- GERMANY -- 12.0% 161,031 BioNTech SE, ADR (c) 27,465,447 291,432 Daimler Truck Holding AG (b) (c) 8,082,908 499,324 Siemens Healthineers AG (b) (d) (e) 30,943,672 -------------- 66,492,027 -------------- IRELAND -- 1.6% 28,882 ICON PLC (c) 7,024,680 58,813 nVent Electric PLC 2,045,516 -------------- 9,070,196 -------------- ISRAEL -- 0.8% 63,608 ZIM Integrated Shipping Services Ltd. (f) 4,624,938 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ITALY -- 1.0% 463,980 Nexi S.p.A. (b) (c) (d) (e) $ 5,354,228 -------------- JAPAN -- 9.2% 307,416 Mercari, Inc. (b) (c) 7,935,646 2,737,717 SoftBank Corp. (b) 31,930,303 787,958 Takeda Pharmaceutical Co., Ltd., ADR (f) 11,283,558 -------------- 51,149,507 -------------- LUXEMBOURG -- 0.3% 763,479 Samsonite International S.A. (b) (c) (d) (e) 1,708,197 -------------- MALAYSIA -- 1.0% 6,674,940 MR DIY Group M Bhd (b) (d) (e) 5,484,930 -------------- MEXICO -- 0.5% 1,271,749 Becle SAB de CV 3,116,392 -------------- NETHERLANDS -- 13.1% 24,089 Adyen N.V. (b) (c) (d) (e) 47,713,213 177,757 JDE Peet's N.V. (b) 5,089,829 367,960 Prosus N.V. (b) 19,843,395 -------------- 72,646,437 -------------- NORWAY -- 1.1% 244,007 Adevinta ASA (b) (c) 2,227,587 884,054 Var Energi AS (c) 3,705,378 -------------- 5,932,965 -------------- SAUDI ARABIA -- 14.5% 258,904 ACWA Power Co. (b) (c) 9,175,507 185,919 Dr. Sulaiman Al Habib Medical Services Group Co. (b) 9,399,075 28,330 Elm Co. (c) 1,622,094 4,813,807 Saudi Arabian Oil Co. (b) (d) (e) 55,217,700 106,239 Saudi Tadawul Group Holding Co. (c) 5,408,943 -------------- 80,823,319 -------------- SOUTH KOREA -- 1.2% 31,439 Hyundai Heavy Industries Co., Ltd. (b) (c) 3,077,485 36,572 SD Biosensor, Inc. (b) 1,677,440 27,734 SK Biopharmaceuticals Co., Ltd. (b) (c) 2,042,718 -------------- 6,797,643 -------------- SPAIN -- 0.6% 87,449 Corp ACCIONA Energias Renovables S.A. (b) (c) 3,232,803 -------------- SWEDEN -- 4.5% 264,256 EQT AB (b) 10,305,538 194,772 Nordnet AB publ (b) 3,486,722 244,471 Tele2 AB, Class B (b) 3,695,374 1,055,143 Volvo Car AB, Class B (b) (c) 7,588,539 -------------- 25,076,173 -------------- SWITZERLAND -- 1.5% 219,715 On Holding AG, Class A (c) (f) 5,545,606 119,525 SIG Combibloc Group AG (b) 3,013,210 -------------- 8,558,816 -------------- Page 82 See Notes to Financial Statements <PAGE> FIRST TRUST INTERNATIONAL EQUITY OPPORTUNITIES ETF (FPXI) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) THAILAND -- 3.7% 10,387,600 Gulf Energy Development PCL (b) (e) $ 15,932,517 1,595,700 Osotspa PCL (b) (e) 1,792,530 1,520,200 SCG Packaging PCL (b) 2,755,892 -------------- 20,480,939 -------------- UNITED ARAB EMIRATES -- 1.6% 5,666,099 ADNOC Drilling, Co. PJSC (c) 5,846,508 2,204,817 Fertiglobe PLC (b) 2,999,107 -------------- 8,845,615 -------------- UNITED KINGDOM -- 1.7% 552,344 Avast PLC (d) (e) 4,106,809 247,695 Darktrace PLC (b) (c) 1,454,157 141,378 Drax Group PLC (b) 1,453,876 19,733 Endava PLC, ADR (c) 2,625,081 -------------- 9,639,923 -------------- UNITED STATES -- 1.1% 18,706 SolarEdge Technologies, Inc. (c) 6,030,253 -------------- TOTAL COMMON STOCKS -- 99.4% 552,559,514 (Cost $589,723,944) -------------- MONEY MARKET FUNDS -- 3.7% 20,380,543 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (g) (h) 20,380,543 (Cost $20,380,543) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 2,273,216 BNP Paribas S.A., 0.24% (g), dated 03/31/22, due 04/01/22, with a maturity value of $2,273,231. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $2,316,065. (h) 2,273,216 (Cost $2,273,216) -------------- TOTAL INVESTMENTS -- 103.5% 575,213,273 (Cost $612,377,703) NET OTHER ASSETS AND LIABILITIES -- (3.5)% (19,429,412) -------------- NET ASSETS -- 100.0% $ 555,783,861 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $388,903,337 or 70.0% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) Non-income producing security. (d) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (e) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (f) All or a portion of this security is on loan (see Note 2E - 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 $21,088,947 and the total value of the collateral held by the Fund is $22,653,759. (g) Rate shown reflects yield as of March 31, 2022. (h) This security serves as collateral for securities on loan. ADR - American Depositary Receipt See Notes to Financial Statements Page 83 <PAGE> FIRST TRUST INTERNATIONAL EQUITY OPPORTUNITIES ETF (FPXI) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 21,088,947 Non-cash Collateral(2) (21,088,947) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 2,273,216 Non-cash Collateral(4) (2,273,216) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- Euro 21.4% United States Dollar 19.8 Saudi Riyal 14.0 Hong Kong Dollar 13.0 Japanese Yen 6.9 Swedish Krona 4.4 Australian Dollar 4.0 Thai Baht 3.6 Brazilian Real 2.8 Norwegian Krone 2.2 Canadian Dollar 2.0 United Arab Emirates Dirham 1.5 British Pound Sterling 1.2 South Korean Won 1.2 Malaysian Ringgit 1.0 Mexican Peso 0.5 Swiss Franc 0.5 ------ Total 100.0% ====== Page 84 See Notes to Financial Statements <PAGE> FIRST TRUST INTERNATIONAL EQUITY OPPORTUNITIES ETF (FPXI) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Australia..................................... $ 22,827,897 $ 20,670,610 $ 2,157,287 $ -- Brazil........................................ 16,288,710 16,288,710 -- -- Canada........................................ 11,465,326 11,465,326 -- -- Cayman Islands................................ 59,926,106 22,115,454 37,810,652 -- Denmark....................................... 2,664,874 2,664,874 -- -- Germany....................................... 66,492,027 27,465,447 39,026,580 -- Ireland....................................... 9,070,196 9,070,196 -- -- Israel........................................ 4,624,938 4,624,938 -- -- Japan......................................... 51,149,507 11,283,558 39,865,949 -- Mexico........................................ 3,116,392 3,116,392 -- -- Norway........................................ 5,932,965 3,705,378 2,227,587 -- Saudi Arabia.................................. 80,823,319 7,031,037 73,792,282 -- Switzerland................................... 8,558,816 5,545,606 3,013,210 -- United Arab Emirates.......................... 8,845,615 5,846,508 2,999,107 -- United Kingdom................................ 9,639,923 6,731,890 2,908,033 -- United States................................. 6,030,253 6,030,253 -- -- Other Country Categories*..................... 185,102,650 -- 185,102,650 -- Money Market Funds.............................. 20,380,543 20,380,543 -- -- Repurchase Agreements........................... 2,273,216 -- 2,273,216 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 575,213,273 $ 184,036,720 $ 391,176,553 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. See Notes to Financial Statements Page 85 <PAGE> FIRST TRUST NASDAQ CYBERSECURITY ETF (CIBR) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 100.1% CAYMAN ISLANDS -- 0.4% 1,675,728 Arqit Quantum, Inc. (b) (c) $ 26,107,842 -------------- FRANCE -- 1.7% 852,014 Thales S.A. (d) 106,703,081 -------------- INDIA -- 3.1% 8,032,071 Infosys Ltd., ADR 199,918,247 -------------- ISRAEL -- 6.1% 1,262,315 Check Point Software Technologies Ltd. (c) 174,527,672 1,046,043 CyberArk Software Ltd. (c) 176,519,756 1,087,604 Radware Ltd. (c) 34,770,700 1,073,116 Tufin Software Technologies Ltd. (c) 9,582,926 -------------- 395,401,054 -------------- JAPAN -- 1.5% 1,691,673 Trend Micro, Inc. (d) 98,790,526 -------------- SOUTH KOREA -- 2.3% 1,420,703 Ahnlab, Inc. (d) 144,470,617 -------------- UNITED KINGDOM -- 0.8% 8,459,867 Darktrace PLC (c) (d) 49,665,812 -------------- UNITED STATES -- 84.2% 2,294,786 A10 Networks, Inc. 32,012,265 1,689,307 Akamai Technologies, Inc. (c) 201,686,363 2,266,490 Booz Allen Hamilton Holding Corp. 199,088,482 6,558,495 Cisco Systems, Inc. 365,701,681 3,141,785 Cloudflare, Inc., Class A (c) 376,071,665 1,873,722 Crowdstrike Holdings, Inc., Class A (c) 425,484,792 910,544 F5, Inc. (c) 190,258,169 530,828 Fortinet, Inc. (c) 181,405,161 5,412,364 Juniper Networks, Inc. 201,123,446 2,745,001 KnowBe4, Inc., Class A (c) 63,189,923 1,795,808 Leidos Holdings, Inc. 193,983,180 8,937,298 Mandiant, Inc. (c) 199,391,118 575,949 ManTech International Corp., Class A 49,641,044 6,310,687 NortonLifeLock, Inc. 167,359,419 1,000,239 Okta, Inc. (c) 150,996,079 629,298 OneSpan, Inc. (c) 9,087,063 615,510 Palo Alto Networks, Inc. (c) 383,161,130 2,558,742 Ping Identity Holding Corp. (c) 70,186,293 872,853 Qualys, Inc. (c) 124,302,996 1,317,532 Rapid7, Inc. (c) 146,562,260 2,266,589 Ribbon Communications, Inc. (c) 7,003,760 2,758,483 Sailpoint Technologies Holdings, Inc. (c) 141,179,160 984,288 Science Applications International Corp. 90,721,825 4,406,849 SentinelOne, Inc., Class A (c) 170,721,330 1,548,554 Splunk, Inc. (c) 230,130,610 2,573,270 Telos Corp. (c) 25,655,502 2,507,568 Tenable Holdings, Inc. (c) 144,912,355 SHARES DESCRIPTION VALUE ------------------------------------------------------------- UNITED STATES (CONTINUED) 3,012,853 Varonis Systems, Inc. (c) $ 143,231,032 855,720 VeriSign, Inc. (c) 190,363,471 1,558,836 VMware, Inc., Class A 177,504,655 1,529,444 Zscaler, Inc. (c) 369,024,248 -------------- 5,421,140,477 -------------- TOTAL COMMON STOCKS -- 100.1% 6,442,197,656 (Cost $5,330,243,116) -------------- MONEY MARKET FUNDS -- 0.0% 3,682,868 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (e) (f) 3,682,868 (Cost $3,682,868) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.0% $ 410,782 BNP Paribas S.A., 0.24% (e), dated 03/31/22, due 04/01/22, with a maturity value of $410,784. Collateralized by U.S. Treasury Note, interest ate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $418,525. (f) 410,782 (Cost $410,782) -------------- TOTAL INVESTMENTS -- 100.1% 6,446,291,306 (Cost $5,334,336,766) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (7,908,859) -------------- NET ASSETS -- 100.0% $6,438,382,447 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) All or a portion of this security is on loan (see Note 2E - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $3,865,398 and the total value of the collateral held by the Fund is $4,093,650. (c) Non-income producing security. (d) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $399,630,036 or 6.2% of net assets. Certain of these securities are fair valued using a factor provided by a Page 86 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ CYBERSECURITY ETF (CIBR) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (e) Rate shown reflects yield as of March 31, 2022. (f) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 3,865,398 Non-cash Collateral(2) (3,865,398) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 410,782 Non-cash Collateral(4) (410,782) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 93.8% South Korean Won 2.2 Euro 1.7 Japanese Yen 1.5 British Pound Sterling 0.8 ------ Total 100.0% ====== See Notes to Financial Statements Page 87 <PAGE> FIRST TRUST NASDAQ CYBERSECURITY ETF (CIBR) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: France........................................ $ 106,703,081 $ -- $ 106,703,081 $ -- Japan......................................... 98,790,526 -- 98,790,526 -- South Korea................................... 144,470,617 -- 144,470,617 -- United Kingdom................................ 49,665,812 -- 49,665,812 -- Other Country Categories*..................... 6,042,567,620 6,042,567,620 -- -- Money Market Funds.............................. 3,682,868 3,682,868 -- -- Repurchase Agreements........................... 410,782 -- 410,782 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 6,446,291,306 $ 6,046,250,488 $ 400,040,818 $ -- =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Page 88 See Notes to Financial Statements <PAGE> FIRST TRUST IPOX(R) EUROPE EQUITY OPPORTUNITIES ETF (FPXE) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.5% AUSTRIA -- 0.9% 915 ANDRITZ AG (b) $ 42,259 784 BAWAG Group AG (b) (c) (d) 39,560 -------------- 81,819 -------------- BELGIUM -- 3.7% 1,936 Euronav N.V. (b) 20,588 2,567 UCB S.A. (b) 307,007 -------------- 327,595 -------------- BERMUDA -- 3.7% 3,335 Arch Capital Group Ltd. (e) 161,481 45,253 AutoStore Holdings Ltd. (b) (e) 163,960 -------------- 325,441 -------------- CYPRUS -- 0.0% 1,795 HeadHunter Group PLC, ADR (b) (f) (h) 1,748 -------------- DENMARK -- 1.6% 686 Everfuel A/S (b) (e) 4,419 2,892 Genmab A/S, ADR (e) 104,633 440 Netcompany Group A/S (b) (c) (d) 28,996 -------------- 138,048 -------------- FINLAND -- 1.3% 3,262 Kojamo OYJ (b) 78,381 295 Musti Group OYJ (b) 7,781 1,042 TietoEVRY OYJ (b) 27,734 -------------- 113,896 -------------- FRANCE -- 2.4% 1,536 Antin Infrastructure Partners S.A. (b) (e) 49,340 844 Believe S.A. (b) (e) 13,478 1,681 La Francaise des Jeux SAEM (b) (c) (d) 66,690 942 Neoen S.A. (b) (c) (d) (e) 40,019 1,675 OVH Groupe SAS (b) (e) 42,952 -------------- 212,479 -------------- GERMANY -- 20.1% 1,638 About You Holding SE (e) 22,560 2,134 BioNTech SE, ADR (e) 363,975 7,241 Daimler Truck Holding AG (b) (e) 200,830 924 Hensoldt AG (b) 26,903 12,010 Siemens Healthineers AG (b) (c) (d) 744,273 1,955 Synlab AG (b) (e) 34,463 3,539 TeamViewer AG (b) (c) (d) (e) 52,262 4,400 Traton SE (b) 81,565 6,676 Vantage Towers AG (b) 235,800 -------------- 1,762,631 -------------- IRELAND -- 2.6% 835 Dole PLC 10,354 574 ICON PLC (e) 139,608 2,192 nVent Electric PLC 76,238 -------------- 226,200 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ISRAEL -- 3.2% 1,282 Global-e Online Ltd. (e) $ 43,306 732 Inmode Ltd. (e) 27,018 388 Monday.com Ltd. (e) 61,331 2,107 ZIM Integrated Shipping Services Ltd. 153,200 -------------- 284,855 -------------- ITALY -- 3.1% 7,130 Italgas S.p.A. (b) 45,743 11,529 Nexi S.p.A. (b) (c) (d) (e) 133,042 2,620 Stevanato Group S.p.A. (e) 52,714 5,288 Technoprobe S.p.A. (e) 38,960 -------------- 270,459 -------------- JERSEY -- 0.6% 1,713 Atotech Ltd. (e) 37,600 1,299 JTC PLC (b) (c) (d) 14,364 -------------- 51,964 -------------- LUXEMBOURG -- 2.4% 1,408 Befesa S.A. (b) (c) (d) 110,661 783 Shurgard Self Storage S.A. (b) 48,495 1,487 SUSE S.A. (b) (e) 47,872 -------------- 207,028 -------------- NETHERLANDS -- 18.4% 340 Adyen N.V. (b) (c) (d) (e) 673,440 383 Alfen Beheer BV (b) (c) (d) (e) 38,831 3,808 CTP N.V. (b) (c) (d) 63,749 501 IMCD N.V. (b) 85,467 4,417 JDE Peet's N.V. (b) 126,475 7,314 Prosus N.V. (b) 394,430 1,582 Technip Energies N.V. (b) (e) 19,291 7,978 Universal Music Group N.V. (b) 212,967 -------------- 1,614,650 -------------- NORWAY -- 2.1% 771 Crayon Group Holding ASA (b) (c) (d) (e) 14,518 16,880 Elkem ASA (b) (c) (d) 72,030 1,469 Europris ASA (b) (c) (d) 9,421 21,967 Var Energi AS (e) 92,071 -------------- 188,040 -------------- SPAIN -- 1.2% 2,897 Corp ACCIONA Energias Renovables S.A. (b) (e) 107,096 -------------- SWEDEN -- 12.5% 1,793 Bravida Holding AB (b) (c) (d) 20,617 387 Cibus Nordic Real Estate AB (b) 10,298 6,566 EQT AB (b) 256,063 890 Hemnet Group AB (b) (e) 13,385 2,293 Instalco AB (b) (d) 17,157 5,995 Lifco AB, Class B (b) 152,187 230 MIPS AB (b) (d) 21,389 2,200 Nordnet AB publ (b) 39,383 1,681 Nyfosa AB (b) 24,033 1,113 Olink Holding AB, ADR (e) 19,656 14,388 OX2 AB (b) (e) 108,265 See Notes to Financial Statements Page 89 <PAGE> FIRST TRUST IPOX(R) EUROPE EQUITY OPPORTUNITIES ETF (FPXE) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) SWEDEN (CONTINUED) 2,702 Swedish Orphan Biovitrum AB (b) (e) $ 63,966 1,320 Synsam AB (b) (e) 9,618 6,074 Tele2 AB, Class B (b) 91,813 920 Thule Group AB (b) (c) (d) 36,419 3,288 Truecaller AB, Class B (b) (e) 22,481 26,218 Volvo Car AB, Class B (b) (e) 188,559 -------------- 1,095,289 -------------- SWITZERLAND -- 7.0% 104 Medartis Holding AG (c) (d) (e) 13,934 5,459 On Holding AG, Class A (e) (g) 137,785 291 PolyPeptide Group AG (b) (c) (d) (e) 23,022 137 Sensirion Holding AG (b) (c) (d) (e) 16,855 2,970 SIG Combibloc Group AG (b) 74,873 9,759 Sportradar Holding AG (e) (g) 162,390 880 Stadler Rail AG (b) 34,081 396 VAT Group AG (b) (c) (d) 150,773 -------------- 613,713 -------------- UNITED KINGDOM -- 10.2% 66,138 Airtel Africa PLC (b) (c) (d) 120,740 5,538 Allfunds Group PLC (b) (e) 63,438 1,060 Auction Technology Group PLC (b) (e) 13,617 9,150 Avast PLC (c) (d) 68,032 260 Bicycle Therapeutics PLC, ADR (e) 11,409 2,692 Biffa PLC (b) (c) (d) 11,225 7,244 Bridgepoint Group PLC (c) (d) (e) 33,449 12,309 Darktrace PLC (b) (e) 72,263 3,513 Drax Group PLC (b) 36,126 490 Endava PLC, ADR (e) 65,185 4,688 Energean PLC (e) 73,346 1,532 Finablr PLC (b) (c) (e) (f) (h) 0 28,597 M&G PLC (b) 82,397 8,119 Ninety One PLC 27,176 7,238 Oxford Nanopore Technologies PLC (b) (e) 37,644 14,414 Quilter PLC (b) (c) (d) 26,911 22,296 Vivo Energy PLC (b) (c) (d) 39,817 2,108 Watches of Switzerland Group PLC (b) (c) (e) 31,326 12,526 Wise PLC, Class A (b) (e) 80,988 -------------- 895,089 -------------- UNITED STATES -- 2.5% 3,626 Playtika Holding Corp. (e) 70,091 465 SolarEdge Technologies, Inc. (e) 149,902 -------------- 219,993 -------------- TOTAL COMMON STOCKS -- 99.5% 8,738,033 (Cost $9,566,343) -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 2.4% 214,289 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.20% (i) (j) $ 214,289 (Cost $214,289) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 23,901 BNP Paribas S.A., 0.24% (i), dated 03/31/22, due 04/01/22, with a maturity value of $23,902. Collateralized by U.S. Treasury Note, interest rate of 0.25%, due 09/30/25. The value of the collateral including accrued interest is $24,352. (j) 23,901 (Cost $23,901) -------------- TOTAL INVESTMENTS -- 102.2% 8,976,223 (Cost $9,804,533) NET OTHER ASSETS AND LIABILITIES -- (2.2)% (195,923) -------------- NET ASSETS -- 100.0% $ 8,780,300 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $6,520,629 or 74.3% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (d) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (e) Non-income producing security. Page 90 See Notes to Financial Statements <PAGE> FIRST TRUST IPOX(R) EUROPE EQUITY OPPORTUNITIES ETF (FPXE) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) (f) This security's value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). (g) All or a portion of this security is on loan (see Note 2E - 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 $229,441 and the total value of the collateral held by the Fund is $238,190. (h) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisors, L.P., the Fund's Advisor. (i) Rate shown reflects yield as of March 31, 2022. (j) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 229,441 Non-cash Collateral(2) (229,441) -------------- 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 March 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 23,901 Non-cash Collateral(4) (23,901) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At March 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- Euro 48.4% United States Dollar 23.2 Swedish Krona 12.0 British Pound Sterling 8.6 Norwegian Krone 4.0 Swiss Franc 3.5 Danish Krone 0.3 ------ Total 100.0% ====== See Notes to Financial Statements Page 91 <PAGE> FIRST TRUST IPOX(R) EUROPE EQUITY OPPORTUNITIES ETF (FPXE) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Bermuda....................................... $ 325,441 $ 161,481 $ 163,960 $ -- Cyprus........................................ 1,748 -- -- 1,748 Denmark....................................... 138,048 104,633 33,415 -- Germany....................................... 1,762,631 386,535 1,376,096 -- Ireland....................................... 226,200 226,200 -- -- Israel........................................ 284,855 284,855 -- -- Italy......................................... 270,459 91,674 178,785 -- Jersey........................................ 51,964 37,600 14,364 -- Norway........................................ 188,040 92,071 95,969 -- Sweden........................................ 1,095,289 19,656 1,075,633 -- Switzerland................................... 613,713 314,109 299,604 -- United Kingdom................................ 895,089 278,597 616,492 --* United States................................. 219,993 219,993 -- -- Other Country Categories**.................... 2,664,563 -- 2,664,563 -- Money Market Funds.............................. 214,289 214,289 -- -- Repurchase Agreements........................... 23,901 -- 23,901 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 8,976,223 $ 2,431,693 $ 6,542,782 $ 1,748 =============== =============== =============== =============== </TABLE> * Investment is valued at $0. ** See Portfolio of Investments for country breakout. Level 3 Common Stocks are fair valued by the Advisor's Pricing Committee and are footnoted in the Portfolio of Investments. Level 3 Common Stocks values are based on unobservable and non-quantitative inputs. Page 92 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES INTERNATIONAL INTERNET ETF (FDNI) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 96.4% AUSTRALIA -- 1.9% 2,010 REA Group Ltd. (b) $ 201,502 13,809 SEEK Ltd. (b) 304,110 6,366 WiseTech Global Ltd. (b) 239,609 -------------- 745,221 -------------- CANADA -- 8.3% 3,303 Descartes Systems Group (The), Inc. (c) 241,830 4,448 Shopify, Inc., Class A (c) 3,008,159 -------------- 3,249,989 -------------- CAYMAN ISLANDS -- 46.5% 37,472 Alibaba Group Holding Ltd., ADR (c) 4,076,954 11,066 Baidu, Inc., ADR (c) 1,464,032 8,680 Bilibili, Inc., ADR (c) 222,034 41,126 JD Health International, Inc. (b) (c) (d) (e) 246,246 26,764 JD.com, Inc., ADR (c) 1,548,833 58,608 Kuaishou Technology (b) (c) (d) (e) 537,008 157,577 Meituan, Class B (b) (c) (d) (e) 2,985,129 14,559 NetEase, Inc., ADR 1,305,797 17,115 Pinduoduo, Inc., ADR (c) 686,483 13,110 Sea Ltd., ADR (c) 1,570,447 78,049 Tencent Holdings Ltd. (b) 3,597,617 -------------- 18,240,580 -------------- GERMANY -- 2.3% 7,442 Delivery Hero SE (b) (c) (d) (e) 324,352 3,262 Scout24 SE (b) (d) (e) 185,975 7,565 Zalando SE (b) (c) (d) (e) 383,050 -------------- 893,377 -------------- IRELAND -- 1.8% 5,962 Flutter Entertainment PLC (c) 692,527 -------------- ISLE OF MAN -- 1.2% 22,885 Entain PLC (b) (c) 490,219 -------------- ISRAEL -- 0.6% 2,222 Wix.com Ltd. (c) 232,110 -------------- JAPAN -- 5.0% 16,000 CyberAgent, Inc. (b) 197,994 16,672 M3, Inc. (b) 602,126 18,282 Nexon Co., Ltd. (b) 437,374 35,773 Rakuten Group, Inc. (b) 281,273 101,576 Z Holdings Corp. (b) 439,122 -------------- 1,957,889 -------------- LUXEMBOURG -- 2.1% 5,398 Spotify Technology S.A. (c) 815,206 -------------- NETHERLANDS -- 9.8% 908 Adyen N.V. (b) (c) (d) (e) 1,798,481 5,890 Just Eat Takeaway.com N.V. (b) (c) (d) (e) 197,539 33,981 Prosus N.V. (b) 1,832,532 SHARES DESCRIPTION VALUE ------------------------------------------------------------- NETHERLANDS (CONTINUED) 15,088 Yandex N.V., Class A (b) (c) (f) (g) $ 18,520 -------------- 3,847,072 -------------- NEW ZEALAND -- 1.0% 5,059 Xero Ltd. (b) (c) 383,410 -------------- SOUTH AFRICA -- 2.4% 8,496 Naspers Ltd., Class N (b) 959,558 -------------- SOUTH KOREA -- 7.4% 12,180 Kakao Corp. 1,070,228 5,761 NAVER Corp. (b) 1,601,149 625 NCSoft Corp. (b) 239,692 -------------- 2,911,069 -------------- UNITED KINGDOM -- 6.1% 5,507 Atlassian Corp. PLC, Class A (c) 1,618,122 37,807 Auto Trader Group PLC (b) (d) (e) 312,106 16,839 IG Group Holdings PLC (b) 180,862 34,161 Rightmove PLC (b) 282,328 -------------- 2,393,418 -------------- TOTAL INVESTMENTS -- 96.4% 37,811,645 (Cost $62,753,792) NET OTHER ASSETS AND LIABILITIES -- 3.6% 1,431,796 -------------- NET ASSETS -- 100.0% $ 39,243,441 ============== (a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund's underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2022, securities noted as such are valued at $19,258,883 or 49.1% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets' close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. (c) Non-income producing security. (d) This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act") and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. See Notes to Financial Statements Page 93 <PAGE> FIRST TRUST DOW JONES INTERNATIONAL INTERNET ETF (FDNI) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) (e) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. (f) This security's value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). (g) Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by First Trust Advisor, L.P., the Fund's Advisor. ADR - American Depositary Receipt % OF TOTAL CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS ------------------------------------------------------------- United States Dollar 35.9% Hong Kong Dollar 19.5 Euro 14.3 Canadian Dollar 8.6 South Korean Won 7.7 Japanese Yen 5.2 British Pound Sterling 3.3 Australian Dollar 3.0 South African Rand 2.5 ------ Total 100.0% ====== ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> Common Stocks: Canada........................................ $ 3,249,989 $ 3,249,989 $ -- $ -- Cayman Islands................................ 18,240,580 10,874,580 7,366,000 -- Ireland....................................... 692,527 692,527 -- -- Israel........................................ 232,110 232,110 -- -- Luxembourg.................................... 815,206 815,206 -- -- Netherlands................................... 3,847,072 -- 3,828,552 18,520 South Korea................................... 2,911,069 1,070,228 1,840,841 -- United Kingdom................................ 2,393,418 1,618,122 775,296 -- Other Country Categories*..................... 5,429,674 -- 5,429,674 -- --------------- --------------- --------------- --------------- Total Investments............................... $ 37,811,645 $ 18,552,762 $ 19,240,363 $ 18,520 =============== =============== =============== =============== </TABLE> * See Portfolio of Investments for country breakout. Level 3 Common Stocks are fair valued by the Advisor's Pricing Committee and are footnoted in the Portfolio of Investments. Level 3 Common Stocks values are based on unobservable and non-quantitative inputs. Page 94 See Notes to Financial Statements <PAGE> This page intentionally left blank. Page 95 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 2022 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FTSE FIRST TRUST STOXX(R) EPRA/NAREIT DOW JONES EUROPEAN DEVELOPED MARKETS GLOBAL SELECT SELECT DIVIDEND REAL ESTATE DIVIDEND INDEX FUND INDEX FUND INDEX FUND (FDD) (FFR) (FGD) ------------------ ------------------ ------------------ ASSETS: <S> <C> <C> <C> Investments, at value............................................ $ 274,313,761 $ 35,726,950 $ 631,803,027 Cash............................................................. -- -- -- Foreign currency, at value....................................... 3,643 7,955 533,005 Receivables: Reclaims...................................................... 1,286,335 13,553 866,850 Dividends..................................................... 2,379,065 125,227 7,182,468 Investment securities sold.................................... -- -- -- Capital shares sold........................................... -- -- 2,988,675 Securities lending income..................................... -- -- -- Prepaid expenses.............................................. 1,269 132 2,190 ---------------- ---------------- ---------------- TOTAL ASSETS.................................................. 277,984,073 35,873,817 643,376,215 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian................................................. -- -- -- Due to custodian foreign currency................................ -- -- -- Payables: Licensing fees................................................ 112,938 10,618 60,605 Investment advisory fees...................................... 93,223 1,237 204,886 Audit and tax fees............................................ 57,918 25,656 60,672 Shareholder reporting fees.................................... 10,230 6,731 21,995 Capital shares purchased...................................... -- -- -- Investment securities purchased............................... -- -- 3,798,459 Foreign capital gains tax..................................... -- -- -- Collateral for securities on loan............................. -- -- -- Other liabilities................................................ 38,125 16,360 91,239 ---------------- ---------------- ---------------- TOTAL LIABILITIES............................................. 312,434 60,602 4,237,856 ---------------- ---------------- ---------------- NET ASSETS....................................................... $ 277,671,639 $ 35,813,215 $ 639,138,359 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital.................................................. $ 333,322,751 $ 33,464,896 $ 797,979,366 Par value........................................................ 208,533 6,916 252,500 Accumulated distributable earnings (loss)........................ (55,859,645) 2,341,403 (159,093,507) ---------------- ---------------- ---------------- NET ASSETS....................................................... $ 277,671,639 $ 35,813,215 $ 639,138,359 ================ ================ ================ NET ASSET VALUE, per share....................................... $ 13.32 $ 51.78 $ 25.31 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................ 20,853,334 691,608 25,250,002 ================ ================ ================ Investments, at cost............................................. $ 265,190,760 $ 31,776,725 $ 608,667,842 ================ ================ ================ Foreign currency, at cost (proceeds)............................. $ 3,615 $ 7,952 $ 534,492 ================ ================ ================ Securities on loan, at value..................................... $ -- $ -- $ -- ================ ================ ================ </TABLE> Page 96 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST GLOBAL NASDAQ(R) CLEAN FIRST TRUST FIRST TRUST GLOBAL ENGINEERING EDGE(R) SMART GRID INDXX GLOBAL INDXX GLOBAL WIND ENERGY AND CONSTRUCTION INFRASTRUCTURE NATURAL RESOURCES AGRICULTURE ETF ETF INDEX FUND INCOME ETF ETF (FAN) (FLM) (GRID) (FTRI) (FTAG) ------------------ ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> <C> $ 349,222,886 $ 11,143,684 $ 755,425,065 $ 111,671,260 $ 16,286,439 -- 33,820 643,661 53,375 138,227 451,132 -- 954,760 105,421 368,347 475,435 7,060 628,237 12,272 10,248 397,263 73,560 453,937 574,022 19,737 -- 203,611 -- -- 136,297 -- -- -- -- 3,637 10,958 774 6,252 169 -- 1,761 49 5,932 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 350,559,435 11,462,558 758,117,844 112,416,519 16,962,932 ---------------- ---------------- ---------------- ---------------- ---------------- 149,212 -- -- -- -- -- 200,260 -- -- -- 78,790 2,695 164,444 -- -- 110,321 538 238,364 48,900 7,338 23,615 23,579 26,782 -- -- 34,912 5,048 12,918 -- -- -- -- -- -- 477,674 -- 3,205 -- -- 139,904 -- -- -- 13,989 9,481 21,537,261 323,453 28,680,767 8,421,600 -- 50,829 8,703 76,506 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 21,984,940 567,481 29,199,781 8,484,489 634,397 ---------------- ---------------- ---------------- ---------------- ---------------- $ 328,574,495 $ 10,895,077 $ 728,918,063 $ 103,932,030 $ 16,328,535 ================ ================ ================ ================ ================ $ 376,074,127 $ 18,260,078 $ 693,610,415 $ 154,602,319 $ 33,962,762 167,000 2,000 77,500 63,000 4,899 (47,666,632) (7,367,001) 35,230,148 (50,733,289) (17,639,126) ---------------- ---------------- ---------------- ---------------- ---------------- $ 328,574,495 $ 10,895,077 $ 728,918,063 $ 103,932,030 $ 16,328,535 ================ ================ ================ ================ ================ $ 19.68 $ 54.47 $ 94.05 $ 16.50 $ 33.33 ================ ================ ================ ================ ================ 16,700,002 200,002 7,750,002 6,300,002 489,928 ================ ================ ================ ================ ================ $ 344,745,995 $ 9,954,468 $ 729,772,056 $ 100,835,088 $ 15,494,903 ================ ================ ================ ================ ================ $ 449,274 $ (200,092) $ 958,343 $ 105,473 $ 368,347 ================ ================ ================ ================ ================ $ 20,428,434 $ 126,607 $ 27,381,518 $ 8,157,600 $ -- ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 97 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) MARCH 31, 2022 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST S-NETWORK FIRST TRUST FIRST TRUST FUTURE VEHICLES BICK INDXX NEXTG & TECHNOLOGY INDEX FUND ETF ETF (BICK) (NXTG) (CARZ) ------------------ ------------------ ------------------ ASSETS: <S> <C> <C> <C> Investments, at value............................................ $ 22,013,808 $ 949,372,462 $ 72,935,061 Cash............................................................. 37,914 13,584,154 7,847 Foreign currency, at value....................................... 15 113,008 18 Receivables: Reclaims...................................................... -- 161,505 28,869 Dividends..................................................... 74,768 2,887,004 228,861 Investment securities sold.................................... -- -- -- Capital shares sold........................................... -- 11,363 -- Securities lending income..................................... 1,717 16,473 31,874 Prepaid expenses.............................................. -- -- -- ---------------- ---------------- ---------------- TOTAL ASSETS.................................................. 22,128,222 966,145,969 73,232,530 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian................................................. -- -- -- Due to custodian foreign currency................................ -- -- -- Payables: Licensing fees................................................ -- -- -- Investment advisory fees...................................... 11,733 554,870 40,262 Audit and tax fees............................................ -- -- -- Shareholder reporting fees.................................... -- -- -- Capital shares purchased...................................... -- -- -- Investment securities purchased............................... -- -- -- Foreign capital gains tax..................................... -- 1,244,578 -- Collateral for securities on loan............................. 644,290 32,082,272 4,021,632 Other liabilities................................................ -- -- -- ---------------- ---------------- ---------------- TOTAL LIABILITIES............................................. 656,023 33,881,720 4,061,894 ---------------- ---------------- ---------------- NET ASSETS....................................................... $ 21,472,199 $ 932,264,249 $ 69,170,636 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital.................................................. $ 44,196,780 $ 766,717,786 $ 73,394,562 Par value........................................................ 7,000 123,000 12,000 Accumulated distributable earnings (loss)........................ (22,731,581) 165,423,463 (4,235,926) ---------------- ---------------- ---------------- NET ASSETS....................................................... $ 21,472,199 $ 932,264,249 $ 69,170,636 ================ ================ ================ NET ASSET VALUE, per share....................................... $ 30.67 $ 75.79 $ 57.64 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................ 700,002 12,300,002 1,200,002 ================ ================ ================ Investments, at cost............................................. $ 22,095,261 $ 850,677,575 $ 71,361,338 ================ ================ ================ Foreign currency, at cost (proceeds)............................. $ 15 $ 113,203 $ 18 ================ ================ ================ Securities on loan, at value..................................... $ 607,820 $ 30,017,259 $ 3,901,797 ================ ================ ================ </TABLE> Page 98 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST IPOX(R) EUROPE DOW JONES CLOUD INTERNATIONAL NASDAQ EQUITY INTERNATIONAL COMPUTING EQUITY CYBERSECURITY OPPORTUNITIES INTERNET ETF OPPORTUNITIES ETF ETF ETF ETF (SKYY) (FPXI) (CIBR) (FPXE) (FDNI) ------------------ ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> <C> $ 5,496,161,426 $ 575,213,273 $ 6,446,291,306 $ 8,976,223 $ 37,811,645 667,479 1,041,088 13,391,189 1,710 124,485 -- -- -- 25 -- 395,272 192,092 84,720 5,543 -- 879,885 2,219,074 -- 37,367 15,124 27,570,010 -- -- -- 1,410,495 -- -- 45,019,859 -- -- 24,782 112,867 3,568 2,817 -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 5,525,698,854 578,778,394 6,504,790,642 9,023,685 39,361,749 ---------------- ---------------- ---------------- ---------------- ---------------- -- -- -- -- -- -- 77 57 -- 8 -- -- -- -- -- 2,614,133 340,697 3,075,894 5,195 23,562 -- -- -- -- -- -- -- -- -- -- 27,578,378 -- -- -- -- -- 59,238,594 -- 94,738 -- -- -- -- -- 149,089,996 22,653,759 4,093,650 238,190 -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 179,282,507 22,994,533 66,408,195 243,385 118,308 ---------------- ---------------- ---------------- ---------------- ---------------- $ 5,346,416,347 $ 555,783,861 $ 6,438,382,447 $ 8,780,300 $ 39,243,441 ================ ================ ================ ================ ================ $ 5,364,112,734 $ 785,003,664 $ 5,233,207,535 $ 10,608,871 $ 77,153,358 591,000 113,500 1,217,000 3,500 15,000 (18,287,387) (229,333,303) 1,203,957,912 (1,832,071) (37,924,917) ---------------- ---------------- ---------------- ---------------- ---------------- $ 5,346,416,347 $ 555,783,861 $ 6,438,382,447 $ 8,780,300 $ 39,243,441 ================ ================ ================ ================ ================ $ 90.46 $ 48.97 $ 52.90 $ 25.09 $ 26.16 ================ ================ ================ ================ ================ 59,100,002 11,350,002 121,700,002 350,002 1,500,002 ================ ================ ================ ================ ================ $ 5,294,415,489 $ 612,377,703 $ 5,334,336,766 $ 9,804,533 $ 62,753,792 ================ ================ ================ ================ ================ $ -- $ (79) $ (57) $ 25 $ (8) ================ ================ ================ ================ ================ $ 141,356,084 $ 21,088,947 $ 3,865,398 $ 229,441 $ -- ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 99 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MARCH 31, 2022 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FTSE FIRST TRUST STOXX(R) EPRA/NAREIT DOW JONES EUROPEAN DEVELOPED MARKETS GLOBAL SELECT SELECT DIVIDEND REAL ESTATE DIVIDEND INDEX FUND INDEX FUND INDEX FUND (FDD) (FFR) (FGD) ------------------ ------------------ ------------------ <S> <C> <C> <C> INVESTMENT INCOME: Dividends........................................................ $ 4,305,768 $ 592,550 $ 14,908,876 Securities lending income (net of fees).......................... -- -- -- Foreign withholding tax.......................................... (317,603) (30,976) (1,615,214) ---------------- ---------------- ---------------- Total investment income....................................... 3,988,165 561,574 13,293,662 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees......................................... 577,745 72,549 1,091,777 Licensing fees................................................... 86,662 21,764 152,618 Accounting and administration fees............................... 73,004 12,121 137,743 Audit and tax fees............................................... 27,628 19,905 30,112 Shareholder reporting fees....................................... 17,431 9,094 28,303 Custodian fees................................................... 13,859 26,690 47,488 Transfer agent fees.............................................. 7,222 907 13,647 Legal fees....................................................... 3,924 881 7,004 Trustees' fees and expenses...................................... 3,674 3,607 3,748 Listing fees..................................................... 2,431 2,431 2,431 Registration and filing fees..................................... 322 6 4,357 Other expenses................................................... 2,649 550 4,600 ---------------- ---------------- ---------------- Total expenses................................................ 816,551 170,505 1,523,828 Less fees waived and expenses reimbursed by the investment advisor.................................................... -- (61,682) -- ---------------- ---------------- ---------------- Net expenses.................................................. 816,551 108,823 1,523,828 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)..................................... 3,171,614 452,751 11,769,834 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 745,595 (34,714) 10,471,380 In-kind redemptions........................................... 1,494,893 739,842 1,525,889 Foreign currency transactions................................. 3,221 (2,287) 74,006 Foreign capital gains tax..................................... -- -- -- ---------------- ---------------- ---------------- Net realized gain (loss)......................................... 2,243,709 702,841 12,071,275 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... (14,615,620) 741,907 (7,853,785) Foreign currency translation.................................. (68,107) (2,564) (93,210) Deferred foreign capital gains tax............................ -- -- -- ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation)............. (14,683,727) 739,343 (7,946,995) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS).......................... (12,440,018) 1,442,184 4,124,280 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ (9,268,404) $ 1,894,935 $ 15,894,114 ================ ================ ================ </TABLE> (a) Fund is subject to a unitary fee (see Note 3 in the Notes to Financial Statements). Page 100 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST GLOBAL NASDAQ(R) CLEAN FIRST TRUST FIRST TRUST GLOBAL ENGINEERING EDGE(R) SMART GRID INDXX GLOBAL INDXX GLOBAL WIND ENERGY AND CONSTRUCTION INFRASTRUCTURE NATURAL RESOURCES AGRICULTURE ETF ETF INDEX FUND INCOME ETF ETF (FAN) (FLM) (GRID) (FTRI) (FTAG) ------------------ ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> <C> $ 2,470,145 $ 112,991 $ 5,199,780 $ 1,952,840 $ 79,394 39,858 2,363 32,343 5,724 -- (313,305) (11,967) (390,551) (63,476) (4,156) ---------------- ---------------- ---------------- ---------------- ---------------- 2,196,698 103,387 4,841,572 1,895,088 75,238 ---------------- ---------------- ---------------- ---------------- ---------------- 686,774 21,713 1,437,450 164,816 (a) 25,731 (a) 171,694 5,428 322,128 -- -- 86,805 3,784 180,588 -- -- 17,445 17,463 18,112 -- -- 38,783 7,655 27,316 -- -- 29,217 3,551 28,772 -- -- 8,585 272 17,968 -- -- 4,798 137 7,778 -- -- 3,691 3,600 3,797 -- -- 2,692 2,692 5,253 -- -- 737 6 10,623 -- -- 3,684 893 5,991 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 1,054,905 67,194 2,065,776 164,816 25,731 (24,744) (29,190) -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 1,030,161 38,004 2,065,776 164,816 25,731 ---------------- ---------------- ---------------- ---------------- ---------------- 1,166,537 65,383 2,775,796 1,730,272 49,507 ---------------- ---------------- ---------------- ---------------- ---------------- (10,631,767) (94,435) (8,897,440) (543,836) (71,421) 14,467,543 -- 22,005,322 -- 1,095,761 (20,755) (4,850) 34,367 2,446 (2,350) -- -- -- (1,376) (48) ---------------- ---------------- ---------------- ---------------- ---------------- 3,815,021 (99,285) 13,142,249 (542,766) 1,021,942 ---------------- ---------------- ---------------- ---------------- ---------------- (26,370,410) 190,477 (25,018,862) 13,239,261 24,480 (7,435) 2,570 (10,177) (499) (488) -- -- -- (7,927) 1,062 ---------------- ---------------- ---------------- ---------------- ---------------- (26,377,845) 193,047 (25,029,039) 13,230,835 25,054 ---------------- ---------------- ---------------- ---------------- ---------------- (22,562,824) 93,762 (11,886,790) 12,688,069 1,046,996 ---------------- ---------------- ---------------- ---------------- ---------------- $ (21,396,287) $ 159,145 $ (9,110,994) $ 14,418,341 $ 1,096,503 ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 101 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED MARCH 31, 2022 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST S-NETWORK FIRST TRUST FIRST TRUST FUTURE VEHICLES BICK INDXX NEXTG & TECHNOLOGY INDEX FUND ETF ETF (BICK) (NXTG) (CARZ) ------------------ ------------------ ------------------ <S> <C> <C> <C> INVESTMENT INCOME: Dividends........................................................ $ 543,467 $ 14,593,369 $ 1,529,487 Securities lending income (net of fees).......................... 10,337 98,973 71,003 Foreign withholding tax.......................................... (11,680) (844,095) (45,407) ---------------- ---------------- ---------------- Total investment income....................................... 542,124 13,848,247 1,555,083 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees......................................... 98,306 (a) 3,569,528 (a) 257,326 (a) Licensing fees................................................... -- -- -- Accounting and administration fees............................... -- -- -- Audit and tax fees............................................... -- -- -- Shareholder reporting fees....................................... -- -- -- Custodian fees................................................... -- -- -- Transfer agent fees.............................................. -- -- -- Legal fees....................................................... -- -- -- Trustees' fees and expenses...................................... -- -- -- Listing fees..................................................... -- -- -- Registration and filing fees..................................... -- -- -- Other expenses................................................... -- -- -- ---------------- ---------------- ---------------- Total expenses................................................ 98,306 3,569,528 257,326 Less fees waived and expenses reimbursed by the investment advisor.................................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................. 98,306 3,569,528 257,326 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)..................................... 443,818 10,278,719 1,297,757 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (1,527,274) 10,695,893 (5,365,999) In-kind redemptions........................................... 11,503,459 65,882,607 4,870,769 Foreign currency transactions................................. 15,273 (110,897) (23,973) Foreign capital gains tax..................................... -- (933,255) -- ---------------- ---------------- ---------------- Net realized gain (loss)......................................... 9,991,458 75,534,348 (519,203) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... (10,060,399) (79,037,083) (1,598,607) Foreign currency translation.................................. 1,130 (12,147) (4,729) Deferred foreign capital gains tax............................ -- 1,385,893 -- ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation)............. (10,059,269) (77,663,337) (1,603,336) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS).......................... (67,811) (2,128,989) (2,122,539) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ 376,007 $ 8,149,730 $ (824,782) ================ ================ ================ </TABLE> (a) Fund is subject to a unitary fee (see Note 3 in the Notes to Financial Statements). Page 102 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST IPOX(R) EUROPE DOW JONES CLOUD INTERNATIONAL NASDAQ EQUITY INTERNATIONAL COMPUTING EQUITY CYBERSECURITY OPPORTUNITIES INTERNET ETF OPPORTUNITIES ETF ETF ETF ETF (SKYY) (FPXI) (CIBR) (FPXE) (FDNI) ------------------ ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> <C> $ 60,063,007 $ 5,710,872 $ 47,360,615 $ 89,950 $ 263,530 1,060,863 182,287 1,120,589 3,100 -- (48,191) (623,053) (611,374) (13,528) (3,144) ---------------- ---------------- ---------------- ---------------- ---------------- 61,075,679 5,270,106 47,869,830 79,522 260,386 ---------------- ---------------- ---------------- ---------------- ---------------- 17,716,926 (a) 3,077,798 (a) 16,366,016 (a) 36,573 (a) 247,597 (a) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 17,716,926 3,077,798 16,366,016 36,573 247,597 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 17,716,926 3,077,798 16,366,016 36,573 247,597 ---------------- ---------------- ---------------- ---------------- ---------------- 43,358,753 2,192,308 31,503,814 42,949 12,789 ---------------- ---------------- ---------------- ---------------- ---------------- (388,157,874) (122,140,082) (53,725,476) (732,633) (6,296,766) 341,298,702 20,636,169 252,702,363 134,323 (1,381,965) -- (417,785) (270,008) (681) (1,727) -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- (46,859,172) (101,921,698) 198,706,879 (598,991) (7,680,458) ---------------- ---------------- ---------------- ---------------- ---------------- (836,629,094) (133,701,597) 241,704,676 (1,555,992) (19,010,992) -- (19,908) 2,902 (51) 284 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- (836,629,094) (133,721,505) 241,707,578 (1,556,043) (19,010,708) ---------------- ---------------- ---------------- ---------------- ---------------- (883,488,266) (235,643,203) 440,414,457 (2,155,034) (26,691,166) ---------------- ---------------- ---------------- ---------------- ---------------- $ (840,129,513) $ (233,450,895) $ 471,918,271 $ (2,112,085) $ (26,678,377) ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 103 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST FIRST TRUST STOXX(R) EUROPEAN FTSE EPRA/NAREIT SELECT DIVIDEND DEVELOPED MARKETS REAL ESTATE INDEX FUND INDEX FUND (FDD) (FFR) ----------------------------------- ----------------------------------- SIX MONTHS ENDED SIX MONTHS ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 ---------------- ---------------- ---------------- ---------------- OPERATIONS: <S> <C> <C> <C> <C> Net investment income (loss)............................ $ 3,171,614 $ 9,854,187 $ 452,751 $ 745,716 Net realized gain (loss)................................ 2,243,709 21,411,028 702,841 1,100,313 Net change in unrealized appreciation (depreciation).... (14,683,727) 35,038,440 739,343 6,368,752 ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from operations...................................... (9,268,404) 66,303,655 1,894,935 8,214,781 ---------------- ---------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (3,103,511) (9,883,719) (858,563) (233,141) ---------------- ---------------- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 13,719,382 81,399,807 2,663,290 2,562,370 Cost of shares redeemed................................. (9,706,674) (32,016,164) (2,543,440) (8,557,560) ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 4,012,708 49,383,643 119,850 (5,995,190) ---------------- ---------------- ---------------- ---------------- Total increase (decrease) in net assets................. (8,359,207) 105,803,579 1,156,222 1,986,450 NET ASSETS: Beginning of period..................................... 286,030,846 180,227,267 34,656,993 32,670,543 ---------------- ---------------- ---------------- ---------------- End of period........................................... $ 277,671,639 $ 286,030,846 $ 35,813,215 $ 34,656,993 ================ ================ ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 20,603,334 17,553,334 691,608 841,608 Shares sold............................................. 950,000 5,550,000 50,000 50,000 Shares redeemed......................................... (700,000) (2,500,000) (50,000) (200,000) ---------------- ---------------- ---------------- ---------------- Shares outstanding, end of period....................... 20,853,334 20,603,334 691,608 691,608 ================ ================ ================ ================ </TABLE> Page 104 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST DOW JONES FIRST TRUST GLOBAL ENGINEERING GLOBAL SELECT DIVIDEND GLOBAL WIND ENERGY AND CONSTRUCTION INDEX FUND ETF ETF (FGD) (FAN) (FLM) ----------------------------------- ----------------------------------- ----------------------------------- SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> <C> $ 11,769,834 $ 23,115,111 $ 1,166,537 $ 5,180,381 $ 65,383 $ 160,246 12,071,275 46,690,866 3,815,021 35,096,746 (99,285) (280,169) (7,946,995) 76,332,374 (26,377,845) (2,908,716) 193,047 1,887,797 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 15,894,114 146,138,351 (21,396,287) 37,368,411 159,145 1,767,874 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (12,536,351) (22,659,267) (1,524,885) (6,120,596) (53,701) (143,267) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 143,324,714 231,712,385 20,348,359 237,937,542 -- 2,855,164 (11,998,261) (195,225,987) (54,772,948) (88,339,911) -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 131,326,453 36,486,398 (34,424,589) 149,597,631 -- 2,855,164 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 134,684,216 159,965,482 (57,345,761) 180,845,446 105,444 4,479,771 504,454,143 344,488,661 385,920,256 205,074,810 10,789,633 6,309,862 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 639,138,359 $ 504,454,143 $ 328,574,495 $ 385,920,256 $ 10,895,077 $ 10,789,633 ================ ================ ================ ================ ================ ================ 20,200,002 19,300,002 18,450,002 11,750,002 200,002 150,002 5,550,000 9,050,000 1,000,000 10,800,000 -- 50,000 (500,000) (8,150,000) (2,750,000) (4,100,000) -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 25,250,002 20,200,002 16,700,002 18,450,002 200,002 200,002 ================ ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 105 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST NASDAQ(R) CLEAN EDGE(R) INDXX GLOBAL SMART GRID INFRASTRUCTURE NATURAL RESOURCES INDEX FUND INDEX FUND (GRID) (FTRI) ----------------------------------- ----------------------------------- SIX MONTHS ENDED SIX MONTHS ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 ---------------- ---------------- ---------------- ---------------- OPERATIONS: <S> <C> <C> <C> <C> Net investment income (loss)............................ $ 2,775,796 $ 3,242,273 $ 1,730,272 $ 1,894,518 Net realized gain (loss)................................ 13,142,249 8,840,140 (542,766) 1,321,619 Net change in unrealized appreciation (depreciation).... (25,029,039) 42,350,049 13,230,835 (2,205,536) ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from operations...................................... (9,110,994) 54,432,462 14,418,341 1,010,601 ---------------- ---------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (1,306,926) (3,258,036) (2,238,231) (1,526,281) ---------------- ---------------- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 249,739,834 474,084,702 55,440,179 31,087,104 Cost of shares redeemed................................. (60,666,346) (31,575,616) -- -- ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 189,073,488 442,509,086 55,440,179 31,087,104 ---------------- ---------------- ---------------- ---------------- Total increase (decrease) in net assets................. 178,655,568 493,683,512 67,620,289 30,571,424 NET ASSETS: Beginning of period..................................... 550,262,495 56,578,983 36,311,741 5,740,317 ---------------- ---------------- ---------------- ---------------- End of period........................................... $ 728,918,063 $ 550,262,495 $ 103,932,030 $ 36,311,741 ================ ================ ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 5,950,002 900,002 2,800,002 600,002 Shares sold............................................. 2,450,000 5,400,000 3,500,000 2,200,000 Shares redeemed......................................... (650,000) (350,000) -- -- ---------------- ---------------- ---------------- ---------------- Shares outstanding, end of period....................... 7,750,002 5,950,002 6,300,002 2,800,002 ================ ================ ================ ================ </TABLE> Page 106 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST INDXX GLOBAL BICK INDXX NEXTG AGRICULTURE ETF INDEX FUND ETF (FTAG) (BICK) (NXTG) ----------------------------------- ----------------------------------- ----------------------------------- SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> <C> $ 49,507 $ 83,374 $ 443,818 $ 704,323 $ 10,278,719 $ 13,190,505 1,021,942 46,035 9,991,458 286,285 75,534,348 81,514,040 25,054 942,633 (10,059,269) 8,021,532 (77,663,337) 114,759,221 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,096,503 1,072,042 376,007 9,012,140 8,149,730 209,463,766 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (54,379) (76,502) (615,976) (563,280) (16,774,178) (8,671,946) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 13,040,464 1,573,503 -- 24,312,835 69,222,977 509,273,872 (3,363,097) -- (65,253,074) (6,733,788) (209,943,913) (218,991,266) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 9,677,367 1,573,503 (65,253,074) 17,579,047 (140,720,936) 290,282,606 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 10,719,491 2,569,043 (65,493,043) 26,027,907 (149,345,384) 491,074,426 5,609,044 3,040,001 86,965,242 60,937,335 1,081,609,633 590,535,207 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 16,328,535 $ 5,609,044 $ 21,472,199 $ 86,965,242 $ 932,264,249 $ 1,081,609,633 ================ ================ ================ ================ ================ ================ 189,928 139,928 2,550,002 2,100,002 14,150,002 10,000,002 400,000 50,000 -- 650,000 850,000 7,200,000 (100,000) -- (1,850,000) (200,000) (2,700,000) (3,050,000) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 489,928 189,928 700,002 2,550,002 12,300,002 14,150,002 ================ ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 107 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST S-NETWORK FUTURE FIRST TRUST VEHICLES & TECHNOLOGY CLOUD COMPUTING ETF ETF (CARZ) (SKYY) ----------------------------------- ----------------------------------- SIX MONTHS ENDED SIX MONTHS ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 ---------------- ---------------- ---------------- ---------------- OPERATIONS: <S> <C> <C> <C> <C> Net investment income (loss)............................ $ 1,297,757 $ 691,487 $ 43,358,753 $ 9,472,360 Net realized gain (loss)................................ (519,203) 10,838,183 (46,859,172) 1,433,936,513 Net change in unrealized appreciation (depreciation).... (1,603,336) 5,024,127 (836,629,094) 235,787,379 ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from operations...................................... (824,782) 16,553,797 (840,129,513) 1,679,196,252 ---------------- ---------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (1,400,932) (535,126) (44,797,606) (11,051,410) ---------------- ---------------- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 36,355,270 66,534,380 832,312,950 2,762,307,799 Cost of shares redeemed................................. (28,948,280) (47,810,092) (840,418,627) (3,154,828,076) ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 7,406,990 18,724,288 (8,105,677) (392,520,277) ---------------- ---------------- ---------------- ---------------- Total increase (decrease) in net assets................. 5,181,276 34,742,959 (893,032,796) 1,275,624,565 NET ASSETS: Beginning of period..................................... 63,989,360 29,246,401 6,239,449,143 4,963,824,578 ---------------- ---------------- ---------------- ---------------- End of period........................................... $ 69,170,636 $ 63,989,360 $ 5,346,416,347 $ 6,239,449,143 ================ ================ ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 1,100,002 750,002 59,200,002 63,250,002 Shares sold............................................. 600,000 1,200,000 8,250,000 27,200,000 Shares redeemed......................................... (500,000) (850,000) (8,350,000) (31,250,000) ---------------- ---------------- ---------------- ---------------- Shares outstanding, end of period....................... 1,200,002 1,100,002 59,100,002 59,200,002 ================ ================ ================ ================ </TABLE> Page 108 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST INTERNATIONAL FIRST TRUST IPOX(R) EUROPE EQUITY NASDAQ EQUITY OPPORTUNITIES ETF CYBERSECURITY ETF OPPORTUNITIES ETF (FPXI) (CIBR) (FPXE) ----------------------------------- ----------------------------------- ----------------------------------- SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED 3/31/2022 YEAR ENDED (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 (UNAUDITED) 9/30/2021 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> <C> $ 2,192,308 $ 7,462,351 $ 31,503,814 $ 2,436,706 $ 42,949 $ 26,647 (101,921,698) (58,454,798) 198,706,879 415,138,506 (598,991) 47,668 (133,721,505) 60,066,212 241,707,578 582,202,103 (1,556,043) 182,124 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (233,450,895) 9,073,765 471,918,271 999,777,315 (2,112,085) 256,439 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (1,344,495) (6,104,611) (33,146,626) (4,694,250) (17,640) (43,541) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 16,791,408 893,325,867 2,119,288,286 2,560,530,212 1,384,468 9,415,730 (389,470,960) (89,839,649) (889,975,048) (964,304,085) (1,166,372) (1,424,855) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (372,679,552) 803,486,218 1,229,313,238 1,596,226,127 218,096 7,990,875 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (607,474,942) 806,455,372 1,668,084,883 2,591,309,192 (1,911,629) 8,203,773 1,163,258,803 356,803,431 4,770,297,564 2,178,988,372 10,691,929 2,488,156 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 555,783,861 $ 1,163,258,803 $ 6,438,382,447 $ 4,770,297,564 $ 8,780,300 $ 10,691,929 ================ ================ ================ ================ ================ ================ 18,150,002 6,300,002 97,750,002 62,650,002 350,002 100,002 250,000 13,200,000 41,600,000 55,350,000 50,000 300,000 (7,050,000) (1,350,000) (17,650,000) (20,250,000) (50,000) (50,000) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 11,350,002 18,150,002 121,700,002 97,750,002 350,002 350,002 ================ ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 109 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST DOW JONES INTERNATIONAL INTERNET ETF (FDNI) ----------------------------------- SIX MONTHS ENDED 3/31/2022 YEAR ENDED (UNAUDITED) 9/30/2021 ---------------- ---------------- OPERATIONS: <S> <C> <C> Net investment income (loss).................................................................. $ 12,789 $ (591,485) Net realized gain (loss)...................................................................... (7,680,458) 4,460,345 Net change in unrealized appreciation (depreciation).......................................... (19,010,708) (12,737,659) ---------------- ---------------- Net increase (decrease) in net assets resulting from operations............................................................................ (26,678,377) (8,868,799) ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations......................................................................... -- (145,080) ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold..................................................................... -- 93,036,318 Cost of shares redeemed....................................................................... (37,980,924) (28,969,729) ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions.............................................................. (37,980,924) 64,066,589 ---------------- ---------------- Total increase (decrease) in net assets....................................................... (64,659,301) 55,052,710 NET ASSETS: Beginning of period........................................................................... 103,902,742 48,850,032 ---------------- ---------------- End of period................................................................................. $ 39,243,441 $ 103,902,742 ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period....................................................... 2,600,002 1,250,002 Shares sold................................................................................... -- 2,000,000 Shares redeemed............................................................................... (1,100,000) (650,000) ---------------- ---------------- Shares outstanding, end of period............................................................. 1,500,002 2,600,002 ================ ================ </TABLE> Page 110 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST STOXX(R) EUROPEAN SELECT DIVIDEND INDEX FUND (FDD) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 13.88 $ 10.27 $ 12.75 $ 13.12 $ 13.61 $ 11.82 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.15 0.52 0.52 0.66 0.59 0.42 Net realized and unrealized gain (loss) (0.56) 3.61 (2.50) (0.37) (0.49) 1.79 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.41) 4.13 (1.98) 0.29 0.10 2.21 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.15) (0.52) (0.50) (0.66) (0.59) (0.42) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 13.32 $ 13.88 $ 10.27 $ 12.75 $ 13.12 $ 13.61 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (2.98)% 40.19% (15.64)% 2.35% 0.74% 18.93% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 277,672 $ 286,031 $ 180,227 $ 293,918 $ 454,824 $ 529,527 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.57% (b) 0.58% 0.57% 0.58% 0.57% 0.60% Ratio of net expenses to average net assets 0.57% (b) 0.58% 0.57% 0.58% 0.57% 0.60% Ratio of net investment income (loss) to average net assets 2.20% (b) 4.06% 3.84% 4.84% 4.25% 3.96% Portfolio turnover rate (c) 38% 58% 98% 24% 35% 21% </TABLE> FIRST TRUST FTSE EPRA/NAREIT DEVELOPED MARKETS REAL ESTATE INDEX FUND (FFR) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 50.11 $ 38.82 $ 49.44 $ 45.07 $ 44.96 $ 46.18 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.57 0.89 0.62 1.25 1.48 0.89 Net realized and unrealized gain (loss) 2.26 10.74 (9.27) 4.55 0.31 (0.65) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.83 11.63 (8.65) 5.80 1.79 0.24 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.16) (0.34) (1.97) (1.43) (1.68) (1.46) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 51.78 $ 50.11 $ 38.82 $ 49.44 $ 45.07 $ 44.96 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.56% 29.95% (18.12)% 13.19% 3.99% 0.67% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 35,813 $ 34,657 $ 32,671 $ 56,436 $ 45,074 $ 51,700 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.94% (b) 0.92% 0.85% 0.89% 0.85% 0.70% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 2.50% (b) 2.21% 2.52% 2.61% 3.48% 2.40% Portfolio turnover rate (c) 6% 11% 7% 7% 9% 6% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 111 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST DOW JONES GLOBAL SELECT DIVIDEND INDEX FUND (FGD) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 24.97 $ 17.85 $ 22.90 $ 25.16 $ 25.73 $ 23.49 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.54 1.22 1.30 1.39 1.15 1.03 Net realized and unrealized gain (loss) 0.39 7.10 (5.04) (2.24) (0.58) 2.23 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.93 8.32 (3.74) (0.85) 0.57 3.26 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.59) (1.20) (1.31) (1.41) (1.14) (1.02) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 25.31 $ 24.97 $ 17.85 $ 22.90 $ 25.16 $ 25.73 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.73% 46.94% (16.33)% (3.21)% 2.26% 14.14% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 639,138 $ 504,454 $ 344,489 $ 532,532 $ 484,280 $ 470,887 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.56% (b) 0.57% 0.57% 0.59% 0.58% 0.58% Ratio of net expenses to average net assets 0.56% (b) 0.57% 0.57% 0.59% 0.58% 0.58% Ratio of net investment income (loss) to average net assets 4.31% (b) 5.11% 6.16% 6.20% 4.48% 4.43% Portfolio turnover rate (c) 34% 38% 67% 31% 31% 35% </TABLE> FIRST TRUST GLOBAL WIND ENERGY ETF (FAN) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 20.92 $ 17.45 $ 13.13 $ 12.50 $ 13.13 $ 13.30 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.07 0.28 0.26 0.30 0.28 0.41 Net realized and unrealized gain (loss) (1.22) 3.52 4.33 0.64 (0.66) 0.32 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.15) 3.80 4.59 0.94 (0.38) 0.73 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.33) (0.27) (0.31) (0.25) (0.90) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 19.68 $ 20.92 $ 17.45 $ 13.13 $ 12.50 $ 13.13 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (5.51)% 21.76% 35.42% 7.58% (2.92)% 6.21% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 328,574 $ 385,920 $ 205,075 $ 75,502 $ 79,362 $ 100,467 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% (b) 0.62% 0.66% 0.71% 0.68% 0.71% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.68% (b) 1.34% 1.86% 2.32% 2.21% 2.88% Portfolio turnover rate (c) 8% 31% 42% 30% 22% 78% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 112 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST GLOBAL ENGINEERING AND CONSTRUCTION ETF (FLM) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 53.95 $ 42.07 $ 47.05 $ 56.78 $ 56.89 $ 48.63 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.33 0.87 1.28 0.87 0.79 0.62 Net realized and unrealized gain (loss) 0.46 11.79 (4.93) (9.71) 0.16 8.27 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.79 12.66 (3.65) (8.84) 0.95 8.89 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.27) (0.78) (1.33) (0.89) (1.06) (0.63) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 54.47 $ 53.95 $ 42.07 $ 47.05 $ 56.78 $ 56.89 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.48% 30.19% (7.52)% (15.64)% 1.67% 18.39% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 10,895 $ 10,790 $ 6,310 $ 9,409 $ 14,194 $ 17,066 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.24% (b) 1.42% 1.43% 1.21% 0.88% 0.92% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.20% (b) 1.81% 2.68% 1.64% 1.45% 1.20% Portfolio turnover rate (c) 11% 18% 20% 14% 16% 20% </TABLE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) SMART GRID INFRASTRUCTURE INDEX FUND (GRID) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 92.48 $ 62.87 $ 49.51 $ 47.62 $ 49.00 $ 39.19 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.36 0.64 0.58 0.67 0.52 0.57 Net realized and unrealized gain (loss) 1.38 (d) 29.73 13.27 1.84 (1.32) 9.82 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.74 30.37 13.85 2.51 (0.80) 10.39 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.76) (0.49) (0.62) (0.58) (0.58) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 94.05 $ 92.48 $ 62.87 $ 49.51 $ 47.62 $ 49.00 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.88% 48.35% 28.10% 5.32% (1.66)% 26.73% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 728,918 $ 550,262 $ 56,579 $ 27,232 $ 33,333 $ 26,951 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.57% (b) 0.63% 0.75% 0.82% 0.74% 0.84% Ratio of net expenses to average net assets 0.57% (b) 0.63% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.77% (b) 1.11% 1.30% 1.40% 1.10% 1.44% Portfolio turnover rate (c) 10% 20% 53% 31% 60% 32% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. See Notes to Financial Statements Page 113 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST INDXX GLOBAL NATURAL RESOURCES INCOME ETF (FTRI) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 12.97 $ 9.57 $ 11.47 $ 12.73 $ 11.88 $ 10.66 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.37 0.80 0.53 0.72 0.48 0.41 Net realized and unrealized gain (loss) 3.69 3.29 (a) (1.86) (1.28) 0.83 1.22 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.06 4.09 (1.33) (0.56) 1.31 1.63 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.53) (0.69) (0.57) (0.70) (0.46) (0.41) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 16.50 $ 12.97 $ 9.57 $ 11.47 $ 12.73 $ 11.88 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 31.75% 42.87% (11.80)% (4.42)% 11.12% 15.47% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 103,932 $ 36,312 $ 5,740 $ 7,452 $ 8,908 $ 8,913 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 7.35% (c) 9.06% 4.94% 5.95% 3.74% 3.39% Portfolio turnover rate (d) 18% 99% 66% 84% 50% 61% </TABLE> FIRST TRUST INDXX GLOBAL AGRICULTURE ETF (FTAG) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 29.53 $ 21.73 $ 22.87 $ 26.21 $ 26.96 $ 21.55 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.16 0.45 0.45 0.51 0.44 0.39 Net realized and unrealized gain (loss) 3.85 7.78 (1.20) (3.17) (0.83) 5.41 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.01 8.23 (0.75) (2.66) (0.39) 5.80 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.21) (0.43) (0.39) (0.64) (0.36) (0.39) Return on Capital -- -- -- (0.04) -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total distributions (0.21) (0.43) (0.39) (0.68) (0.36) (0.39) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 33.33 $ 29.53 $ 21.73 $ 22.87 $ 26.21 $ 26.96 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 13.63% 37.94% (3.19)% (10.16)% (1.46)% 27.09% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 16,329 $ 5,609 $ 3,040 $ 3,200 $ 4,979 $ 7,816 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.35% (c) 1.84% 2.16% 1.93% 1.56% 1.80% Portfolio turnover rate (d) 13% 12% 17% 20% 30% 38% </TABLE> (a) The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 114 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST BICK INDEX FUND (BICK) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 34.10 $ 29.02 $ 25.61 $ 26.48 $ 28.77 $ 22.94 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.62 0.30 0.08 0.33 0.40 0.33 Net realized and unrealized gain (loss) (3.23) 5.01 3.53 (0.80) (2.34) 5.85 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.61) 5.31 3.61 (0.47) (1.94) 6.18 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.82) (0.23) (0.20) (0.40) (0.35) (0.35) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.67 $ 34.10 $ 29.02 $ 25.61 $ 26.48 $ 28.77 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (7.73)% 18.28% 14.07% (1.76)% (6.82)% 27.14% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 21,472 $ 86,965 $ 60,937 $ 116,503 $ 190,648 $ 202,863 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% (b) 0.64% 0.64% 0.64% 0.64% 0.64% Ratio of net expenses to average net assets 0.64% (b) 0.64% 0.64% 0.64% 0.64% 0.64% Ratio of net investment income (loss) to average net assets 2.89% (b) 0.83% 0.60% 1.25% 1.33% 2.15% Portfolio turnover rate (c) 26% 92% 58% 66% 65% 86% </TABLE> FIRST TRUST INDXX NEXTG ETF (NXTG) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 76.44 $ 59.05 $ 50.26 $ 49.63 $ 50.52 $ 41.29 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.82 0.95 0.69 0.37 0.72 0.44 Net realized and unrealized gain (loss) (0.19) 17.10 8.79 0.50 (0.60) 9.29 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.63 18.05 9.48 0.87 0.12 9.73 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.03) (0.62) (0.69) (0.24) (1.01) (0.50) Net realized gain (0.25) (0.04) -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total distributions (1.28) (0.66) (0.69) (0.24) (1.01) (0.50) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 75.79 $ 76.44 $ 59.05 $ 50.26 $ 49.63 $ 50.52 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.70% 30.62% 18.97% 1.78% 0.20% 23.68% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 932,264 $1,081,610 $ 590,535 $ 196,015 $ 17,370 $ 17,683 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.02% (b) 1.47% 1.52% 1.73% 1.34% 1.04% Portfolio turnover rate (c) 9% 27% 30% 59% 80% 18% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 115 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST S-NETWORK FUTURE VEHICLES & TECHNOLOGY ETF (CARZ) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 58.17 $ 39.00 $ 32.04 $ 36.33 $ 40.25 $ 33.39 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.02 0.60 0.34 1.02 0.98 0.87 Net realized and unrealized gain (loss) (0.43) 19.04 7.07 (4.28) (3.98) 6.87 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.59 19.64 7.41 (3.26) (3.00) 7.74 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.12) (0.47) (0.45) (1.03) (0.92) (0.88) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 57.64 $ 58.17 $ 39.00 $ 32.04 $ 36.33 $ 40.25 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.96% 50.43% 23.33% (8.97)% (7.57)% 23.46% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 69,171 $ 63,989 $ 29,246 $ 17,623 $ 18,167 $ 18,112 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 3.53% (b) 1.17% 1.09% 3.19% 2.44% 2.20% Portfolio turnover rate (c) 94% 42% 36% 24% 16% 17% </TABLE> FIRST TRUST CLOUD COMPUTING ETF (SKYY) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 105.40 $ 78.48 $ 56.39 $ 56.71 $ 41.88 $ 34.17 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.74 0.15 0.16 0.59 0.14 0.13 Net realized and unrealized gain (loss) (14.92) 26.95 22.10 (0.31) 14.84 7.72 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (14.18) 27.10 22.26 0.28 14.98 7.85 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.76) (0.18) (0.17) (0.60) (0.15) (0.14) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 90.46 $ 105.40 $ 78.48 $ 56.39 $ 56.71 $ 41.88 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (13.54)% 34.55% 39.54% 0.57% 35.80% 23.00% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $5,346,416 $6,239,449 $4,963,825 $2,168,198 $2,067,140 $1,088,930 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 1.47% (b) 0.16% 0.24% 1.02% 0.28% 0.34% Portfolio turnover rate (c) 21% 33% 35% 85% 7% 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. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 116 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST INTERNATIONAL EQUITY OPPORTUNITIES ETF (FPXI) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 64.09 $ 56.64 $ 36.39 $ 35.10 $ 34.51 $ 27.47 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.21 0.40 0.11 0.30 0.49 0.22 Net realized and unrealized gain (loss) (15.24) 7.39 20.32 (a) 1.29 0.66 7.07 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (15.03) 7.79 20.43 1.59 1.15 7.29 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.34) (0.18) (0.30) (0.56) (0.25) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 48.97 $ 64.09 $ 56.64 $ 36.39 $ 35.10 $ 34.51 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) (23.48)% 13.73% 56.24% (a) 4.60% 3.35% 26.71% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 555,784 $1,163,259 $ 356,803 $ 30,931 $ 26,322 $ 22,429 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.50% (c) 0.76% 0.38% 0.86% 1.42% 1.62% Portfolio turnover rate (d) 48% 118% 114% 98% 83% 58% </TABLE> FIRST TRUST NASDAQ CYBERSECURITY ETF (CIBR) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 3/31/2022 ------------------------------------------------------------------------ (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 48.80 $ 34.78 $ 27.63 $ 28.49 $ 21.85 $ 19.77 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.29 0.04 0.50 0.06 0.02 0.03 Net realized and unrealized gain (loss) 4.11 14.04 7.16 (0.86) 6.64 2.09 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.40 14.08 7.66 (0.80) 6.66 2.12 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.30) (0.06) (0.51) (0.06) (0.02) (0.04) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 52.90 $ 48.80 $ 34.78 $ 27.63 $ 28.49 $ 21.85 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 9.02% 40.50% 28.27% (2.78)% 30.49% 10.73% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $6,438,382 $4,770,298 $2,178,988 $ 979,650 $ 847,673 $ 313,575 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (c) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net expenses to average net assets 0.60% (c) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 1.15% (c) 0.07% 1.54% 0.20% 0.04% 0.13% Portfolio turnover rate (d) 29% 35% 46% 58% 56% 67% </TABLE> (a) The Fund received a payment from the advisor in the amount of $806, 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. (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 117 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND II FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST IPOX(R) EUROPE EQUITY OPPORTUNITIES ETF (FPXE) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, PERIOD 3/31/2022 --------------------------- ENDED (UNAUDITED) 2021 2020 9/30/2019 (a) ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> Net asset value, beginning of period $ 30.55 $ 24.88 $ 19.66 $ 19.70 ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.12 0.25 0.22 0.33 Net realized and unrealized gain (loss) (5.53) 5.75 5.30 (0.06) ---------- ---------- ---------- ---------- Total from investment operations (5.41) 6.00 5.52 0.27 ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.05) (0.33) (0.30) (0.31) ---------- ---------- ---------- ---------- Net asset value, end of period $ 25.09 $ 30.55 $ 24.88 $ 19.66 ========== ========== ========== ========== TOTAL RETURN (b) (17.74)% 24.19% 28.33% 1.32% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,780 $ 10,692 $ 2,488 $ 1,966 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 0.82% (c) 0.51% 0.74% 1.77% (c) Portfolio turnover rate (d) 54% 118% 63% 67% </TABLE> FIRST TRUST DOW JONES INTERNATIONAL INTERNET ETF (FDNI) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, PERIOD 3/31/2022 --------------------------- ENDED (UNAUDITED) 2021 2020 9/30/2019 (a) ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> Net asset value, beginning of period $ 39.96 $ 39.08 $ 21.02 $ 19.69 ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 (e) (0.18) (0.03) 0.75 Net realized and unrealized gain (loss) (13.81) 1.13 (f) 18.40 1.04 ---------- ---------- ---------- ---------- Total from investment operations (13.80) 0.95 18.37 1.79 ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- (0.07) (0.31) (0.46) ---------- ---------- ---------- ---------- Net asset value, end of period $ 26.16 $ 39.96 $ 39.08 $ 21.02 ========== ========== ========== ========== TOTAL RETURN (b) (34.53)% 2.42% 88.27% 9.07% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 39,243 $ 103,903 $ 48,850 $ 4,204 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (c) 0.65% 0.65% 0.65% (c) Ratio of net investment income (loss) to average net assets 0.03% (c) (0.55)% (0.50)% 4.42% (c) Portfolio turnover rate (d) 17% 34% 23% 61% </TABLE> (a) Inception dates for FPXE and FDNI are October 4, 2018 and November 5, 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. (e) Based on average shares outstanding. (f) The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. Page 118 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund II (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on July 6, 2006, 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 seventeen exchange-traded funds. This report covers the sixteen funds (each a "Fund" and collectively, the "Funds") listed below: First Trust STOXX(R) European Select Dividend Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker "FDD") First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund - (NYSE Arca ticker "FFR") First Trust Dow Jones Global Select Dividend Index Fund - (NYSE Arca ticker "FGD") First Trust Global Wind Energy ETF - (NYSE Arca ticker "FAN") First Trust Global Engineering and Construction ETF - (NYSE Arca ticker "FLM") First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "GRID") First Trust Indxx Global Natural Resources Income ETF - (Nasdaq ticker "FTRI") First Trust Indxx Global Agriculture ETF - (Nasdaq ticker "FTAG") First Trust BICK Index Fund - (Nasdaq ticker "BICK") First Trust Indxx NextG ETF - (Nasdaq ticker "NXTG") First Trust S-Network Future Vehicles & Technology ETF - (Nasdaq ticker "CARZ")(1) First Trust Cloud Computing ETF - (Nasdaq ticker "SKYY") First Trust International Equity Opportunities ETF - (Nasdaq ticker "FPXI") First Trust Nasdaq Cybersecurity ETF - (Nasdaq ticker "CIBR") First Trust IPOX(R) Europe Equity Opportunities ETF - (Nasdaq ticker "FPXE") First Trust Dow Jones International Internet ETF - (Nasdaq ticker "FDNI") (1) Effective on January 26, 2022, First Trust NASDAQ Global Auto Index Fund changed its name to First Trust S-Network Future Vehicles & Technology ETF. The Fund's ticker symbol was not changed. Each Fund represents a separate series of shares 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 STOXX(R) European Select Dividend Index Fund STOXX(R) Europe Select Dividend 30 Index First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund FTSE EPRA/NAREIT Developed Index First Trust Dow Jones Global Select Dividend Index Fund Dow Jones Global Select Dividend Index First Trust Global Wind Energy ETF ISE Clean Edge Global Wind Energy Index(TM) First Trust Global Engineering and Construction ETF ISE Global Engineering and Construction(TM) Index First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund Nasdaq Clean Edge Smart Grid Infrastructure Index(TM) First Trust Indxx Global Natural Resources Income ETF Indxx Global Natural Resources Income Index First Trust Indxx Global Agriculture ETF Indxx Global Agriculture Index First Trust BICK Index Fund ISE BICK(TM) Index First Trust Indxx NextG ETF Indxx 5G & NextG Thematic Index(SM) First Trust S-Network Future Vehicles & Technology ETF S-Network Electric & Future Vehicle Ecosystem Index First Trust Cloud Computing ETF ISE CTA Cloud Computing Index(TM) First Trust International Equity Opportunities ETF IPOX(R) International Index First Trust Nasdaq Cybersecurity ETF Nasdaq CTA Cybersecurity Index(TM) First Trust IPOX(R) Europe Equity Opportunities ETF IPOX(R)-100 Europe Index First Trust Dow Jones International Internet ETF Dow Jones International Internet 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 Page 119 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) 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. Securities trading on foreign exchanges or over-the-counter markets that close prior to the NYSE close may be valued using a systematic fair valuation model provided by a third-party pricing service. If these foreign securities meet certain criteria in relation to the valuation model, their valuation is systematically adjusted to reflect the impact of movement in the U.S. market after the close of the foreign markets. 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. Page 120 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) If the securities in question are foreign securities, the following additional information may be considered: 1) the value of similar foreign securities traded on other foreign markets; 2) ADR trading of similar securities; 3) closed-end fund or exchange-traded fund trading of similar securities; 4) foreign currency exchange activity; 5) the trading prices of financial products that are tied to baskets of foreign securities; 6) factors relating to the event that precipitated the pricing problem; 7) whether the event is likely to recur; and 8) whether the effects of the event are isolated or whether they affect entire markets, countries or regions. 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. Because foreign markets may be open on different days than the days during which investors may transact in the shares of a Fund, the value of the Fund's securities may change on the days when investors are not able to transact in the shares of the Fund. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE. Any use of a different rate from the rates used by a relevant index may adversely affect the Fund's ability to track the 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 March 31, 2022, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in master limited partnerships ("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 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 Page 121 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) 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. FOREIGN CURRENCY The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in "Net change in unrealized appreciation (depreciation) on foreign currency translation" on the Statements of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and are shown in "Net change in unrealized appreciation (depreciation) on investments" on the Statements of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and are included in "Net realized gain (loss) on foreign currency transactions" on the Statements of Operations. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in "Net realized gain (loss) on investments" on the Statements of Operations. E. 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 each Fund's securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers with the exception of FAN. The Bank of New York Mellon ("BNYM") acts as FAN'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 March 31, 2022, FAN, FLM, GRID, FTRI, BICK, NXTG, CARZ, SKYY, FPXI, CIBR, and FPXE had securities in the securities lending program. During the six months ended March 31, 2022, FAN, FLM, GRID, FTRI, BICK, NXTG, CARZ, SKYY, FPXI, CIBR, and FPXE 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 122 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) F. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH or BNYM on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended March 31, 2022, were received as collateral for lending securities. G. 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 significantly modified 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 September 30, 2021 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid from paid from paid from Ordinary Capital Return of Income Gains Capital ----------------- -------------- -------------- <S> <C> <C> <C> First Trust STOXX(R) European Select Dividend Index Fund $ 9,883,719 $ -- $ -- First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund 233,141 -- -- First Trust Dow Jones Global Select Dividend Index Fund 22,659,267 -- -- First Trust Global Wind Energy ETF 6,120,596 -- -- First Trust Global Engineering and Construction ETF 143,267 -- -- First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund 3,258,036 -- -- First Trust Indxx Global Natural Resources Income ETF 1,526,281 -- -- First Trust Indxx Global Agriculture ETF 76,502 -- -- First Trust BICK Index Fund 563,280 -- -- First Trust Indxx NextG ETF 8,671,946 -- -- First Trust S-Network Future Vehicles & Technology ETF 535,126 -- -- First Trust Cloud Computing ETF 11,051,410 -- -- First Trust International Equity Opportunities ETF 6,104,611 -- -- First Trust Nasdaq Cybersecurity ETF 4,694,250 -- -- First Trust IPOX(R) Europe Equity Opportunities ETF 43,541 -- -- First Trust Dow Jones International Internet ETF 145,080 -- -- </TABLE> Page 123 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) As of September 30, 2021, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Net Undistributed Capital and Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ----------------- -------------- -------------- <S> <C> <C> <C> First Trust STOXX(R) European Select Dividend Index Fund $ 312,025 $ (66,398,474) $ 22,598,719 First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund 522,614 (1,484,414) 2,266,831 First Trust Dow Jones Global Select Dividend Index Fund 4,063,610 (188,171,697) 21,656,817 First Trust Global Wind Energy ETF 844,206 (53,254,998) 27,665,332 First Trust Global Engineering and Construction ETF 48,711 (8,360,205) 839,049 First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund 49,897 (573,216) 46,171,387 First Trust Indxx Global Natural Resources Income ETF 398,906 (60,586,878) (2,725,427) First Trust Indxx Global Agriculture ETF 15,681 (19,433,604) 736,673 First Trust BICK Index Fund 152,143 (30,940,610) 8,296,855 First Trust Indxx NextG ETF 4,740,124 2,009,586 167,298,201 First Trust S-Network Future Vehicles & Technology ETF 209,766 (4,106,876) 1,886,898 First Trust Cloud Computing ETF -- (117,037,002) 983,676,734 First Trust International Equity Opportunities ETF 1,343,451 (85,061,565) 89,180,201 First Trust Nasdaq Cybersecurity ETF -- (43,875,482) 809,061,749 First Trust IPOX(R) Europe Equity Opportunities ETF 10,268 (354,453) 641,839 First Trust Dow Jones International Internet ETF (726,839) (2,315,094) (8,204,607) </TABLE> H. INCOME AND OTHER 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 are included in "Net change in unrealized appreciation (depreciation) on deferred foreign capital gains tax" on the Statements of Operations. The capital gains tax paid on securities sold, if any, is included in "Net realized gain (loss) on foreign capital gains tax" on the Statements of Operations. India's Finance Bill, 2018 ("Finance Bill, 2018") was enacted into law on March 29, 2018 and amongst other provisions, it introduced a long-term capital gains tax beginning April 1, 2018. Long-term capital gains on the sale of listed shares in excess of INR 0.1 million are taxed at the rate of 10% (plus applicable surcharge and cess (which is a type of tax)) subject to satisfaction of certain conditions. Long-term capital gains accruing as of January 31, 2018 are considered exempt due to a grandfather clause in the provision. The aforesaid exemption from long-term capital gains tax is available with respect to shares acquired between October 1, 2004 and March 31, 2018 only if on such acquisitions Securities Transaction Tax ("STT") was chargeable. Certain exceptions in this regard, such as acquisition of shares in a public offer, bonus, rights issued, etc. for which the condition of chargeability of STT on acquisition is not applicable, have been notified. In the case of the sale of listed shares held by a Fund for one year or less, the income is classified as short-term capital gains and is taxable at 15% (plus applicable surcharge and cess) provided the shares are sold on the stock exchange and subjected to STT. For above purposes, the applicable rate of surcharge is 2% or 5% (depending on the level of income of the Fund). The Finance Bill, 2018 increases the cess imposed on the sum of tax and surcharge from 3% to 4%. The cess 4% rate is applied to the capital gains tax, resulting in a higher effective rate of capital gains tax. Where the sale of shares is outside the stock exchange and not subject to STT, the long-term capital gains are taxed at 10% (plus applicable surcharge and cess) and short-term capital gains are taxed at 30% (plus applicable surcharge and cess). The Finance Bill, 2018, approves the carry forward of long-term capital losses to be offset against long-term capital gains. Short-term losses can be netted against both short-term gains and long-term gains. Page 124 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) Until March 31, 2020, dividends received by the 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 offset against capital gains tax liability during the year or claimed as a refund in the annual tax return. Please note that the above description is based on current provisions of Indian law, and any change or modification made by subsequent legislation, regulation, or administrative or judicial decision could increase the Indian tax liability of a Fund and thus reduce the return to a Fund's shareholders. There can be no assurance that the Indian tax authorities and/or regulators will not take a position contrary to the views expressed herein. If the Indian tax authorities and/or regulators take a position contrary to the views expressed herein, adverse unpredictable consequences may follow. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of March 31, 2022, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At September 30, 2021, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforward --------------------- <S> <C> First Trust STOXX(R) European Select Dividend Index Fund $ 66,398,474 First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund* 1,484,414 First Trust Dow Jones Global Select Dividend Index Fund 188,171,697 First Trust Global Wind Energy ETF 53,254,998 First Trust Global Engineering and Construction ETF 8,360,205 First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund 573,216 First Trust Indxx Global Natural Resources Income ETF 60,586,878 First Trust Indxx Global Agriculture ETF 19,433,604 First Trust BICK Index Fund 30,940,610 First Trust Indxx NextG ETF -- First Trust S-Network Future Vehicles & Technology ETF 4,106,876 First Trust Cloud Computing ETF 117,037,002 First Trust International Equity Opportunities ETF 85,061,565 First Trust Nasdaq Cybersecurity ETF 43,875,482 First Trust IPOX(R) Europe Equity Opportunities ETF 354,453 First Trust Dow Jones International Internet ETF 2,315,094 </TABLE> * $75,097 of First Trust FTSE EPRA/NAREIT Developed Markets Real Estate 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 $34,965 per year. Page 125 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) During the taxable year ended September 30, 2021, the following Funds utilized non-expiring capital loss carryforwards in the following amounts: <TABLE> <CAPTION> Capital Loss Carryforward Utilized --------------------- <S> <C> First Trust STOXX(R) European Select Dividend Index Fund $ 14,703,151 First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund 156,259 First Trust Indxx Global Natural Resources Income ETF 1,611,960 First Trust Indxx Global Agriculture ETF 50,032 First Trust Indxx NextG ETF 342,410 First Trust Nasdaq Cybersecurity ETF 1,901,108 </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 September 30, 2021, the following Fund incurred and elected to defer late year ordinary or capital losses as follows: <TABLE> <CAPTION> Qualified Late Year Losses ------------------------------------------ Ordinary Losses Capital Losses --------------- -------------- <S> <C> <C> First Trust Dow Jones International Internet ETF $ 726,839 $ -- </TABLE> As of March 31, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: <TABLE> <CAPTION> Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------------------------------------------------------------------------- <S> <C> <C> <C> <C> First Trust STOXX(R) European Select Dividend Index Fund $ 265,190,760 $ 22,802,985 $ (13,679,984) $ 9,123,001 First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund 31,776,725 6,852,622 (2,902,397) 3,950,225 First Trust Dow Jones Global Select Dividend Index Fund 608,667,842 47,929,772 (24,794,587) 23,135,185 First Trust Global Wind Energy ETF 344,745,995 40,303,618 (35,826,727) 4,476,891 First Trust Global Engineering and Construction ETF 9,954,468 2,114,921 (925,705) 1,189,216 First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund 729,772,056 51,767,884 (26,114,875) 25,653,009 First Trust Indxx Global Natural Resources Income ETF 100,835,088 11,760,703 (924,531) 10,836,172 First Trust Indxx Global Agriculture ETF 15,494,903 1,354,172 (562,636) 791,536 First Trust BICK Index Fund 22,095,261 3,189,075 (3,270,528) (81,453) First Trust Indxx NextG ETF 850,677,575 147,044,796 (48,349,909) 98,694,887 First Trust S-Network Future Vehicles & Technology ETF 71,361,338 5,949,250 (4,375,527) 1,573,723 First Trust Cloud Computing ETF 5,294,415,489 929,448,050 (727,702,113) 201,745,937 First Trust International Equity Opportunities ETF 612,377,703 33,617,480 (70,781,910) (37,164,430) First Trust Nasdaq Cybersecurity ETF 5,334,336,766 1,227,881,002 (115,926,462) 1,111,954,540 First Trust IPOX(R) Europe Equity Opportunities ETF 9,804,533 277,996 (1,106,306) (828,310) First Trust Dow Jones International Internet ETF 62,753,792 1,325,387 (26,267,534) (24,942,147) </TABLE> I. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund, except for First Trust Indxx Global Natural Resources Income ETF, First Trust Indxx Global Agriculture ETF, First Trust BICK Index Fund, First Trust Indxx NextG ETF, First Trust S-Network Future Vehicles & Technology ETF, First Trust Cloud Computing ETF, First Trust International Page 126 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) Equity Opportunities ETF, First Trust Nasdaq Cybersecurity ETF, First Trust IPOX(R) Europe Equity Opportunities ETF, and First Trust Dow Jones International Internet ETF (the "Unitary Fee Funds"), for which expenses 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 STOXX(R) European Select Dividend Index Fund STOXX Limited First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund FTSE International Limited First Trust Dow Jones Global Select Dividend Index Fund S&P Dow Jones Indices LLC First Trust Global Wind Energy ETF Nasdaq, Inc. First Trust Global Engineering and Construction ETF Nasdaq, Inc. First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund Nasdaq, Inc. First Trust Indxx Global Agriculture ETF Indxx, LLC First Trust BICK Index Fund Nasdaq, Inc. First Trust Indxx NextG ETF Indxx, LLC First Trust S-Network Future Vehicles & Technology ETF S-Network Global Indexes, Inc. First Trust Cloud Computing ETF Nasdaq, Inc. First Trust International Equity Opportunities ETF IPOX(R) Schuster LLC First Trust Nasdaq Cybersecurity ETF Nasdaq, Inc. First Trust IPOX(R) Europe Equity Opportunities ETF IPOX(R) Schuster LLC First Trust Dow Jones International Internet ETF S&P Dow Jones Indices LLC </TABLE> The respective license agreements allow for the use of each Fund's respective index and of certain trademarks and trade names of the respective Licensors. The Funds are sub-licensees to the applicable license agreements. The Funds, except for the Unitary Fee Funds, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the Unitary Fee Funds are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds. 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 following Unitary Fee Funds, First Trust is paid an annual unitary management fee at the specified rate 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 and other services, and excluding fee payments under the Investment Management Agreement, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, brokerage expense, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. % of Daily Net Assets ------------ First Trust Indxx Global Natural Resources Income ETF 0.70% First Trust Indxx Global Agriculture ETF 0.70% First Trust BICK Index Fund 0.64% First Trust Indxx NextG ETF 0.70% First Trust S-Network Future Vehicles & Technology ETF 0.70% First Trust Cloud Computing ETF 0.60% First Trust International Equity Opportunities ETF 0.70% First Trust Nasdaq Cybersecurity ETF 0.60% First Trust IPOX(R) Europe Equity Opportunities ETF 0.70% First Trust Dow Jones International Internet ETF 0.65% For the First Trust STOXX(R) European Select Dividend Index Fund, First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund, First Trust Dow Jones Global Select Dividend Index Fund, First Trust Global Wind Energy ETF, First Trust Global Engineering and Construction ETF, and First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund (such Funds, the "Expense Cap Funds"), First Trust is paid an annual management fee of 0.40% of such Fund's average daily net assets. Page 127 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) For the Expense Cap Funds, 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 such Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed the following amount as a percentage of average daily net assets per year (the "Expense Cap") at least through January 31, 2023. <TABLE> <CAPTION> Expense Cap ------------- <S> <C> First Trust STOXX(R) European Select Dividend Index Fund 0.60% First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund 0.60% First Trust Dow Jones Global Select Dividend Index Fund 0.60% First Trust Global Wind Energy ETF 0.60% First Trust Global Engineering and Construction ETF 0.70% First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure 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 exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the six months ended March 31, 2022 and the fees waived or expenses borne by First Trust subject to recovery from the applicable Fund for the periods indicated were as follows: <TABLE> <CAPTION> Fees Waived or Expenses Borne by First Trust Subject to Recovery --------------------------------------------------------- Advisory Expense Six Months Year Year Six Months Fee Reim- Ended Ended Ended Ended Waivers bursements 9/30/2019 9/30/2020 9/30/2021 3/31/2022 Total ---------- ---------- ---------- ---------- ---------- ---------- --------- <S> <C> <C> <C> <C> <C> <C> <C> First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund $ 61,682 $ -- $ 63,863 $ 114,648 $ 108,383 $ 61,682 $ 348,576 First Trust Global Wind Energy ETF 24,744 -- 39,810 69,675 66,999 24,744 201,228 First Trust Global Engineering and Construction ETF 21,713 7,477 30,067 55,317 63,848 29,190 178,422 </TABLE> The Trust has multiple service agreements with BNYM. Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or 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. Page 128 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) 4. PURCHASES AND SALES OF SECURITIES For the six months ended March 31, 2022, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales ---------------- -------------- <S> <C> <C> First Trust STOXX(R) European Select Dividend Index Fund $ 109,015,765 $ 109,573,271 First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund 2,001,550 2,369,215 First Trust Dow Jones Global Select Dividend Index Fund 207,270,952 184,322,458 First Trust Global Wind Energy ETF 29,732,484 28,950,957 First Trust Global Engineering and Construction ETF 1,160,041 1,182,456 First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund 99,412,519 67,815,321 First Trust Indxx Global Natural Resources Income ETF 12,343,190 8,699,810 First Trust Indxx Global Agriculture ETF 2,521,093 1,021,086 First Trust BICK Index Fund 8,643,986 40,477,266 First Trust Indxx NextG ETF 95,752,970 128,049,565 First Trust S-Network Future Vehicles & Technology ETF 71,177,637 67,902,228 First Trust Cloud Computing ETF 1,236,885,773 1,221,245,972 First Trust International Equity Opportunities ETF 420,627,708 465,975,601 First Trust Nasdaq Cybersecurity ETF 1,607,359,378 1,578,727,537 First Trust IPOX(R) Europe Equity Opportunities ETF 5,635,800 5,646,745 First Trust Dow Jones International Internet ETF 12,875,694 12,944,740 </TABLE> For the six months ended March 31, 2022, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales ---------------- -------------- <S> <C> <C> First Trust STOXX(R) European Select Dividend Index Fund $ 13,620,210 $ 9,639,707 First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund 2,548,883 2,520,806 First Trust Dow Jones Global Select Dividend Index Fund 115,127,725 10,638,221 First Trust Global Wind Energy ETF 17,763,800 53,561,831 First Trust Global Engineering and Construction ETF -- -- First Trust NASDAQ(R) Clean Edge(R) Smart Grid Infrastructure Index Fund 216,656,595 59,478,951 First Trust Indxx Global Natural Resources Income ETF 51,239,194 -- First Trust Indxx Global Agriculture ETF 11,023,098 2,882,147 First Trust BICK Index Fund -- 33,541,945 First Trust Indxx NextG ETF 55,925,698 184,053,719 First Trust S-Network Future Vehicles & Technology ETF 32,203,362 28,132,850 First Trust Cloud Computing ETF 831,176,906 843,288,948 First Trust International Equity Opportunities ETF 13,214,346 339,507,214 First Trust Nasdaq Cybersecurity ETF 2,090,866,839 878,338,729 First Trust IPOX(R) Europe Equity Opportunities ETF 1,382,278 1,162,843 First Trust Dow Jones International Internet ETF -- 35,618,147 </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 Page 129 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before January 31, 2023. 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. OTHER MATTERS First Trust previously announced that, subject to shareholder approval of the matters described below, First Trust Global Engineering and Construction ETF will seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Alerian US NextGen Infrastructure Index (the "New NextGen Index"). The New NextGen Index will be composed of securities issued by U.S. companies that build, operate and own infrastructure assets. The New NextGen Index includes companies domiciled and incorporated in the United States that are engaged in the construction, development, operation and maintenance of infrastructure. Additionally, First Trust Global Engineering and Construction ETF is expected to change its name to First Trust Alerian US NextGen Infrastructure ETF and its new ticker symbol is expected to be RBLD. The Fund's shares will continue to be listed for trading on NYSE Arca, Inc. and S-Network Global Indexes, Inc. will serve as the Fund's index provider. First Trust previously announced that, subject to shareholder approval of the matters described below, First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index 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 Alerian Disruptive Technology Real Estate Index (the "New Real Estate Index"). The New Real Estate Index will be composed of securities issued by companies that own and lease real estate that support wired communication, wireless communication, data infrastructure, warehouses and fulfillment centers. The New Real Estate Index includes operating companies and real estate investment trusts that are engaged in communications activities including the development and ownership of broadcast and mobile network towers, satellites, fiber-optic and other forms of data-transmitting cable, warehouses and fulfillment centers. Additionally, First Trust FTSE EPRA/NAREIT Developed Markets Real Estate Index Fund is expected to change its name to First Trust Alerian Disruptive Technology Real Estate ETF and its new ticker symbol is expected to be DTRE. The Fund's shares will continue to be listed for trading on NYSE Arca, Inc. and S-Network Global Indexes, Inc. will serve as the Fund's index provider. 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 April 20, 2022, First Trust Indxx Metaverse ETF, an additional series of the Trust, began trading under the symbol "ARVR" on Nasdaq. Page 130 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. Page 131 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in Page 132 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND II MARCH 31, 2022 (UNAUDITED) 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. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 133 <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 II 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 II -------------------------------------------------------------------------------- Book 2 First Trust Nasdaq Lux Digital Health Solutions ETF (EKG) ---------------------------- Semi-Annual Report For the Period March 22, 2022 (Commencement of Operations) through March 31, 2022 ---------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) SEMI-ANNUAL REPORT MARCH 31, 2022 Shareholder Letter ......................................................... 2 Market Overview ............................................................ 3 Fund Performance Overview .................................................. 4 Portfolio Management ....................................................... 6 Understanding Your Fund Expenses ........................................... 7 Portfolio of Investments ................................................... 8 Statement of Assets and Liabilities ........................................ 10 Statement of Operations .................................................... 11 Statement of Changes in Net Assets ......................................... 12 Financial Highlights ....................................................... 13 Notes to Financial Statements .............................................. 14 Additional Information ..................................................... 19 <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 the series of First Trust Exchange-Traded Fund II (the "Trust") described in this report (First Trust Nasdaq Lux Digital Health Solutions 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 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 the Fund described in this report 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 by 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 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 the Fund. 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 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, statement of additional information, and other Fund regulatory filings. Page 1 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO MARCH 31, 2022 Dear Shareholders, First Trust is pleased to provide you with the semi-annual report for the First Trust Nasdaq Lux Digital Health Solutions ETF (the "Fund"), which contains detailed information about the Fund for the period from the Fund's inception date of March 22, 2022 through March 31, 2022. Please note that information in this letter and the report prior to the Fund's inception date will not apply to the Fund. How are investors expected to make sense of the markets in a climate like the one we are in today? For what it is worth, the famous adage that "perception is reality" is a complete misnomer, in my opinion. Perception is a perspective of reality. Reality is the truth. When it comes to investing one's capital, it can be difficult to ascertain the truth, especially in the age of the internet and the 24/7 news cycle. There is so much information pumped out daily pertaining to the securities markets that it can be counterproductive if you consume too much of it, particularly if you do not have a discerning eye. To be frank, a lot of financial information adds up to nothing more than noise, or is an extension of someone's agenda, and we at First Trust encourage investors to ignore it as best they can. That is why we believe that investors should lean on those market principles that are tried and true. That is how you make sense of the markets, in my opinion. There is essentially nothing major transpiring around the globe today that we have not encountered to some degree before, including war. Even the coronavirus ("COVID-19") pandemic, which arrived in the U.S. in the first quarter of 2020, was somewhat matched in scope by the 1918 flu (Spanish flu) pandemic. Approximately 987,000 lives have been lost so far in the U.S. from the COVID-19 pandemic, compared to 675,000 spanning the 1918 flu pandemic, according to data from the Centers for Disease Control and Prevention. While we have had more deaths from the COVID-19 virus, the speed in which no fewer than three effective vaccines were brought to bear to combat this virus was astounding. U.S. ingenuity is what keeps this country ascending, in my opinion. I believe it to be one of the main reasons why the investment philosophy "time in the market" has been such a tried and true principle of the wealth building process. Endure the ups and downs of the stock market and you can persevere over time. In the short-run, it is anybody's guess, and guessing should not play any role in developing a financial plan. History is on your side. Keep in mind, the S&P 500(R) Index has never failed to fully recover any losses sustained in a downturn and it stood at its all-time closing high on January 3, 2022. The stock and bond markets have been more volatile of late and may stay that way, at least over the near-term. Based on some thorough guidance from the Federal Reserve (the "Fed") with respect to its bias towards raising short-term interest rates more aggressively than once thought to fight inflation, there is a good chance that the days of artificially low interest rates are finally coming to an end. Bond yields have spiked recently to reflect the surge in inflation, which stood at 8.5% on a trailing 12-month basis in March 2022, and the anticipated rate hikes from the Fed. In other words, interest rates and bond yields are in the process of normalizing. What is normal? Well, the Federal Funds target rate (upper bound), which stood at 0.50% at the close on April 21, 2022, averaged 2.48% for the 30-year period ended April 21, 2022, according to Bloomberg. It reached as high as 6.50% in 2000. The yield on the 10-Year Treasury Note ("T-Note"), which stood at 2.91% at the close on April 21, 2022, averaged 3.98% over that same 30-year period. The 10-Year T-Note reached as high as 8.03% in 1994. All eyes will likely be on the Fed for the remainder of this year. The economy is still growing, albeit at a slower clip, and it looks like more Americans are heading back to work. Keep an eye on interest rates, bond yields and inflation in the months ahead. We would prefer slow and steady as they rise as opposed to sharp moves higher. As always, stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) SEMI-ANNUAL REPORT MARCH 31, 2022 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 GLOBAL ECONOMY The latest global growth forecast from the International Monetary Fund ("IMF") released in April 2022 sees real gross domestic product growth rising by 3.6% worldwide in 2022, down from its 4.4% projection in January 2022. The IMF is calling for a 3.7% growth rate for the U.S., down from its January estimate of 4.0%. Emerging Market and Developing Economies are expected to grow by 3.8% this year, down markedly from the IMF's 4.8% estimate in January. While global growth is expected to slow some in 2022, there does not appear to be a significant threat of recession in the near-term. The IMF notes that the reduction in its economic growth targets is largely a byproduct of Russia's decision to invade Ukraine back on February 24, 2022. Robust inflation and the war between Russia and Ukraine have been the dominant stories of late, in our opinion. Inflation, as measured by the Consumer Price Index, stood at 8.5% on a trailing 12-month basis at the end of March 2022, according to the U.S. Bureau of Labor Statistics. The last time inflation in the U.S. was this high was in 1982. Consumer prices are up significantly across the board, including groceries, gasoline, automobiles, homes, and apartment rents. It has been reported that the war between Russia and Ukraine could lead to global food shortages. It has already helped drive energy prices higher. These two events are worth monitoring closely. If one or both end up being protracted, then we would anticipate higher levels of volatility in the markets moving forward. Perhaps the biggest beneficiary of the spike in inflation is commodity prices, which surged 27.03% in the first quarter of 2022, as measured by the Refinitiv/CC CRB Excess Return Index. PERFORMANCE OF GLOBAL STOCKS AND BONDS The major U.S. stock indices delivered mixed results over the past six months. The S&P 500(R), S&P MidCap 400(R) and S&P SmallCap 600(R) Indices posted total returns of 5.92%, 2.73% and -0.30%, respectively, for the six-month period ended March 31, 2022. Due to the ongoing economic headwinds stemming from the coronavirus pandemic, rising inflation, and, more recently, the war between Russia and Ukraine, large-capitalization ("cap") stocks outperformed their mid- and small-cap counterparts over the period, an indication that investors were somewhat concerned about the level of risk they were willing to assume, in our opinion. Ten of the 11 major sectors that comprise the S&P 500(R) Index (the "Index") were up on a total return basis. The top-performer was Energy, up 50.11%, while the worst showing came from Communication Services, down 11.93%. A Bloomberg survey of 24 equity strategists found that their average 2022 year-end price target for the Index was 4,868 as of April 2022, according to its own release. The highest and lowest estimates were 5,330 and 4,400, respectively. Brian Wesbury, Chief Economist at First Trust, announced in May 2022 that he is looking for a year-end price target of 4,900, a downward revision from his 5,250 projection at the close of 2021. The Index closed trading on March 31, 2022, at 4,530.41. The outlook for corporate earnings remains optimistic. Bloomberg's consensus year-over-year earnings growth rate estimates for the Index for 2022 and 2023 were 10.25% and 9.44%, respectively, as of April 1, 2022. The broader foreign stock indices lagged the performance of the major U.S. stock indices. Over the past six months, the MSCI World ex USA and MSCI Emerging Markets equity indices posted total returns of -1.82% (USD) and -8.20% (USD), respectively, according to Bloomberg. The major foreign bond indices were also down over the same period. The Bloomberg Global Aggregate Index of higher quality debt posted a total return of -6.79% (USD), while the Bloomberg EM Hard Currency Aggregate Index of emerging markets debt declined by 10.58% (USD), according to Bloomberg. The U.S. dollar rose by 4.33% over the past six months against a basket of major currencies, as measured by the U.S. Dollar Index (DXY). The sizable jump in the dollar provided a drag on the performance of both foreign stock and bond indices, in our opinion. In the U.S. bond market, the results were also disappointing. The top-performing major debt group we track was speculative-grade corporate bonds. The Bloomberg U.S. Corporate High Yield Index posted a total return of -4.16% for the six-month period ended March 31, 2022. The worst-performing U.S. debt group that we track was long-term municipal bonds. The Bloomberg Municipal Bond: Long Bond (22+ years) posted a total return of -7.21%. The yield on the benchmark 10-Year Treasury Note ("T-Note") rose by 85 basis points in the period to close at 2.34% on March 31, 2022, according to Bloomberg. For comparative purposes, the average yield on the 10-Year T-Note was 2.03% for the 10-year period ended March 31, 2022. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) The First Trust Nasdaq Lux Digital Health Solutions 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 Lux Health Tech Index (the "Index"). The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "EKG." The Fund will normally invest at least 80% of its net assets (plus any borrowings for investment purposes) in the common stocks and depositary receipts that comprise the Index. The Index is developed, maintained and sponsored by Nasdaq, Inc. The Index is designed to measure the performance of a selection of companies that are primarily engaged in and involved at the intersection of healthcare and technology, as classified by Lux Capital based on analysis of the products and services offered by those companies. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (3/22/22) to 3/31/22 <S> <C> FUND PERFORMANCE NAV 2.10% Market Price 2.30% INDEX PERFORMANCE Nasdaq Lux Health Tech Index 2.14% S&P Composite 1500 Health Care Index 0.25% ------------------------------------------------------------------------------------------------------------------------- </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 its 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 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. 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 index. 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. ----------------------------- Nasdaq(R) and Nasdaq Lux Health Tech 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 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Health Care 100.0% ------ Total 100.0% ====== ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Dexcom, Inc. 9.9% Illumina, Inc. 8.6 Intuitive Surgical, Inc. 8.3 IQVIA Holdings, Inc. 8.0 Align Technology, Inc. 6.8 Hologic, Inc. 4.3 ResMed, Inc. 3.9 ABIOMED, Inc. 3.9 Veeva Systems, Inc., Class A 3.7 Insulet Corp. 3.6 ------ Total 61.0% ====== <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT MARCH 22, 2022 - MARCH 31, 2022 First Trust IPOX(R) Europe Nasdaq Lux Health S&P Composite 1500 Equity Opportunities ETF Tech Index Health Care Index -------------------------- ----------------- ------------------ <S> <C> <C> <C> 3/22/22 $10,000 $10,000 $10,000 3/31/22 10,210 10,214 10,025 </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> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) SEMI-ANNUAL REPORT MARCH 31, 2022 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to the First Trust Nasdaq Lux Digital Health Solutions ETF (the "Fund" or "EKG"). First Trust is responsible for the selection and ongoing monitoring of the securities in the Fund's portfolio and certain other services necessary for the management of the portfolio. PORTFOLIO MANAGEMENT TEAM The Fund's portfolio is managed by a team of portfolio managers consisting of: DANIEL J. LINDQUIST - CHAIRMAN OF THE INVESTMENT COMMITTEE AND MANAGING DIRECTOR OF FIRST TRUST JON C. ERICKSON - SENIOR VICE PRESIDENT OF FIRST TRUST DAVID G. MCGAREL - CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND MANAGING DIRECTOR OF FIRST TRUST ROGER F. TESTIN - SENIOR VICE PRESIDENT OF FIRST TRUST STAN UELAND - SENIOR VICE PRESIDENT OF FIRST TRUST CHRIS A. PETERSON - SENIOR VICE PRESIDENT OF FIRST TRUST ERIK RUSSO - VICE PRESIDENT OF FIRST TRUST The portfolio managers are primarily and jointly responsible for the day-to-day management of the Fund. Each portfolio manager has served as a part of the portfolio management team of the Fund since 2022. Page 6 <PAGE> FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) UNDERSTANDING YOUR FUND EXPENSES MARCH 31, 2022 (UNAUDITED) As a shareholder of First Trust Nasdaq Lux Digital Health Solutions ETF (the "Fund"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period (or since inception) and held through the six-month (or shorter) period ended March 31, 2022. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid on your account during this six-month (or shorter) period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE MARCH 22, 2022 (a) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO MARCH 22, 2022 (a) MARCH 31, 2022 IN THE PERIOD MARCH 31, 2022 (b) ------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) Actual $1,000.00 $1,021.00 0.65% $0.18 Hypothetical (5% return before expenses) $1,000.00 $1,021.69 0.65% $3.28 </TABLE> (a) Inception date. (b) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 22, 2022 through March 31, 2022), multiplied by 10/365. Hypothetical expenses are assumed for the most recent six-month period. Page 7 <PAGE> FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) PORTFOLIO OF INVESTMENTS MARCH 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% BIOTECHNOLOGY -- 6.4% 544 Burning Rock Biotech Ltd., ADR (a) $ 5,054 270 CareDx, Inc. (a) 9,987 890 Exact Sciences Corp. (a) 62,229 424 Myriad Genetics, Inc. (a) 10,685 596 Natera, Inc. (a) 24,245 264 Twist Bioscience Corp. (a) 13,036 306 Veracyte, Inc. (a) 8,437 -------------- 133,673 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 51.0% 244 ABIOMED, Inc. (a) 80,823 326 Align Technology, Inc. (a) 142,136 498 Alphatec Holdings, Inc. (a) 5,727 244 Axonics, Inc. (a) 15,274 718 Butterfly Network, Inc. (a) 3,418 402 Dexcom, Inc. (a) 205,663 132 Establishment Labs Holdings, Inc. (a) 8,895 596 Globus Medical, Inc., Class A (a) 43,973 1,172 Hologic, Inc. (a) 90,033 280 Insulet Corp. (a) 74,589 574 Intuitive Surgical, Inc. (a) 173,164 150 iRhythm Technologies, Inc. (a) 23,621 290 Masimo Corp. (a) 42,207 230 Meridian Bioscience, Inc. (a) 5,971 236 Outset Medical, Inc. (a) 10,714 186 Pulmonx Corp. (a) 4,615 158 Quidel Corp. (a) 17,769 338 ResMed, Inc. 81,968 294 Tandem Diabetes Care, Inc. (a) 34,189 -------------- 1,064,749 -------------- HEALTH CARE PROVIDERS & SERVICES -- 6.0% 1,018 1Life Healthcare, Inc. (a) 11,279 358 Accolade, Inc. (a) 6,286 136 Castle Biosciences, Inc. (a) 6,101 2,010 Clover Health Investments Corp. (a) 7,136 118 Fulgent Genetics, Inc. (a) 7,364 566 Guardant Health, Inc. (a) 37,492 724 Hims & Hers Health, Inc. (a) 3,859 1,168 Invitae Corp. (a) 9,309 584 LifeStance Health Group, Inc. (a) 5,904 324 Privia Health Group, Inc. (a) 8,661 374 Progyny, Inc. (a) 19,224 948 Sema4 Holdings Corp. (a) 2,910 -------------- 125,525 -------------- HEALTH CARE TECHNOLOGY -- 11.6% 1,352 American Well Corp., Class A (a) 5,692 164 Definitive Healthcare Corp. (a) 4,043 530 Doximity, Inc., Class A (a) 27,608 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE TECHNOLOGY (CONTINUED) 538 GoodRx Holdings, Inc., Class A (a) $ 10,400 248 Health Catalyst, Inc. (a) 6,480 150 Inspire Medical Systems, Inc. (a) 38,503 342 Schrodinger, Inc. (a) 11,669 840 Teladoc Health, Inc. (a) 60,589 364 Veeva Systems, Inc., Class A (a) 77,335 -------------- 242,319 -------------- LIFE SCIENCES TOOLS & SERVICES -- 24.8% 442 10X Genomics, Inc., Class A (a) 33,623 812 Adaptive Biotechnologies Corp. (a) 11,270 486 Cytek Biosciences, Inc. (a) 5,239 510 Illumina, Inc. (a) 178,194 724 IQVIA Holdings, Inc. (a) 167,396 222 NanoString Technologies, Inc. (a) 7,714 626 NeoGenomics, Inc. (a) 7,606 742 Olink Holding AB, ADR (a) 13,104 994 Pacific Biosciences of California, Inc. (a) 9,045 1,436 QIAGEN N.V. (a) 70,364 182 Quanterix Corp. (a) 5,313 882 SomaLogic, Inc. (a) 7,074 -------------- 515,942 -------------- TOTAL COMMON STOCKS -- 99.8% 2,082,208 (Cost $2,038,711) -------------- MONEY MARKET FUNDS -- 0.2% 5,099 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.19% (b) 5,099 (Cost $5,099) -------------- TOTAL INVESTMENTS -- 100.0% 2,087,307 (Cost $2,043,810) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (326) -------------- NET ASSETS -- 100.0% $ 2,086,981 ============== (a) Non-income producing security. (b) Rate shown reflects yield as of March 31, 2022. ADR - American Depositary Receipt Page 8 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) PORTFOLIO OF INVESTMENTS (CONTINUED) MARCH 31, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 3/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 2,082,208 $ 2,082,208 $ -- $ -- Money Market Funds.............................. 5,099 5,099 -- -- ----------------------------------------------------------------------- Total Investments............................... $ 2,087,307 $ 2,087,307 $ -- $ -- ======================================================================= </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 9 <PAGE> FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) STATEMENT OF ASSETS AND LIABILITIES MARCH 31, 2022 (UNAUDITED) <TABLE> <CAPTION> ASSETS: <S> <C> Investments, at value ................................................. $ 2,087,307 ---------------- Total Assets ....................................................... 2,087,307 ---------------- LIABILITIES: Investment advisory fees payable ...................................... 326 ---------------- Total Liabilities .................................................. 326 ---------------- NET ASSETS ............................................................ $ 2,086,981 ================ NET ASSETS CONSIST OF: Paid-in capital ....................................................... $ 2,042,810 Par value ............................................................. 1,000 Accumulated distributable earnings (loss) ............................. 43,171 ---------------- NET ASSETS ............................................................ $ 2,086,981 ================ NET ASSET VALUE, per share ............................................ $ 20.87 ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) ............................. 100,002 ================ Investments, at cost .................................................. $ 2,043,810 ================ </TABLE> Page 10 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) STATEMENT OF OPERATIONS FOR THE PERIOD ENDED MARCH 31, 2022 (a) (UNAUDITED) <TABLE> <CAPTION> <S> <C> INVESTMENT INCOME: Total investment income............................................. $ -- ---------------- EXPENSES: Investment advisory fees............................................... 326 ---------------- Total expenses...................................................... 326 ---------------- NET INVESTMENT INCOME (LOSS)........................................... (326) ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on investments................................ -- Net change in unrealized appreciation (depreciation) on investments.... 43,497 ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 43,497 ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 43,171 ================ </TABLE> (a) Inception date is March 22, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Financial Statements Page 11 <PAGE> FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) STATEMENT OF CHANGES IN NET ASSETS <TABLE> <CAPTION> PERIOD ENDED 3/31/2022 (a) (UNAUDITED) ---------------- OPERATIONS: <S> <C> Net investment income (loss)......................................................... $ (326) Net realized gain (loss)............................................................. -- Net change in unrealized appreciation (depreciation)................................. 43,497 ---------------- Net increase (decrease) in net assets resulting from operations...................... 43,171 ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 2,043,810 Cost of shares redeemed.............................................................. -- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 2,043,810 ---------------- Total increase (decrease) in net assets.............................................. 2,086,981 NET ASSETS: Beginning of period.................................................................. -- ---------------- End of period........................................................................ $ 2,086,981 ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. -- Shares sold.......................................................................... 100,002 Shares redeemed...................................................................... -- ---------------- Shares outstanding, end of period.................................................... 100,002 ================ </TABLE> (a) Inception date is March 22, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 12 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD <TABLE> <CAPTION> PERIOD ENDED 3/31/2022 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 20.44 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.00) (b) Net realized and unrealized gain (loss)........................ 0.43 --------- Total from investment operations............................... 0.43 --------- Net asset value, end of period................................. $ 20.87 ========= TOTAL RETURN (c)............................................... 2.10% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 2,087 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.65% (d) Ratio of net investment income (loss) to average net assets.... (0.65)% (d) Portfolio turnover rate (e).................................... 0% </TABLE> (a) Inception date is March 22, 2022, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Amount is less than $0.01. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The 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. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 13 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded Fund II (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on July 6, 2006, 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 seventeen exchange-traded funds. This report covers the First Trust Nasdaq Lux Digital Health Solutions ETF (the "Fund"), which trades under the ticker "EKG" on the Nasdaq Stock Market LLC ("Nasdaq"). 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 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 Lux Health Tech Index (the "Index"). 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 following is a summary of significant accounting policies consistently followed by the Fund 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 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. Foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. 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 Advisor's Pricing Committee 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. The 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. Securities trading on foreign exchanges or over-the-counter markets that close prior to the NYSE close may be valued using a systematic fair valuation model provided by a third-party pricing service. If these foreign securities meet certain criteria in relation to the valuation model, their valuation is systematically adjusted to reflect the impact of movement in the U.S. market after the close of the foreign markets. 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. 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 the 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 Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) 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. If the securities in question are foreign securities, the following additional information may be considered: 1) the value of similar foreign securities traded on other foreign markets; 2) ADR trading of similar securities; 3) closed-end fund or exchange-traded fund trading of similar securities; 4) foreign currency exchange activity; 5) the trading prices of financial products that are tied to baskets of foreign securities; 6) factors relating to the event that precipitated the pricing problem; 7) whether the event is likely to recur; and 8) whether the effects of the event are isolated or whether they affect entire markets, countries or regions. 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. Because foreign markets may be open on different days than the days during which investors may transact in the shares of the Fund, the value of the Fund's securities may change on the days when investors are not able to transact in the shares of the Fund. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE. Any use of a different rate from the rates used by a relevant index may adversely affect the Fund's ability to track the index. 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 March 31, 2022, is included with the 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. C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income, if any, are declared and paid quarterly by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by the Fund, if any, are distributed at least annually. Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) 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 significantly modified on 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 financial statement and tax purposes, will reverse at some time in the future. D. 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, 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 Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. As of March 31, 2022, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's financial statements for uncertain tax positions. Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. As of March 31, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: <TABLE> <CAPTION> Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------------------------------------------------------------------------- <S> <C> <C> <C> $ 2,043,810 $ 68,298 $ (24,801) $ 43,497 </TABLE> E. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in the Fund's portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of the Fund's assets and is responsible for the Fund's expenses, including the cost of transfer agency, 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 unitary management fee equal to 0.65% of its average daily net assets. 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. Page 16 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the period ended March 31, 2022, the cost of purchases and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were $2,038,711 and $0, respectively. For the period ended March 31, 2022, the Fund had no in-kind transactions. 5. 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. 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 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 March 7, 2024. Page 17 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) 7. 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. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there was the following subsequent event: On April 20, 2022, First Trust Indxx Metaverse ETF, an additional series of the Trust, began trading under the symbol "ARVR" on Nasdaq. Page 18 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how the Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS The Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. The Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for the Fund is available to investors within 60 days after the period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. Page 19 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. Page 20 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. Securities Risk. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of First Trust Exchange-Traded Fund II (the "Trust"), including the Independent Trustees, approved the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor"), on behalf of First Trust Nasdaq Lux Digital Health Solutions ETF (the "Fund"), for an initial two-year term at a meeting held on January 24, 2022. The Board determined that the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreement for the Fund, the Independent Trustees received a report from the Advisor in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other exchange-traded funds ("ETFs") managed by the Advisor; the estimated expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to the Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor is a reasonable business arrangement from the Fund's perspective. Page 21 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ LUX DIGITAL HEALTH SOLUTIONS ETF (EKG) MARCH 31, 2022 (UNAUDITED) In evaluating whether to approve the Agreement for the Fund, the Board considered the nature, extent and quality of the services to be provided by the Advisor under the Agreement and considered that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. The Board considered that the Advisor will be responsible for the overall management and administration of the Fund and reviewed all of the services to be provided by the Advisor to the Fund. The Board also considered the background and experience of the persons who will be responsible for the day-to-day management of the Fund's investments. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objective, policies and restrictions. Because the Fund had yet to commence investment operations, the Board could not consider the historical investment performance of the Fund. Because the Fund is an index ETF that is designed to track the performance of an underlying index, the Board considered reports it receives on a quarterly basis showing the correlation and tracking error between other ETFs for which the Advisor serves as investment advisor and their applicable underlying indexes. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Fund by the Advisor under the Agreement are expected to be satisfactory. The Board considered the proposed unitary fee rate payable by the Fund under the Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, the Fund would pay the Advisor a unitary fee equal to an annual rate of 0.65% of its average daily net assets. The Board noted that the Advisor would be responsible for the Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor to other ETFs. Because the Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was above the median total (net) expense ratio of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with representatives of the Advisor how the Expense Group was assembled and how the Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other ETFs managed by the Advisor, the Board considered the Advisor's statement that the Fund will be most comparable to three other index ETFs managed by the Advisor that pay unitary fees equal to annual rates of 0.65% or 0.70% of their respective average daily net assets due to their shared focus on targeted international exposures with robust selection methodologies and objectives to track a given market segment. In light of the information considered and the nature, extent and quality of the services expected to be provided to the Fund under the Agreement, the Board determined that the proposed unitary fee was fair and reasonable. The Board noted that the proposed unitary fee for the Fund was not structured to pass on to shareholders the benefits of any economies of scale as the Fund's assets grow. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board noted that the Advisor has continued to hire personnel and build infrastructure, including technology, to improve the services to the funds in the First Trust Fund Complex. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for the Fund under the Agreement. The Board considered the Advisor's estimate of the asset level for the Fund at which the Advisor expects the Agreement to be profitable to the Advisor and the Advisor's estimate of the profitability of the Agreement if the Fund's assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's estimated profitability level for the Fund was not unreasonable. The Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP. The Board also noted that the Advisor will not utilize soft dollars in connection with the Fund. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreement are fair and reasonable and that the approval of the Agreement is in the best interests of the Fund. No single factor was determinative in the Board's analysis. Page 22 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund II 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>
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund II |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | June 6, 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: | June 6, 2022 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | June 6, 2022 |