UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-21774
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First Trust Exchange-Traded Fund
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(Exact name of registrant as specified in charter)
Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 765-8000
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Date of fiscal year end: December 31
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Date of reporting period: December 31, 2019
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORT TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 is as follows:
FIRST TRUST
First Trust Exchange-Traded Fund
Book 1
First Trust Dow Jones Select MicroCap Index Fund (FDM)
First Trust Morningstar Dividend Leaders Index Fund (FDL)
First Trust US Equity Opportunities ETF (FPX)
First Trust NYSE Arca Biotechnology Index Fund (FBT)
First Trust Dow Jones Internet Index Fund (FDN)
First Trust Capital Strength ETF (FTCS)
First Trust Value Line(R) Dividend Index Fund (FVD)
First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)
Annual Report
December 31, 2019
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2019
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 4
First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 6
First Trust US Equity Opportunities ETF (FPX)............................ 8
First Trust NYSE Arca Biotechnology Index Fund (FBT)..................... 10
First Trust Dow Jones Internet Index Fund (FDN).......................... 12
First Trust Capital Strength ETF (FTCS).................................. 14
First Trust Value Line(R) Dividend Index Fund (FVD)...................... 16
First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)................. 18
Notes to Fund Performance Overview.......................................... 20
Understanding Your Fund Expenses............................................ 21
Portfolio of Investments
First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 23
First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 28
First Trust US Equity Opportunities ETF (FPX)............................ 30
First Trust NYSE Arca Biotechnology Index Fund (FBT)..................... 33
First Trust Dow Jones Internet Index Fund (FDN).......................... 34
First Trust Capital Strength ETF (FTCS).................................. 35
First Trust Value Line(R) Dividend Index Fund (FVD)...................... 37
First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)................. 41
Statements of Assets and Liabilities........................................ 44
Statements of Operations.................................................... 46
Statements of Changes in Net Assets......................................... 48
Financial Highlights........................................................ 52
Notes to Financial Statements............................................... 56
Report of Independent Registered Public Accounting Firm..................... 66
Additional Information...................................................... 67
Board of Trustees and Officers.............................................. 71
Privacy Policy.............................................................. 73
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded Fund (the "Trust") described in this
report (each such series is referred to as a "Fund" and collectively, as the
"Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund shares may therefore be less than what you paid
for them. Accordingly, you can lose money by investing in a Fund. See "Risk
Considerations" in the Additional Information Section of this report for a
discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
DECEMBER 31, 2019
Dear Shareholders:
First Trust is pleased to provide you with the annual report for certain funds
in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed
information about the Funds for the twelve months ended December 31, 2019,
including a market overview and a performance analysis.
A significant event for the markets in the past year was the decision by the
Federal Reserve (the "Fed") to reverse course with respect to monetary policy.
For those who may not follow the Fed closely, after holding its federal funds
target rate (upper bound) at an artificially low 0.25% for seven years (December
2008-December 2015) to help stimulate U.S. economic activity, the Fed spent the
better part of the next four years (December 2015-July 2019) increasing its
benchmark lending rate in an effort to normalize it. Over that period, the Fed
increased the rate from 0.25% to 2.50%. To lend some perspective, the average
federal funds target rate (upper bound) was 2.95% for the 30-year period ended
December 31, 2019, so the Fed came close to achieving its goal of normalizing
it, according to data from Bloomberg. From the end of July 2019 through the end
of December, however, the Fed initiated three rate cuts that dropped it from
2.50% to 1.75%.
So why did the Fed reverse course on monetary policy? We believe, as well as
others in the financial media, that the Fed's reversal on monetary policy has to
do with the trade tariffs. The Trump Administration first began implementing new
trade tariffs on imported goods back in March 2018. While the original tariffs
targeted just imported steel and aluminum, the use of tariffs quickly escalated
to other goods and services. The lion's share of the tariff conflict today is
between the U.S. and China, the two-largest economies in the world. In our
opinion, it is believed that President Donald J. Trump is utilizing tariffs as
leverage to try and negotiate more favorable trade agreements between the U.S.
and its major trading partners. One of the by-products of the escalation in the
use of tariffs by all parties involved has been a slowdown in global economic
growth, particularly in the U.S. The annualized U.S. real gross domestic product
growth rate in the second quarter of 2018 (when new tariffs were introduced) was
3.5%. As of the second and third quarters of 2019, that annualized growth rate
was down to 2.0% and 2.1%, respectively, according to data from the Bureau of
Economic Analysis. For many months, President Trump has publicly challenged the
Fed to lower rates aggressively to help offset the tempering of economic growth.
Trump has noted that the Fed has room to lower rates due to the extremely
low-to-negative rate levels found in many countries abroad as well as the lack
of any significant inflationary pressure in the current climate. While the Fed
has delivered some rate cuts in recent months, we believe that President Trump
will continue to bang the drum for even more rate cuts.
It has been said in the financial media that this is the "most hated" bull
market in history, yet it has been one of the most prosperous for investors. The
bull market turns 11 years old on March 9, 2020. A Bloomberg survey of 21 equity
strategists found that their average 2020 year-end price target for the S&P
500(R) Index was 3,318 as of December 17, 2019, according to its own release.
The highest estimate was 3,500. The lowest estimate was 3,000. With a target of
3,650, Brian Wesbury, Chief Economist at First Trust Advisors L.P., is more
bullish than all the strategists surveyed by Bloomberg. We encourage investors
to stay the course.
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2019 (UNAUDITED)
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 27 years of experience as an
Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY/INVESTING
The consensus among economists projects a 1.8% growth rate estimate for the U.S.
economy in 2020 (on a fourth quarter to fourth quarter basis), according to a
survey conducted by Bloomberg. However, Brian Wesbury, Chief Economist at First
Trust Advisors L.P. believes the economy may grow at a 2.5% to 3.0% pace, in
part due to home building and business investment that are poised to contribute
more to economic growth in 2020 than what the broader consensus believes, in his
opinion.
The combination of low interest rates, low inflation, strong job growth,
regulatory reform and a more favorable U.S. corporate tax structure following
the passage of the Tax Cuts and Jobs Act of 2017 makes the current climate an
attractive one for investors, in our opinion. Minus tax reform, which took
effect in 2018, and regulatory reform, which has been driven by the Trump
Administration since it took office in 2017, investors have been prospering in a
low rate/low inflation/strong job growth climate for the better part of the last
decade. Very little has changed in that regard. One thing that has created some
uncertainty in the markets is the extent of the potential fallout from the
implementation and escalation of trade tariffs by the Trump Administration. That
effort is now 21 months old and counting. The mid-December announcement that the
U.S. and China had struck a "Phase One" deal is encouraging, in our opinion.
Investors are flocking to exchange-traded funds ("ETFs") and related
exchange-traded products ("ETPs"). The global ETF industry turns 30 years old on
March 9, 2020. ETFGI, an independent research and consultancy firm, reported
that total assets invested in ETFs/ETPs listed globally stood at an all-time
high of $6.350 trillion at the close of 2019, up 31.9% from the $4.815 trillion
at the end of 2018, according to its own release. In 2019, net inflows to
ETFs/ETPs listed globally totaled $571.03 billion, the second highest on record
behind the $653.26 billion registered in 2017.
U.S. STOCKS AND BONDS
In 2019, three of the major U.S. stock indices posted substantial double-digit
gains. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R)
Index posted total returns of 31.49%, 26.20%, and 22.78%, respectively,
according to Bloomberg. All 11 major S&P 500(R) Index sectors posted positive
total returns. The top-performing sectors were Information Technology,
Communication Services and Financials, up 50.29%, 32.69% and 32.13%,
respectively, while the only sector with a total return below 20% for the year
was Energy, up 11.81%. The outlook for corporate earnings is encouraging, in our
opinion. Bloomberg's 2020 and 2021 consensus earnings growth estimates for the
S&P 500(R) Index were 9.02% and 10.72%, respectively, as of December 31, 2019.
The yield on the benchmark 10-year Treasury Note ("T-Note") closed trading on
December 31, 2019, at 1.92%, down 77 basis points ("bps") from its 2.69% close a
year earlier, according to Bloomberg. The yield stood 48 bps below its 2.40%
average for the 10-year period ended December 31, 2019. For those investors
still concerned about the prospects for an inverted yield curve, the spread
between the 2-year T-Note and the 10-year T-Note closed 2019 at 35 bps (1.57%
vs. 1.92%), according to data from Bloomberg. For comparative purposes, the
average spread was 117 bps (3.33% vs. 4.50%) for the 30-year period ended
December 31, 2019. The yield curve, while not inverted, remains relatively flat.
We will monitor this scenario moving forward.
In the U.S. bond market, all the major bond groups posted positive returns in
2019. The top-performing major debt group we track was high yield corporate
bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total
return of 14.32%. The worst-performing debt group that we track was government
bonds. The Bloomberg Barclays U.S. Treasury: Intermediate Index posted a total
return of 5.22%.
FOREIGN STOCKS AND BONDS
The U.S. dollar rose by 0.23% against a basket of major currencies in 2019, as
measured by the U.S. Dollar Index (DXY). With respect to U.S. investors, a flat
U.S. dollar would have little to no impact on the returns of foreign securities,
in our opinion. Aside from the currency aspect, foreign stocks and bonds
performed quite well in 2019.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of 12.13% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose 6.84% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
18.44% (USD), while the MSCI World ex USA Index was up 22.49% (USD) on a total
return basis, according to Bloomberg.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
The First Trust Dow Jones Select MicroCap Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Dow Jones Select
MicroCap Index(SM) (the "Index"). The Fund will normally invest at least 80% of
its net assets (including investment borrowings) in the common stocks of U.S.
micro-capitalization companies which are publicly traded in the United States.
The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in common stocks that comprise the Index. The Index is
designed to measure the performance of micro-cap stocks issued by U.S. companies
that are comparatively liquid and have strong fundamentals relative to the
micro-cap segment as a whole. The Index is rebalanced quarterly and
reconstituted annually and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca, Inc. ("NYSE Arca"). The first day of
secondary market trading in shares of the Fund was September 30, 2005.
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PERFORMANCE
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AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (9/27/05) Ended Ended (9/27/05)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 27.25% 10.41% 12.43% 7.83% 64.11% 222.58% 193.13%
Market Value 27.42% 10.41% 12.44% 7.83% 64.05% 223.03% 193.05%
INDEX PERFORMANCE
Dow Jones Select MicroCap Index(SM) 28.03% 11.05% 13.09% 8.53% 68.90% 242.26% 221.49%
Russell 2000(R) Index 25.52% 8.23% 11.83% 8.20% 48.49% 205.82% 207.58%
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(See Notes to Fund Performance Overview on page 20.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of 27.25% during the
12-month period covered by this report. During the same period, the Russell
2000(R) Index ("Benchmark") generated a return of 25.52%. The Financials sector
received the greatest allocation of any sector in the Fund during the same
period. With an average weight of 36.2%, investments in Financials returned
22.1% and contributed 7.9% to Fund performance. Communication Services is the
only sector which had a negative contribution to return in the Fund. Investments
in this sector returned -8.2% but received an allocation of only 1.2% and had a
drag on Fund performance of only -0.1%. On a relative basis, the Fund
outperformed the Benchmark. The greatest source of outperformance were
investments in the Health Care sector, which caused 2.2% of outperformance
versus the Benchmark. Meanwhile, investments in the Industrials sector caused
-1.5% of underperformance for the Fund.
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Dow Jones and Dow Jones Select MicroCap Index(SM) are products of S&P Dow Jones
Indices LLC ("SPDJI"), and have been licensed for use by First Trust on behalf
of the Fund. The Fund, based on the Dow Jones Select MicroCap Index(SM), is not
sponsored, endorsed, sold or promoted by SPDJI, Dow Jones Trademark Holdings LLC
("Dow Jones") or their respective affiliates, and SPDJI, Dow Jones and their
respective affiliates make no representation regarding the advisability of
trading in the Fund.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) (CONTINUED)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Financials 31.81%
Industrials 17.08
Consumer Discretionary 15.75
Energy 9.68
Information Technology 8.33
Health Care 7.61
Consumer Staples 3.96
Materials 3.77
Real Estate 0.88
Communication Services 0.71
Utilities 0.42
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Total 100.00%
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
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Kodiak Sciences, Inc. 2.47%
Photronics, Inc. 1.51
NexTier Oilfield Solutions, Inc. 1.51
Renewable Energy Group, Inc. 1.50
Cohu, Inc. 1.35
Malibu Boats, Inc., Class A 1.20
Axcelis Technologies, Inc. 1.11
Kimball International, Inc., Class B 1.08
Zumiez, Inc. 1.00
Denbury Resources, Inc. 0.99
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Total 13.72%
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PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust Dow Jones
Select MicroCap Dow Jones Select Russell 2000(R)
Index Fund MicroCap Index(SM) Index
12/09 $10,000 $10,000 $10,000
06/10 9,721 9,744 9,805
12/10 12,576 12,643 12,686
06/11 12,999 13,115 13,474
12/11 11,485 11,612 12,158
06/12 12,225 12,400 13,195
12/12 13,308 13,549 14,145
06/13 15,469 15,797 16,388
12/13 19,072 19,544 19,636
06/14 18,944 19,474 20,262
12/14 19,658 20,261 20,596
06/15 20,680 21,375 21,574
12/15 19,768 20,505 19,686
06/16 20,262 21,075 20,123
12/16 26,776 27,924 23,882
06/17 26,942 28,161 25,074
12/17 29,038 30,448 27,381
06/18 31,399 33,018 29,478
12/18 25,349 26,734 24,363
06/19 28,307 29,958 28,500
12/19 32,258 34,226 30,582
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
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NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 112 0 0 0
01/01/16 - 12/31/16 133 0 0 0
01/01/17 - 12/31/17 180 0 0 0
01/01/18 - 12/31/18 164 4 0 1
01/01/19 - 12/31/19 107 0 0 0
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NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 140 0 0 0
01/01/16 - 12/31/16 119 0 0 0
01/01/17 - 12/31/17 71 0 0 0
01/01/18 - 12/31/18 81 1 0 0
01/01/19 - 12/31/19 145 0 0 0
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
The First Trust Morningstar Dividend Leaders Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Morningstar(R) Dividend
Leaders Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in the common stocks that
comprise the Index. The Index is designed to measure the performance of the 100
highest-yielding stocks that have a consistent record of dividend payment and
have the ability to sustain their dividend payments. The securities comprising
the Morningstar(R) US Market Index(SM) serve as the Fund's selection universe.
The Index is rebalanced quarterly and reconstituted annually and the Fund will
make corresponding changes to its portfolio shortly after the Index changes are
made public. The Fund's shares are listed for trading on the NYSE Arca. The
first day of secondary market trading in shares of the Fund was March 15, 2006.
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PERFORMANCE
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AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (3/9/06) Ended Ended (3/9/06)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 24.36% 10.20% 12.56% 7.60% 62.49% 226.47% 174.90%
Market Value 24.37% 10.19% 12.56% 7.59% 62.44% 226.34% 174.72%
INDEX PERFORMANCE
Morningstar(R) Dividend Leaders Index(SM) 25.12% 10.75% 13.14% 8.13% 66.60% 243.71% 194.45%
S&P 500(R) Index 31.49% 11.70% 13.56% 9.25% 73.86% 256.66% 239.26%
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(See Notes to Fund Performance Overview on page 20.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 24.36% during the 12-month period covered by
this report. During the same period, the S&P 500(R) Index ("Benchmark")
generated a return of 31.49%. The greatest weight in the Fund was invested in
Energy securities, which had an allocation of 18.8%, returned 10.7%, and
contributed 1.8% to Fund performance. However, Communication Services had a more
significant contribution to the Fund. With a slightly smaller allocation of
17.2%, investments in this sector returned 31.2% and contributed 5.3% to Fund
return. No sector had a negative contribution to Fund returns. The most poorly
performing sector in the Fund were the investments in Energy securities. On a
relative basis, the Fund underperformed the Benchmark. Underperformance of -2.8%
versus the Benchmark was a result of the greater weight that the Fund gave to
Energy securities while -2.4% of the underperformance was a result of the lesser
weight given to Information Technology securities. A small amount of
outperformance existed in the Fund from investments in the Industrials and
Financials sectors, which produced 0.2% and 0.1% of outperformance,
respectively.
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Morningstar(R) is a service mark of Morningstar, Inc. and has been licensed for
use by First Trust on behalf of the Fund. The Fund is not sponsored, endorsed,
issued, sold or promoted by Morningstar, Inc., nor does this company make any
representation regarding the advisability of investing in the Fund.
Page 6
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) (CONTINUED)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Energy 22.33%
Communication Services 17.61
Financials 12.18
Consumer Staples 11.39
Information Technology 8.25
Utilities 8.13
Consumer Discretionary 7.65
Health Care 6.90
Industrials 3.12
Materials 2.44
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Total 100.00%
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
AT&T, Inc. 10.03%
Exxon Mobil Corp. 9.81
Verizon Communications, Inc. 7.26
Chevron Corp. 6.65
Wells Fargo & Co. 5.88
Philip Morris International, Inc. 5.19
AbbVie, Inc. 4.59
Altria Group, Inc. 4.42
International Business Machines Corp. 4.09
Broadcom, Inc. 2.96
-------
Total 60.88%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust Morningstar Morningstar(R)
Dividend Leaders Dividend S&P 500(R)
Index Fund Leaders Index(SM) Index
12/09 $10,000 $10,000 $10,000
06/10 9,547 9,568 9,335
12/10 11,604 11,666 11,507
06/11 12,511 12,612 12,199
12/11 13,279 13,419 11,749
06/12 14,377 14,578 12,864
12/12 14,492 14,728 13,629
06/13 16,515 16,830 15,513
12/13 17,785 18,170 18,043
06/14 19,615 20,098 19,331
12/14 20,090 20,633 20,514
06/15 19,481 20,051 20,766
12/15 20,638 21,288 20,797
06/16 23,676 24,494 21,596
12/16 24,914 25,829 23,288
06/17 25,641 26,656 25,466
12/17 27,887 29,063 28,377
06/18 26,961 28,171 29,132
12/18 26,248 27,471 27,131
06/19 29,996 31,490 32,161
12/19 32,647 34,371 35,666
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 151 0 0 0
01/01/16 - 12/31/16 161 0 0 0
01/01/17 - 12/31/17 131 0 0 0
01/01/18 - 12/31/18 140 1 0 0
01/01/19 - 12/31/19 195 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 101 0 0 0
01/01/16 - 12/31/16 91 0 0 0
01/01/17 - 12/31/17 120 0 0 0
01/01/18 - 12/31/18 108 2 0 0
01/01/19 - 12/31/19 56 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
The First Trust US Equity Opportunities ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the IPOX(R)-100 U.S. Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the Index.
The Index seeks to measure the performance of the equity securities of the 100
largest and typically most liquid initial public offerings ("IPOs") (including
spin-offs and equity carve-outs) of U.S. companies. The Index is rebalanced and
reconstituted quarterly and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca. The first day of secondary market trading
in shares of the Fund was April 13, 2006.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (4/12/06) Ended Ended (4/12/06)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 30.45% 10.63% 15.84% 11.58% 65.75% 335.20% 349.96%
Market Value 30.47% 10.63% 15.85% 11.58% 65.73% 335.35% 349.92%
INDEX PERFORMANCE
IPOX(R)-100 U.S. Index 30.96% 11.18% 16.49% 12.23% 69.88% 360.25% 386.73%
S&P 500(R) Index 31.49% 11.70% 13.56% 9.20% 73.86% 256.66% 234.62%
Russell 3000(R) Index 31.02% 11.24% 13.42% 9.08% 70.35% 252.15% 229.61%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 30.45% during the 12-month period covered by
this report. During the same period, the Russell 3000(R) Index ("Benchmark")
generated a return of 31.02%. The Information Technology sector was given the
largest allocation in the Fund with a 28.9% weighting. This sector had a
positive return of 35.4% resulting in a 10.3% contribution to the Fund's return.
This was also the largest contribution to the Fund's return for the same period.
The Energy sector was the worst performing sector with a -3.2% return to the
Fund but the contribution to the Fund was a positive 0.1% for the period. On a
relative basis, the Fund underperformed the Benchmark. The largest source of
underperformance can be attributed to the Information Technology sector
allocation within the Fund, specifically the security selection. The Fund
overweighted but underperformed the Benchmark by 7.9% and -13.6%, respectively,
resulting in -1.1% of relative underperformance. The Fund's security selection
within the Health Care sector resulted in a 0.5% relative outperformance when
compared to the Benchmark.
-----------------------------
The Fund is not sponsored, endorsed, sold or promoted by IPOX(R). IPOX(R) makes
no representation or warranty, express or implied, to the owners of the Fund or
any member of the public regarding the advisability of trading in the Fund.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 21.34%
Health Care 20.82
Communication Services 15.24
Industrials 10.87
Consumer Staples 10.44
Consumer Discretionary 8.35
Utilities 4.56
Financials 3.97
Materials 2.97
Real Estate 1.44
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
PayPal Holdings, Inc. 4.30%
Thermo Fisher Scientific, Inc. 4.04
Verizon Communications, Inc. 3.58
Sempra Energy 3.52
Bristol-Myers Squibb Co. 3.39
Takeda Pharmaceutical Co., Ltd. 2.98
Fidelity National Information
Services, Inc. 2.89
Uber Technologies, Inc. 2.86
Tesla, Inc. 2.76
Zoetis, Inc. 2.67
-------
Total 32.99%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust
US Equity IPOX(R)-100 S&P 500(R) Russell 3000(R)
Opportunities ETF U.S. Index Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,407 9,437 9,335 9,395
12/10 11,827 11,909 11,507 11,693
06/11 12,998 13,133 12,200 12,436
12/11 12,193 12,359 11,750 11,813
06/12 13,844 14,074 12,865 12,914
12/12 15,853 16,161 13,630 13,752
06/13 18,515 18,921 15,514 15,686
12/13 23,460 24,060 18,044 18,367
06/14 25,011 25,732 19,332 19,642
12/14 26,254 27,091 20,515 20,673
06/15 28,522 29,518 20,767 21,074
12/15 26,828 27,847 20,798 20,773
06/16 26,654 27,730 21,597 21,525
12/16 28,626 29,862 23,286 23,417
06/17 31,686 33,135 25,461 25,508
12/17 36,344 38,105 28,369 28,365
06/18 38,245 40,182 29,121 29,278
12/18 33,357 35,139 27,126 26,877
06/19 41,966 44,326 32,155 31,913
12/19 43,520 46,025 35,666 35,215
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 172 0 0 0
01/01/16 - 12/31/16 118 0 0 0
01/01/17 - 12/31/17 179 0 0 0
01/01/18 - 12/31/18 157 3 1 0
01/01/19 - 12/31/19 177 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 80 0 0 0
01/01/16 - 12/31/16 134 0 0 0
01/01/17 - 12/31/17 72 0 0 0
01/01/18 - 12/31/18 87 3 0 0
01/01/19 - 12/31/19 75 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
The First Trust NYSE Arca Biotechnology Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the NYSE Arca Biotechnology Index(SM)
(the "Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and depositary receipts
that comprise the Index. The Index is an equal-dollar weighted index designed to
measure the performance of a cross section of small, mid and large
capitalization companies in the biotechnology industry that are primarily
involved in the use of biological processes to develop products or provide
services. Such processes include, but are not limited to, recombinant DNA
technology, molecular biology, genetic engineering, monoclonal antibody-based
technology, lipid/liposome technology and genomics. This Index is rebalanced and
reconstituted quarterly and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca. The first day of secondary market trading
in shares of the Fund was June 23, 2006.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (6/19/06) Ended Ended (6/19/06)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 19.78% 7.88% 17.98% 16.10% 46.09% 422.33% 654.28%
Market Value 19.77% 7.87% 17.97% 16.10% 46.05% 422.11% 654.23%
INDEX PERFORMANCE
NYSE Arca Biotechnology Index(SM) 20.43% 8.41% 18.57% 16.72% 49.75% 449.31% 710.67%
S&P Composite 1500(R) Health Care Index 20.87% 10.69% 15.17% 11.89% 66.18% 310.75% 357.25%
NASDAQ(R) Biotechnology Index 25.11% 4.04% 16.61% 13.38% 21.92% 364.74% 447.43%
S&P 500(R) Index 31.49% 11.70% 13.56% 9.61% 73.86% 256.66% 246.36%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 19.78% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Health Care Index
("Benchmark") returned 20.87%. The Fund's allocation to the Biotechnology
industry was its largest with a 78.9% weight and 19.8% return, resulting in a
15.8% contribution to the Fund's return, which was also the largest contributor
to the Fund's return. The Fund's Pharmaceutical industry allocation returned
-34.3% but the small weight within the Fund of 3.0% limited the negative
contribution to the Fund to -0.9%. On a relative basis, the Fund underperformed
the Benchmark. The Fund did not have an allocation to the Health Care Equipment
and Supplies industry, compared to the Benchmark's 25.2% allocation to this
industry, resulting in a relative underperformance of -1.4% for the Fund. The
Fund overallocated and outperformed the Benchmark within the Biotechnology
industry by 64.8% and 7.6%, respectively, creating 0.4% of relative
outperformance.
-----------------------------
The NYSE Arca Biotechnology Index(SM) is a trademark of NYSE Group, Inc. or its
affiliates ("NYSE Group, Inc.") and is licensed for use by First Trust. The Fund
is not sponsored or endorsed by NYSE Group, Inc. NYSE Group, Inc. makes no
representation or warranty, express or implied, to the owners of the Fund or any
member of the public regarding the advisability of investing in the Fund or the
ability of the Fund to track the performance of the various sectors represented
in the stock market.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Biotechnology 80.79%
Life Sciences Tools & Services 15.69
Pharmaceuticals 3.52
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Intercept Pharmaceuticals, Inc. 5.36%
Sarepta Therapeutics, Inc. 4.24
Agios Pharmaceuticals, Inc. 4.07
Alnylam Pharmaceuticals, Inc. 3.82
Biogen, Inc. 3.80
Seattle Genetics, Inc. 3.68
Regeneron Pharmaceuticals, Inc. 3.52
Nektar Therapeutics 3.52
Vertex Pharmaceuticals, Inc. 3.46
BioMarin Pharmaceutical, Inc. 3.44
-------
Total 38.91%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust NYSE NYSE Arca NASDAQ (R) S&P Composite
Arca Biotechnology Biotechnology Biotechnology S&P 500(R) 1500(R) Health
Index Fund Index(SM) Index Index Care Index
12/09 $10,000 $10,000 $10,000 $10,000 $10,000
06/10 10,823 10,859 9,492 9,335 9,274
12/10 13,689 13,774 11,526 11,507 10,520
06/11 15,360 15,504 13,179 12,200 12,013
12/11 11,449 11,585 12,918 11,750 11,770
06/12 15,362 15,595 16,124 12,865 13,122
12/12 16,133 16,422 17,089 13,630 13,930
06/13 20,365 20,775 21,682 15,514 16,801
12/13 24,216 24,764 28,362 18,044 19,807
06/14 28,841 29,526 32,194 19,332 21,827
12/14 35,751 36,630 38,120 20,515 24,717
06/15 43,502 44,645 46,427 20,767 27,238
12/15 39,669 40,801 42,605 20,798 26,549
06/16 31,410 32,404 32,486 21,597 26,703
12/16 31,894 32,987 33,509 23,286 26,003
06/17 39,989 41,461 39,319 25,461 30,286
12/17 43,692 45,421 40,758 28,369 31,846
06/18 49,145 51,194 42,038 29,121 32,891
12/18 43,607 45,542 37,140 27,127 33,982
06/19 49,421 51,745 41,945 32,157 36,835
12/19 52,233 54,931 46,474 35,666 41,075
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 159 0 0 0
01/01/16 - 12/31/16 129 1 0 0
01/01/17 - 12/31/17 136 0 0 0
01/01/18 - 12/31/18 156 1 2 1
01/01/19 - 12/31/19 97 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 93 0 0 0
01/01/16 - 12/31/16 122 0 0 0
01/01/17 - 12/31/17 115 0 0 0
01/01/18 - 12/31/18 88 3 0 0
01/01/19 - 12/31/19 154 0 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
The First Trust Dow Jones Internet Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Dow Jones Internet Composite
Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The Index is designed to measure the performance of the largest and most
actively traded securities issued by U.S. companies in the Internet industry.
The Index is rebalanced and reconstituted quarterly and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the NYSE Arca. The first day
of secondary market trading in shares of the Fund was June 23, 2006.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (6/19/06) Ended Ended (6/19/06)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 19.26% 17.81% 18.69% 15.45% 126.99% 455.03% 598.61%
Market Value 19.18% 17.80% 18.68% 15.44% 126.81% 454.57% 598.30%
INDEX PERFORMANCE
Dow Jones Internet Composite Index(SM) 20.08% 18.46% 19.35% 16.08% 133.29% 486.39% 652.05%
S&P 500(R) Index 31.49% 11.70% 13.56% 9.61% 73.86% 256.66% 246.36%
S&P Composite 1500(R) Information
Technology Index 49.75% 19.85% 17.31% 14.25% 147.33% 393.77% 506.65%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 19.26% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Information
Technology Index ("Benchmark") returned 49.75%. The Information Technology
sector was the Fund's largest allocated sector with a 42.2% weight. This sector
had a 14.8% return contributing 6.7% to the Fund's return. The Communication
Services sector had the largest contribution to the Fund's return with 10.0%,
due to the 31.1% allocation and 34.9% return for this sector. The smallest
contribution to the Fund's return was from the Financials sector. The Fund
allocated 4.8% of its portfolio to this sector which had a 1.5% return,
resulting in a 0.2% contribution to the Fund's return. On a relative basis, the
Fund underperformed the Benchmark. The primary cause of the underperformance was
the Fund's underweight and underperformance in the Information Technology sector
by -56.9% and -35.0%, respectively, resulting in a -13.0% drag on relative
performance.
-----------------------------
Dow Jones and Dow Jones Internet Composite Index(SM) are products of S&P Dow
Jones Indices ("SPDJI") and have been licensed for use by First Trust. The Fund,
based on the Dow Jones Internet Composite Index(SM), is not sponsored, endorsed,
sold or promoted by SPDJI, Dow Jones Trademark Holdings LLC ("Dow Jones") or
their respective affiliates and SPDJI, Dow Jones and their respective affiliates
make no representation regarding the advisability of trading in the Fund.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 47.86%
Communication Services 27.89
Consumer Discretionary 17.79
Financials 4.01
Health Care 2.45
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Amazon.com, Inc. 8.91%
Facebook, Inc., Class A 7.30
Cisco Systems, Inc. 5.67
Netflix, Inc. 4.89
salesforce.com, Inc. 4.82
PayPal Holdings, Inc. 4.52
Alphabet, Inc., Class A 4.39
Alphabet, Inc., Class C 4.37
eBay, Inc. 2.98
Twitter, Inc. 2.87
-------
Total 50.72%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust Dow Jones S&P Composite 1500(R)
Dow Jones Internet Internet Composite S&P 500(R) Information Technology
Index Fund Index(SM) Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,518 9,530 9,335 8,998
12/10 13,663 13,726 11,507 11,212
06/11 14,449 14,551 12,200 11,488
12/11 12,878 13,024 11,750 11,338
06/12 14,095 14,298 12,865 12,780
12/12 15,564 15,841 13,630 13,010
06/13 18,098 18,471 15,514 13,886
12/13 23,875 24,452 18,044 16,783
06/14 23,760 24,377 19,332 18,201
12/14 24,454 25,135 20,515 19,963
06/15 26,799 27,621 20,767 20,223
12/15 29,776 30,765 20,798 21,080
06/16 28,770 29,799 21,597 21,093
12/16 31,834 33,056 23,286 24,198
06/17 37,793 39,350 25,461 28,220
12/17 43,810 45,733 28,369 33,221
06/18 54,916 57,468 29,121 36,722
12/18 46,532 48,843 27,127 32,986
06/19 57,314 60,421 32,157 41,905
12/19 55,503 58,639 35,666 49,377
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 201 0 0 0
01/01/16 - 12/31/16 124 0 0 0
01/01/17 - 12/31/17 129 0 0 0
01/01/18 - 12/31/18 116 4 2 0
01/01/19 - 12/31/19 113 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 51 0 0 0
01/01/16 - 12/31/16 128 0 0 0
01/01/17 - 12/31/17 122 0 0 0
01/01/18 - 12/31/18 125 4 0 0
01/01/19 - 12/31/19 139 0 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
The First Trust Capital Strength ETF (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called The Capital Strength Index(SM) (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and real estate
investment trusts that comprise the Index. The Index seeks to provide exposure
to well-capitalized companies with strong market positions that have the
potential to provide their stockholders with a greater degree of stability and
performance over time. The Index is rebalanced and reconstituted quarterly and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was July
11, 2006.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (7/6/06) Ended Ended (7/6/06)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 26.72% 11.15% 13.22% 10.18% 69.64% 246.04% 269.79%
Market Value 26.62% 11.11% 13.21% 10.18% 69.36% 245.91% 269.67%
INDEX PERFORMANCE
The Capital Strength Index(SM)* 27.60% 11.87% N/A N/A 75.22% N/A N/A
S&P 500(R) Index 31.49% 11.70% 13.56% 9.42% 73.86% 256.66% 236.79%
------------------------------------------------------------------------------------------------------------------------------------
* On June 4, 2013, the Fund's underlying index changed from the Credit
Suisse U.S. Value Index, Powered by HOLT(TM) to The Capital Strength
Index(SM). On June 18, 2010, the Fund's underlying index changed from the
Deutsche Bank CROCI(R) US+ Index(TM) to the Credit Suisse U.S. Value
Index, Powered by HOLT(TM). Since the Fund's new underlying index had an
inception date of March 20, 2013, it was not in existence for some of the
periods disclosed.
(See Notes to Fund Performance Overview on page 20.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 26.72% during the 12-month period covered by
this report. During the same period, the S&P 500(R) Index ("Benchmark")
generated a return of 31.49%. Industrials received the greatest allocation of
the sectors in the Fund during the period. Carrying an average weight of 19.3%,
investments in Industrials returned 19.6% and contributed 4.7% to overall Fund
return. No invested sector experienced a negative return during the period, but
the least-positive return came from investments in the Energy sector. Energy
returned 16.8%. This sector received a very low weight of 1.5% in the Fund and
contributed 0.4% to total Fund return. On a relative basis, the Fund
underperformed the Benchmark. The bulk of the underperformance came from
investments in Information Technology. This sector caused -3.4% underperformance
versus the Benchmark during the period. The sector with the largest contribution
to Fund outperformance was the Health Care sector. Investments in Health Care
caused 1.1% outperformance versus the Benchmark.
-----------------------------
NASDAQ(R) and the Capital Strength Index(SM) are trademarks (the "Marks") of
Nasdaq, Inc. (collectively with its affiliates, "NASDAQ"). The Marks are
licensed for use by First Trust. The Fund has not been passed on by NASDAQ as to
its legality or suitability. The Fund is not issued, endorsed, sold or promoted
by NASDAQ. The Fund should not be construed in any way as investment advice by
NASDAQ. NASDAQ MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE
FUND.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CAPITAL STRENGTH ETF (FTCS) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Health Care 20.78%
Industrials 19.83
Information Technology 15.98
Financials 14.28
Consumer Discretionary 11.60
Consumer Staples 7.51
Materials 4.09
Communication Services 2.08
Energy 1.96
Real Estate 1.89
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Eli Lilly & Co. 2.28%
UnitedHealth Group, Inc. 2.26
Amgen, Inc. 2.24
Boston Scientific Corp. 2.22
Microsoft Corp. 2.16
Johnson & Johnson 2.15
Illinois Tool Works, Inc. 2.14
Accenture PLC, Class A 2.12
Marsh & McLennan Cos., Inc. 2.12
Northern Trust Corp. 2.12
-------
Total 21.81%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust Capital S&P 500(R)
Strength ETF Index
12/09 $10,000 $10,000
06/10 9,246 9,335
12/10 11,403 11,507
06/11 12,300 12,200
12/11 11,068 11,750
06/12 11,669 12,865
12/12 12,999 13,630
06/13 15,163 15,514
12/13 17,665 18,044
06/14 18,651 19,332
12/14 20,397 20,515
06/15 20,362 20,767
12/15 20,733 20,798
06/16 21,840 21,597
12/16 22,510 23,286
06/17 25,299 25,461
12/17 28,471 28,369
06/18 28,707 29,121
12/18 27,303 27,126
06/19 32,100 32,155
12/19 34,604 35,666
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 190 2 0 0
01/01/16 - 12/31/16 194 0 0 0
01/01/17 - 12/31/17 197 0 0 0
01/01/18 - 12/31/18 161 3 0 1
01/01/19 - 12/31/19 222 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 57 3 0 0
01/01/16 - 12/31/16 58 0 0 0
01/01/17 - 12/31/17 54 0 0 0
01/01/18 - 12/31/18 84 1 1 0
01/01/19 - 12/31/19 30 0 0 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
The First Trust Value Line(R) Dividend Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Value Line(R) Dividend Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and depositary receipts
that comprise the Index. The Index seeks to measure the performance of the
securities ranked #1 or #2 according to Value Line Publishing, LLC's proprietary
Value Line(R) Safety(SM) Ranking System that are also still expected to provide
above-average dividend yield. The Index is rebalanced on a monthly basis. The
Fund's shares are listed for trading on the NYSE Arca.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (8/19/03) Ended Ended (8/19/03)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 26.60% 10.80% 13.18% 10.16% 66.99% 244.83% 387.31%
Market Value 26.56% 10.79% 13.17% 10.16% 66.94% 244.46% 387.17%
INDEX PERFORMANCE
Value Line(R) Dividend Index* 27.63% 11.67% 14.08% N/A 73.66% 273.29% N/A
S&P 500(R) Index 31.49% 11.70% 13.56% 9.64% 73.86% 256.66% 350.90%
Dow Jones U.S. Select Dividend Index(SM)* 23.11% 9.91% 13.41% N/A 60.37% 252.00% N/A
------------------------------------------------------------------------------------------------------------------------------------
On December 15, 2006, the Fund acquired the assets and adopted the
financial and performance history of First Trust Value Line(R) Dividend
Fund (the "Predecessor FVD Fund," a closed-end fund), which had an
inception date of August 19, 2003. The inception date total returns at net
asset value ("NAV") include the sales load of $0.675 per share on the
initial offering. The investment goals, strategies and policies of the
Fund are substantially similar to those of the Predecessor FVD Fund. The
inception date of the Index was July 3, 2006. Returns for the Index are
only disclosed for those periods in which the Index was in existence for
the entire period. The cumulative total returns for the period from the
reorganization date (December 15, 2006) through period end (December 31,
2019) were 201.19% and 202.63% at NAV and Market Value, respectively. That
compares to an Index return of 233.65% for the same period. The average
annual total returns for the period from the reorganization date (December
15, 2006) through period end (December 31, 2019) were 8.82% and 8.86% at
NAV and Market Value, respectively. That compares to an Index return of
9.68% for the same period.
NAV and Market Value returns assume that all distributions have been
reinvested in the Fund at NAV and Market Value, respectively. Prior to
December 15, 2006, NAV and Market Value returns assumed that all
distributions were reinvested at prices obtained by the Dividend
Reinvestment Plan of the Predecessor FVD Fund and the price used to
calculate Market Value return was the AMEX (now known as the NYSE
American) closing market price of the Predecessor FVD Fund.
* Performance data is not available for all the periods shown in the table
because performance data does not exist for the periods shown.
(See Notes to Fund Performance Overview on page 20.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 26.60% during the 12-month period covered by
this report. During the same period, the Benchmark S&P 500(R) Index
("Benchmark") generated a return of 31.49%. The Fund allocated 21.2% to the
Utilities sector, the largest allocation within the Fund. This sector returned
23.2%, contributing 4.9% to the Fund's return. The Financials sector was the
largest contribution to the Fund's return at 5.7% due to the Fund's 20.0%
allocation and 28.4% return for this sector. The smallest contribution to the
Fund's return was in the Energy sector with a 0.6% contribution, attributable to
the Fund's 2.7% allocation to the sector. On a relative basis, the Fund
underperformed the Benchmark. The largest source of relative underperformance
came from the Information Technology sector where the Fund underweighted and
underperformed the Benchmark by -15.5% and -16.2%, respectively, resulting in a
-3.1% drag on performance. This underperformance was partially reduced by the
Fund's allocation to the Health Care sector which delivered 1.3% in relative
outperformance.
-----------------------------
Value Line(R) and Safety(TM) are trademarks of Value Line, Inc. that are
licensed to First Trust. The Fund is not sponsored, recommended, sold, or
promoted by Value Line Publishing LLC, Value Line, Inc. or any of their
affiliates.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Utilities 22.02%
Financials 20.41
Industrials 13.84
Consumer Staples 10.93
Health Care 6.94
Information Technology 5.93
Real Estate 5.04
Communication Services 4.49
Consumer Discretionary 4.44
Materials 3.48
Energy 2.48
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
International Flavors & Fragrances,
Inc. 0.52%
Simon Property Group, Inc. 0.51
WP Carey, Inc. 0.51
Assurant, Inc. 0.51
Realty Income Corp. 0.51
Mid-America Apartment Communities,
Inc. 0.51
Cincinnati Financial Corp. 0.51
South Jersey Industries, Inc. 0.51
Evergy, Inc. 0.51
Comcast Corp., Class A 0.51
-------
Total 5.11%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust
Value Line(R) Value Line(R) S&P 500(R) Dow Jones U.S. Select
Dividend Index Fund Dividend Index Index Dividend Index(SM)
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,712 9,746 9,335 9,871
12/10 11,608 11,699 11,507 11,832
06/11 12,552 12,702 12,200 12,824
12/11 12,657 12,856 11,750 13,301
06/12 13,458 13,737 12,865 14,171
12/12 14,071 14,410 13,630 14,743
06/13 16,026 16,484 15,514 16,785
12/13 17,810 18,386 18,044 19,027
06/14 19,328 20,044 19,332 20,904
12/14 20,650 21,497 20,515 21,949
06/15 20,220 21,132 20,767 21,165
12/15 20,907 21,948 20,798 21,590
06/16 23,851 25,148 21,597 24,947
12/16 25,077 26,541 23,286 26,337
06/17 26,441 28,094 25,461 27,941
12/17 28,207 30,077 28,369 30,403
06/18 27,987 29,960 29,121 30,713
12/18 27,231 29,253 27,128 28,587
06/19 31,882 34,400 32,157 32,486
12/19 34,483 37,329 35,666 35,200
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 179 0 0 0
01/01/16 - 12/31/16 182 0 0 0
01/01/17 - 12/31/17 185 0 0 0
01/01/18 - 12/31/18 143 1 0 0
01/01/19 - 12/31/19 241 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 73 0 0 0
01/01/16 - 12/31/16 70 0 0 0
01/01/17 - 12/31/17 66 0 0 0
01/01/18 - 12/31/18 106 1 0 0
01/01/19 - 12/31/19 11 0 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
The First Trust Value Line(R) 100 Exchange-Traded Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Value Line(R) 100 Index
(the "Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and depositary receipts
that comprise the Index. The Index seeks to measure the performance of the 100
highest ranked securities according to Value Line Publishing, LLC's proprietary
Value Line Timeliness Ranking System. The Index is rebalanced and reconstituted
quarterly and the Fund will make corresponding changes to its portfolio shortly
after the Index changes are made public. The Fund's shares are listed for
trading on the NYSE Arca.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (6/12/03) Ended Ended (6/12/03)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 22.38% 2.94% 8.79% 5.37% 15.57% 132.21% 137.73%
Market Value 22.45% 2.94% 8.78% 5.37% 15.58% 132.11% 137.62%
INDEX PERFORMANCE
Value Line(R) 100 Index* 23.42% 3.89% 9.80% N/A 21.01% 154.70% N/A
Russell 3000(R) Index 31.02% 11.24% 13.42% 9.74% 70.35% 252.15% 365.51%
------------------------------------------------------------------------------------------------------------------------------------
On June 15, 2007, the Fund acquired the assets and adopted the financial
and performance history of First Trust Value Line(R) 100 Fund (the
"Predecessor FVL Fund," a closed-end fund), which had an inception date of
June 12, 2003. The inception date total returns at NAV include the sales
load of $0.675 per share on the initial offering. The investment goals,
strategies and policies of the Fund are substantially similar to those of
the Predecessor FVL Fund. The inception date of the Index was January 16,
2007. Returns for the Index are only disclosed for those periods in which
the Index was in existence for the entire period. The cumulative total
returns for the period from the reorganization date (June 15, 2007)
through period end (December 31, 2019) were 44.30% and 44.24% at NAV and
Market Value, respectively. That compares to an Index return of 61.14% for
that same period. The average annual total returns for the period from the
reorganization date (June 15, 2007) through period end (December 31, 2019)
were 2.97% and 2.96% at NAV and Market Value, respectively. That compares
to an Index return of 3.88% for the same period.
NAV and Market Value returns assume that all distributions have been
reinvested in the Fund at NAV and Market Value, respectively. Prior to
June 15, 2007, NAV and Market Value returns assumed that all distributions
were reinvested at prices obtained by the Dividend Reinvestment Plan of
the Predecessor FVL Fund and the price used to calculate Market Value
return was the AMEX (now known as the NYSE American) closing market price
of the Predecessor FVL Fund.
* Performance data is not available for all the periods shown in the table
because performance data does not exist for the periods shown.
(See Notes to Fund Performance Overview on page 20.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 22.38% during the 12-month period covered by
this report. During the same period, the Benchmark Russell 3000(R) Index
("Benchmark") generated a return of 31.02%. The most heavily weighted sector in
the Fund was Information Technology. Investments in this sector received an
allocation of 20.7%, returned 39.4%, and contributed 6.9% to total Fund return.
The best-performing sector in the Fund during the same period were investments
in Financials. This sector returned 43.2%, carried an average weight in the fund
of 7.5%, and contributed 2.4% to total Fund return. No sector experienced a
negative return in the Fund over the period. The least well-performing sector
was the Energy sector, with a return of 6.0%. This sector received an allocation
of 9.6% and contributed 0.4% to total Fund return. On a relative basis, the Fund
underperformed the Benchmark. Underperformance of -2.0% came from investments in
the Information Technology sector. The Fund and the Benchmark allocated similar
weight to Information Technology, but the Fund underperformed, due to the
selection effect. Meanwhile, 0.6% outperformance was earned from investments in
the Real Estate sector.
-----------------------------
Value Line(R) and Timeliness(TM) are trademarks of Value Line, Inc. that are
licensed to First Trust. The Fund is not sponsored, recommended, sold, or
promoted by Value Line Publishing LLC, Value Line, Inc. or any of their
affiliates.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 16.59%
Financials 12.32
Industrials 11.50
Materials 10.72
Health Care 10.65
Utilities 10.08
Consumer Staples 7.28
Energy 6.64
Consumer Discretionary 5.96
Real Estate 5.22
Communication Services 3.04
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
AudioCodes Ltd. 1.51%
Tyler Technologies, Inc. 1.24
Procter & Gamble (The) Co. 1.24
Motorola Solutions, Inc. 1.23
Zoetis, Inc. 1.21
Copart, Inc. 1.19
West Pharmaceutical Services, Inc. 1.18
Teledyne Technologies, Inc. 1.17
Crown Castle International Corp. 1.17
Arconic, Inc. 1.16
-------
Total 12.30%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust Value Line(R) 100 Value Line(R) Russell 3000(R)
Exchange-Traded Fund 100 Index Index
12/09 $10,000 $10,000 $10,000
06/10 9,914 9,965 9,395
12/10 12,951 13,074 11,693
06/11 13,685 13,916 12,436
12/11 11,925 12,153 11,813
06/12 12,258 12,542 12,913
12/12 12,942 13,293 13,752
06/13 14,870 15,353 15,685
12/13 18,046 18,734 18,366
06/14 19,999 20,857 19,641
12/14 20,093 21,047 20,672
06/15 20,625 21,704 21,073
12/15 19,464 20,560 20,771
06/16 20,134 21,360 21,523
12/16 21,437 22,879 23,415
06/17 21,235 22,815 25,506
12/17 23,388 25,217 28,363
06/18 23,014 24,914 29,276
12/18 18,972 20,634 26,877
06/19 22,560 24,643 31,907
12/19 23,221 25,470 35,215
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 130 0 0 0
01/01/16 - 12/31/16 140 1 0 0
01/01/17 - 12/31/17 137 1 0 0
01/01/18 - 12/31/18 182 4 0 1
01/01/19 - 12/31/19 109 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 122 0 0 0
01/01/16 - 12/31/16 111 0 0 0
01/01/17 - 12/31/17 113 0 0 0
01/01/18 - 12/31/18 63 1 0 0
01/01/19 - 12/31/19 143 0 0 0
Page 19
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of each Fund did not trade in the
secondary market until after the Fund's inception, for the period from inception
to the first day of secondary market trading in shares of the Fund, the NAV of
each Fund is used as a proxy for the secondary market trading price to calculate
market returns. NAV and market returns assume that all distributions have been
reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 20
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2019 (UNAUDITED)
As a shareholder of First Trust Dow Jones Select MicroCap Index Fund, First
Trust Morningstar Dividend Leaders Index Fund, First Trust US Equity
Opportunities ETF, First Trust NYSE Arca Biotechnology Index Fund, First Trust
Dow Jones Internet Index Fund, First Trust Capital Strength ETF, First Trust
Value Line(R) Dividend Index Fund or First Trust Value Line(R) 100
Exchange-Traded Fund (each a "Fund" and collectively, the "Funds"), you incur
two types of costs: (1) transaction costs; and (2) ongoing costs, including
management fees, distribution and/or service fees, if any, and other Fund
expenses. This Example is intended to help you understand your ongoing costs of
investing in the Funds and to compare these costs with the ongoing costs of
investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended December 31, 2019.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2019 DECEMBER 31, 2019 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST DOW JONES SELECT MICROCAP INDEX
FUND (FDM)
Actual $1,000.00 $1,139.40 0.60% $3.24
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX
FUND (FDL)
Actual $1,000.00 $1,088.20 0.45% $2.37
Hypothetical (5% return before expenses) $1,000.00 $1,022.94 0.45% $2.29
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
Actual $1,000.00 $1,036.80 0.58% $2.98
Hypothetical (5% return before expenses) $1,000.00 $1,022.28 0.58% $2.96
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX
FUND (FBT)
Actual $1,000.00 $1,057.00 0.55% $2.85
Hypothetical (5% return before expenses) $1,000.00 $1,022.43 0.55% $2.80
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
Actual $1,000.00 $ 968.20 0.52% $2.58
Hypothetical (5% return before expenses) $1,000.00 $1,022.58 0.52% $2.65
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
Actual $1,000.00 $1,077.80 0.59% $3.09
Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01
Page 21
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
DECEMBER 31, 2019 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2019 DECEMBER 31, 2019 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
Actual $1,000.00 $1,081.30 0.70% $3.67
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
Actual $1,000.00 $1,029.10 0.70% $3.58
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in
Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (July 1,
2019 through December 31, 2019), multiplied by 184/365 (to reflect the
six-month period).
Page 22
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.7%
23,669 Ducommun, Inc. (a) $ 1,195,995
11,209 National Presto Industries, Inc. 990,763
43,369 Park Aerospace Corp. 705,614
25,607 Vectrus, Inc. (a) 1,312,615
--------------
4,204,987
--------------
AIR FREIGHT & LOGISTICS -- 0.8%
60,730 Echo Global Logistics, Inc. (a) 1,257,111
--------------
AUTO COMPONENTS -- 0.1%
33,348 Shiloh Industries, Inc. (a) 118,719
--------------
BANKS -- 22.2%
18,141 1st Constitution Bancorp 401,460
8,280 Bank7 Corp. 156,989
34,603 Bar Harbor Bankshares 878,570
27,345 Baycom Corp. (a) 621,825
26,589 Business First Bancshares, Inc. 662,864
10,790 Cambridge Bancorp 864,819
18,743 Capital Bancorp, Inc. (a) 279,083
11,121 CB Financial Services, Inc. 335,187
32,718 Civista Bancshares, Inc. 785,232
31,786 CNB Financial Corp. 1,038,767
17,230 Coastal Financial Corp. (a) 283,778
31,268 Equity Bancshares, Inc.,
Class A (a) 965,243
35,595 Financial Institutions, Inc. 1,142,600
37,325 First Bank 412,441
30,160 First Community Bankshares, Inc. 935,563
15,523 First Community Corp. 335,452
30,511 First Financial Corp. 1,394,963
15,796 First Financial Northwest, Inc. 235,992
86,438 First Foundation, Inc. 1,504,021
18,858 First Internet Bancorp 447,123
29,292 First Mid Bancshares, Inc. 1,032,543
14,234 First United Corp. 342,897
62,648 Flushing Financial Corp. 1,353,510
29,798 Franklin Financial Network, Inc. 1,022,965
50,019 Independent Bank Corp./MI 1,132,930
9,960 Level One Bancorp, Inc. 250,594
36,347 Mercantile Bank Corp. 1,325,575
15,920 Metropolitan Bank Holding
Corp. (a) 767,822
45,900 Midland States Bancorp, Inc. 1,329,264
24,092 MidWestOne Financial Group, Inc. 872,853
19,945 Nicolet Bankshares, Inc. (a) 1,472,938
14,551 Northrim BanCorp, Inc. 557,303
59,880 Old Second Bancorp, Inc. 806,584
19,891 Parke Bancorp, Inc. 505,033
35,594 Peapack Gladstone Financial Corp. 1,099,855
41,891 Peoples Bancorp, Inc. 1,451,942
33,035 QCR Holdings, Inc. 1,448,915
16,317 SB One Bancorp 406,620
31,304 Sierra Bancorp 911,572
28,269 SmartFinancial, Inc. 668,562
15,596 Southern First Bancshares,
Inc. (a) 662,674
40,891 Southern National Bancorp of
Virginia, Inc. 668,568
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
35,325 Spirit of Texas Bancshares,
Inc. (a) $ 812,475
--------------
34,585,966
--------------
BEVERAGES -- 0.3%
25,552 Craft Brew Alliance, Inc. (a) 421,608
--------------
BIOTECHNOLOGY -- 4.4%
34,837 Cyclerion Therapeutics, Inc. (a) 94,757
41,427 Gritstone Oncology, Inc. (a) (b) 371,600
13,450 Hookipa Pharma, Inc. (a) 164,493
1,801 Immunic, Inc. (a) 17,470
53,588 Kodiak Sciences, Inc. (a) 3,855,657
14,281 LogicBio Therapeutics, Inc. (a) (b) 102,823
484,286 Palatin Technologies, Inc. (a) (b) 378,809
33,282 PhaseBio Pharmaceuticals,
Inc. (a) (b) 203,353
18,707 Synthorx, Inc. (a) 1,307,432
31,015 TCR2 Therapeutics, Inc. (a) (b) 442,894
--------------
6,939,288
--------------
BUILDING PRODUCTS -- 1.4%
40,712 Insteel Industries, Inc. 874,901
73,784 Quanex Building Products Corp. 1,260,231
--------------
2,135,132
--------------
CAPITAL MARKETS -- 1.8%
6,927 Diamond Hill Investment Group,
Inc. 972,966
20,909 Oppenheimer Holdings, Inc.,
Class A 574,579
33,417 Victory Capital Holdings, Inc.,
Class A (b) 700,755
17,553 Westwood Holdings Group, Inc. 519,920
--------------
2,768,220
--------------
CHEMICALS -- 1.5%
59,105 American Vanguard Corp. 1,150,774
57,423 FutureFuel Corp. 711,471
111,107 Rayonier Advanced Materials, Inc. 426,651
--------------
2,288,896
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.1%
58,078 Ennis, Inc. 1,257,389
26,826 Heritage-Crystal Clean, Inc. (a) 841,531
81,707 Kimball International, Inc.,
Class B 1,688,884
70,719 Quad/Graphics, Inc. 330,258
19,282 VSE Corp. 733,487
--------------
4,851,549
--------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
75,916 CalAmp Corp. (a) 727,275
--------------
CONSTRUCTION & ENGINEERING
-- 3.3%
41,092 Ameresco, Inc., Class A (a) 719,110
29,218 Argan, Inc. 1,172,811
72,529 Construction Partners, Inc.,
Class A (a) 1,223,564
37,041 MYR Group, Inc. (a) 1,207,166
See Notes to Financial Statements Page 23
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION & ENGINEERING
(CONTINUED)
57,973 Sterling Construction Co.,
Inc. (a) $ 816,260
--------------
5,138,911
--------------
CONSUMER FINANCE -- 1.1%
30,461 Curo Group Holdings Corp. (a) 371,015
116,955 EZCORP, Inc., Class A (a) 797,633
20,693 Regional Management Corp. (a) 621,411
--------------
1,790,059
--------------
CONTAINERS & PACKAGING -- 0.8%
79,031 Myers Industries, Inc. 1,318,237
--------------
DISTRIBUTORS -- 0.2%
13,420 Weyco Group, Inc. 354,959
--------------
DIVERSIFIED CONSUMER SERVICES
-- 1.3%
34,260 American Public Education,
Inc. (a) 938,381
36,093 Carriage Services, Inc. 923,981
67,345 Zovio, Inc. (a) 138,731
--------------
2,001,093
--------------
ELECTRICAL EQUIPMENT -- 0.2%
5,906 Preformed Line Products Co. 356,427
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.2%
54,113 Kimball Electronics, Inc. (a) 949,683
27,808 Vishay Precision Group, Inc. (a) 945,472
--------------
1,895,155
--------------
ENERGY EQUIPMENT & SERVICES
-- 2.6%
73,275 Covia Holdings Corp. (a) 149,481
72,778 FTS International, Inc. (a) 75,689
46,743 KLX Energy Services Holdings,
Inc. (a) 301,025
29,049 Mammoth Energy Services, Inc. 63,908
350,809 NexTier Oilfield Solutions,
Inc. (a) 2,350,420
70,416 Solaris Oilfield Infrastructure,
Inc., Class A 985,824
37,652 US Well Services, Inc. (a) 71,162
--------------
3,997,509
--------------
ENTERTAINMENT -- 0.4%
50,551 Sciplay Corp., Class A (a) 621,272
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 0.6%
66,585 Braemar Hotels & Resorts, Inc. 594,604
22,348 BRT Apartments Corp. 379,246
--------------
973,850
--------------
FOOD & STAPLES RETAILING -- 2.3%
73,093 HF Foods Group, Inc. (a) (b) 1,425,313
31,543 Ingles Markets, Inc., Class A 1,498,608
17,493 Natural Grocers by Vitamin
Cottage, Inc. 172,656
18,633 Village Super Market, Inc.,
Class A 432,286
--------------
3,528,863
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS -- 0.9%
64,862 Landec Corp. (a) $ 733,589
34,008 Limoneira Co. 653,974
--------------
1,387,563
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 0.9%
14,344 FONAR Corp. (a) 282,434
95,099 Meridian Bioscience, Inc. 929,117
13,186 Soliton, Inc. (a) (b) 144,782
--------------
1,356,333
--------------
HOTELS, RESTAURANTS & LEISURE
-- 2.5%
136,937 BBX Capital Corp. 653,189
36,968 Chuy's Holdings, Inc. (a) 958,210
71,730 Del Taco Restaurants, Inc. (a) 567,026
18,402 RCI Hospitality Holdings, Inc. 377,241
60,388 Ruth's Hospitality Group, Inc. 1,314,345
--------------
3,870,011
--------------
HOUSEHOLD DURABLES -- 2.3%
54,427 Ethan Allen Interiors, Inc. 1,037,379
52,797 Green Brick Partners, Inc. (a) 606,109
11,600 Hamilton Beach Brands Holding
Co., Class A 221,560
26,339 Hooker Furniture Corp. 676,649
13,202 Legacy Housing Corp. (a) 219,681
29,070 Turtle Beach Corp. (a) 274,711
64,715 ZAGG, Inc. (a) (b) 524,839
--------------
3,560,928
--------------
HOUSEHOLD PRODUCTS -- 0.4%
21,821 Central Garden & Pet Co. (a) 677,978
--------------
INSURANCE -- 1.9%
21,827 FedNat Holding Co. 362,983
24,624 Health Insurance Innovations,
Inc., Class A (a) (b) 474,997
3,152 Investors Title Co. 501,799
28,198 Palomar Holdings, Inc. (a) 1,423,717
7,626 Watford Holdings Ltd. (a) 191,870
--------------
2,955,366
--------------
INTERACTIVE MEDIA & SERVICES
-- 0.2%
106,730 DHI Group, Inc. (a) 321,257
--------------
INTERNET & DIRECT MARKETING RETAIL
-- 0.6%
26,137 Duluth Holdings, Inc.,
Class B (a) (b) 275,223
36,014 Lands' End, Inc. (a) 605,035
--------------
880,258
--------------
IT SERVICES -- 1.5%
59,868 Hackett Group (The), Inc. 966,270
115,226 Unisys Corp. (a) 1,366,580
--------------
2,332,850
--------------
LEISURE PRODUCTS -- 2.3%
13,175 Johnson Outdoors, Inc., Class A 1,010,523
45,534 Malibu Boats, Inc., Class A (a) 1,864,617
Page 24 See Notes to Financial Statements
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LEISURE PRODUCTS (CONTINUED)
41,949 MasterCraft Boat Holdings,
Inc. (a) $ 660,697
--------------
3,535,837
--------------
MACHINERY -- 2.6%
33,578 Blue Bird Corp. (a) 769,608
14,153 Hurco Cos., Inc. 542,909
38,988 Lydall, Inc. (a) 800,034
19,180 Park-Ohio Holdings Corp. 645,407
68,769 Spartan Motors, Inc. 1,243,343
--------------
4,001,301
--------------
MEDIA -- 0.1%
117,075 Lee Enterprises, Inc. (a) 166,246
--------------
METALS & MINING -- 1.4%
20,307 Olympic Steel, Inc. 363,901
35,309 Ryerson Holding Corp. (a) 417,706
193,027 SunCoke Energy, Inc. 1,202,558
19,553 Universal Stainless & Alloy
Products, Inc. (a) 291,340
--------------
2,275,505
--------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.0%
34,964 Cherry Hill Mortgage Investment
Corp. 510,125
51,054 Dynex Capital, Inc. 864,855
18,003 Ellington Residential Mortgage
REIT 195,332
--------------
1,570,312
--------------
OIL, GAS & CONSUMABLE FUELS
-- 7.1%
59,357 Brigham Minerals, Inc., Class A 1,272,614
57,629 CONSOL Energy, Inc. (a) 836,197
1,096,261 Denbury Resources, Inc. (a) 1,545,728
75,199 Green Plains, Inc. 1,160,321
323,365 Gulfport Energy Corp. (a) 983,030
48,458 Hallador Energy Co. 143,920
133,427 Overseas Shipholding Group, Inc.,
Class A (a) 306,882
86,693 Renewable Energy Group, Inc. (a) 2,336,376
12,462 REX American Resources Corp. (a) 1,021,385
123,557 Unit Corp. (a) 85,946
114,322 VAALCO Energy, Inc. (a) 253,795
206,600 W&T Offshore, Inc. (a) 1,148,696
--------------
11,094,890
--------------
PHARMACEUTICALS -- 2.3%
244,654 Amneal Pharmaceuticals, Inc. (a) 1,179,232
24,168 Eton Pharmaceuticals, Inc. (a) (b) 174,010
12,040 Kaleido Biosciences, Inc. (a) (b) 60,441
187,104 Mallinckrodt PLC (a) (b) 652,993
17,330 Osmotica Pharmaceuticals
PLC (a) (b) 121,137
45,140 Phibro Animal Health Corp.,
Class A 1,120,826
16,899 Urovant Sciences Ltd. (a) (b) 262,103
--------------
3,570,742
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PROFESSIONAL SERVICES -- 2.4%
16,674 Barrett Business Services, Inc. $ 1,508,330
20,509 BG Staffing, Inc. 448,942
66,983 Resources Connection, Inc. 1,093,832
22,156 Willdan Group, Inc. (a) 704,118
--------------
3,755,222
--------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.2%
20,246 Altisource Portfolio Solutions
S.A. (a) (b) 391,355
--------------
ROAD & RAIL -- 0.6%
27,603 Covenant Transportation Group,
Inc., Class A (a) 356,769
4,225 PAM Transportation Services,
Inc. (a) 243,824
17,603 Universal Logistics Holdings, Inc. 333,753
--------------
934,346
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.2%
72,135 Axcelis Technologies, Inc. (a) 1,738,093
79,644 AXT, Inc. (a) 346,451
91,815 Cohu, Inc. 2,097,973
149,511 Photronics, Inc. (a) 2,356,293
--------------
6,538,810
--------------
SOFTWARE -- 0.6%
65,737 American Software, Inc., Class A 978,167
--------------
SPECIALTY RETAIL -- 6.3%
13,733 America's Car-Mart, Inc. (a) 1,505,961
263,925 Chico's FAS, Inc. 1,005,554
23,054 Citi Trends, Inc. 533,008
37,244 Container Store Group, (The),
Inc. (a) 157,170
149,667 Express, Inc. (a) 728,878
40,252 Haverty Furniture Cos., Inc. 811,480
39,226 Hibbett Sports, Inc. (a) 1,099,897
119,799 Party City Holdco, Inc. (a) (b) 280,330
53,738 RTW RetailWinds, Inc. (a) 43,044
19,895 Shoe Carnival, Inc. (b) 741,686
89,452 Sportsman's Warehouse Holdings,
Inc. (a) 718,300
49,063 Tilly's, Inc., Class A 601,022
45,358 Zumiez, Inc. (a) 1,566,665
--------------
9,792,995
--------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.3%
70,745 Immersion Corp. (a) 525,635
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.3%
15,260 Rocky Brands, Inc. 449,102
--------------
THRIFTS & MORTGAGE FINANCE
-- 3.8%
43,894 First Defiance Financial Corp. 1,382,222
9,214 FS Bancorp, Inc. 587,761
15,066 Home Bancorp, Inc. 590,437
33,662 Luther Burbank Corp. 388,123
See Notes to Financial Statements Page 25
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
26,903 OP Bancorp $ 278,984
9,660 Rhinebeck Bancorp, Inc. (a) 109,255
33,510 Sterling Bancorp, Inc. 271,431
107,047 United Community Financial Corp. 1,248,168
57,383 Waterstone Financial, Inc. 1,091,998
--------------
5,948,379
--------------
TOBACCO -- 0.1%
18,557 Pyxus International, Inc. (a) (b) 165,900
--------------
WATER UTILITIES -- 0.4%
17,577 Artesian Resources Corp., Class A 654,040
--------------
TOTAL COMMON STOCKS -- 100.0% 155,966,414
(Cost $146,981,708) --------------
MONEY MARKET FUNDS -- 0.4%
670,249 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (c) (d) 670,249
(Cost $670,249) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.6%
$ 4,068,591 BNP Paribas S.A., 1.56% (c),
dated 12/31/19, due 01/02/20,
with a maturity value of
$4,068,943. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 04/30/26.
The value of the collateral
including accrued interest is
$4,165,169. (d) 4,068,591
(Cost $4,068,591) --------------
TOTAL INVESTMENTS -- 103.0% 160,705,254
(Cost $151,720,548) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.0)% (4,637,788)
--------------
NET ASSETS -- 100.0% $ 156,067,466
==============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $4,632,511 and the total value of the collateral held by the
Fund is $4,738,840.
(c) Rate shown reflects yield as of December 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $153,905,663. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$19,678,584 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$12,878,993. The net unrealized appreciation was $6,799,591.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 155,966,414 $ -- $ --
Money Market
Funds 670,249 -- --
Repurchase
Agreements -- 4,068,591 --
-------------------------------------------------
Total Investments $ 156,636,663 $ 4,068,591 $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 26 See Notes to Financial Statements
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 4,632,511
Non-cash Collateral(2) (4,632,511)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2019, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 4,068,591
Non-cash Collateral(4) (4,068,591)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 27
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AIR FREIGHT & LOGISTICS -- 1.9%
299,497 United Parcel Service, Inc.,
Class B $ 35,059,119
--------------
AUTO COMPONENTS -- 0.2%
30,518 Autoliv, Inc. 2,576,024
120,864 Goodyear Tire & Rubber (The) Co. 1,880,040
--------------
4,456,064
--------------
AUTOMOBILES -- 3.3%
3,366,740 Ford Motor Co. 31,310,682
706,866 General Motors Co. 25,871,296
81,624 Harley-Davidson, Inc. 3,035,596
--------------
60,217,574
--------------
BANKS -- 8.9%
74,804 Comerica, Inc. 5,367,187
167,688 F.N.B. Corp. 2,129,638
47,911 First Financial Bancorp. 1,218,856
140,893 First Horizon National Corp. 2,333,188
62,022 Hope Bancorp, Inc. 921,647
534,015 Huntington Bancshares, Inc. 8,052,946
108,379 Investors Bancorp, Inc. 1,291,336
492,816 KeyCorp 9,974,596
99,126 PacWest Bancorp 3,793,552
7,388 Park National Corp. 756,383
249,084 People's United Financial, Inc. 4,209,520
479,163 Regions Financial Corp. 8,222,437
59,656 Synovus Financial Corp. 2,338,515
144,210 Umpqua Holdings Corp. 2,552,517
47,620 United Bankshares, Inc. 1,840,989
165,874 Valley National Bancorp 1,899,257
2,006,605 Wells Fargo & Co. 107,955,349
--------------
164,857,913
--------------
BIOTECHNOLOGY -- 4.6%
952,017 AbbVie, Inc. 84,291,585
--------------
CAPITAL MARKETS -- 0.5%
59,514 Artisan Partners Asset Management,
Inc., Class A 1,923,493
364,587 Invesco Ltd. 6,555,274
--------------
8,478,767
--------------
CHEMICALS -- 1.1%
57,530 Eastman Chemical Co. 4,559,828
15,041 Kronos Worldwide, Inc. 201,549
155,099 LyondellBasell Industries N.V.,
Class A 14,653,754
98,877 Olin Corp. 1,705,628
--------------
21,120,759
--------------
CONTAINERS & PACKAGING -- 1.0%
13,583 Greif, Inc., Class A 600,369
227,466 International Paper Co. 10,474,809
154,502 WestRock Co. 6,629,681
--------------
17,704,859
--------------
DIVERSIFIED CONSUMER SERVICES
-- 0.1%
118,281 H&R Block, Inc. 2,777,238
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 17.2%
4,713,366 AT&T, Inc. $ 184,198,343
2,172,794 Verizon Communications, Inc. 133,409,552
--------------
317,607,895
--------------
ELECTRIC UTILITIES -- 5.5%
403,641 Duke Energy Corp. 36,816,095
159,980 Edison International 12,064,092
460,439 PPL Corp. 16,520,551
557,121 Southern (The) Co. 35,488,608
--------------
100,889,346
--------------
ELECTRICAL EQUIPMENT -- 0.9%
166,600 Eaton Corp. PLC 15,780,352
--------------
FOOD PRODUCTS -- 1.7%
66,804 Bunge Ltd. 3,844,570
64,185 Campbell Soup Co. 3,172,023
299,120 General Mills, Inc. 16,020,867
111,793 Kellogg Co. 7,731,604
--------------
30,769,064
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.3%
137,870 Cardinal Health, Inc. 6,973,465
462,533 CVS Health Corp. 34,361,576
51,457 Patterson Cos., Inc. 1,053,839
--------------
42,388,880
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.7%
18,103 Brinker International, Inc. 760,326
228,119 Carnival Corp. 11,595,289
157,232 Extended Stay America, Inc. 2,336,467
207,938 Las Vegas Sands Corp. 14,356,040
43,770 Wyndham Destinations, Inc. 2,262,471
--------------
31,310,593
--------------
HOUSEHOLD DURABLES -- 0.7%
53,226 Leggett & Platt, Inc. 2,705,478
19,165 M.D.C. Holdings, Inc. 731,336
240,166 Newell Brands, Inc. 4,615,991
27,206 Whirlpool Corp. 4,013,701
--------------
12,066,506
--------------
INSURANCE -- 2.6%
18,300 Mercury General Corp. 891,759
372,243 MetLife, Inc. 18,973,226
139,020 Principal Financial Group, Inc. 7,646,100
226,945 Prudential Financial, Inc. 21,273,824
--------------
48,784,909
--------------
IT SERVICES -- 4.3%
559,790 International Business Machines
Corp. 75,034,252
166,353 Western Union (The) Co. 4,454,933
--------------
79,489,185
--------------
MEDIA -- 0.3%
209,247 Interpublic Group of Cos. (The),
Inc. 4,833,606
Page 28 See Notes to Financial Statements
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
33,063 Meredith Corp. $ 1,073,555
--------------
5,907,161
--------------
METALS & MINING -- 0.2%
43,754 Southern Copper Corp. 1,858,670
79,160 Steel Dynamics, Inc. 2,694,606
--------------
4,553,276
--------------
MULTILINE RETAIL -- 0.8%
116,618 Kohl's Corp. 5,941,687
387,542 Macy's, Inc. 6,588,214
53,142 Nordstrom, Inc. 2,175,102
--------------
14,705,003
--------------
MULTI-UTILITIES -- 2.6%
300,013 CenterPoint Energy, Inc. 8,181,355
486,349 Dominion Energy, Inc. 40,279,424
--------------
48,460,779
--------------
OIL, GAS & CONSUMABLE FUELS
-- 22.3%
230,447 Apache Corp. 5,897,139
1,014,107 Chevron Corp. 122,210,035
2,582,565 Exxon Mobil Corp. 180,211,386
318,759 Marathon Petroleum Corp. 19,205,230
982,123 Occidental Petroleum Corp. 40,473,289
53,657 PBF Energy, Inc., Class A 1,683,220
187,706 Phillips 66 20,912,325
209,490 Valero Energy Corp. 19,618,738
--------------
410,211,362
--------------
PAPER & FOREST PRODUCTS -- 0.1%
35,492 Domtar Corp. 1,357,214
--------------
PERSONAL PRODUCTS -- 0.1%
165,800 Coty, Inc., Class A 1,865,250
--------------
PROFESSIONAL SERVICES -- 0.1%
56,722 Nielsen Holdings PLC 1,151,457
--------------
ROAD & RAIL -- 0.1%
30,323 Ryder System, Inc. 1,646,842
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.0%
172,150 Broadcom, Inc. 54,402,843
--------------
SPECIALTY RETAIL -- 0.4%
39,575 Abercrombie & Fitch Co., Class A 684,252
48,628 Designer Brands, Inc., Class A 765,405
56,999 Foot Locker, Inc. 2,222,391
167,605 Gap (The), Inc. 2,963,256
12,760 Guess?, Inc. 285,569
--------------
6,920,873
--------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 1.0%
134,313 Seagate Technology PLC 7,991,624
151,203 Western Digital Corp. 9,596,854
--------------
17,588,478
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.4%
188,888 Hanesbrands, Inc. $ 2,804,987
195,630 Tapestry, Inc. 5,276,141
--------------
8,081,128
--------------
THRIFTS & MORTGAGE FINANCE
-- 0.1%
57,194 Northwest Bancshares, Inc. 951,136
29,575 Provident Financial Services, Inc. 729,024
--------------
1,680,160
--------------
TOBACCO -- 9.6%
1,627,696 Altria Group, Inc. 81,238,307
1,119,468 Philip Morris International, Inc. 95,255,532
--------------
176,493,839
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.2%
26,906 Aircastle Ltd. 861,261
15,175 Watsco, Inc. 2,733,776
--------------
3,595,037
--------------
TOTAL INVESTMENTS -- 99.8% 1,836,671,310
(Cost $1,727,759,394) (a)
NET OTHER ASSETS AND
LIABILITIES -- 0.2% 4,328,487
--------------
NET ASSETS -- 100.0% $1,840,999,797
==============
(a) Aggregate cost for federal income tax purposes is $1,771,410,599. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$135,660,164 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$70,399,453. The net unrealized appreciation was $65,260,711.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 1,836,671,310 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 29
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.1%
325,083 Arconic, Inc. $ 10,002,804
44,365 Boeing (The) Co. 14,452,342
93,166 Parsons Corp. (a) 3,845,893
--------------
28,301,039
--------------
AUTOMOBILES -- 2.8%
87,972 Tesla, Inc. (a) 36,801,327
--------------
BANKS -- 0.3%
122,934 First Hawaiian, Inc. 3,546,646
--------------
BEVERAGES -- 1.4%
633,791 Keurig Dr Pepper, Inc. 18,348,249
--------------
BIOTECHNOLOGY -- 2.4%
69,559 Apellis Pharmaceuticals, Inc. (a) 2,129,897
101,617 Biogen, Inc. (a) 30,152,812
--------------
32,282,709
--------------
CAPITAL MARKETS -- 2.2%
328,821 Apollo Global Management, Inc. 15,688,050
81,544 Assetmark Financial Holdings,
Inc. (a) 2,366,407
54,808 Hamilton Lane, Inc., Class A 3,266,556
166,894 Tradeweb Markets, Inc., Class A 7,735,537
--------------
29,056,550
--------------
CHEMICALS -- 3.0%
562,265 Corteva, Inc. 16,620,553
362,737 Dow, Inc. 19,852,596
141,461 Valvoline, Inc. 3,028,680
--------------
39,501,829
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.7%
558,276 ADT, Inc. (b) 4,427,129
100,251 IAA, Inc. (a) 4,717,812
--------------
9,144,941
--------------
CONSTRUCTION & ENGINEERING
-- 0.2%
72,670 Arcosa, Inc. 3,237,448
--------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
63,571 frontdoor, Inc. (a) 3,014,537
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.0%
559,045 AXA Equitable Holdings, Inc. 13,853,135
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 3.6%
776,347 Verizon Communications, Inc. 47,667,706
--------------
ELECTRIC UTILITIES -- 1.1%
213,908 Evergy, Inc. 13,923,272
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.9%
124,069 CDW Corp. 17,722,016
197,104 Keysight Technologies, Inc. (a) 20,228,783
--------------
37,950,799
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ENTERTAINMENT -- 3.0%
173,613 Liberty Media Corp.-Liberty
Formula One, Class C (a) $ 7,980,122
88,668 Roku, Inc. (a) 11,872,645
137,951 Spotify Technology S.A. (a) 20,630,572
--------------
40,483,339
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.0%
107,991 Americold Realty Trust 3,786,164
346,158 VICI Properties, Inc. 8,844,337
--------------
12,630,501
--------------
FOOD & STAPLES RETAILING -- 2.9%
601,915 Kroger (The) Co. 17,449,516
175,899 Performance Food Group Co. (a) 9,055,281
288,326 US Foods Holding Corp. (a) 12,077,976
--------------
38,582,773
--------------
FOOD PRODUCTS -- 5.9%
365,415 Conagra Brands, Inc. 12,511,810
156,873 Hershey (The) Co. 23,057,193
109,674 Lamb Weston Holdings, Inc. 9,435,254
370,189 Tyson Foods, Inc., Class A 33,702,007
--------------
78,706,264
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.4%
275,213 Alcon, Inc. (a) 15,568,799
140,551 Stryker Corp. 29,507,277
--------------
45,076,076
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 0.1%
63,108 Progyny, Inc. (a) (b) 1,732,315
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.1%
80,221 Hilton Grand Vacations, Inc. (a) 2,758,800
55,244 Marriott Vacations Worldwide Corp. 7,113,217
71,459 Wyndham Hotels & Resorts, Inc. 4,488,340
--------------
14,360,357
--------------
INSURANCE -- 0.5%
162,103 Brighthouse Financial, Inc. (a) 6,359,301
--------------
INTERACTIVE MEDIA & SERVICES
-- 3.8%
84,060 Cargurus, Inc. (a) 2,957,231
210,222 Match Group, Inc. (a) (b) 17,261,328
1,313,999 Snap, Inc., Class A (a) 21,457,604
291,473 Twitter, Inc. (a) 9,341,710
--------------
51,017,873
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.9%
299,298 Chewy, Inc., Class A (a) 8,679,642
133,672 Stitch Fix, Inc., Class A (a) (b) 3,430,024
--------------
12,109,666
--------------
IT SERVICES -- 11.5%
140,377 Black Knight, Inc. (a) 9,051,509
Page 30 See Notes to Financial Statements
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
276,892 Fidelity National Information
Services, Inc. $ 38,512,908
255,257 Fiserv, Inc. (a) 29,515,367
84,405 Okta, Inc. (a) 9,737,805
529,001 PayPal Holdings, Inc. (a) 57,222,038
206,502 Perspecta, Inc. 5,459,913
227,032 Switch, Inc., Class A 3,364,614
--------------
152,864,154
--------------
LEISURE PRODUCTS -- 0.4%
98,769 Acushnet Holdings Corp. 3,209,992
64,443 YETI Holdings, Inc. (a) (b) 2,241,328
--------------
5,451,320
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 4.8%
429,300 Avantor, Inc. (a) 7,791,795
33,818 Medpace Holdings, Inc. (a) 2,842,741
165,601 Thermo Fisher Scientific, Inc. 53,798,797
--------------
64,433,333
--------------
MACHINERY -- 0.4%
153,653 Gardner Denver Holdings, Inc. (a) 5,635,992
--------------
MEDIA -- 4.8%
478,177 Altice USA, Inc., Class A (a) 13,073,359
6,432 Cable One, Inc. 9,573,839
466,055 Fox Corp., Class A 17,276,659
3,321,649 Sirius XM Holdings, Inc. 23,749,790
--------------
63,673,647
--------------
MULTI-UTILITIES -- 3.5%
309,074 Sempra Energy 46,818,530
--------------
PERSONAL PRODUCTS -- 0.3%
154,195 BellRing Brands, Inc., Class A (a) 3,282,812
--------------
PHARMACEUTICALS -- 10.0%
703,117 Bristol-Myers Squibb Co. 45,133,080
43,387 MyoKardia, Inc. (a) 3,162,261
49,606 Reata Pharmaceuticals, Inc.,
Class A (a) 10,140,955
2,012,193 Takeda Pharmaceutical Co., Ltd.,
ADR 39,700,568
268,230 Zoetis, Inc. 35,500,241
--------------
133,637,105
--------------
PROFESSIONAL SERVICES -- 2.8%
301,091 IHS Markit Ltd. (a) 22,687,207
176,737 TransUnion 15,130,454
--------------
37,817,661
--------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.5%
205,711 Cushman & Wakefield PLC (a) 4,204,733
178,737 Newmark Group, Inc., Class A 2,404,906
--------------
6,609,639
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ROAD & RAIL -- 3.8%
236,608 Lyft, Inc., Class A (a) $ 10,178,876
132,993 Schneider National, Inc., Class B 2,901,907
1,280,850 Uber Technologies, Inc. (a) 38,092,479
--------------
51,173,262
--------------
SOFTWARE -- 5.9%
100,325 Anaplan, Inc. (a) 5,257,030
34,528 Appfolio, Inc., Class A (a) 3,796,354
50,423 Appian Corp. (a) (b) 1,926,663
72,216 Avalara, Inc. (a) 5,289,822
62,667 Blackline, Inc. (a) 3,231,110
135,136 Ceridian HCM Holding, Inc. (a) 9,173,032
47,905 Coupa Software, Inc. (a) 7,006,106
84,885 Crowdstrike Holdings, Inc.,
Class A (a) 4,233,215
154,960 DocuSign, Inc. (a) 11,484,086
210,626 Dynatrace, Inc. (a) 5,328,838
88,210 Smartsheet, Inc., Class A (a) 3,962,393
233,657 SolarWinds Corp. (a) 4,334,337
101,082 SVMK, Inc. (a) 1,806,335
42,363 Trade Desk (The), Inc.,
Class A (a) 11,005,060
--------------
77,834,381
--------------
SPECIALTY RETAIL -- 2.5%
49,745 Burlington Stores, Inc. (a) 11,343,352
170,708 Carvana Co. (a) 15,713,672
132,793 Floor & Decor Holdings, Inc.,
Class A (a) 6,747,212
--------------
33,804,236
--------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 1.2%
970,823 Hewlett Packard Enterprise Co. 15,397,253
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.4%
294,880 Levi Strauss & Co., Class A 5,688,235
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.7%
56,432 United Rentals, Inc. (a) 9,411,165
--------------
TOTAL COMMON STOCKS -- 100.0% 1,331,221,377
(Cost $1,144,007,792) --------------
MONEY MARKET FUNDS -- 0.3%
3,933,925 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (c) (d) 3,933,925
(Cost $3,933,925) --------------
See Notes to Financial Statements Page 31
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.8%
$ 23,879,955 BNP Paribas S.A., 1.56% (c),
dated 12/31/19, due 01/02/20,
with a maturity value of
$23,882,024. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 04/30/26.
The value of the collateral
including accrued interest
is $24,446,808. (d) $ 23,879,955
(Cost $23,879,955) --------------
TOTAL INVESTMENTS -- 102.1% 1,359,035,257
(Cost $1,171,821,672) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.1)% (28,200,168)
--------------
NET ASSETS -- 100.0% $1,330,835,089
==============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $27,074,980 and the total value of the collateral held by
the Fund is $27,813,880.
(c) Rate shown reflects yield as of December 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $1,182,977,911. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$192,301,284 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$16,243,938. The net unrealized appreciation was $176,057,346.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 1,331,221,377 $ -- $ --
Money Market
Funds 3,933,925 -- --
Repurchase
Agreements -- 23,879,955 --
-------------------------------------------------
Total Investments $ 1,335,155,302 $ 23,879,955 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 27,074,980
Non-cash Collateral(2) (27,074,980)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2019, 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) $ 23,879,955
Non-cash Collateral(4) (23,879,955)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
Page 32 See Notes to Financial Statements
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 80.8%
1,269,924 ACADIA Pharmaceuticals,
Inc. (a) $ 54,327,349
1,533,749 Agios Pharmaceuticals, Inc. (a) 73,236,515
515,226 Alexion Pharmaceuticals, Inc. (a) 55,721,692
2,794,737 Alkermes PLC (a) 57,012,635
598,197 Alnylam Pharmaceuticals, Inc. (a) 68,894,348
250,405 Amgen, Inc. 60,365,133
230,530 Biogen, Inc. (a) 68,405,167
733,841 BioMarin Pharmaceutical, Inc. (a) 62,046,257
566,401 Bluebird Bio, Inc. (a) 49,701,688
525,661 Exact Sciences Corp. (a) 48,613,129
3,089,365 Exelixis, Inc. (a) 54,434,611
1,307,187 FibroGen, Inc. (a) 56,065,250
781,539 Gilead Sciences, Inc. 50,784,404
2,438,997 Grifols S.A., ADR 56,804,240
652,349 Incyte Corp. (a) 56,963,115
779,549 Intercept Pharmaceuticals,
Inc. (a) 96,601,712
909,223 Ionis Pharmaceuticals, Inc. (a) 54,926,161
529,628 Neurocrine Biosciences, Inc. (a) 56,929,714
168,927 Regeneron Pharmaceuticals,
Inc. (a) 63,428,710
591,244 Sarepta Therapeutics, Inc. (a) 76,294,126
580,311 Seattle Genetics, Inc. (a) 66,306,335
1,187,948 Ultragenyx Pharmaceutical,
Inc. (a) 50,737,259
617,574 United Therapeutics Corp. (a) 54,395,918
284,683 Vertex Pharmaceuticals, Inc. (a) 62,331,343
--------------
1,455,326,811
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 15.7%
253,390 Bio-Techne Corp. 55,621,639
377,605 Charles River Laboratories
International, Inc. (a) 57,682,940
163,955 Illumina, Inc. (a) 54,390,431
353,749 IQVIA Holdings, Inc. (a) 54,657,758
1,780,685 QIAGEN N.V. (a) 60,187,153
--------------
282,539,921
--------------
PHARMACEUTICALS -- 3.5%
2,937,328 Nektar Therapeutics (a) 63,402,225
--------------
TOTAL INVESTMENTS -- 100.0% 1,801,268,957
(Cost $1,937,181,208) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (341,859)
--------------
NET ASSETS -- 100.0% $1,800,927,098
==============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $1,997,287,583. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$144,271,370 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$340,289,996. The net unrealized depreciation was $196,018,626.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 1,801,268,957 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 33
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
CAPITAL MARKETS -- 4.0%
3,321,264 E*TRADE Financial Corp. $ 150,685,748
3,287,463 TD Ameritrade Holding Corp. 163,386,911
--------------
314,072,659
--------------
COMMUNICATIONS EQUIPMENT
-- 12.4%
787,818 Arista Networks, Inc. (a) 160,242,181
3,255,344 Ciena Corp. (a) 138,970,635
9,270,603 Cisco Systems, Inc. 444,618,120
6,328,388 CommScope Holding Co., Inc. (a) 89,799,826
5,623,711 Juniper Networks, Inc. 138,512,002
--------------
972,142,764
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.9%
9,588,191 Vonage Holdings Corp. (a) 71,048,495
--------------
ENTERTAINMENT -- 4.9%
1,184,451 Netflix, Inc. (a) 383,252,810
--------------
HEALTH CARE TECHNOLOGY -- 2.4%
1,363,896 Veeva Systems, Inc., Class A (a) 191,845,611
--------------
INTERACTIVE MEDIA & SERVICES
-- 22.0%
256,746 Alphabet, Inc., Class A (a) 343,883,025
256,112 Alphabet, Inc., Class C (a) 342,426,866
2,786,771 Facebook, Inc., Class A (a) 571,984,748
3,742,101 Pinterest, Inc., Class A (a) 69,752,762
10,935,233 Snap, Inc., Class A (a) 178,572,355
7,019,618 Twitter, Inc. (a) 224,978,757
--------------
1,731,598,513
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 17.8%
377,762 Amazon.com, Inc. (a) 698,043,734
6,460,836 eBay, Inc. 233,300,788
2,669,613 Etsy, Inc. (a) 118,263,856
1,607,122 Expedia Group, Inc. 173,794,173
22,322,240 Groupon, Inc. (a) 53,350,154
2,415,338 GrubHub, Inc. (a) 117,482,040
--------------
1,394,234,745
--------------
IT SERVICES -- 13.5%
2,018,001 Akamai Technologies, Inc. (a) 174,314,926
2,400,394 GoDaddy, Inc., Class A (a) 163,034,760
1,466,496 Okta, Inc. (a) 169,189,644
3,275,104 PayPal Holdings, Inc. (a) 354,268,000
1,042,888 VeriSign, Inc. (a) 200,943,660
--------------
1,061,750,990
--------------
SOFTWARE -- 21.9%
2,952,902 2U, Inc. (a) 70,840,119
4,124,310 8x8, Inc. (a) 75,474,873
4,876,120 Box, Inc., Class A (a) 81,821,294
1,538,280 Citrix Systems, Inc. 170,595,252
1,570,556 Cornerstone OnDemand, Inc. (a) 91,956,054
1,961,029 DocuSign, Inc. (a) 145,331,859
5,663,130 Dropbox, Inc., Class A (a) 101,426,658
804,481 HubSpot, Inc. (a) 127,510,239
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
1,106,913 j2 Global, Inc. $ 103,728,817
1,247,894 LogMeIn, Inc. 106,994,432
1,403,386 New Relic, Inc. (a) 92,216,494
3,964,962 Pluralsight, Inc., Class A (a) 68,236,996
2,321,099 salesforce.com, Inc. (a) 377,503,541
2,311,373 Smartsheet, Inc., Class A (a) 103,826,875
--------------
1,717,463,503
--------------
TOTAL COMMON STOCKS -- 99.8% 7,837,410,090
(Cost $6,973,901,404) --------------
MONEY MARKET FUNDS -- 0.3%
21,299,238 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.50% (b) 21,299,238
(Cost $21,299,238) --------------
TOTAL INVESTMENTS -- 100.1% 7,858,709,328
(Cost $6,995,200,642) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (5,342,341)
--------------
NET ASSETS -- 100.0% $7,853,366,987
==============
(a) Non-income producing security.
(b) Rate shown reflects yield as of December 31, 2019.
(c) Aggregate cost for federal income tax purposes is $7,126,572,548. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$1,203,663,775 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$471,526,995. The net unrealized appreciation was $732,136,780.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 7,837,410,090 $ -- $ --
Money Market
Funds 21,299,238 -- --
-------------------------------------------------
Total Investments $ 7,858,709,328 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 34 See Notes to Financial Statements
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 3.8%
171,528 Lockheed Martin Corp. $ 66,789,572
182,744 Northrop Grumman Corp. 62,858,454
--------------
129,648,026
--------------
AIR FREIGHT & LOGISTICS -- 2.0%
864,063 Expeditors International of
Washington, Inc. 67,414,195
--------------
AIRLINES -- 1.9%
1,194,627 Southwest Airlines Co. 64,485,965
--------------
BEVERAGES -- 3.8%
1,166,280 Coca-Cola (The) Co. 64,553,598
468,903 PepsiCo, Inc. 64,084,973
--------------
128,638,571
--------------
BIOTECHNOLOGY -- 2.2%
315,150 Amgen, Inc. 75,973,211
--------------
CAPITAL MARKETS -- 8.3%
294,017 Moody's Corp. 69,802,576
674,778 Northern Trust Corp. 71,688,415
255,065 S&P Global, Inc. 69,645,498
583,944 T. Rowe Price Group, Inc. 71,147,737
--------------
282,284,226
--------------
CHEMICALS -- 4.1%
297,329 Air Products and Chemicals, Inc. 69,869,342
514,283 PPG Industries, Inc. 68,651,637
--------------
138,520,979
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.8%
545,829 Waste Management, Inc. 62,202,673
--------------
ELECTRICAL EQUIPMENT -- 2.1%
930,641 Emerson Electric Co. 70,970,683
--------------
ENTERTAINMENT -- 2.1%
488,104 Walt Disney (The) Co. 70,594,482
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.9%
278,878 American Tower Corp. 64,091,742
--------------
FOOD & STAPLES RETAILING -- 3.7%
210,956 Costco Wholesale Corp. 62,004,187
536,246 Walmart, Inc. 63,727,475
--------------
125,731,662
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 5.8%
726,088 Baxter International, Inc. 60,715,479
1,660,743 Boston Scientific Corp. (a) 75,098,798
296,714 Stryker Corp. 62,292,137
--------------
198,106,414
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.3%
260,413 UnitedHealth Group, Inc. 76,556,214
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOUSEHOLD DURABLES -- 2.1%
730,490 Garmin Ltd. $ 71,266,604
--------------
INDUSTRIAL CONGLOMERATES -- 4.1%
391,706 3M Co. 69,104,773
385,865 Honeywell International, Inc. 68,298,105
--------------
137,402,878
--------------
INSURANCE -- 5.9%
1,405,693 Fidelity National Financial, Inc. 63,748,178
645,015 Marsh & McLennan Cos., Inc. 71,861,121
910,097 Progressive (The) Corp. 65,881,922
--------------
201,491,221
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 3.7%
31,726 Booking Holdings, Inc. (a) 65,156,638
1,645,759 eBay, Inc. 59,428,357
--------------
124,584,995
--------------
IT SERVICES -- 10.1%
341,506 Accenture PLC, Class A 71,910,918
390,667 Automatic Data Processing, Inc. 66,608,724
1,053,565 Cognizant Technology Solutions
Corp., Class A 65,342,101
604,605 Fiserv, Inc. (a) 69,910,476
363,594 Visa, Inc., Class A 68,319,313
--------------
342,091,532
--------------
MACHINERY -- 4.1%
375,200 Cummins, Inc. 67,145,792
403,565 Illinois Tool Works, Inc. 72,492,381
--------------
139,638,173
--------------
OIL, GAS & CONSUMABLE FUELS
-- 2.0%
595,971 Phillips 66 66,397,129
--------------
PHARMACEUTICALS -- 10.4%
588,072 Eli Lilly & Co. 77,290,303
500,299 Johnson & Johnson 72,978,615
754,465 Merck & Co., Inc. 68,618,592
1,752,290 Pfizer, Inc. 68,654,722
498,667 Zoetis, Inc. 65,998,577
--------------
353,540,809
--------------
SOFTWARE -- 5.9%
243,420 Intuit, Inc. 63,759,001
464,953 Microsoft Corp. 73,323,088
1,171,192 Oracle Corp. 62,049,752
--------------
199,131,841
--------------
SPECIALTY RETAIL -- 3.8%
559,787 Ross Stores, Inc. 65,170,402
1,058,462 TJX (The) Cos., Inc. 64,629,690
--------------
129,800,092
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 2.0%
664,805 NIKE, Inc., Class B 67,351,395
--------------
See Notes to Financial Statements Page 35
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 99.9% $3,387,915,712
(Cost $3,016,556,261) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 4,707,093
--------------
NET ASSETS -- 100.0% $3,392,622,805
==============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $3,023,569,622. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$375,081,632 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$10,735,542. The net unrealized appreciation was $364,346,090.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 3,387,915,712 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 36 See Notes to Financial Statements
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.9%
141,694 Boeing (The) Co. $ 46,158,238
266,158 General Dynamics Corp. 46,936,963
122,074 Lockheed Martin Corp. 47,533,174
319,313 United Technologies Corp. 47,820,315
--------------
188,448,690
--------------
AIR FREIGHT & LOGISTICS -- 1.5%
622,778 C.H. Robinson Worldwide, Inc. 48,701,240
315,364 FedEx Corp. 47,686,190
402,185 United Parcel Service, Inc.,
Class B 47,079,776
--------------
143,467,206
--------------
AUTOMOBILES -- 0.5%
336,976 Toyota Motor Corp., ADR 47,358,607
--------------
BANKS -- 6.9%
503,175 Bank of Hawaii Corp. 47,882,133
621,252 Bank of Montreal 48,147,030
857,890 Bank of Nova Scotia (The) 48,462,206
570,476 Canadian Imperial Bank of
Commerce 47,463,603
348,660 JPMorgan Chase & Co. 48,603,204
283,561 M&T Bank Corp. 48,134,480
461,204 Park National Corp. 47,218,066
2,843,978 People's United Financial, Inc. 48,063,228
299,861 PNC Financial Services Group
(The), Inc. 47,866,812
607,735 Royal Bank of Canada 48,132,612
855,409 Toronto-Dominion (The) Bank 48,014,107
851,187 Truist Financial Corp. 47,938,852
802,901 U.S. Bancorp 47,604,000
888,988 Wells Fargo & Co. 47,827,554
--------------
671,357,887
--------------
BEVERAGES -- 2.0%
584,362 Anheuser-Busch InBev S.A./N.V.,
ADR 47,941,058
871,148 Coca-Cola (The) Co. 48,218,042
287,256 Diageo PLC, ADR 48,379,656
349,063 PepsiCo, Inc. 47,706,440
--------------
192,245,196
--------------
BIOTECHNOLOGY -- 0.5%
196,846 Amgen, Inc. 47,453,665
--------------
CAPITAL MARKETS -- 2.5%
949,686 Bank of New York Mellon (The)
Corp. 47,797,696
95,745 BlackRock, Inc. 48,131,011
1,826,467 Franklin Resources, Inc. 47,451,613
208,813 Goldman Sachs Group (The), Inc. 48,012,373
393,308 T. Rowe Price Group, Inc. 47,920,647
--------------
239,313,340
--------------
CHEMICALS -- 2.5%
203,439 Air Products and Chemicals, Inc. 47,806,131
870,836 Dow, Inc. 47,660,854
748,345 DuPont de Nemours, Inc. 48,043,749
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CHEMICALS (CONTINUED)
385,933 International Flavors & Fragrances,
Inc. $ 49,793,076
727,558 Sensient Technologies Corp. 48,084,308
--------------
241,388,118
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.0%
535,031 Republic Services, Inc. 47,954,829
423,662 Waste Management, Inc. 48,280,521
--------------
96,235,350
--------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
994,488 Cisco Systems, Inc. 47,695,645
--------------
CONSUMER FINANCE -- 0.5%
560,510 Discover Financial Services 47,542,458
--------------
CONTAINERS & PACKAGING -- 1.0%
360,012 Avery Dennison Corp. 47,096,770
766,727 Sonoco Products Co. 47,322,390
--------------
94,419,160
--------------
DISTRIBUTORS -- 0.5%
449,050 Genuine Parts Co. 47,702,582
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
1,933,523 AXA Equitable Holdings, Inc. 47,912,700
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.0%
1,224,351 AT&T, Inc. 47,847,637
1,033,191 BCE, Inc. 47,888,403
1,245,070 TELUS Corp. 48,221,561
779,073 Verizon Communications, Inc. 47,835,082
--------------
191,792,683
--------------
ELECTRIC UTILITIES -- 11.5%
594,247 ALLETE, Inc. 48,235,029
880,946 Alliant Energy Corp. 48,205,365
510,243 American Electric Power Co., Inc. 48,223,066
931,040 Avangrid, Inc. 47,632,006
530,631 Duke Energy Corp. 48,398,854
706,393 El Paso Electric Co. 47,957,021
403,428 Entergy Corp. 48,330,674
749,789 Evergy, Inc. 48,803,766
571,287 Eversource Energy 48,599,385
1,058,301 Exelon Corp. 48,247,943
988,534 FirstEnergy Corp. 48,042,752
1,162,487 Fortis, Inc. 48,266,460
1,024,324 Hawaiian Electric Industries, Inc. 47,999,823
450,979 IDACORP, Inc. 48,164,557
614,280 MGE Energy, Inc. 48,417,550
200,320 NextEra Energy, Inc. 48,509,491
1,091,371 OGE Energy Corp. 48,533,268
933,382 Otter Tail Corp. 47,873,163
537,593 Pinnacle West Capital Corp. 48,345,739
854,502 Portland General Electric Co. 47,672,667
1,341,440 PPL Corp. 48,130,867
756,180 Southern (The) Co. 48,168,666
See Notes to Financial Statements Page 37
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
759,035 Xcel Energy, Inc. $ 48,191,132
--------------
1,108,949,244
--------------
ELECTRICAL EQUIPMENT -- 2.4%
1,996,476 ABB Ltd., ADR 48,095,107
502,858 Eaton Corp. PLC 47,630,710
622,936 Emerson Electric Co. 47,505,099
321,525 Hubbell, Inc. 47,527,825
234,162 Rockwell Automation, Inc. 47,457,613
--------------
238,216,354
--------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.5%
503,122 TE Connectivity Ltd. 48,219,213
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.0%
230,986 AvalonBay Communities, Inc. 48,437,764
600,130 Equity Residential 48,562,520
376,533 Federal Realty Investment Trust 48,471,093
370,698 Mid-America Apartment
Communities, Inc. 48,880,238
546,081 Prologis, Inc. 48,677,660
227,521 Public Storage 48,452,872
664,849 Realty Income Corp. 48,952,832
329,946 Simon Property Group, Inc. 49,148,756
1,646,675 Washington Real Estate Investment
Trust 48,049,977
613,656 WP Carey, Inc. 49,117,026
--------------
486,750,738
--------------
FOOD & STAPLES RETAILING -- 1.5%
560,817 Sysco Corp. 47,972,286
816,716 Walgreens Boots Alliance, Inc. 48,153,575
401,883 Walmart, Inc. 47,759,776
--------------
143,885,637
--------------
FOOD PRODUCTS -- 4.0%
1,039,468 Archer-Daniels-Midland Co. 48,179,342
974,076 Campbell Soup Co. 48,138,836
907,351 General Mills, Inc. 48,597,720
326,952 Hershey (The) Co. 48,055,405
1,053,632 Hormel Foods Corp. 47,529,339
462,749 J.M. Smucker (The) Co. 48,186,053
695,506 Kellogg Co. 48,101,195
874,036 Mondelez International, Inc.,
Class A 48,141,903
--------------
384,929,793
--------------
GAS UTILITIES -- 3.5%
430,514 Atmos Energy Corp. 48,157,296
1,076,189 New Jersey Resources Corp. 47,965,744
661,250 Northwest Natural Holding Co. 48,753,962
516,514 ONE Gas, Inc. 48,330,215
1,480,979 South Jersey Industries, Inc. 48,842,687
574,531 Spire, Inc. 47,864,178
1,070,129 UGI Corp. 48,327,026
--------------
338,241,108
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 0.5%
420,006 Medtronic PLC $ 47,649,681
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 1.5%
643,132 CVS Health Corp. 47,778,276
1,317,808 Fresenius Medical Care AG & Co.
KGaA, ADR 48,534,869
445,974 Quest Diagnostics, Inc. 47,625,563
--------------
143,938,708
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.9%
1,206,458 Cheesecake Factory (The), Inc. 46,882,958
307,217 Cracker Barrel Old Country Store,
Inc. 47,231,542
243,788 McDonald's Corp. 48,174,947
542,171 Starbucks Corp. 47,667,674
--------------
189,957,121
--------------
HOUSEHOLD DURABLES -- 0.5%
485,176 Garmin Ltd. 47,333,771
--------------
HOUSEHOLD PRODUCTS -- 2.0%
314,030 Clorox (The) Co. 48,216,166
696,110 Colgate-Palmolive Co. 47,920,212
349,240 Kimberly-Clark Corp. 48,037,962
382,972 Procter & Gamble (The) Co. 47,833,203
--------------
192,007,543
--------------
INDUSTRIAL CONGLOMERATES -- 1.0%
268,034 3M Co. 47,286,558
271,153 Honeywell International, Inc. 47,994,081
--------------
95,280,639
--------------
INSURANCE -- 8.5%
910,479 Aflac, Inc. 48,164,339
431,402 Allstate (The) Corp. 48,511,155
740,830 Argo Group International Holdings
Ltd. 48,709,573
507,508 Arthur J. Gallagher & Co. 48,329,987
373,908 Assurant, Inc. 49,011,861
800,454 Axis Capital Holdings Ltd. 47,578,986
310,225 Chubb Ltd. 48,289,624
464,515 Cincinnati Financial Corp. 48,843,752
1,085,680 CNA Financial Corp. 48,649,321
288,508 Erie Indemnity Co., Class A 47,892,328
174,922 Everest Re Group Ltd. 48,425,406
1,060,907 Fidelity National Financial, Inc. 48,112,132
820,794 First American Financial Corp. 47,868,706
348,482 Hanover Insurance Group (The),
Inc. 47,627,035
795,920 Hartford Financial Services Group
(The), Inc. 48,368,058
1,054,093 Sun Life Financial, Inc. 48,035,018
351,116 Travelers (The) Cos., Inc. 48,085,336
--------------
820,502,617
--------------
IT SERVICES -- 2.0%
281,335 Automatic Data Processing, Inc. 47,967,618
4,648,738 Infosys Ltd., ADR 47,974,976
Page 38 See Notes to Financial Statements
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
352,911 International Business Machines
Corp. $ 47,304,190
563,370 Paychex, Inc. 47,920,252
--------------
191,167,036
--------------
MACHINERY -- 1.9%
322,125 Caterpillar, Inc. 47,571,420
263,667 Cummins, Inc. 47,185,846
264,171 Illinois Tool Works, Inc. 47,453,037
281,661 Snap-on, Inc. 47,713,373
--------------
189,923,676
--------------
MEDIA -- 2.0%
1,084,701 Comcast Corp., Class A 48,779,004
592,663 Omnicom Group, Inc. 48,017,556
2,373,959 Shaw Communications, Inc.,
Class B 48,167,628
691,868 WPP PLC, ADR 48,631,402
--------------
193,595,590
--------------
MULTI-UTILITIES -- 6.5%
632,417 Ameren Corp. 48,569,626
1,002,223 Avista Corp. 48,196,904
618,814 Black Hills Corp. 48,601,651
767,946 CMS Energy Corp. 48,257,727
532,795 Consolidated Edison, Inc. 48,201,964
587,424 Dominion Energy, Inc. 48,650,456
371,500 DTE Energy Co. 48,246,705
1,627,054 MDU Resources Group, Inc. 48,339,774
1,742,660 NiSource, Inc. 48,515,654
670,161 NorthWestern Corp. 48,030,439
816,303 Public Service Enterprise Group,
Inc. 48,202,692
317,711 Sempra Energy 48,126,862
522,886 WEC Energy Group, Inc. 48,225,776
--------------
628,166,230
--------------
OIL, GAS & CONSUMABLE FUELS
-- 2.5%
397,535 Chevron Corp. 47,906,943
680,554 Exxon Mobil Corp. 47,489,058
424,559 Phillips 66 47,300,118
802,901 Royal Dutch Shell PLC, Class B,
ADR 48,149,973
869,108 TOTAL S.A., ADR 48,061,673
--------------
238,907,765
--------------
PERSONAL PRODUCTS -- 0.5%
841,446 Unilever PLC, ADR 48,105,468
--------------
PHARMACEUTICALS -- 4.4%
756,770 Bristol-Myers Squibb Co. 48,577,066
364,744 Eli Lilly & Co. 47,938,304
1,021,028 GlaxoSmithKline PLC, ADR 47,978,106
326,664 Johnson & Johnson 47,650,478
521,418 Merck & Co., Inc. 47,422,967
504,226 Novartis AG, ADR 47,745,160
829,638 Novo Nordisk A/S, ADR 48,019,447
1,216,588 Pfizer, Inc. 47,665,918
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
950,809 Sanofi, ADR $ 47,730,612
--------------
430,728,058
--------------
PROFESSIONAL SERVICES -- 1.0%
769,783 Robert Half International, Inc. 48,611,797
669,417 Thomson Reuters Corp. 47,930,257
--------------
96,542,054
--------------
ROAD & RAIL -- 1.5%
528,942 Canadian National Railway Co. 47,842,804
246,211 Norfolk Southern Corp. 47,796,942
266,628 Union Pacific Corp. 48,203,676
--------------
143,843,422
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.0%
401,417 Analog Devices, Inc. 47,704,396
807,652 Intel Corp. 48,337,972
821,629 Taiwan Semiconductor
Manufacturing Co., Ltd., ADR 47,736,645
372,099 Texas Instruments, Inc. 47,736,581
--------------
191,515,594
--------------
SOFTWARE -- 0.5%
890,629 Oracle Corp. 47,185,524
--------------
SPECIALTY RETAIL -- 1.0%
218,237 Home Depot (The), Inc. 47,658,596
400,021 Lowe's Cos., Inc. 47,906,515
--------------
95,565,111
--------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.5%
1,702,326 Canon, Inc., ADR 46,558,616
--------------
THRIFTS & MORTGAGE FINANCE
-- 1.5%
3,446,363 Capitol Federal Financial, Inc. 47,318,564
2,878,180 Northwest Bancshares, Inc. 47,864,133
1,283,140 Washington Federal, Inc. 47,027,081
--------------
142,209,778
--------------
TOBACCO -- 0.9%
927,950 Altria Group, Inc. 46,313,984
556,119 Philip Morris International, Inc. 47,320,166
--------------
93,634,150
--------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.5%
1,295,290 Fastenal Co. 47,860,965
607,581 MSC Industrial Direct Co., Inc.,
Class A 47,676,881
263,192 Watsco, Inc. 47,414,039
--------------
142,951,885
--------------
WATER UTILITIES -- 0.5%
1,035,183 Aqua America, Inc. 48,591,490
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.5%
968,117 Rogers Communications, Inc.,
Class B 48,086,371
--------------
See Notes to Financial Statements Page 39
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 99.8% $9,647,473,272
(Cost $8,615,183,328) (a)
NET OTHER ASSETS AND
LIABILITIES -- 0.2% 17,745,472
--------------
NET ASSETS -- 100.0% $9,665,218,744
==============
(a) Aggregate cost for federal income tax purposes is $8,793,134,957. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$944,611,532 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$90,273,217. The net unrealized appreciation was $854,338,315.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 9,647,473,272 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 40 See Notes to Financial Statements
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.4%
14,604 Arconic, Inc. $ 449,365
1,036 Lockheed Martin Corp. 403,398
1,308 Teledyne Technologies, Inc. (a) 453,274
--------------
1,306,037
--------------
AUTO COMPONENTS -- 1.1%
14,042 Gentex Corp. 406,937
--------------
AUTOMOBILES -- 1.0%
2,645 Toyota Motor Corp., ADR 371,728
--------------
BUILDING PRODUCTS -- 1.0%
7,968 Gibraltar Industries, Inc. (a) 401,906
--------------
CAPITAL MARKETS -- 3.1%
6,553 Brookfield Asset Management, Inc.,
Class A 378,763
4,512 Intercontinental Exchange, Inc. 417,586
1,422 S&P Global, Inc. 388,277
--------------
1,184,626
--------------
CHEMICALS -- 4.3%
2,178 Ecolab, Inc. 420,332
3,938 Innospec, Inc. 407,347
4,961 RPM International, Inc. 380,806
765 Sherwin-Williams (The) Co. 446,408
--------------
1,654,893
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.0%
5,036 Copart, Inc. (a) 457,974
7,798 Herman Miller, Inc. 324,786
8,886 Ritchie Bros Auctioneers, Inc. 381,654
--------------
1,164,414
--------------
COMMUNICATIONS EQUIPMENT
-- 3.8%
22,645 AudioCodes Ltd. 581,750
51,713 Harmonic, Inc. (a) 403,361
2,957 Motorola Solutions, Inc. 476,491
--------------
1,461,602
--------------
CONSTRUCTION MATERIALS -- 1.1%
1,497 Martin Marietta Materials, Inc. 418,621
--------------
DISTRIBUTORS -- 1.0%
11,342 LKQ Corp. (a) 404,909
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.0%
7,894 BCE, Inc. 365,887
6,612 Verizon Communications, Inc. 405,977
--------------
771,864
--------------
ELECTRIC UTILITIES -- 2.1%
4,303 Duke Energy Corp. 392,477
7,251 Portland General Electric Co. 404,533
--------------
797,010
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.0%
2,731 CDW Corp. $ 390,096
--------------
ENERGY EQUIPMENT & SERVICES
-- 1.1%
8,969 Dril-Quip, Inc. (a) 420,736
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.2%
1,850 American Tower Corp. 425,167
3,164 Crown Castle International Corp. 449,763
4,460 Equity Residential 360,903
2,810 Mid-America Apartment
Communities, Inc. 370,527
1,687 SBA Communications Corp. 406,550
--------------
2,012,910
--------------
FOOD & STAPLES RETAILING -- 4.2%
1,314 Costco Wholesale Corp. 386,211
8,000 Performance Food Group Co. (a) 411,840
4,723 Sysco Corp. 404,006
3,410 Walmart, Inc. 405,244
--------------
1,607,301
--------------
FOOD PRODUCTS -- 1.9%
2,748 Hershey (The) Co. 403,901
1,740 J&J Snack Foods Corp. 320,630
--------------
724,531
--------------
GAS UTILITIES -- 1.0%
8,241 National Fuel Gas Co. 383,536
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 5.4%
3,688 CONMED Corp. 412,429
1,853 Edwards Lifesciences Corp. (a) 432,287
3,422 Medtronic PLC 388,226
3,028 West Pharmaceutical Services, Inc. 455,199
2,684 Zimmer Biomet Holdings, Inc. 401,741
--------------
2,089,882
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.0%
782 Chemed Corp. 343,501
5,458 CVS Health Corp. 405,475
3,785 Quest Diagnostics, Inc. 404,200
--------------
1,153,176
--------------
HOUSEHOLD DURABLES -- 1.0%
6,553 Meritage Homes Corp. (a) 400,454
--------------
HOUSEHOLD PRODUCTS -- 1.2%
3,826 Procter & Gamble (The) Co. 477,867
--------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.9%
4,895 Ormat Technologies, Inc. 364,775
--------------
INDUSTRIAL CONGLOMERATES -- 1.0%
2,375 Carlisle Cos., Inc. 384,370
--------------
See Notes to Financial Statements Page 41
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE -- 9.3%
10,202 Arch Capital Group Ltd. (a) $ 437,564
10,247 Brown & Brown, Inc. 404,552
3,938 Cincinnati Financial Corp. 414,081
7,898 Fidelity National Financial, Inc. 358,174
3,838 Globe Life, Inc. 403,949
7,046 Hartford Financial Services Group
(The), Inc. 428,185
2,025 RenaissanceRe Holdings Ltd. 396,941
8,945 Sun Life Financial, Inc. 407,624
4,631 W.R. Berkley Corp. 320,002
--------------
3,571,072
--------------
IT SERVICES -- 4.2%
5,726 Amdocs Ltd. 413,360
7,996 CSG Systems International, Inc. 414,033
3,439 Fiserv, Inc. (a) 397,652
27,336 Switch, Inc., Class A 405,119
--------------
1,630,164
--------------
MACHINERY -- 1.0%
7,321 Douglas Dynamics, Inc. 402,655
--------------
MEDIA -- 1.0%
270 Cable One, Inc. 401,887
--------------
METALS & MINING -- 5.3%
6,796 Agnico Eagle Mines Ltd. 418,701
19,013 Barrick Gold Corp. 353,452
4,276 Franco-Nevada Corp. 441,711
18,098 Pan American Silver Corp. 428,742
3,442 Royal Gold, Inc. 420,784
--------------
2,063,390
--------------
MULTILINE RETAIL -- 1.9%
2,110 Dollar General Corp. 329,118
3,011 Target Corp. 386,040
--------------
715,158
--------------
MULTI-UTILITIES -- 2.0%
4,985 Dominion Energy, Inc. 412,858
11,925 MDU Resources Group, Inc. 354,292
--------------
767,150
--------------
OIL, GAS & CONSUMABLE FUELS
-- 5.6%
14,370 EQM Midstream Partners, L.P. (b) 429,807
16,851 Holly Energy Partners L.P. (b) 373,250
6,038 Marathon Petroleum Corp. 363,789
10,534 MPLX, L.P. (b) 268,196
15,029 Par Pacific Holdings, Inc. (a) 349,274
5,791 Phillips 66 Partners, L.P. (b) 356,957
--------------
2,141,273
--------------
PHARMACEUTICALS -- 2.2%
8,475 GlaxoSmithKline PLC, ADR 398,240
3,527 Zoetis, Inc. 466,799
--------------
865,039
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PROFESSIONAL SERVICES -- 2.0%
3,108 FTI Consulting, Inc. (a) $ 343,931
5,760 IHS Markit Ltd. (a) 434,016
--------------
777,947
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.2%
2,839 Cabot Microelectronics Corp. 409,724
6,973 Taiwan Semiconductor
Manufacturing Co., Ltd., ADR 405,131
5,877 Teradyne, Inc. 400,753
--------------
1,215,608
--------------
SOFTWARE -- 4.4%
1,511 ANSYS, Inc. (a) 388,947
3,685 Citrix Systems, Inc. 408,666
2,701 Microsoft Corp. 425,948
1,599 Tyler Technologies, Inc. (a) 479,732
--------------
1,703,293
--------------
WATER UTILITIES -- 4.1%
4,101 American States Water Co. 355,311
2,992 American Water Works Co., Inc. 367,567
8,785 Aqua America, Inc. 412,368
9,572 York Water (The) Co. 441,365
--------------
1,576,611
--------------
TOTAL INVESTMENTS -- 100.0% 38,585,428
(Cost $36,648,135) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (2,931)
--------------
NET ASSETS -- 100.0% $ 38,582,497
==============
(a) Non-income producing security.
(b) Security is a Master Limited Partnership ("MLP").
(c) Aggregate cost for federal income tax purposes is $36,708,090. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$2,245,731 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$368,393. The net unrealized appreciation was $1,877,338.
ADR - American Depositary Receipt
Page 42 See Notes to Financial Statements
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 38,585,428 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2019
FIRST TRUST FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR US EQUITY
MICROCAP DIVIDEND LEADERS OPPORTUNITIES
INDEX FUND INDEX FUND ETF
(FDM) (FDL) (FPX)
---------------- ----------------- ----------------
ASSETS:
Investments, at value............................................... $ 160,705,254 $ 1,836,671,310 $1,359,035,257
Cash................................................................ 79,337 1,207,176 --
Receivables:
Investment securities sold.................................... 463,366 -- --
Capital shares sold........................................... -- 1,629,183 4,005,651
Dividends..................................................... 128,257 4,414,195 731,394
Securities lending income..................................... 24,028 -- 74,009
Reclaims...................................................... -- -- --
Prepaid expenses.................................................... 4,034 13,860 10,269
-------------- --------------- --------------
Total Assets.................................................. 161,404,276 1,843,935,724 1,363,856,580
-------------- --------------- --------------
LIABILITIES:
Due to custodian.................................................... -- -- 65,026
Payables:
Collateral for securities on loan............................. 4,738,840 -- 27,813,880
Investment securities purchased............................... 463,282 1,624,885 4,005,871
Capital shares redeemed....................................... -- -- --
Licensing fees................................................ -- 401,680 323,562
Investment advisory fees...................................... 54,897 456,442 453,562
Audit and tax fees............................................ 22,924 22,924 22,924
Shareholder reporting fees.................................... 8,687 53,661 43,248
Trustees' fees................................................ 46 142 50
Other liabilities................................................... 48,134 376,193 293,368
-------------- --------------- --------------
Total Liabilities............................................. 5,336,810 2,935,927 33,021,491
-------------- --------------- --------------
NET ASSETS.......................................................... $ 156,067,466 $ 1,840,999,797 $1,330,835,089
============== =============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 174,233,887 $ 1,862,306,764 $1,278,165,801
Par value........................................................... 30,550 565,000 165,500
Accumulated distributable earnings (loss)........................... (18,196,971) (21,871,967) 52,503,788
-------------- --------------- --------------
NET ASSETS.......................................................... $ 156,067,466 $ 1,840,999,797 $1,330,835,089
============== =============== ==============
NET ASSET VALUE, per share.......................................... $ 51.09 $ 32.58 $ 80.41
============== =============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 3,055,000 56,500,002 16,550,002
============== =============== ==============
Investments, at cost................................................ $ 151,720,548 $ 1,727,759,394 $1,171,821,672
============== =============== ==============
Securities on loan, at value........................................ $ 4,632,511 $ -- $ 27,074,980
============== =============== ==============
Page 44 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
NYSE ARCA DOW JONES CAPITAL VALUE LINE(R) VALUE LINE(R) 100
BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND EXCHANGE-TRADED
INDEX FUND INDEX FUND ETF INDEX FUND FUND
(FBT) (FDN) (FTCS) (FVD) (FVL)
---------------- ---------------- ---------------- ---------------- ----------------
$1,801,268,957 $7,858,709,328 $3,387,915,712 $9,647,473,272 $ 38,585,428
1,035,565 -- 2,900,544 19,027,170 24,436
-- 20,826,858 -- -- --
-- -- 12,073,202 59,440,953 --
-- 25,620 4,158,111 16,025,145 36,243
158 426 -- -- --
55,723 -- -- 733,619 3,678
13,557 66,546 23,642 64,960 329
-------------- -------------- -------------- -------------- --------------
1,802,373,960 7,879,628,778 3,407,071,211 9,742,765,119 38,650,114
-------------- -------------- -------------- -------------- --------------
-- -- -- -- --
-- -- -- -- --
-- -- 12,057,905 68,569,749 --
-- 20,867,819 -- -- --
345,149 1,168,328 152,434 3,342,334 15,519
619,612 2,643,719 1,407,778 3,743,452 14,334
22,924 22,924 22,924 22,924 22,924
99,967 331,705 83,868 199,903 3,479
583 1,225 -- -- 32
358,627 1,226,071 723,497 1,668,013 11,329
-------------- -------------- -------------- -------------- --------------
1,446,862 26,261,791 14,448,406 77,546,375 67,617
-------------- -------------- -------------- -------------- --------------
$1,800,927,098 $7,853,366,987 $3,392,622,805 $9,665,218,744 $ 38,582,497
============== ============== ============== ============== ==============
$2,264,164,143 $7,431,578,089 $3,118,018,628 $8,873,760,119 $ 47,221,525
121,000 564,500 562,000 2,682,880 16,900
(463,358,045) 421,224,398 274,042,177 788,775,745 (8,655,928)
-------------- -------------- -------------- -------------- --------------
$1,800,927,098 $7,853,366,987 $3,392,622,805 $9,665,218,744 $ 38,582,497
============== ============== ============== ============== ==============
$ 148.84 $ 139.12 $ 60.37 $ 36.03 $ 22.83
============== ============== ============== ============== ==============
12,100,002 56,450,002 56,200,002 268,287,986 1,689,982
============== ============== ============== ============== ==============
$1,937,181,208 $6,995,200,642 $3,016,556,261 $8,615,183,328 $ 36,648,135
============== ============== ============== ============== ==============
$ -- $ -- $ -- $ -- $ --
============== ============== ============== ============== ==============
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2019
FIRST TRUST FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR US EQUITY
MICROCAP DIVIDEND LEADERS OPPORTUNITIES
INDEX FUND INDEX FUND ETF
(FDM) (FDL) (FPX)
---------------- ----------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 2,763,487 $ 73,971,099 $ 15,202,138
Securities lending income (net of fees)............................. 194,454 -- 1,056,547
Foreign withholding tax............................................. -- -- (191,882)
-------------- --------------- --------------
Total investment income....................................... 2,957,941 73,971,099 16,066,803
-------------- --------------- --------------
EXPENSES:
Investment advisory fees............................................ 732,185 4,919,551 4,713,266
Licensing fees...................................................... 88,331 1,482,035 1,178,317
Accounting and administration fees.................................. 77,163 757,479 572,867
Custodian fees...................................................... 55,454 77,934 91,887
Audit and tax fees.................................................. 23,628 23,628 23,628
Shareholder reporting fees.......................................... 22,743 113,679 90,884
Listing fees........................................................ 7,556 12,557 7,556
Trustees' fees and expenses......................................... 7,393 9,270 8,579
Transfer agent fees................................................. 7,322 65,995 54,392
Legal fees.......................................................... 4,005 44,694 32,510
Registration and filing fees........................................ (144) 31,084 9,553
Other expenses...................................................... 2,154 19,676 20,342
-------------- --------------- --------------
Total expenses................................................. 1,027,790 7,557,582 6,803,781
Less fees waived and expenses reimbursed by the investment
advisor.................................................... (149,166) (178,254) --
-------------- --------------- --------------
Net expenses.................................................. 878,624 7,379,328 6,803,781
-------------- --------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 2,079,317 66,591,771 9,263,022
-------------- --------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (9,747,770) (31,389,230) (29,453,086)
In-kind redemptions........................................... 8,568,356 139,790,199 157,610,202
Foreign currency transactions................................. -- -- --
-------------- --------------- --------------
Net realized gain (loss)............................................ (1,179,414) 108,400,969 128,157,116
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................... 34,653,114 175,674,288 143,968,501
Foreign currency translation.................................. -- -- --
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation)................ 34,653,114 175,674,288 143,968,501
-------------- --------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 33,473,700 284,075,257 272,125,617
-------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 35,553,017 $ 350,667,028 $ 281,388,639
============== =============== ==============
Page 46 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
NYSE ARCA DOW JONES CAPITAL VALUE LINE(R) VALUE LINE(R) 100
BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND EXCHANGE-TRADED
INDEX FUND INDEX FUND ETF INDEX FUND FUND
(FBT) (FDN) (FTCS) (FVD) (FVL)
---------------- ---------------- ---------------- ---------------- ----------------
$ 7,696,551 $ 34,544,898 $ 50,094,659 $ 209,018,743 $ 617,124
101,640 90,622 -- -- --
(250,525) -- -- (3,632,234) (10,396)
-------------- -------------- -------------- -------------- --------------
7,547,666 34,635,520 50,094,659 205,386,509 606,728
-------------- -------------- -------------- -------------- --------------
9,991,752 33,111,621 12,257,839 33,526,797 200,300
1,998,351 4,962,098 246,148 10,134,278 62,354
1,078,841 2,588,893 1,062,048 2,232,955 21,686
175,057 763,306 185,292 360,426 12,452
23,628 23,628 23,628 23,628 23,628
239,046 735,252 192,166 432,664 12,483
7,556 12,557 1,079 28,746 (3,838)
10,941 17,686 10,006 14,720 7,251
87,447 231,943 86,303 192,632 2,003
83,841 227,160 72,209 184,892 1,031
(36,438) (17,183) 174,721 413,492 --
40,843 134,363 24,722 75,717 1,240
-------------- -------------- -------------- -------------- --------------
13,700,865 42,791,324 14,336,161 47,620,947 340,590
-- -- -- (683,425) (60,169)
-------------- -------------- -------------- -------------- --------------
13,700,865 42,791,324 14,336,161 46,937,522 280,421
-------------- -------------- -------------- -------------- --------------
(6,153,199) (8,155,804) 35,758,498 158,448,987 326,307
-------------- -------------- -------------- -------------- --------------
(154,356,990) (155,350,025) (55,726,030) (91,588,001) 2,824,158
111,584,293 901,811,893 117,443,347 255,326,270 1,568,043
-- -- -- (3,455) (35)
-------------- -------------- -------------- -------------- --------------
(42,772,697) 746,461,868 61,717,317 163,734,814 4,392,166
-------------- -------------- -------------- -------------- --------------
349,806,878 565,699,634 431,591,119 1,138,084,748 3,314,782
-- -- -- 767 81
-------------- -------------- -------------- -------------- --------------
349,806,878 565,699,634 431,591,119 1,138,085,515 3,314,863
-------------- -------------- -------------- -------------- --------------
307,034,181 1,312,161,502 493,308,436 1,301,820,329 7,707,029
-------------- -------------- -------------- -------------- --------------
$ 300,880,982 $1,304,005,698 $ 529,066,934 $1,460,269,316 $ 8,033,336
============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR
MICROCAP DIVIDEND LEADERS
INDEX FUND INDEX FUND
(FDM) (FDL)
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2019 12/31/2018 12/31/2019 12/31/2018
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss)................................ $ 2,079,317 $ 1,594,378 $ 66,591,771 $ 55,726,737
Net realized gain (loss).................................... (1,179,414) 13,232,312 108,400,969 64,064,556
Net change in unrealized appreciation (depreciation)........ 34,653,114 (35,961,521) 175,674,288 (213,401,301)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... 35,553,017 (21,134,831) 350,667,028 (93,610,008)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (2,210,947) (1,417,591) (66,393,993) (55,170,342)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 15,130,878 140,816,685 829,094,807 387,762,741
Cost of shares redeemed..................................... (31,182,294) (76,499,080) (658,851,143) (571,798,626)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions............................ (16,051,416) 64,317,605 170,243,664 (184,035,885)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... 17,290,654 41,765,183 454,516,699 (332,816,235)
NET ASSETS:
Beginning of period......................................... 138,776,812 97,011,629 1,386,483,098 1,719,299,333
-------------- -------------- -------------- --------------
End of period............................................... $ 156,067,466 $ 138,776,812 $1,840,999,797 $1,386,483,098
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 3,405,000 2,055,000 50,900,002 57,200,002
Shares sold................................................. 350,000 2,850,000 27,200,000 13,450,000
Shares redeemed............................................. (700,000) (1,500,000) (21,600,000) (19,750,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................... 3,055,000 3,405,000 56,500,002 50,900,002
============== ============== ============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
US EQUITY NYSE ARCA DOW JONES
OPPORTUNITIES BIOTECHNOLOGY INTERNET
ETF INDEX FUND INDEX FUND
(FPX) (FBT) (FDN)
------------------------------- ------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
12/31/2019 12/31/2018 12/31/2019 12/31/2018 12/31/2019 12/31/2018
-------------- -------------- -------------- -------------- -------------- --------------
$ 9,263,022 $ 8,164,263 $ (6,153,199) $ (4,195,069) $ (8,155,804) $ (21,307,396)
128,157,116 43,343,388 (42,772,697) 216,117,246 746,461,868 934,554,669
143,968,501 (144,486,852) 349,806,878 (565,874,934) 565,699,634 (796,446,658)
-------------- -------------- -------------- -------------- -------------- --------------
281,388,639 (92,979,201) 300,880,982 (353,952,757) 1,304,005,698 116,800,615
-------------- -------------- -------------- -------------- -------------- --------------
(8,578,921) (8,618,366) -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
653,706,904 314,592,694 632,970,959 2,320,112,972 1,828,355,646 4,019,193,398
(508,160,193) (282,248,146) (1,475,137,653) (831,758,091) (2,295,801,572) (2,610,007,206)
-------------- -------------- -------------- -------------- -------------- --------------
145,546,711 32,344,548 (842,166,694) 1,488,354,881 (467,445,926) 1,409,186,192
-------------- -------------- -------------- -------------- -------------- --------------
418,356,429 (69,253,019) (541,285,712) 1,134,402,124 836,559,772 1,525,986,807
912,478,660 981,731,679 2,342,212,810 1,207,810,686 7,016,807,215 5,490,820,408
-------------- -------------- -------------- -------------- -------------- --------------
$1,330,835,089 $ 912,478,660 $1,800,927,098 $2,342,212,810 $7,853,366,987 $7,016,807,215
============== ============== ============== ============== ============== ==============
14,700,002 14,400,002 18,850,002 9,700,002 60,150,002 50,000,002
8,350,000 4,400,000 4,500,000 15,450,000 13,050,000 30,750,000
(6,500,000) (4,100,000) (11,250,000) (6,300,000) (16,750,000) (20,600,000)
-------------- -------------- -------------- -------------- -------------- --------------
16,550,002 14,700,002 12,100,002 18,850,002 56,450,002 60,150,002
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
CAPITAL STRENGTH VALUE LINE(R) DIVIDEND
ETF INDEX FUND
(FTCS) (FVD)
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2019 12/31/2018 12/31/2019 12/31/2018
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss)................................ $ 35,758,498 $ 12,868,717 $ 158,448,987 $ 102,024,585
Net realized gain (loss).................................... 61,717,317 44,264,086 163,734,814 195,923,909
Net change in unrealized appreciation (depreciation)........ 431,591,119 (141,037,098) 1,138,085,515 (464,993,579)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... 529,066,934 (83,904,295) 1,460,269,316 (167,045,085)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (35,558,152) (13,023,451) (157,857,442) (102,072,326)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 2,682,671,848 1,360,944,668 5,710,878,170 2,031,003,840
Cost of shares redeemed..................................... (1,159,688,922) (511,985,305) (1,722,554,194) (1,582,233,890)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting.............
from shareholder transactions............................... 1,522,982,926 848,959,363 3,988,323,976 448,769,950
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... 2,016,491,708 752,031,617 5,290,735,850 179,652,539
NET ASSETS:
Beginning of period......................................... 1,376,131,097 624,099,480 4,374,482,894 4,194,830,355
-------------- -------------- -------------- --------------
End of period............................................... $3,392,622,805 $1,376,131,097 $9,665,218,744 $4,374,482,894
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 28,500,002 12,250,002 150,487,986 136,037,986
Shares sold................................................. 48,400,000 26,050,000 169,450,000 66,050,000
Shares redeemed............................................. (20,700,000) (9,800,000) (51,650,000) (51,600,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................... 56,200,002 28,500,002 268,287,986 150,487,986
============== ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST
VALUE LINE(R) 100
EXCHANGE-TRADED FUND
(FVL)
-------------------------------
Year Ended Year Ended
12/31/2019 12/31/2018
-------------- --------------
$ 326,307 $ 285,088
4,392,166 (7,657,763)
3,314,863 (2,046,735)
-------------- --------------
8,033,336 (9,419,410)
-------------- --------------
(358,670) (292,079)
-------------- --------------
9,028,116 39,520,882
(14,626,492) (49,060,514)
-------------- --------------
(5,598,376) (9,539,632)
-------------- --------------
2,076,290 (19,251,121)
36,506,207 55,757,328
-------------- --------------
$ 38,582,497 $ 36,506,207
============== ==============
1,939,982 2,389,982
400,000 1,650,000
(650,000) (2,100,000)
-------------- --------------
1,689,982 1,939,982
============== ==============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 40.76 $ 47.21 $ 43.98 $ 32.92 $ 33.21
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.66 0.56 0.42 0.49 0.49
Net realized and unrealized gain (loss) 10.37 (6.50) 3.27 11.07 (0.30)
------------ ------------ ------------ ------------ ------------
Total from investment operations 11.03 (5.94) 3.69 11.56 0.19
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.70) (0.51) (0.46) (0.50) (0.48)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 51.09 $ 40.76 $ 47.21 $ 43.98 $ 32.92
============ ============ ============ ============ ============
TOTAL RETURN (a) 27.25% (12.68)% 8.44% 35.45% 0.55%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 156,067 $ 138,777 $ 97,012 $ 116,776 $ 49,551
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.70% 0.73% 0.71% 0.75% 0.73%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 1.42% 1.29% 0.89% 1.52% 1.46%
Portfolio turnover rate (b) 64% 75% 55% 48% 63%
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 27.24 $ 30.06 $ 27.75 $ 23.69 $ 23.94
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.22 1.09 0.93 0.82 0.86
Net realized and unrealized gain (loss) 5.34 (2.83) 2.34 4.05 (0.25)
------------ ------------ ------------ ------------ ------------
Total from investment operations 6.56 (1.74) 3.27 4.87 0.61
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.22) (1.08) (0.96) (0.81) (0.86)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 32.58 $ 27.24 $ 30.06 $ 27.75 $ 23.69
============ ============ ============ ============ ============
TOTAL RETURN (a) 24.36% (5.87)% 11.93% 20.72% 2.73%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,841,000 $ 1,386,483 $ 1,719,299 $ 1,778,464 $ 875,294
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.46% 0.47% 0.47% 0.48% 0.48%
Ratio of net expenses to average net
assets 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of net investment income (loss) to
average net assets 4.06% 3.70% 3.18% 3.27% 3.59%
Portfolio turnover rate (b) 39% 39% 43% 50% 61%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 62.07 $ 68.18 $ 54.10 $ 51.11 $ 50.32
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.58 0.52 0.43 0.31 0.31
Net realized and unrealized gain (loss) 18.30 (6.08) 14.12 3.10 0.80
------------ ------------ ------------ ------------ ------------
Total from investment operations 18.88 (5.56) 14.55 3.41 1.11
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.54) (0.55) (0.47) (0.42) (0.32)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 80.41 $ 62.07 $ 68.18 $ 54.10 $ 51.11
============ ============ ============ ============ ============
TOTAL RETURN (a) 30.45% (8.22)% 26.96% 6.70% 2.19%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,330,835 $ 912,479 $ 981,732 $ 614,024 $ 789,693
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.58% 0.59% 0.59% 0.60% 0.60%
Ratio of net expenses to average net
assets 0.58% 0.59% 0.59% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.79% 0.74% 0.71% 0.58% 0.61%
Portfolio turnover rate (b) 81% 57% 31% 41% 41%
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 124.26 $ 124.52 $ 90.89 $ 113.06 $ 101.99
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.51) (0.22) (0.08) (0.32) 0.09
Net realized and unrealized gain (loss) 25.09 (0.04) 33.71 (21.85) 11.11
------------ ------------ ------------ ------------ ------------
Total from investment operations 24.58 (0.26) 33.63 (22.17) 11.20
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- (0.13)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 148.84 $ 124.26 $ 124.52 $ 90.89 $ 113.06
============ ============ ============ ============ ============
TOTAL RETURN (a) 19.78% (0.21)% 36.99% (19.60)% 10.97%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,800,927 $ 2,342,213 $ 1,207,811 $ 804,385 $ 3,437,024
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.55% 0.57% 0.56% 0.56% 0.55%
Ratio of net expenses to average net
assets 0.55% 0.57% 0.56% 0.56% 0.55%
Ratio of net investment income (loss) to
average net assets (0.25)% (0.21)% (0.08)% (0.27)% 0.08%
Portfolio turnover rate (b) 31% 37% 36% 42% 30%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 53
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 116.66 $ 109.82 $ 79.79 $ 74.64 $ 61.30
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.14) (0.35) (0.28) (0.27) (0.14)
Net realized and unrealized gain (loss) 22.60 7.19 30.31 5.42 13.48
------------ ------------ ------------ ------------ ------------
Total from investment operations 22.46 6.84 30.03 5.15 13.34
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 139.12 $ 116.66 $ 109.82 $ 79.79 $ 74.64
============ ============ ============ ============ ============
TOTAL RETURN (a) 19.26% 6.23% 37.62% 6.91% 21.77%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 7,853,367 $ 7,016,807 $ 5,490,820 $ 3,486,734 $ 4,914,821
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.52% 0.52% 0.53% 0.54% 0.54%
Ratio of net expenses to average net
assets 0.52% 0.52% 0.53% 0.54% 0.54%
Ratio of net investment income (loss) to
average net assets (0.10)% (0.27)% (0.32)% (0.35)% (0.29)%
Portfolio turnover rate (b) 28% 21% 22% 21% 28%
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 48.29 $ 50.95 $ 40.79 $ 38.12 $ 38.08
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.76 0.60 0.59 0.58 0.57
Net realized and unrealized gain (loss) 12.08 (2.65) 10.16 2.67 0.04
------------ ------------ ------------ ------------ ------------
Total from investment operations 12.84 (2.05) 10.75 3.25 0.61
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.76) (0.61) (0.59) (0.58) (0.57)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 60.37 $ 48.29 $ 50.95 $ 40.79 $ 38.12
============ ============ ============ ============ ============
TOTAL RETURN (a) 26.72% (4.09)% 26.49% 8.57% 1.64%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 3,392,623 $ 1,376,131 $ 624,099 $ 320,190 $ 165,815
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.58% 0.60% 0.61% 0.64% 0.65%
Ratio of net expenses to average net
assets 0.58% 0.60% 0.61% 0.64% 0.65%
Ratio of net investment income (loss) to
average net assets 1.46% 1.30% 1.33% 1.55% 1.59%
Portfolio turnover rate (b) 125% 117% 85% 85% 96%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 29.07 $ 30.84 $ 28.02 $ 23.86 $ 24.13
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.73 0.73 0.63 0.56 0.55
Net realized and unrealized gain (loss) 6.96 (1.77) 2.84 4.17 (0.26)
------------ ------------ ------------ ------------ ------------
Total from investment operations 7.69 (1.04) 3.47 4.73 0.29
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.73) (0.73) (0.65) (0.57) (0.56)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 36.03 $ 29.07 $ 30.84 $ 28.02 $ 23.86
============ ============ ============ ============ ============
TOTAL RETURN (a) 26.60% (3.44)% 12.48% 19.94% 1.26%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 9,665,219 $ 4,374,483 $ 4,194,830 $ 2,892,982 $ 1,188,031
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.71% 0.72% 0.72% 0.73% 0.74%
Ratio of net expenses to average net
assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 2.36% 2.40% 2.19% 2.31% 2.40%
Portfolio turnover rate (b) 53% 58% 50% 60% 82%
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 18.82 $ 23.33 $ 21.58 $ 19.71 $ 20.41
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.18 0.13 0.16 0.12 0.07
Net realized and unrealized gain (loss) 4.02 (4.51) 1.78 1.87 (0.71) (c)
------------ ------------ ------------ ------------ ------------
Total from investment operations 4.20 (4.38) 1.94 1.99 (0.64)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.19) (0.13) (0.19) (0.12) (0.06)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 22.83 $ 18.82 $ 23.33 $ 21.58 $ 19.71
============ ============ ============ ============ ============
TOTAL RETURN (a) 22.38% (18.83)% 9.05% 10.14% (3.13)% (c)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 38,582 $ 36,506 $ 55,757 $ 52,643 $ 53,013
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.85% 0.89% 0.85% 0.87% 0.84%
Ratio of net expenses to average net
assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.81% 0.56% 0.73% 0.59% 0.32%
Portfolio turnover rate (b) 310% 424% 466% 491% 404%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(c) The Fund received a payment from the Advisor in the amount of $95,996 in
connection with a trade error, which represents $0.03 per share. Since the
Advisor reimbursed the Fund, there was no effect on the Fund's total
return.
See Notes to Financial Statements Page 55
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
1. ORGANIZATION
First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on August 8,
2003, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds. This report
covers the eight funds listed below:
First Trust Dow Jones Select MicroCap Index Fund - (NYSE Arca, Inc. ("NYSE
Arca") ticker "FDM")
First Trust Morningstar Dividend Leaders Index Fund - (NYSE Arca ticker
"FDL")
First Trust US Equity Opportunities ETF - (NYSE Arca ticker "FPX")
First Trust NYSE Arca Biotechnology Index Fund - (NYSE Arca ticker "FBT")
First Trust Dow Jones Internet Index Fund - (NYSE Arca ticker "FDN")
First Trust Capital Strength ETF - (The Nasdaq Stock Market LLC ("Nasdaq")
ticker "FTCS")
First Trust Value Line(R) Dividend Index Fund - (NYSE Arca ticker "FVD")
First Trust Value Line(R) 100 Exchange-Traded Fund - (NYSE Arca ticker
"FVL")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Creation Units are generally issued and redeemed in-kind for
securities in which a Fund invests and, in certain circumstances, for cash, and
only to and from broker-dealers and large institutional investors that have
entered into participation agreements. Except when aggregated in Creation Units,
each Fund's shares are not redeemable securities. The investment objective of
each Fund is to seek investment results that correspond generally to the price
and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX
First Trust Dow Jones Select MicroCap Index Fund Dow Jones Select MicroCap Index(SM)
First Trust Morningstar Dividend Leaders Index Fund Morningstar(R) Dividend Leaders Index(SM)
First Trust US Equity Opportunities ETF IPOX(R)-100 U.S. Index
First Trust NYSE Arca Biotechnology Index Fund NYSE Arca Biotechnology Index(SM)
First Trust Dow Jones Internet Index Fund Dow Jones Internet Composite Index(SM)
First Trust Capital Strength ETF The Capital Strength Index(SM)
First Trust Value Line(R) Dividend Index Fund Value Line(R) Dividend Index
First Trust Value Line(R) 100 Exchange-Traded Fund Value Line(R) 100 Index
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Foreign securities are priced using data
reflecting the earlier closing of the principal markets for those securities.
Each Fund's NAV is calculated by dividing the value of all assets of each Fund
(including accrued interest and dividends), less all liabilities (including
accrued expenses and dividends declared but unpaid), by the total number of
shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Page 56
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
Page 57
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of December 31, 2019, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment trust
("REITs") may be comprised of return of capital, capital gains and income. The
actual character of the amounts received during the year is not known until
after the REITs' fiscal year end. A Fund records the character of distributions
received from REITs during the year based on estimates available. The
characterization of distributions received by a Fund may be subsequently revised
based on information received from the REITs after their tax reporting periods
conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities require entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At December 31, 2019, only
FDM and FPX had securities in the securities lending program. During the fiscal
year ended December 31, 2019, FDM, FPX, FBT, and FDN participated in the
securities lending program.
Page 58
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund is less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended December 31, 2019, were received
as collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2019 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
First Trust Dow Jones Select MicroCap Index Fund $ 2,210,947 $ -- $ --
First Trust Morningstar Dividend Leaders Index Fund 66,393,993 -- --
First Trust US Equity Opportunities ETF 8,578,921 -- --
First Trust NYSE Arca Biotechnology Index Fund -- -- --
First Trust Dow Jones Internet Index Fund -- -- --
First Trust Capital Strength ETF 35,558,152 -- --
First Trust Value Line(R) Dividend Index Fund 157,857,442 -- --
First Trust Value Line(R) 100 Exchange-Traded Fund 358,670 -- --
Page 59
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2018 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
First Trust Dow Jones Select MicroCap Index Fund $ 1,417,591 $ -- $ --
First Trust Morningstar Dividend Leaders Index Fund 55,170,342 -- --
First Trust US Equity Opportunities ETF 8,618,366 -- --
First Trust NYSE Arca Biotechnology Index Fund -- -- --
First Trust Dow Jones Internet Index Fund -- -- --
First Trust Capital Strength ETF 13,023,451 -- --
First Trust Value Line(R) Dividend Index Fund 102,072,326 -- --
First Trust Value Line(R) 100 Exchange-Traded Fund 292,079 -- --
As of December 31, 2019, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
First Trust Dow Jones Select MicroCap Index Fund $ 68,756 $(25,065,318) $ 6,799,591
First Trust Morningstar Dividend Leaders Index Fund 749,068 (87,881,746) 65,260,711
First Trust US Equity Opportunities ETF 775,011 (124,328,569) 176,057,346
First Trust NYSE Arca Biotechnology Index Fund -- (267,339,419) (196,018,626)
First Trust Dow Jones Internet Index Fund -- (310,912,382) 732,136,780
First Trust Capital Strength ETF 200,346 (90,504,259) 364,346,090
First Trust Value Line(R) Dividend Index Fund 588,090 (66,151,074) 854,338,729
First Trust Value Line(R) 100 Exchange-Traded Fund -- (10,533,266) 1,877,338
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2016, 2017,
2018, and 2019 remain open to federal and state audit. As of December 31, 2019,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses arising in taxable years beginning after December 22, 2010,
may be carried forward indefinitely, and their character is retained as
short-term and/or long-term losses. Previously, net capital losses were carried
forward for up to eight years and treated as short-term losses. As a transition
rule, the Act requires that post-enactment net capital losses be used before
pre-enactment net capital losses. At December 31, 2019, the Funds had
post-enactment net capital losses for federal income tax purposes as shown in
the following table. To the extent that these loss carryforwards are used to
offset future capital gains, it is probable that the capital gains so offset
will not be distributed to Fund shareholders. The Funds are subject to certain
limitations, under U.S. tax rules, on the use of capital loss carryforwards and
net unrealized built-in losses. These limitations apply when there has been a
50% change in ownership.
Page 60
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
Post-Enactment -
No Expiration
---------------------
First Trust Dow Jones Select MicroCap Index Fund $ 25,065,318
First Trust Morningstar Dividend Leaders Index Fund 87,881,746
First Trust US Equity Opportunities ETF 124,328,569
First Trust NYSE Arca Biotechnology Index Fund 267,339,419
First Trust Dow Jones Internet Index Fund 310,912,382
First Trust Capital Strength ETF 90,504,259
First Trust Value Line(R) Dividend Index Fund 66,151,074
First Trust Value Line(R) 100 Exchange-Traded Fund 10,533,266
During the taxable year ended December 31, 2019, the following Funds utilized
capital loss carryforwards in the following amounts:
Capital Loss
Carryforward Utilized
---------------------
First Trust Value Line(R) Dividend Index Fund $ 3,392,103
First Trust Value Line(R) 100 Exchange-Traded Fund 2,884,184
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended December 31, 2019, the Funds had
no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended December 31, 2019, the adjustments for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss)
Income (Loss) on Investments Paid-in Capital
------------------ ---------------- -----------------
First Trust Dow Jones Select MicroCap Index Fund $ -- $ (8,078,679) $ 8,078,679
First Trust Morningstar Dividend Leaders Index Fund 90,995 (132,900,079) 132,809,084
First Trust US Equity Opportunities ETF 90,910 (151,999,956) 151,909,046
First Trust NYSE Arca Biotechnology Index Fund 6,153,199 (69,287,664) 63,134,465
First Trust Dow Jones Internet Index Fund 8,155,804 (833,136,816) 824,981,012
First Trust Capital Strength ETF -- (110,590,406) 110,590,406
First Trust Value Line(R) Dividend Index Fund (3,455) (229,863,473) 229,866,928
First Trust Value Line(R) 100 Exchange-Traded Fund 32,363 (1,573,355) 1,540,992
Page 61
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
FUND LICENSOR
First Trust Dow Jones Select MicroCap Index Fund S&P Dow Jones Indices LLC
First Trust Morningstar Dividend Leaders Index Fund Morningstar, Inc.
First Trust US Equity Opportunities ETF IPOX(R) Schuster LLC
First Trust NYSE Arca Biotechnology Index Fund ICE Data Indices, LLC
First Trust Dow Jones Internet Index Fund S&P Dow Jones Indices LLC
First Trust Capital Strength ETF Nasdaq, Inc.
First Trust Value Line(R) Dividend Index Fund Value Line Publishing LLC
First Trust Value Line(R) 100 Exchange-Traded Fund Value Line Publishing LLC
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The respective Funds are
required to pay licensing fees, which are shown on the Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is entitled to receive monthly fees from each
Fund calculated at the following annual rates:
% of Average
Daily Net Assets
----------------
First Trust Dow Jones Select MicroCap Index Fund 0.50%
First Trust Morningstar Dividend Leaders Index Fund 0.30%
First Trust US Equity Opportunities ETF 0.40%
First Trust NYSE Arca Biotechnology Index Fund 0.40%
First Trust Dow Jones Internet Index Fund 0.40%
First Trust Capital Strength ETF 0.50%
First Trust Value Line(R) Dividend Index Fund 0.50%
First Trust Value Line(R) 100 Exchange-Traded Fund 0.50%
The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2021.
Expense Cap
----------------
First Trust Dow Jones Select MicroCap Index Fund 0.60%
First Trust Morningstar Dividend Leaders Index Fund 0.45%
First Trust US Equity Opportunities ETF 0.60%
First Trust NYSE Arca Biotechnology Index Fund 0.60%
First Trust Dow Jones Internet Index Fund 0.60%
First Trust Capital Strength ETF 0.65%
First Trust Value Line(R) Dividend Index Fund 0.70%
First Trust Value Line(R) 100 Exchange-Traded Fund 0.70%
Page 62
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding (i) the applicable expense limitation in
place for the most recent fiscal year for which such expense limitation was in
place, (ii) the applicable expense limitation in place at the time the fees were
waived, or (iii) the current expense limitation. These amounts would be included
in "Expenses previously waived or reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the fiscal year ended
December 31, 2019 and the fees waived or expenses borne by First Trust subject
to recovery from the applicable Fund for the periods indicated were as follows:
Fees Waived or Expenses Borne by First Trust
Subject to Recovery
-------------------------------------------------
Advisory Year Year Year
Fee Expense Ended Ended Ended
Waivers Reimbursement 12/31/2017 12/31/2018 12/31/2019 Total
--------- ------------- ---------- ---------- ---------- ----------
First Trust Dow Jones Select MicroCap
Index Fund $ 149,166 $ -- $ 97,709 $ 162,786 $ 149,166 $ 409,661
First Trust Morningstar Dividend Leaders
Index Fund 178,254 -- 289,110 256,355 178,254 723,719
First Trust Value Line(R) Dividend Index Fund 683,425 -- 816,754 768,292 683,425 2,268,471
First Trust Value Line(R) 100 Exchange -
Traded Fund 60,169 -- 82,527 94,969 60,169 237,665
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined - outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended December 31, 2019, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Dow Jones Select MicroCap Index Fund $ 94,249,303 $ 92,933,488
First Trust Morningstar Dividend Leaders Index Fund 628,541,965 628,664,271
First Trust US Equity Opportunities ETF 947,107,865 944,873,561
First Trust NYSE Arca Biotechnology Index Fund 765,575,301 770,230,625
First Trust Dow Jones Internet Index Fund 2,285,281,890 2,303,515,090
First Trust Capital Strength ETF 3,047,793,200 3,045,830,435
First Trust Value Line(R) Dividend Index Fund 3,587,084,711 3,578,224,043
First Trust Value Line(R) 100 Exchange-Traded Fund 123,581,675 123,320,204
Page 63
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
For the fiscal year ended December 31, 2019, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Dow Jones Select MicroCap Index Fund $ 15,101,812 $ 31,296,094
First Trust Morningstar Dividend Leaders Index Fund 826,680,731 656,965,833
First Trust US Equity Opportunities ETF 650,682,465 506,170,916
First Trust NYSE Arca Biotechnology Index Fund 632,469,902 1,475,076,675
First Trust Dow Jones Internet Index Fund 1,824,815,116 2,289,919,357
First Trust Capital Strength ETF 2,678,219,688 1,160,716,704
First Trust Value Line(R) Dividend Index Fund 5,691,232,877 1,723,139,806
First Trust Value Line(R) 100 Exchange-Traded Fund 9,020,768 14,623,485
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant'). In order to purchase Creation Units of each Fund, an
Authorized Participant must deposit (i) a designated portfolio of equity
securities determined by First Trust (the "Deposit Securities") and generally
make or receive a cash payment referred to as the "Cash Component," which is an
amount equal to the difference between the NAV of the Fund Shares (per Creation
Unit Aggregation) and the market value of the Deposit Securities, and/or (ii)
cash in lieu of all or a portion of the Deposit Securities. If the Cash
Component is a positive number (i.e., the NAV per Creation Unit Aggregation
exceeds the Deposit Amount), the Authorized Participant will deliver the Cash
Component. If the Cash Component is a negative number (i.e., the NAV per
Creation Unit Aggregation is less than the Deposit Amount), the Authorized
Participant will receive the Cash Component. Authorized Participants purchasing
Creation Units must pay to BNYM, as transfer agent, a creation transaction fee
(the "Creation Transaction Fee") regardless of the number of Creation Units
purchased in the transaction. The Creation Transaction Fee may vary and is based
on the composition of the securities included in each Fund's portfolio and the
countries in which the transactions are settled. The Creation Transaction Fee
may increase or decrease with changes in each Fund's portfolio. The price for
each Creation Unit will equal the daily NAV per share times the number of shares
in a Creation Unit plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees or stamp taxes. When a
Fund permits an Authorized Participant to substitute cash or a different
security in lieu of depositing one or more of the requisite Deposit Securities,
the Authorized Participant may also be assessed an amount to cover the cost of
purchasing the Deposit Securities and/or disposing of the substituted
securities, including operational processing and brokerage costs, transfer fees,
stamp taxes, and part or all of the spread between the expected bid and offer
side of the market related to such Deposit Securities and/or substitute
securities.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
regardless of the number of Creation Units redeemed in the transaction. The
Redemption Transaction Fee may vary and is based on the composition of the
securities included in each Fund's portfolio and the countries in which the
transactions are settled. The Redemption Transaction Fee may increase or
decrease with changes in each Fund's portfolio. Each Fund reserves the right to
effect redemptions in cash. An Authorized Participant may request cash
redemption in lieu of securities; however, a Fund may, in its discretion, reject
any such request.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2021.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
Page 64
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there was the following subsequent event:
The Board of Trustees of the Trust has approved a transaction to combine the
First Trust Value Line(R) 100 Exchange-Traded Fund ("FVL"), an exchange-traded
index fund that seeks investment results that correspond generally to the price
and yield (before fees and expenses) of an equity index called the Value Line(R)
100 Index, with First Trust Value Line(R) Dividend Index Fund ("FVD"), an
exchange-traded index fund that seeks investment results that correspond
generally to the price and yield (before fees and expenses) of an equity index
called the Value Line(R) Dividend Index. Pursuant to this transaction, FVL
shareholders will become shareholders of FVD.
In order for the transaction to occur, the shareholders of FVL must approve the
transaction. If approved, shares of FVL would be exchanged, on a tax-free basis
for federal income tax purposes, for shares of FVD with an equal aggregate net
asset value, and FVL shareholders will become shareholders of FVD. A special
meeting of shareholders of FVL for the purpose of voting on the transaction will
be held. If the required approval is obtained, it is anticipated that the
transaction will be consummated shortly after the special shareholder meeting.
The Funds will continue sales and redemptions of shares as described in the
Funds' prospectuses. Holders of shares of FVL purchased after the record date
set for the special meeting of shareholders will not be entitled to vote those
shares at the special meeting.
Page 65
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust Dow Jones Select MicroCap Index Fund, First Trust Morningstar Dividend
Leaders Index Fund, First Trust US Equity Opportunities ETF, First Trust NYSE
Arca Biotechnology Index Fund, First Trust Dow Jones Internet Index Fund, First
Trust Capital Strength ETF, First Trust Value Line(R) Dividend Index Fund, and
First Trust Value Line(R) 100 Exchange-Traded Fund (the "Funds"), each a series
of First Trust Exchange-Traded Fund, including the portfolios of investments, as
of December 31, 2019, the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, the financial highlights for each of the five years in the
period then ended, and the related notes. In our opinion, the financial
statements and financial highlights present fairly, in all material respects,
the financial position of each of the Funds as of December 31, 2019, and the
results of their operations for the year then ended, the changes in their net
assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended in conformity
with accounting principles generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of their internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 2019, by correspondence with
the custodian and brokers; when replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
February 24, 2020
We have served as the auditor of one or more First Trust investment companies
since 2001.
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended December 31, 2019, the following percentages of
income dividends paid by the Funds qualify for the dividends received deduction
available to corporations:
Dividends Received Deduction
----------------------------
First Trust Dow Jones Select MicroCap Index Fund 99.32%
First Trust Morningstar Dividend Leaders Index Fund 100.00%
First Trust US Equity Opportunities ETF 99.22%
First Trust NYSE Arca Biotechnology Index Fund --
First Trust Dow Jones Internet Index Fund --
First Trust Capital Strength ETF 100.00%
First Trust Value Line(R) Dividend Index Fund 98.55%
First Trust Value Line(R)100 Exchange-Traded Fund 100.00%
For the taxable year ended December 31, 2019, the following percentages of
income dividends paid by the Funds are hereby designated as qualified dividend
income:
Qualified Dividend Income
----------------------------
First Trust Dow Jones Select MicroCap Index Fund 100.00%
First Trust Morningstar Dividend Leaders Index Fund 100.00%
First Trust US Equity Opportunities ETF 100.00%
First Trust NYSE Arca Biotechnology Index Fund --
First Trust Dow Jones Internet Index Fund --
First Trust Capital Strength ETF 100.00%
First Trust Value Line(R) Dividend Index Fund 100.00%
First Trust Value Line(R)100 Exchange-Traded Fund 100.00%
A portion of each of the Funds' 2019 ordinary dividends (including short-term
capital gains) paid to its shareholders during the fiscal year ended December
31, 2019, may be eligible for the Qualified Business Income Deduction (QBI)
under Code Section 199A for the aggregate dividends each Fund received from the
underlying Real Estate Investment Trusts (REITs) these Funds invest in.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
Page 67
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
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.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 69
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of
certain First Trust Exchange-Traded Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2019, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $8,897,976.
This figure is comprised of $552,448 paid (or to be paid) in fixed compensation
and $8,345,528 paid (or to be paid) in variable compensation. There were a total
of 15 beneficiaries of the remuneration described above. Those amounts include
$5,196,228 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $3,701,748 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
Page 70
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 169 None
(1951) Limited Partner, Gundersen Real Estate
o Since Inception Limited Partnership (June 1992 to
December 2016); Member, Sportsmed LLC
(April 2007 to November 2015)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 169 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM
Investor Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 169 Director of Trust
(1956) and Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 169 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Products and Services);
President and Chief Executive Officer
(June 2012 to September 2014), Servant
Interactive LLC (Educational Products
and Services); President and Chief
Executive Officer (June 2012 to September
2014), Dew Learning LLC (Educational
Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 169 None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P.; Chairman of the
Board of Directors, BondWave LLC
(Software Development Company)
and Stonebridge Advisors LLC
(Investment Advisor)
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer
(1966) Executive Officer (January 2016 to Present), Controller (January 2011 to
o Since January 2016 January 2016), Senior Vice President (April 2007 to
January 2016), First Trust Advisors L.P. and First Trust
Portfolios L.P.; Chief Financial Officer (January 2016
to Present), BondWave LLC (Software Development
Company) and Stonebridge Advisors LLC
(Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief President (April 2012 to July 2016), First Trust
Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Chief Compliance
Officer Since
January 2011
o Assistant Secretary
Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1966) and First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1970) and First Trust Portfolios L.P.
o Since Inception
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2019
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FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
FIRST TRUST
First Trust Exchange-Traded Fund
Book 2
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)
First Trust S&P REIT Index Fund (FRI)
First Trust Water ETF (FIW)
First Trust Natural Gas ETF (FCG)
First Trust Chindia ETF (FNI)
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)
Annual Report
December 31, 2019
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2019
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW).................. 4
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)............... 6
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............ 8
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)....... 10
First Trust S&P REIT Index Fund (FRI).................................... 12
First Trust Water ETF (FIW).............................................. 14
First Trust Natural Gas ETF (FCG)........................................ 16
First Trust Chindia ETF (FNI)............................................ 18
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 20
Notes to Fund Performance Overview.......................................... 22
Understanding Your Fund Expenses............................................ 23
Portfolio of Investments
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW).................. 25
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)............... 28
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............ 29
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)....... 31
First Trust S&P REIT Index Fund (FRI).................................... 33
First Trust Water ETF (FIW).............................................. 36
First Trust Natural Gas ETF (FCG)........................................ 38
First Trust Chindia ETF (FNI)............................................ 40
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 43
Statements of Assets and Liabilities........................................ 46
Statements of Operations.................................................... 48
Statements of Changes in Net Assets......................................... 50
Financial Highlights........................................................ 54
Notes to Financial Statements............................................... 59
Report of Independent Registered Public Accounting Firm..................... 69
Additional Information...................................................... 70
Board of Trustees and Officers.............................................. 74
Privacy Policy.............................................................. 76
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded Fund (the "Trust") described in this
report (each such series is referred to as a "Fund" and collectively, as the
"Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund shares may therefore be less than what you paid
for them. Accordingly, you can lose money by investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
DECEMBER 31, 2019
Dear Shareholders:
First Trust is pleased to provide you with the annual report for certain funds
in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed
information about the Funds for the twelve months ended December 31, 2019,
including a market overview and a performance analysis.
A significant event for the markets in the past year was the decision by the
Federal Reserve (the "Fed") to reverse course with respect to monetary policy.
For those who may not follow the Fed closely, after holding its federal funds
target rate (upper bound) at an artificially low 0.25% for seven years (December
2008-December 2015) to help stimulate U.S. economic activity, the Fed spent the
better part of the next four years (December 2015-July 2019) increasing its
benchmark lending rate in an effort to normalize it. Over that period, the Fed
increased the rate from 0.25% to 2.50%. To lend some perspective, the average
federal funds target rate (upper bound) was 2.95% for the 30-year period ended
December 31, 2019, so the Fed came close to achieving its goal of normalizing
it, according to data from Bloomberg. From the end of July 2019 through the end
of December, however, the Fed initiated three rate cuts that dropped it from
2.50% to 1.75%.
So why did the Fed reverse course on monetary policy? We believe, as well as
others in the financial media, that the Fed's reversal on monetary policy has to
do with the trade tariffs. The Trump Administration first began implementing new
trade tariffs on imported goods back in March 2018. While the original tariffs
targeted just imported steel and aluminum, the use of tariffs quickly escalated
to other goods and services. The lion's share of the tariff conflict today is
between the U.S. and China, the two-largest economies in the world. In our
opinion, it is believed that President Donald J. Trump is utilizing tariffs as
leverage to try and negotiate more favorable trade agreements between the U.S.
and its major trading partners. One of the by-products of the escalation in the
use of tariffs by all parties involved has been a slowdown in global economic
growth, particularly in the U.S. The annualized U.S. real gross domestic product
growth rate in the second quarter of 2018 (when new tariffs were introduced) was
3.5%. As of the second and third quarters of 2019, that annualized growth rate
was down to 2.0% and 2.1%, respectively, according to data from the Bureau of
Economic Analysis. For many months, President Trump has publicly challenged the
Fed to lower rates aggressively to help offset the tempering of economic growth.
Trump has noted that the Fed has room to lower rates due to the extremely
low-to-negative rate levels found in many countries abroad as well as the lack
of any significant inflationary pressure in the current climate. While the Fed
has delivered some rate cuts in recent months, we believe that President Trump
will continue to bang the drum for even more rate cuts.
It has been said in the financial media that this is the "most hated" bull
market in history, yet it has been one of the most prosperous for investors. The
bull market turns 11 years old on March 9, 2020. A Bloomberg survey of 21 equity
strategists found that their average 2020 year-end price target for the S&P
500(R) Index was 3,318 as of December 17, 2019, according to its own release.
The highest estimate was 3,500. The lowest estimate was 3,000. With a target of
3,650, Brian Wesbury, Chief Economist at First Trust Advisors L.P., is more
bullish than all the strategists surveyed by Bloomberg. We encourage investors
to stay the course.
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2019
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 27 years of experience as an
Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY/INVESTING
The consensus among economists projects a 1.8% growth rate estimate for the U.S.
economy in 2020 (on a fourth quarter to fourth quarter basis), according to a
survey conducted by Bloomberg. However, Brian Wesbury, Chief Economist at First
Trust Advisors L.P. believes the economy may grow at a 2.5% to 3.0% pace, in
part due to home building and business investment that are poised to contribute
more to economic growth in 2020 than what the broader consensus believes, in his
opinion.
The combination of low interest rates, low inflation, strong job growth,
regulatory reform and a more favorable U.S. corporate tax structure following
the passage of the Tax Cuts and Jobs Act of 2017 makes the current climate an
attractive one for investors, in our opinion. Minus tax reform, which took
effect in 2018, and regulatory reform, which has been driven by the Trump
Administration since it took office in 2017, investors have been prospering in a
low rate/low inflation/strong job growth climate for the better part of the last
decade. Very little has changed in that regard. One thing that has created some
uncertainty in the markets is the extent of the potential fallout from the
implementation and escalation of trade tariffs by the Trump Administration. That
effort is now 21 months old and counting. The mid-December announcement that the
U.S. and China had struck a "Phase One" deal is encouraging, in our opinion.
Investors are flocking to exchange-traded funds ("ETFs") and related
exchange-traded products ("ETPs"). The global ETF industry turns 30 years old on
March 9, 2020. ETFGI, an independent research and consultancy firm, reported
that total assets invested in ETFs/ETPs listed globally stood at an all-time
high of $6.350 trillion at the close of 2019, up 31.9% from the $4.815 trillion
at the end of 2018, according to its own release. In 2019, net inflows to
ETFs/ETPs listed globally totaled $571.03 billion, the second highest on record
behind the $653.26 billion registered in 2017.
U.S. STOCKS AND BONDS
In 2019, three of the major U.S. stock indices posted substantial double-digit
gains. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R)
Index posted total returns of 31.49%, 26.20%, and 22.78%, respectively,
according to Bloomberg. All 11 major S&P 500(R) Index sectors posted positive
total returns. The top-performing sectors were Information Technology,
Communication Services and Financials, up 50.29%, 32.69% and 32.13%,
respectively, while the only sector with a total return below 20% for the year
was Energy, up 11.81%. The outlook for corporate earnings is encouraging, in our
opinion. Bloomberg's 2020 and 2021 consensus earnings growth estimates for the
S&P 500(R) Index were 9.02% and 10.72%, respectively, as of December 31, 2019.
The yield on the benchmark 10-year Treasury Note ("T-Note") closed trading on
December 31, 2019, at 1.92%, down 77 basis points ("bps") from its 2.69% close a
year earlier, according to Bloomberg. The yield stood 48 bps below its 2.40%
average for the 10-year period ended December 31, 2019. For those investors
still concerned about the prospects for an inverted yield curve, the spread
between the 2-year T-Note and the 10-year T-Note closed 2019 at 35 bps (1.57%
vs. 1.92%), according to data from Bloomberg. For comparative purposes, the
average spread was 117 bps (3.33% vs. 4.50%) for the 30-year period ended
December 31, 2019. The yield curve, while not inverted, remains relatively flat.
We will monitor this scenario moving forward.
In the U.S. bond market, all the major bond groups posted positive returns in
2019. The top-performing major debt group we track was high yield corporate
bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total
return of 14.32%. The worst-performing debt group that we track was government
bonds. The Bloomberg Barclays U.S. Treasury: Intermediate Index posted a total
return of 5.22%.
FOREIGN STOCKS AND BONDS
The U.S. dollar rose by 0.23% against a basket of major currencies in 2019, as
measured by the U.S. Dollar Index (DXY). With respect to U.S. investors, a flat
U.S. dollar would have little to no impact on the returns of foreign securities,
in our opinion. Aside from the currency aspect, foreign stocks and bonds
performed quite well in 2019.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of 12.13% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose 6.84% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
18.44% (USD), while the MSCI World ex USA Index was up 22.49% (USD) on a total
return basis, according to Bloomberg.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
The First Trust NASDAQ-100 Equal Weighted Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Equal
Weighted Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is the equal-weighted version of the
NASDAQ-100 Index(R), which includes 100 of the largest U.S. and international
non-financial companies listed on The Nasdaq Stock Market LLC ("Nasdaq") based
on market capitalization. The Index is rebalanced quarterly and reconstituted
annually and the Fund will make corresponding changes to its portfolio shortly
after the Index changes are made public. The Fund's shares are listed for
trading on the Nasdaq. The first day of secondary market trading in shares of
the Fund was April 25, 2006.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (4/19/06) Ended Ended (4/19/06)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 35.78% 12.16% 14.89% 10.56% 77.52% 300.72% 295.56%
Market Value 35.81% 12.14% 14.88% 10.56% 77.35% 300.31% 295.56%
INDEX PERFORMANCE
NASDAQ-100 Equal Weighted Index(SM) 36.65% 12.85% 15.61% 11.25% 83.03% 326.39% 330.64%
S&P 500(R) Index 31.49% 11.70% 13.56% 9.08% 73.86% 256.66% 229.02%
NASDAQ-100 Index(R) 39.46% 16.91% 18.07% 13.64% 118.44% 426.36% 476.47%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of 35.78% during the
12-month period covered by this report. During the same period, the NASDAQ-100
Index(R) ("Benchmark") generated a return of 39.46%. The Information Technology
sector received the greatest allocation in the Fund over the period with an
average weight of 37.6%. This sector returned 51.0%, contributing 18.1% to the
Fund's total return. All invested sectors experienced positive returns during
the period, but the worst-performing sector was Consumer Staples. Investments in
Consumer Staples returned 18.2% and, with a 5.9% allocation, contributed 1.2% to
the Fund's total return. On a relative basis, the Fund underperformed the
Benchmark. Investments in the Information Technology sector were the greatest
drivers of this underperformance. The Fund slightly underweighted this sector in
comparison to the Benchmark and the investments in the Fund slightly
underperformed those in the Benchmark. Thus, due to both allocation effect and
selection effect, investments in the Information Technology sector caused -2.6%
of underperformance versus the Benchmark. The sector that caused the most
outperformance was investments in the Consumer Discretionary sector. This sector
performed well and caused 1.9% of outperformance for the Fund versus the
Benchmark.
-----------------------------
Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Equal Weighted
Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is referred
to as the "Corporations") and are licensed for use by First Trust. The Fund has
not been passed on by the Corporations as to its legality or suitability. The
Fund is not issued, endorsed, sold, or promoted by the Corporations. THE
CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 39.07%
Consumer Discretionary 15.05
Communication Services 14.02
Health Care 13.93
Industrials 8.95
Consumer Staples 6.00
Utilities 2.00
Financials 0.98
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Apple, Inc. 1.05%
Advanced Micro Devices, Inc. 1.04
Western Digital Corp. 1.04
Amazon.com, Inc. 1.04
Tesla, Inc. 1.03
Align Technology, Inc. 1.03
Comcast Corp., Class A 1.02
Charter Communications, Inc.,
Class A 1.02
Skyworks Solutions, Inc. 1.02
Intel Corp. 1.02
-------
Total 10.31%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust
NASDAQ-100 Equal NASDAQ-100 Equal S&P 500(R) NASDAQ-100
Weighted Index Fund Weighted Index(SM) Index Index(R)
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,436 9,466 9,335 9,383
12/10 12,124 12,199 11,507 12,015
06/11 13,035 13,157 12,199 12,643
12/11 11,788 11,944 11,749 12,455
06/12 12,870 13,073 12,864 14,377
12/12 13,539 13,789 13,629 14,738
06/13 15,651 16,012 15,513 16,225
12/13 18,947 19,442 18,043 20,182
06/14 20,459 21,058 19,331 21,770
12/14 22,572 23,299 20,514 24,099
06/15 23,107 23,921 20,766 25,164
12/15 23,075 23,971 20,797 26,450
06/16 22,410 23,341 21,596 25,612
12/16 24,694 25,806 23,285 28,376
06/17 28,603 29,979 25,460 33,137
12/17 31,117 32,719 28,368 37,736
06/18 32,586 34,358 29,120 41,755
12/18 29,513 31,211 27,125 37,751
06/19 36,112 38,315 32,154 46,000
12/19 40,072 42,639 35,666 52,636
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 126 1 0 0
01/01/16 - 12/31/16 107 0 0 0
01/01/17 - 12/31/17 178 0 0 0
01/01/18 - 12/31/18 148 2 0 0
01/01/19 - 12/31/19 125 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 122 3 0 0
01/01/16 - 12/31/16 145 0 0 0
01/01/17 - 12/31/17 73 0 0 0
01/01/18 - 12/31/18 99 2 0 0
01/01/19 - 12/31/19 126 0 0 0
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
The First Trust NASDAQ-100-Technology Sector Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Technology
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the NASDAQ-100 Index(R) that are classified as
"technology" according to the Industry Classification Benchmark classification
system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. The Index is rebalanced quarterly and reconstituted annually and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was
April 25, 2006.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (4/19/06) Ended Ended (4/19/06)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 48.36% 19.22% 17.82% 13.18% 140.82% 415.38% 445.62%
Market Value 48.30% 19.19% 17.79% 13.18% 140.52% 414.34% 445.55%
INDEX PERFORMANCE
NASDAQ-100 Technology Sector Index(SM) 49.31% 19.96% 18.56% 13.90% 148.47% 448.73% 494.69%
S&P 500(R) Index 31.49% 11.70% 13.56% 9.08% 73.86% 256.66% 229.02%
S&P 500 Information Technology Index 50.29% 20.20% 17.50% 13.28% 150.89% 401.51% 452.22%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 48.36% during the 12-month period covered by
this report. During the same period, the S&P 500 Information Technology Index
("Benchmark") generated a return of 50.29%. Semiconductors & Semiconductor
Equipment received an allocation of 45.5%, a greater allocation than any other
industry. Investments in this industry returned 68.2%, contributing 29.3% to the
Fund's total return. The only industry with a negative return in the Fund during
the period was Electronic Equipment, Instruments & Components. Investments in
this industry returned -0.8%, but the allocation to this industry was only 0.1%,
and, therefore had no impact to the Fund's total return. On a relative basis,
the Fund underperformed the Benchmark. The industry that caused the most
underperformance was Technology Hardware, Storage & Peripherals, which caused
-4.4% of underperformance versus the Benchmark. The heavily weighted
Semiconductors & Semiconductor Equipment sector caused 8.5% outperformance
versus the Benchmark.
-----------------------------
Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Technology Sector
Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is referred
to as the "Corporations") and are licensed for use by First Trust. The Fund has
not been passed on by the Corporations as to its legality or suitability. The
Fund is not issued, endorsed, sold, or promoted by the Corporations. THE
CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION (1) LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 87.53%
Communication Services 9.96
Health Care 2.51
-------
Total 100.00%
=======
(1) The above sector classification is based on Standard & Poor's Global
Industry Classification Standard ("GICS"), and is different than the
industry sector classification system used by the Index to select
securities, which is the Industry Classification Benchmark ("ICB") system,
the joint classification system of Dow Jones Indexes and FTSE Group.
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Apple, Inc. 2.63%
Advanced Micro Devices, Inc. 2.60
Western Digital Corp. 2.60
Skyworks Solutions, Inc. 2.54
Intel Corp. 2.54
Cisco Systems, Inc. 2.53
ASML Holding N.V. 2.52
Adobe, Inc. 2.52
NetEase, Inc. 2.51
KLA Corp. 2.51
-------
Total 25.50%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust
NASDAQ-100- NASDAQ-100
Technology Sector Technology Sector S&P 500 Information S&P 500(R)
Index Fund Index(SM) Technology Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,240 9,265 8,943 9,335
12/10 12,192 12,266 11,020 11,507
06/11 12,286 12,397 11,247 12,199
12/11 11,491 11,632 11,286 11,749
06/12 12,015 12,201 12,792 12,864
12/12 12,413 12,644 12,960 13,629
06/13 13,868 14,171 13,783 15,513
12/13 17,145 17,576 16,644 18,043
06/14 19,394 19,945 18,132 19,331
12/14 21,401 22,081 19,992 20,514
06/15 20,872 21,595 20,144 20,766
12/15 21,106 21,906 21,177 20,797
06/16 21,724 22,629 21,109 21,596
12/16 26,440 27,639 24,109 23,287
06/17 31,477 32,998 28,263 25,462
12/17 36,453 38,321 33,470 28,377
06/18 39,129 41,253 37,108 29,129
12/18 34,739 36,732 33,375 27,134
06/19 43,861 46,521 42,430 32,165
12/19 51,538 54,873 50,151 35,666
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 164 2 0 0
01/01/16 - 12/31/16 147 0 0 0
01/01/17 - 12/31/17 146 0 0 0
01/01/18 - 12/31/18 132 3 1 0
01/01/19 - 12/31/19 138 0 1 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 85 1 0 0
01/01/16 - 12/31/16 105 0 0 0
01/01/17 - 12/31/17 105 0 0 0
01/01/18 - 12/31/18 111 4 0 0
01/01/19 - 12/31/19 113 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
The First Trust NASDAQ-100 Ex-Technology Sector Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Ex-Tech
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the NASDAQ-100 Index(R) that are not classified as
"technology" according to the Industry Classification Benchmark classification
system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. The Index is rebalanced quarterly and reconstituted annually and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was
February 15, 2007.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (2/8/07) Ended Ended (2/8/07)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 28.35% 8.39% 13.34% 9.16% 49.59% 249.94% 209.61%
Market Value 28.33% 8.36% 13.35% 9.16% 49.42% 250.08% 209.57%
INDEX PERFORMANCE
NASDAQ-100 Ex-Tech Sector Index(SM) 29.17% 9.03% 14.04% 9.84% 54.07% 271.94% 235.23%
Russell 1000(R) Index 31.43% 11.48% 13.54% 8.71% 72.20% 256.09% 193.46%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 28.35% during the 12-month period covered by
this report. During the same period, the Russell 1000(R) Index ("Benchmark")
generated a return of 31.43%. The Consumer Discretionary sector received the
most weight in the Fund during the period. With an allocation of 27.7% and a
return of 38.7%, this sector contributed 10.4% to the Fund's total return, more
than investments in any other sector. No invested sector experienced a negative
return in the Fund. The sector with the lowest return was Consumer Staples,
which returned 18.2%. This sector carried an allocation of 9.5% and contributed
1.8% to the Fund's total return. On a relative basis, the Fund underperformed
the Benchmark. Most of the underperformance came from investments in Information
Technology, which caused -3.2% of underperformance versus the Benchmark.
Investments in the Consumer Discretionary sector caused some outperformance
versus the Benchmark. This sector received more weight in the Fund than in the
Benchmark and caused 2.4% of outperformance for the Fund during the period.
-----------------------------
Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Ex-Tech Sector
Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is referred
to as the "Corporations") and are licensed for use by First Trust. The Fund has
not been passed on by the Corporations as to its legality or suitability. The
Fund is not issued, endorsed, sold, or promoted by the Corporations. THE
CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Consumer Discretionary 25.10%
Health Care 21.62
Communication Services 16.71
Industrials 14.99
Consumer Staples 9.99
Information Technology 6.64
Utilities 3.31
Financials 1.64
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Tesla, Inc. 1.72%
Amazon.com, Inc. 1.72
Comcast Corp., Class A 1.71
Charter Communications, Inc.,
Class A 1.70
Align Technology, Inc. 1.70
Ulta Beauty, Inc. 1.70
Booking Holdings, Inc. 1.69
T-Mobile US, Inc. 1.69
Ross Stores, Inc. 1.69
Lululemon Athletica, Inc. 1.69
-------
Total 17.01%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust
NASDAQ-100 NASDAQ-100
Ex-Technology Sector Ex-Tech Sector Russell 1000(R)
Index Fund Index(SM) Index
12/09 $10,000 $10,000 $10,000
06/10 9,555 9,583 9,360
12/10 12,064 12,139 11,609
06/11 13,519 13,648 12,348
12/11 11,933 12,093 11,782
06/12 13,457 13,672 12,887
12/12 14,357 14,621 13,717
06/13 17,053 17,450 15,625
12/13 20,278 20,806 18,259
06/14 21,207 21,832 19,586
12/14 23,391 24,142 20,677
06/15 24,661 25,537 21,031
12/15 24,501 25,460 20,867
06/16 23,019 23,968 21,647
12/16 23,979 25,037 23,381
06/17 27,403 28,702 25,548
12/17 28,872 30,327 28,450
06/18 29,781 31,367 29,261
12/18 27,262 28,792 27,090
06/19 32,695 34,648 32,194
12/19 34,994 37,194 35,609
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 201 6 0 0
01/01/16 - 12/31/16 80 0 0 0
01/01/17 - 12/31/17 44 0 0 0
01/01/18 - 12/31/18 96 2 0 0
01/01/19 - 12/31/19 119 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 42 3 0 0
01/01/16 - 12/31/16 172 0 0 0
01/01/17 - 12/31/17 207 0 0 0
01/01/18 - 12/31/18 150 3 0 0
01/01/19 - 12/31/19 132 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
The First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the NASDAQ(R)
Clean Edge(R) Green Energy Index(SM) (the "Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in
common stocks and depositary receipts that comprise the Index. The Index is
designed to track the performance of small, mid and large capitalization
clean-energy companies that are publicly traded in the United States. The Index
is rebalanced quarterly and reconstituted semi-annually and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the Nasdaq. The first day of
secondary market trading in shares of the Fund was February 14, 2007.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (2/8/07) Ended Ended (2/8/07)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 42.69% 8.61% 5.19% 2.27% 51.11% 65.93% 33.49%
Market Value 43.01% 8.61% 5.20% 2.27% 51.11% 65.95% 33.51%
INDEX PERFORMANCE
NASDAQ(R) Clean Edge(R) Green Energy
Index(SM) 42.67% 8.58% 5.20% 2.43% 50.90% 66.03% 36.35%
Russell 2000(R) Index 25.52% 8.23% 11.83% 7.17% 48.49% 205.82% 144.34%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 42.69% during the 12-month period covered by
this report. During the same period, the Russell 2000(R) Index ("Benchmark")
generated a return of 25.52%. The Information Technology sector was given the
largest allocation in the Fund with a weight of 43.2%, returning 64.3% and
providing the largest contribution to the Fund's return at 25.7%. The Materials
sector provided -1.6% of contribution to the Fund's return, the most negative
contribution during the period. On a relative basis, the Fund outperformed the
Benchmark. The Fund overweighted and outperformed among Information Technology
securities by 29.3% and 23.1%, respectively, resulting in 12.5% of relative
outperformance. The Fund overweighted and underperformed among Materials
securities by 4.1% and -32.8%, respectively, creating a -3.4% drag on relative
performance.
-----------------------------
Nasdaq(R) and Clean Edge(R) are the registered trademarks (the "Marks") of
Nasdaq, Inc. ("Nasdaq") and Clean Edge, Inc. ("Clean Edge(R)") respectively.
Nasdaq and Clean Edge(R) are, collectively with their affiliates, the
"Corporations." The Marks are licensed for use by First Trust. The Fund has not
been passed on by the Corporations as to its legality or suitability. The Fund
is not issued, endorsed, sold, or promoted by the Corporations. The Fund should
not be construed in any way as investment advice by the Corporations. THE
CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 43.91%
Utilities 19.00
Industrials 15.85
Consumer Discretionary 11.65
Materials 7.21
Real Estate 1.59
Energy 0.79
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Tesla, Inc. 9.35%
ON Semiconductor Corp. 7.25
Universal Display Corp. 7.03
Brookfield Renewable Partners, L.P. 6.04
Albemarle Corp. 5.61
Acuity Brands, Inc. 3.89
First Solar, Inc. 3.74
Cree, Inc. 3.73
Littelfuse, Inc. 3.50
SolarEdge Technologies, Inc. 3.47
-------
Total 53.61%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust
NASDAQ(R) NASDAQ(R)
Clean Edge(R) Green Clean Edge(R) Russell 2000(R)
Energy Index Fund Green Energy Index(SM) Index
12/09 $10,000 $10,000 $10,000
06/10 8,285 8,309 9,805
12/10 10,205 10,270 12,686
06/11 9,497 9,594 13,474
12/11 5,997 6,079 12,158
06/12 5,804 5,872 13,195
12/12 5,967 5,999 14,145
06/13 8,920 8,944 16,388
12/13 11,324 11,358 19,636
06/14 13,024 13,066 20,262
12/14 10,979 11,003 20,596
06/15 11,783 11,811 21,574
12/15 10,272 10,302 19,686
06/16 9,265 9,269 20,123
12/16 10,053 10,029 23,882
06/17 11,753 11,739 25,074
12/17 13,243 13,243 27,381
06/18 12,750 12,762 29,478
12/18 11,626 11,637 24,363
06/19 14,007 14,024 28,500
12/19 16,593 16,603 30,582
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 160 1 0 0
01/01/16 - 12/31/16 68 0 0 0
01/01/17 - 12/31/17 164 0 0 0
01/01/18 - 12/31/18 151 2 1 0
01/01/19 - 12/31/19 158 0 0 1
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 89 2 0 0
01/01/16 - 12/31/16 184 0 0 0
01/01/17 - 12/31/17 87 0 0 0
01/01/18 - 12/31/18 95 2 0 0
01/01/19 - 12/31/19 93 0 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST S&P REIT INDEX FUND (FRI)
The First Trust S&P REIT Index Fund (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the S&P United States REIT Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the real estate investment trusts ("REITs")
that comprise the Index. The Index seeks to measure the performance of publicly
traded REITs domiciled in the U.S. that meet certain eligibility requirements.
The Index is rebalanced quarterly and the Fund will make corresponding changes
to its portfolio shortly after the Index changes are made public. The Fund's
shares are listed for trading on the NYSE Arca. The first day of secondary
market trading in shares of the Fund was May 10, 2007.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 23.67% 6.24% 11.19% 4.89% 35.33% 188.94% 82.98%
Market Value 23.62% 6.22% 11.19% 4.89% 35.22% 188.83% 82.92%
INDEX PERFORMANCE
S&P United States REIT Index* 24.45% 6.80% 11.79% N/A 38.96% 204.78% N/A
FTSE EPRA/NAREIT North America Index 24.51% 6.63% 11.39% 5.18% 37.83% 194.11% 89.46%
Russell 3000(R) Index 31.02% 11.24% 13.42% 8.41% 70.35% 252.15% 177.80%
------------------------------------------------------------------------------------------------------------------------------------
* On November 6, 2008, the Fund's underlying index changed from the S&P REIT
Composite Index to the S&P United States REIT Index. Effective December
31, 2008, the S&P REIT Composite Index was discontinued. Therefore, the
Fund's performance and historical returns shown for the periods prior to
November 6, 2008 are not necessarily indicative of the performance that
the Fund, based on its current Index, would have generated. The inception
date of the Index was June 30, 2008. Returns for the Index are only
disclosed for those periods in which the Index was in existence for the
whole period.
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 23.67% during the 12-month period covered by
this report. During the same period, the Russell 3000(R) Index ("Benchmark")
generated a return of 31.02%. The Fund invests in Real Estate Investment Trusts
("REITs"), while the Benchmark has only 3% invested in REITs. The Fund allocated
18.6% to Residential REITs, which returned 31.0% and contributed 5.4% to Fund
return. No class of REITs experienced a negative return for the Fund. The
least-performing class of REITs were investments in Retail REITs. These
investments were allocated 18.0% of the Fund and returned 10.7%, contributing
2.3% to Fund return. On a relative basis, the Fund underperformed the Benchmark.
The allocation to Retail REITs was the greatest source of underperformance,
which caused -3.2% of underperformance for the Fund versus the Benchmark.
Meanwhile, the allocation to Industrial REITs in the Fund caused 1.3% of
outperformance versus the Benchmark.
-----------------------------
The S&P United States REIT Index is a product of S&P Dow Jones Indices LLC
("SPDJI"). Standard & Poor's(R) and S&P(R) are registered trademarks of Standard
& Poor's Financial Services LLC ("S&P"). The marks have been licensed for use by
SPDJI and sub-licensed by First Trust. The Fund is not sponsored, endorsed, sold
or promoted by SPDJI or its affiliates, and SPDJI and its affiliates make no
representation, warranty or condition regarding the advisability of buying,
selling or holding shares of the Fund.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST S&P REIT INDEX FUND (FRI) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
REIT CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Specialized 19.33%
Residential 18.83
Retail 15.66
Health Care 12.48
Office 12.04
Industrial 10.72
Diversified 5.91
Hotel & Resort 5.03
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Prologis, Inc. 5.71%
Equinix, Inc. 5.05
Simon Property Group, Inc. 4.64
Welltower, Inc. 3.37
Public Storage 3.25
AvalonBay Communities, Inc. 2.97
Equity Residential 2.87
Digital Realty Trust, Inc. 2.54
Realty Income Corp. 2.43
Ventas, Inc. 2.18
-------
Total 35.01%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust S&P United States FTSE EPRA/NAREIT Russell 3000(R)
S&P REIT Index Fund REIT Index North America Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 10,546 10,571 10,513 9,395
12/10 12,773 12,848 12,865 11,693
06/11 14,050 14,169 14,225 12,436
12/11 13,782 13,937 13,918 11,813
06/12 15,800 16,018 15,953 12,914
12/12 16,179 16,444 16,444 13,752
06/13 17,164 17,501 17,217 15,686
12/13 16,474 16,838 16,654 18,367
06/14 19,334 19,808 19,499 19,642
12/14 21,352 21,935 21,344 20,673
06/15 20,000 20,597 20,051 21,074
12/15 21,772 22,492 21,731 20,773
06/16 24,594 25,481 24,582 21,525
12/16 23,497 24,403 23,508 23,417
06/17 23,915 24,908 23,933 25,508
12/17 24,386 25,461 24,582 28,365
06/18 24,657 25,810 24,978 29,278
12/18 23,361 24,495 23,623 26,882
06/19 27,185 28,595 27,596 31,912
12/19 28,894 30,478 29,411 35,215
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 130 0 0 0
01/01/16 - 12/31/16 156 0 0 0
01/01/17 - 12/31/17 106 0 0 0
01/01/18 - 12/31/18 86 3 1 0
01/01/19 - 12/31/19 178 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 122 0 0 0
01/01/16 - 12/31/16 96 0 0 0
01/01/17 - 12/31/17 145 0 0 0
01/01/18 - 12/31/18 160 0 1 0
01/01/19 - 12/31/19 74 0 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST WATER ETF (FIW)
The First Trust Water ETF (the "Fund") seeks investment results that correspond
generally to the price and yield (before the Fund's fees and expenses) of an
equity index called the ISE Clean Edge Water Index (the "Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in common stocks and depositary receipts that comprise the Index. The Index is
designed to track the performance of small, mid and large capitalization
companies that derive a substantial portion of their revenues from the potable
water and wastewater industries. The Fund's shares are listed for trading on the
NYSE Arca. The Index is rebalanced and reconstituted semi-annually and the Fund
will make corresponding changes to its portfolio shortly after the changes are
made public. The first day of secondary market trading in shares of the Fund was
May 11, 2007.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 37.11% 13.10% 13.27% 9.93% 85.07% 247.79% 231.16%
Market Value 37.19% 13.11% 13.28% 9.93% 85.16% 248.01% 231.20%
INDEX PERFORMANCE
ISE Clean Edge Water Index 37.94% 13.67% 13.96% 10.60% 89.75% 269.40% 257.61%
Russell 3000(R) Index 31.02% 11.24% 13.42% 8.41% 70.35% 252.15% 177.80%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 37.11% during the 12-month period covered by
this report. During the same period, the Russell 3000(R) Index ("Benchmark")
generated a return of 31.02%. Industrials was the sector with the greatest
allocation in the Fund and the greatest contribution to the Fund's returns. This
sector received an average weight of 55.6%, returned 38.2%, and contributed
21.0% to the Fund's total return. The best-performing sector was Information
Technology. This sector returned 55.8%, but carried only a 4.5% allocation,
resulting in a 2.4% contribution to Fund return. The only sector with a negative
return in the Fund was the Consumer Staples sector. This sector received an
allocation over the period of 0.9% and contributed -0.4% to Fund return. On a
relative basis, the Fund outperformed the Benchmark. Much of this outperformance
came from the Industrials sector, which the Fund overweighted versus the
Benchmark. Investments in this sector resulted in 3.7% of outperformance for the
Fund. Meanwhile, investments in the Information Technology sector caused -2.1%
of underperformance for the Fund versus the Benchmark.
-----------------------------
"International Securities Exchange(TM)", "ISE(TM)" and "ISE Clean Edge Water
Index" are trademarks of the International Securities Exchange, LLC and have
been licensed for use for certain purposes by First Trust. The Fund, based on
the ISE Clean Edge Water Index, is not sponsored, endorsed, sold or promoted by
the International Securities Exchange, LLC and the International Securities
Exchange, LLC makes no representation regarding the advisability of trading in
such product.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST WATER ETF (FIW) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Industrials 56.26%
Utilities 22.06
Health Care 11.61
Information Technology 5.61
Materials 3.41
Consumer Staples 1.05
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Agilent Technologies, Inc. 4.38%
Pentair PLC 4.08
Danaher Corp. 3.94
AECOM 3.88
Aqua America, Inc. 3.87
IDEX Corp. 3.81
Xylem, Inc. 3.75
A.O. Smith Corp. 3.74
Flowserve Corp. 3.72
Roper Technologies, Inc. 3.53
-------
Total 38.70%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust ISE Clean Edge Russell 3000(R)
Water ETF Water Index Index
12/09 $10,000 $10,000 $10,000
06/10 9,440 9,470 9,395
12/10 11,949 12,037 11,693
06/11 12,508 12,646 12,436
12/11 11,277 11,441 11,813
06/12 12,396 12,627 12,914
12/12 14,304 14,618 13,752
06/13 15,318 15,720 15,686
12/13 18,726 19,281 18,367
06/14 19,260 19,884 19,642
12/14 18,794 19,466 20,673
06/15 17,550 18,232 21,074
12/15 16,950 17,665 20,773
06/16 19,898 20,809 21,525
12/16 22,409 23,498 23,417
06/17 24,466 25,667 25,508
12/17 27,842 29,294 28,365
06/18 27,619 29,083 29,278
12/18 25,365 26,777 26,877
06/19 31,709 33,578 31,906
12/19 34,778 36,940 35,215
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 133 0 0 0
01/01/16 - 12/31/16 152 0 0 0
01/01/17 - 12/31/17 184 0 0 0
01/01/18 - 12/31/18 177 5 1 1
01/01/19 - 12/31/19 216 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 119 0 0 0
01/01/16 - 12/31/16 100 0 0 0
01/01/17 - 12/31/17 67 0 0 0
01/01/18 - 12/31/18 65 1 0 1
01/01/19 - 12/31/19 35 0 1 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NATURAL GAS ETF (FCG)
The First Trust Natural Gas ETF (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the ISE-Revere Natural Gas(TM) Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks, depositary receipts and
master limited partnership ("MLP") units that comprise the Index. The Index is
designed to track the performance of mid and large capitalization companies that
derive a substantial portion of their revenue from mid-stream activities and/or
the exploration and production of natural gas. The Fund's shares are listed for
trading on the NYSE Arca. The Index is rebalanced and reconstituted quarterly
and the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The first day of secondary market trading in
shares of the Fund was May 11, 2007.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV -15.87% -25.00% -16.97% -14.46% -76.27% -84.43% -86.14%
Market Value -15.86% -25.00% -16.98% -14.46% -76.27% -84.44% -86.14%
INDEX PERFORMANCE
ISE-Revere Natural Gas(TM) Index -15.23% -24.90% -16.66% -14.12% -76.12% -83.83% -85.42%
S&P Composite 1500(R) Energy Index 10.05% -2.90% 2.61% 1.29% -13.70% 29.36% 17.62%
Russell 3000(R) Index 31.02% 11.24% 13.42% 8.41% 70.35% 252.15% 177.80%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -15.87% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Energy Index
("Benchmark") generated a return of 10.05%. The Fund consists almost exclusively
of investments in the Oil, Gas, & Consumable Fuels industry. Over the period,
the Fund invested 97.6% of its assets in this industry. The investments in this
industry returned -15.6%, contributing -15.3% to the Fund's total return. The
only other industry represented in the Fund was the Gas Utilities industry. This
industry returned 7.4% during the period, which resulted in a contribution to
Fund return of 0.2%. On a relative basis, the Fund significantly underperformed
the Benchmark. The Benchmark allocated 87.2% to the Oil, Gas & Consumable Fuels
industry, but, due to selection, investments in this industry caused -22.0% of
underperformance for the Fund versus the Benchmark. There was no industry that
garnered outperformance for the Fund versus the Benchmark during the same
period.
-----------------------------
"International Securities Exchange(TM)", "ISE(TM)" and "ISE-Revere Natural
Gas(TM) Index" are trademarks of the International Securities Exchange, LLC and
have been licensed for use for certain purposes by First Trust. The Fund, based
on the ISE-Revere Natural Gas(TM) Index, is not sponsored, endorsed, sold or
promoted by the International Securities Exchange, LLC and the International
Securities Exchange, LLC makes no representation regarding the advisability of
trading in such product.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NATURAL GAS ETF (FCG) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SUB-INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Oil & Gas Exploration & Production 85.77%
Oil & Gas Storage & Transportation 14.23
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Concho Resources, Inc. 4.50%
Noble Energy, Inc. 4.47
Encana Corp. 4.44
Devon Energy Corp. 4.43
Chesapeake Energy Corp. 4.40
EQT Corp. 4.37
Murphy Oil Corp. 4.33
Apache Corp. 4.29
Cimarex Energy Co. 4.26
Continental Resources, Inc. 4.15
-------
Total 43.64%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust ISE-Revere Natural Russell 3000(R) S&P Composite 1500(R)
Natural Gas ETF Gas(TM) Index Index Energy Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 8,707 8,751 9,395 8,816
12/10 11,222 11,372 11,693 12,137
06/11 12,368 12,579 12,436 13,532
12/11 10,455 10,670 11,813 12,613
06/12 9,464 9,688 12,914 12,242
12/12 9,043 9,289 13,752 13,160
06/13 9,312 9,582 15,686 14,439
12/13 11,317 11,679 18,367 16,502
06/14 13,715 14,185 19,642 18,641
12/14 6,563 6,771 20,673 14,989
06/15 5,595 5,722 21,074 14,286
12/15 2,684 2,730 20,773 11,680
06/16 2,977 3,020 21,525 13,499
12/16 3,207 3,269 23,417 14,869
06/17 2,555 2,613 25,508 12,814
12/17 2,837 2,913 28,365 14,564
06/18 2,928 3,016 29,278 15,646
12/18 1,851 1,907 26,877 11,752
06/19 1,847 1,910 31,906 13,196
12/19 1,557 1,616 35,215 12,932
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 155 1 0 0
01/01/16 - 12/31/16 156 6 1 0
01/01/17 - 12/31/17 116 0 0 0
01/01/18 - 12/31/18 104 6 2 0
01/01/19 - 12/31/19 158 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 93 3 0 0
01/01/16 - 12/31/16 88 1 0 0
01/01/17 - 12/31/17 135 0 0 0
01/01/18 - 12/31/18 137 2 0 0
01/01/19 - 12/31/19 93 0 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINDIA ETF (FNI)
The First Trust Chindia ETF (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the ISE ChIndia(TM) Index (the "Index"). The
Fund will normally invest at least 90% of its net assets (including investment
borrowings) in common stocks and depositary receipts that comprise the Index.
The Index is a modified market capitalization weighted index designed to track
the performance of U.S. listed securities issued by small, mid and large
capitalization companies domiciled in China or India. The Fund's shares are
listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted
semi-annually and the Fund will make corresponding changes to its portfolio
shortly after the Index changes are made public. The first day of secondary
market trading in shares of the Fund was May 11, 2007.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 28.96% 8.01% 7.69% 6.71% 47.02% 109.77% 127.32%
Market Value 29.09% 8.00% 7.66% 6.70% 46.93% 109.23% 127.25%
INDEX PERFORMANCE
ISE ChIndia(TM) Index 29.56% 8.56% 8.20% 7.26% 50.77% 119.99% 142.63%
Russell 3000(R) Index 31.02% 11.24% 13.42% 8.41% 70.35% 252.15% 177.80%
MSCI Emerging Markets Index 18.44% 5.61% 3.68% 3.37% 31.39% 43.50% 52.03%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 28.96% during the 12-month period covered by
this report. During the same period, the MSCI Emerging Markets Index
("Benchmark") generated a return of 18.44%. During the period, the Fund
allocated 59.2% to Chinese securities and 37.6% to Indian securities. The
allocation to Chinese securities resulted in a 23.0% contribution to the Fund's
return and 10.5% of outperformance versus the Benchmark. The allocation to
Indian securities contributed only 6.0% to Fund return and -0.3% of
underperformance versus the Benchmark. The most underperformance versus the
Benchmark came as a result of investments in Taiwanese securities. The Fund did
not allocate any weight to Taiwan while the Benchmark allocated 11.3% during the
period. The difference resulted in -2.1% of underperformance for the Fund versus
the Benchmark. Meanwhile, the Fund benefitted from not including South Korean
investments, which caused 1.1% outperformance for the Fund versus the Benchmark.
-----------------------------
"International Securities Exchange(TM)", "ISE(TM)" and "ISE ChIndia(TM) Index"
are trademarks of the International Securities Exchange, LLC and have been
licensed for use for certain purposes by First Trust. The Fund, based on the ISE
ChIndia(TM) Index, is not sponsored, endorsed, sold or promoted by the
International Securities Exchange, LLC and the International Securities
Exchange, LLC makes no representation regarding the advisability of trading in
such product.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINDIA ETF (FNI) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Consumer Discretionary 38.82%
Communication Services 18.81
Financials 16.62
Information Technology 13.58
Materials 4.06
Health Care 3.75
Industrials 2.20
Energy 2.16
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
JD.com, Inc., ADR 7.15%
ICICI Bank Ltd., ADR 7.10
Baidu, Inc., ADR 7.07
Alibaba Group Holding Ltd., ADR 7.03
Infosys Ltd., ADR 6.96
HDFC Bank Ltd., ADR 6.80
Tata Motors Ltd., ADR 4.37
Vedanta Ltd., ADR 4.06
Pinduoduo, Inc., ADR 3.99
Wipro Ltd., ADR 3.91
-------
Total 58.44%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust ISE ChIndia(TM) Russell 3000(R) MSCI Emerging
Chindia ETF Index Index Markets Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,727 9,761 9,395 9,383
12/10 11,846 11,944 11,693 11,887
06/11 12,040 12,208 12,436 11,992
12/11 8,764 8,858 11,813 9,698
06/12 9,292 9,405 12,914 10,079
12/12 10,263 10,409 13,752 11,465
06/13 10,389 10,568 15,686 10,368
12/13 13,937 14,199 18,367 11,166
06/14 14,808 15,119 19,642 11,852
12/14 14,268 14,590 20,673 10,923
06/15 15,282 15,657 21,074 11,245
12/15 14,221 14,613 20,773 9,293
06/16 13,703 14,119 21,525 9,889
12/16 13,915 14,390 23,417 10,333
06/17 17,863 18,518 25,508 12,237
12/17 20,505 21,296 28,365 14,185
06/18 20,109 20,932 29,278 13,240
12/18 16,264 16,980 26,877 12,116
06/19 18,899 19,780 31,906 13,400
12/19 20,974 21,999 35,215 14,350
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
QUARTER ENDED 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 147 0 0 0
01/01/16 - 12/31/16 132 0 0 0
01/01/17 - 12/31/17 189 0 0 0
01/01/18 - 12/31/18 143 1 0 1
01/01/19 - 12/31/19 83 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
QUARTER ENDED 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 105 0 0 0
01/01/16 - 12/31/16 120 0 0 0
01/01/17 - 12/31/17 62 0 0 0
01/01/18 - 12/31/18 105 1 0 0
01/01/19 - 12/31/19 169 0 0 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
The First Trust NASDAQ(R) ABA Community Bank Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ OMX(R) ABA
Community Bank Index(SM) (the "Index"). The Fund will normally invest at least
90% of its net assets (including investment borrowings) in the common stocks
that comprise the Index. The Index is designed to track the performance of
small, mid and large capitalization companies that comprise the community
banking industry. The Fund's shares are listed for trading on the Nasdaq. The
Index is rebalanced quarterly and reconstituted semi-annually and the Fund will
make corresponding changes to its portfolio shortly after the Index changes are
made public. The first day of secondary market trading in shares of the Fund was
July 1, 2009.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (6/29/09) Ended Ended (6/29/09)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 22.80% 8.97% 10.44% 11.18% 53.67% 170.05% 204.61%
Market Value 22.79% 8.94% 10.42% 11.18% 53.41% 169.44% 204.46%
INDEX PERFORMANCE
NASDAQ OMX(R) ABA Community Bank
Index(SM) 23.59% 9.65% 11.14% 11.89% 58.47% 187.60% 225.50%
S&P Composite 1500(R) Financials Index 31.22% 11.23% 12.37% 13.80% 70.24% 221.02% 288.80%
Russell 3000(R) Index 31.02% 11.24% 13.42% 14.90% 70.35% 252.15% 330.48%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 22.80% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Financials Index
("Benchmark") generated a return of 31.22%. The Fund invests effectively all of
its assets in securities within the Banks industry group of the Financials
sector. The company that received the greatest allocation in the Fund was
Commerce Bancshares, Inc., which carried an average weight in the Fund of 2.7%.
This security returned 28.7%, contributing 0.8% to the Fund's total return. The
investment in the Fund with the worst return was Republic First Bancorp, Inc.
This security returned -30.0%. However, since it received only 0.1% allocation,
the drag on return was less than 10 basis points. On a relative basis, the Fund
underperformed the Benchmark. The two primary differentiators of performance
between the Fund and the Benchmark were: first, that the Fund invested almost
entirely in Bank stocks, while the Benchmark invested across the Financials
sector; and second, that the bank stocks in the Fund generated less return than
the bank stocks in the Benchmark. Thus, the Fund differed greatly in allocation,
but the selection effect was actually a more significant driver of the
underperformance.
-----------------------------
Nasdaq(R), OMX(R), Nasdaq OMX(R), and NASDAQ OMX(R) ABA Community Bank Index(SM)
are trademarks of Nasdaq, Inc. ("Nasdaq") and American Bankers Association
("ABA") (Nasdaq and ABA, collectively with their affiliates, are referred to as
the "Corporations") and are licensed for use by First Trust. The Fund has not
been passed on by the Corporations as to its legality or suitability. The Fund
is not issued, endorsed, sold, or promoted by the Corporations. THE CORPORATIONS
MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Banks 88.62%
Thrifts & Mortgage Finance 11.05
IT Services 0.33
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Commerce Bancshares, Inc. 2.99%
TCF Financial Corp. 2.80
BOK Financial Corp. 2.42
Popular, Inc. 2.22
TFS Financial Corp. 2.15
First Citizens BancShares, Inc.,
Class A 2.02
Pinnacle Financial Partners, Inc. 1.91
First Financial Bankshares, Inc. 1.86
PacWest Bancorp 1.79
Glacier Bancorp., Inc. 1.66
-------
Total 21.82%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust
NASDAQ(R) ABA NASDAQ OMX(R)
Community Bank ABA Community S&P Composite 1500(R) Russell 3000(R)
Index Fund Bank Index(SM) Financials Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 10,140 10,165 9,696 9,395
12/10 11,278 11,350 11,329 11,693
06/11 11,100 11,210 11,080 12,436
12/11 10,548 10,686 9,629 11,813
06/12 11,596 11,789 10,921 12,914
12/12 11,974 12,208 12,225 13,752
06/13 14,189 14,514 14,518 15,686
12/13 17,111 17,559 16,413 18,367
06/14 17,106 17,608 17,262 19,642
12/14 17,576 18,145 18,857 20,673
06/15 19,181 19,865 18,900 21,074
12/15 18,962 19,692 18,722 20,773
06/16 18,640 19,416 18,419 21,525
12/16 26,087 27,270 23,269 23,417
06/17 25,179 26,403 24,719 25,508
12/17 26,223 27,601 28,127 28,372
06/18 27,562 29,096 27,176 29,285
12/18 21,989 23,271 24,461 26,884
06/19 24,676 26,201 28,663 31,914
12/19 27,005 28,760 32,102 35,215
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 137 5 0 0
01/01/16 - 12/31/16 133 0 0 0
01/01/17 - 12/31/17 128 5 0 0
01/01/18 - 12/31/18 125 12 0 0
01/01/19 - 12/31/19 34 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 110 0 0 0
01/01/16 - 12/31/16 119 0 0 0
01/01/17 - 12/31/17 116 1 1 0
01/01/18 - 12/31/18 106 7 1 0
01/01/19 - 12/31/19 218 0 0 0
Page 21
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of each Fund did not trade in the
secondary market until after the Fund's inception, for the period from inception
to the first day of secondary market trading in shares of the Fund, the NAV of
each Fund is used as a proxy for the secondary market trading price to calculate
market returns. NAV and market returns assume that all distributions have been
reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 22
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2019 (UNAUDITED)
As a shareholder of First Trust NASDAQ-100 Equal Weighted Index Fund, First
Trust NASDAQ-100-Technology Sector Index Fund, First Trust NASDAQ-100
Ex-Technology Sector Index Fund, First Trust NASDAQ(R) Clean Edge(R) Green
Energy Index Fund, First Trust S&P REIT Index Fund, First Trust Water ETF, First
Trust Natural Gas ETF, First Trust Chindia ETF or First Trust NASDAQ(R) ABA
Community Bank Index Fund (each a "Fund" and collectively, the "Funds"), you
incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service fees, if any, and other
Fund expenses. This Example is intended to help you understand your ongoing
costs of investing in the Funds and to compare these costs with the ongoing
costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended December 31, 2019.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2019 DECEMBER 31, 2019 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX
FUND (QQEW)
Actual $1,000.00 $1,109.70 0.59% $3.14
Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX
FUND (QTEC)
Actual $1,000.00 $1,175.10 0.57% $3.12
Hypothetical (5% return before expenses) $1,000.00 $1,022.33 0.57% $2.91
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR
INDEX FUND (QQXT)
Actual $1,000.00 $1,070.20 0.60% $3.13
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY
INDEX FUND (QCLN)
Actual $1,000.00 $1,184.30 0.60% $3.30
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST S&P REIT INDEX FUND (FRI)
Actual $1,000.00 $1,062.70 0.50% $2.60
Hypothetical (5% return before expenses) $1,000.00 $1,022.68 0.50% $2.55
FIRST TRUST WATER ETF (FIW)
Actual $1,000.00 $1,096.80 0.55% $2.91
Hypothetical (5% return before expenses) $1,000.00 $1,022.43 0.55% $2.80
Page 23
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
DECEMBER 31, 2019 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2019 DECEMBER 31, 2019 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST NATURAL GAS ETF (FCG)
Actual $1,000.00 $ 843.00 0.60% $2.79
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST CHINDIA ETF (FNI)
Actual $1,000.00 $1,109.80 0.60% $3.19
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK
INDEX FUND (QABA)
Actual $1,000.00 $1,094.30 0.60% $3.17
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
(a) These expense ratios reflect an expense cap for certain Funds. See Note 3
in Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (July 1,
2019 through December 31, 2019), multiplied by 184/365 (to reflect the
six-month period).
Page 24
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AIRLINES -- 2.0%
313,332 American Airlines Group, Inc. $ 8,986,362
101,915 United Airlines Holdings,
Inc. (a) 8,977,692
--------------
17,964,054
--------------
AUTOMOBILES -- 1.0%
22,433 Tesla, Inc. (a) 9,384,397
--------------
BEVERAGES -- 2.0%
142,353 Monster Beverage Corp. (a) 9,046,533
65,973 PepsiCo, Inc. 9,016,530
--------------
18,063,063
--------------
BIOTECHNOLOGY -- 8.9%
82,908 Alexion Pharmaceuticals, Inc. (a) 8,966,500
37,435 Amgen, Inc. 9,024,456
30,225 Biogen, Inc. (a) 8,968,664
107,362 BioMarin Pharmaceutical, Inc. (a) 9,077,457
136,111 Gilead Sciences, Inc. 8,844,493
100,991 Incyte Corp. (a) 8,818,534
24,222 Regeneron Pharmaceuticals,
Inc. (a) 9,094,877
77,577 Seattle Genetics, Inc. (a) 8,863,948
41,232 Vertex Pharmaceuticals, Inc. (a) 9,027,746
--------------
80,686,675
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.0%
33,513 Cintas Corp. 9,017,678
100,300 Copart, Inc. (a) 9,121,282
--------------
18,138,960
--------------
COMMUNICATIONS EQUIPMENT
-- 1.0%
191,764 Cisco Systems, Inc. 9,197,001
--------------
ELECTRIC UTILITIES -- 2.0%
200,201 Exelon Corp. 9,127,164
141,843 Xcel Energy, Inc. 9,005,612
--------------
18,132,776
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.0%
63,223 CDW Corp. 9,030,773
--------------
ENTERTAINMENT -- 5.0%
153,651 Activision Blizzard, Inc. 9,129,942
84,292 Electronic Arts, Inc. (a) 9,062,233
29,815 NetEase, Inc., ADR 9,142,472
27,009 Netflix, Inc. (a) 8,739,302
73,611 Take-Two Interactive Software,
Inc. (a) 9,012,195
--------------
45,086,144
--------------
FOOD & STAPLES RETAILING -- 2.0%
30,860 Costco Wholesale Corp. 9,070,371
155,832 Walgreens Boots Alliance, Inc. 9,187,855
--------------
18,258,226
--------------
FOOD PRODUCTS -- 2.0%
282,406 Kraft Heinz (The) Co. 9,073,705
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
164,245 Mondelez International, Inc.,
Class A $ 9,046,614
--------------
18,120,319
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.0%
33,345 Align Technology, Inc. (a) 9,304,589
34,788 IDEXX Laboratories, Inc. (a) 9,084,190
15,390 Intuitive Surgical, Inc. (a) 9,097,799
--------------
27,486,578
--------------
HEALTH CARE TECHNOLOGY -- 1.0%
124,203 Cerner Corp. 9,115,258
--------------
HOTELS, RESTAURANTS & LEISURE
-- 2.0%
60,338 Marriott International, Inc.,
Class A 9,136,983
102,861 Starbucks Corp. 9,043,539
--------------
18,180,522
--------------
INSURANCE -- 1.0%
44,248 Willis Towers Watson PLC 8,935,441
--------------
INTERACTIVE MEDIA & SERVICES
-- 3.0%
3,368 Alphabet, Inc., Class A (a) 4,511,066
3,372 Alphabet, Inc., Class C (a) 4,508,432
71,371 Baidu, Inc., ADR (a) 9,021,294
44,105 Facebook, Inc., Class A (a) 9,052,551
--------------
27,093,343
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 7.0%
5,094 Amazon.com, Inc. (a) 9,412,897
4,496 Booking Holdings, Inc. (a) 9,233,570
251,426 eBay, Inc. 9,078,993
82,659 Expedia Group, Inc. 8,938,744
257,694 JD.com, Inc., ADR (a) 9,078,559
15,354 MercadoLibre, Inc. (a) 8,781,567
263,209 Trip.com Group Ltd., ADR (a) 8,828,030
--------------
63,352,360
--------------
IT SERVICES -- 6.0%
53,182 Automatic Data Processing, Inc. 9,067,531
143,928 Cognizant Technology Solutions
Corp., Class A 8,926,415
77,990 Fiserv, Inc. (a) 9,017,984
106,383 Paychex, Inc. 9,048,938
83,670 PayPal Holdings, Inc. (a) 9,050,584
47,280 VeriSign, Inc. (a) 9,109,910
--------------
54,221,362
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.0%
27,561 Illumina, Inc. (a) 9,143,086
--------------
MACHINERY -- 1.0%
113,496 PACCAR, Inc. 8,977,534
--------------
MEDIA -- 5.0%
19,108 Charter Communications, Inc.,
Class A (a) 9,268,909
See Notes to Financial Statements Page 25
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
206,376 Comcast Corp., Class A $ 9,280,729
122,400 Fox Corp., Class A 4,537,368
125,611 Fox Corp., Class B 4,572,240
201,040 Liberty Global PLC, Class A (a) 4,571,649
210,045 Liberty Global PLC, Class C (a) 4,577,931
1,267,288 Sirius XM Holdings, Inc. (b) 9,061,109
--------------
45,869,935
--------------
MULTILINE RETAIL -- 1.0%
96,736 Dollar Tree, Inc. (a) 9,098,021
--------------
PROFESSIONAL SERVICES -- 2.0%
15,055 CoStar Group, Inc. (a) 9,007,406
60,790 Verisk Analytics, Inc. 9,078,379
--------------
18,085,785
--------------
ROAD & RAIL -- 1.0%
124,337 CSX Corp. 8,997,025
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 17.0%
206,096 Advanced Micro Devices, Inc. (a) 9,451,563
75,941 Analog Devices, Inc. 9,024,828
147,209 Applied Materials, Inc. 8,985,637
30,993 ASML Holding N.V. 9,172,068
28,524 Broadcom, Inc. 9,014,154
154,351 Intel Corp. 9,237,907
51,270 KLA Corp. 9,134,776
30,593 Lam Research Corp. 8,945,393
147,448 Maxim Integrated Products, Inc. 9,069,526
86,930 Microchip Technology, Inc. 9,103,310
165,259 Micron Technology, Inc. (a) 8,887,629
38,015 NVIDIA Corp. 8,944,930
71,261 NXP Semiconductors N.V. 9,068,675
102,409 QUALCOMM, Inc. 9,035,546
76,527 Skyworks Solutions, Inc. 9,250,584
70,564 Texas Instruments, Inc. 9,052,656
93,093 Xilinx, Inc. 9,101,703
--------------
154,480,885
--------------
SOFTWARE -- 11.0%
27,775 Adobe, Inc. (a) 9,160,473
35,147 ANSYS, Inc. (a) 9,047,189
49,764 Autodesk, Inc. (a) 9,129,703
129,822 Cadence Design Systems, Inc. (a) 9,004,454
81,474 Check Point Software
Technologies Ltd. (a) 9,040,355
81,930 Citrix Systems, Inc. 9,086,037
34,064 Intuit, Inc. 8,922,384
57,805 Microsoft Corp. 9,115,848
60,275 Splunk, Inc. (a) 9,027,387
65,048 Synopsys, Inc. (a) 9,054,682
54,432 Workday, Inc., Class A (a) 8,951,342
--------------
99,539,854
--------------
SPECIALTY RETAIL -- 3.0%
20,626 O'Reilly Automotive, Inc. (a) 9,039,551
78,965 Ross Stores, Inc. 9,193,105
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
36,325 Ulta Beauty, Inc. (a) $ 9,195,311
--------------
27,427,967
--------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 3.1%
32,561 Apple, Inc. 9,561,538
146,595 NetApp, Inc. 9,125,539
148,896 Western Digital Corp. 9,450,429
--------------
28,137,506
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.0%
39,513 Lululemon Athletica, Inc. (a) 9,153,977
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.0%
245,125 Fastenal Co. 9,057,369
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.0%
117,560 T-Mobile US, Inc. (a) 9,219,055
--------------
TOTAL COMMON STOCKS -- 100.0% 907,635,251
(Cost $760,998,598) --------------
MONEY MARKET FUNDS -- 0.0%
100,389 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (c) (d) 100,389
(Cost $100,389) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.1%
$ 609,386 BNP Paribas S.A., 1.56% (c),
dated 12/31/19, due 01/02/20,
with a maturity value of
$609,439. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 04/30/26.
The value of the collateral
including accrued
interest is $623,852. (d) 609,386
(Cost $609,386) --------------
TOTAL INVESTMENTS -- 100.1% $ 908,345,026
(Cost $761,708,373) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (907,277)
--------------
NET ASSETS -- 100.0% $ 907,437,749
==============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $699,985 and the total value of the collateral held by the
Fund is $709,775.
(c) Rate shown reflects yield as of December 31, 2019.
(d) This security serves as collateral for securities on loan.
Page 26 See Notes to Financial Statements
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
(e) Aggregate cost for federal income tax purposes is $770,074,525. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$160,503,917 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$22,233,416. The net unrealized appreciation was $138,270,501.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 907,635,251 $ -- $ --
Money Market
Funds 100,389 -- --
Repurchase
Agreements -- 609,386 --
-------------------------------------------------
Total Investments $ 907,735,640 $ 609,386 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 699,985
Non-cash Collateral(2) (699,985)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2019, 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) $ 609,386
Non-cash Collateral(4) (609,386)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 27
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.1%
COMMUNICATIONS EQUIPMENT
-- 2.5%
1,536,074 Cisco Systems, Inc. $ 73,670,109
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.5%
506,438 CDW Corp. 72,339,604
--------------
ENTERTAINMENT -- 2.5%
238,831 NetEase, Inc., ADR 73,235,138
--------------
HEALTH CARE TECHNOLOGY -- 2.5%
994,904 Cerner Corp. 73,016,005
--------------
INTERACTIVE MEDIA & SERVICES
-- 7.5%
26,971 Alphabet, Inc., Class A (a) 36,124,688
27,003 Alphabet, Inc., Class C (a) 36,103,551
571,705 Baidu, Inc., ADR (a) 72,263,512
353,304 Facebook, Inc., Class A (a) 72,515,646
--------------
217,007,397
--------------
IT SERVICES -- 5.0%
1,152,906 Cognizant Technology Solutions
Corp., Class A 71,503,230
378,730 VeriSign, Inc. (a) 72,973,696
--------------
144,476,926
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 42.5%
1,650,888 Advanced Micro Devices, Inc. (a) 75,709,724
608,301 Analog Devices, Inc. 72,290,491
1,179,205 Applied Materials, Inc. 71,978,673
248,261 ASML Holding N.V. 73,470,360
228,486 Broadcom, Inc. 72,206,146
1,236,415 Intel Corp. 73,999,438
410,699 KLA Corp. 73,174,241
245,071 Lam Research Corp. 71,658,760
1,181,116 Maxim Integrated Products, Inc. 72,650,445
696,347 Microchip Technology, Inc. 72,921,458
1,323,769 Micron Technology, Inc. (a) 71,192,297
304,493 NVIDIA Corp. 71,647,203
570,810 NXP Semiconductors N.V. 72,641,281
820,334 QUALCOMM, Inc. 72,378,069
613,008 Skyworks Solutions, Inc. 74,100,407
565,232 Texas Instruments, Inc. 72,513,613
745,720 Xilinx, Inc. 72,909,044
--------------
1,237,441,650
--------------
SOFTWARE -- 27.4%
222,480 Adobe, Inc. (a) 73,376,129
281,535 ANSYS, Inc. (a) 72,469,924
398,636 Autodesk, Inc. (a) 73,133,760
1,039,902 Cadence Design Systems, Inc. (a) 72,127,603
652,638 Check Point Software
Technologies Ltd. (a) 72,416,712
656,282 Citrix Systems, Inc. 72,781,674
272,882 Intuit, Inc. 71,475,982
463,038 Microsoft Corp. 73,021,093
482,822 Splunk, Inc. (a) 72,312,251
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
521,065 Synopsys, Inc. (a) $ 72,532,248
436,029 Workday, Inc., Class A (a) 71,704,969
--------------
797,352,345
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 7.7%
260,831 Apple, Inc. 76,593,023
1,174,266 NetApp, Inc. 73,098,058
1,192,712 Western Digital Corp. 75,701,431
--------------
225,392,512
--------------
TOTAL INVESTMENTS -- 100.1% 2,913,931,686
(Cost $2,258,485,865) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (1,543,780)
--------------
NET ASSETS -- 100.0% $2,912,387,906
==============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $2,304,102,552. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$634,725,353 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$24,896,219. The net unrealized appreciation was $609,829,134.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 2,913,931,686 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 28 See Notes to Financial Statements
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (A) -- 100.0%
AIRLINES -- 3.3%
59,383 American Airlines Group, Inc. $ 1,703,104
19,155 United Airlines Holdings,
Inc. (b) 1,687,364
--------------
3,390,468
--------------
AUTOMOBILES -- 1.7%
4,213 Tesla, Inc. (b) 1,762,424
--------------
BEVERAGES -- 3.3%
26,753 Monster Beverage Corp. (b) 1,700,153
12,379 PepsiCo, Inc. 1,691,838
--------------
3,391,991
--------------
BIOTECHNOLOGY -- 14.9%
15,766 Alexion Pharmaceuticals, Inc. (b) 1,705,093
7,033 Amgen, Inc. 1,695,445
5,664 Biogen, Inc. (b) 1,680,679
20,292 BioMarin Pharmaceutical, Inc. (b) 1,715,688
25,818 Gilead Sciences, Inc. 1,677,654
18,951 Incyte Corp. (b) 1,654,801
4,554 Regeneron Pharmaceuticals,
Inc. (b) 1,709,936
14,723 Seattle Genetics, Inc. (b) 1,682,250
7,786 Vertex Pharmaceuticals, Inc. (b) 1,704,745
--------------
15,226,291
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.4%
6,319 Cintas Corp. 1,700,316
18,938 Copart, Inc. (b) 1,722,222
--------------
3,422,538
--------------
ELECTRIC UTILITIES -- 3.3%
37,379 Exelon Corp. 1,704,109
26,505 Xcel Energy, Inc. 1,682,802
--------------
3,386,911
--------------
ENTERTAINMENT -- 6.6%
28,679 Activision Blizzard, Inc. 1,704,106
15,768 Electronic Arts, Inc. (b) 1,695,218
5,060 Netflix, Inc. (b) 1,637,264
13,848 Take-Two Interactive Software,
Inc. (b) 1,695,411
--------------
6,731,999
--------------
FOOD & STAPLES RETAILING -- 3.3%
5,788 Costco Wholesale Corp. 1,701,209
29,139 Walgreens Boots Alliance, Inc. 1,718,035
--------------
3,419,244
--------------
FOOD PRODUCTS -- 3.3%
53,108 Kraft Heinz (The) Co. 1,706,360
30,823 Mondelez International, Inc.,
Class A 1,697,731
--------------
3,404,091
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 5.0%
6,239 Align Technology, Inc. (b) 1,740,930
6,544 IDEXX Laboratories, Inc. (b) 1,708,835
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES (CONTINUED)
2,880 Intuitive Surgical, Inc. (b) $ 1,702,512
--------------
5,152,277
--------------
HOTELS, RESTAURANTS & LEISURE
-- 3.4%
11,347 Marriott International, Inc.,
Class A 1,718,276
19,370 Starbucks Corp. 1,703,011
--------------
3,421,287
--------------
INSURANCE -- 1.6%
8,318 Willis Towers Watson PLC 1,679,737
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 11.6%
950 Amazon.com, Inc. (b) 1,755,448
843 Booking Holdings, Inc. (b) 1,731,294
47,014 eBay, Inc. 1,697,676
15,431 Expedia Group, Inc. 1,668,708
48,476 JD.com, Inc., ADR (b) 1,707,810
2,901 MercadoLibre, Inc. (b) 1,659,198
49,260 Trip.com Group Ltd., ADR (b) 1,652,180
--------------
11,872,314
--------------
IT SERVICES -- 6.6%
9,990 Automatic Data Processing, Inc. 1,703,295
14,662 Fiserv, Inc. (b) 1,695,367
19,930 Paychex, Inc. 1,695,246
15,688 PayPal Holdings, Inc. (b) 1,696,971
--------------
6,790,879
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.7%
5,182 Illumina, Inc. (b) 1,719,077
--------------
MACHINERY -- 1.7%
21,340 PACCAR, Inc. 1,687,994
--------------
MEDIA -- 8.4%
3,589 Charter Communications, Inc.,
Class A (b) 1,740,952
38,772 Comcast Corp., Class A 1,743,577
22,951 Fox Corp., Class A 850,793
23,497 Fox Corp., Class B 855,291
37,752 Liberty Global PLC, Class A (b) 858,480
39,499 Liberty Global PLC, Class C (b) 860,881
238,653 Sirius XM Holdings, Inc. 1,706,369
--------------
8,616,343
--------------
MULTILINE RETAIL -- 1.7%
18,273 Dollar Tree, Inc. (b) 1,718,576
--------------
PROFESSIONAL SERVICES -- 3.4%
2,868 CoStar Group, Inc. (b) 1,715,924
11,452 Verisk Analytics, Inc. 1,710,242
--------------
3,426,166
--------------
ROAD & RAIL -- 1.7%
23,468 CSX Corp. 1,698,145
--------------
SPECIALTY RETAIL -- 5.0%
3,869 O'Reilly Automotive, Inc. (b) 1,695,628
14,837 Ross Stores, Inc. 1,727,324
See Notes to Financial Statements Page 29
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SPECIALTY RETAIL (CONTINUED)
6,852 Ulta Beauty, Inc. (b) $ 1,734,515
--------------
5,157,467
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.7%
7,437 Lululemon Athletica, Inc. (b) 1,722,930
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.7%
45,957 Fastenal Co. 1,698,111
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.7%
22,038 T-Mobile US, Inc. (b) 1,728,220
--------------
TOTAL INVESTMENTS -- 100.0% 102,225,480
(Cost $80,696,185) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (42,486)
--------------
NET ASSETS -- 100.0% $ 102,182,994
==============
(a) The industry allocation is based on Standard & Poor's Global Industry
Classification Standard (GICS), and is different than the industry sector
classification system used by the Index to select securities, which is the
Industry Classification Benchmark (ICB) system, which is maintained by
FTSE International Limited.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $81,432,381. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$25,458,695 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$4,665,596. The net unrealized appreciation was $20,793,099.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 102,225,480 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 30 See Notes to Financial Statements
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 3.4%
66,714 Hexcel Corp. $ 4,890,803
--------------
AUTOMOBILES -- 11.6%
823,664 NIO, Inc., ADR (a) (b) 3,311,129
32,203 Tesla, Inc. (b) 13,471,481
--------------
16,782,610
--------------
CHEMICALS -- 7.2%
110,559 Albemarle Corp. 8,075,229
157,815 Livent Corp. (b) 1,349,318
35,998 Sociedad Quimica y Minera de
Chile S.A., ADR 960,787
--------------
10,385,334
--------------
CONSTRUCTION & ENGINEERING
-- 0.4%
31,387 Ameresco, Inc., Class A (b) 549,273
--------------
ELECTRICAL EQUIPMENT -- 12.0%
40,621 Acuity Brands, Inc. 5,605,698
23,530 American Superconductor Corp. (b) 184,710
252,472 Ballard Power Systems,
Inc. (a) (b) 1,812,749
81,723 Bloom Energy Corp., Class A (b) 610,471
45,714 EnerSys 3,420,779
282,236 Plug Power, Inc. (a) (b) 891,866
127,628 Sunrun, Inc. (b) 1,762,543
38,033 TPI Composites, Inc. (b) 703,991
30,968 Vicor Corp. (b) 1,446,825
131,986 Vivint Solar, Inc. (a) (b) 958,218
--------------
17,397,850
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 8.6%
182,811 AVX Corp. 3,742,141
42,776 Itron, Inc. (b) 3,591,045
26,333 Littelfuse, Inc. 5,037,503
--------------
12,370,689
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.6%
71,014 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 2,285,231
--------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY PRODUCERS
-- 18.9%
109,839 Atlantica Yield PLC 2,898,651
186,583 Brookfield Renewable Partners,
L.P. (c) 8,700,365
79,282 Clearway Energy, Inc., Class C 1,581,676
65,755 NextEra Energy Partners,
L.P. (c) (d) 3,462,001
55,128 Ormat Technologies, Inc. 4,108,139
106,205 Pattern Energy Group, Inc.,
Class A 2,841,515
245,450 TerraForm Power, Inc., Class A 3,777,475
--------------
27,369,822
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
-- 0.8%
42,123 Renewable Energy Group, Inc. (b) $ 1,135,215
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 35.2%
41,439 Advanced Energy Industries,
Inc. (b) 2,950,457
64,256 Canadian Solar, Inc. (b) 1,420,058
116,442 Cree, Inc. (b) 5,373,798
10,890 Daqo New Energy Corp., ADR (b) 557,568
132,308 Enphase Energy, Inc. (a) (b) 3,457,208
96,170 First Solar, Inc. (b) 5,381,673
37,084 JinkoSolar Holding Co., Ltd.,
ADR (a) (b) 834,019
428,254 ON Semiconductor Corp. (b) 10,440,832
31,807 Power Integrations, Inc. 3,146,030
52,551 SolarEdge Technologies, Inc. (b) 4,997,075
181,631 SunPower Corp. (b) 1,416,722
49,121 Universal Display Corp. 10,122,364
52,868 Veeco Instruments, Inc. (b) 776,367
--------------
50,874,171
--------------
TOTAL COMMON STOCKS -- 99.7% 144,040,998
(Cost $105,819,218) --------------
MONEY MARKET FUNDS -- 1.0%
1,363,007 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (e) (f) 1,363,007
(Cost $1,363,007) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 5.7%
$ 8,273,805 BNP Paribas S.A., 1.56% (e),
dated 12/31/19, due 01/02/20,
with a maturity value of
$8,274,522. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 04/30/26.
The value of the collateral
including accrued interest
is $8,470,206. (f) 8,273,805
(Cost $8,273,805) --------------
TOTAL INVESTMENTS -- 106.4% 153,677,810
(Cost $115,456,030) (g)
NET OTHER ASSETS AND
LIABILITIES -- (6.4)% (9,210,713)
--------------
NET ASSETS -- 100.0% $ 144,467,097
==============
(a) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $9,754,955 and the total value of the collateral held by the
Fund is $9,636,812.
(b) Non-income producing security.
(c) Security is a Master Limited Partnership ("MLP").
See Notes to Financial Statements Page 31
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
(d) NextEra Energy Partners, L.P. is taxed as a "C" corporation for federal
income tax purposes.
(e) Rate shown reflects yield as of December 31, 2019.
(f) This security serves as collateral for securities on loan.
(g) Aggregate cost for federal income tax purposes is $118,632,051. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$41,309,001 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$6,263,242. The net unrealized appreciation was $35,045,759.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 144,040,998 $ -- $ --
Money Market
Funds 1,363,007 -- --
Repurchase
Agreements -- 8,273,805 --
-------------------------------------------------
Total Investments $ 145,404,005 $ 8,273,805 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 9,754,955
Non-cash Collateral(2) (9,636,812)
--------------
Net Amount $ 118,143
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On December 31, 2019, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from December 30 to December 31, 2019, the value of the related securities
loaned was above the collateral value received. See Note 2D -- Securities
Lending in the Notes to Financial Statements.
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) $ 8,273,805
Non-cash Collateral(4) (8,273,805)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
Page 32 See Notes to Financial Statements
FIRST TRUST S&P REIT INDEX FUND (FRI)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.4%
DIVERSIFIED REITS -- 5.9%
9,613 American Assets Trust, Inc. $ 441,237
97,599 Colony Capital, Inc. 463,595
29,926 Empire State Realty Trust, Inc.,
Class A 417,767
16,239 Essential Properties Realty Trust,
Inc. 402,890
6,259 Gladstone Commercial Corp. 136,822
17,928 Global Net Lease, Inc. 363,580
31,618 Liberty Property Trust 1,898,661
3,071 One Liberty Properties, Inc. 83,500
4,014 PS Business Parks, Inc. 661,788
42,820 STORE Capital Corp. 1,594,617
213,967 VEREIT, Inc. 1,977,055
16,152 Washington Real Estate
Investment Trust 471,315
34,525 WP Carey, Inc. 2,763,381
--------------
11,676,208
--------------
HEALTH CARE REITS -- 12.4%
19,150 CareTrust REIT, Inc. 395,064
3,801 Community Healthcare Trust, Inc. 162,911
6,487 Global Medical REIT, Inc. 85,823
26,801 Healthcare Realty Trust, Inc. 894,349
41,521 Healthcare Trust of America, Inc.,
Class A 1,257,256
99,189 Healthpeak Properties, Inc. 3,419,045
7,967 LTC Properties, Inc. 356,683
103,696 Medical Properties Trust, Inc. 2,189,022
8,810 National Health Investors, Inc. 717,839
16,627 New Senior Investment Group, Inc. 127,196
43,788 Omega Healthcare Investors, Inc. 1,854,422
37,138 Physicians Realty Trust 703,394
38,818 Sabra Health Care REIT, Inc. 828,376
47,675 Senior Housing Properties
Trust (a) 402,377
2,536 Universal Health Realty Income
Trust 297,625
74,697 Ventas, Inc. 4,313,005
81,315 Welltower, Inc. 6,649,941
--------------
24,654,328
--------------
HOTEL & RESORT REITS -- 5.0%
42,172 Apple Hospitality REIT, Inc. 685,295
16,984 Ashford Hospitality Trust, Inc. 47,385
5,998 Braemar Hotels & Resorts, Inc. 53,562
9,404 Chatham Lodging Trust 172,469
7,812 CorePoint Lodging, Inc. 83,432
40,120 DiamondRock Hospitality Co. 444,530
7,196 Hersha Hospitality Trust 104,702
143,723 Host Hotels & Resorts, Inc. 2,666,062
47,973 Park Hotels & Resorts, Inc. 1,241,061
26,180 Pebblebrook Hotel Trust 701,886
34,169 RLJ Lodging Trust 605,475
10,911 Ryman Hospitality Properties,
Inc. 945,547
32,979 Service Properties Trust 802,379
21,075 Summit Hotel Properties, Inc. 260,065
45,063 Sunstone Hotel Investors, Inc. 627,277
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTEL & RESORT REITS (CONTINUED)
22,573 Xenia Hotels & Resorts, Inc. $ 487,803
--------------
9,928,930
--------------
INDUSTRIAL REITS -- 10.6%
38,429 Americold Realty Trust 1,347,321
73,662 Duke Realty Corp. 2,553,862
7,697 EastGroup Properties, Inc. 1,021,161
25,442 First Industrial Realty Trust,
Inc. 1,056,097
13,062 Industrial Logistics Properties
Trust 292,850
2,375 Innovative Industrial Properties,
Inc. 180,191
49,674 Lexington Realty Trust 527,538
19,434 Monmouth Real Estate Investment
Corp. 281,404
2,686 Plymouth Industrial REIT, Inc. 49,396
126,603 Prologis, Inc. 11,285,391
22,228 Rexford Industrial Realty, Inc. 1,015,153
26,645 STAG Industrial, Inc. 841,183
13,429 Terreno Realty Corp. 727,046
--------------
21,178,593
--------------
OFFICE REITS -- 12.0%
23,076 Alexandria Real Estate Equities,
Inc. 3,728,620
28,817 Boston Properties, Inc. 3,972,712
35,310 Brandywine Realty Trust 556,132
10,931 City Office REIT, Inc. 147,787
23,429 Columbia Property Trust, Inc. 489,900
22,457 Corporate Office Properties Trust 659,787
29,412 Cousins Properties, Inc. 1,211,774
33,032 Douglas Emmett, Inc. 1,450,105
14,861 Easterly Government Properties,
Inc. 352,652
24,433 Equity Commonwealth 802,135
21,490 Franklin Street Properties Corp. 183,954
20,790 Highwoods Properties, Inc. 1,016,839
31,055 Hudson Pacific Properties, Inc. 1,169,221
23,653 JBG SMITH Properties 943,518
19,545 Kilroy Realty Corp. 1,639,826
18,148 Mack-Cali Realty Corp. 419,763
9,660 Office Properties Income Trust 310,472
40,349 Paramount Group, Inc. 561,658
25,207 Piedmont Office Realty Trust, Inc.,
Class A 560,604
16,336 SL Green Realty Corp. 1,500,952
31,745 Vornado Realty Trust 2,111,043
--------------
23,789,454
--------------
RESIDENTIAL REITS -- 18.7%
27,536 American Campus Communities,
Inc. 1,295,018
51,075 American Homes 4 Rent, Class A 1,338,676
29,837 Apartment Investment &
Management Co., Class A 1,541,081
27,989 AvalonBay Communities, Inc. 5,869,293
4,220 Bluerock Residential Growth
REIT, Inc. 50,851
See Notes to Financial Statements Page 33
FIRST TRUST S&P REIT INDEX FUND (FRI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
RESIDENTIAL REITS (CONTINUED)
2,013 BRT Apartments Corp. $ 34,161
19,405 Camden Property Trust 2,058,871
2,642 Clipper Realty, Inc. 28,005
36,487 Equity LifeStyle Properties, Inc. 2,568,320
69,955 Equity Residential 5,660,759
13,243 Essex Property Trust, Inc. 3,984,289
9,826 Front Yard Residential Corp. 121,253
18,215 Independence Realty Trust, Inc. 256,467
2,330 Investors Real Estate Trust 168,925
107,888 Invitation Homes, Inc. 3,233,403
22,859 Mid-America Apartment
Communities, Inc. 3,014,188
4,515 NexPoint Residential Trust, Inc. 203,175
9,181 Preferred Apartment Communities,
Inc., Class A 122,291
18,574 Sun Communities, Inc. 2,787,957
58,729 UDR, Inc. 2,742,644
7,286 UMH Properties, Inc. 114,609
--------------
37,194,236
--------------
RETAIL REITS -- 15.6%
17,424 Acadia Realty Trust 451,804
8,500 Agree Realty Corp. 596,445
419 Alexander's, Inc. 138,417
21,395 American Finance Trust, Inc. 283,698
59,689 Brixmor Property Group, Inc. 1,289,879
34,770 CBL & Associates Properties, Inc. 36,509
17,223 Cedar Realty Trust, Inc. 50,808
14,075 Federal Realty Investment Trust 1,811,875
6,853 Getty Realty Corp. 225,258
84,616 Kimco Realty Corp. 1,752,397
16,829 Kite Realty Group Trust 328,670
22,082 Macerich (The) Co. 594,448
34,397 National Retail Properties, Inc. 1,844,367
11,973 Pennsylvania Real Estate
Investment Trust 63,816
65,314 Realty Income Corp. 4,809,070
33,580 Regency Centers Corp. 2,118,562
23,246 Retail Opportunity Investments
Corp. 410,524
42,817 Retail Properties of America, Inc.,
Class A 573,748
2,978 Retail Value, Inc. 109,590
16,107 RPT Realty 242,249
2,360 Saul Centers, Inc. 124,561
6,717 Seritage Growth Properties,
Class A 269,217
61,495 Simon Property Group, Inc. 9,160,295
29,906 SITE Centers Corp. 419,282
19,987 Spirit Realty Capital, Inc. 982,961
18,616 Tanger Factory Outlet Centers,
Inc. 274,214
12,268 Taubman Centers, Inc. 381,412
23,078 Urban Edge Properties 442,636
5,991 Urstadt Biddle Properties, Inc.,
Class A 148,816
37,395 Washington Prime Group, Inc. 136,118
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
RETAIL REITS (CONTINUED)
24,240 Weingarten Realty Investors $ 757,258
8,143 Whitestone REIT 110,908
--------------
30,939,812
--------------
SPECIALIZED REITS -- 19.2%
23,867 CoreCivic, Inc. 414,808
7,552 CoreSite Realty Corp. 846,730
38,789 CubeSmart 1,221,078
22,686 CyrusOne, Inc. 1,484,345
41,828 Digital Realty Trust, Inc. 5,008,485
15,724 EPR Properties 1,110,743
17,091 Equinix, Inc. 9,976,017
25,954 Extra Space Storage, Inc. 2,741,262
5,485 Farmland Partners, Inc. 37,188
13,811 Four Corners Property Trust, Inc. 389,332
40,872 Gaming and Leisure Properties,
Inc. 1,759,540
24,304 GEO Group (The), Inc. 403,689
3,693 Gladstone Land Corp. 47,898
57,544 Iron Mountain, Inc. 1,833,927
9,348 Life Storage, Inc. 1,012,201
11,890 National Storage Affiliates Trust 399,742
30,105 Public Storage 6,411,161
11,644 QTS Realty Trust, Inc., Class A 631,920
2,490 Safehold, Inc. 100,347
92,387 VICI Properties, Inc. 2,360,488
--------------
38,190,901
--------------
TOTAL COMMON STOCKS -- 99.4% 197,552,462
(Cost $198,827,535) --------------
MONEY MARKET FUNDS -- 0.2%
335,637 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.50% (b) 335,637
(Cost $335,637) --------------
TOTAL INVESTMENTS -- 99.6% 197,888,099
(Cost $199,163,172) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.4% 753,968
--------------
NET ASSETS -- 100.0% $ 198,642,067
==============
(a) Non-income producing security.
(b) Rate shown reflects yield as of December 31, 2019.
(c) Aggregate cost for federal income tax purposes is $201,835,731. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$11,468,396 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$15,416,028. The net unrealized depreciation was $3,947,632.
Page 34 See Notes to Financial Statements
FIRST TRUST S&P REIT INDEX FUND (FRI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 197,552,462 $ -- $ --
Money Market
Funds 335,637 -- --
-------------------------------------------------
Total Investments $ 197,888,099 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
FIRST TRUST WATER ETF (FIW)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BEVERAGES -- 1.0%
499,820 Primo Water Corp. (a) $ 5,610,479
--------------
BUILDING PRODUCTS -- 6.0%
420,487 A.O. Smith Corp. 20,032,001
311,586 Advanced Drainage Systems, Inc. 12,102,000
--------------
32,134,001
--------------
CHEMICALS -- 3.4%
94,818 Ecolab, Inc. 18,298,926
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.4%
210,999 Tetra Tech, Inc. 18,179,674
--------------
CONSTRUCTION & ENGINEERING
-- 8.2%
482,411 AECOM (a) 20,806,387
309,668 Aegion Corp. (a) 6,927,273
108,273 Valmont Industries, Inc. 16,217,130
--------------
43,950,790
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 5.6%
189,615 Badger Meter, Inc. 12,311,702
211,242 Itron, Inc. (a) 17,733,766
--------------
30,045,468
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 7.2%
137,666 Danaher Corp. 21,128,978
67,511 IDEXX Laboratories, Inc. (a) 17,629,147
--------------
38,758,125
--------------
INDUSTRIAL CONGLOMERATES -- 3.5%
53,335 Roper Technologies, Inc. 18,892,857
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 4.4%
275,085 Agilent Technologies, Inc. 23,467,501
--------------
MACHINERY -- 35.1%
632,151 Energy Recovery, Inc. (a) (b) 6,188,758
632,633 Evoqua Water Technologies
Corp. (a) 11,988,395
401,026 Flowserve Corp. 19,959,064
213,320 Franklin Electric Co., Inc. 12,227,502
204,645 Gorman-Rupp (The) Co. 7,674,188
118,755 IDEX Corp. 20,425,860
110,814 Lindsay Corp. 10,637,036
371,040 Mueller Industries, Inc. 11,780,520
935,047 Mueller Water Products, Inc.,
Class A 11,201,863
476,502 Pentair PLC 21,857,147
560,388 Rexnord Corp. (a) 18,279,857
160,104 Watts Water Technologies, Inc.,
Class A 15,971,975
255,328 Xylem, Inc. 20,117,293
--------------
188,309,458
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
WATER UTILITIES -- 22.1%
184,973 American States Water Co. $ 16,026,061
153,634 American Water Works Co., Inc. 18,873,937
441,655 Aqua America, Inc. 20,731,286
345,754 AquaVenture Holdings Ltd. (a) 9,376,848
259,935 California Water Service Group 13,402,249
790,034 Cia de Saneamento Basico do
Estado de Sao Paulo, ADR 11,890,012
160,230 Middlesex Water Co. 10,185,821
143,141 SJW Group 10,171,599
163,713 York Water (The) Co. 7,548,806
--------------
118,206,619
--------------
TOTAL COMMON STOCKS -- 99.9% 535,853,898
(Cost $424,394,164) --------------
MONEY MARKET FUNDS -- 0.1%
13,930 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (c) (d) 13,930
454,027 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.50% (c) 454,027
--------------
TOTAL MONEY MARKET FUNDS
-- 0.1% 467,957
(Cost $467,957) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.0%
$ 84,560 BNP Paribas S.A., 1.56% (c),
dated 12/31/19, due 01/02/20,
with a maturity value of
$84,567. Collateralized by U.S.
Treasury Note, interest rate of
2.375%, due 04/30/26. The value
of the collateral including
accrued interest is
$86,567. (d) 84,560
(Cost $84,560) --------------
TOTAL INVESTMENTS -- 100.0% 536,406,415
(Cost $424,946,681) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (238,720)
--------------
NET ASSETS -- 100.0% $ 536,167,695
==============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $95,942 and the total value of the collateral held by the
Fund is $98,490.
(c) Rate shown reflects yield as of December 31, 2019.
(d) This security serves as collateral for securities on loan.
Page 36 See Notes to Financial Statements
FIRST TRUST WATER ETF (FIW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
(e) Aggregate cost for federal income tax purposes is $428,503,931. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$111,980,703 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$4,078,219. The net unrealized appreciation was $107,902,484.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 535,853,898 $ -- $ --
Money Market
Funds 467,957 -- --
Repurchase
Agreements -- 84,560 --
-------------------------------------------------
Total Investments $ 536,321,855 $ 84,560 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 95,942
Non-cash Collateral(2) (95,942)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2019, 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) $ 84,560
Non-cash Collateral(4) (84,560)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 37
FIRST TRUST NATURAL GAS ETF (FCG)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.1%
OIL, GAS & CONSUMABLE FUELS
-- 100.1%
832,163 Antero Resources Corp. (a) $ 2,371,665
159,614 Apache Corp. 4,084,522
223,099 Cabot Oil & Gas Corp. 3,884,154
5,083,755 Chesapeake Energy Corp. (a) 4,197,148
77,360 Cimarex Energy Co. 4,060,626
80,328 CNX Midstream Partners, L.P. (b) 1,322,199
333,280 CNX Resources Corp. (a) 2,949,528
49,010 Concho Resources, Inc. 4,291,806
59,330 ConocoPhillips 3,858,230
115,162 Continental Resources, Inc. 3,950,057
62,975 DCP Midstream, L.P. (b) 1,542,258
162,457 Devon Energy Corp. 4,219,008
162,570 Enable Midstream Partners,
L.P. (b) 1,630,577
902,592 Encana Corp. 4,233,156
288,570 Enerplus Corp. 2,057,504
92,904 EQM Midstream Partners, L.P. (b) 2,778,759
382,174 EQT Corp. 4,165,697
404,854 Gulfport Energy Corp. (a) 1,230,756
36,054 Hess Midstream L.P., Class A (b) 817,705
444,214 Laredo Petroleum, Inc. (a) 1,274,894
207,600 Matador Resources Co. (a) 3,730,572
153,980 Murphy Oil Corp. 4,126,664
171,300 Noble Energy, Inc. 4,255,092
110,411 PDC Energy, Inc. (a) 2,889,456
483,046 QEP Resources, Inc. 2,173,707
689,485 Range Resources Corp. (c) 3,344,002
252,259 SM Energy Co. 2,835,391
1,378,926 Southwestern Energy Co. (a) 3,337,001
111,617 Summit Midstream Partners,
L.P. (b) 369,452
50,986 TC PipeLines, L.P. (b) 2,156,708
181,206 Vermilion Energy, Inc. (c) 2,964,530
224,182 W&T Offshore, Inc. (a) 1,246,452
149,267 Western Midstream Partners,
L.P. (b) 2,939,067
--------------
TOTAL COMMON STOCKS -- 100.1% 95,288,343
(Cost $111,800,461) --------------
MONEY MARKET FUNDS -- 0.5%
500,709 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (d) (e) 500,709
(Cost $500,709) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 3.2%
$ 3,039,437 BNP Paribas S.A., 1.56% (d),
dated 12/31/19, due 01/02/20,
with a maturity value of
$3,039,700. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 04/30/26.
The value of the collateral
including accrued interest
is $3,111,586. (e) $ 3,039,437
(Cost $3,039,437) --------------
TOTAL INVESTMENTS -- 103.8% 98,828,489
(Cost $115,340,607) (f)
NET OTHER ASSETS AND
LIABILITIES -- (3.8)% (3,619,597)
--------------
NET ASSETS -- 100.0% $ 95,208,892
==============
(a) Non-income producing security.
(b) Security is a Master Limited Partnership ("MLP").
(c) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $3,533,371 and the total value of the collateral held by the
Fund is $3,540,146.
(d) Rate shown reflects yield as of December 31, 2019.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for federal income tax purposes is $134,526,691. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$1,495,294 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$37,193,496. The net unrealized depreciation was $35,698,202.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 95,288,343 $ -- $ --
Money Market
Funds 500,709 -- --
Repurchase
Agreements -- 3,039,437 --
-------------------------------------------------
Total Investments $ 95,789,052 $ 3,039,437 $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 38 See Notes to Financial Statements
FIRST TRUST NATURAL GAS ETF (FCG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
---------------------------------
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) $ 3,533,371
Non-cash Collateral(2) (3,533,371)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2019, 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) $ 3,039,437
Non-cash Collateral(4) (3,039,437)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 39
FIRST TRUST CHINDIA ETF (FNI)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AIR FREIGHT & LOGISTICS -- 0.7%
34,061 ZTO Express Cayman, Inc., ADR $ 795,324
--------------
AUTOMOBILES -- 5.5%
319,306 NIO, Inc., ADR (a) (b) 1,283,610
375,861 Tata Motors Ltd., ADR (b) 4,859,883
--------------
6,143,493
--------------
BANKS -- 13.9%
119,515 HDFC Bank Ltd., ADR 7,573,666
523,778 ICICI Bank Ltd., ADR 7,903,810
--------------
15,477,476
--------------
BIOTECHNOLOGY -- 1.9%
3,565 BeiGene Ltd., ADR (b) 590,934
6,216 China Biologic Products Holdings,
Inc. (b) 723,418
18,212 Zai Lab Ltd., ADR (b) 757,437
--------------
2,071,789
--------------
CONSUMER FINANCE -- 1.4%
60,858 LexinFintech Holdings Ltd.,
ADR (b) 845,318
146,134 Qudian, Inc., ADR (b) 688,291
--------------
1,533,609
--------------
DIVERSIFIED CONSUMER SERVICES
-- 3.9%
17,415 New Oriental Education &
Technology Group, Inc., ADR (b) 2,111,569
47,641 TAL Education Group, ADR (b) 2,296,296
--------------
4,407,865
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.7%
85,173 China Unicom (Hong Kong) Ltd.,
ADR 797,219
--------------
ENTERTAINMENT -- 6.3%
41,946 Bilibili, Inc., ADR (b) 781,035
34,352 HUYA, Inc., ADR (b) 616,618
37,850 iQIYI, Inc., ADR (a) (b) 799,014
13,374 NetEase, Inc., ADR 4,101,003
58,312 Tencent Music Entertainment
Group, ADR (b) 684,583
--------------
6,982,253
--------------
HOTELS, RESTAURANTS & LEISURE
-- 4.4%
21,188 Huazhu Group Ltd., ADR 849,003
24,041 Luckin Coffee, Inc., ADR (a) (b) 946,254
34,061 Melco Resorts & Entertainment
Ltd., ADR 823,254
47,363 Yum China Holdings, Inc. 2,273,898
--------------
4,892,409
--------------
INSURANCE -- 1.3%
57,526 China Life Insurance Co., Ltd.,
ADR 795,585
26,648 Fanhua, Inc., ADR 692,048
--------------
1,487,633
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INTERACTIVE MEDIA & SERVICES
-- 11.1%
11,782 58.com, Inc., ADR (b) $ 762,649
10,651 Autohome, Inc., ADR (b) 852,186
62,263 Baidu, Inc., ADR (b) 7,870,043
11,363 JOYY, Inc., ADR (b) 599,853
19,365 Momo, Inc., ADR 648,727
20,775 SINA Corp. (b) 829,546
16,931 Weibo Corp., ADR (b) 784,752
--------------
12,347,756
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 24.9%
36,900 Alibaba Group Holding Ltd.,
ADR (b) 7,826,490
19,089 Baozun, Inc., ADR (a) (b) 632,227
226,034 JD.com, Inc., ADR (b) 7,963,178
81,006 MakeMyTrip Ltd. (b) 1,855,037
117,306 Pinduoduo, Inc., ADR (b) 4,436,513
126,870 Trip.com Group Ltd., ADR (b) 4,255,220
56,716 Vipshop Holdings Ltd., ADR (b) 803,666
--------------
27,772,331
--------------
IT SERVICES -- 13.6%
15,481 GDS Holdings Ltd., ADR (b) 798,510
750,766 Infosys Ltd., ADR 7,747,905
1,161,752 Wipro Ltd., ADR 4,356,570
33,406 WNS (Holdings) Ltd., ADR (b) 2,209,807
--------------
15,112,792
--------------
MARINE -- 0.8%
61,687 Seaspan Corp. (a) 876,572
--------------
METALS & MINING -- 4.1%
523,871 Vedanta Ltd., ADR 4,521,007
--------------
OIL, GAS & CONSUMABLE FUELS
-- 2.2%
12,978 China Petroleum & Chemical
Corp., ADR 780,627
4,991 CNOOC Ltd., ADR 831,850
15,822 PetroChina Co., Ltd., ADR 796,321
--------------
2,408,798
--------------
PHARMACEUTICALS -- 1.9%
51,782 Dr. Reddy's Laboratories Ltd.,
ADR 2,101,314
--------------
PROFESSIONAL SERVICES -- 0.7%
9,219 51job, Inc., ADR (b) 782,693
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.7%
19,211 China Mobile Ltd., ADR 812,049
--------------
TOTAL COMMON STOCKS -- 100.0% 111,324,382
(Cost $117,022,945) --------------
Page 40 See Notes to Financial Statements
FIRST TRUST CHINDIA ETF (FNI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.5%
559,287 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (c) (d) $ 559,287
(Cost $559,287) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 3.1%
$ 3,395,016 BNP Paribas S.A., 1.56% (c),
dated 12/31/19, due 01/02/20, .
with a maturity value of
$3,395,311. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 04/30/26.
The value of the collateral
including accrued interest
is $3,475,606. (d) 3,395,016
(Cost $3,395,016) --------------
TOTAL INVESTMENTS -- 103.6% 115,278,685
(Cost $120,977,248) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.6)% (3,988,082)
--------------
NET ASSETS -- 100.0% $ 111,290,603
==============
(a) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $3,972,876 and the total value of the collateral held by the
Fund is $3,954,303.
(b) Non-income producing security.
(c) Rate shown reflects yield as of December 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $121,835,901. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$13,689,834 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$20,247,050. The net unrealized depreciation was $6,557,216.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 111,324,382 $ -- $ --
Money Market
Funds 559,287 -- --
Repurchase
Agreements -- 3,395,016 --
-------------------------------------------------
Total Investments $ 111,883,669 $ 3,395,016 $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 41
FIRST TRUST CHINDIA ETF (FNI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
---------------------------------
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) $ 3,972,876
Non-cash Collateral(2) (3,954,303)
--------------
Net Amount $ 18,573
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On December 31, 2019, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from December 30 to December 31, 2019, the value of the related securities
loaned was above the collateral value received. See Note 2D -- Securities
Lending in the Notes to Financial Statements.
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) $ 3,395,016
Non-cash Collateral(4) (3,395,016)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
Page 42 See Notes to Financial Statements
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BANKS -- 88.6%
14,206 1st Source Corp. $ 737,007
11,589 Allegiance Bancshares, Inc. (a) 435,746
17,550 Amalgamated Bank, Class A 341,347
16,143 Amerant Bancorp, Inc. (a) (b) 351,756
6,188 American National Bankshares,
Inc. 244,859
38,793 Ameris Bancorp 1,650,254
8,340 Arrow Financial Corp. 315,252
12,189 Atlantic Capital Bancshares,
Inc. (a) 223,668
44,912 Atlantic Union Bankshares Corp. 1,686,446
18,191 BancFirst Corp. 1,135,846
31,693 Bancorp (The), Inc. (a) 411,058
3,945 Bank First Corp. (b) 276,189
7,567 Bank of Marin Bancorp 340,893
71,814 Bank OZK 2,190,686
19,008 Banner Corp. 1,075,663
7,205 Baycom Corp. (a) 163,842
39,460 BOK Financial Corp. 3,448,804
46,356 Boston Private Financial Holdings,
Inc. 557,663
11,046 Bridge Bancorp, Inc. 370,372
44,421 Brookline Bancorp, Inc. 731,170
11,207 Bryn Mawr Bank Corp. 462,177
8,460 Camden National Corp. 389,668
9,327 Capital City Bank Group, Inc. 284,473
10,223 Capstar Financial Holdings, Inc. 170,213
14,665 Carter Bank & Trust (a) 347,854
44,387 Cathay General Bancorp 1,688,925
14,489 CBTX, Inc. 450,898
69,664 CenterState Bank Corp. 1,740,207
2,033 Century Bancorp, Inc., Class A 182,889
2,699 Chemung Financial Corp. 114,708
9,078 City Holding Co. 743,942
8,620 Civista Bancshares, Inc. 206,880
8,463 CNB Financial Corp. 276,571
40,172 Columbia Banking System, Inc. 1,634,398
62,750 Commerce Bancshares, Inc. 4,263,235
9,903 Community Trust Bancorp, Inc. 461,876
19,700 ConnectOne Bancorp, Inc. 506,684
78,023 CVB Financial Corp. 1,683,736
19,968 Dime Community Bancshares, Inc. 417,132
18,702 Eagle Bancorp, Inc. 909,478
14,768 Enterprise Financial Services
Corp. 711,965
8,600 Equity Bancshares, Inc.,
Class A (a) 265,482
15,408 Farmers National Banc Corp. 251,459
8,909 Financial Institutions, Inc. 285,979
16,486 First Bancorp 657,956
10,475 First Bancshares (The), Inc. 372,072
30,656 First Busey Corp. 843,040
5,420 First Citizens BancShares, Inc.,
Class A 2,884,578
8,676 First Community Bankshares, Inc. 269,130
55,345 First Financial Bancorp. 1,407,977
75,650 First Financial Bankshares, Inc. 2,655,315
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
7,637 First Financial Corp. $ 349,164
24,867 First Foundation, Inc. 432,686
72,939 First Hawaiian, Inc. 2,104,290
5,425 First Internet Bancorp 128,627
23,965 First Interstate BancSystem, Inc.,
Class A 1,004,613
31,016 First Merchants Corp. 1,289,955
9,280 First Mid Bancshares, Inc. 327,120
61,242 First Midwest Bancorp, Inc. 1,412,241
13,473 First of Long Island (The) Corp. 337,903
15,680 Flushing Financial Corp. 338,766
91,397 Fulton Financial Corp. 1,593,050
14,847 German American Bancorp, Inc. 528,850
51,338 Glacier Bancorp., Inc. 2,361,035
7,929 Great Southern Bancorp, Inc. 502,064
6,422 Guaranty Bancshares, Inc. 211,155
48,568 Hancock Whitney Corp. 2,131,164
17,327 Hanmi Financial Corp. 346,453
32,568 HarborOne Bancorp, Inc. (a) 357,922
20,436 Heartland Financial USA, Inc. 1,016,487
32,968 Heritage Commerce Corp. 422,979
20,392 Heritage Financial Corp. 577,094
92,909 Home BancShares, Inc. 1,826,591
9,881 HomeTrust Bancshares, Inc. 265,107
70,557 Hope Bancorp, Inc. 1,048,477
25,043 Horizon Bancorp, Inc. 475,817
19,142 Independent Bank Corp. 1,593,572
12,519 Independent Bank Corp./MI 283,555
23,919 Independent Bank Group, Inc. 1,326,069
36,306 International Bancshares Corp. 1,563,699
153,006 Investors Bancorp, Inc. 1,823,066
28,122 Lakeland Bancorp, Inc. 488,760
14,269 Lakeland Financial Corp. 698,182
20,311 Live Oak Bancshares, Inc. 386,112
9,098 Mercantile Bank Corp. 331,804
13,515 Midland States Bancorp, Inc. 391,394
8,999 MidWestOne Financial Group, Inc. 326,034
6,585 MVB Financial Corp. 164,098
24,387 NBT Bancorp, Inc. 989,137
5,875 Nicolet Bankshares, Inc. (a) 433,869
3,642 Northrim BanCorp, Inc. 139,489
94,687 Old National Bancorp 1,731,825
16,652 Old Second Bancorp, Inc. 224,302
20,217 Opus Bank 523,014
13,076 Origin Bancorp, Inc. 494,796
33,059 Pacific Premier Bancorp, Inc. 1,077,889
66,730 PacWest Bancorp 2,553,757
8,738 PCB Bancorp 150,993
10,606 Peapack Gladstone Financial Corp. 327,725
10,500 People's Utah Bancorp 316,260
11,523 Peoples Bancorp, Inc. 399,387
42,638 Pinnacle Financial Partners, Inc. 2,728,832
53,873 Popular, Inc. 3,165,039
8,327 Preferred Bank 500,369
8,796 QCR Holdings, Inc. 385,793
11,155 RBB Bancorp 236,151
31,881 Renasant Corp. 1,129,225
See Notes to Financial Statements Page 43
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
10,437 Republic Bancorp, Inc., Class A $ 488,452
32,768 Republic First Bancorp, Inc. (a) 136,970
19,070 S&T Bancorp, Inc. 768,330
19,842 Sandy Spring Bancorp, Inc. 751,615
28,670 Seacoast Banking Corp. of
Florida (a) 876,442
29,844 ServisFirst Bancshares, Inc. 1,124,522
8,516 Sierra Bancorp 247,986
63,470 Simmons First National Corp.,
Class A 1,700,361
7,775 SmartFinancial, Inc. 183,879
18,790 South State Corp. 1,630,033
4,243 Southern First Bancshares,
Inc. (a) 180,285
13,466 Southern National Bancorp of
Virginia, Inc. 220,169
18,805 Southside Bancshares, Inc. 698,418
8,989 Spirit of Texas Bancshares,
Inc. (a) 206,747
12,584 Stock Yards Bancorp, Inc. 516,699
85,430 TCF Financial Corp. 3,998,124
40,448 TowneBank 1,125,263
16,997 TriCo Bancshares 693,648
16,319 TriState Capital Holdings,
Inc. (a) 426,252
14,121 Triumph Bancorp, Inc. (a) 536,880
35,785 Trustmark Corp. 1,234,940
27,339 UMB Financial Corp. 1,876,549
122,635 Umpqua Holdings Corp. 2,170,640
56,550 United Bankshares, Inc. 2,186,223
43,984 United Community Banks, Inc. 1,358,226
16,332 Univest Financial Corp. 437,371
184,774 Valley National Bancorp 2,115,662
28,904 Veritex Holdings, Inc. 841,974
9,662 Washington Trust Bancorp, Inc. 519,719
30,456 WesBanco, Inc. 1,150,932
9,121 West Bancorporation, Inc. 233,771
15,066 Westamerica Bancorporation 1,021,023
31,783 Wintrust Financial Corp. 2,253,415
--------------
126,414,745
--------------
IT SERVICES -- 0.3%
8,073 Cass Information Systems, Inc. 466,135
--------------
THRIFTS & MORTGAGE FINANCE
-- 11.0%
16,028 Bridgewater Bancshares, Inc. (a) 220,866
78,801 Capitol Federal Financial, Inc. 1,081,938
63,576 Columbia Financial, Inc. (a) 1,076,977
10,987 First Defiance Financial Corp. 345,981
2,480 FS Bancorp, Inc. 158,199
1,188 Hingham Institution for Savings 249,718
5,165 Home Bancorp, Inc. 202,416
13,594 HomeStreet, Inc. (a) 462,196
47,952 Kearny Financial Corp. 663,176
15,986 Merchants Bancorp 315,084
29,725 Meridian Bancorp, Inc. 597,175
20,930 Meta Financial Group, Inc. 764,154
27,385 Northfield Bancorp, Inc. 464,450
59,404 Northwest Bancshares, Inc. 987,888
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
28,045 OceanFirst Financial Corp. $ 716,269
9,866 PCSB Financial Corp. 199,786
10,851 Provident Bancorp, Inc. (a) 135,095
5,124 Southern Missouri Bancorp, Inc. 196,557
27,958 Sterling Bancorp, Inc. 226,460
155,944 TFS Financial Corp. 3,068,978
53,972 TrustCo Bank Corp. NY 467,937
43,687 Washington Federal, Inc. 1,601,129
15,118 Waterstone Financial, Inc. 287,696
29,041 WSFS Financial Corp. 1,277,514
--------------
15,767,639
--------------
TOTAL COMMON STOCKS -- 99.9% 142,648,519
(Cost $148,969,855) --------------
MONEY MARKET FUNDS -- 0.0%
17,072 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (c) (d) 17,072
(Cost $17,072) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.1%
$ 103,628 BNP Paribas S.A., 1.56% (c),
dated 12/31/19, due 01/02/20,
with a maturity value of
$103,637. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 04/30/26.
The value of the collateral
including accrued interest
is $106,088. (d) 103,628
(Cost $103,628) --------------
TOTAL INVESTMENTS -- 100.0% 142,769,219
(Cost $149,090,555) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (16,744)
--------------
NET ASSETS -- 100.0% $ 142,752,475
==============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $117,948 and the total value of the collateral held by the
Fund is $120,700.
(c) Rate shown reflects yield as of December 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $149,987,364. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$5,591,387 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$12,809,532. The net unrealized depreciation was $7,218,145.
Page 44 See Notes to Financial Statements
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 142,648,519 $ -- $ --
Money Market
Funds 17,072 -- --
Repurchase
Agreements -- 103,628 --
-------------------------------------------------
Total Investments $ 142,665,591 $ 103,628 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 117,948
Non-cash Collateral(2) (117,948)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2019, 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) $ 103,628
Non-cash Collateral(4) (103,628)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2019
FIRST TRUST FIRST TRUST
NASDAQ-100 FIRST TRUST NASDAQ-100
EQUAL NASDAQ-100- EX-TECHNOLOGY
WEIGHTED TECHNOLOGY SECTOR SECTOR
INDEX FUND INDEX FUND INDEX FUND
(QQEW) (QTEC) (QQXT)
---------------- ----------------- ----------------
ASSETS:
Investments, at value............................................... $ 908,345,026 $ 2,913,931,686 $ 102,225,480
Cash................................................................ -- -- --
Receivables:
Capital shares sold........................................... 3,679,599 5,004,025 --
Dividends..................................................... 583,943 761,084 94,671
Securities lending income..................................... 216 -- --
Prepaid expenses.................................................... 5,561 20,492 772
-------------- --------------- --------------
Total Assets.................................................. 912,614,345 2,919,717,287 102,320,923
-------------- --------------- --------------
LIABILITIES:
Due to custodian.................................................... 42,117 56,356 21,136
Payables:
Investment securities purchased............................... 3,680,340 5,005,782 --
Collateral for securities on loan............................. 709,775 -- --
Investment advisory fees...................................... 295,238 959,655 36,044
Licensing fees................................................ 196,291 655,692 24,525
Shareholder reporting fees.................................... 33,575 103,277 7,456
Audit and tax fees............................................ 22,924 22,924 22,924
Trustees' fees................................................ 70 165 35
Other liabilities................................................... 196,266 525,530 25,809
-------------- --------------- --------------
Total Liabilities............................................. 5,176,596 7,329,381 137,929
-------------- --------------- --------------
NET ASSETS.......................................................... $ 907,437,749 $ 2,912,387,906 $ 102,182,994
============== =============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 799,494,118 $ 2,348,749,742 $ 94,030,099
Par value........................................................... 123,000 291,000 17,500
Accumulated distributable earnings (loss)........................... 107,820,631 563,347,164 8,135,395
-------------- --------------- --------------
NET ASSETS.......................................................... $ 907,437,749 $ 2,912,387,906 $ 102,182,994
============== =============== ==============
NET ASSET VALUE, per share.......................................... $ 73.78 $ 100.08 $ 58.39
============== =============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 12,300,002 29,100,002 1,750,002
============== =============== ==============
Investments, at cost................................................ $ 761,708,373 $ 2,258,485,865 $ 80,696,185
============== =============== ==============
Securities on loan, at value........................................ $ 699,985 $ -- $ --
============== =============== ==============
Page 46 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
NASDAQ(R) FIRST TRUST NASDAQ(R) ABA
CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY
GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK
INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND
(QCLN) (FRI) (FIW) (FCG) (FNI) (QABA)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 153,677,810 $ 197,888,099 $ 536,406,415 $ 98,828,489 $ 115,278,685 $ 142,769,219
369,306 -- -- -- 52,450 53,760
-- -- 2,995,306 1,205,406 -- --
96,572 991,929 263,477 29,740 -- 222,450
100,396 -- 533 6,316 30,906 25
936 1,527 3,869 623 765 1,202
-------------- -------------- -------------- -------------- -------------- --------------
154,245,020 198,881,555 539,669,600 100,070,574 115,362,806 143,046,656
-------------- -------------- -------------- -------------- -------------- --------------
-- -- -- 9,421 -- --
-- -- 2,993,448 1,206,442 -- --
9,636,812 -- 98,490 3,540,146 3,954,303 120,700
45,203 51,519 177,188 34,928 40,355 64,418
31,089 96,902 62,285 19,614 20,693 32,754
11,018 12,395 24,317 9,077 9,455 13,385
22,924 22,924 22,924 22,924 22,924 22,924
28 26 4 44 48 68
30,849 55,722 123,249 19,086 24,425 39,932
-------------- -------------- -------------- -------------- -------------- --------------
9,777,923 239,488 3,501,905 4,861,682 4,072,203 294,181
-------------- -------------- -------------- -------------- -------------- --------------
$ 144,467,097 $ 198,642,067 $ 536,167,695 $ 95,208,892 $ 111,290,603 $ 142,752,475
============== ============== ============== ============== ============== ==============
$ 141,992,264 $ 202,155,871 $ 434,817,595 $ 620,577,418 $ 185,640,345 $ 159,221,891
58,000 76,000 89,500 78,984 28,000 27,500
2,416,833 (3,589,804) 101,260,600 (525,447,510) (74,377,742) (16,496,916)
-------------- -------------- -------------- -------------- -------------- --------------
$ 144,467,097 $ 198,642,067 $ 536,167,695 $ 95,208,892 $ 111,290,603 $ 142,752,475
============== ============== ============== ============== ============== ==============
$ 24.91 $ 26.14 $ 59.91 $ 12.05 $ 39.75 $ 51.91
============== ============== ============== ============== ============== ==============
5,800,002 7,600,002 8,950,002 7,898,365 2,800,002 2,750,002
============== ============== ============== ============== ============== ==============
$ 115,456,030 $ 199,163,172 $ 424,946,681 $ 115,340,607 $ 120,977,248 $ 149,090,555
============== ============== ============== ============== ============== ==============
$ 9,754,955 $ -- $ 95,942 $ 3,533,371 $ 3,972,876 $ 117,948
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2019
FIRST TRUST FIRST TRUST
NASDAQ-100 FIRST TRUST NASDAQ-100
EQUAL NASDAQ-100- EX-TECHNOLOGY
WEIGHTED TECHNOLOGY SECTOR SECTOR
INDEX FUND INDEX FUND INDEX FUND
(QQEW) (QTEC) (QQXT)
---------------- ----------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 8,240,248 $ 34,249,017 $ 894,417
Securities lending income (net of fees)............................. 54,565 1,896 12,583
Foreign withholding tax............................................. (33,008) (285,756) --
-------------- --------------- --------------
Total investment income....................................... 8,261,805 33,965,157 907,000
-------------- --------------- --------------
EXPENSES:
Investment advisory fees............................................ 2,876,108 9,757,654 368,786
Licensing fees...................................................... 716,913 2,430,498 91,816
Accounting and administration fees.................................. 360,987 1,072,381 47,457
Shareholder reporting fees.......................................... 74,482 214,547 19,590
Custodian fees...................................................... 61,248 160,749 13,300
Transfer agent fees................................................. 35,952 85,983 4,610
Registration and filing fees........................................ 28,866 6,739 1,176
Audit and tax fees.................................................. 23,628 23,628 23,629
Legal fees.......................................................... 20,675 65,995 2,476
Trustees' fees and expenses......................................... 8,088 10,138 7,316
Listing fees........................................................ 6,209 6,575 6,002
Other expenses...................................................... 8,914 39,820 1,546
-------------- --------------- --------------
Total expenses................................................ 4,222,070 13,874,707 587,704
Less fees waived and expenses reimbursed by the investment
advisor.................................................... -- -- (34,524)
-------------- --------------- --------------
Net expenses.................................................. 4,222,070 13,874,707 553,180
-------------- --------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 4,039,735 20,090,450 353,820
-------------- --------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (45,738) (30,054,444) 2,054,309
In-kind redemptions........................................... 68,983,855 289,883,214 911,089
Foreign currency transactions................................. -- -- --
-------------- --------------- --------------
Net realized gain (loss)............................................ 68,938,117 259,828,770 2,965,398
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................... 122,382,566 632,641,177 19,058,774
Foreign currency translation.................................. -- -- --
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation)................ 122,382,566 632,641,177 19,058,774
-------------- --------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 191,320,683 892,469,947 22,024,172
-------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 195,360,418 $ 912,560,397 $ 22,377,992
============== =============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
NASDAQ(R) FIRST TRUST NASDAQ(R) ABA
CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY
GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK
INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND
(QCLN) (FRI) (FIW) (FCG) (FNI) (QABA)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 521,980 $ 4,572,278 $ 4,583,294 $ 1,065,808 $ 863,373 $ 4,652,444
784,408 -- 8,900 76,609 235,875 5,077
(37,916) -- -- (66,066) (21,654) (8,402)
-------------- -------------- -------------- -------------- -------------- --------------
1,268,472 4,572,278 4,592,194 1,076,351 1,077,594 4,649,119
-------------- -------------- -------------- -------------- -------------- --------------
429,944 472,533 1,592,212 344,996 458,352 721,595
107,099 126,008 198,313 85,743 90,632 161,552
55,248 80,989 200,482 44,583 59,039 93,200
26,895 30,837 55,488 24,130 16,335 27,418
9,787 41,913 46,623 12,496 6,408 28,791
5,375 7,876 19,903 4,312 5,728 9,019
2,059 6,301 14,731 -- -- (6,575)
23,628 23,628 23,628 23,628 23,628 23,628
2,906 4,320 10,777 2,087 1,201 3,760
7,328 7,383 7,634 7,316 7,307 7,439
6,143 7,471 7,952 8,036 8,036 6,152
2,300 658 5,649 1,434 5,428 4,188
-------------- -------------- -------------- -------------- -------------- --------------
678,712 809,917 2,183,392 558,761 682,094 1,080,167
(33,796) (22,365) -- (41,266) -- --
-------------- -------------- -------------- -------------- -------------- --------------
644,916 787,552 2,183,392 517,495 682,094 1,080,167
-------------- -------------- -------------- -------------- -------------- --------------
623,556 3,784,726 2,408,802 558,856 395,500 3,568,952
-------------- -------------- -------------- -------------- -------------- --------------
490,227 (1,611,882) (777,833) (43,307,500) (2,607,882) (4,677,883)
578,129 4,172,945 4,090,065 3,131,138 7,549,827 (6,679,728)
-- -- -- 450 -- --
-------------- -------------- -------------- -------------- -------------- --------------
1,068,356 2,561,063 3,312,232 (40,175,912) 4,941,945 (11,357,611)
-------------- -------------- -------------- -------------- -------------- --------------
36,620,613 20,571,144 112,270,384 29,070,325 26,166,968 46,428,802
-- -- -- 145 -- --
-------------- -------------- -------------- -------------- -------------- --------------
36,620,613 20,571,144 112,270,384 29,070,470 26,166,968 46,428,802
-------------- -------------- -------------- -------------- -------------- --------------
37,688,969 23,132,207 115,582,616 (11,105,442) 31,108,913 35,071,191
-------------- -------------- -------------- -------------- -------------- --------------
$ 38,312,525 $ 26,916,933 $ 117,991,418 $ (10,546,586) $ 31,504,413 $ 38,640,143
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
NASDAQ-100 NASDAQ-100-
EQUAL WEIGHTED TECHNOLOGY SECTOR
INDEX FUND INDEX FUND
(QQEW) (QTEC)
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2019 12/31/2018 12/31/2019 12/31/2018
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss)................................ $ 4,039,735 $ 2,814,614 $ 20,090,450 $ 20,449,136
Net realized gain (loss).................................... 68,938,117 36,660,258 259,828,770 258,441,729
Net increase from payment by the advisor.................... -- 22,098 -- --
Net change in unrealized appreciation (depreciation)........ 122,382,566 (64,499,253) 632,641,177 (404,848,814)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... 195,360,418 (25,002,283) 912,560,397 (125,957,949)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (3,935,821) (2,716,080) (19,495,801) (19,564,271)
Return of capital........................................... -- -- -- --
-------------- -------------- -------------- --------------
Total distributions to shareholders......................... (3,935,821) (2,716,080) (19,495,801) (19,564,271)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 460,061,921 79,723,310 950,824,332 936,219,196
Cost of shares redeemed..................................... (205,513,260) (120,172,606) (882,169,809) (1,040,739,511)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions............................ 254,548,661 (40,449,296) 68,654,523 (104,520,315)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... 445,973,258 (68,167,659) 961,719,119 (250,042,535)
NET ASSETS:
Beginning of period......................................... 461,464,491 529,632,150 1,950,668,787 2,200,711,322
-------------- -------------- -------------- --------------
End of period............................................... $ 907,437,749 $ 461,464,491 $2,912,387,906 $1,950,668,787
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 8,450,002 9,150,002 28,700,002 30,600,002
Shares sold................................................. 7,000,000 1,300,000 10,550,000 11,950,000
Shares redeemed............................................. (3,150,000) (2,000,000) (10,150,000) (13,850,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................... 12,300,002 8,450,002 29,100,002 28,700,002
============== ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
NASDAQ-100 NASDAQ(R) S&P FIRST TRUST
EX-TECHNOLOGY SECTOR CLEAN EDGE(R) GREEN ENERGY REIT WATER
INDEX FUND INDEX FUND INDEX FUND ETF
(QQXT) (QCLN) (FRI) (FIW)
----------------------------- ------------------------------- ------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
12/31/2019 12/31/2018 12/31/2019 12/31/2018 12/31/2019 12/31/2018 12/31/2019 12/31/2018
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 353,820 $ 317,901 $ 623,556 $ 550,270 $ 3,784,726 $ 3,481,597 $ 2,408,802 $ 2,289,394
2,965,398 6,319,501 1,068,356 (1,384,642) 2,561,063 (8,816,597) 3,312,232 25,993,912
-- -- -- -- -- -- -- --
19,058,774 (11,325,769) 36,620,613 (11,072,153) 20,571,144 (5,846,287) 112,270,384 (57,825,167)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
22,377,992 (4,688,367) 38,312,525 (11,906,525) 26,916,933 (11,181,287) 117,991,418 (29,541,861)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
(347,860) (308,595) (1,099,140) (510,967) (3,933,661) (3,585,667) (2,453,686) (2,110,505)
-- -- -- (350,683) -- -- -- --
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
(347,860) (308,595) (1,099,140) (861,650) (3,933,661) (3,585,667) (2,453,686) (2,110,505)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
5,311,126 10,002,377 25,415,355 11,063,662 106,488,924 60,347,868 143,444,740 110,251,184
(2,776,468) (29,301,259) (1,893,033) (5,826,072) (46,525,981) (91,675,775) (12,922,220) (87,266,237)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
2,534,658 (19,298,882) 23,522,322 5,237,590 59,962,943 (31,327,907) 130,522,520 22,984,947
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
24,564,790 (24,295,844) 60,735,707 (7,530,585) 82,946,215 (46,094,861) 246,060,252 (8,667,419)
77,618,204 101,914,048 83,731,390 91,261,975 115,695,852 161,790,713 290,107,443 298,774,862
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 102,182,994 $ 77,618,204 $ 144,467,097 $ 83,731,390 $ 198,642,067 $ 115,695,852 $ 536,167,695 $ 290,107,443
============= ============= ============== ============== ============== ============== ============== ==============
1,700,002 2,100,002 4,750,002 4,500,002 5,350,002 6,950,002 6,600,002 6,150,002
100,000 200,000 1,150,000 550,000 4,150,000 2,550,000 2,600,000 2,250,000
(50,000) (600,000) (100,000) (300,000) (1,900,000) (4,150,000) (250,000) (1,800,000)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
1,750,002 1,700,002 5,800,002 4,750,002 7,600,002 5,350,002 8,950,002 6,600,002
============= ============= ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
NATURAL GAS CHINDIA
ETF ETF
(FCG) (FNI)
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2019 12/31/2018 12/31/2019 12/31/2018
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss)................................ $ 558,856 $ 107,831 $ 395,500 $ 3,676,414
Net realized gain (loss).................................... (40,175,912) (16,202,838) 4,941,945 22,238,027
Net increase from payment by the advisor.................... -- -- -- --
Net change in unrealized appreciation (depreciation)........ 29,070,470 (34,785,338) 26,166,968 (102,311,847)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... (10,546,586) (50,880,345) 31,504,413 (76,397,406)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (702,738) -- (356,420) (4,434,111)
Return of capital........................................... (1,498,301) (1,420,088) -- --
-------------- -------------- -------------- --------------
Total distributions to shareholders......................... (2,201,039) (1,420,088) (356,420) (4,434,111)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 56,754,471 31,493,285 14,960,610 123,727,641
Cost of shares redeemed..................................... (37,671,942) (74,580,615) (67,824,717) (285,804,842)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions............................ 19,082,529 (43,087,330) (52,864,107) (162,077,201)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... 6,334,904 (95,387,763) (21,716,114) (242,908,718)
NET ASSETS:
Beginning of period......................................... 88,873,988 184,261,751 133,006,717 375,915,435
-------------- -------------- -------------- --------------
End of period............................................... $ 95,208,892 $ 88,873,988 $ 111,290,603 $ 133,006,717
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 6,048,365 8,098,365 4,300,002 9,500,002
Shares sold................................................. 4,200,000 1,450,000 400,000 3,200,000
Shares redeemed............................................. (2,350,000) (3,500,000) (1,900,000) (8,400,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................... 7,898,365 6,048,365 2,800,002 4,300,002
============== ============== ============== ==============
Page 52 See Notes to Financial Statements
FIRST TRUST
NASDAQ(R) ABA
COMMUNITY BANK
INDEX FUND
(QABA)
-----------------------------
Year Ended Year Ended
12/31/2019 12/31/2018
-----------------------------
$ 3,568,952 $ 5,190,750
(11,357,611) 3,065,123
-- --
46,428,802 (67,237,070)
------------- -------------
38,640,143 (58,981,197)
------------- -------------
(3,498,602) (5,212,126)
-- --
------------- -------------
(3,498,602) (5,212,126)
------------- -------------
-- 115,204,523
(121,151,073) (136,281,236)
------------- -------------
(121,151,073) (21,076,713)
------------- -------------
(86,009,532) (85,270,036)
228,762,007 314,032,043
------------- -------------
$ 142,752,475 $ 228,762,007
============= =============
5,300,002 6,000,002
-- 2,050,000
(2,550,000) (2,750,000)
------------- -------------
2,750,002 5,300,002
============= =============
See Notes to Financial Statements Page 53
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 54.61 $ 57.88 $ 46.18 $ 43.48 $ 42.80
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.36 0.32 0.24 0.31 0.22
Net realized and unrealized gain (loss) 19.16 (3.29) (a) 11.74 2.73 0.73
------------ ------------ ------------ ------------ ------------
Total from investment operations 19.52 (2.97) 11.98 3.04 0.95
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.35) (0.30) (0.28) (0.34) (0.27)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 73.78 $ 54.61 $ 57.88 $ 46.18 $ 43.48
============ ============ ============ ============ ============
TOTAL RETURN (b) 35.78% (5.16)% (a) 26.00% 7.02% 2.22%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 907,438 $ 461,464 $ 529,632 $ 404,044 $ 532,679
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.59% 0.60% 0.60% 0.61% 0.60%
Ratio of net expenses to average net
assets 0.59% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.56% 0.52% 0.45% 0.72% 0.51%
Portfolio turnover rate (c) 29% 27% 26% 29% 31%
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 67.97 $ 71.92 $ 52.62 $ 42.64 $ 43.67
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.70 0.65 0.48 0.67 0.37
Net realized and unrealized gain (loss) 32.09 (3.98) 19.39 9.99 (0.98)
------------ ------------ ------------ ------------ ------------
Total from investment operations 32.79 (3.33) 19.87 10.66 (0.61)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.68) (0.62) (0.57) (0.68) (0.42)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 100.08 $ 67.97 $ 71.92 $ 52.62 $ 42.64
============ ============ ============ ============ ============
TOTAL RETURN (b) 48.36% (4.70)% 37.86% 25.27% (1.37)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,912,388 $ 1,950,669 $ 2,200,711 $ 1,570,855 $ 302,735
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.57% 0.57% 0.58% 0.60% 0.60%
Ratio of net expenses to average net
assets 0.57% 0.57% 0.58% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.82% 0.84% 0.76% 1.40% 0.83%
Portfolio turnover rate (c) 23% 21% 21% 27% 23%
(a) The Fund received a reimbursement from the Advisor in the amount of
$22,098 in connection with a trade error, which represents less than $0.01
per share. Since the Advisor reimbursed the Fund, there was no effect on
the Fund's total return.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 45.66 $ 48.53 $ 40.44 $ 41.45 $ 39.73
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.20 0.18 0.12 0.09 0.13
Net realized and unrealized gain (loss) 12.73 (2.88) 8.13 (0.98) 1.75
------------ ------------ ------------ ------------ ------------
Total from investment operations 12.93 (2.70) 8.25 (0.89) 1.88
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.20) (0.17) (0.16) (0.12) (0.16)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 58.39 $ 45.66 $ 48.53 $ 40.44 $ 41.45
============ ============ ============ ============ ============
TOTAL RETURN (a) 28.35% (5.58)% 20.41% (2.13)% 4.75%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 102,183 $ 77,618 $ 101,914 $ 103,118 $ 184,447
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.64% 0.64% 0.63% 0.64% 0.63%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.38% 0.34% 0.25% 0.23% 0.33%
Portfolio turnover rate (b) 31% 26% 25% 30% 39%
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 17.63 $ 20.28 $ 15.47 $ 16.01 $ 17.23
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.13 0.12 0.05 0.17 0.11
Net realized and unrealized gain (loss) 7.36 (2.59) 4.85 (0.52) (1.21)
------------ ------------ ------------ ------------ ------------
Total from investment operations 7.49 (2.47) 4.90 (0.35) (1.10)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.21) (0.11) (0.09) (0.19) (0.12)
Return of capital -- (0.07) -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions (0.21) (0.18) (0.09) (0.19) (0.12)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 24.91 $ 17.63 $ 20.28 $ 15.47 $ 16.01
============ ============ ============ ============ ============
TOTAL RETURN (a) 42.69% (12.22)% 31.73% (2.12)% (6.43)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 144,467 $ 83,731 $ 91,262 $ 51,837 $ 69,655
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.63% 0.65% 0.66% 0.68% 0.65%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.58% 0.59% 0.23% 1.18% 0.65%
Portfolio turnover rate (b) 26% 45% 32% 49% 35%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 55
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST S&P REIT INDEX FUND (FRI)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 21.63 $ 23.28 $ 23.07 $ 22.07 $ 22.24
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.56 0.69 0.71 0.62 0.55
Net realized and unrealized gain (loss) 4.55 (1.65) 0.16 1.13 (0.13)
------------ ------------ ------------ ------------ ------------
Total from investment operations 5.11 (0.96) 0.87 1.75 0.42
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.60) (0.69) (0.66) (0.75) (0.59)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 26.14 $ 21.63 $ 23.28 $ 23.07 $ 22.07
============ ============ ============ ============ ============
TOTAL RETURN (a) 23.67% (4.19)% 3.79% 7.92% 1.97%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 198,642 $ 115,696 $ 161,791 $ 236,426 $ 226,250
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.51% 0.52% 0.48% 0.49% 0.48%
Ratio of net expenses to average net
assets 0.50% 0.50% 0.48% 0.49% 0.48%
Ratio of net investment income (loss) to
average net assets 2.40% 3.05% 2.77% 2.52% 2.30%
Portfolio turnover rate (b) 10% 10% 7% 6% 8%
FIRST TRUST WATER ETF (FIW)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 43.96 $ 48.58 $ 39.61 $ 30.13 $ 33.65
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.32 0.35 0.54 0.20 0.23
Net realized and unrealized gain (loss) 15.96 (4.65) 8.98 9.48 (3.52)
------------ ------------ ------------ ------------ ------------
Total from investment operations 16.28 (4.30) 9.52 9.68 (3.29)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.33) (0.32) (0.55) (0.20) (0.23)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 59.91 $ 43.96 $ 48.58 $ 39.61 $ 30.13
============ ============ ============ ============ ============
TOTAL RETURN (a) 37.11% (8.89)% 24.25% 32.21% (9.81)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 536,168 $ 290,107 $ 298,775 $ 221,791 $ 102,432
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.55% 0.55% 0.56% 0.57% 0.57%
Ratio of net expenses to average net
assets 0.55% 0.55% 0.56% 0.57% 0.57%
Ratio of net investment income (loss) to
average net assets 0.61% 0.72% 1.26% 0.58% 0.70%
Portfolio turnover rate (b) 12% 11% 24% 42% 17%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 56 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NATURAL GAS ETF (FCG)
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------------------
2019 2018 2017 2016 2015 (a)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 14.69 $ 22.75 $ 26.15 $ 22.30 $ 56.10
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.10 0.02 (0.02) 0.13 1.00
Net realized and unrealized gain (loss) (2.39) (7.86) (3.02) 4.16 (33.75)
------------ ------------ ------------ ------------ ------------
Total from investment operations (2.29) (7.84) (3.04) 4.29 (32.75)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.11) -- (0.23) (0.44) (1.05)
Return of capital (0.24) (0.22) (0.13) -- --
------------ ------------ ------------ ------------ ------------
Total distributions (0.35) (0.22) (0.36) (0.44) (1.05)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 12.05 $ 14.69 $ 22.75 $ 26.15 $ 22.30
============ ============ ============ ============ ============
TOTAL RETURN (b) (15.87)% (34.77)% (11.53)% 19.48% (59.10)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 95,209 $ 88,874 $ 184,262 $ 251,024 $ 153,042
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.65% 0.63% 0.64% (c) 0.64% (c) 0.62%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.63% (c) 0.61% (c) 0.60%
Ratio of net investment income (loss) to
average net assets 0.65% 0.07% (0.11)% 0.54% 2.44%
Portfolio turnover rate (d) 61% 47% 53% 103% 67%
FIRST TRUST CHINDIA ETF (FNI)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 30.93 $ 39.57 $ 27.39 $ 28.36 $ 28.63
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.14 0.04 0.34 0.25 0.15
Net realized and unrealized gain (loss) 8.81 (8.16) 12.61 (0.85) (0.24)
------------ ------------ ------------ ------------ ------------
Total from investment operations 8.95 (8.12) 12.95 (0.60) (0.09)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.52) (0.77) (0.37) (0.18)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 39.75 $ 30.93 $ 39.57 $ 27.39 $ 28.36
============ ============ ============ ============ ============
TOTAL RETURN (b) 28.96% (20.68)% 47.36% (2.15)% (0.32)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 111,291 $ 133,007 $ 375,915 $ 131,466 $ 221,188
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.60% 0.59% 0.60% 0.60% 0.62%
Ratio of net expenses to average net
assets 0.60% 0.59% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.35% 1.06% 0.91% 0.91% 0.64%
Portfolio turnover rate (d) 26% 22% 35% 47% 68%
(a) All per share amounts and net asset values have been adjusted to reflect
the impact of the 1-for-5 reverse share split on May 2, 2016. The net
asset value reported on December 31, 2015 prior to the reverse share split
restatement was $4.46.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(c) For the years ended December 31, 2017 and 2016, ratios reflect excise tax
of 0.03% and 0.01%, respectively, which are not included in the expense
cap.
(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 57
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 43.16 $ 52.34 $ 52.81 $ 38.94 $ 36.61
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.04 0.81 0.74 0.58 0.56
Net realized and unrealized gain (loss) 8.72 (9.17) (0.46) 13.89 2.31
------------ ------------ ------------ ------------ ------------
Total from investment operations 9.76 (8.36) 0.28 14.47 2.87
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.01) (0.82) (0.75) (0.60) (0.54)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 51.91 $ 43.16 $ 52.34 $ 52.81 $ 38.94
============ ============ ============ ============ ============
TOTAL RETURN (a) 22.80% (16.14)% 0.55% 37.57% 7.88%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 142,752 $ 228,762 $ 314,032 $ 404,023 $ 223,902
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.60% 0.60% 0.60% 0.61% 0.62%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 1.98% 1.50% 1.37% 1.54% 1.52%
Portfolio turnover rate (b) 15% 11% 14% 16% 19%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 58 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
1. ORGANIZATION
First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on August 8,
2003, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds. This report
covers the nine funds listed below:
First Trust NASDAQ-100 Equal Weighted Index Fund - (The Nasdaq Stock
Market LLC ("Nasdaq") ticker "QQEW")
First Trust NASDAQ-100-Technology Sector Index Fund - (Nasdaq ticker
"QTEC")
First Trust NASDAQ-100 Ex-Technology Sector Index Fund - (Nasdaq
ticker "QQXT")
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund - (Nasdaq
ticker "QCLN")
First Trust S&P REIT Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker
"FRI")
First Trust Water ETF - (NYSE Arca ticker "FIW")
First Trust Natural Gas ETF - (NYSE Arca ticker "FCG")
First Trust Chindia ETF - (NYSE Arca ticker "FNI")
First Trust NASDAQ(R) ABA Community Bank Index Fund - (Nasdaq ticker
"QABA")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Creation Units are generally issued and redeemed in-kind for
securities in which a Fund invests and, in certain circumstances, for cash, and
only to and from broker-dealer and large institutional investors that have
entered into participation agreements. Except when aggregated in Creation Units,
each Fund's shares are not redeemable securities. The investment objective of
each Fund is to seek investment results that correspond generally to the price
and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX
First Trust NASDAQ-100 Equal Weighted Index Fund NASDAQ-100 Equal Weighted Index(SM)
First Trust NASDAQ-100-Technology Sector Index Fund NASDAQ-100 Technology Sector Index(SM)
First Trust NASDAQ-100 Ex-Technology Sector Index Fund NASDAQ-100 Ex-Tech Sector Index(SM)
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund NASDAQ(R) Clean Edge(R) Green Energy Index(SM)
First Trust S&P REIT Index Fund S&P United States REIT Index
First Trust Water ETF ISE Clean Edge Water Index
First Trust Natural Gas ETF ISE-Revere Natural Gas(TM) Index
First Trust Chindia ETF ISE ChIndiaTM Index
First Trust NASDAQ(R) ABA Community Bank Index Fund NASDAQ OMX(R) ABA Community Bank Index(SM)
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Foreign securities are priced using the data
reflecting the earlier closing of the principal markets for those securities.
Each Fund's NAV is calculated by dividing the value of all assets of each Fund
(including accrued interest and dividends), less all liabilities (including
accrued expenses and dividends declared but unpaid), by the total number of
shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
Page 59
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with the 1940 Act. Investments valued by the
Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to
the Portfolio of Investments. Each Fund's investments are valued as follows:
Common stocks, real estate investment trusts ("REITs"), master limited
partnerships ("MLPs") and other equity securities listed on any national
or foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
Page 60
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of December 31, 2019, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in MLPs generally are comprised
of return of capital and investment income. A Fund records estimated return of
capital and investment income based on historical information available from
each MLP. These estimates may subsequently be revised based on information
received from the MLPs after their tax reporting periods are concluded.
Distributions received from a Fund's investments in REITs may be comprised of
return of capital, capital gains and income. The actual character of the amounts
received during the year is not known until after the REITs' fiscal year end. A
Fund records the character of distributions received from the REITs during the
year based on estimates available. The characterization of distributions
received by a Fund may be subsequently revised based on information received
from the REITs after their tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities". For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At December 31, 2019, QQEW,
QCLN, FIW, FCG, FNI, and QABA had securities in the securities lending program.
During the fiscal year ended December 31, 2019, QQEW, QTEC, QQXT, QCLN, FIW,
FCG, FNI, and QABA participated in the securities lending program.
Page 61
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund is less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended December 31, 2019 were received
as collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future. The tax character of distributions paid by each Fund during
the fiscal year ended December 31, 2019 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 3,935,821 $ -- $ --
First Trust NASDAQ-100-Technology Sector Index Fund 19,495,801 -- --
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 347,860 -- --
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 1,099,140 -- --
First Trust S&P REIT Index Fund 3,933,661 -- --
First Trust Water ETF 2,453,686 -- --
First Trust Natural Gas ETF 702,738 -- 1,498,301
First Trust Chindia ETF 356,420 -- --
First Trust NASDAQ(R)ABA Community Bank Index Fund 3,498,602 -- --
Page 62
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2018 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 2,716,080 $ -- $ --
First Trust NASDAQ-100-Technology Sector Index Fund 19,564,271 -- --
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 308,595 -- --
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 510,967 -- 350,683
First Trust S&P REIT Index Fund 3,585,667 -- --
First Trust Water ETF 2,110,505 -- --
First Trust Natural Gas ETF -- -- 1,420,088
First Trust Chindia ETF 4,434,111 -- --
First Trust NASDAQ(R)ABA Community Bank Index Fund 5,212,126 -- --
As of December 31, 2019, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 146,848 $ (30,596,718) $ 138,270,501
First Trust NASDAQ-100-Technology Sector Index Fund 796,698 (47,278,668) 609,829,134
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 15,266 (12,672,970) 20,793,099
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund -- (32,628,926) 35,045,759
First Trust S&P REIT Index Fund 357,828 -- (3,947,632)
First Trust Water ETF 134,005 (6,775,889) 107,902,484
First Trust Natural Gas ETF -- (489,749,462) (35,698,048)
First Trust Chindia ETF 39,080 (67,859,606) (6,557,216)
First Trust NASDAQ(R) ABA Community Bank Index Fund 70,350 (9,349,121) (7,218,145)
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2016, 2017,
2018, and 2019 remain open to federal and state audit. As of December 31, 2019,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses arising in taxable years beginning after December 22, 2010,
may be carried forward indefinitely, and their character is retained as
short-term and/or long-term losses. Previously, net capital losses were carried
forward for up to eight years and treated as short-term losses. As a transition
rule, the Act requires that post-enactment net capital losses be used before
pre-enactment net capital losses. At December 31, 2019, the Funds had
post-enactment net capital losses for federal income tax purposes as shown in
the following table. To the extent that these loss carryforwards are used to
offset future capital gains, it is probable that the capital gains so offset
will not be distributed to Fund shareholders. The Funds are subject to certain
limitations, under U.S. tax rules, on the use of capital loss carryforwards and
net unrealized built-in losses. These limitations apply when there has been a
50% change in ownership.
Page 63
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
Post-
Enactment -
No
Expiration
------------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 30,596,718
First Trust NASDAQ-100-Technology Sector Index Fund 47,278,668
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 12,672,970
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 32,628,926
First Trust S&P REIT Index Fund --
First Trust Water ETF 6,775,889
First Trust Natural Gas ETF 489,749,462
First Trust Chindia ETF 67,859,606
First Trust NASDAQ(R) ABA Community Bank Index Fund 9,349,121
During the taxable year ended December 31, 2019, the following Funds utilized
post-enactment capital loss carryforwards in the following amounts:
Capital Loss
Carryforward
Utilized
------------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 6,433,561
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 2,293,009
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 2,277,299
First Trust S&P REIT Index Fund 234,697
First Trust Water ETF 119,417
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended December 31, 2019, the Funds had
no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended December 31, 2019, the adjustments for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
------------------ ---------------- -----------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ -- $ (66,763,016) $ 66,763,016
First Trust NASDAQ-100-Technology Sector Index Fund -- (284,944,091) 284,944,091
First Trust NASDAQ-100 Ex-Technology Sector Index Fund -- (757,086) 757,086
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 475,584 (264,918) (210,666)
First Trust S&P REIT Index Fund 216,271 (3,423,979) 3,207,708
First Trust Water ETF -- (4,032,674) 4,032,674
First Trust Natural Gas ETF 143,882 (916,320) 772,438
First Trust Chindia ETF 35,388 (7,141,076) 7,105,688
First Trust NASDAQ(R)ABA Community Bank Index Fund -- 8,390,661 (8,390,661)
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
FUND LICENSOR
First Trust NASDAQ-100 Equal Weighted Index Fund Nasdaq, Inc.
First Trust NASDAQ-100-Technology Sector Index Fund Nasdaq, Inc.
First Trust NASDAQ-100 Ex-Technology Sector Index Fund Nasdaq, Inc.
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund Nasdaq, Inc.
First Trust S&P REIT Index Fund S&P Dow Jones Indices LLC
First Trust Water ETF International Securities Exchange, LLC
First Trust Natural Gas ETF International Securities Exchange, LLC
First Trust Chindia ETF International Securities Exchange, LLC
First Trust NASDAQ(R)ABA Community Bank Index Fund Nasdaq, Inc. and American Bankers Association
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The respective Funds are
required to pay licensing fees, which are shown on the Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is entitled to receive monthly fees from each
Fund calculated at the following annual rates:
% of Average
Daily Net Assets
----------------
First Trust NASDAQ-100 Equal Weighted Index Fund 0.40%
First Trust NASDAQ-100-Technology Sector Index Fund 0.40%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.40%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.40%
First Trust S&P REIT Index Fund 0.30%
First Trust Water ETF 0.40%
First Trust Natural Gas ETF 0.40%
First Trust Chindia ETF 0.40%
First Trust NASDAQ(R)ABA Community Bank Index Fund 0.40%
The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2021.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
Expense Cap
----------------
First Trust NASDAQ-100 Equal Weighted Index Fund 0.60%
First Trust NASDAQ-100-Technology Sector Index Fund 0.60%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.60%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.60%
First Trust S&P REIT Index Fund 0.50%
First Trust Water ETF 0.60%
First Trust Natural Gas ETF 0.60%
First Trust Chindia ETF 0.60%
First Trust NASDAQ(R)ABA Community Bank Index Fund 0.60%
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding (i) the applicable expense limitation in
place for the most recent fiscal year for which such expense limitation was in
place, (ii) the applicable expense limitation in place at the time the fees were
waived, or (iii) the current expense limitation. These amounts would be included
in "Expenses previously waived or reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the fiscal year ended
December 31, 2019 and the fees waived or expenses borne by First Trust subject
to recovery from the applicable Fund for the periods indicated were as follows:
Fees Waived or Expenses Borne by
First Trust Subject to Recovery
------------------------------------------------
Advisory Year Year Year
Fee Expense Ended Ended Ended
Waivers Reimbursement 12/31/2017 12/31/2018 12/31/2019 Total
--------- ------------- ---------- ---------- ---------- ---------
First Trust NASDAQ-100 Ex-Technology Sector
Index Fund $ 34,524 $ -- $ 26,900 $ 35,900 $ 34,524 $ 97,324
First Trust NASDAQ(R) Clean Edge(R) Green Energy
Index Fund 33,796 -- 39,255 43,615 33,796 116,666
First Trust S&P REIT Index Fund 22,365 -- -- 25,848 22,365 48,213
First Trust Natural Gas ETF 41,266 -- 25,164 39,782 41,266 106,212
During the fiscal year ended December 31, 2018, First Trust NASDAQ-100 Equal
Weighted Index Fund received a reimbursement from the Advisor of $22,098 in
connection with a trade error.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined - outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
4. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended December 31, 2019, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 206,281,302 $ 205,035,794
First Trust NASDAQ-100-Technology Sector Index Fund 552,124,214 547,969,239
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 28,418,667 28,153,350
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 27,937,625 27,591,094
First Trust S&P REIT Index Fund 17,585,443 15,801,717
First Trust Water ETF 49,755,947 49,851,954
First Trust Natural Gas ETF 52,154,912 52,138,187
First Trust Chindia ETF 30,314,304 30,424,537
First Trust NASDAQ(R)ABA Community Bank Index Fund 26,554,155 26,505,799
For the fiscal year ended December 31, 2019, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 459,564,029 $ 205,145,056
First Trust NASDAQ-100-Technology Sector Index Fund 950,312,914 879,696,400
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 5,308,325 2,776,255
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 25,367,051 1,888,771
First Trust S&P REIT Index Fund 106,064,013 46,406,264
First Trust Water ETF 143,261,877 12,913,878
First Trust Natural Gas ETF 56,619,977 37,581,984
First Trust Chindia ETF 14,958,741 67,796,221
First Trust NASDAQ(R)ABA Community Bank Index Fund -- 121,004,629
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). In order to purchase Creation Units of each Fund, an
Authorized Participant must deposit (i) a designated portfolio of equity
securities determined by First Trust (the "Deposit Securities") and generally
make or receive a cash payment referred to as the "Cash Component," which is an
amount equal to the difference between the NAV of the Fund Shares (per Creation
Unit Aggregation) and the market value of the Deposit Securities, and/or (ii)
cash in lieu of all or a portion of the Deposit Securities. If the Cash
Component is a positive number (i.e., the NAV per Creation Unit Aggregation
exceeds the Deposit Amount), the Authorized Participant will deliver the Cash
Component. If the Cash Component is a negative number (i.e., the NAV per
Creation Unit Aggregation is less than the Deposit Amount), the Authorized
Participant will receive the Cash Component. Authorized Participants purchasing
Creation Units must pay to BNYM, as transfer agent, a creation transaction fee
(the "Creation Transaction Fee") regardless of the number of Creation Units
purchased in the transaction. The Creation Transaction Fee may vary and is based
on the composition of the securities included in each Fund's portfolio and the
countries in which the transactions are settled. The Creation Transaction Fee
may increase or decrease with changes in each Fund's portfolio. The price for
each Creation Unit will equal the daily NAV per share times the number of shares
in a Creation Unit plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees or stamp taxes. When a
Fund permits an Authorized Participant to substitute cash or a different
security in lieu of depositing one or more of the requisite Deposit Securities,
the Authorized Participant may also be assessed an amount to cover the cost of
purchasing the Deposit Securities and/or disposing of the substituted
securities, including operational processing and brokerage costs, transfer fees,
stamp taxes, and part or all of the spread between the expected bid and offer
side of the market related to such Deposit Securities and/or substitute
securities.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
regardless of the number of Creation Units redeemed in the transaction. The
Redemption Transaction Fee may vary and is based on the composition of the
securities included in each Fund's portfolio and the countries in which the
transactions are settled. The Redemption Transaction Fee may increase or
decrease with changes in each Fund's portfolio. Each Fund reserves the right to
effect redemptions in cash. An Authorized Participant may request cash
redemption in lieu of securities; however, a Fund may, in its discretion, reject
any such request.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2021.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust NASDAQ-100 Equal Weighted Index Fund, First Trust NASDAQ-100-Technology
Sector Index Fund, First Trust NASDAQ-100 Ex-Technology Sector Index Fund, First
Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund, First Trust S&P REIT
Index Fund, First Trust Water ETF, First Trust Natural Gas ETF, First Trust
Chindia ETF, and First Trust NASDAQ(R) ABA Community Bank Index Fund (the
"Funds"), each a series of First Trust Exchange-Traded Fund, including the
portfolios of investments, as of December 31, 2019, the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended, the financial highlights for
each of the five years in the period then ended, and the related notes. In our
opinion, the financial statements and financial highlights present fairly, in
all material respects, the financial position of each of the Funds as of
December 31, 2019, and the results of their operations for the year then ended,
the changes in their net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the period
then ended in conformity with accounting principles generally accepted in the
United States of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of their internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 2019, by correspondence with
the custodian and brokers; when replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
February 24, 2020
We have served as the auditor of one or more First Trust investment companies
since 2001.
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended December 31, 2019, the following percentages of
income dividends paid by the Funds qualify for the dividends received deduction
available to corporations:
Dividends Received Deduction
----------------------------
First Trust NASDAQ-100 Equal Weighted Index Fund 100.00%
First Trust NASDAQ-100-Technology Sector Index Fund 100.00%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 100.00%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 29.48%
First Trust S&P REIT Index Fund --
First Trust Water ETF 100.00%
First Trust Natural Gas ETF 55.74%
First Trust Chindia ETF 6.92%
First Trust NASDAQ(R) ABA Community Bank Index Fund 100.00%
For the taxable year ended December 31, 2019, the following percentages of
income dividends paid by the Funds are hereby designated as qualified dividend
income:
Qualified Dividend Income
----------------------------
First Trust NASDAQ-100 Equal Weighted Index Fund 100.00%
First Trust NASDAQ-100-Technology Sector Index Fund 100.00%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 100.00%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 35.51%
First Trust S&P REIT Index Fund --
First Trust Water ETF 100.00%
First Trust Natural Gas ETF 100.00%
First Trust Chindia ETF 100.00%
First Trust NASDAQ(R) ABA Community Bank Index Fund 100.00%
A portion of each of the Funds' 2019 ordinary dividends (including short-term
capital gains) paid to its shareholders during the fiscal year ended December
31, 2019, may be eligible for the Qualified Business Income Deduction (QBI)
under Code Section 199A for the aggregate dividends each Fund received from the
underlying Real Estate Investment Trusts (REITs) these Funds invest in.
For the tax year ended December 31, 2019, the First Trust S&P REIT Index Fund
designated $323,764, or amounts necessary, as long-term capital gain. During the
tax year, Fund shareholders redeemed amounts in excess of long-term capital gain
and of these proceeds, $323,764, or amounts necessary, represents long-term
capital gain from the Fund.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
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.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
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.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 72
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of
certain First Trust Exchange-Traded Fund funds it manages (the "Funds") in the
United Kingdom in accordance with the cooperation arrangements in Article 42 of
the Alternative Investment Fund Managers Directive (the "Directive"). First
Trust is required under the Directive to make disclosures in respect of
remuneration. The following disclosures are made in line with First Trust's
interpretation of currently available regulatory guidance on remuneration
disclosures.
During the year ended December 31,2019, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $1,666,102.
This figure is comprised of $103,443 paid (or to be paid) in fixed compensation
and $1,562,659 paid (or to be paid) in variable compensation. There were a total
of 15 beneficiaries of the remuneration described above. Those amounts include
$972,968 paid (or to be paid) to senior management of First Trust Advisors L.P.
and $693,134 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
Page 73
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 169 None
(1951) Limited Partner, Gundersen Real Estate
o Since Inception Limited Partnership (June 1992 to
December 2016); Member, Sportsmed LLC
(April 2007 to November 2015)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 169 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM
Investor Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 169 Director of Trust
(1956) and Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 169 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Products and Services);
President and Chief Executive Officer
(June 2012 to September 2014), Servant
Interactive LLC (Educational Products
and Services); President and Chief
Executive Officer (June 2012 to September
2014), Dew Learning LLC (Educational
Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 169 None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P.; Chairman of the
Board of Directors, BondWave LLC
(Software Development Company)
and Stonebridge Advisors LLC
(Investment Advisor)
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
Page 74
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer
(1966) Executive Officer (January 2016 to Present), Controller (January 2011 to
o Since January 2016 January 2016), Senior Vice President (April 2007 to
January 2016), First Trust Advisors L.P. and First Trust
Portfolios L.P.; Chief Financial Officer (January 2016
to Present), BondWave LLC (Software Development
Company) and Stonebridge Advisors LLC
(Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief President (April 2012 to July 2016), First Trust
Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Chief Compliance
Officer Since
January 2011
o Assistant Secretary
Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1966) and First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1970) and First Trust Portfolios L.P.
o Since Inception
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 75
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2019
Page 76
FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
FIRST TRUST
First Trust Exchange-Traded Fund
Book 3
First Trust Total US Market AlphaDEX(R) ETF (TUSA)
First Trust Dorsey Wright People's Portfolio ETF (DWPP)
First Trust Dow 30 Equal Weight ETF (EDOW)
First Trust Lunt U.S. Factor Rotation ETF (FCTR)
Annual Report
December 31, 2019
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2019
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 4
First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 6
First Trust Dow 30 Equal Weight ETF (EDOW)............................... 8
First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 10
Notes to Fund Performance Overview.......................................... 12
Understanding Your Fund Expenses............................................ 13
Portfolio of Investments
First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 14
First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 29
First Trust Dow 30 Equal Weight ETF (EDOW)............................... 36
First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 37
Statements of Assets and Liabilities........................................ 41
Statements of Operations.................................................... 42
Statements of Changes in Net Assets......................................... 43
Financial Highlights........................................................ 45
Notes to Financial Statements............................................... 47
Report of Independent Registered Public Accounting Firm..................... 55
Additional Information...................................................... 56
Board of Trustees and Officers.............................................. 59
Privacy Policy.............................................................. 61
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded Fund (the "Trust") described in this
report (each such series is referred to as a "Fund" and collectively, as the
"Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund shares may therefore be less than what you paid
for them. Accordingly, you can lose money by investing in a Fund. See "Risk
Considerations" in the Additional Information Section of this report for a
discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
DECEMBER 31, 2019
Dear Shareholders:
First Trust is pleased to provide you with the annual report for certain funds
in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed
information about the Funds for the twelve months ended December 31, 2019,
including a market overview and a performance analysis.
A significant event for the markets in the past year was the decision by the
Federal Reserve (the "Fed") to reverse course with respect to monetary policy.
For those who may not follow the Fed closely, after holding its federal funds
target rate (upper bound) at an artificially low 0.25% for seven years (December
2008-December 2015) to help stimulate U.S. economic activity, the Fed spent the
better part of the next four years (December 2015-July 2019) increasing its
benchmark lending rate in an effort to normalize it. Over that period, the Fed
increased the rate from 0.25% to 2.50%. To lend some perspective, the average
federal funds target rate (upper bound) was 2.95% for the 30-year period ended
December 31, 2019, so the Fed came close to achieving its goal of normalizing
it, according to data from Bloomberg. From the end of July 2019 through the end
of December, however, the Fed initiated three rate cuts that dropped it from
2.50% to 1.75%.
So why did the Fed reverse course on monetary policy? We believe, as well as
others in the financial media, that the Fed's reversal on monetary policy has to
do with the trade tariffs. The Trump Administration first began implementing new
trade tariffs on imported goods back in March 2018. While the original tariffs
targeted just imported steel and aluminum, the use of tariffs quickly escalated
to other goods and services. The lion's share of the tariff conflict today is
between the U.S. and China, the two-largest economies in the world. In our
opinion, it is believed that President Donald J. Trump is utilizing tariffs as
leverage to try and negotiate more favorable trade agreements between the U.S.
and its major trading partners. One of the by-products of the escalation in the
use of tariffs by all parties involved has been a slowdown in global economic
growth, particularly in the U.S. The annualized U.S. real gross domestic product
growth rate in the second quarter of 2018 (when new tariffs were introduced) was
3.5%. As of the second and third quarters of 2019, that annualized growth rate
was down to 2.0% and 2.1%, respectively, according to data from the Bureau of
Economic Analysis. For many months, President Trump has publicly challenged the
Fed to lower rates aggressively to help offset the tempering of economic growth.
Trump has noted that the Fed has room to lower rates due to the extremely
low-to-negative rate levels found in many countries abroad as well as the lack
of any significant inflationary pressure in the current climate. While the Fed
has delivered some rate cuts in recent months, we believe that President Trump
will continue to bang the drum for even more rate cuts.
It has been said in the financial media that this is the "most hated" bull
market in history, yet it has been one of the most prosperous for investors. The
bull market turns 11 years old on March 9, 2020. A Bloomberg survey of 21 equity
strategists found that their average 2020 year-end price target for the S&P
500(R) Index was 3,318 as of December 17, 2019, according to its own release.
The highest estimate was 3,500. The lowest estimate was 3,000. With a target of
3,650, Brian Wesbury, Chief Economist at First Trust Advisors L.P., is more
bullish than all the strategists surveyed by Bloomberg. We encourage investors
to stay the course.
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2019
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 27 years of experience as an
Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY/INVESTING
The consensus among economists projects a 1.8% growth rate estimate for the U.S.
economy in 2020 (on a fourth quarter to fourth quarter basis), according to a
survey conducted by Bloomberg. However, Brian Wesbury, Chief Economist at First
Trust Advisors L.P. believes the economy may grow at a 2.5% to 3.0% pace, in
part due to home building and business investment that are poised to contribute
more to economic growth in 2020 than what the broader consensus believes, in his
opinion.
The combination of low interest rates, low inflation, strong job growth,
regulatory reform and a more favorable U.S. corporate tax structure following
the passage of the Tax Cuts and Jobs Act of 2017 makes the current climate an
attractive one for investors, in our opinion. Minus tax reform, which took
effect in 2018, and regulatory reform, which has been driven by the Trump
Administration since it took office in 2017, investors have been prospering in a
low rate/low inflation/strong job growth climate for the better part of the last
decade. Very little has changed in that regard. One thing that has created some
uncertainty in the markets is the extent of the potential fallout from the
implementation and escalation of trade tariffs by the Trump Administration. That
effort is now 21 months old and counting. The mid-December announcement that the
U.S. and China had struck a "Phase One" deal is encouraging, in our opinion.
Investors are flocking to exchange-traded funds ("ETFs") and related
exchange-traded products ("ETPs"). The global ETF industry turns 30 years old on
March 9, 2020. ETFGI, an independent research and consultancy firm, reported
that total assets invested in ETFs/ETPs listed globally stood at an all-time
high of $6.350 trillion at the close of 2019, up 31.9% from the $4.815 trillion
at the end of 2018, according to its own release. In 2019, net inflows to
ETFs/ETPs listed globally totaled $571.03 billion, the second highest on record
behind the $653.26 billion registered in 2017.
U.S. STOCKS AND BONDS
In 2019, three of the major U.S. stock indices posted substantial double-digit
gains. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R)
Index posted total returns of 31.49%, 26.20%, and 22.78%, respectively,
according to Bloomberg. All 11 major S&P 500(R) Index sectors posted positive
total returns. The top-performing sectors were Information Technology,
Communication Services and Financials, up 50.29%, 32.69% and 32.13%,
respectively, while the only sector with a total return below 20% for the year
was Energy, up 11.81%. The outlook for corporate earnings is encouraging, in our
opinion. Bloomberg's 2020 and 2021 consensus earnings growth estimates for the
S&P 500(R) Index were 9.02% and 10.72%, respectively, as of December 31, 2019.
The yield on the benchmark 10-year Treasury Note ("T-Note") closed trading on
December 31, 2019, at 1.92%, down 77 basis points ("bps") from its 2.69% close a
year earlier, according to Bloomberg. The yield stood 48 bps below its 2.40%
average for the 10-year period ended December 31, 2019. For those investors
still concerned about the prospects for an inverted yield curve, the spread
between the 2-year T-Note and the 10-year T-Note closed 2019 at 35 bps (1.57%
vs. 1.92%), according to data from Bloomberg. For comparative purposes, the
average spread was 117 bps (3.33% vs. 4.50%) for the 30-year period ended
December 31, 2019. The yield curve, while not inverted, remains relatively flat.
We will monitor this scenario moving forward.
In the U.S. bond market, all the major bond groups posted positive returns in
2019. The top-performing major debt group we track was high yield corporate
bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total
return of 14.32%. The worst-performing debt group that we track was government
bonds. The Bloomberg Barclays U.S. Treasury: Intermediate Index posted a total
return of 5.22%.
FOREIGN STOCKS AND BONDS
The U.S. dollar rose by 0.23% against a basket of major currencies in 2019, as
measured by the U.S. Dollar Index (DXY). With respect to U.S. investors, a flat
U.S. dollar would have little to no impact on the returns of foreign securities,
in our opinion. Aside from the currency aspect, foreign stocks and bonds
performed quite well in 2019.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of 12.13% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose 6.84% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
18.44% (USD), while the MSCI World ex USA Index was up 22.49% (USD) on a total
return basis, according to Bloomberg.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
The First Trust Total US Market AlphaDEX(R) ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the NASDAQ AlphaDEX(R) Total US Market
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The Index is a modified market capitalization index designed to
quantitatively identify and select U.S. exchange-listed securities issued by
small, mid and large cap U.S. companies that exhibit growth and value factors
and appear to have the greatest potential for capital appreciation. The Index is
reconstituted and rebalanced on a quarterly basis and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on The Nasdaq Stock Market LLC.
The first day of secondary market trading in shares of the Fund was December 7,
2006.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (12/5/06) Ended Ended (12/5/06)
12/31/19 12/31/19 12/31/19 to 12/31/19 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 25.36% 7.88% 9.03% 5.94% 46.09% 137.32% 112.69%
Market Value 25.27% 7.85% 9.01% 5.94% 45.93% 137.05% 112.49%
INDEX PERFORMANCE
NASDAQ AlphaDEX(R) Total US Market Index* 26.34% 8.73% N/A N/A 51.95% N/A N/A
Russell 3000(R) Index 31.02% 11.24% 13.42% 8.72% 70.35% 252.15% 198.15%
------------------------------------------------------------------------------------------------------------------------------------
* On January 9, 2015, the Fund's underlying index changed from the Value
Line(R) Equity Allocation Index to the NASDAQ AlphaDEX(R) Total US Market
Index. Therefore, the Fund's performance and total returns shown for the
periods prior to January 9, 2015, are not necessarily indicative of the
performance the Fund, based on its current index, would have generated.
Since the Fund's current underlying index had an inception date of
September 8, 2014, it was not in existence for all of the periods
disclosed.
(See Notes to Fund Performance Overview on page 12.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of 25.36% during the
12-month period covered by this report. During the same period, the Russell
3000(R) Index ("Benchmark") generated a return of 31.02%. The sector with the
highest allocation in the Fund was Information Technology, which received a
15.4% weighting. Investments in this sector returned 46.2% and contributed 5.7%
to total Fund performance, which was more than the contribution to return of any
other sector. No sector experienced negative returns in the Fund, but the
least-performing sector securities were the investments in Energy securities,
which returned 3.2%. These investments received an allocation of 6.5% and
contributed 0.3% to total Fund return. On a relative basis, the Fund
underperformed the Benchmark. The greatest area of underperformance was in the
investments in the Information Technology sector. Investments in this sector
created -1.4% of underperformance, largely because the Fund underweighted this
sector in comparison to the Benchmark. Investments in the Health Care sector
caused 0.8% of outperformance for the Fund. The Fund did not overweight this
sector, but the Health Care investments in the Fund outperformed those in the
Benchmark.
-----------------------------
NASDAQ and the NASDAQ AlphaDEX(R) Total US Market Index (the "Index") are
trademarks of The Nasdaq OMX Group and its affiliates (the "Corporations") and
has been licensed for use with the Fund by First Trust. First Trust Portfolios
L.P. ("FTP") has licensed to The NASDAQ OMX Group, Inc. ("NASDAQ OMX"), free of
charge, the right to use certain intellectual property owned by FTP, including
the AlphaDEX trademark and the AlphaDEX stock selection method, in connection
with NASDAQ OMX's calculation of the NASDAQ AlphaDEX Total US Market Index.
The Fund is not sponsored, endorsed, sold or promoted by the Corporations. The
Corporations have not passed on the legality or suitability of, or the accuracy
or adequacy of descriptions and disclosures relating to, the Fund.
The Fund is not sponsored, endorsed, sold or promoted by NASDAQ OMX and NASDAQ
OMX makes no representation or warranty regarding the advisability of investing
in the Fund or as to the result to be obtained by any person from use of the
Index in connection with the trading of the Fund.
Page 4
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 17.43%
Industrials 15.48
Information Technology 13.87
Consumer Discretionary 12.51
Health Care 8.04
Energy 6.69
Materials 6.55
Communication Services 5.99
Real Estate 5.99
Consumer Staples 3.85
Utilities 3.60
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Skyworks Solutions, Inc. 0.59%
Halliburton Co. 0.50
Biogen, Inc. 0.49
DXC Technology Co. 0.49
Micron Technology, Inc. 0.49
Discovery, Inc., Class A 0.48
Fox Corp., Class A 0.46
Carnival Corp. 0.45
Centene Corp. 0.45
PACCAR, Inc. 0.45
-------
Total 4.85%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - DECEMBER 31, 2019
First Trust Russell 3000(R)
Total US Market Index
AlphaDEX(R) ETF
12/09 $10,000 $10,000
06/10 9,854 9,395
12/10 11,985 11,693
06/11 12,247 12,436
12/11 10,839 11,813
06/12 11,028 12,914
12/12 11,787 13,752
06/13 13,488 15,686
12/13 15,871 18,367
06/14 16,671 19,642
12/14 16,246 20,673
06/15 16,438 21,074
12/15 15,274 20,773
06/16 15,772 21,525
12/16 17,638 23,417
06/17 18,970 25,508
12/17 21,066 28,365
06/18 21,999 29,278
12/18 18,932 26,877
06/19 22,164 31,906
12/19 23,732 35,215
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 115 15 0 0
01/01/16 - 12/31/16 121 0 0 0
01/01/17 - 12/31/17 216 0 0 0
01/01/18 - 12/31/18 168 2 0 0
01/01/19 - 12/31/19 86 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 110 12 0 0
01/01/16 - 12/31/16 131 0 0 0
01/01/17 - 12/31/17 35 0 0 0
01/01/18 - 12/31/18 79 1 1 0
01/01/19 - 12/31/19 165 0 0 1
Page 5
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
The First Trust Dorsey Wright People's Portfolio ETF (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an index called the Nasdaq Dorsey Wright People's
Portfolio Index (the "Index"). The Fund will normally invest at least 80% of its
total assets (including investment borrowings) in common stocks or U.S. Treasury
Bills ("T-Bills") that comprise the Index. The Index is a modified market
capitalization weighted index designed to tactically allocate exposure to one of
three indices: (i) the Nasdaq US 500 Large Cap Index; (ii) the Nasdaq US 500
Large Cap Equal Weight Index; or (iii) the Nasdaq US T-Bill Index. Each of the
Nasdaq US 500 Large Cap Index and the Nasdaq US 500 Large Cap Equal Weight Index
contains the same constituent securities - the 500 securities with the highest
float-adjusted market capitalization comprising the Nasdaq US Benchmark Index.
The Nasdaq US 500 Large Cap Index weights the securities according to their
market capitalization and the Nasdaq US 500 Large Cap Equal Index weights them
equally. The Nasdaq US T-Bill Index is designed to act as a US
dollar-denomination cash position through the us of nine T-Bills ranging from 30
to 91 days in duration. A T-Bill is a short-term debt obligation backed by the
U.S. government with a maturity of less than one year, sold in denominations of
$1,000 up to a maximum purchase of $5 million. The Index is rebalanced and
reconstituted periodically and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The first day of
secondary market trading in shares of the Fund was August 30, 2012.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (8/29/12) Ended (8/29/12)
12/31/19 12/31/19 to 12/31/19 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 30.24% 6.59% 8.83% 37.60% 86.09%
Market Value 30.09% 6.62% 8.83% 37.81% 86.08%
INDEX PERFORMANCE
Nasdaq Dorsey Wright People's Portfolio Index* 31.16% N/A N/A N/A N/A
S&P 500(R) Index 31.49% 11.70% 14.30% 73.86% 166.73%
Nasdaq US 500 Large Cap Index 32.04% N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------------------
* On August 18, 2017, the Fund's underlying index changed from the CBOE(R)
VIX(R) Tail Hedge Index to the Nasdaq Dorsey Wright People's Portfolio
Index (the "Index"). Therefore, the Fund's performance and total returns
shown for the periods prior to August 18, 2017, are not necessarily
indicative of the performance the Fund, based on its current index, would
have generated. Since the Index had an inception date of July 24, 2017, it
was not in existence for all of the periods disclosed.
(See Notes to Fund Performance Overview on page 12.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 30.24% during the 12-month period covered by
this report. During the same period, the S&P 500(R) Index ("Benchmark")
generated a return of 31.49%. The Information Technology sector was given the
largest allocation in the Fund with a 15.6% weight and a return of 39.6%. This
resulted in the largest contribution to the Fund's return at 5.9%. The Energy
sector contributed 0.8% to the Fund's return which was the smallest contribution
to the portfolio. On a relative basis, the Fund underperformed the Benchmark.
The Fund under allocated and underperformed in the Information Technology sector
by -5.9% and -10.8%, respectively, resulting in a -2.1% relative
underperformance compared to the Benchmark. The Fund's relative outperformance
of 1.1% in the Health Care sector partially reduced the Fund's overall
underperformance compared to the Benchmark.
-----------------------------
The Fund is not sponsored, endorsed, sold or promoted by Nasdaq, Inc. or its
affiliates (Nasdaq, with its affiliates are referred to as the "Corporations").
The Corporations have not passed on the legality or suitability of, or the
accuracy or descriptions and disclosure relating to, the Fund. The Corporations
make no representation or warranty, express or implied to the owners of the Fund
or any member of the public regarding the advisability of investing in
securities generally or in the Fund particularly.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 16.57%
Financials 14.50
Health Care 13.21
Industrials 12.96
Consumer Discretionary 9.59
Real Estate 6.66
Consumer Staples 6.58
Utilities 5.61
Communication Services 5.21
Energy 4.67
Materials 4.44
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Noble Energy, Inc. 0.21%
Newmont Goldcorp Corp. 0.21
Occidental Petroleum Corp. 0.21
Corteva, Inc. 0.21
Diamondback Energy, Inc. 0.21
International Flavors & Fragrances,
Inc. 0.21
Snap, Inc., Class A 0.21
ABIOMED, Inc. 0.21
Advanced Micro Devices, Inc. 0.21
Apple, Inc. 0.21
-------
Total 2.10%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
AUGUST 29, 2012 - DECEMBER 31, 2019
First Trust
Dorsey Wright S&P 500(R)
People's Portfolio ETF Index
08/12 $10,000 $10,000
12/12 9,863 10,193
06/13 10,686 11,602
12/13 11,738 13,494
06/14 12,251 14,457
12/14 13,525 15,342
06/15 13,175 15,531
12/15 12,730 15,554
06/16 12,551 16,151
12/16 12,800 17,414
06/17 13,952 19,040
12/17 15,579 21,214
06/18 15,782 21,776
12/18 14,292 20,284
06/19 17,139 24,045
12/19 18,609 26,673
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through
December 31, 2019. Shareholders may pay more than NAV when they buy Fund shares
and receive less than NAV when they sell those shares because shares are bought
and sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 98 1 0 1
01/01/16 - 12/31/16 76 3 0 0
01/01/17 - 12/31/17 175 0 0 1
01/01/18 - 12/31/18 162 3 0 0
01/01/19 - 12/31/19 175 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 148 1 1 2
01/01/16 - 12/31/16 168 4 1 0
01/01/17 - 12/31/17 75 0 0 0
01/01/18 - 12/31/18 84 2 0 0
01/01/19 - 12/31/19 77 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
The First Trust Dow 30 Equal Weight ETF (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Dow Jones Industrial Average Equal
Weight Index (the "Index"). The Fund will normally invest at least 90% of its
net assets (including investment borrowings) in common stocks that comprise the
Index. The Index is an equal weight version of the Dow Jones Industrial
AverageTM (the "DJIA"). The 30 securities comprising the DJIA are issued by
blue-chip U.S. companies covering all industries, with the exception of
transportation and utilities. DJIA is not governed by quantitative rules but
rather is based on the following criteria: (i) the company is not a utility or
in the transportation business; (ii) the company has a premier reputation in its
field; (iii) the company has a history of successful growth; and (iv) there is
wide interest in the company among individual and institutional investors.
Whenever one component is changed, the others are reviewed. For the sake of
historical continuity, composition changes are rarely made. In the event that
there is a change in the components of the DJIA, the component removed from the
DJIA will simultaneously be removed from the Index, and the component that
replaces the removed component will be added to the Index at the same weight as
the component that was removed. The Fund's shares are listed for trading on the
NYSE Arca, Inc. The Index is rebalanced and reconstituted periodically and the
Fund will make corresponding changes to its portfolio shortly after the Index
changes are made public. The first day of secondary market trading in shares of
the Fund was August 9, 2017.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Inception Inception
Ended (8/8/17) (8/8/17)
12/31/19 to 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 24.27% 13.95% 36.76%
Market Value 24.34% 13.93% 36.71%
INDEX PERFORMANCE
Dow Jones Industrial Average Equal Weight Index 25.00% 14.55% 38.49%
Dow Jones Industrial Average(TM) 25.34% 13.94% 36.74%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 12.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 24.27% during the 12-month period covered by
this report. During the same period, the Dow Jones Industrial Average(TM)
("Benchmark") generated a return of 25.34%. The Information Technology sector
was given the largest allocation of the Fund with a 20.4% weight and a return of
42.9% which had the largest contribution to the Fund's return at 8.0%. The
Materials sector had the smallest contribution to the Fund's return at 0.4%. On
a relative basis, the Fund underperformed the Benchmark. The Fund over allocated
but underperformed the Benchmark in the Information Technology sector by 1.3%
and -8.3%, respectively, resulting in a -0.9% drag on relative performance. This
drag was slightly reduced by the Fund's relative underweight and outperformance
within the Industrials sector by -7.7% and 5.1%, respectively, creating 1.6% of
outperformance relative to the Benchmark.
-----------------------------
The Dow Jones Industrial Average Equal Weight Index is a product of S&P Dow
Jones Indices LLC ("SPDJI"), and has been licensed for use by First Trust. Dow
Jones(R) and Dow Jones Industrial Average Equal Weight Index are trademarks of
Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed to SPDJI
and have been sublicensed for use for certain purposes by First Trust. The First
Trust Dow 30 Equal Weight Index ETF is not sponsored, endorsed, sold or promoted
by SPDJI, Dow Jones or their respective affiliates and none of them makes any
representation regarding the advisability of investing in such fund.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 20.32%
Health Care 13.45
Financials 13.27
Consumer Staples 13.18
Industrials 13.18
Consumer Discretionary 10.03
Energy 6.65
Communication Services 6.55
Materials 3.37
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Apple, Inc. 3.50%
Cisco Systems, Inc. 3.47
3M Co. 3.43
NIKE, Inc., Class B 3.40
Intel Corp. 3.40
Johnson & Johnson 3.38
UnitedHealth Group, Inc. 3.38
Dow, Inc. 3.37
Pfizer, Inc. 3.35
Goldman Sachs Group (The), Inc. 3.35
-------
Total 34.03%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
AUGUST 8, 2017 - DECEMBER 31, 2019
Dow Jones Industrial
First Trust Dow 30 Average Equal Dow Jones Industrial
Equal Weight ETF Weight Index Average(TM)
08/17 $10,000 $10,000 $10,000
12/17 11,102 11,124 11,302
06/18 11,024 11,069 11,219
12/18 11,004 11,079 10,908
06/19 12,615 12,739 12,588
12/19 13,676 13,849 13,674
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 9, 2017 (commencement
of trading) through December 31, 2019. Shareholders may pay more than NAV when
they buy Fund shares and receive less than NAV when they sell those shares
because shares are bought and sold at current market price. Data presented
represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
08/09/17 - 12/31/17 94 0 0 0
01/01/18 - 12/31/18 171 4 0 0
01/01/19 - 12/31/19 167 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
08/09/17 - 12/31/17 6 0 0 0
01/01/18 - 12/31/18 74 2 0 0
01/01/19 - 12/31/19 84 0 1 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
The First Trust Lunt U.S. Factor Rotation ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Lunt Capital Large Cap Factor
Rotation Index (the "Index"). The Fund will normally invest at least 90% of its
net assets (including investment borrowings) in common stocks that comprise the
Index. The Index is owned and was developed by Lunt Capital Management, Inc.
(the "Index Provider"). The Index is calculated and maintained by Nasdaq, Inc.
The Index is designed to track the performance of U.S. securities exhibiting
desirable factor exposure. The Index utilizes the Index Provider's risk-adjusted
relative strength methodology to allocate exposure to securities exhibiting
either high or low levels of the characteristics associated with one of four
primary investing factors: momentum, value, quality and volatility. The Fund's
shares are listed for trading on CBOE BZX, Inc. The Index is rebalanced and
reconstituted periodically and the Fund will make corresponding changes after
the Index changes are made public. The first day of secondary market trading in
shares of the Fund was July 26, 2018.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Inception Inception
Ended (7/25/18) (7/25/18)
12/31/19 to 12/31/19 to 12/31/19
FUND PERFORMANCE
NAV 30.35% 9.95% 14.59%
Market Value 30.52% 10.05% 14.74%
INDEX PERFORMANCE
Lunt Capital Large Cap Factor Rotation Index 31.38% 10.75% 15.78%
Nasdaq US 500 Large Cap Index 32.04% 11.63% 17.11%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 12.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 30.35% during the 12-month period covered by
this report. The Nasdaq US 500 Large Cap Index ("Benchmark") returned 32.04%
over the same period. The Information Technology sector was given the largest
allocation in the Fund with a 20.1% weight. This sector returned 34.9% for the
Fund and had the largest contribution to the Fund's return at 8.5%. The Energy
sector provided the worst contribution to the Fund's return at -0.3%. On a
relative basis, the Fund underperformed the Benchmark. The Fund under allocated
and underperformed among Information Technology securities by -2.6% and -15.0%,
respectively, creating a -2.0% relative drag on performance. The Fund
outperformed the Benchmark among Health Care securities by 8.4%, generating 1.2%
of relative outperformance.
-----------------------------
Lunt Capital Management, Inc. ("Licensor") and the Lunt Capital Large Cap Factor
Rotation Index, ("Licensor Index") are trademarks of Licensor and have been
licensed for use for certain purposes by First Trust Advisors L.P. The First
Trust Lunt U.S. Factor Rotation ETF is based on the Licensor Index and is not
sponsored, endorsed, sold or promoted by Licensor, and Licensor makes no
representation regarding the advisability of trading in such fund.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 20.85%
Information Technology 14.88
Health Care 14.88
Consumer Staples 9.42
Energy 8.45
Real Estate 7.35
Industrials 6.41
Utilities 5.53
Consumer Discretionary 5.05
Materials 3.63
Communication Services 3.55
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
DXC Technology Co. 1.88%
Sarepta Therapeutics, Inc. 1.38
Sysco Corp. 1.33
MSCI, Inc. 1.25
Capital One Financial Corp. 1.23
Mastercard, Inc., Class A 1.20
McCormick & Co., Inc. 1.18
Centene Corp. 1.15
Visa, Inc., Class A 1.14
Booking Holdings, Inc. 1.11
-------
Total 12.85%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 25, 2018 - DECEMBER 31, 2019
First Trust Lunt U.S. Lunt Capital Large Cap Nasdaq US 500
Factor Rotation ETF Factor Rotation Index Large Cap Index
07/18 $10,000 $10,000 $10,000
12/18 8,791 8,813 8,869
06/19 10,828 10,901 10,567
12/19 11,459 11,578 11,711
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF DECEMBER 31, 2019
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period July 26, 2018 (commencement
of trading) through December 31, 2019. Shareholders may pay more than NAV when
they buy Fund shares and receive less than NAV when they sell those shares
because shares are bought and sold at current market price. Data presented
represents past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
07/26/18 - 12/31/18 91 2 0 0
01/01/19 - 12/31/19 250 0 0 1
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
07/26/18 - 12/31/18 15 1 0 0
01/01/19 - 12/31/19 1 0 0 0
Page 11
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of each Fund did not trade in the
secondary market until after the Fund's inception, for the period from inception
to the first day of secondary market trading in shares of the Fund, the NAV of
each Fund is used as a proxy for the secondary market trading price to calculate
market returns. NAV and market returns assume that all distributions have been
reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 12
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2019 (UNAUDITED)
As a shareholder of First Trust Total US Market AlphaDEX(R) ETF, First Trust
Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF or
First Trust Lunt U.S. Factor Rotation ETF (each a "Fund" and collectively, the
"Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing
costs, including management fees, distribution and/or service fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended December 31, 2019.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
-----------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2019 DECEMBER 31, 2019 PERIOD PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------------
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
Actual $1,000.00 $1,070.80 0.70% (a) $3.65
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% (a) $3.57
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO
ETF (DWPP)
Actual $1,000.00 $1,086.00 0.60% $3.15
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
Actual $1,000.00 $1,084.00 0.50% $2.63
Hypothetical (5% return before expenses) $1,000.00 $1,022.68 0.50% $2.55
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
Actual $1,000.00 $1,058.30 0.65% $3.37
Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31
(a) These expense ratios reflect an expense cap. See Note 3 in Notes to
Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (July 1,
2019 through December 31, 2019), multiplied by 184/365 (to reflect the
six-month period).
Page 13
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.1%
148 Aerojet Rocketdyne Holdings,
Inc. (a) $ 6,758
323 Arconic, Inc. 9,939
318 Astronics Corp. (a) 8,888
220 BWX Technologies, Inc. 13,658
97 Curtiss-Wright Corp. 13,666
224 HEICO Corp. 25,570
205 Hexcel Corp. 15,029
59 Huntington Ingalls Industries,
Inc. 14,802
268 L3Harris Technologies, Inc. 53,029
144 Lockheed Martin Corp. 56,071
259 Mercury Systems, Inc. (a) 17,899
42 National Presto Industries, Inc. 3,712
153 Spirit AeroSystems Holdings,
Inc., Class A 11,151
65 Teledyne Technologies, Inc. (a) 22,525
429 Textron, Inc. 19,133
134 TransDigm Group, Inc. 75,040
245 Triumph Group, Inc. 6,191
--------------
373,061
--------------
AIR FREIGHT & LOGISTICS -- 0.3%
89 Air Transport Services Group,
Inc. (a) 2,088
370 Atlas Air Worldwide Holdings,
Inc. (a) 10,201
99 C.H. Robinson Worldwide, Inc. 7,742
165 Echo Global Logistics, Inc. (a) 3,415
188 Expeditors International of
Washington, Inc. 14,668
29 Forward Air Corp. 2,028
161 Hub Group, Inc., Class A (a) 8,258
176 XPO Logistics, Inc. (a) 14,027
--------------
62,427
--------------
AIRLINES -- 1.4%
259 Alaska Air Group, Inc. 17,547
37 Allegiant Travel Co. 6,439
972 Delta Air Lines, Inc. 56,842
355 Hawaiian Holdings, Inc. 10,398
1,255 JetBlue Airways Corp. (a) 23,494
163 SkyWest, Inc. 10,535
1,037 Southwest Airlines Co. 55,977
257 Spirit Airlines, Inc. (a) 10,360
633 United Airlines Holdings,
Inc. (a) 55,761
--------------
247,353
--------------
AUTO COMPONENTS -- 0.8%
909 American Axle & Manufacturing
Holdings, Inc. (a) 9,781
572 BorgWarner, Inc. 24,813
286 Cooper Tire & Rubber Co. 8,223
228 Cooper-Standard Holdings,
Inc. (a) 7,560
647 Dana, Inc. 11,775
611 Gentex Corp. 17,707
648 Goodyear Tire & Rubber (The) Co. 10,080
61 LCI Industries 6,535
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
AUTO COMPONENTS (CONTINUED)
178 Lear Corp. $ 24,422
38 Standard Motor Products, Inc. 2,022
181 Stoneridge, Inc. (a) 5,307
597 Tenneco, Inc., Class A 7,821
--------------
136,046
--------------
AUTOMOBILES -- 0.7%
1,867 General Motors Co. 68,332
350 Harley-Davidson, Inc. 13,017
58 Tesla, Inc. (a) 24,263
99 Thor Industries, Inc. 7,355
243 Winnebago Industries, Inc. 12,874
--------------
125,841
--------------
BANKS -- 6.4%
82 1st Source Corp. 4,254
116 Allegiance Bancshares, Inc. (a) 4,362
139 Ameris Bancorp 5,913
277 Associated Banc-Corp. 6,105
150 Atlantic Union Bankshares Corp. 5,632
132 Banc of California, Inc. 2,268
34 BancFirst Corp. 2,123
63 BancorpSouth Bank 1,979
960 Bank of America Corp. 33,811
43 Bank of Hawaii Corp. 4,092
616 Bank OZK 18,791
111 BankUnited, Inc. 4,058
33 Banner Corp. 1,867
64 Berkshire Hills Bancorp, Inc. 2,104
159 BOK Financial Corp. 13,897
321 Boston Private Financial
Holdings, Inc. 3,862
127 Brookline Bancorp, Inc. 2,090
313 Byline Bancorp, Inc. 6,125
43 Camden National Corp. 1,981
105 Carolina Financial Corp. 4,539
107 Cathay General Bancorp 4,071
67 CBTX, Inc. 2,085
66 Central Pacific Financial Corp. 1,952
371 CIT Group, Inc. 16,929
608 Citigroup, Inc. 48,573
1,583 Citizens Financial Group, Inc. 64,286
24 City Holding Co. 1,967
51 Columbia Banking System, Inc. 2,075
255 Comerica, Inc. 18,296
72 Commerce Bancshares, Inc. 4,892
88 Community Trust Bancorp, Inc. 4,104
168 ConnectOne Bancorp, Inc. 4,321
95 Cullen/Frost Bankers, Inc. 9,289
270 Customers Bancorp, Inc. (a) 6,429
379 East West Bancorp, Inc. 18,457
1,458 F.N.B. Corp. 18,517
1,534 Fifth Third Bancorp 47,155
52 First Bancorp 2,075
74 First Busey Corp. 2,035
27 First Citizens BancShares, Inc.,
Class A 14,370
Page 14 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
141 First Commonwealth Financial
Corp. $ 2,046
153 First Financial Bancorp. 3,892
378 First Financial Bankshares, Inc. 13,268
611 First Foundation, Inc. 10,631
70 First Hawaiian, Inc. 2,019
1,038 First Horizon National Corp. 17,189
46 First Interstate BancSystem,
Inc., Class A 1,928
50 First Merchants Corp. 2,079
288 First Midwest Bancorp, Inc. 6,641
231 Fulton Financial Corp. 4,026
46 Glacier Bancorp., Inc. 2,116
66 Great Southern Bancorp, Inc. 4,179
113 Great Western Bancorp, Inc. 3,926
146 Hancock Whitney Corp. 6,406
125 Heartland Financial USA, Inc. 6,218
69 Heritage Financial Corp. 1,953
78 Hilltop Holdings, Inc. 1,945
298 Home BancShares, Inc. 5,859
391 Hope Bancorp, Inc. 5,810
108 Horizon Bancorp, Inc. 2,052
2,943 Huntington Bancshares, Inc. 44,380
222 IBERIABANK Corp. 16,612
97 International Bancshares Corp. 4,178
238 JPMorgan Chase & Co. 33,177
1,570 KeyCorp 31,777
242 Lakeland Bancorp, Inc. 4,206
177 M&T Bank Corp. 30,046
215 Midland States Bancorp, Inc. 6,226
55 National Bank Holdings Corp.,
Class A 1,937
51 NBT Bancorp, Inc. 2,069
112 Nicolet Bankshares, Inc. (a) 8,271
217 Old National Bancorp 3,969
111 Origin Bancorp, Inc. 4,200
120 Pacific Premier Bancorp, Inc. 3,913
462 PacWest Bancorp 17,681
806 People's United Financial, Inc. 13,621
117 Peoples Bancorp, Inc. 4,055
222 Pinnacle Financial Partners, Inc. 14,208
200 PNC Financial Services Group
(The), Inc. 31,926
311 Popular, Inc. 18,271
36 Preferred Bank 2,163
119 Prosperity Bancshares, Inc. 8,555
2,655 Regions Financial Corp. 45,560
107 Renasant Corp. 3,790
51 S&T Bancorp, Inc. 2,055
166 Sandy Spring Bancorp, Inc. 6,288
106 Signature Bank 14,481
225 Simmons First National Corp.,
Class A 6,028
50 South State Corp. 4,338
419 Sterling Bancorp 8,833
102 Stock Yards Bancorp, Inc. 4,188
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
60 SVB Financial Group (a) $ 15,062
352 Synovus Financial Corp. 13,798
102 Texas Capital Bancshares,
Inc. (a) 5,791
23 Tompkins Financial Corp. 2,105
67 TowneBank 1,864
103 TriCo Bancshares 4,203
89 TriState Capital Holdings,
Inc. (a) 2,325
59 Triumph Bancorp, Inc. (a) 2,243
262 Truist Financial Corp. 14,756
55 Trustmark Corp. 1,898
29 UMB Financial Corp. 1,991
1,021 Umpqua Holdings Corp. 18,072
222 United Bankshares, Inc. 8,583
198 United Community Banks, Inc. 6,114
146 Univest Financial Corp. 3,910
1,160 Valley National Bancorp 13,282
269 Webster Financial Corp. 14,354
833 Wells Fargo & Co. 44,815
100 WesBanco, Inc. 3,779
273 Western Alliance Bancorp 15,561
260 Wintrust Financial Corp. 18,434
377 Zions Bancorp N.A. 19,574
--------------
1,159,430
--------------
BEVERAGES -- 0.4%
15 Boston Beer (The) Co., Inc.,
Class A (a) 5,668
223 Brown-Forman Corp., Class B 15,075
25 Coca-Cola Consolidated, Inc. 7,101
365 Molson Coors Brewing Co.,
Class B 19,674
42 National Beverage Corp. (a) (b) 2,143
102 PepsiCo, Inc. 13,940
--------------
63,601
--------------
BIOTECHNOLOGY -- 1.5%
259 ACADIA Pharmaceuticals, Inc. (a) 11,080
41 Arena Pharmaceuticals, Inc. (a) 1,862
331 Arrowhead Pharmaceuticals,
Inc. (a) 20,995
301 Biogen, Inc. (a) 89,316
657 Cytokinetics, Inc. (a) 6,971
33 Eagle Pharmaceuticals, Inc. (a) 1,983
663 Gilead Sciences, Inc. 43,082
70 Ionis Pharmaceuticals, Inc. (a) 4,229
94 Ligand Pharmaceuticals, Inc. (a) 9,803
75 Medicines (The) Co. (a) 6,370
171 Natera, Inc. (a) 5,761
47 Neurocrine Biosciences, Inc. (a) 5,052
363 Radius Health, Inc. (a) 7,318
492 Seattle Genetics, Inc. (a) 56,216
--------------
270,038
--------------
BUILDING PRODUCTS -- 1.2%
176 A.O. Smith Corp. 8,385
174 Advanced Drainage Systems, Inc. 6,758
81 Allegion PLC 10,088
63 American Woodmark Corp. (a) 6,584
48 Apogee Enterprises, Inc. 1,560
See Notes to Financial Statements Page 15
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BUILDING PRODUCTS (CONTINUED)
130 Armstrong World Industries, Inc. $ 12,216
272 Builders FirstSource, Inc. (a) 6,911
68 Continental Building Products,
Inc. (a) 2,477
1,235 Cornerstone Building Brands,
Inc. (a) 10,510
108 CSW Industrials, Inc. 8,316
154 Fortune Brands Home & Security,
Inc. 10,062
194 JELD-WEN Holding, Inc. (a) 4,542
957 Johnson Controls International
PLC 38,959
403 Masco Corp. 19,340
332 Owens Corning 21,620
218 Patrick Industries, Inc. 11,430
216 PGT Innovations, Inc. (a) 3,221
651 Resideo Technologies, Inc. (a) 7,766
81 Simpson Manufacturing Co., Inc. 6,499
185 Trex Co., Inc. (a) 16,628
140 Universal Forest Products, Inc. 6,678
--------------
220,550
--------------
CAPITAL MARKETS -- 3.5%
70 Ares Management Corp., Class A 2,498
395 B. Riley Financial, Inc. 9,946
929 Bank of New York Mellon (The)
Corp. 46,757
679 BGC Partners, Inc., Class A 4,033
110 Cboe Global Markets, Inc. 13,200
199 CME Group, Inc. 39,943
102 Cohen & Steers, Inc. 6,402
288 E*TRADE Financial Corp. 13,067
280 Eaton Vance Corp. 13,073
230 Federated Investors, Inc.,
Class B 7,496
2,425 Franklin Resources, Inc. 63,002
203 Goldman Sachs Group (The), Inc. 46,676
83 Houlihan Lokey, Inc. 4,056
303 Intercontinental Exchange, Inc. 28,043
45 INTL. FCStone, Inc. (a) 2,197
992 Invesco Ltd. 17,836
360 Lazard Ltd., Class A 14,386
256 LPL Financial Holdings, Inc. 23,616
85 MarketAxess Holdings, Inc. 32,224
984 Morgan Stanley 50,302
57 Morningstar, Inc. 8,625
1,803 Oaktree Specialty Lending Corp. 9,844
49 Piper Sandler Cos. 3,917
153 Raymond James Financial, Inc. 13,687
142 SEI Investments Co. 9,298
710 State Street Corp. 56,161
293 Stifel Financial Corp. 17,770
490 T. Rowe Price Group, Inc. 59,702
259 TCG BDC, Inc. 3,465
51 Virtus Investment Partners, Inc. 6,208
544 Waddell & Reed Financial, Inc.,
Class A 9,096
--------------
636,526
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CHEMICALS -- 2.8%
290 AdvanSix, Inc. (a) $ 5,788
302 Albemarle Corp. 22,058
109 Ashland Global Holdings, Inc. 8,342
279 Axalta Coating Systems Ltd. (a) 8,482
165 Cabot Corp. 7,841
458 Celanese Corp. 56,389
171 CF Industries Holdings, Inc. 8,164
500 Chemours (The) Co. 9,045
393 DuPont de Nemours, Inc. 25,231
284 Eastman Chemical Co. 22,510
157 Ferro Corp. (a) 2,328
192 FMC Corp. 19,165
194 GCP Applied Technologies,
Inc. (a) 4,406
120 H.B. Fuller Co. 6,188
723 Huntsman Corp. 17,468
173 Innophos Holdings, Inc. 5,533
21 Innospec, Inc. 2,172
289 Kraton Corp. (a) 7,317
604 Kronos Worldwide, Inc. 8,094
1,396 Livent Corp. (a) 11,936
782 LyondellBasell Industries N.V.,
Class A 73,883
141 Minerals Technologies, Inc. 8,126
1,025 Mosaic (The) Co. 22,181
18 NewMarket Corp. 8,757
499 Olin Corp. 8,608
57 PolyOne Corp. 2,097
117 PQ Group Holdings, Inc. (a) 2,010
206 Scotts Miracle-Gro (The) Co. 21,873
102 Sherwin-Williams (The) Co. 59,521
38 Stepan Co. 3,893
191 Tredegar Corp. 4,269
130 Trinseo S.A. 4,837
191 Valvoline, Inc. 4,089
320 Westlake Chemical Corp. 22,448
--------------
505,049
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.7%
51 ABM Industries, Inc. 1,923
946 ACCO Brands Corp. 8,855
2,900 ADT, Inc. (b) 22,997
106 Brady Corp., Class A 6,070
203 Brink's (The) Co. 18,408
130 Casella Waste Systems, Inc.,
Class A (a) 5,984
71 Cimpress PLC (a) 8,930
261 Cintas Corp. 70,230
54 Clean Harbors, Inc. (a) 4,630
697 Copart, Inc. (a) 63,385
108 Covanta Holding Corp. 1,603
76 Deluxe Corp. 3,794
41 Herman Miller, Inc. 1,708
105 HNI Corp. 3,933
259 Interface, Inc. 4,297
228 KAR Auction Services, Inc. 4,968
194 Kimball International, Inc.,
Class B 4,010
Page 16 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
147 Knoll, Inc. $ 3,713
158 Matthews International Corp.,
Class A 6,031
107 McGrath RentCorp 8,190
38 MSA Safety, Inc. 4,802
409 Pitney Bowes, Inc. 1,648
50 SP Plus Corp. (a) 2,121
305 Steelcase, Inc., Class A 6,240
242 Tetra Tech, Inc. 20,851
19 UniFirst Corp. 3,838
88 US Ecology, Inc. 5,096
111 Viad Corp. 7,492
--------------
305,747
--------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
321 Ciena Corp. (a) 13,703
57 Comtech Telecommunications
Corp. 2,023
141 EchoStar Corp., Class A (a) 6,107
770 Extreme Networks, Inc. (a) 5,675
60 F5 Networks, Inc. (a) 8,379
679 Juniper Networks, Inc. 16,724
246 Motorola Solutions, Inc. 39,640
640 Ribbon Communications, Inc. (a) 1,984
167 ViaSat, Inc. (a) 12,224
667 Viavi Solutions, Inc. (a) 10,005
--------------
116,464
--------------
CONSTRUCTION & ENGINEERING
-- 0.8%
447 AECOM (a) 19,279
349 Ameresco, Inc., Class A (a) 6,108
273 Arcosa, Inc. 12,162
599 Construction Partners, Inc.,
Class A (a) 10,105
110 Dycom Industries, Inc. (a) 5,187
195 EMCOR Group, Inc. 16,829
894 Great Lakes Dredge & Dock
Corp. (a) 10,129
323 MasTec, Inc. (a) 20,724
381 Primoris Services Corp. 8,473
444 Quanta Services, Inc. 18,075
40 Valmont Industries, Inc. 5,991
480 WillScot Corp. (a) 8,875
--------------
141,937
--------------
CONSTRUCTION MATERIALS -- 0.8%
255 Martin Marietta Materials, Inc. 71,308
169 US Concrete, Inc. (a) 7,041
463 Vulcan Materials Co. 66,667
--------------
145,016
--------------
CONSUMER FINANCE -- 1.7%
1,689 Ally Financial, Inc. 51,616
615 Capital One Financial Corp. 63,290
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSUMER FINANCE (CONTINUED)
9 Credit Acceptance Corp. (a) $ 3,981
345 Discover Financial Services 29,263
280 Encore Capital Group, Inc. (a) 9,901
360 Enova International, Inc. (a) 8,662
46 FirstCash, Inc. 3,709
296 Green Dot Corp., Class A (a) 6,897
584 Navient Corp. 7,989
147 Nelnet, Inc., Class A 8,561
572 OneMain Holdings, Inc. 24,110
659 Santander Consumer USA
Holdings, Inc. 15,401
1,905 SLM Corp. 16,973
1,643 Synchrony Financial 59,164
--------------
309,517
--------------
CONTAINERS & PACKAGING -- 1.4%
35 AptarGroup, Inc. 4,047
37 Avery Dennison Corp. 4,840
769 Ball Corp. 49,731
318 Crown Holdings, Inc. (a) 23,068
1,140 Graphic Packaging Holding Co. 18,981
148 Greif, Inc., Class A 6,542
1,339 International Paper Co. 61,661
727 O-I Glass, Inc. 8,673
198 Packaging Corp. of America 22,174
101 Sealed Air Corp. 4,023
124 Silgan Holdings, Inc. 3,854
216 Sonoco Products Co. 13,331
576 WestRock Co. 24,716
--------------
245,641
--------------
DISTRIBUTORS -- 0.2%
267 LKQ Corp. (a) 9,532
83 Pool Corp. 17,627
--------------
27,159
--------------
DIVERSIFIED CONSUMER SERVICES
-- 0.3%
147 Adtalem Global Education,
Inc. (a) 5,141
83 Bright Horizons Family Solutions,
Inc. (a) 12,474
14 Graham Holdings Co., Class B 8,946
534 H&R Block, Inc. 12,538
701 Houghton Mifflin Harcourt Co. (a) 4,381
71 K12, Inc. (a) 1,445
225 Laureate Education, Inc.,
Class A (a) 3,962
176 Service Corp. International 8,101
99 WW International, Inc. (a) 3,783
--------------
60,771
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
759 AXA Equitable Holdings, Inc. 18,808
135 Berkshire Hathaway, Inc.,
Class B (a) 30,578
136 Cannae Holdings, Inc. (a) 5,058
468 FGL Holdings 4,984
See Notes to Financial Statements Page 17
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED FINANCIAL SERVICES
(CONTINUED)
914 Jefferies Financial Group, Inc. $ 19,532
231 Voya Financial, Inc. 14,086
--------------
93,046
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
1,480 AT&T, Inc. 57,838
64 ATN International, Inc. 3,545
203 GCI Liberty, Inc., Class A (a) 14,382
464 Verizon Communications, Inc. 28,490
165 Vonage Holdings Corp. (a) 1,223
--------------
105,478
--------------
ELECTRIC UTILITIES -- 1.9%
144 ALLETE, Inc. 11,689
234 Alliant Energy Corp. 12,804
149 American Electric Power Co., Inc. 14,082
292 Duke Energy Corp. 26,633
119 Entergy Corp. 14,256
210 Evergy, Inc. 13,669
869 Exelon Corp. 39,618
184 Hawaiian Electric Industries,
Inc. 8,622
75 IDACORP, Inc. 8,010
70 MGE Energy, Inc. 5,517
120 NextEra Energy, Inc. 29,059
185 OGE Energy Corp. 8,227
69 Otter Tail Corp. 3,539
130 Pinnacle West Capital Corp. 11,691
242 PNM Resources, Inc. 12,272
224 Portland General Electric Co. 12,497
1,778 PPL Corp. 63,795
680 Southern (The) Co. 43,316
--------------
339,296
--------------
ELECTRICAL EQUIPMENT -- 1.0%
125 Acuity Brands, Inc. 17,250
307 Atkore International Group,
Inc. (a) 12,421
129 AZZ, Inc. 5,928
505 Eaton Corp. PLC 47,834
209 Emerson Electric Co. 15,938
133 Encore Wire Corp. 7,634
57 EnerSys 4,265
268 Generac Holdings, Inc. (a) 26,958
292 GrafTech International Ltd. 3,393
64 Hubbell, Inc. 9,461
3,551 Plug Power, Inc. (a) (b) 11,221
128 Regal Beloit Corp. 10,958
447 Sunrun, Inc. (a) 6,173
571 Vivint Solar, Inc. (a) (b) 4,146
--------------
183,580
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.7%
108 Anixter International, Inc. (a) 9,947
614 AVX Corp. 12,568
140 Belden, Inc. 7,700
257 Benchmark Electronics, Inc. 8,830
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS (CONTINUED)
568 CDW Corp. $ 81,133
173 CTS Corp. 5,192
130 Dolby Laboratories, Inc.,
Class A 8,944
49 ePlus, Inc. (a) 4,130
143 Fabrinet (a) 9,272
160 FLIR Systems, Inc. 8,331
101 Insight Enterprises, Inc. (a) 7,099
126 Itron, Inc. (a) 10,578
352 Jabil, Inc. 14,548
514 KEMET Corp. 13,904
576 Keysight Technologies, Inc. (a) 59,115
92 Knowles Corp. (a) 1,946
47 Littelfuse, Inc. 8,991
222 Methode Electronics, Inc. 8,736
34 MTS Systems Corp. 1,633
100 National Instruments Corp. 4,234
55 OSI Systems, Inc. (a) 5,541
144 PC Connection, Inc. 7,151
90 Plexus Corp. (a) 6,924
174 Sanmina Corp. (a) 5,958
305 ScanSource, Inc. (a) 11,270
186 SYNNEX Corp. 23,957
751 TE Connectivity Ltd. 71,976
201 Tech Data Corp. (a) 28,864
766 TTM Technologies, Inc. (a) 11,528
552 Vishay Intertechnology, Inc. 11,752
41 Zebra Technologies Corp.,
Class A (a) 10,473
--------------
482,225
--------------
ENERGY EQUIPMENT & SERVICES
-- 1.3%
207 Apergy Corp. (a) 6,992
42 DMC Global, Inc. 1,888
3,713 Halliburton Co. 90,857
927 Helix Energy Solutions Group,
Inc. (a) 8,927
314 Helmerich & Payne, Inc. 14,265
2,997 Nabors Industries Ltd. 8,631
735 Newpark Resources, Inc. (a) 4,608
281 Oil States International,
Inc. (a) 4,583
655 Patterson-UTI Energy, Inc. 6,878
1,665 RPC, Inc. (b) 8,725
1,639 Schlumberger Ltd. 65,888
119 SEACOR Holdings, Inc. (a) 5,135
--------------
227,377
--------------
ENTERTAINMENT -- 1.3%
265 Activision Blizzard, Inc. 15,746
698 AMC Entertainment Holdings,
Inc., Class A (b) 5,054
326 Cinemark Holdings, Inc. 11,035
572 Electronic Arts, Inc. (a) 61,496
673 Liberty Media Corp.-Liberty
Formula One, Class C (a) 30,935
211 Live Nation Entertainment,
Inc. (a) 15,080
101 Marcus (The) Corp. 3,209
Page 18 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENTERTAINMENT (CONTINUED)
206 Roku, Inc. (a) $ 27,583
447 Take-Two Interactive Software,
Inc. (a) 54,726
1,444 Zynga, Inc., Class A (a) 8,837
--------------
233,701
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.6%
26 Agree Realty Corp. 1,824
175 American Campus Communities,
Inc. 8,230
487 American Homes 4 Rent, Class A 12,764
127 American Tower Corp. 29,187
340 Americold Realty Trust 11,920
81 Apartment Investment &
Management Co., Class A 4,184
451 Apple Hospitality REIT, Inc. 7,329
829 Brixmor Property Group, Inc. 17,915
183 Brookfield Property REIT, Inc.,
Class A 3,375
76 Camden Property Trust 8,064
309 Chatham Lodging Trust 5,667
931 Colony Capital, Inc. 4,422
168 Community Healthcare Trust, Inc. 7,201
432 CoreCivic, Inc. 7,508
79 CorEnergy Infrastructure Trust,
Inc. 3,532
69 CoreSite Realty Corp. 7,736
101 Crown Castle International Corp. 14,357
241 CubeSmart 7,587
212 CyrusOne, Inc. 13,871
547 DiamondRock Hospitality Co. 6,061
108 Digital Realty Trust, Inc. 12,932
196 Douglas Emmett, Inc. 8,604
371 Duke Realty Corp. 12,863
351 Easterly Government Properties,
Inc. 8,329
101 EastGroup Properties, Inc. 13,400
55 EPR Properties 3,885
73 Equinix, Inc. 42,610
613 Equity Commonwealth 20,125
188 Equity LifeStyle Properties, Inc. 13,233
162 Equity Residential 13,109
326 Essential Properties Realty
Trust, Inc. 8,088
240 Extra Space Storage, Inc. 25,349
318 First Industrial Realty Trust,
Inc. 13,200
442 Franklin Street Properties Corp. 3,784
110 Gaming and Leisure Properties,
Inc. 4,736
323 GEO Group (The), Inc. 5,365
159 Gladstone Commercial Corp. 3,476
64 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 2,060
125 Healthcare Realty Trust, Inc. 4,171
143 Healthcare Trust of America, Inc.,
Class A 4,330
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE
INVESTMENT TRUSTS (CONTINUED)
4,048 Host Hotels & Resorts, Inc. $ 75,090
653 Independence Realty Trust, Inc. 9,194
40 Innovative Industrial Properties,
Inc. (b) 3,035
2,364 Invitation Homes, Inc. 70,849
130 Iron Mountain, Inc. 4,143
716 iStar, Inc. 10,389
54 Kilroy Realty Corp. 4,531
604 Kimco Realty Corp. 12,509
116 Kite Realty Group Trust 2,266
51 Lamar Advertising Co., Class A 4,552
182 Lexington Realty Trust 1,933
82 Liberty Property Trust 4,924
80 Life Storage, Inc. 8,662
36 LTC Properties, Inc. 1,612
266 Macerich (The) Co. 7,161
215 Medical Properties Trust, Inc. 4,539
74 National Retail Properties, Inc. 3,968
112 National Storage Affiliates Trust 3,765
120 NexPoint Residential Trust, Inc. 5,400
201 Omega Healthcare Investors, Inc. 8,512
756 Outfront Media, Inc. 20,276
673 Park Hotels & Resorts, Inc. 17,411
151 Pebblebrook Hotel Trust 4,048
45 PotlatchDeltic Corp. 1,947
517 Preferred Apartment Communities,
Inc., Class A 6,886
69 PS Business Parks, Inc. 11,376
36 QTS Realty Trust, Inc., Class A 1,954
60 Regency Centers Corp. 3,785
382 Rexford Industrial Realty, Inc. 17,446
440 RLJ Lodging Trust 7,797
138 RPT Realty 2,076
51 Ryman Hospitality Properties,
Inc. 4,420
366 Sabra Health Care REIT, Inc. 7,810
184 Safehold, Inc. 7,415
174 SBA Communications Corp. 41,932
404 Senior Housing Properties
Trust (a) 3,410
815 Service Properties Trust 19,829
124 SITE Centers Corp. 1,739
103 SL Green Realty Corp. 9,464
175 Spirit Realty Capital, Inc. 8,607
449 STORE Capital Corp. 16,721
805 Summit Hotel Properties, Inc. 9,934
113 Sun Communities, Inc. 16,961
680 Sunstone Hotel Investors, Inc. 9,466
121 Tanger Factory Outlet Centers,
Inc. (b) 1,782
73 Terreno Realty Corp. 3,952
54 Universal Health Realty Income
Trust 6,337
79 Urstadt Biddle Properties, Inc.,
Class A 1,962
1,289 VEREIT, Inc. 11,910
186 VICI Properties, Inc. 4,752
330 Vornado Realty Trust 21,945
See Notes to Financial Statements Page 19
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE
INVESTMENT TRUSTS (CONTINUED)
1,805 Washington Prime Group, Inc. (b) $ 6,570
463 Welltower, Inc. 37,864
354 Xenia Hotels & Resorts, Inc. 7,650
--------------
1,010,851
--------------
FOOD & STAPLES RETAILING -- 1.1%
416 Andersons (The), Inc. 10,517
72 BJ's Wholesale Club Holdings,
Inc. (a) 1,637
52 Casey's General Stores, Inc. 8,267
231 Chefs' Warehouse (The), Inc. (a) 8,803
240 Ingles Markets, Inc., Class A 11,402
2,172 Kroger (The) Co. 62,966
91 Performance Food Group Co. (a) 4,685
193 Sprouts Farmers Market, Inc. (a) 3,735
307 US Foods Holding Corp. (a) 12,860
1,012 Walgreens Boots Alliance, Inc. 59,668
245 Weis Markets, Inc. 9,920
--------------
194,460
--------------
FOOD PRODUCTS -- 1.7%
1,023 Archer-Daniels-Midland Co. 47,416
494 B&G Foods, Inc. (b) 8,857
297 Bunge Ltd. 17,092
457 Conagra Brands, Inc. 15,648
293 Darling Ingredients, Inc. (a) 8,227
363 Flowers Foods, Inc. 7,892
55 Fresh Del Monte Produce, Inc. 1,924
150 Freshpet, Inc. (a) 8,863
361 Hershey (The) Co. 53,060
267 Hostess Brands, Inc. (a) 3,882
257 Ingredion, Inc. 23,888
39 J&J Snack Foods Corp. 7,187
127 J.M. Smucker (The) Co. 13,225
173 Lamb Weston Holdings, Inc. 14,883
30 Lancaster Colony Corp. 4,803
131 Pilgrim's Pride Corp. (a) 4,286
40 Post Holdings, Inc. (a) 4,364
258 Simply Good Foods (The) Co. (a) 7,363
34 TreeHouse Foods, Inc. (a) 1,649
650 Tyson Foods, Inc., Class A 59,176
--------------
313,685
--------------
GAS UTILITIES -- 0.3%
39 Chesapeake Utilities Corp. 3,737
448 National Fuel Gas Co. 20,850
93 New Jersey Resources Corp. 4,145
26 Northwest Natural Holding Co. 1,917
87 ONE Gas, Inc. 8,141
138 Southwest Gas Holdings, Inc. 10,484
96 Spire, Inc. 7,998
84 UGI Corp. 3,793
--------------
61,065
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.4%
507 AngioDynamics, Inc. (a) $ 8,117
118 Cardiovascular Systems, Inc. (a) 5,734
78 CONMED Corp. 8,723
94 DexCom, Inc. (a) 20,562
191 Edwards Lifesciences Corp. (a) 44,558
73 Globus Medical, Inc., Class A (a) 4,298
100 Haemonetics Corp. (a) 11,490
40 Hill-Rom Holdings, Inc. 4,541
127 Insulet Corp. (a) 21,742
140 Integra LifeSciences Holdings
Corp. (a) 8,159
75 Lantheus Holdings, Inc. (a) 1,538
55 LeMaitre Vascular, Inc. 1,977
28 Masimo Corp. (a) 4,426
87 Nevro Corp. (a) 10,226
281 Novocure Ltd. (a) 23,680
59 NuVasive, Inc. (a) 4,563
311 ResMed, Inc. 48,196
71 Tandem Diabetes Care, Inc. (a) 4,232
118 West Pharmaceutical Services,
Inc. 17,739
--------------
254,501
--------------
HEALTH CARE PROVIDERS &
SERVICES -- 3.4%
94 Addus HomeCare Corp. (a) 9,139
128 Amedisys, Inc. (a) 21,366
130 AMN Healthcare Services, Inc. (a) 8,100
117 Anthem, Inc. 35,338
493 Brookdale Senior Living, Inc. (a) 3,584
297 Cardinal Health, Inc. 15,022
1,294 Centene Corp. (a) 81,354
50 Chemed Corp. 21,963
277 Cigna Corp. 56,644
49 CorVel Corp. (a) 4,281
785 Covetrus, Inc. (a) 10,362
666 CVS Health Corp. 49,477
74 DaVita, Inc. (a) 5,552
133 Encompass Health Corp. 9,213
39 Ensign Group (The), Inc. 1,769
275 Hanger, Inc. (a) 7,593
132 Henry Schein, Inc. (a) 8,807
164 Humana, Inc. 60,109
250 Laboratory Corp. of America
Holdings (a) 42,292
111 LHC Group, Inc. (a) 15,291
30 Magellan Health, Inc. (a) 2,348
153 Molina Healthcare, Inc. (a) 20,761
68 National HealthCare Corp. 5,877
65 National Research Corp. 4,286
1,751 Option Care Health, Inc. (a) 6,531
419 Patterson Cos., Inc. 8,581
131 Quest Diagnostics, Inc. 13,989
209 R1 RCM, Inc. (a) 2,713
520 RadNet, Inc. (a) 10,556
113 Select Medical Holdings Corp. (a) 2,637
449 Tivity Health, Inc. (a) 9,135
Page 20 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
64 UnitedHealth Group, Inc. $ 18,815
282 Universal Health Services, Inc.,
Class B 40,456
43 US Physical Therapy, Inc. 4,917
--------------
618,858
--------------
HEALTH CARE TECHNOLOGY -- 0.3%
108 HMS Holdings Corp. (a) 3,197
570 Inovalon Holdings, Inc.,
Class A (a) 10,728
92 Inspire Medical Systems, Inc. (a) 6,827
34 Tabula Rasa HealthCare,
Inc. (a) (b) 1,655
124 Teladoc Health, Inc. (a) 10,381
92 Veeva Systems, Inc., Class A (a) 12,941
--------------
45,729
--------------
HOTELS, RESTAURANTS & LEISURE
-- 2.8%
193 Aramark 8,376
144 BJ's Restaurants, Inc. 5,466
99 Bloomin' Brands, Inc. 2,185
87 Brinker International, Inc. 3,654
1,601 Carnival Corp. 81,379
90 Cheesecake Factory (The), Inc. 3,497
83 Chipotle Mexican Grill, Inc. (a) 69,480
94 Choice Hotels International, Inc. 9,722
170 Churchill Downs, Inc. 23,324
77 Cracker Barrel Old Country Store,
Inc. 11,838
118 Darden Restaurants, Inc. 12,863
410 Denny's Corp. (a) 8,151
106 Dunkin' Brands Group, Inc. 8,007
175 Hilton Grand Vacations, Inc. (a) 6,018
25 Hyatt Hotels Corp., Class A 2,243
41 Jack in the Box, Inc. 3,199
223 Lindblad Expeditions Holdings,
Inc. (a) 3,646
505 MGM Resorts International 16,801
406 Norwegian Cruise Line Holdings
Ltd. (a) 23,715
716 Playa Hotels & Resorts N.V. (a) 6,014
517 Royal Caribbean Cruises Ltd. 69,025
92 Scientific Games Corp. (a) 2,464
95 Shake Shack, Inc., Class A (a) 5,659
792 Starbucks Corp. 69,633
160 Texas Roadhouse, Inc. 9,011
327 Twin River Worldwide Holdings,
Inc. 8,388
18 Vail Resorts, Inc. 4,317
841 Wendy's (The) Co. 18,679
43 Wingstop, Inc. 3,708
91 Wyndham Destinations, Inc. 4,704
162 Wyndham Hotels & Resorts, Inc. 10,175
--------------
515,341
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOUSEHOLD DURABLES -- 2.1%
244 Century Communities, Inc. (a) $ 6,673
1,062 D.R. Horton, Inc. 56,021
133 Helen of Troy Ltd. (a) 23,912
163 Installed Building Products,
Inc. (a) 11,226
220 KB Home 7,539
56 La-Z-Boy, Inc. 1,763
205 Leggett & Platt, Inc. 10,420
1,253 Lennar Corp., Class A 69,905
112 LGI Homes, Inc. (a) 7,913
217 M.D.C. Holdings, Inc. 8,281
248 M/I Homes, Inc. (a) 9,759
80 Meritage Homes Corp. (a) 4,889
169 Mohawk Industries, Inc. (a) 23,048
6 NVR, Inc. (a) 22,850
575 PulteGroup, Inc. 22,310
186 Skyline Champion Corp. (a) 5,896
288 Taylor Morrison Home Corp. (a) 6,296
272 Tempur Sealy International,
Inc. (a) 23,680
512 Toll Brothers, Inc. 20,229
97 TopBuild Corp. (a) 9,999
621 TRI Pointe Group, Inc. (a) 9,675
235 Tupperware Brands Corp. 2,016
106 Whirlpool Corp. 15,638
367 William Lyon Homes, Class A (a) 7,333
--------------
387,271
--------------
HOUSEHOLD PRODUCTS -- 0.2%
202 Central Garden & Pet Co.,
Class A (a) 5,931
43 Energizer Holdings, Inc. 2,159
197 Kimberly-Clark Corp. 27,097
20 WD-40 Co. 3,883
--------------
39,070
--------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.3%
257 AES Corp. 5,114
212 NRG Energy, Inc. 8,427
101 Ormat Technologies, Inc. 7,526
347 Pattern Energy Group, Inc.,
Class A 9,284
512 TerraForm Power, Inc., Class A 7,880
629 Vistra Energy Corp. 14,461
--------------
52,692
--------------
INDUSTRIAL CONGLOMERATES -- 0.1%
87 Carlisle Cos., Inc. 14,080
--------------
INSURANCE -- 4.1%
268 Aflac, Inc. 14,177
258 Allstate (The) Corp. 29,012
154 American Equity Investment Life
Holding Co. 4,609
78 American Financial Group, Inc. 8,553
503 American International Group,
Inc. 25,819
60 American National Insurance Co. 7,061
1,667 Arch Capital Group Ltd. (a) 71,498
156 Arthur J. Gallagher & Co. 14,856
33 Assurant, Inc. 4,326
472 Assured Guaranty Ltd. 23,137
See Notes to Financial Statements Page 21
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
499 Athene Holding Ltd., Class A (a) $ 23,468
63 Axis Capital Holdings Ltd. 3,745
415 Brighthouse Financial, Inc. (a) 16,280
466 Brown & Brown, Inc. 18,398
120 Cincinnati Financial Corp. 12,618
56 eHealth, Inc. (a) 5,380
171 Employers Holdings, Inc. 7,139
49 Enstar Group Ltd. (a) 10,136
45 Erie Indemnity Co., Class A 7,470
16 Everest Re Group Ltd. 4,429
31 FBL Financial Group, Inc.,
Class A 1,827
378 Fidelity National Financial, Inc. 17,142
285 First American Financial Corp. 16,621
88 Globe Life, Inc. 9,262
151 Goosehead Insurance, Inc.,
Class A 6,402
31 Hanover Insurance Group (The),
Inc. 4,237
462 Hartford Financial Services Group
(The), Inc. 28,076
109 James River Group Holdings Ltd. 4,492
216 Kemper Corp. 16,740
90 Kinsale Capital Group, Inc. 9,149
696 Lincoln National Corp. 41,071
100 Mercury General Corp. 4,873
891 MetLife, Inc. 45,414
325 National General Holdings Corp. 7,183
28 National Western Life Group, Inc.,
Class A 8,145
713 Old Republic International Corp. 15,950
99 Primerica, Inc. 12,925
490 Principal Financial Group, Inc. 26,950
362 Progressive (The) Corp. 26,205
311 Prudential Financial, Inc. 29,153
79 Reinsurance Group of America,
Inc. 12,882
109 RenaissanceRe Holdings Ltd. 21,366
55 Safety Insurance Group, Inc. 5,089
56 Selective Insurance Group, Inc. 3,651
188 Travelers (The) Cos., Inc. 25,747
249 Universal Insurance Holdings,
Inc. 6,970
565 Unum Group 16,475
7 White Mountains Insurance Group
Ltd. 7,809
--------------
743,917
--------------
INTERACTIVE MEDIA & SERVICES
-- 0.9%
11 Alphabet, Inc., Class A (a) 14,733
235 Match Group, Inc. (a) (b) 19,296
4,430 Snap, Inc., Class A (a) 72,342
109 TripAdvisor, Inc. 3,311
1,699 Twitter, Inc. (a) 54,453
54 Yelp, Inc. (a) 1,881
--------------
166,016
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INTERNET & DIRECT MARKETING RETAIL
-- 0.2%
126 1-800-Flowers.com, Inc.,
Class A (a) $ 1,827
359 eBay, Inc. 12,964
74 Etsy, Inc. (a) 3,278
2,037 Qurate Retail, Inc., Series A (a) 17,172
100 Stamps.com, Inc. (a) 8,352
--------------
43,593
--------------
IT SERVICES -- 2.7%
613 Akamai Technologies, Inc. (a) 52,951
98 Alliance Data Systems Corp. 10,996
138 Black Knight, Inc. (a) 8,898
296 Booz Allen Hamilton Holding
Corp. 21,054
36 CACI International, Inc.,
Class A (a) 9,000
104 Cass Information Systems, Inc. 6,005
929 Cognizant Technology Solutions
Corp., Class A 57,616
181 CSG Systems International, Inc. 9,372
2,373 DXC Technology Co. 89,201
92 EPAM Systems, Inc. (a) 19,519
29 Euronet Worldwide, Inc. (a) 4,569
120 EVERTEC, Inc. 4,085
84 ExlService Holdings, Inc. (a) 5,835
270 Fiserv, Inc. (a) 31,220
434 Genpact Ltd. 18,302
29 Jack Henry & Associates, Inc. 4,224
514 KBR, Inc. 15,677
245 Leidos Holdings, Inc. 23,983
217 LiveRamp Holdings, Inc. (a) 10,431
52 Mastercard, Inc., Class A 15,527
109 MAXIMUS, Inc. 8,108
35 MongoDB, Inc. (a) 4,606
271 NIC, Inc. 6,057
242 Perficient, Inc. (a) 11,149
322 Perspecta, Inc. 8,514
188 Sabre Corp. 4,219
183 Sykes Enterprises, Inc. (a) 6,769
156 TTEC Holdings, Inc. 6,181
544 Western Union (The) Co. 14,568
21 WEX, Inc. (a) 4,399
--------------
493,035
--------------
LEISURE PRODUCTS -- 0.2%
71 Acushnet Holdings Corp. 2,307
161 Brunswick Corp. 9,657
385 Callaway Golf Co. 8,162
143 Polaris, Inc. 14,543
134 Sturm Ruger & Co., Inc. 6,302
--------------
40,971
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.3%
13 Bio-Rad Laboratories, Inc.,
Class A (a) 4,811
191 Bruker Corp. 9,735
Page 22 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES
(CONTINUED)
32 Charles River Laboratories
International, Inc. (a) $ 4,888
111 Medpace Holdings, Inc. (a) 9,331
42 PRA Health Sciences, Inc. (a) 4,668
164 Repligen Corp. (a) 15,170
--------------
48,603
--------------
MACHINERY -- 3.5%
222 AGCO Corp. 17,149
32 Alamo Group, Inc. 4,018
83 Albany International Corp.,
Class A 6,301
179 Allison Transmission Holdings,
Inc. 8,649
270 Altra Industrial Motion Corp. 9,777
72 Barnes Group, Inc. 4,461
208 Crane Co. 17,967
430 Cummins, Inc. 76,953
166 Deere & Co. 28,761
81 Donaldson Co., Inc. 4,667
27 EnPro Industries, Inc. 1,806
70 ESCO Technologies, Inc. 6,475
439 Evoqua Water Technologies
Corp. (a) 8,319
285 Federal Signal Corp. 9,191
90 Flowserve Corp. 4,479
1,021 Fortive Corp. 77,994
39 Franklin Electric Co., Inc. 2,235
54 Gorman-Rupp (The) Co. 2,025
310 Greenbrier (The) Cos., Inc. 10,053
181 Hillenbrand, Inc. 6,029
34 Hyster-Yale Materials Handling,
Inc. 2,005
227 Ingersoll-Rand PLC 30,173
206 ITT, Inc. 15,225
42 John Bean Technologies Corp. 4,732
304 Kennametal, Inc. 11,215
97 Lincoln Electric Holdings, Inc. 9,383
101 Meritor, Inc. (a) 2,645
65 Mueller Industries, Inc. 2,064
665 Mueller Water Products, Inc.,
Class A 7,967
29 Nordson Corp. 4,722
277 Oshkosh Corp. 26,218
1,028 PACCAR, Inc. 81,315
155 Parker-Hannifin Corp. 31,902
25 RBC Bearings, Inc. (a) 3,959
134 Snap-on, Inc. 22,700
47 SPX FLOW, Inc. (a) 2,297
51 Standex International Corp. 4,047
43 Timken (The) Co. 2,421
229 Toro (The) Co. 18,244
122 TriMas Corp. (a) 3,832
285 Trinity Industries, Inc. 6,313
515 Wabash National Corp. 7,565
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
60 Watts Water Technologies, Inc.,
Class A $ 5,986
156 Woodward, Inc. 18,477
--------------
632,716
--------------
MARINE -- 0.1%
102 Kirby Corp. (a) 9,132
149 Matson, Inc. 6,079
--------------
15,211
--------------
MEDIA -- 2.9%
733 Altice USA, Inc., Class A (a) 20,040
114 AMC Networks, Inc., Class A (a) 4,503
13 Cable One, Inc. 19,350
278 Cardlytics, Inc. (a) 17,475
1,662 Central European Media
Enterprises Ltd., Class A (a) 7,529
136 Charter Communications, Inc.,
Class A (a) 65,971
932 Comcast Corp., Class A 41,912
2,628 Discovery, Inc., Class A (a) 86,041
493 DISH Network Corp., Class A (a) 17,487
2,220 Fox Corp., Class A 82,295
229 Gray Television, Inc. (a) 4,910
585 Interpublic Group of Cos. (The),
Inc. 13,513
127 John Wiley & Sons, Inc., Class A 6,162
219 Liberty Latin America Ltd.,
Class C (a) 4,262
302 News Corp., Class A 4,270
82 Nexstar Media Group, Inc.,
Class A 9,614
49 Scholastic Corp. 1,884
175 Sinclair Broadcast Group, Inc.,
Class A 5,835
4,479 Sirius XM Holdings, Inc. 32,025
249 TechTarget, Inc. (a) 6,499
481 TEGNA, Inc. 8,028
1,734 ViacomCBS, Inc., Class B 72,776
--------------
532,381
--------------
METALS & MINING -- 1.5%
823 AK Steel Holding Corp. (a) 2,708
369 Allegheny Technologies, Inc. (a) 7,624
108 Carpenter Technology Corp. 5,376
1,035 Cleveland-Cliffs, Inc. (b) 8,694
537 Commercial Metals Co. 11,959
4,388 Freeport-McMoRan, Inc. 57,571
38 Kaiser Aluminum Corp. 4,214
1,375 Nucor Corp. 77,385
211 Reliance Steel & Aluminum Co. 25,269
170 Royal Gold, Inc. 20,782
705 Steel Dynamics, Inc. 23,998
809 United States Steel Corp. (b) 9,231
478 Warrior Met Coal, Inc. 10,100
52 Worthington Industries, Inc. 2,193
--------------
267,104
--------------
See Notes to Financial Statements Page 23
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.2%
195 Apollo Commercial Real Estate
Finance, Inc. $ 3,567
142 Arbor Realty Trust, Inc. 2,038
117 Blackstone Mortgage Trust, Inc.,
Class A 4,355
100 Granite Point Mortgage Trust,
Inc. 1,838
96 KKR Real Estate Finance Trust,
Inc. 1,960
1,015 MFA Financial, Inc. 7,765
336 PennyMac Mortgage Investment
Trust 7,489
117 Ready Capital Corp. 1,804
341 Redwood Trust, Inc. 5,640
174 Starwood Property Trust, Inc. 4,326
94 TPG RE Finance Trust, Inc. 1,905
--------------
42,687
--------------
MULTILINE RETAIL -- 1.0%
381 Big Lots, Inc. 10,942
141 Dillard's, Inc., Class A (b) 10,361
440 Dollar General Corp. 68,631
423 Kohl's Corp. 21,552
1,352 Macy's, Inc. 22,984
374 Nordstrom, Inc. 15,308
262 Target Corp. 33,591
--------------
183,369
--------------
MULTI-UTILITIES -- 0.9%
116 Avista Corp. 5,578
55 Black Hills Corp. 4,320
464 CenterPoint Energy, Inc. 12,653
148 Consolidated Edison, Inc. 13,390
105 DTE Energy Co. 13,636
447 MDU Resources Group, Inc. 13,280
140 NiSource, Inc. 3,898
50 NorthWestern Corp. 3,584
226 Public Service Enterprise Group,
Inc. 13,345
95 Sempra Energy 14,391
118 Unitil Corp. 7,295
589 WEC Energy Group, Inc. 54,323
--------------
159,693
--------------
OIL, GAS & CONSUMABLE FUELS
-- 5.4%
3,092 Antero Resources Corp. (a) 8,812
492 Apache Corp. 12,590
126 Arch Coal, Inc., Class A 9,039
998 Berry Petroleum Corp. 9,411
2,152 Callon Petroleum Co. (a) 10,394
6,624 Chesapeake Energy Corp. (a) 5,469
590 Chevron Corp. 71,101
438 Cimarex Energy Co. 22,991
1,286 CNX Resources Corp. (a) 11,381
719 Comstock Resources, Inc. (a) (b) 5,917
1,228 ConocoPhillips 79,857
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
2,273 Continental Resources, Inc. $ 77,964
95 CVR Energy, Inc. 3,841
103 Delek US Holdings, Inc. 3,454
873 Devon Energy Corp. 22,672
943 EOG Resources, Inc. 78,986
1,580 EQT Corp. 17,222
793 Exxon Mobil Corp. 55,336
391 HollyFrontier Corp. 19,828
299 Kosmos Energy Ltd. 1,704
1,713 Marathon Oil Corp. 23,263
922 Marathon Petroleum Corp. 55,551
950 Murphy Oil Corp. 25,460
374 Noble Energy, Inc. 9,290
4,765 Northern Oil and Gas, Inc. (a) 11,150
2,699 Oasis Petroleum, Inc. (a) 8,799
1,574 Occidental Petroleum Corp. 64,865
327 Par Pacific Holdings, Inc. (a) 7,599
206 PBF Energy, Inc., Class A 6,462
337 PDC Energy, Inc. (a) 8,819
634 Peabody Energy Corp. 5,782
684 Phillips 66 76,204
2,019 QEP Resources, Inc. 9,086
964 SM Energy Co. 10,835
4,839 Southwestern Energy Co. (a) 11,710
459 Talos Energy, Inc. (a) 13,839
105 Targa Resources Corp. 4,287
657 Valero Energy Corp. 61,528
1,163 Whiting Petroleum Corp. (a) (b) 8,536
93 World Fuel Services Corp. 4,038
1,984 WPX Energy, Inc. (a) 27,260
--------------
982,332
--------------
PAPER & FOREST PRODUCTS -- 0.1%
261 Domtar Corp. 9,981
29 Neenah, Inc. 2,042
199 Schweitzer-Mauduit International,
Inc. 8,356
--------------
20,379
--------------
PERSONAL PRODUCTS -- 0.2%
320 elf Beauty, Inc. (a) 5,162
70 Estee Lauder (The) Cos., Inc.,
Class A 14,458
111 Herbalife Nutrition Ltd. (a) 5,291
27 Inter Parfums, Inc. 1,963
88 Nu Skin Enterprises, Inc.,
Class A 3,606
55 USANA Health Sciences, Inc. (a) 4,320
--------------
34,800
--------------
PHARMACEUTICALS -- 1.2%
188 Amphastar Pharmaceuticals,
Inc. (a) 3,627
26 ANI Pharmaceuticals, Inc. (a) 1,603
346 Arvinas, Inc. (a) 14,217
828 Bristol-Myers Squibb Co. 53,149
529 Corcept Therapeutics, Inc. (a) 6,401
463 Horizon Therapeutics PLC (a) 16,761
Page 24 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
164 Jazz Pharmaceuticals PLC (a) $ 24,482
850 Mylan N.V. (a) 17,085
75 Perrigo Co., PLC 3,875
779 Pfizer, Inc. 30,521
337 Zoetis, Inc. 44,602
--------------
216,323
--------------
PROFESSIONAL SERVICES -- 1.3%
30 ASGN, Inc. (a) 2,129
84 Barrett Business Services, Inc. 7,599
79 CBIZ, Inc. (a) 2,130
94 CoStar Group, Inc. (a) 56,240
80 Exponent, Inc. 5,521
198 FTI Consulting, Inc. (a) 21,911
22 ICF International, Inc. 2,016
386 Kelly Services, Inc., Class A 8,716
49 Kforce, Inc. 1,945
193 Korn Ferry 8,183
249 ManpowerGroup, Inc. 24,178
226 Robert Half International, Inc. 14,272
518 TransUnion 44,346
135 TriNet Group, Inc. (a) 7,642
443 TrueBlue, Inc. (a) 10,658
177 Verisk Analytics, Inc. 26,433
--------------
243,919
--------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.4%
528 CBRE Group, Inc., Class A (a) 32,361
121 Jones Lang LaSalle, Inc. 21,065
53 Marcus & Millichap, Inc. (a) 1,974
412 Newmark Group, Inc., Class A 5,544
1,118 Realogy Holdings Corp. 10,822
--------------
71,766
--------------
ROAD & RAIL -- 0.9%
43 AMERCO 16,160
307 ArcBest Corp. 8,473
261 Heartland Express, Inc. 5,494
270 Hertz Global Holdings, Inc. (a) 4,253
76 J.B. Hunt Transport Services,
Inc. 8,875
105 Kansas City Southern 16,082
578 Knight-Swift Transportation
Holdings, Inc. 20,716
75 Landstar System, Inc. 8,540
360 Marten Transport Ltd. 7,736
165 Old Dominion Freight Line, Inc. 31,314
180 Ryder System, Inc. 9,776
40 Saia, Inc. (a) 3,725
344 Schneider National, Inc., Class B 7,506
321 Universal Logistics Holdings,
Inc. 6,086
211 Werner Enterprises, Inc. 7,678
--------------
162,414
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.7%
89 Ambarella, Inc. (a) 5,390
821 Amkor Technology, Inc. (a) 10,673
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
842 Applied Materials, Inc. $ 51,396
66 Cabot Microelectronics Corp. 9,525
232 Diodes, Inc. (a) 13,078
420 Enphase Energy, Inc. (a) (b) 10,975
446 Entegris, Inc. 22,340
401 FormFactor, Inc. (a) 10,414
303 Impinj, Inc. (a) 7,836
122 Inphi Corp. (a) 9,030
1,358 Intel Corp. 81,276
439 KLA Corp. 78,217
242 Lam Research Corp. 70,761
306 Lattice Semiconductor Corp. (a) 5,857
261 MACOM Technology Solutions
Holdings, Inc. (a) 6,943
2,244 Marvell Technology Group Ltd. 59,601
603 Microchip Technology, Inc. 63,146
1,633 Micron Technology, Inc. (a) 87,823
91 MKS Instruments, Inc. 10,011
108 Monolithic Power Systems, Inc. 19,226
219 ON Semiconductor Corp. (a) 5,339
858 Photronics, Inc. (a) 13,522
41 Power Integrations, Inc. 4,055
170 Qorvo, Inc. (a) 19,759
113 Silicon Laboratories, Inc. (a) 13,106
883 Skyworks Solutions, Inc. 106,737
681 SunPower Corp. (a) 5,312
363 Teradyne, Inc. 24,753
108 Texas Instruments, Inc. 13,855
50 Universal Display Corp. 10,303
271 Xperi Corp. 5,013
--------------
855,272
--------------
SOFTWARE -- 2.0%
134 ACI Worldwide, Inc. (a) 5,077
156 Alteryx, Inc., Class A (a) (b) 15,611
190 ANSYS, Inc. (a) 48,908
59 Appfolio, Inc., Class A (a) 6,487
157 Appian Corp. (a) (b) 5,999
68 Aspen Technology, Inc. (a) 8,223
187 Avalara, Inc. (a) 13,698
183 Avaya Holdings Corp. (a) 2,470
46 Blackbaud, Inc. 3,662
130 Coupa Software, Inc. (a) 19,013
271 DocuSign, Inc. (a) 20,084
89 Ebix, Inc. 2,973
42 Fair Isaac Corp. (a) 15,737
104 Five9, Inc. (a) 6,820
49 ForeScout Technologies, Inc. (a) 1,607
40 Guidewire Software, Inc. (a) 4,391
92 j2 Global, Inc. 8,621
209 LivePerson, Inc. (a) 7,733
208 Manhattan Associates, Inc. (a) 16,588
856 MobileIron, Inc. (a) 4,160
202 Model N, Inc. (a) 7,084
129 Paylocity Holding Corp. (a) 15,586
98 Proofpoint, Inc. (a) 11,248
31 PROS Holdings, Inc. (a) 1,858
See Notes to Financial Statements Page 25
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
160 Q2 Holdings, Inc. (a) $ 12,973
134 RealPage, Inc. (a) 7,203
134 RingCentral, Inc., Class A (a) 22,602
81 SS&C Technologies Holdings, Inc. 4,973
306 Synopsys, Inc. (a) 42,595
22 Trade Desk (The), Inc.,
Class A (a) 5,715
64 Tyler Technologies, Inc. (a) 19,201
--------------
368,900
--------------
SPECIALTY RETAIL -- 3.1%
261 Aaron's, Inc. 14,906
599 Abercrombie & Fitch Co., Class A 10,357
25 Advance Auto Parts, Inc. 4,004
576 American Eagle Outfitters, Inc. 8,467
36 Asbury Automotive Group, Inc. (a) 4,024
414 AutoNation, Inc. (a) 20,133
26 AutoZone, Inc. (a) 30,974
609 Best Buy Co., Inc. 53,470
214 Boot Barn Holdings, Inc. (a) 9,529
363 Buckle (The), Inc. (b) 9,816
105 Burlington Stores, Inc. (a) 23,943
113 Carvana Co. (a) 10,402
48 Children's Place (The), Inc. 3,001
376 Conn's, Inc. (a) 4,659
218 Designer Brands, Inc., Class A 3,431
183 Dick's Sporting Goods, Inc. 9,057
67 Five Below, Inc. (a) 8,567
411 Floor & Decor Holdings, Inc.,
Class A (a) 20,883
487 Foot Locker, Inc. 18,988
1,210 Gap (The), Inc. 21,393
61 Group 1 Automotive, Inc. 6,100
241 Home Depot (The), Inc. 52,630
429 L Brands, Inc. 7,773
71 Lithia Motors, Inc., Class A 10,437
382 Michaels (The) Cos., Inc. (a) 3,090
44 Murphy USA, Inc. (a) 5,148
35 O'Reilly Automotive, Inc. (a) 15,339
4,257 Office Depot, Inc. 11,664
444 Penske Automotive Group, Inc. 22,298
290 Rent-A-Center, Inc. 8,364
55 RH (a) 11,742
382 Ross Stores, Inc. 44,472
251 Sally Beauty Holdings, Inc. (a) 4,581
111 Signet Jewelers Ltd. 2,413
181 Sleep Number Corp. (a) 8,912
178 Sonic Automotive, Inc., Class A 5,518
136 Tiffany & Co. 18,176
332 Urban Outfitters, Inc. (a) 9,220
247 Williams-Sonoma, Inc. 18,140
236 Zumiez, Inc. (a) 8,151
--------------
564,172
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.1%
324 Dell Technologies, Inc.,
Class C (a) 16,650
834 Diebold Nixdorf, Inc. (a) 8,807
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS (CONTINUED)
1,847 Hewlett Packard Enterprise Co. $ 29,293
740 HP, Inc. 15,207
399 NCR Corp. (a) 14,029
248 Pure Storage, Inc., Class A (a) 4,243
1,301 Seagate Technology PLC 77,410
702 Xerox Holdings Corp. 25,883
--------------
191,522
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.0%
184 Carter's, Inc. 20,119
43 Columbia Sportswear Co. 4,308
269 Crocs, Inc. (a) 11,268
57 Deckers Outdoor Corp. (a) 9,625
597 Fossil Group, Inc. (a) 4,704
362 G-III Apparel Group Ltd. (a) 12,127
823 Hanesbrands, Inc. 12,221
106 Kontoor Brands, Inc. 4,451
78 Oxford Industries, Inc. 5,883
238 PVH Corp. 25,026
176 Ralph Lauren Corp. 20,631
450 Skechers U.S.A., Inc.,
Class A (a) 19,435
807 Tapestry, Inc. 21,765
132 Wolverine World Wide, Inc. 4,454
--------------
176,017
--------------
THRIFTS & MORTGAGE FINANCE
-- 0.9%
135 Axos Financial, Inc. (a) 4,088
237 Columbia Financial, Inc. (a) 4,015
264 Essent Group Ltd. 13,725
114 Federal Agricultural Mortgage
Corp., Class C 9,519
50 Flagstar Bancorp, Inc. 1,913
205 HomeStreet, Inc. (a) 6,970
14 LendingTree, Inc. (a) 4,248
398 Meridian Bancorp, Inc. 7,996
286 Meta Financial Group, Inc. 10,442
1,670 MGIC Investment Corp. 23,664
879 Mr. Cooper Group, Inc. (a) 10,996
670 New York Community Bancorp,
Inc. 8,053
142 NMI Holdings, Inc., Class A (a) 4,712
349 Northfield Bancorp, Inc. 5,919
123 PennyMac Financial Services, Inc. 4,187
152 Provident Financial Services,
Inc. 3,747
920 Radian Group, Inc. 23,147
229 TrustCo Bank Corp. NY 1,985
133 Walker & Dunlop, Inc. 8,603
202 Washington Federal, Inc. 7,403
--------------
165,332
--------------
TOBACCO -- 0.3%
685 Altria Group, Inc. 34,188
136 Universal Corp. 7,760
627 Vector Group Ltd. 8,396
--------------
50,344
--------------
Page 26 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES &
DISTRIBUTORS -- 1.1%
502 Air Lease Corp. $ 23,855
416 Aircastle Ltd. 13,316
111 Beacon Roofing Supply, Inc. (a) 3,550
285 BMC Stock Holdings, Inc. (a) 8,177
362 Foundation Building Materials,
Inc. (a) 7,005
96 GATX Corp. 7,953
195 GMS, Inc. (a) 5,281
129 H&E Equipment Services, Inc. 4,312
322 HD Supply Holdings, Inc. (a) 12,951
120 Herc Holdings, Inc. (a) 5,873
616 MRC Global, Inc. (a) 8,402
77 MSC Industrial Direct Co., Inc.,
Class A 6,042
651 NOW, Inc. (a) 7,317
242 Rush Enterprises, Inc., Class A 11,253
101 SiteOne Landscape Supply,
Inc. (a) 9,156
276 Triton International Ltd. 11,095
168 United Rentals, Inc. (a) 28,017
25 Watsco, Inc. 4,504
195 WESCO International, Inc. (a) 11,581
--------------
189,640
--------------
TRANSPORTATION INFRASTRUCTURE
-- 0.0%
142 Macquarie Infrastructure Corp. 6,083
--------------
WATER UTILITIES -- 0.2%
83 American States Water Co. 7,191
113 American Water Works Co., Inc. 13,882
187 Aqua America, Inc. 8,778
35 California Water Service Group 1,805
57 Middlesex Water Co. 3,623
27 SJW Group 1,919
--------------
37,198
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.3%
362 Telephone & Data Systems, Inc. 9,206
355 T-Mobile US, Inc. (a) 27,839
248 United States Cellular Corp. (a) 8,985
--------------
46,030
--------------
TOTAL COMMON STOCKS -- 99.9% 18,076,219
(Cost $15,989,273) --------------
MONEY MARKET FUNDS -- 0.3%
17,205 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
1.59% (c) (d) 17,205
45,894 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.50% (c) 45,894
--------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 63,099
(Cost $63,099) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.6%
$ 104,437 BNP Paribas S.A., 1.56% (c),
dated 12/31/19, due 01/02/20,
with a maturity value of
$104,446. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 04/30/26.
The value of the collateral
including accrued interest is
$106,916. (d) $ 104,437
(Cost $104,437) --------------
TOTAL INVESTMENTS -- 100.8% 18,243,755
(Cost $16,156,809) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.8)% (144,163)
--------------
NET ASSETS -- 100.0% $ 18,099,592
==============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $120,507 and the total value of the collateral held by the
Fund is $121,642.
(c) Rate shown reflects yield as of December 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $16,328,965. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$2,416,267 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$501,477. The net unrealized appreciation was $1,914,790.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-----------------------------------------------------
Common Stocks* $ 18,076,219 $ -- $ --
Money Market
Funds 63,099 -- --
Repurchase
Agreements -- 104,437 --
-----------------------------------------------------
Total Investments $ 18,139,318 $ 104,437 $ --
=====================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
---------------------------------
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) $ 120,507
Non-cash Collateral(2) (120,507)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2019, 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) $ 104,437
Non-cash Collateral(4) (104,437)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2019, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
Page 28 See Notes to Financial Statements
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.2%
4,062 Arconic, Inc. $ 124,988
384 Boeing (The) Co. 125,092
708 General Dynamics Corp. 124,856
1,084 HEICO Corp. 123,738
640 L3Harris Technologies, Inc. 126,637
328 Lockheed Martin Corp. 127,717
369 Northrop Grumman Corp. 126,925
374 Teledyne Technologies, Inc. (a) 129,606
2,802 Textron, Inc. 124,969
216 TransDigm Group, Inc. 120,960
849 United Technologies Corp. 127,146
--------------
1,382,634
--------------
AIR FREIGHT & LOGISTICS -- 0.8%
1,648 C.H. Robinson Worldwide, Inc. 128,874
1,653 Expeditors International of
Washington, Inc. 128,967
857 FedEx Corp. 129,587
1,072 United Parcel Service, Inc.,
Class B 125,488
--------------
512,916
--------------
AIRLINES -- 0.8%
4,394 American Airlines Group, Inc. 126,020
2,140 Delta Air Lines, Inc. 125,147
2,339 Southwest Airlines Co. 126,259
1,411 United Airlines Holdings,
Inc. (a) 124,295
--------------
501,721
--------------
AUTO COMPONENTS -- 0.2%
1,312 Aptiv PLC 124,601
--------------
AUTOMOBILES -- 0.6%
13,356 Ford Motor Co. 124,211
3,401 General Motors Co. 124,476
312 Tesla, Inc. (a) 130,519
--------------
379,206
--------------
BANKS -- 3.2%
3,615 Bank of America Corp. 127,320
1,610 Citigroup, Inc. 128,623
3,111 Citizens Financial Group, Inc. 126,338
1,767 Comerica, Inc. 126,782
4,050 Fifth Third Bancorp 124,497
1,081 First Republic Bank 126,963
8,295 Huntington Bancshares, Inc. 125,089
918 JPMorgan Chase & Co. 127,969
6,192 KeyCorp 125,326
745 M&T Bank Corp. 126,464
790 PNC Financial Services Group
(The), Inc. 126,108
7,314 Regions Financial Corp. 125,508
502 SVB Financial Group (a) 126,022
2,251 Truist Financial Corp. 126,776
2,108 U.S. Bancorp 124,983
2,367 Wells Fargo & Co. 127,345
--------------
2,022,113
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BEVERAGES -- 1.2%
1,904 Brown-Forman Corp., Class B $ 128,710
2,300 Coca-Cola (The) Co. 127,305
672 Constellation Brands, Inc.,
Class A 127,512
2,316 Molson Coors Brewing Co.,
Class B 124,832
1,990 Monster Beverage Corp. (a) 126,465
919 PepsiCo, Inc. 125,600
--------------
760,424
--------------
BIOTECHNOLOGY -- 2.4%
1,394 AbbVie, Inc. 123,425
1,163 Alexion Pharmaceuticals, Inc. (a) 125,778
525 Amgen, Inc. 126,562
421 Biogen, Inc. (a) 124,923
1,505 BioMarin Pharmaceutical, Inc. (a) 127,248
1,311 Exact Sciences Corp. (a) 121,241
1,920 Gilead Sciences, Inc. 124,762
1,413 Incyte Corp. (a) 123,383
339 Regeneron Pharmaceuticals,
Inc. (a) 127,288
1,005 Sarepta Therapeutics, Inc. (a) 129,685
1,100 Seattle Genetics, Inc. (a) 125,686
579 Vertex Pharmaceuticals, Inc. (a) 126,772
--------------
1,506,753
--------------
BUILDING PRODUCTS -- 0.8%
1,018 Allegion PLC 126,782
3,094 Johnson Controls International
PLC 125,957
521 Lennox International, Inc. 127,108
2,666 Masco Corp. 127,941
--------------
507,788
--------------
CAPITAL MARKETS -- 4.8%
753 Ameriprise Financial, Inc. 125,435
2,499 Bank of New York Mellon (The)
Corp. 125,775
253 BlackRock, Inc. 127,183
2,293 Blackstone Group (The), Inc.,
Class A 128,270
1,070 Cboe Global Markets, Inc. 128,400
2,629 Charles Schwab (The) Corp. 125,035
619 CME Group, Inc. 124,246
2,767 E*TRADE Financial Corp. 125,539
475 FactSet Research Systems, Inc. 127,442
4,868 Franklin Resources, Inc. 126,471
551 Goldman Sachs Group (The), Inc. 126,691
1,360 Intercontinental Exchange, Inc. 125,868
4,278 KKR & Co., Inc., Class A 124,789
335 MarketAxess Holdings, Inc. 127,002
531 Moody's Corp. 126,065
2,483 Morgan Stanley 126,931
491 MSCI, Inc. 126,766
1,177 Nasdaq, Inc. 126,057
1,186 Northern Trust Corp. 126,001
1,391 Raymond James Financial, Inc. 124,439
467 S&P Global, Inc. 127,514
1,595 State Street Corp. 126,165
1,035 T. Rowe Price Group, Inc. 126,104
See Notes to Financial Statements Page 29
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CAPITAL MARKETS (CONTINUED)
2,523 TD Ameritrade Holding Corp. $ 125,393
--------------
3,029,581
--------------
CHEMICALS -- 2.8%
540 Air Products and Chemicals, Inc. 126,895
1,029 Celanese Corp. 126,690
2,661 CF Industries Holdings, Inc. 127,036
4,525 Corteva, Inc. 133,759
2,314 Dow, Inc. 126,645
1,980 DuPont de Nemours, Inc. 127,116
1,595 Eastman Chemical Co. 126,420
666 Ecolab, Inc. 128,531
1,276 FMC Corp. 127,370
1,031 International Flavors &
Fragrances, Inc. 133,020
1,347 LyondellBasell Industries N.V.,
Class A 127,265
5,993 Mosaic (The) Co. 129,689
955 PPG Industries, Inc. 127,483
219 Sherwin-Williams (The) Co. 127,795
--------------
1,795,714
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.0%
469 Cintas Corp. 126,198
1,405 Copart, Inc. (a) 127,771
1,421 Republic Services, Inc. 127,364
3,811 Rollins, Inc. 126,373
1,124 Waste Management, Inc. 128,091
--------------
635,797
--------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
613 Arista Networks, Inc. (a) 124,684
2,653 Cisco Systems, Inc. 127,238
784 Motorola Solutions, Inc. 126,334
--------------
378,256
--------------
CONSTRUCTION & ENGINEERING
-- 0.2%
1,407 Jacobs Engineering Group, Inc. 126,391
--------------
CONSTRUCTION MATERIALS -- 0.4%
464 Martin Marietta Materials, Inc. 129,753
894 Vulcan Materials Co. 128,727
--------------
258,480
--------------
CONSUMER FINANCE -- 1.0%
4,088 Ally Financial, Inc. 124,929
1,008 American Express Co. 125,486
1,215 Capital One Financial Corp. 125,036
1,457 Discover Financial Services 123,583
3,449 Synchrony Financial 124,198
--------------
623,232
--------------
CONTAINERS & PACKAGING -- 0.6%
963 Avery Dennison Corp. 125,980
1,953 Ball Corp. 126,300
2,740 International Paper Co. 126,177
--------------
378,457
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
DISTRIBUTORS -- 0.2%
1,195 Genuine Parts Co. $ 126,945
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.4%
5,093 AXA Equitable Holdings, Inc. 126,205
558 Berkshire Hathaway, Inc.,
Class B (a) 126,387
--------------
252,592
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
3,238 AT&T, Inc. 126,541
9,501 CenturyLink, Inc. 125,508
2,049 Verizon Communications, Inc. 125,809
--------------
377,858
--------------
ELECTRIC UTILITIES -- 2.8%
2,318 Alliant Energy Corp. 126,841
1,343 American Electric Power Co., Inc. 126,927
1,404 Duke Energy Corp. 128,059
1,709 Edison International 128,876
1,062 Entergy Corp. 127,228
1,988 Evergy, Inc. 129,399
1,499 Eversource Energy 127,520
2,795 Exelon Corp. 127,424
2,602 FirstEnergy Corp. 126,457
525 NextEra Energy, Inc. 127,134
1,413 Pinnacle West Capital Corp. 127,071
3,524 PPL Corp. 126,441
1,999 Southern (The) Co. 127,336
1,980 Xcel Energy, Inc. 125,710
--------------
1,782,423
--------------
ELECTRICAL EQUIPMENT -- 0.8%
1,270 AMETEK, Inc. 126,670
1,346 Eaton Corp. PLC 127,493
1,664 Emerson Electric Co. 126,896
625 Rockwell Automation, Inc. 126,669
--------------
507,728
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.4%
1,184 Amphenol Corp., Class A 128,144
891 CDW Corp. 127,270
4,333 Corning, Inc. 126,134
1,227 Keysight Technologies, Inc. (a) 125,927
1,325 TE Connectivity Ltd. 126,988
3,042 Trimble, Inc. (a) 126,821
506 Zebra Technologies Corp.,
Class A (a) 129,253
--------------
890,537
--------------
ENERGY EQUIPMENT & SERVICES
-- 0.6%
5,061 Baker Hughes Co. 129,713
5,146 Halliburton Co. 125,923
3,206 Schlumberger Ltd. 128,881
--------------
384,517
--------------
Page 30 See Notes to Financial Statements
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENTERTAINMENT -- 1.4%
2,126 Activision Blizzard, Inc. $ 126,327
1,173 Electronic Arts, Inc. (a) 126,109
2,750 Liberty Media Corp.-Liberty
Formula One, Class C (a) 126,404
1,795 Live Nation Entertainment,
Inc. (a) 128,288
377 Netflix, Inc. (a) 121,986
1,030 Take-Two Interactive Software,
Inc. (a) 126,103
862 Walt Disney (The) Co. 124,671
--------------
879,888
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.4%
792 Alexandria Real Estate Equities,
Inc. 127,971
559 American Tower Corp. 128,469
608 AvalonBay Communities, Inc. 127,498
929 Boston Properties, Inc. 128,072
1,195 Camden Property Trust 126,789
897 Crown Castle International Corp. 127,509
1,074 Digital Realty Trust, Inc. 128,601
3,686 Duke Realty Corp. 127,794
220 Equinix, Inc. 128,414
1,836 Equity LifeStyle Properties, Inc. 129,236
1,574 Equity Residential 127,368
425 Essex Property Trust, Inc. 127,866
1,214 Extra Space Storage, Inc. 128,223
989 Federal Realty Investment Trust 127,314
3,776 Healthpeak Properties, Inc. 130,159
6,820 Host Hotels & Resorts, Inc. 126,511
4,330 Invitation Homes, Inc. 129,770
976 Mid-America Apartment
Communities, Inc. 128,695
1,435 Prologis, Inc. 127,916
600 Public Storage 127,776
1,742 Realty Income Corp. 128,263
2,025 Regency Centers Corp. 127,757
526 SBA Communications Corp. 126,761
865 Simon Property Group, Inc. 128,850
850 Sun Communities, Inc. 127,585
2,736 UDR, Inc. 127,771
2,208 Ventas, Inc. 127,490
4,997 VICI Properties, Inc. 127,673
1,882 Vornado Realty Trust 125,153
1,573 Welltower, Inc. 128,640
4,224 Weyerhaeuser Co. 127,565
1,613 WP Carey, Inc. 129,105
--------------
4,094,564
--------------
FOOD & STAPLES RETAILING -- 1.0%
431 Costco Wholesale Corp. 126,680
4,374 Kroger (The) Co. 126,802
1,493 Sysco Corp. 127,711
2,158 Walgreens Boots Alliance, Inc. 127,236
1,051 Walmart, Inc. 124,901
--------------
633,330
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS -- 2.8%
2,736 Archer-Daniels-Midland Co. $ 126,814
1,667 Beyond Meat, Inc. (a) 126,025
2,594 Campbell Soup Co. 128,195
3,674 Conagra Brands, Inc. 125,798
2,376 General Mills, Inc. 127,259
862 Hershey (The) Co. 126,697
2,815 Hormel Foods Corp. 126,985
1,219 J.M. Smucker (The) Co. 126,934
1,853 Kellogg Co. 128,153
3,948 Kraft Heinz (The) Co. 126,849
1,479 Lamb Weston Holdings, Inc. 127,238
749 McCormick & Co., Inc. 127,128
2,289 Mondelez International, Inc.,
Class A 126,078
1,393 Tyson Foods, Inc., Class A 126,819
--------------
1,776,972
--------------
GAS UTILITIES -- 0.2%
1,135 Atmos Energy Corp. 126,961
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 4.2%
1,459 Abbott Laboratories 126,729
777 ABIOMED, Inc. (a) 132,548
463 Align Technology, Inc. (a) 129,195
1,537 Baxter International, Inc. 128,524
468 Becton, Dickinson and Co. 127,282
2,804 Boston Scientific Corp. (a) 126,797
397 Cooper (The) Cos., Inc. 127,552
835 Danaher Corp. 128,156
2,223 DENTSPLY SIRONA, Inc. 125,800
598 DexCom, Inc. (a) 130,806
539 Edwards Lifesciences Corp. (a) 125,743
2,428 Hologic, Inc. (a) 126,766
486 IDEXX Laboratories, Inc. (a) 126,909
215 Intuitive Surgical, Inc. (a) 127,097
1,115 Medtronic PLC 126,497
811 ResMed, Inc. 125,681
606 Stryker Corp. 127,224
343 Teleflex, Inc. 129,119
890 Varian Medical Systems, Inc. (a) 126,389
849 West Pharmaceutical Services,
Inc. 127,630
851 Zimmer Biomet Holdings, Inc. 127,378
--------------
2,679,822
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.0%
1,490 AmerisourceBergen Corp. 126,680
423 Anthem, Inc. 127,759
2,464 Cardinal Health, Inc. 124,629
2,046 Centene Corp. (a) 128,632
621 Cigna Corp. 126,988
1,694 CVS Health Corp. 125,847
1,734 DaVita, Inc. (a) 130,102
859 HCA Healthcare, Inc. 126,969
1,894 Henry Schein, Inc. (a) 126,368
345 Humana, Inc. 126,450
749 Laboratory Corp. of America
Holdings (a) 126,708
See Notes to Financial Statements Page 31
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
925 McKesson Corp. $ 127,946
1,176 Quest Diagnostics, Inc. 125,585
431 UnitedHealth Group, Inc. 126,705
876 Universal Health Services, Inc.,
Class B 125,671
--------------
1,903,039
--------------
HEALTH CARE TECHNOLOGY -- 0.4%
1,751 Cerner Corp. 128,506
897 Veeva Systems, Inc., Class A (a) 126,172
--------------
254,678
--------------
HOTELS, RESTAURANTS & LEISURE
-- 3.2%
2,526 Carnival Corp. 128,397
152 Chipotle Mexican Grill, Inc. (a) 127,241
1,146 Darden Restaurants, Inc. 124,926
435 Domino's Pizza, Inc. 127,794
1,145 Hilton Worldwide Holdings, Inc. 126,992
1,834 Las Vegas Sands Corp. 126,619
842 Marriott International, Inc.,
Class A 127,504
643 McDonald's Corp. 127,063
3,783 MGM Resorts International 125,860
2,201 Norwegian Cruise Line Holdings
Ltd. (a) 128,560
959 Royal Caribbean Cruises Ltd. 128,036
1,439 Starbucks Corp. 126,517
515 Vail Resorts, Inc. 123,513
908 Wynn Resorts Ltd. 126,094
2,610 Yum China Holdings, Inc. 125,306
1,256 Yum! Brands, Inc. 126,517
--------------
2,026,939
--------------
HOUSEHOLD DURABLES -- 0.8%
2,397 D.R. Horton, Inc. 126,442
1,295 Garmin Ltd. 126,340
2,268 Lennar Corp., Class A 126,532
34 NVR, Inc. (a) 129,486
--------------
508,800
--------------
HOUSEHOLD PRODUCTS -- 1.0%
1,800 Church & Dwight Co., Inc. 126,612
827 Clorox (The) Co. 126,978
1,836 Colgate-Palmolive Co. 126,390
919 Kimberly-Clark Corp. 126,408
1,003 Procter & Gamble (The) Co. 125,275
--------------
631,663
--------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.4%
6,387 AES Corp. 127,101
5,227 Vistra Energy Corp. 120,169
--------------
247,270
--------------
INDUSTRIAL CONGLOMERATES -- 0.8%
729 3M Co. 128,610
11,481 General Electric Co. 128,128
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INDUSTRIAL CONGLOMERATES
(CONTINUED)
716 Honeywell International, Inc. $ 126,732
361 Roper Technologies, Inc. 127,877
--------------
511,347
--------------
INSURANCE -- 4.9%
2,380 Aflac, Inc. 125,902
157 Alleghany Corp. (a) 125,532
1,133 Allstate (The) Corp. 127,406
2,453 American International Group,
Inc. 125,912
2,964 Arch Capital Group Ltd. (a) 127,126
1,325 Arthur J. Gallagher & Co. 126,180
3,171 Brown & Brown, Inc. 125,191
816 Chubb Ltd. 127,019
1,213 Cincinnati Financial Corp. 127,547
743 Erie Indemnity Co., Class A 123,338
455 Everest Re Group Ltd. 125,962
2,779 Fidelity National Financial, Inc. 126,028
1,186 Globe Life, Inc. 124,826
2,075 Hartford Financial Services Group
(The), Inc. 126,098
2,100 Lincoln National Corp. 123,921
2,448 Loews Corp. 128,495
111 Markel Corp. (a) 126,892
1,126 Marsh & McLennan Cos., Inc. 125,448
2,472 MetLife, Inc. 125,998
2,294 Principal Financial Group, Inc. 126,170
1,753 Progressive (The) Corp. 126,900
1,330 Prudential Financial, Inc. 124,674
766 Reinsurance Group of America,
Inc. 124,904
927 Travelers (The) Cos., Inc. 126,953
1,832 W.R. Berkley Corp. 126,591
--------------
3,151,013
--------------
INTERACTIVE MEDIA & SERVICES
-- 1.2%
94 Alphabet, Inc., Class A (a) 125,903
613 Facebook, Inc., Class A (a) 125,818
522 IAC/InterActiveCorp (a) 130,035
8,138 Snap, Inc., Class A (a) 132,893
3,953 Twitter, Inc. (a) 126,694
2,868 Zillow Group, Inc., Class C (a) 131,756
--------------
773,099
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.8%
71 Amazon.com, Inc. (a) 131,197
63 Booking Holdings, Inc. (a) 129,385
3,503 eBay, Inc. 126,493
1,147 Expedia Group, Inc. 124,037
--------------
511,112
--------------
IT SERVICES -- 5.0%
598 Accenture PLC, Class A 125,921
1,471 Akamai Technologies, Inc. (a) 127,065
744 Automatic Data Processing, Inc. 126,852
1,785 Booz Allen Hamilton Holding
Corp. 126,967
Page 32 See Notes to Financial Statements
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
1,029 Broadridge Financial Solutions,
Inc. $ 127,123
2,006 Cognizant Technology Solutions
Corp., Class A 124,412
3,373 DXC Technology Co. 126,791
598 EPAM Systems, Inc. (a) 126,872
912 Fidelity National Information
Services, Inc. 126,850
1,087 Fiserv, Inc. (a) 125,690
436 FleetCor Technologies, Inc. (a) 125,446
827 Gartner, Inc. (a) 127,441
693 Global Payments, Inc. 126,514
1,827 GoDaddy, Inc., Class A (a) 124,090
931 International Business Machines
Corp. 124,791
864 Jack Henry & Associates, Inc. 125,859
1,305 Leidos Holdings, Inc. 127,746
425 Mastercard, Inc., Class A 126,901
1,088 Okta, Inc. (a) 125,522
1,477 Paychex, Inc. 125,634
1,165 PayPal Holdings, Inc. (a) 126,018
1,971 Square, Inc., Class A (a) 123,306
1,262 Twilio, Inc., Class A (a) 124,029
661 VeriSign, Inc. (a) 127,361
676 Visa, Inc., Class A 127,020
--------------
3,152,221
--------------
LEISURE PRODUCTS -- 0.2%
1,206 Hasbro, Inc. 127,366
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.6%
1,495 Agilent Technologies, Inc. 127,539
7,040 Avantor, Inc. (a) 127,776
387 Illumina, Inc. (a) 128,383
824 IQVIA Holdings, Inc. (a) 127,316
161 Mettler-Toledo International,
Inc. (a) 127,718
1,315 PerkinElmer, Inc. 127,687
389 Thermo Fisher Scientific, Inc. 126,374
546 Waters Corp. (a) 127,573
--------------
1,020,366
--------------
MACHINERY -- 2.6%
861 Caterpillar, Inc. 127,152
701 Cummins, Inc. 125,451
728 Deere & Co. 126,133
1,109 Dover Corp. 127,823
1,663 Fortive Corp. 127,037
745 IDEX Corp. 128,140
705 Illinois Tool Works, Inc. 126,639
940 Ingersoll-Rand PLC 124,945
1,587 PACCAR, Inc. 125,532
612 Parker-Hannifin Corp. 125,962
765 Stanley Black & Decker, Inc. 126,791
1,664 Westinghouse Air Brake
Technologies Corp. 129,459
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
1,619 Xylem, Inc. $ 127,561
--------------
1,648,625
--------------
MEDIA -- 1.8%
4,681 Altice USA, Inc., Class A (a) 127,979
266 Charter Communications, Inc.,
Class A (a) 129,031
2,889 Comcast Corp., Class A 129,918
3,832 Discovery, Inc., Class A (a) 125,460
3,407 Fox Corp., Class A 126,297
1,033 Liberty Broadband Corp.,
Class C (a) 129,900
1,559 Omnicom Group, Inc. 126,310
17,665 Sirius XM Holdings, Inc. 126,305
2,973 ViacomCBS, Inc., Class B 124,777
--------------
1,145,977
--------------
METALS & MINING -- 0.6%
9,810 Freeport-McMoRan, Inc. 128,707
3,084 Newmont Goldcorp Corp. 134,000
2,222 Nucor Corp. 125,054
--------------
387,761
--------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.2%
13,245 Annaly Capital Management, Inc. 124,768
--------------
MULTILINE RETAIL -- 0.6%
808 Dollar General Corp. 126,032
1,353 Dollar Tree, Inc. (a) 127,250
979 Target Corp. 125,517
--------------
378,799
--------------
MULTI-UTILITIES -- 2.0%
1,661 Ameren Corp. 127,565
4,726 CenterPoint Energy, Inc. 128,878
2,020 CMS Energy Corp. 126,937
1,406 Consolidated Edison, Inc. 127,201
1,552 Dominion Energy, Inc. 128,537
976 DTE Energy Co. 126,753
4,585 NiSource, Inc. 127,646
2,167 Public Service Enterprise Group,
Inc. 127,961
837 Sempra Energy 126,789
1,375 WEC Energy Group, Inc. 126,816
--------------
1,275,083
--------------
OIL, GAS & CONSUMABLE FUELS
-- 4.0%
2,054 Cheniere Energy, Inc. (a) 125,438
1,061 Chevron Corp. 127,861
1,507 Concho Resources, Inc. 131,968
1,985 ConocoPhillips 129,084
3,759 Continental Resources, Inc. 128,934
5,009 Devon Energy Corp. 130,084
1,434 Diamondback Energy, Inc. 133,161
1,545 EOG Resources, Inc. 129,409
1,806 Exxon Mobil Corp. 126,022
1,954 Hess Corp. 130,547
6,040 Kinder Morgan, Inc. 127,867
See Notes to Financial Statements Page 33
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
9,595 Marathon Oil Corp. $ 130,300
2,051 Marathon Petroleum Corp. 123,573
5,414 Noble Energy, Inc. 134,484
3,247 Occidental Petroleum Corp. 133,809
1,693 ONEOK, Inc. 128,109
1,117 Phillips 66 124,445
860 Pioneer Natural Resources Co. 130,178
1,325 Valero Energy Corp. 124,086
5,326 Williams (The) Cos., Inc. 126,333
--------------
2,575,692
--------------
PERSONAL PRODUCTS -- 0.2%
613 Estee Lauder (The) Cos., Inc.,
Class A 126,609
--------------
PHARMACEUTICALS -- 1.6%
2,009 Bristol-Myers Squibb Co. 128,958
4,401 Elanco Animal Health, Inc. (a) 129,609
960 Eli Lilly & Co. 126,173
867 Johnson & Johnson 126,469
1,389 Merck & Co., Inc. 126,330
6,395 Mylan N.V. (a) 128,540
3,207 Pfizer, Inc. 125,650
961 Zoetis, Inc. 127,188
--------------
1,018,917
--------------
PROFESSIONAL SERVICES -- 0.8%
213 CoStar Group, Inc. (a) 127,438
919 Equifax, Inc. 128,770
1,485 TransUnion 127,131
850 Verisk Analytics, Inc. 126,939
--------------
510,278
--------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.2%
2,096 CBRE Group, Inc., Class A (a) 128,464
--------------
ROAD & RAIL -- 1.6%
1,744 CSX Corp. 126,196
1,090 J.B. Hunt Transport Services,
Inc. 127,290
822 Kansas City Southern 125,897
2,653 Lyft, Inc., Class A (a) 114,132
654 Norfolk Southern Corp. 126,961
674 Old Dominion Freight Line, Inc. 127,912
4,166 Uber Technologies, Inc. (a) 123,897
707 Union Pacific Corp. 127,819
--------------
1,000,104
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.6%
2,889 Advanced Micro Devices, Inc. (a) 132,490
1,058 Analog Devices, Inc. 125,733
2,054 Applied Materials, Inc. 125,376
398 Broadcom, Inc. 125,776
2,161 Intel Corp. 129,336
717 KLA Corp. 127,748
426 Lam Research Corp. 124,562
4,904 Marvell Technology Group Ltd. 130,250
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
2,050 Maxim Integrated Products, Inc. $ 126,095
1,211 Microchip Technology, Inc. 126,816
2,295 Micron Technology, Inc. (a) 123,425
531 NVIDIA Corp. 124,944
1,431 QUALCOMM, Inc. 126,257
1,068 Skyworks Solutions, Inc. 129,100
1,836 Teradyne, Inc. 125,197
987 Texas Instruments, Inc. 126,622
632 Universal Display Corp. 130,236
1,289 Xilinx, Inc. 126,026
--------------
2,285,989
--------------
SOFTWARE -- 4.6%
387 Adobe, Inc. (a) 127,636
494 ANSYS, Inc. (a) 127,161
691 Autodesk, Inc. (a) 126,771
1,796 Cadence Design Systems, Inc. (a) 124,571
1,137 Citrix Systems, Inc. 126,093
342 Fair Isaac Corp. (a) 128,141
1,181 Fortinet, Inc. (a) 126,084
476 Intuit, Inc. 124,679
807 Microsoft Corp. 127,264
4,888 NortonLifeLock, Inc. 124,742
2,366 Oracle Corp. 125,351
549 Palo Alto Networks, Inc. (a) 126,956
484 Paycom Software, Inc. (a) 128,144
750 RingCentral, Inc., Class A (a) 126,502
770 salesforce.com, Inc. (a) 125,233
451 ServiceNow, Inc. (a) 127,326
843 Splunk, Inc. (a) 126,256
2,078 SS&C Technologies Holdings, Inc. 127,589
905 Synopsys, Inc. (a) 125,976
484 Trade Desk (The), Inc.,
Class A (a) 125,733
843 VMware, Inc., Class A (a) 127,959
764 Workday, Inc., Class A (a) 125,640
2,619 Zscaler, Inc. (a) 121,783
--------------
2,903,590
--------------
SPECIALTY RETAIL -- 2.6%
803 Advance Auto Parts, Inc. 128,608
104 AutoZone, Inc. (a) 123,896
1,437 Best Buy Co., Inc. 126,169
562 Burlington Stores, Inc. (a) 128,153
1,359 CarMax, Inc. (a) 119,144
574 Home Depot (The), Inc. 125,350
1,060 Lowe's Cos., Inc. 126,946
288 O'Reilly Automotive, Inc. (a) 126,219
1,102 Ross Stores, Inc. 128,295
950 Tiffany & Co. 126,967
2,101 TJX (The) Cos., Inc. 128,287
1,369 Tractor Supply Co. 127,919
510 Ulta Beauty, Inc. (a) 129,101
--------------
1,645,054
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.4%
451 Apple, Inc. 132,436
Page 34 See Notes to Financial Statements
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS (CONTINUED)
2,554 Dell Technologies, Inc.,
Class C (a) $ 131,250
8,073 Hewlett Packard Enterprise Co. 128,038
6,175 HP, Inc. 126,896
2,030 NetApp, Inc. 126,368
2,135 Seagate Technology PLC 127,033
2,084 Western Digital Corp. 132,271
--------------
904,292
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.4%
1,275 NIKE, Inc., Class B 129,170
1,301 VF Corp. 129,658
--------------
258,828
--------------
TOBACCO -- 0.4%
2,462 Altria Group, Inc. 122,878
1,467 Philip Morris International, Inc. 124,827
--------------
247,705
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.6%
3,419 Fastenal Co. 126,332
759 United Rentals, Inc. (a) 126,579
377 W.W. Grainger, Inc. 127,622
--------------
380,533
--------------
WATER UTILITIES -- 0.2%
1,039 American Water Works Co., Inc. 127,641
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
1,636 T-Mobile US, Inc. (a) 128,295
--------------
TOTAL INVESTMENTS -- 99.9% 63,460,118
(Cost $54,024,196) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 47,182
--------------
NET ASSETS -- 100.0% $ 63,507,300
==============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $54,516,339. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$9,973,395 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$1,029,616. The net unrealized appreciation was $8,943,779.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-----------------------------------------------------
Common Stocks* $ 63,460,118 $ -- $ --
=====================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 6.4%
4,134 Boeing (The) Co. $ 1,346,692
9,474 United Technologies Corp. 1,418,826
--------------
2,765,518
--------------
BANKS -- 3.3%
10,323 JPMorgan Chase & Co. 1,439,026
--------------
BEVERAGES -- 3.3%
25,952 Coca-Cola (The) Co. 1,436,443
--------------
CAPITAL MARKETS -- 3.4%
6,277 Goldman Sachs Group (The), Inc. 1,443,271
--------------
CHEMICALS -- 3.4%
26,508 Dow, Inc. 1,450,783
--------------
COMMUNICATIONS EQUIPMENT
-- 3.5%
31,177 Cisco Systems, Inc. 1,495,249
--------------
CONSUMER FINANCE -- 3.3%
11,324 American Express Co. 1,409,725
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 3.3%
23,225 Verizon Communications, Inc. 1,426,015
--------------
ENTERTAINMENT -- 3.2%
9,648 Walt Disney (The) Co. 1,395,390
--------------
FOOD & STAPLES RETAILING -- 6.6%
24,401 Walgreens Boots Alliance, Inc. 1,438,683
11,741 Walmart, Inc. 1,395,300
--------------
2,833,983
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.4%
4,947 UnitedHealth Group, Inc. 1,454,319
--------------
HOTELS, RESTAURANTS & LEISURE
-- 3.3%
7,165 McDonald's Corp. 1,415,876
--------------
HOUSEHOLD PRODUCTS -- 3.3%
11,256 Procter & Gamble (The) Co. 1,405,874
--------------
INDUSTRIAL CONGLOMERATES -- 3.4%
8,367 3M Co. 1,476,106
--------------
INSURANCE -- 3.3%
10,411 Travelers (The) Cos., Inc. 1,425,787
--------------
IT SERVICES -- 6.6%
10,523 International Business Machines
Corp. 1,410,503
7,628 Visa, Inc., Class A 1,433,301
--------------
2,843,804
--------------
MACHINERY -- 3.3%
9,705 Caterpillar, Inc. 1,433,234
--------------
OIL, GAS & CONSUMABLE FUELS
-- 6.7%
11,973 Chevron Corp. 1,442,866
20,401 Exxon Mobil Corp. 1,423,582
--------------
2,866,448
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PHARMACEUTICALS -- 10.1%
9,990 Johnson & Johnson $ 1,457,241
15,835 Merck & Co., Inc. 1,440,193
36,847 Pfizer, Inc. 1,443,666
--------------
4,341,100
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.4%
24,439 Intel Corp. 1,462,674
--------------
SOFTWARE -- 3.3%
9,140 Microsoft Corp. 1,441,378
--------------
SPECIALTY RETAIL -- 3.3%
6,597 Home Depot (The), Inc. 1,440,653
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 3.5%
5,133 Apple, Inc. 1,507,306
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 3.4%
14,445 NIKE, Inc., Class B 1,463,423
--------------
TOTAL INVESTMENTS -- 100.0% 43,073,385
(Cost $41,629,364) (a)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 3,639
--------------
NET ASSETS -- 100.0% $ 43,077,024
==============
(a) Aggregate cost for federal income tax purposes is $41,766,273. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$2,396,131 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$1,089,019. The net unrealized appreciation was $1,307,112.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-----------------------------------------------------
Common Stocks* $ 43,073,385 $ -- $ --
=====================================================
* See Portfolio of Investments for industry breakout.
Page 36 See Notes to Financial Statements
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.6%
1,693 General Dynamics Corp. $ 298,560
1,366 Lockheed Martin Corp. 531,893
3,893 Textron, Inc. 173,628
--------------
1,004,081
--------------
AIR FREIGHT & LOGISTICS -- 0.5%
1,937 FedEx Corp. 292,894
--------------
AIRLINES -- 0.7%
8,446 American Airlines Group, Inc. 242,231
2,470 United Airlines Holdings,
Inc. (a) 217,583
--------------
459,814
--------------
AUTOMOBILES -- 0.9%
28,433 Ford Motor Co. 264,427
8,956 General Motors Co. 327,789
--------------
592,216
--------------
BANKS -- 3.3%
2,780 Citigroup, Inc. 222,094
6,943 Citizens Financial Group, Inc. 281,955
4,134 Comerica, Inc. 296,615
3,400 JPMorgan Chase & Co. 473,960
2,205 M&T Bank Corp. 374,299
926 SVB Financial Group (a) 232,463
3,011 U.S. Bancorp 178,522
--------------
2,059,908
--------------
BEVERAGES -- 2.0%
6,666 Coca-Cola (The) Co. 368,963
4,512 Molson Coors Brewing Co.,
Class B 243,197
4,816 PepsiCo, Inc. 658,203
--------------
1,270,363
--------------
BIOTECHNOLOGY -- 3.1%
1,828 AbbVie, Inc. 161,851
1,737 Alexion Pharmaceuticals, Inc. (a) 187,857
500 Biogen, Inc. (a) 148,365
3,068 BioMarin Pharmaceutical, Inc. (a) 259,400
861 Regeneron Pharmaceuticals,
Inc. (a) 323,288
6,705 Sarepta Therapeutics, Inc. (a) 865,213
--------------
1,945,974
--------------
BUILDING PRODUCTS -- 1.1%
3,189 Allegion PLC 397,158
7,490 Johnson Controls International
PLC 304,918
--------------
702,076
--------------
CAPITAL MARKETS -- 3.4%
4,644 Bank of New York Mellon (The)
Corp. 233,732
1,907 Moody's Corp. 452,741
3,030 MSCI, Inc. 782,285
3,570 Northern Trust Corp. 379,277
3,638 State Street Corp. 287,766
--------------
2,135,801
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CHEMICALS -- 2.7%
1,481 Celanese Corp. $ 182,341
4,286 Dow, Inc. 234,573
4,319 DuPont de Nemours, Inc. 277,280
1,118 Eastman Chemical Co. 88,612
715 International Flavors &
Fragrances, Inc. 92,249
2,137 LyondellBasell Industries N.V.,
Class A 201,904
27,395 Mosaic (The) Co. 592,828
--------------
1,669,787
--------------
CONSUMER FINANCE -- 2.5%
5,838 Ally Financial, Inc. 178,409
3,098 American Express Co. 385,670
7,473 Capital One Financial Corp. 769,046
6,150 Synchrony Financial 221,462
--------------
1,554,587
--------------
CONTAINERS & PACKAGING -- 0.1%
1,947 International Paper Co. 89,659
--------------
DISTRIBUTORS -- 0.6%
3,246 Genuine Parts Co. 344,823
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.2%
14,475 AXA Equitable Holdings, Inc. 358,690
1,763 Berkshire Hathaway, Inc.,
Class B (a) 399,320
--------------
758,010
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
6,120 Verizon Communications, Inc. 375,768
--------------
ELECTRIC UTILITIES -- 4.2%
5,129 Duke Energy Corp. 467,816
3,652 Entergy Corp. 437,509
6,895 Evergy, Inc. 448,795
5,696 Eversource Energy 484,559
8,378 FirstEnergy Corp. 407,171
4,177 Pinnacle West Capital Corp. 375,638
--------------
2,621,488
--------------
ELECTRICAL EQUIPMENT -- 0.6%
1,830 AMETEK, Inc. 182,524
856 Rockwell Automation, Inc. 173,486
--------------
356,010
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.4%
6,149 Amphenol Corp., Class A 665,506
7,311 Corning, Inc. 212,823
--------------
878,329
--------------
ENERGY EQUIPMENT & SERVICES
-- 1.7%
11,451 Baker Hughes Co. 293,489
25,007 Halliburton Co. 611,921
3,648 Schlumberger Ltd. 146,650
--------------
1,052,060
--------------
See Notes to Financial Statements Page 37
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENTERTAINMENT -- 0.6%
1,067 Netflix, Inc. (a) $ 345,249
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 7.3%
2,332 Alexandria Real Estate Equities,
Inc. 376,805
1,846 AvalonBay Communities, Inc. 387,106
2,955 Boston Properties, Inc. 407,376
3,574 Camden Property Trust 379,201
4,795 Equity Residential 388,011
1,137 Essex Property Trust, Inc. 342,078
3,385 Extra Space Storage, Inc. 357,524
2,762 Federal Realty Investment Trust 355,552
3,008 Mid-America Apartment
Communities, Inc. 396,635
654 Public Storage 139,276
713 Simon Property Group, Inc. 106,209
7,973 UDR, Inc. 372,339
8,860 Vornado Realty Trust 589,190
--------------
4,597,302
--------------
FOOD & STAPLES RETAILING -- 3.2%
11,548 Kroger (The) Co. 334,777
9,731 Sysco Corp. 832,390
8,239 Walgreens Boots Alliance, Inc. 485,771
3,225 Walmart, Inc. 383,259
--------------
2,036,197
--------------
FOOD PRODUCTS -- 3.0%
7,587 Archer-Daniels-Midland Co. 351,658
3,028 Hershey (The) Co. 445,055
11,082 Kraft Heinz (The) Co. 356,065
4,343 McCormick & Co., Inc. 737,137
--------------
1,889,915
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.8%
2,916 ABIOMED, Inc. (a) 497,440
2,334 Align Technology, Inc. (a) 651,279
3,563 Medtronic PLC 404,222
1,451 ResMed, Inc. 224,862
2,989 Stryker Corp. 627,511
--------------
2,405,314
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 4.3%
2,650 AmerisourceBergen Corp. 225,303
7,502 Cardinal Health, Inc. 379,451
11,465 Centene Corp. (a) 720,805
2,133 Cigna Corp. 436,177
4,056 CVS Health Corp. 301,320
1,609 McKesson Corp. 222,557
1,373 UnitedHealth Group, Inc. 403,635
--------------
2,689,248
--------------
HEALTH CARE TECHNOLOGY -- 0.3%
1,180 Veeva Systems, Inc., Class A (a) 165,979
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
-- 0.2%
833 Wynn Resorts Ltd. $ 115,679
--------------
HOUSEHOLD DURABLES -- 0.5%
5,059 Lennar Corp., Class A 282,242
--------------
INDUSTRIAL CONGLOMERATES -- 0.5%
1,745 3M Co. 307,853
--------------
INSURANCE -- 10.4%
6,864 Aflac, Inc. 363,106
5,012 Allstate (The) Corp. 563,600
3,733 American International Group,
Inc. 191,615
8,273 Arch Capital Group Ltd. (a) 354,829
2,455 Chubb Ltd. 382,145
2,882 Cincinnati Financial Corp. 303,042
744 Everest Re Group Ltd. 205,969
8,004 Fidelity National Financial, Inc. 362,981
9,527 Hartford Financial Services Group
(The), Inc. 578,956
7,037 Lincoln National Corp. 415,253
11,019 Loews Corp. 578,387
318 Markel Corp. (a) 363,528
4,545 Principal Financial Group, Inc. 249,975
1,997 Progressive (The) Corp. 144,563
4,806 Prudential Financial, Inc. 450,515
3,972 Reinsurance Group of America,
Inc. 647,674
5,541 W.R. Berkley Corp. 382,883
--------------
6,539,021
--------------
INTERACTIVE MEDIA & SERVICES
-- 0.8%
10,342 Zillow Group, Inc., Class C (a) 475,111
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.5%
338 Booking Holdings, Inc. (a) 694,161
2,482 Expedia Group, Inc. 268,403
--------------
962,564
--------------
IT SERVICES -- 7.5%
2,052 Accenture PLC, Class A 432,090
2,205 Automatic Data Processing, Inc. 375,952
4,476 Cognizant Technology Solutions
Corp., Class A 277,602
31,350 DXC Technology Co. 1,178,446
2,519 Mastercard, Inc., Class A 752,148
7,412 Paychex, Inc. 630,465
5,443 Square, Inc., Class A (a) 340,514
3,798 Visa, Inc., Class A 713,644
--------------
4,700,861
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.8%
483 Mettler-Toledo International,
Inc. (a) 383,154
593 Waters Corp. (a) 138,555
--------------
521,709
--------------
Page 38 See Notes to Financial Statements
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY -- 1.1%
2,731 Fortive Corp. $ 208,621
983 IDEX Corp. 169,076
1,026 Illinois Tool Works, Inc. 184,300
1,886 Xylem, Inc. 148,598
--------------
710,595
--------------
MEDIA -- 1.6%
739 Charter Communications, Inc.,
Class A (a) 358,474
3,393 Discovery, Inc., Class A (a) 111,087
2,935 Liberty Broadband Corp.,
Class C (a) 369,076
4,486 ViacomCBS, Inc., Class B 188,278
--------------
1,026,915
--------------
METALS & MINING -- 0.8%
14,315 Freeport-McMoRan, Inc. 187,813
5,793 Nucor Corp. 326,030
--------------
513,843
--------------
MULTI-UTILITIES -- 1.3%
4,820 Consolidated Edison, Inc. 436,065
6,801 Public Service Enterprise Group,
Inc. 401,599
--------------
837,664
--------------
OIL, GAS & CONSUMABLE FUELS
-- 6.8%
2,648 Chevron Corp. 319,110
6,431 Concho Resources, Inc. 563,163
8,666 Continental Resources, Inc. 297,244
21,799 Devon Energy Corp. 566,120
4,596 Exxon Mobil Corp. 320,709
15,534 Kinder Morgan, Inc. 328,855
35,424 Marathon Oil Corp. 481,058
6,413 Marathon Petroleum Corp. 386,383
7,519 Occidental Petroleum Corp. 309,858
2,820 Phillips 66 314,176
3,728 Valero Energy Corp. 349,127
--------------
4,235,803
--------------
PERSONAL PRODUCTS -- 0.3%
912 Estee Lauder (The) Cos., Inc.,
Class A 188,364
--------------
PHARMACEUTICALS -- 2.5%
3,018 Bristol-Myers Squibb Co. 193,726
5,945 Elanco Animal Health, Inc. (a) 175,080
3,818 Johnson & Johnson 556,932
11,845 Mylan N.V. (a) 238,085
5,591 Pfizer, Inc. 219,055
1,484 Zoetis, Inc. 196,407
--------------
1,579,285
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.3%
497 Broadcom, Inc. 157,062
1,206 KLA Corp. 214,873
5,822 Micron Technology, Inc. (a) 313,107
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
1,146 Xilinx, Inc. $ 112,045
--------------
797,087
--------------
SOFTWARE -- 3.6%
1,914 ANSYS, Inc. (a) 492,683
4,228 Citrix Systems, Inc. 468,885
2,301 Intuit, Inc. 602,701
2,898 Microsoft Corp. 457,015
1,894 SS&C Technologies Holdings, Inc. 116,292
2,601 Zscaler, Inc. (a) 120,946
--------------
2,258,522
--------------
SPECIALTY RETAIL -- 1.4%
1,797 Home Depot (The), Inc. 392,429
1,624 Ross Stores, Inc. 189,066
1,100 Ulta Beauty, Inc. (a) 278,454
--------------
859,949
--------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 1.1%
15,951 Hewlett Packard Enterprise Co. 252,983
9,004 HP, Inc. 185,032
3,791 NetApp, Inc. 235,990
--------------
674,005
--------------
TOBACCO -- 0.8%
7,743 Altria Group, Inc. 386,453
1,425 Philip Morris International, Inc. 121,253
--------------
507,706
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.3%
4,711 Fastenal Co. 174,071
--------------
TOTAL COMMON STOCKS -- 99.8% 62,561,701
(Cost $58,731,203) --------------
MONEY MARKET FUNDS -- 0.1%
62,351 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.50% (b) 62,351
(Cost $62,351) --------------
TOTAL INVESTMENTS -- 99.9% 62,624,052
(Cost $58,793,554) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 71,703
--------------
NET ASSETS -- 100.0% $ 62,695,755
==============
(a) Non-income producing security.
(b) Rate shown reflects yield as of December 31, 2019.
(c) Aggregate cost for federal income tax purposes is $59,537,613. As of
December 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$3,773,225 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$686,786. The net unrealized appreciation was $3,086,439.
See Notes to Financial Statements Page 39
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-----------------------------------------------------
Common Stocks* $ 62,561,701 $ -- $ --
Money Market
Funds 62,351 -- --
-----------------------------------------------------
Total Investments $ 62,624,052 $ -- $ --
=====================================================
* See Portfolio of Investments for industry breakout.
Page 40 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2019
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S.
ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION
ETF PORTFOLIO ETF ETF ETF
(TUSA) (DWPP) (EDOW) (FCTR)
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments, at value............................... $ 18,243,755 $ 63,460,118 $ 43,073,385 $ 62,624,052
Cash................................................ 120 -- -- --
Receivables:
Dividends..................................... 32,165 91,197 28,978 105,847
Securities lending income..................... 422 -- -- --
Prepaid expenses.................................... 7,639 -- -- --
-------------- -------------- -------------- --------------
Total Assets.................................. 18,284,101 63,551,315 43,102,363 62,729,899
-------------- -------------- -------------- --------------
LIABILITIES:
Due to custodian.................................... -- 12,417 7,026 --
Payables:
Collateral for securities on loan............. 121,642 -- -- --
Audit and tax fees............................ 22,924 -- -- --
Investment advisory fees...................... 10,177 31,598 18,313 34,144
Shareholder reporting fees.................... 4,834 -- -- --
Licensing fees................................ 652 -- -- --
Trustees' fees................................ 30 -- -- --
Other liabilities................................... 24,250 -- -- --
-------------- -------------- -------------- --------------
Total Liabilities............................. 184,509 44,015 25,339 34,144
-------------- -------------- -------------- --------------
NET ASSETS.......................................... $ 18,099,592 $ 63,507,300 $ 43,077,024 $ 62,695,755
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................... $ 17,706,056 $ 56,147,770 $ 41,893,020 $ 63,896,970
Par value........................................... 5,000 19,000 16,500 27,500
Accumulated distributable earnings (loss)........... 388,536 7,340,530 1,167,504 (1,228,715)
-------------- -------------- -------------- --------------
NET ASSETS.......................................... $ 18,099,592 $ 63,507,300 $ 43,077,024 $ 62,695,755
============== ============== ============== ==============
NET ASSET VALUE, per share.......................... $ 36.20 $ 33.42 $ 26.11 $ 22.80
============== ============== ============== ==============
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share).... 500,002 1,900,002 1,650,002 2,750,002
============== ============== ============== ==============
Investments, at cost................................ $ 16,156,809 $ 54,024,196 $ 41,629,364 $ 58,793,554
============== ============== ============== ==============
Securities on loan, at value...................... $ 120,507 $ -- $ -- $ --
============== ============== ============== ==============
See Notes to Financial Statements Page 41
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2019
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S.
ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION
ETF PORTFOLIO ETF ETF ETF
(TUSA) (DWPP) (EDOW) (FCTR)
---------------- ---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends........................................... $ 315,884 $ 924,977 $ 807,018 $ 809,196
Securities lending income (net of fees)............. 3,216 -- -- --
Foreign withholding tax............................. (41) -- -- 464
-------------- -------------- -------------- --------------
Total investment income....................... 319,059 924,977 807,018 809,660
-------------- -------------- -------------- --------------
EXPENSES:
Investment advisory fees............................ 83,904 295,952 (a) 162,087 (a) 289,291 (a)
Custodian fees...................................... 62,130 -- -- --
Audit and tax fees.................................. 23,629 -- -- --
Listing fees........................................ (45,851) -- -- --
Accounting and administration fees.................. 15,974 -- -- --
Shareholder reporting fees.......................... 13,650 -- -- --
Licensing fees...................................... 10,018 -- -- --
Trustees' fees and expenses......................... 7,223 -- -- --
Transfer agent fees................................. 839 -- -- --
Legal fees.......................................... 551 -- -- --
Registration and filing fees........................ 420 -- -- --
Excise tax.......................................... -- -- 232 --
Other expenses...................................... (569) -- -- --
-------------- -------------- -------------- --------------
Total expenses................................ 171,918 295,952 162,319 289,291
Less fees waived and expenses reimbursed by
the investment advisor..................... (54,452) -- -- --
-------------- -------------- -------------- --------------
Net expenses.................................. 117,466 295,952 162,319 289,291
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)........................ 201,593 629,025 644,699 520,369
-------------- -------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................... (905,578) (868,207) (211,503) (3,811,835)
In-kind redemptions........................... 716,508 863,948 2,401,797 7,104,900
-------------- -------------- -------------- --------------
Net realized gain (loss)............................ (189,070) (4,259) 2,190,294 3,293,065
Net change in unrealized appreciation (depreciation)
on investments................................... 3,626,404 11,761,532 2,903,317 6,786,716
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS)...................................... 3,437,334 11,757,273 5,093,611 10,079,781
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........................ $ 3,638,927 $ 12,386,298 $ 5,738,310 $ 10,600,150
============== ============== ============== ==============
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
Statements).
Page 42 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT
ALPHADEX(R) PEOPLE'S
ETF PORTFOLIO ETF
(TUSA) (DWPP)
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2019 12/31/2018 12/31/2019 12/31/2018
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss)................................ $ 201,593 $ 159,894 $ 629,025 $ 405,034
Net realized gain (loss).................................... (189,070) 1,721,216 (4,259) 779,150
Net change in unrealized appreciation (depreciation)........ 3,626,404 (3,291,223) 11,761,532 (4,614,714)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... 3,638,927 (1,410,113) 12,386,298 (3,430,530)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (203,851) (155,286) (621,756) (417,641)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 4,935,782 8,707,553 19,800,857 14,676,039
Cost of shares redeemed..................................... (3,422,556) (8,774,262) (3,099,948) (5,857,923)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions............................ 1,513,226 (66,709) 16,700,909 8,818,116
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... 4,948,302 (1,632,108) 28,465,451 4,969,945
NET ASSETS:
Beginning of period......................................... 13,151,290 14,783,398 35,041,849 30,071,904
-------------- -------------- -------------- --------------
End of period............................................... $ 18,099,592 $ 13,151,290 $ 63,507,300 $ 35,041,849
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 450,002 450,002 1,350,002 1,050,002
Shares sold................................................. 150,000 250,000 650,000 500,000
Shares redeemed............................................. (100,000) (250,000) (100,000) (200,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................... 500,002 450,002 1,900,002 1,350,002
============== ============== ============== ==============
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
DOW 30 LUNT U.S.
EQUAL WEIGHT FACTOR ROTATION
ETF ETF
(EDOW) (FCTR)
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2019 12/31/2018 12/31/2019 12/31/2018 (a)
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss)................................ $ 644,699 $ 246,112 $ 520,369 $ 184,637
Net realized gain (loss).................................... 2,190,294 (941,113) 3,293,065 (746,942)
Net change in unrealized appreciation (depreciation)........ 2,903,317 (1,522,609) 6,786,716 (2,956,218)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... 5,738,310 (2,217,610) 10,600,150 (3,518,523)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (654,101) (235,451) (508,246) (184,170)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 85,774,714 69,038,254 87,781,697 51,620,840
Cost of shares redeemed..................................... (60,640,742) (55,926,566) (63,446,349) (19,649,644)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions............................ 25,133,972 13,111,688 24,335,348 31,971,196
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... 30,218,181 10,658,627 34,427,252 28,268,503
NET ASSETS:
Beginning of period......................................... 12,858,843 2,200,216 28,268,503 --
-------------- -------------- -------------- --------------
End of period............................................... $ 43,077,024 $ 12,858,843 $ 62,695,755 $ 28,268,503
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 600,002 100,002 1,600,002 --
Shares sold................................................. 3,550,000 3,050,000 4,100,000 2,550,002
Shares redeemed............................................. (2,500,000) (2,550,000) (2,950,000) (950,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................... 1,650,002 600,002 2,750,002 1,600,002
============== ============== ============== ==============
(a) Inception date is July 25, 2018, which is consistent with the commencement
of investment operations and is the date the initial creation units were
established.
Page 44 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 29.22 $ 32.85 $ 27.74 $ 24.34 $ 26.13
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.40 0.34 0.25 0.32 0.22
Net realized and unrealized gain (loss) 6.99 (3.64) 5.12 3.43 (1.78)
------------ ------------ ------------ ------------ ------------
Total from investment operations 7.39 (3.30) 5.37 3.75 (1.56)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.41) (0.33) (0.26) (0.35) (0.23)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 36.20 $ 29.22 $ 32.85 $ 27.74 $ 24.34
============ ============ ============ ============ ============
TOTAL RETURN (a) 25.36% (10.13)% 19.44% 15.48% (5.99)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 18,100 $ 13,151 $ 14,783 $ 8,321 $ 8,518
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 1.02% 1.57% 1.69% 1.96% 1.97%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.20% 1.03% 0.88% 1.17% 0.96%
Portfolio turnover rate (b) 119% 110% 112% 113% 170%
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 25.96 $ 28.64 $ 23.80 $ 24.07 $ 25.97
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.37 0.33 0.30 0.38 0.37
Net realized and unrealized gain (loss) 7.45 (2.67) 4.84 (0.25) (1.89)
------------ ------------ ------------ ------------ ------------
Total from investment operations 7.82 (2.34) 5.14 0.13 (1.52)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.36) (0.34) (0.30) (0.40) (0.38)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 33.42 $ 25.96 $ 28.64 $ 23.80 $ 24.07
============ ============ ============ ============ ============
TOTAL RETURN (a) 30.24% (8.26)% 21.71% 0.54% (5.88)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 63,507 $ 35,042 $ 30,072 $ 3,569 $ 3,610
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 1.28% 1.19% 1.29% 1.59% 1.46%
Portfolio turnover rate (b) 30% 32% 30% (c) 4% 7%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns for First Trust Total US Market
AlphaDEX(R) ETF would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(c) The variation in the portfolio turnover rate is due to the change in the
Fund's underlying index effective August 18, 2017, which resulted in a
complete rebalance of the Fund's portfolio.
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
YEAR ENDED DECEMBER 31,
--------------------------- PERIOD ENDED
2019 2018 12/31/2017 (a)
------------ ------------ ------------
Net asset value, beginning of period $ 21.43 $ 22.00 $ 19.97
------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.47 0.40 0.17
Net realized and unrealized gain (loss) 4.70 (0.58) 2.03
------------ ------------ ------------
Total from investment operations 5.17 (0.18) 2.20
------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.49) (0.39) (0.17)
------------ ------------ ------------
Net asset value, end of period $ 26.11 $ 21.43 $ 22.00
============ ============ ============
TOTAL RETURN (b) 24.27% (0.88)% 11.02%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 43,077 $ 12,859 $ 2,200
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.50% 0.50% 0.50% (c)
Ratio of net expenses to average net assets 0.50% 0.50% 0.50% (c)
Ratio of net investment income (loss) to
average net assets 1.99% 2.33% 1.99% (c)
Portfolio turnover rate (d) 13% 16% 20%
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
YEAR ENDED PERIOD ENDED
12/31/2019 12/31/2018 (a)
------------ ------------
Net asset value, beginning of period $ 17.67 $ 20.23
------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.23 0.12
Net realized and unrealized gain (loss) 5.12 (2.56)
------------ ------------
Total from investment operations 5.35 (2.44)
------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.22) (0.12)
------------ ------------
Net asset value, end of period $ 22.80 $ 17.67
============ ============
TOTAL RETURN (b) 30.35% (12.09)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 62,696 $ 28,269
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.65% 0.65% (c)
Ratio of net expenses to average net assets 0.65% 0.65% (c)
Ratio of net investment income (loss) to
average net assets 1.17% 1.48% (c)
Portfolio turnover rate (d) 246% 183%
(a) Inception dates for EDOW and FCTR are August 8, 2017 and July 25, 2018,
respectively, which are consistent with the respective Fund's commencement
of investment operations and are the dates the initial creation units were
established.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 46 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
1. ORGANIZATION
First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on August 8,
2003, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds. This report
covers the four funds listed below:
First Trust Total US Market AlphaDEX(R) ETF - (The Nasdaq Stock Market LLC
("Nasdaq") ticker "TUSA")
First Trust Dorsey Wright People's Portfolio ETF - (Nasdaq ticker "DWPP")
First Trust Dow 30 Equal Weight ETF - (NYSE Arca, Inc. ("NYSE Arca")
ticker "EDOW")
First Trust Lunt U.S. Factor Rotation ETF - (Cboe BZX Exchange, Inc.
("Cboe BZX") ticker "FCTR")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Creation Units are generally issued and redeemed in-kind for
securities in which a Fund invests and, in certain circumstances, for cash, and
only to and from broker-dealers and large institutional investors that have
entered into participation agreements. Except when aggregated in Creation Units,
each Fund's shares are not redeemable securities. The investment objective of
each Fund is to seek investment results that correspond generally to the price
and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX
First Trust Total US Market AlphaDEX(R) ETF NASDAQ AlphaDEX(R) Total US Market Index
First Trust Dorsey Wright People's Portfolio ETF Nasdaq Dorsey Wright People's Portfolio Index
First Trust Dow 30 Equal Weight ETF Dow Jones Industrial Average Equal Weight Index
First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Large Cap Factor Rotation Index
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Page 47
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of December 31, 2019, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Page 48
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities". For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At December 31, 2019, only
TUSA had securities in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
Page 49
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund is less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended December 31, 2019 were received
as collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2019 was as follows:
Distributions Distributions
Distributions paid paid paid
from Ordinary from Capital from Return
Income Gains of Capital
------------------ ---------------- -----------------
First Trust Total US Market AlphaDEX(R) ETF $ 203,851 $ -- $ --
First Trust Dorsey Wright People's Portfolio ETF 621,756 -- --
First Trust Dow 30 Equal Weight ETF 654,101 -- --
First Trust Lunt U.S. Factor Rotation ETF 508,246 -- --
The tax character of distributions paid by each Fund during the fiscal period
ended December 31, 2018 was as follows:
Distributions Distributions
Distributions paid paid paid
from Ordinary from Capital from Return
Income Gains of Capital
------------------ ---------------- -----------------
First Trust Total US Market AlphaDEX(R) ETF $ 155,286 $ -- $ --
First Trust Dorsey Wright People's Portfolio ETF 417,641 -- --
First Trust Dow 30 Equal Weight ETF 235,451 -- --
First Trust Lunt U.S. Factor Rotation ETF 184,170 -- --
As of December 31, 2019, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
First Trust Total US Market AlphaDEX(R) ETF $ 7,586 $ (1,533,840) $ 1,914,790
First Trust Dorsey Wright People's Portfolio ETF 13,609 (1,616,858) 8,943,779
First Trust Dow 30 Equal Weight ETF 1,597 (141,205) 1,307,112
First Trust Lunt U.S. Factor Rotation ETF 12,428 (4,327,582) 3,086,439
Page 50
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
G. INCOME TAXES
Each Fund intends to qualify or continue to qualify as a regulated investment
company by complying with the requirements under Subchapter M of the Internal
Revenue Code of 1986, as amended, which includes distributing substantially all
of its net investment income and net realized gains to shareholders.
Accordingly, no provision has been made for federal and state income taxes.
However, due to the timing and amount of distributions, each Fund may be subject
to an excise tax of 4% of the amount by which approximately 98% of each Fund's
taxable income exceeds the distributions from such taxable income for the
calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. For TUSA and DWPP, the taxable
years ending 2016, 2017, 2018, and 2019 remain open to federal and state audit.
For EDOW, the taxable years ending 2017, 2018, and 2019 remain open for federal
and state audit. For FCTR, the taxable years ending 2018 and 2019 remain open
for federal and state audit. As of December 31, 2019, management has evaluated
the application of these standards to the Funds, and has determined that no
provision for income tax is required in the Funds' financial statements for
uncertain tax positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses arising in taxable years beginning after December 22, 2010,
may be carried forward indefinitely, and their character is retained as
short-term and/or long-term losses. Previously, net capital losses were carried
forward for up to eight years and treated as short-term losses. As a transition
rule, the Act requires that post-enactment net capital losses be used before
pre-enactment net capital losses. At December 31, 2019, the Funds had
post-enactment net capital losses for federal income tax purposes as shown in
the following table. To the extent that these loss carryforwards are used to
offset future capital gains, it is probable that the capital gains so offset
will not be distributed to Fund shareholders. The Funds are subject to certain
limitations, under U.S. tax rules, on the use of capital loss carryforwards and
net unrealized built-in losses. These limitations apply when there has been a
50% change in ownership.
Post-Enactment -
No Expiration
------------------
First Trust Total US Market AlphaDEX(R) ETF $ 1,533,840
First Trust Dorsey Wright People's Portfolio ETF 1,616,858
First Trust Dow 30 Equal Weight ETF 141,205
First Trust Lunt U.S. Factor Rotation ETF 4,327,582
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended December 31, 2019, the Funds had
no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended December 31, 2019, the adjustments for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
------------------ ---------------- -----------------
First Trust Total US Market AlphaDEX(R) ETF $ 157 $ (692,978) $ 692,821
First Trust Dorsey Wright People's Portfolio ETF 6,340 (851,266) 844,926
First Trust Dow 30 Equal Weight ETF 232 (2,340,872) 2,340,640
First Trust Lunt U.S. Factor Rotation ETF (162) (6,522,628) 6,522,790
H. EXPENSES
Expenses that are directly related to First Trust Total US Market AlphaDEX(R)
ETF are charged directly to the Fund. Expenses for First Trust Dorsey Wright
People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF and First Trust Lunt
U.S. Factor Rotation ETF (the "Unitary Fee Funds"), other than excluded expenses
(discussed in Note 3), are paid by the Advisor. General expenses of the Trust
are allocated to all the Funds based upon the net assets of each Fund.
Page 51
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
FUND LICENSOR
First Trust Total US Market AlphaDEX(R) ETF Nasdaq, Inc.
First Trust Dorsey Wright People's Portfolio ETF Nasdaq, Inc.
First Trust Dow 30 Equal Weight ETF S&P Dow Jones Indices LLC
First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Management, Inc.
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The First Trust Total US
Market AlphaDEX(R) ETF is required to pay licensing fees, which are shown on the
Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For the First Trust Total US Market AlphaDEX(R) ETF, First Trust is paid an
annual management fee of 0.50% of the Fund's average daily net assets. For such
Fund, the Trust and the Advisor have entered into an Expense Reimbursement, Fee
Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has
agreed to waive fees and/or reimburse Fund expenses to the extent that the
operating expenses of the Fund (excluding interest expense, brokerage
commissions and other trading expenses, acquired fund fees and expenses, taxes
and extraordinary expenses) exceed 0.70% of average daily net assets per year
(the "Expense Cap"). The Expense Cap will be in effect until at least April 30,
2021.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding (i) the applicable expense limitation in
place for the most recent fiscal year for which such expense limitation was in
place, (ii) the applicable expense limitation in place at the time the fees were
waived, or (iii) the current expense limitation. These amounts would be included
in "Expenses previously waived or reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the fiscal year ended
December 31, 2019 and fees waived or expenses borne by First Trust subject to
recovery from the Fund for the periods indicated were as follows:
Fees Waived and Expenses Borne by
First Trust Subject to Recovery
------------------------------------------------
Advisory Year Year Year
Fee Expense Ended Ended Ended
Waivers Reimbursement 12/31/2017 12/31/2018 12/31/2019 Total
--------- ------------- ---------- ---------- ---------- ---------
First Trust Total US Market
AlphaDEX(R) ETF $ 54,452 $ -- $ 110,596 $ 135,446 $ 54,452 $ 300,494
For the First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30
Equal Weight ETF and First Trust Lunt U.S. Factor Rotation ETF, First Trust is
paid an annual unitary management fee of 0.60%, 0.50%, and 0.65%, respectively,
of such Fund's average daily net assets and is responsible for the expenses of
such Fund including the cost of transfer agency, custody, fund administration,
legal, audit, licensing and other services, but excluding fee payments under the
Investment Management Agreement, distribution and service fees pursuant to a
Rule 12b-1 plan, if any, brokerage commissions and other expenses connected with
the execution of portfolio transactions, acquired fund fees and expenses, taxes,
interest, and extraordinary expenses.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Page 52
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined - outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended December 31, 2019, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Total US Market AlphaDEX(R) ETF $ 19,908,582 $ 19,814,817
First Trust Dorsey Wright People's Portfolio ETF 14,877,519 14,764,010
First Trust Dow 30 Equal Weight ETF 4,288,284 4,179,211
First Trust Lunt U.S. Factor Rotation ETF 110,287,545 109,810,942
For the fiscal year ended December 31, 2019, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Total US Market AlphaDEX(R) ETF $ 4,915,825 $ 3,433,984
First Trust Dorsey Wright People's Portfolio ETF 19,768,211 3,095,723
First Trust Dow 30 Equal Weight ETF 85,528,025 60,502,798
First Trust Lunt U.S. Factor Rotation ETF 87,169,199 63,326,219
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant'). In order to purchase Creation Units of each Fund, an
Authorized Participant must deposit (i) a designated portfolio of equity
securities determined by First Trust (the "Deposit Securities") and generally
make or receive a cash payment referred to as the "Cash Component," which is an
amount equal to the difference between the NAV of the Fund Shares (per Creation
Unit Aggregation) and the market value of the Deposit Securities, and/or (ii)
cash in lieu of all or a portion of the Deposit Securities. If the Cash
Component is a positive number (i.e., the NAV per Creation Unit Aggregation
exceeds the Deposit Amount), the Authorized Participant will deliver the Cash
Component. If the Cash Component is a negative number (i.e., the NAV per
Creation Unit Aggregation is less than the Deposit Amount), the Authorized
Participant will receive the Cash Component. Authorized Participants purchasing
Creation Units must pay to BNYM, as transfer agent, a creation transaction fee
(the "Creation Transaction Fee") regardless of the number of Creation Units
purchased in the transaction. The Creation Transaction Fee may vary and is based
on the composition of the securities included in each Fund's portfolio and the
countries in which the transactions are settled. The Creation Transaction Fee
may increase or decrease with changes in each Fund's portfolio. The price for
each Creation Unit will equal the daily NAV per share times the number of shares
in a Creation Unit plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees or stamp taxes. When a
Fund permits an Authorized Participant to substitute cash or a different
security in lieu of depositing one or more of the requisite Deposit Securities,
the Authorized Participant may also be assessed an amount to cover the cost of
purchasing the Deposit Securities and/or disposing of the substituted
securities, including operational processing and brokerage costs, transfer fees,
stamp taxes, and part or all of the spread between the expected bid and offer
side of the market related to such Deposit Securities and/or substitute
securities.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
regardless of the number of Creation Units redeemed in the transaction. The
Redemption Transaction Fee may vary and is based on the composition of the
securities included in each Fund's portfolio and the countries in which the
transactions are settled. The Redemption Transaction Fee may increase or
decrease with changes in each Fund's portfolio. Each Fund reserves the right to
effect redemptions in cash. An Authorized Participant may request cash
redemption in lieu of securities; however, a Fund may, in its discretion, reject
any such request.
Page 53
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2021 for First
Trust Total US Market AlphaDEX(R) ETF, First Trust Dorsey Wright People's
Portfolio ETF, and First Trust Dow 30 Equal Weight ETF and July 20, 2020 for
First Trust Lunt U.S. Factor Rotation ETF.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there was the following subsequent event:
The Board of Trustees of the Trust has approved a transaction to combine the
First Trust Mega Cap AlphaDEX(R) Fund ("FMK"), an exchange-traded index fund
that seeks investment results that correspond generally to the price and yield
(before fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mega
Cap Index, with EDOW. Pursuant to this transaction, FMK shareholders will become
shareholders of EDOW.
In order for the transaction to occur, the shareholders of EDOW and shareholders
of FMK must approve the transaction. If approved, shares of FMK would be
exchanged, on a tax-free basis for federal income tax purposes, for shares of
EDOW with an equal aggregate net asset value, and FMK shareholders will become
shareholders of EDOW.
A special meeting of shareholders of EDOW for the purpose of voting on the
transaction will be held. If the required approval is obtained, it is
anticipated that the transaction will be consummated shortly after the special
shareholder meeting.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust Total US Market AlphaDEX(R) ETF, First Trust Dorsey Wright People's
Portfolio ETF, First Trust Dow 30 Equal Weight ETF, and First Trust Lunt U.S.
Factor Rotation ETF (the "Funds"), each a series of First Trust Exchange-Traded
Fund, including the portfolios of investments, as of December 31, 2019, the
related statements of operations for the year then ended, the changes in net
assets and the financial highlights for the periods indicated in the table below
for the Funds; and the related notes. In our opinion, the financial statements
and financial highlights present fairly, in all material respects, the financial
position of each of the Funds as of December 31, 2019, and the results of their
operations for the year then ended, and the changes in their net assets and the
financial highlights for the periods listed in the table below in conformity
with accounting principles generally accepted in the United States of America.
--------------------------------------------------------------------------------------------------------
INDIVIDUAL FUNDS STATEMENTS OF FINANCIAL
INCLUDED IN THE TRUST CHANGES TO NET ASSETS HIGHLIGHTS
--------------------------------------------------------------------------------------------------------
First Trust Total US Market For the years ended For the years ended December 31, 2019,
AlphaDEX(R) ETF December 31, 2019 and 2018 2018, 2017, 2016, and 2015
First Trust Dorsey Wright
People's Portfolio ETF
--------------------------------------------------------------------------------------------------------
First Trust Dow 30 For the years ended For the years ended December 31, 2019,
Equal Weight ETF December 31, 2019 and 2018 2018, and the period from August 8, 2017
(commencement of operations) through
December 31, 2017
--------------------------------------------------------------------------------------------------------
First Trust Lunt U.S. Factor For the year ended December 31, 2019, and the period from July 25, 2018
Rotation ETF (commencement of operations) through December 31, 2018
--------------------------------------------------------------------------------------------------------
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of their internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 2019, by correspondence with
the custodian and brokers; when replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
February 24, 2020
We have served as the auditor of one or more First Trust investment companies
since 2001.
Page 55
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended December 31, 2019, the following percentages of
income dividends paid by the Funds qualify for the dividends received deduction
available to corporations:
Dividends Received Deduction
----------------------------
First Trust Total US Market AlphaDEX(R) ETF 100.00%
First Trust Dorsey Wright People's Portfolio ETF 100.00%
First Trust Dow 30 Equal Weight ETF 100.00%
First Trust Lunt U.S. Factor Rotation ETF 100.00%
For the taxable year ended December 31, 2019, the following percentages of
income dividends paid by the Funds are hereby designated as qualified dividend
income:
Qualified Dividend Income
----------------------------
First Trust Total US Market AlphaDEX(R) ETF 100.00%
First Trust Dorsey Wright People's Portfolio ETF 100.00%
First Trust Dow 30 Equal Weight ETF 100.00%
First Trust Lunt U.S. Factor Rotation ETF 100.00%
A portion of each of the Funds' 2019 ordinary dividends (including short-term
capital gains) paid to its shareholders during the fiscal year ended December
31, 2019, may be eligible for the Qualified Business Income Deduction (QBI)
under Code Section 199A for the aggregate dividends each Fund received from the
underlying Real Estate Investment Trusts (REITs) these Funds invest in.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
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 CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
Page 57
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations.
NON-U.S. Securities Risk. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 58
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 169 None
(1951) Limited Partner, Gundersen Real Estate
o Since Inception Limited Partnership (June 1992 to
December 2016); Member, Sportsmed LLC
(April 2007 to November 2015)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 169 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM
Investor Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 169 Director of Trust
(1956) and Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 169 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Products and Services);
President and Chief Executive Officer
(June 2012 to September 2014), Servant
Interactive LLC (Educational Products
and Services); President and Chief
Executive Officer (June 2012 to September
2014), Dew Learning LLC (Educational
Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 169 None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P.; Chairman of the
Board of Directors, BondWave LLC
(Software Development Company)
and Stonebridge Advisors LLC
(Investment Advisor)
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
Page 59
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer
(1966) Executive Officer (January 2016 to Present), Controller (January 2011 to
o Since January 2016 January 2016), Senior Vice President (April 2007 to
January 2016), First Trust Advisors L.P. and First Trust
Portfolios L.P.; Chief Financial Officer (January 2016
to Present), BondWave LLC (Software Development
Company) and Stonebridge Advisors LLC
(Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief President (April 2012 to July 2016), First Trust
Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Chief Compliance
Officer Since
January 2011
o Assistant Secretary
Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1966) and First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1970) and First Trust Portfolios L.P.
o Since Inception
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 60
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2019 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2019
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FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
ITEM 1. REPORT TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 is as follows:
[Insert Report]
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions, regardless
of whether these individuals are employed by the registrant or a third
party.
(c) There have been no amendments, during the period covered by this report,
to a provision of the code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or
a third party, and that relates to any element of the code of ethics
description.
(d) The registrant has not granted any waivers, including an implicit waiver,
from a provision of the code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or
a third party, that relates to one or more of the items set forth in
paragraph (b) of this item's instructions.
(e) Not applicable.
(f) The code of ethics is filed as an exhibit to the Registrant's annual
report on this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of
trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified
to serve as audit committee financial experts serving on its audit committee and
that each of them is "independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees -- The aggregate fees billed for each of the last two
fiscal years for professional services rendered by the principal accountant for
the audit of the registrant's annual financial statements or services that are
normally provided by the accountant in connection with statutory and regulatory
filings or engagements were $415,000 for 2018 and $417,500 for 2019.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each
of the last two fiscal years, for assurance and related services by the
principal accountant that are reasonably related to the performance of the audit
of the registrant's financial statements and are not reported under paragraph
(a) of this Item were $0 for 2018 and $0 for 2019.
Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate
fees billed in each of the last two fiscal years for assurance and related
services by the principal accountant that are reasonably related to the
performance of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item were $0 for 2018 and $0 for 2019.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last
two fiscal years for professional services rendered by the principal accountant
for tax compliance, tax advice, and tax planning to the registrant were $58,500
for 2018 and $63,136 for 2019. The tax fees were for review of regulated
investment company status.
Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed
in each of the last two fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and tax planning to the
registrant's adviser and distributor were $0 for 2018 and $0 for 2019.
(d) All Other Fees (Registrant) -- The aggregate fees billed in each of
the last two fiscal years for products and services provided by the principal
accountant to the registrant, other than the services reported in paragraphs (a)
through (c) of this Item were $0 for 2018 and $0 for 2019.
All Other Fees (Investment Adviser and Distributor) -- The aggregate fees
billed in each of the last two fiscal years for products and services provided
by the principal accountant to the registrant's investment adviser and
distributor, other than the services reported in paragraphs (a) through (c) of
this Item were $ 0 for 2018 and $0 for 2019.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval
Policy, the Audit Committee (the "Committee") is responsible for the
pre-approval of all audit services and permitted non-audit services (including
the fees and terms thereof) to be performed for the registrant by its
independent auditors. The Chairman of the Committee is authorized to give such
pre-approvals on behalf of the Committee up to $25,000 and report any such
pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent
auditor's engagements for non-audit services with the registrant's adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted or overseen by another investment adviser) and any entity
controlling, controlled by or under common control with the investment adviser
that provides ongoing services to the registrant, if the engagement relates
directly to the operations and financial reporting of the registrant, subject to
the de minimis exceptions for non-audit services described in Rule 2-01 of
Regulation S-X. If the independent auditor has provided non-audit services to
the registrant's adviser (other than any sub-adviser whose role is primarily
portfolio management and is sub-contracted with or overseen by another
investment adviser) and any entity controlling, controlled by or under common
control with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to its policies, the Committee
will consider whether the provision of such non-audit services is compatible
with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b)
through (d) for the registrant and the registrant's investment adviser of this
Item that were approved by the audit committee pursuant to the pre-approval
exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X are as follows:
(b) 0%
(c) 0%
(d) 0%
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most recent
fiscal year that were attributed to work performed by persons other than the
principal accountant's full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's investment
adviser (not including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another investment adviser),
and any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant for 2018 were $58,500
for the registrant, $48,190 for the registrant's investment adviser and $80,310
for the registrant's distributor and for 2019 were $63,136 for the registrant,
$75,670 for the registrant's investment adviser and $104,730 for the
registrant's distributor .
(h) The registrant's audit committee of its Board of Trustees has
determined that the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal accountant's
independence.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The Registrant has a separately designated standing audit committee established
in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934
consisting of all the independent directors of the Registrant. The audit
committee of the registrant is comprised of: Richard E. Erickson, Thomas R.
Kadlec, Robert F. Keith and Niel B. Nielson.
ITEM 6. INVESTMENTS.
(a) Schedule of Investments in securities of unaffiliated issuers as of the
close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this form.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of trustees, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3 (c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this
paragraph, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the period covered by this report that
have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.
(a) Not applicable.
(b) Not applicable.
ITEM 13. EXHIBITS.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not Applicable
(a)(4) Not Applicable
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section
906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) First Trust Exchange-Traded Fund
-----------------------------------------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: March 5, 2020
---------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: March 5, 2020
---------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: March 5, 2020
---------------
* Print the name and title of each signing officer under his or her signature.