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)

Annual Report
December 31, 2020





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TABLE OF CONTENTS
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                        FIRST TRUST EXCHANGE-TRADED FUND
                                 ANNUAL REPORT
                               DECEMBER 31, 2020

Shareholder Letter..........................................................   2
Market Overview.............................................................   3
Fund Performance Overview
   First Trust Dow Jones Select MicroCap Index Fund (FDM)...................   4
   First Trust Morningstar Dividend Leaders Index Fund (FDL)................   6
   First Trust US Equity Opportunities ETF (FPX)............................   8
   First Trust NYSE Arca Biotechnology Index Fund (FBT).....................  10
   First Trust Dow Jones Internet Index Fund (FDN)..........................  12
   First Trust Capital Strength ETF (FTCS)..................................  14
   First Trust Value Line(R) Dividend Index Fund (FVD)......................  16
Notes to Fund Performance Overview..........................................  18
Understanding Your Fund Expenses............................................  19
Portfolio of Investments
   First Trust Dow Jones Select MicroCap Index Fund (FDM)...................  21
   First Trust Morningstar Dividend Leaders Index Fund (FDL)................  25
   First Trust US Equity Opportunities ETF (FPX)............................  27
   First Trust NYSE Arca Biotechnology Index Fund (FBT).....................  30
   First Trust Dow Jones Internet Index Fund (FDN)..........................  31
   First Trust Capital Strength ETF (FTCS)..................................  32
   First Trust Value Line(R) Dividend Index Fund (FVD)......................  34
Statements of Assets and Liabilities........................................  38
Statements of Operations....................................................  40
Statements of Changes in Net Assets.........................................  42
Financial Highlights........................................................  45
Notes to Financial Statements...............................................  49
Report of Independent Registered Public Accounting Firm.....................  59
Additional Information......................................................  60
Board of Trustees and Officers..............................................  64
Privacy Policy..............................................................  66





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                  CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded Fund (the "Trust") described in this
report (each such series is referred to as a "Fund" and collectively, as the
"Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.

                        PERFORMANCE AND RISK DISCLOSURE

There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money by investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of other risks of investing in the Funds.

Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.

                            HOW TO READ THIS REPORT

This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.

By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.

It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.


                                                                          Page 1





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SHAREHOLDER LETTER
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                        FIRST TRUST EXCHANGE-TRADED FUND
                    ANNUAL LETTER FROM THE CHAIRMAN AND CEO
                               DECEMBER 31, 2020

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, 2020.

This past year has been a whirlwind of challenges for the U.S. and the
coronavirus ("COVID-19") pandemic tops the list. It has been a nasty, stubborn
virus since it arrived early in 2020. Mistakes have been made, but talented
people are working the problem. The U.S. appears to be on the cusp of turning
the corner on this virus over the next few months thanks to a couple of vaccines
that proved effective in clinical testing and garnered approval from the Food
and Drug Administration in record time. Hopefully, more vaccines will be gaining
approval soon. Speed is key when it comes to distributing the vaccines to the
most vulnerable of our population. This is not the time for bottlenecks or
logistical problems.

The COVID-19 pandemic not only derailed the bull market in stocks in the first
quarter of 2020, but it also threw the U.S. economy into a recession (the first
and second quarters of 2020 reflected negative real gross domestic product
growth). In response to the negative fallout from the virus, the federal
government has stepped up with trillions of dollars of stimulus to help backstop
the millions of people who have lost their jobs, in many cases, through no fault
of their own, or have seen their incomes slashed due to the curtailed business
activity in certain sectors of the economy, such as leisure and entertainment.
In addition to putting money in people's pockets, the government's efforts
instilled some much needed confidence in the securities markets, in my opinion.
After factoring in the 33.79% decline in the S&P 500(R) Index (the "Index") from
February 19, 2020 through March 23, 2020, as measured by total return
performance, the Index managed to stage a dramatic rally to end 2020 up 18.40%,
according to Bloomberg. I think that is incredible when you consider that, from
1926 through 2019, the average annual total return on the Index was 10.20%,
according to Morningstar/Ibbotson Associates.

We now know that the Democratic party completed its blue wave by winning the two
Senate runoff elections in Georgia on January 5, 2021. That means the Democrats
have voting control, albeit by a slender margin, in the House of Representatives
and Senate (by way of Vice President Kamala Harris being the deciding vote in
50-50 split votes) for the next two years once they take office. With President
Biden in the White House and the results of the Georgia Senate races, the
Democrats now have control of both the Executive and Legislative branches of the
government. In addition to focusing on expediting the COVID-19 vaccinations (the
President is calling for 100 million doses in his first 100 days in office), we
expect President Biden to attempt to make some changes to the individual and
corporate tax codes, distribute more financial stimulus to those Americans in
need and perhaps push for some form of an infrastructure spending bill, which
may receive bipartisan support, in our opinion. I believe the most important
fight right now is not between the politicians, it is against the virus. We need
to reopen the economy. As always, stay tuned and 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, 2020 (UNAUDITED)

ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.

Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.

STATE OF THE ECONOMY/INVESTING

While 2020 has come and gone, the coronavirus ("COVID-19") pandemic remains the
number one battleground for the U.S. and many foreign nations heading into 2021.
The quick approval of two new vaccines by the Food and Drug Administration in
December lifted the spirits of Americans and investors, but the initial rollout
of the vaccines has been much slower than expected. The federal government's
"Operation Warp Speed" initiative called for 20 million vaccinations to be
performed in the U.S. by the end of 2020, but that figure came in at a little
more than three million, according to Axios. With infections still rising, top
U.S. government scientist Anthony Fauci warned just days after Christmas that
the worst may be yet to come. These statistics suggest that clearing the
COVID-19 hurdle may extend a bit further into 2021 than initially thought.
Remember, these two vaccines, and any others that may gain approval, are likely
the best chance we have for fully reopening the U.S. economy.

The global growth forecast from the International Monetary Fund ("IMF") released
in October 2020 sees real gross domestic product growth rising by 5.2% worldwide
in 2021, a strong rebound from its -4.4% projection for 2020. The IMF is calling
for a 3.1% growth rate for the U.S. in 2021, up from its -4.3% estimate for
2020. As has been the case for many years, Emerging Market and Developing
Economies are expected to grow faster than Advanced Economies in 2021. Their
2021 growth rate estimates are 6.0% and 3.9%, respectively.

The marketplace for exchange-traded funds ("ETFs") and related exchange-traded
products ("ETPs") continues to grow. ETFGI, an independent research and
consultancy firm, reported that total assets invested in ETFs/ETPs listed
globally stood at an all-time high of $7.99 trillion at the close of 2020, up
25.63% from the $6.36 trillion at the end of 2019, according to its own release.
Total assets invested in ETFs/ETPs listed in the U.S. hit an all-time high of
$5.47 trillion at the close of 2020, up 23.76% from the $4.42 trillion at the
end of 2019.

U.S. STOCKS AND BONDS

In 2020, three of the major U.S. stock indices posted 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 18.40%, 13.66%, and 11.29%, respectively, according to
Bloomberg. Eight of the 11 major sectors that comprise the S&P 500(R) Index
posted positive total returns. The top performing sectors were Information
Technology, Consumer Discretionary, Communication Services and Materials, up
43.89%, 33.30%, 23.61%, and 20.73%, respectively, while the sector with the
poorest showing was Energy, down 33.68%. Bloomberg's 2021 and 2022 consensus
earnings growth rate estimates for the S&P 500(R) Index were 22.28% and 16.94%,
respectively, as of January 4, 2021. Those percentages reflect a huge rebound
from the -15.61% estimate for 2020.

The yield on the benchmark 10-Year Treasury Note ("T-Note") closed trading on
December 31, 2020, at 0.92%, down 100 basis points ("bps") from its 1.92% close
on December 31, 2019, according to Bloomberg. The yield stood 124 bps below its
2.16% average for the 10-year period ended December 31, 2020. In September 2020,
the Federal Reserve (the "Fed") stated that it expects to hold short-term
interest rates near zero until two things happen: (1) the U.S. unemployment rate
is back to normal (around a 4.0% unemployment rate), and (2) inflation is
running at or above 2.0%. Brian Wesbury, Chief Economist at First Trust Advisors
L.P., notes that the Fed does not expect to achieve both goals until 2024. We
believe that one of the Fed's motivations in promoting a multi-year commitment
to a near zero interest rate monetary policy is to incentivize risk-taking.
Brian Wesbury sees inflation climbing modestly above the Fed's 2.0% target in
2021 and believes that the yield on the 10-Year T-Note will close the year at
around 1.40%. Neither reflects a dramatic change from the current climate.

In the U.S. bond market, all the major bond groups posted positive returns in
2020. The top-performing major debt group we track was a mix of investment-grade
bonds, as measured by the Bloomberg Barclays U.S. Aggregate Index, which posted
a total return of 7.51%. While in positive territory for the year, the
worst-performing debt group we track was mortgage-backed securities, as measured
by the Bloomberg Barclays GNMA 30 Year Index, which posted a total return of
3.68%.

FOREIGN STOCKS AND BONDS

The U.S. dollar declined by 6.69% against a basket of major currencies in 2020,
as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY
closed 2020 at a reading of 89.94, just below its 20-year average of 89.99. The
weaker U.S. dollar likely had a positive influence on the returns of foreign
securities held by U.S. investors, provided they were unhedged. Aside from the
currency aspect, foreign stocks and bonds performed well in 2020.

The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of 7.11% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose 9.20% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
18.31% (USD), while the MSCI World ex USA Index was up 7.59% (USD) on a total
return basis, according to Bloomberg.


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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

The First Trust Dow Jones Select MicroCap Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Dow Jones Select
MicroCap Index(SM) (the "Index"). The Fund will normally invest at least 80% of
its net assets (including investment borrowings) in the common stocks of U.S.
micro-capitalization companies which are publicly traded in the United States.
The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in the common stocks that comprise the Index. The Index
is designed to measure the performance of micro-cap stocks issued by U.S.
companies that are comparatively liquid and have strong fundamentals relative to
the micro-cap segment as a whole. The Index is rebalanced quarterly and
reconstituted annually and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca, Inc. ("NYSE Arca"). The first day of
secondary market trading in shares of the Fund was September 30, 2005.



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PERFORMANCE
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                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (9/27/05)      Ended       Ended       (9/27/05)
                                              12/31/20    12/31/20    12/31/20    to 12/31/20    12/31/20    12/31/20    to 12/31/20
                                                                                                    
FUND PERFORMANCE
NAV                                            -4.25%      9.34%        9.40%        7.00%        56.26%     145.57%       180.66%
Market Value                                   -4.04%      9.40%        9.41%        7.01%        56.69%     145.90%       181.04%

INDEX PERFORMANCE
Dow Jones Select MicroCap Index(SM)            -2.93%      10.13%      10.14%        7.74%        62.00%     162.77%       212.08%
Russell 2000(R) Index                          19.96%      13.26%      11.20%        8.93%        86.36%     189.20%       268.97%
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(See Notes to Fund Performance Overview on page 18.)

PERFORMANCE REVIEW

The Fund generated a net asset value ("NAV") return of -4.25% during the
12-month period covered by this report. During the same period, the Russell
2000(R) Index (the "Benchmark") generated a return of 19.96%. The Financials
sector received the largest allocation of any sector in the Fund during the
period at 29.7% while also providing the Fund's largest negative contribution to
the Fund's return at -5.9%. The Industrials sector provided the largest
contribution to the Fund's return for the period with a return of 2.5%. On a
relative basis, the Fund underperformed the Benchmark. The greatest source of
relative underperformance was found in the Health Care sector where the Fund
lagged the Benchmark by -9.4%. A portion of the Fund's relative underperformance
was reduced by the Fund's 1.9% relative outperformance in the Real Estate
sector.

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The Dow Jones Select MicroCap Index(SM) ("Index") is a product of S&P Dow Jones
Indices LLC or its affiliates ("SPDJI") and has been licensed for use by First
Trust. Standard & Poor's(R) and S&P(R) are registered trademarks of Standard &
Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered trademark of
Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been
licensed for use by SPDJI and sublicensed for certain purposes by First Trust.
The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P,
or their respective affiliates and none of such parties make any representation
regarding the advisability of investing in such products nor do they have any
liability for any errors, omissions, or interruptions of the Index.


Page 4





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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
-----------------------------------------------------------
Financials                                    29.80%
Industrials                                   20.34
Health Care                                   14.61
Consumer Discretionary                        10.16
Information Technology                         6.88
Energy                                         5.97
Communication Services                         3.33
Real Estate                                    3.17
Materials                                      2.68
Consumer Staples                               2.22
Utilities                                      0.84
                                             -------
   Total                                     100.00%
                                             =======

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                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Silvergate Capital Corp., Class A              2.14%
IES Holdings, Inc.                             1.91
Clean Energy Fuels Corp.                       1.79
Enova International, Inc.                      1.75
Provention Bio, Inc.                           1.61
Collectors Universe, Inc.                      1.34
First Bancshares (The), Inc.                   1.31
Ellington Financial, Inc.                      1.28
MSG Networks, Inc., Class A                    1.27
HarborOne Bancorp, Inc.                        1.25
                                             -------
   Total                                      15.65%
                                             =======



                          PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                             DECEMBER 31, 2010 - DECEMBER 31, 2020
 

              First Trust Dow Jones
               Select MicroCap           Dow Jones Select           Russell 2000(R)
                 Index Fund             MicroCap Index(SM)               Index
                                                               
12/10              $10,000                   $10,000                    $10,000
06/11               10,336                    10,373                     10,621
12/11                9,132                     9,184                      9,583
06/12                9,720                     9,808                     10,400
12/12               10,581                    10,717                     11,149
06/13               12,299                    12,495                     12,917
12/13               15,163                    15,459                     15,477
06/14               15,061                    15,403                     15,971
12/14               15,629                    16,025                     16,235
06/15               16,442                    16,906                     17,006
12/15               15,717                    16,218                     15,518
06/16               16,110                    16,669                     15,862
12/16               21,289                    22,086                     18,825
06/17               21,421                    22,274                     19,764
12/17               23,088                    24,083                     21,582
06/18               24,965                    26,116                     23,235
12/18               20,153                    21,147                     19,203
06/19               22,505                    23,697                     22,464
12/19               25,647                    27,073                     24,105
06/20               19,840                    20,982                     20,977
12/20               24,557                    26,277                     28,920


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


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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)
                                              12/31/20    12/31/20    12/31/20    to 12/31/20    12/31/20    12/31/20    to 12/31/20
                                                                                                    
FUND PERFORMANCE
NAV                                            -4.42%       8.62%      10.40%        6.74%        51.19%     168.90%       162.76%
Market Value                                   -4.42%       8.62%      10.37%        6.73%        51.20%     168.29%       162.59%

INDEX PERFORMANCE
Morningstar(R) Dividend Leaders Index(SM)      -3.87%       9.19%      10.97%        7.28%        55.22%     183.22%       183.06%
S&P 500(R) Index                               18.40%      15.22%      13.88%        9.84%       103.04%     267.00%       301.68%
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(See Notes to Fund Performance Overview on page 18.)

PERFORMANCE REVIEW

The Fund generated a NAV return of -4.42% during the 12-month period covered by
this report. During the same period, the S&P 500(R) Index (the "Benchmark")
generated a return of 18.40%. The Fund held its largest allocation in the
Communication Services sector with an 18.4% allocation. This sector also
generated the Fund's largest negative contribution to the Fund's return for the
period at -3.8%. The largest positive contribution to the Fund's return was the
3.4% seen in the Information Technology sector. On a relative basis, the Fund
underperformed the Benchmark. The greatest source of outperformance was seen in
the Communication Services sector where the Fund underperformed the Benchmark by
-7.0%. The Fund's investments in the Industrials sector marginally reduced the
Fund's relative underperformance by 1.6% when compared to the Benchmark.

-----------------------------
Morningstar(R) and Morningstar(R) Dividend Leaders Index(SM) are registered
trademarks and service marks of Morningstar, Inc. ("Morningstar") and have been
licensed for use by First Trust on behalf of the Fund. The Fund is not
sponsored, endorsed, issued, sold or promoted by Morningstar and Morningstar
makes no representation regarding the advisability of investing in the Fund.


Page 6





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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials                                    21.18%
Communication Services                        18.67
Utilities                                     14.74
Health Care                                   14.00
Consumer Staples                              13.41
Information Technology                        12.50
Industrials                                    2.65
Materials                                      1.73
Consumer Discretionary                         1.12
                                             -------
   Total                                     100.00%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
AT&T, Inc.                                     9.36%
Verizon Communications, Inc.                   7.98
AbbVie, Inc.                                   7.31
Pfizer, Inc.                                   6.61
Philip Morris International, Inc.              6.51
Altria Group, Inc.                             5.43
International Business Machines Corp.          5.13
Broadcom, Inc.                                 4.65
Citigroup, Inc.                                3.96
Dominion Energy, Inc.                          2.85
                                             -------
   Total                                      59.79%
                                             =======



                       PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                          DECEMBER 31, 2010 - DECEMBER 31, 2020
 
            

              First Trust Morningstar
               Dividend Leaders         Morningstar(R) Dividend     S&P 500(R)
                  Index Fund               Leaders Index(SM)          Index
                                                            
12/10               $10,000                     $10,000              $10,000
06/11                10,782                      10,811               10,601
12/11                11,444                      11,503               10,210
06/12                12,390                      12,497               11,179
12/12                12,489                      12,626               11,844
06/13                14,232                      14,428               13,481
12/13                15,326                      15,576               15,680
06/14                16,903                      17,229               16,800
12/14                17,312                      17,687               17,828
06/15                16,787                      17,188               18,047
12/15                17,784                      18,248               18,074
06/16                20,402                      20,996               18,768
12/16                21,469                      22,140               20,239
06/17                22,096                      22,848               22,132
12/17                24,032                      24,911               24,662
06/18                23,234                      24,146               25,319
12/18                22,620                      23,546               23,580
06/19                25,850                      26,991               27,952
12/19                28,135                      29,460               30,997
06/20                22,524                      23,649               30,043
12/20                26,890                      28,322               36,700


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                          Page 7





--------------------------------------------------------------------------------
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)
                                              12/31/20    12/31/20    12/31/20    to 12/31/20    12/31/20    12/31/20    to 12/31/20
                                                                                                    
FUND PERFORMANCE
NAV                                            47.76%      19.10%      18.45%       13.73%       139.66%     443.66%       564.87%
Market Value                                   47.85%      19.11%      18.44%       13.74%       139.79%     443.38%       565.11%

INDEX PERFORMANCE
IPOX(R)-100 U.S. Index                         48.44%      19.66%      19.09%       14.38%       145.32%     473.75%       622.51%
S&P 500(R) Index                               18.40%      15.22%      13.88%        9.80%       103.04%     267.00%       296.19%
Russell 3000(R) Index                          20.89%      15.43%      13.79%        9.85%       104.95%     264.07%       298.46%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 18.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 47.76% during the 12-month period covered by
this report. During the same period, the Russell 3000(R) Index (the "Benchmark")
generated a return of 20.89%. The Information Technology sector was the largest
sector allocation for the Fund at 32.0% and provided the largest contribution to
the Fund's return at 29.2%. The Consumer Staples sector generated a -3.6% return
and was the Fund's largest negative contribution to return. On a relative basis,
the Fund outperformed the Benchmark. The largest source of relative
outperformance came from the Consumer Discretionary sector where the Fund
outperformed the Benchmark by 9.3%. The Fund outperformed the Benchmark in most
sectors; however, the Fund did underperform the Benchmark in the Consumer
Staples sector by -3.6%.

-----------------------------
IPOX(R) and IPOX(R)-100 U.S. Index are registered international trademarks and
service marks of IPOX(R) Schuster LLC ("IPOX") and have been licensed for use by
First Trust. The Funds are not sponsored, endorsed, sold or promoted by IPOX,
and IPOX makes no representation regarding the advisability of trading in such
Funds.


Page 8





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                        33.87%
Health Care                                   17.84
Communication Services                        16.69
Industrials                                   10.40
Consumer Discretionary                         9.28
Materials                                      5.18
Financials                                     3.68
Consumer Staples                               1.63
Real Estate                                    1.01
Energy                                         0.42
                                             -------
   Total                                     100.00%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Snap, Inc., Class A                            8.44%
Uber Technologies, Inc.                        5.90
Marvell Technology Group Ltd.                  5.10
Thermo Fisher Scientific, Inc.                 4.42
Eli Lilly and Co.                              3.65
Fidelity National Information
   Services, Inc.                              3.04
Dow, Inc.                                      3.01
Crowdstrike Holdings, Inc., Class A            2.62
Spotify Technology S.A.                        2.54
DocuSign, Inc.                                 2.21
                                             -------
   Total                                      40.93%
                                             =======



                               PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                  DECEMBER 31, 2010 - DECEMBER 31, 2020
 

                 First Trust
                  US Equity            IPOX(R)-100        S&P 500(R)        Russell 3000(R)
              Opportunities ETF        U.S. Index           Index                Index
                                                                    
12/10              $10,000               $10,000           $10,000              $10,000
06/11               10,990                11,028            10,602               10,635
12/11               10,310                10,378            10,211               10,102
06/12               11,706                11,818            11,180               11,044
12/12               13,405                13,571            11,845               11,761
06/13               15,656                15,889            13,482               13,415
12/13               19,838                20,204            15,681               15,708
06/14               21,149                21,608            16,801               16,798
12/14               22,200                22,749            17,829               17,680
06/15               24,118                24,787            18,048               18,023
12/15               22,685                23,384            18,075               17,765
06/16               22,538                23,286            18,769               18,408
12/16               24,206                25,077            20,237               20,026
06/17               26,794                27,825            22,127               21,814
12/17               30,733                31,999            24,654               24,257
06/18               32,340                33,743            25,307               25,038
12/18               28,207                29,508            23,573               22,985
06/19               35,487                37,223            27,943               27,292
12/19               36,803                38,651            30,994               30,115
06/20               38,536                40,543            30,041               29,068
12/20               54,366                57,375            36,700               36,407


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                          Page 9





--------------------------------------------------------------------------------
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)
                                              12/31/20    12/31/20    12/31/20    to 12/31/20    12/31/20    12/31/20    to 12/31/20
                                                                                                    
FUND PERFORMANCE
NAV                                            12.93%       8.25%      15.73%       15.88%        48.67%     330.88%       751.79%
Market Value                                   12.94%       8.26%      15.72%       15.88%        48.72%     330.44%       751.79%

INDEX PERFORMANCE
NYSE Arca Biotechnology Index(SM)              13.57%       8.83%      16.31%       16.50%        52.67%     352.93%       820.66%
S&P Composite 1500(R) Health Care Index        14.55%      12.12%      16.16%       12.07%        77.21%     347.25%       423.77%
NASDAQ(R) Biotechnology Index                  26.42%       6.64%      17.69%       14.24%        37.90%     409.78%       592.07%
S&P 500(R) Index                               18.40%      15.22%      13.88%       10.20%       103.04%     267.00%       310.09%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 18.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 12.93% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Health Care Index
(the "Benchmark") returned 14.55%. The Fund's allocation to the Biotechnology
industry was its largest at 79.5% which also provided the largest contribution
to the Fund's return at 8.6%. The only industry providing a negative
contribution to the Fund's return was the Pharmaceuticals industry with a -0.7%
return. On a relative basis, the Fund underperformed the Benchmark. The largest
source of relative underperformance was found in the Biotechnology industry
where the Fund lagged the Benchmark by -1.2%. The Fund did outperform the
Benchmark by 1.4% in the Life Sciences Tools & Services industry, reducing a
portion of the Fund's overall relative underperformance.

-----------------------------
NYSE and NYSE Arca Biotechnology Index(SM) ("Index") are service/trademarks of
ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use
by First Trust in connection with the Fund. The Fund is not sponsored, endorsed,
sold or promoted by IDI and IDI makes no representations or warranties 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. IDI
and its third party suppliers accept no liability in connection with use of the
index or the Fund. See the prospectus for a full copy of the disclaimer.


Page 10





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
INDUSTRY CLASSIFICATION               LONG-TERM INVESTMENTS
-----------------------------------------------------------
Biotechnology                                 79.43%
Life Sciences Tools & Services                17.41
Pharmaceuticals                                3.16
                                             -------
   Total                                     100.00%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Ultragenyx Pharmaceutical, Inc.                4.79%
United Therapeutics Corp.                      4.20
Exact Sciences Corp.                           4.08
Alexion Pharmaceuticals, Inc.                  4.01
ACADIA Pharmaceuticals, Inc.                   3.99
Agios Pharmaceuticals, Inc.                    3.84
Ionis Pharmaceuticals, Inc.                    3.82
Sarepta Therapeutics, Inc.                     3.81
Bio-Techne Corp.                               3.80
Alkermes PLC                                   3.71
                                             -------
   Total                                      40.05%
                                             =======



                                        PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                           DECEMBER 31, 2010 - DECEMBER 31, 2020

 

First Trust NYSE NYSE Arca NASDAQ(R) S&P Composite Arca Biotechnology Biotechnology Biotechnology S&P 500(R) 1500(R) Health Index Fund Index(SM) Index Index Care Index 12/10 $10,000 $10,000 $10,000 $10,000 $10,000 06/11 11,221 11,256 11,434 10,602 11,419 12/11 8,364 8,410 11,208 10,211 11,188 06/12 11,223 11,321 13,989 11,180 12,474 12/12 11,786 11,921 14,827 11,845 13,242 06/13 14,877 15,081 18,812 13,482 15,971 12/13 17,690 17,977 24,608 15,681 18,828 06/14 21,069 21,434 27,933 16,801 20,748 12/14 26,117 26,591 33,075 17,829 23,495 06/15 31,779 32,409 40,283 18,048 25,891 12/15 28,979 29,619 36,967 18,075 25,236 06/16 22,946 23,523 28,187 18,769 25,382 12/16 23,299 23,946 29,075 20,237 24,717 06/17 29,212 30,098 34,117 22,127 28,788 12/17 31,917 32,972 35,366 24,654 30,271 06/18 35,900 37,163 36,476 25,307 31,264 12/18 31,856 33,060 32,225 23,574 32,301 06/19 36,105 37,563 36,393 27,946 35,013 12/19 38,158 39,899 40,325 30,995 39,043 06/20 42,993 45,077 45,917 30,041 38,801 12/20 43,088 45,293 50,978 36,700 44,725 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 11 -------------------------------------------------------------------------------- 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) 12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20 FUND PERFORMANCE NAV 52.65% 23.26% 20.02% 17.69% 184.55% 520.08% 966.39% Market Value 52.68% 23.26% 20.00% 17.68% 184.55% 519.27% 966.24% INDEX PERFORMANCE Dow Jones Internet Composite Index(SM) 53.51% 23.95% 20.69% 18.33% 192.59% 555.85% 1,054.49% S&P 500(R) Index 18.40% 15.22% 13.88% 10.20% 103.04% 267.00% 310.09% S&P Composite 1500(R) Information Technology Index 43.23% 27.39% 20.22% 16.04% 235.47% 530.75% 768.92% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of 52.65% during the 12-month period covering this report. During the same period, the S&P Composite 1500(R) Information Technology Index (the "Benchmark") returned 43.23%. The Fund allocated the largest holdings weight to the Interactive Media & Services industry. This industry received a 22.9% allocation and generated a 13.0% return for the Fund, which was the Fund's largest positive contribution to return. All industries provided a positive return to the Fund during the period; however, the Capital Markets industry provided the smallest contribution to the Fund's return at 0.1%. On a relative basis, the Fund outperformed the Benchmark. The largest source of outperformance came from the IT Services industry where the Fund outperformed the Benchmark by 8.5%. A portion of the Fund's outperformance was reduced by investments in the Technology Hardware Storage industry which provided a -5.0% return compared to the Benchmark. ----------------------------- The Dow Jones Internet Composite Index(SM) ("Index") is a product of S&P Dow Jones Indices LLC or its affiliates ("SPDJI") and has been licensed for use by First Trust. Standard & Poor's(R) and S&P(R) are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product nor do they have any liability for any errors, omissions, or interruptions of the Index. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 44.48% Communication Services 32.95 Consumer Discretionary 18.33 Health Care 4.24 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Amazon.com, Inc. 10.05% Facebook, Inc., Class A 6.98 PayPal Holdings, Inc. 5.49 Netflix, Inc. 5.11 salesforce.com, Inc. 4.53 Cisco Systems, Inc. 4.36 Alphabet, Inc., Class A 4.32 Alphabet, Inc., Class C 4.17 Zoom Video Communications, Inc., Class A 2.72 Twitter, Inc. 2.62 ------- Total 50.35% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - DECEMBER 31, 2020

First Trust Dow Jones S&P Composite 1500(R) Dow Jones Internet Internet Composite S&P 500(R) Information Technology Index Fund Index(SM) Index Index 12/10 $10,000 $10,000 $10,000 $10,000 06/11 10,575 10,601 10,602 10,246 12/11 9,425 9,488 10,211 10,112 06/12 10,316 10,416 11,180 11,398 12/12 11,391 11,540 11,845 11,603 06/13 13,245 13,456 13,482 12,384 12/13 17,473 17,813 15,681 14,967 06/14 17,389 17,759 16,801 16,232 12/14 17,897 18,311 17,829 17,803 06/15 19,613 20,122 18,048 18,034 12/15 21,792 22,413 18,075 18,799 06/16 21,055 21,709 18,769 18,810 12/16 23,297 24,082 20,237 21,579 06/17 27,658 28,667 22,127 25,165 12/17 32,061 33,317 24,654 29,624 06/18 40,188 41,866 25,307 32,746 12/18 34,051 35,586 23,574 29,416 06/19 41,940 44,025 27,946 37,371 12/19 40,618 42,720 30,995 44,031 06/20 49,785 52,532 30,041 50,071 12/20 62,008 65,585 36,700 63,075 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CAPITAL STRENGTH ETF (FTCS) The First Trust Capital Strength ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called The Capital Strength Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and real estate investment trusts that comprise the Index. The Index seeks to provide exposure to well-capitalized companies with strong market positions that have the potential to provide their stockholders with a greater degree of stability and performance over time. The Index is rebalanced and reconstituted quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on The Nasdaq Stock Market LLC. The first day of secondary market trading in shares of the Fund was July 11, 2006. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (7/6/06) Ended Ended (7/6/06) 12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20 FUND PERFORMANCE NAV 13.07% 13.54% 13.12% 10.38% 88.71% 243.09% 318.11% Market Value 13.06% 13.53% 13.11% 10.38% 88.62% 242.78% 317.93% INDEX PERFORMANCE The Capital Strength Index(SM)* 13.77% 14.27% N/A N/A 94.86% N/A N/A S&P 500(R) Index 18.40% 15.22% 13.88% 10.02% 103.04% 267.00% 298.75% ------------------------------------------------------------------------------------------------------------------------------------ * On June 4, 2013, the Fund's underlying index changed from the Credit Suisse U.S. Value Index, Powered by HOLT(TM) to The Capital Strength Index(SM). On June 18, 2010, the Fund's underlying index changed from the Deutsche Bank CROCI(R) US+ Index(TM) to the Credit Suisse U.S. Value Index, Powered by HOLT(TM). Since the Fund's new underlying index had an inception date of March 20, 2013, it was not in existence for some of the periods disclosed. (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of 13.07% during the 12-month period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of 18.40%. The Health Care sector received the greatest allocation of all the sectors in the Fund during the period. Carrying an average weight of 22.9%, investments in the Health Care sector returned just 3.0% and contributed 1.3% to the Fund's overall return. Stock in the Fund from the Energy sector returned -46.0% during the period and was the only sector with a negative return. This sector received a very low weight of 0.5% in the Fund and contributed -1.2% to the Fund's total return. On a relative basis, the Fund underperformed the Benchmark. The bulk of the underperformance came from investments in the Information Technology sector. This sector caused -4.6% of underperformance versus the Benchmark during the period. The sector with the largest contribution to the Fund's outperformance was the Financials sector. Investments in the Financials sector caused 1.2% of outperformance versus the Benchmark. ----------------------------- Nasdaq(R) and The Capital Strength Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CAPITAL STRENGTH ETF (FTCS) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 25.97% Consumer Staples 19.95 Health Care 19.82 Financials 10.12 Information Technology 8.55 Consumer Discretionary 7.66 Communication Services 4.25 Real Estate 1.91 Materials 1.77 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Honeywell International, Inc. 2.34% Garmin Ltd. 2.33 Estee Lauder (The) Cos., Inc., Class A 2.29 Allstate (The) Corp. 2.29 Eli Lilly and Co. 2.23 Monster Beverage Corp. 2.21 Amphenol Corp., Class A 2.19 Accenture PLC, Class A 2.19 CSX Corp. 2.18 Alphabet, Inc., Class A 2.16 ------- Total 22.41% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - DECEMBER 31, 2020

First Trust Capital S&P 500(R) Strength ETF Index 12/10 $10,000 $10,000 06/11 10,787 10,602 12/11 9,706 10,211 06/12 10,233 11,180 12/12 11,400 11,845 06/13 13,298 13,482 12/13 15,492 15,681 06/14 16,356 16,801 12/14 17,887 17,829 06/15 17,857 18,048 12/15 18,182 18,075 06/16 19,153 18,769 12/16 19,741 20,237 06/17 22,187 22,127 12/17 24,969 24,654 06/18 25,176 25,307 12/18 23,945 23,573 06/19 28,152 27,943 12/19 30,349 30,994 06/20 29,566 30,040 12/20 34,309 36,700 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) The First Trust Value Line(R) Dividend Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Value Line(R) Dividend Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and depositary receipts that comprise the Index. The Index seeks to measure the performance of the securities ranked #1 or #2 according to Value Line Publishing, LLC's proprietary Value Line(R) Safety(SM) Ranking System that are also still expected to provide above-average dividend yield. The Index is rebalanced and reconstituted monthly, and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca. ------------------------------------------------------------------------------------------------------------------------------------ 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) 12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20 FUND PERFORMANCE NAV -0.04% 10.51% 11.50% 9.55% 64.86% 196.94% 387.13% Market Value 0.02% 10.52% 11.49% 9.55% 64.90% 196.82% 387.27% INDEX PERFORMANCE Value Line(R) Dividend Index* 0.99% 11.43% 12.41% N/A 71.78% 222.22% N/A S&P 500(R) Index 18.40% 15.22% 13.88% 10.12% 103.04% 267.00% 433.86% Dow Jones U.S. Select Dividend Index(SM)* -4.56% 9.25% 11.00% N/A 55.60% 183.93% 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, 2020) were 201.17% and 202.69% at NAV and Market Value, respectively. That compares to an Index return of 236.93% for the same period. The average annual total returns for the period from the reorganization date (December 15, 2006) through period end (December 31, 2020) were 8.17% and 8.21% at NAV and Market Value, respectively. That compares to an Index return of 9.03% for the same period. NAV and Market Value returns assume that all distributions have been reinvested in the Fund at NAV and Market Value, respectively. Prior to December 15, 2006, NAV and Market Value returns assumed that all distributions were reinvested at prices obtained by the Dividend Reinvestment Plan of the Predecessor FVD Fund and the price used to calculate Market Value return was the AMEX (now known as the NYSE American) closing market price of the Predecessor FVD Fund. * Performance data is not available for all the periods shown in the table because performance data does not exist for the periods shown. (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of -0.04% during the 12-month period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of 18.40%. The Fund allocated 22.6% to the Utilities sector, the largest allocation within the Fund. This sector returned -9.1%, contributing -2.7% to the Fund's return. The Industrials sector was the largest contribution to the Fund's return at 4.6% due to the Fund's 15.4% allocation and 18.7% return for this sector. On a relative basis, the Fund significantly underperformed the Benchmark. The largest source of relative underperformance came from the Utilities sector where the Fund overweighted the Benchmark by 19.4% and had poor security selection, leading to a total effect of -6.3% for the sector. The Fund outperformed the Benchmark in the Energy sector by 1.3%, mostly due to the allocation effect. ----------------------------- Value Line(R) and Value Line(R) Dividend Index are trademarks or registered trademarks of Value Line, Inc. ("Value Line") and have been licensed for use for certain purposes by First Trust. The Fund is not sponsored, endorsed, recommended, sold or promoted by Value Line and Value Line makes no representation regarding the advisability of investing in products utilizing such strategy. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Utilities 22.39% Financials 17.20 Industrials 15.43 Information Technology 9.71 Health Care 9.60 Consumer Staples 9.11 Materials 4.79 Communication Services 4.26 Real Estate 3.77 Consumer Discretionary 3.74 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Intel Corp. 0.57% Lancaster Colony Corp. 0.57 ALLETE, Inc. 0.57 Novartis AG, ADR 0.56 NiSource, Inc. 0.56 Infosys Ltd., ADR 0.56 NorthWestern Corp. 0.56 New Jersey Resources Corp. 0.56 PPL Corp. 0.56 MDU Resources Group, Inc. 0.56 ------- Total 5.63% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - DECEMBER 31, 2020

First Trust Value Line(R) Value Line(R) S&P 500(R) Dow Jones U.S. Select Dividend Index Fund Dividend Index Index Dividend Index(SM) 12/10 $10,000 $10,000 $10,000 $10,000 06/11 10,813 10,857 10,602 10,839 12/11 10,903 10,988 10,211 11,242 06/12 11,593 11,741 11,180 11,977 12/12 12,121 12,316 11,845 12,460 06/13 13,805 14,088 13,482 14,186 12/13 15,342 15,714 15,681 16,081 06/14 16,650 17,131 16,801 17,667 12/14 17,789 18,373 17,829 18,550 06/15 17,419 18,061 18,048 17,888 12/15 18,011 18,758 18,075 18,248 06/16 20,547 21,493 18,769 21,086 12/16 21,603 22,684 20,237 22,260 06/17 22,778 24,011 22,127 23,616 12/17 24,300 25,706 24,654 25,697 06/18 24,110 25,606 25,307 25,959 12/18 23,458 25,002 23,575 24,161 06/19 27,465 29,401 27,945 27,457 12/19 29,699 31,903 30,994 29,752 06/20 25,381 27,413 30,040 23,303 12/20 29,694 32,222 36,700 28,393 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 17 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 18 FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES DECEMBER 31, 2020 (UNAUDITED) As a shareholder of First Trust Dow Jones Select MicroCap Index Fund, First Trust Morningstar Dividend Leaders Index Fund, First Trust US Equity Opportunities ETF, First Trust NYSE Arca Biotechnology Index Fund, First Trust Dow Jones Internet Index Fund, First Trust Capital Strength ETF or First Trust Value Line(R) Dividend Index Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2020. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. -------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2020 DECEMBER 31, 2020 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) Actual $1,000.00 $1,237.70 0.60% $3.37 Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05 FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) Actual $1,000.00 $1,193.90 0.45% $2.48 Hypothetical (5% return before expenses) $1,000.00 $1,022.87 0.45% $2.29 FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) Actual $1,000.00 $1,411.10 0.57% $3.45 Hypothetical (5% return before expenses) $1,000.00 $1,022.27 0.57% $2.90 FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) Actual $1,000.00 $1,002.20 0.55% $2.77 Hypothetical (5% return before expenses) $1,000.00 $1,022.37 0.55% $2.80 FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) Actual $1,000.00 $1,245.40 0.51% $2.88 Hypothetical (5% return before expenses) $1,000.00 $1,022.57 0.51% $2.59 FIRST TRUST CAPITAL STRENGTH ETF (FTCS) Actual $1,000.00 $1,160.60 0.56% $3.04 Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.56% $2.85 Page 19 FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) DECEMBER 31, 2020 (UNAUDITED) -------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2020 DECEMBER 31, 2020 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) Actual $1,000.00 $1,170.00 0.70% $3.82 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 (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, 2020 through December 31, 2020), multiplied by 184/366 (to reflect the six-month period). Page 20 FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.1% 28,125 Vectrus, Inc. (a) $ 1,398,375 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 108,175 Radiant Logistics, Inc. (a) 627,415 --------------- AUTO COMPONENTS -- 0.7% 46,089 Motorcar Parts of America, Inc. (a) 904,266 --------------- BANKS -- 16.5% 66,107 Amalgamated Bank, Class A 908,310 37,479 Arrow Financial Corp. 1,120,997 15,335 Bank First Corp. (b) 994,015 36,119 Bar Harbor Bankshares 815,928 40,158 Bridge Bancorp, Inc. 971,020 27,980 Capital City Bank Group, Inc. 687,748 62,218 Farmers National Banc Corp. 825,633 51,789 First Bancshares (The), Inc. 1,599,244 54,324 First of Long Island (The) Corp. 969,683 141,151 HarborOne Bancorp, Inc. 1,532,900 52,946 Independent Bank Corp. 977,913 18,655 Metropolitan Bank Holding Corp. (a) 676,617 19,590 Northeast Bank 441,167 15,082 Northrim BanCorp, Inc. 512,034 63,209 Old Second Bancorp, Inc. 638,411 32,628 Professional Holding Corp., Class A (a) 503,450 35,917 QCR Holdings, Inc. 1,421,954 11,874 Red River Bancshares, Inc. 588,357 35,882 Reliant Bancorp, Inc. 668,123 35,244 Silvergate Capital Corp., Class A (a) 2,618,982 35,860 West BanCorp, Inc. 692,098 --------------- 20,164,584 --------------- BIOTECHNOLOGY -- 7.5% 32,872 Actinium Pharmaceuticals, Inc. (a) (b) 256,402 93,920 Aldeyra Therapeutics, Inc. (a) 644,291 145,625 Anavex Life Sciences Corp. (a) (b) 786,375 42,688 Axcella Health, Inc. (a) 221,551 61,864 BrainStorm Cell Therapeutics, Inc. (a) (b) 279,935 33,290 Cabaletta Bio, Inc. (a) (b) 415,459 158,759 Calithera Biosciences, Inc. (a) 779,507 233,210 Catalyst Pharmaceuticals, Inc. (a) 778,921 58,536 ContraFect Corp. (a) (b) 295,607 34,978 Enochian Biosciences, Inc. (a) (b) 103,185 31,708 Equillium, Inc. (a) (b) 169,638 86,268 Genprex, Inc. (a) (b) 358,012 201,530 IVERIC bio, Inc. (a) 1,392,572 41,458 Jounce Therapeutics, Inc. (a) 290,206 88,433 Kezar Life Sciences, Inc. (a) 461,620 49,228 NeuBase Therapeutics, Inc. (a) 344,104 98,223 Ovid Therapeutics, Inc. (a) 226,895 511,721 Palatin Technologies, Inc. (a) 345,821 16,571 Prevail Therapeutics, Inc. (a) 382,293 SHARES DESCRIPTION VALUE -------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 84,824 Solid Biosciences, Inc. (a) (b) $ 642,966 --------------- 9,175,360 --------------- CAPITAL MARKETS -- 3.2% 6,964 Diamond Hill Investment Group, Inc. 1,039,516 71,865 Donnelley Financial Solutions, Inc. (a) 1,219,549 21,890 Oppenheimer Holdings, Inc., Class A 688,003 39,448 Victory Capital Holdings, Inc., Class A 978,705 --------------- 3,925,773 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 88,994 Kimball International, Inc., Class B 1,063,478 78,584 Quad/Graphics, Inc. 300,191 --------------- 1,363,669 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 82,851 Casa Systems, Inc. (a) 511,191 --------------- CONSTRUCTION & ENGINEERING -- 4.1% 139,795 HC2 Holdings, Inc. (a) 455,732 50,926 IES Holdings, Inc. (a) 2,344,633 23,722 Northwest Pipe Co. (a) 671,332 68,434 Orion Group Holdings, Inc. (a) 339,433 67,987 Sterling Construction Co., Inc. (a) 1,265,238 --------------- 5,076,368 --------------- CONSTRUCTION MATERIALS -- 1.3% 38,328 US Concrete, Inc. (a) 1,531,970 --------------- CONSUMER FINANCE -- 2.9% 40,556 Curo Group Holdings Corp. 581,168 86,290 Enova International, Inc. (a) 2,137,403 42,079 Oportun Financial Corp. (a) 815,070 --------------- 3,533,641 --------------- CONTAINERS & PACKAGING -- 0.6% 16,501 UFP Technologies, Inc. (a) 768,947 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.7% 21,837 Collectors Universe, Inc. 1,646,510 75,036 Universal Technical Institute, Inc. (a) 484,732 --------------- 2,131,242 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 34,797 Alerus Financial Corp. 952,394 11,321 A-Mark Precious Metals, Inc. 290,384 --------------- 1,242,778 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 114,592 Alaska Communications Systems Group, Inc. 422,844 --------------- See Notes to Financial Statements Page 21 FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 0.2% 27,957 Spark Energy, Inc., Class A $ 267,548 --------------- ELECTRICAL EQUIPMENT -- 2.3% 19,123 Allied Motion Technologies, Inc. 977,186 63,763 LSI Industries, Inc. 545,811 62,423 Orion Energy Systems, Inc. (a) 616,115 21,357 Powell Industries, Inc. 629,818 --------------- 2,768,930 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.4% 60,830 Kimball Electronics, Inc. (a) 972,672 53,061 LightPath Technologies, Inc., Class A (a) 207,999 28,409 Napco Security Technologies, Inc. (a) 744,884 30,368 Vishay Precision Group, Inc. (a) 955,984 --------------- 2,881,539 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 60,110 Exterran Corp. (a) 265,686 --------------- ENTERTAINMENT -- 0.6% 55,300 Sciplay Corp., Class A (a) 765,905 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.8% 38,839 One Liberty Properties, Inc. 779,499 93,848 UMH Properties, Inc. 1,389,889 --------------- 2,169,388 --------------- FOOD & STAPLES RETAILING -- 0.7% 30,548 Natural Grocers by Vitamin Cottage, Inc. 419,729 20,359 Village Super Market, Inc., Class A 449,120 --------------- 868,849 --------------- FOOD PRODUCTS -- 0.5% 16,206 Seneca Foods Corp., Class A (a) 646,619 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.9% 19,532 Bellerophon Therapeutics, Inc. (a) (b) 130,279 15,598 FONAR Corp. (a) 270,781 83,256 Invacare Corp. 745,141 --------------- 1,146,201 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.1% 149,905 Genesis Healthcare, Inc. (a) 72,659 56,686 Triple-S Management Corp., Class B (a) 1,210,246 --------------- 1,282,905 --------------- HEALTH CARE TECHNOLOGY -- 0.7% 30,546 Computer Programs and Systems, Inc. 819,855 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 0.7% 20,090 RCI Hospitality Holdings, Inc. $ 792,350 --------------- HOUSEHOLD DURABLES -- 2.7% 71,281 Beazer Homes USA, Inc. (a) 1,079,907 52,733 Ethan Allen Interiors, Inc. 1,065,734 10,947 Hovnanian Enterprises, Inc., Class A (a) 359,719 36,746 Turtle Beach Corp. (a) 791,876 --------------- 3,297,236 --------------- HOUSEHOLD PRODUCTS -- 0.7% 23,586 Central Garden & Pet Co. (a) 910,655 --------------- INSURANCE -- 1.6% 14,870 HCI Group, Inc. 777,701 59,739 Heritage Insurance Holdings, Inc. 605,156 3,479 Investors Title Co. 532,287 --------------- 1,915,144 --------------- IT SERVICES -- 2.6% 123,871 GreenSky, Inc., Class A (a) 573,523 57,833 Grid Dynamics Holdings, Inc. (a) 728,696 65,241 Hackett Group (The), Inc. 938,818 62,637 International Money Express, Inc. (a) 972,126 --------------- 3,213,163 --------------- LEISURE PRODUCTS -- 1.7% 57,868 Clarus Corp. 891,167 45,852 MasterCraft Boat Holdings, Inc. (a) 1,138,964 --------------- 2,030,131 --------------- MACHINERY -- 5.0% 36,646 Blue Bird Corp. (a) 669,156 97,724 Energy Recovery, Inc. (a) 1,332,955 23,504 Hyster-Yale Materials Handling, Inc. 1,399,663 83,611 Manitowoc (The) Co., Inc. (a) 1,112,863 27,593 Miller Industries, Inc. 1,049,086 64,500 REV Group, Inc. 568,245 --------------- 6,131,968 --------------- MARINE -- 0.4% 26,647 Eagle Bulk Shipping, Inc. (a) (b) 506,293 --------------- MEDIA -- 2.4% 105,146 MSG Networks, Inc., Class A (a) (b) 1,549,852 126,067 WideOpenWest, Inc. (a) 1,345,135 --------------- 2,894,987 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.1% 38,424 Cherry Hill Mortgage Investment Corp. 351,195 105,925 Ellington Financial, Inc. 1,571,927 55,728 Great Ajax Corp. 582,915 --------------- 2,506,037 --------------- Page 22 See Notes to Financial Statements FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS -- 5.8% 162,438 Berry Corp. $ 597,772 44,861 Bonanza Creek Energy, Inc. (a) 867,163 278,221 Clean Energy Fuels Corp. (a) 2,186,817 72,339 CONSOL Energy, Inc. (a) 521,564 60,662 Diamond S Shipping, Inc. (a) 404,009 81,248 Dorian LPG Ltd. (a) 990,413 67,706 International Seaways, Inc. 1,105,639 173,372 Overseas Shipholding Group, Inc., Class A (a) 371,016 --------------- 7,044,393 --------------- PAPER & FOREST PRODUCTS -- 0.8% 81,589 Verso Corp., Class A 980,700 --------------- PERSONAL PRODUCTS -- 0.2% 31,356 Lifevantage Corp. (a) 292,238 --------------- PHARMACEUTICALS -- 4.5% 411,901 Ampio Pharmaceuticals, Inc. (a) (b) 654,923 38,304 Kaleido Biosciences, Inc. (a) (b) 348,566 8,757 Lyra Therapeutics, Inc. (a) 99,830 68,097 Marinus Pharmaceuticals, Inc. (a) 830,783 49,084 Phibro Animal Health Corp., Class A 953,211 116,166 Provention Bio, Inc. (a) 1,967,852 19,389 Satsuma Pharmaceuticals, Inc. (a) (b) 89,383 22,474 scPharmaceuticals, Inc. (a) 118,888 28,500 TFF Pharmaceuticals, Inc. (a) 408,120 --------------- 5,471,556 --------------- PROFESSIONAL SERVICES -- 2.7% 18,499 Barrett Business Services, Inc. 1,261,817 18,813 CRA International, Inc. 958,146 27,167 Willdan Group, Inc. (a) 1,132,864 --------------- 3,352,827 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.4% 20,825 Altisource Portfolio Solutions S.A. (a) 268,226 37,249 RMR Group (The), Inc., Class A 1,438,556 --------------- 1,706,782 --------------- ROAD & RAIL -- 0.7% 149,450 Daseke, Inc. (a) 868,305 --------------- SOFTWARE -- 1.0% 82,924 Smith Micro Software, Inc. (a) 449,448 153,008 VirnetX Holding Corp. (b) 771,160 --------------- 1,220,608 --------------- SPECIALTY RETAIL -- 2.3% 49,821 Big 5 Sporting Goods Corp. (b) 508,672 40,404 Haverty Furniture Cos., Inc. 1,117,979 34,827 TravelCenters of America, Inc. (a) 1,135,360 --------------- 2,762,011 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 98,566 Quantum Corp. (a) $ 603,224 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 19,307 Lakeland Industries, Inc. (a) (b) 526,116 --------------- THRIFTS & MORTGAGE FINANCE -- 2.6% 3,821 Hingham Institution for Savings 825,336 115,672 Northfield Bancorp, Inc. 1,426,236 50,527 Waterstone Financial, Inc. 950,918 --------------- 3,202,490 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.3% 22,892 BlueLinx Holdings, Inc. (a) 669,820 39,920 CAI International, Inc. 1,247,101 45,840 Titan Machinery, Inc. (a) 896,172 --------------- 2,813,093 --------------- WATER UTILITIES -- 0.6% 20,468 Artesian Resources Corp., Class A 758,953 --------------- TOTAL COMMON STOCKS -- 100.0% 122,463,108 (Cost $106,191,766) --------------- MONEY MARKET FUNDS -- 2.9% 3,578,596 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 3,578,596 (Cost $3,578,596) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.0% $ 3,647,186 JPMorgan Chase & Co., 0.01% (c), dated 12/31/20, due 01/04/21, with a maturity value of $3,647,190. Collateralized by U.S. Treasury Note, interest rate of 1.625%, due 12/15/22. The value of the collateral including accrued interest is $3,746,334. (d) 3,647,186 (Cost $3,647,186) --------------- TOTAL INVESTMENTS -- 105.9% 129,688,890 (Cost $113,417,548) (e) NET OTHER ASSETS AND LIABILITIES -- (5.9)% (7,206,618) --------------- NET ASSETS -- 100.0% $ 122,482,272 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $6,969,901 and the total value of the collateral held by the Fund is $7,225,782. See Notes to Financial Statements Page 23 FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 (c) Rate shown reflects yield as of December 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $115,550,225. As of December 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $21,271,878 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,133,213. The net unrealized appreciation was $14,138,665. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------------- Common Stocks* $ 122,463,108 $ -- $ -- Money Market Funds 3,578,596 -- -- Repurchase Agreements -- 3,647,186 -- ------------------------------------------------- Total Investments $ 126,041,704 $ 3,647,186 $ -- ================================================= * 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) $ 6,969,901 Non-cash Collateral(2) (6,969,901) --------------- 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, 2020, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. 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) $ 3,647,186 Non-cash Collateral(4) (3,647,186) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 24 See Notes to Financial Statements FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.5% AIR FREIGHT & LOGISTICS -- 2.5% 209,232 United Parcel Service, Inc., Class B $ 35,234,669 --------------- BANKS -- 14.8% 83,659 Associated Banc-Corp. 1,426,386 30,011 Atlantic Union Bankshares Corp. 988,562 16,801 Bank of Hawaii Corp. 1,287,293 53,068 Bank OZK 1,659,436 32,483 BankUnited, Inc. 1,129,759 11,268 BOK Financial Corp. 771,633 38,321 Cathay General Bancorp 1,233,553 892,742 Citigroup, Inc. 55,046,472 28,996 Columbia Banking System, Inc. 1,040,956 201,300 F.N.B. Corp. 1,912,350 343,738 Fifth Third Bancorp 9,476,857 77,646 Fulton Financial Corp. 987,657 130,252 Investors Bancorp, Inc. 1,375,461 557,614 KeyCorp 9,150,446 54,583 M&T Bank Corp. 6,948,416 69,306 Old National Bancorp 1,147,707 287,109 People's United Financial, Inc. 3,712,319 168,881 PNC Financial Services Group (The), Inc. 25,163,269 464,824 Regions Financial Corp. 7,492,963 43,046 Simmons First National Corp., Class A 929,363 74,739 Synovus Financial Corp. 2,419,301 74,269 TCF Financial Corp. 2,749,438 627,783 Truist Financial Corp. 30,089,639 622,398 U.S. Bancorp 28,997,523 72,125 United Bankshares, Inc. 2,336,850 224,198 Valley National Bancorp 2,185,931 44,438 Webster Financial Corp. 1,873,062 34,964 WesBanco, Inc. 1,047,521 64,688 Zions Bancorp N.A. 2,810,047 --------------- 207,390,170 --------------- BIOTECHNOLOGY -- 7.3% 949,868 AbbVie, Inc. 101,778,356 --------------- CAPITAL MARKETS -- 0.6% 38,743 Ares Management Corp., Class A 1,822,858 32,311 Eaton Vance Corp. 2,194,887 42,945 Federated Hermes, Inc. 1,240,681 149,284 Franklin Resources, Inc. 3,730,607 --------------- 8,989,033 --------------- CHEMICALS -- 1.6% 23,478 Cabot Corp. 1,053,693 81,423 CF Industries Holdings, Inc. 3,151,884 42,514 Eastman Chemical Co. 4,263,304 151,100 LyondellBasell Industries N.V., Class A 13,849,826 --------------- 22,318,707 --------------- CONTAINERS & PACKAGING -- 0.0% 11,141 Greif, Inc., Class A 522,290 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES -- 0.2% 151,766 H&R Block, Inc. $ 2,407,009 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 17.2% 4,527,866 AT&T, Inc. 130,221,426 1,890,100 Verizon Communications, Inc. 111,043,375 --------------- 241,264,801 --------------- ELECTRIC UTILITIES -- 9.0% 26,715 ALLETE, Inc. 1,654,727 384,909 Duke Energy Corp. 35,242,268 189,974 Edison International 11,934,167 449,641 Exelon Corp. 18,983,843 121,716 OGE Energy Corp. 3,877,872 56,936 Pinnacle West Capital Corp. 4,552,033 547,573 PPL Corp. 15,441,559 551,310 Southern (The) Co. 33,866,973 --------------- 125,553,442 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% 220,336 Corning, Inc. 7,932,096 --------------- FOOD & STAPLES RETAILING -- 1.1% 398,996 Walgreens Boots Alliance, Inc. 15,911,961 --------------- FOOD PRODUCTS -- 0.3% 54,501 Bunge Ltd. 3,574,176 --------------- GAS UTILITIES -- 0.5% 47,193 National Fuel Gas Co. 1,941,048 65,456 South Jersey Industries, Inc. 1,410,577 96,639 UGI Corp. 3,378,499 --------------- 6,730,124 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.1% 34,707 Patterson Cos., Inc. 1,028,368 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.1% 28,404 Wyndham Destinations, Inc. 1,274,203 --------------- HOUSEHOLD DURABLES -- 0.7% 20,919 M.D.C. Holdings, Inc. 1,016,663 207,472 Newell Brands, Inc. 4,404,631 20,858 Whirlpool Corp. 3,764,660 --------------- 9,185,954 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 226,587 AES (The) Corp. 5,324,795 --------------- INSURANCE -- 5.6% 342,099 American International Group, Inc. 12,951,868 54,702 Cincinnati Financial Corp. 4,779,314 130,502 Fidelity National Financial, Inc. 5,101,323 68,484 Lincoln National Corp. 3,445,430 18,042 Mercury General Corp. 941,973 369,247 MetLife, Inc. 17,336,147 156,136 Old Republic International Corp. 3,077,440 See Notes to Financial Statements Page 25 FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 141,588 Principal Financial Group, Inc. $ 7,024,181 268,436 Prudential Financial, Inc. 20,956,798 121,587 Unum Group 2,789,206 --------------- 78,403,680 --------------- IT SERVICES -- 5.4% 567,495 International Business Machines Corp. 71,436,271 205,731 Western Union (The) Co. 4,513,738 --------------- 75,950,009 --------------- MEDIA -- 1.3% 207,950 Interpublic Group of (The) Cos., Inc. 4,890,984 107,562 Omnicom Group, Inc. 6,708,642 3,343 ViacomCBS, Inc., Class A 126,432 184,045 ViacomCBS, Inc., Class B 6,857,517 --------------- 18,583,575 --------------- METALS & MINING -- 0.1% 18,949 Compass Minerals International, Inc. 1,169,532 --------------- MULTI-UTILITIES -- 4.8% 35,347 Avista Corp. 1,418,829 170,845 Consolidated Edison, Inc. 12,346,968 526,837 Dominion Energy, Inc. 39,618,142 26,528 NorthWestern Corp. 1,546,848 215,918 Public Service Enterprise Group, Inc. 12,588,019 --------------- 67,518,806 --------------- PERSONAL PRODUCTS -- 0.1% 18,461 Nu Skin Enterprises, Inc., Class A 1,008,524 --------------- PHARMACEUTICALS -- 6.6% 2,500,958 Pfizer, Inc. 92,060,264 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.6% 147,659 Broadcom, Inc. 64,652,493 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.8% 517,273 HP, Inc. 12,719,743 86,902 NetApp, Inc. 5,756,388 113,186 Seagate Technology PLC 7,035,642 --------------- 25,511,773 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 182,679 Hanesbrands, Inc. 2,663,460 --------------- TOBACCO -- 11.9% 1,843,138 Altria Group, Inc. 75,568,658 1,094,751 Philip Morris International, Inc. 90,634,435 --------------- 166,203,093 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS -- 0.1% 19,796 MSC Industrial Direct Co., Inc., Class A $ 1,670,585 --------------- TOTAL INVESTMENTS -- 99.5% 1,391,815,948 (Cost $1,249,525,847) (a) NET OTHER ASSETS AND LIABILITIES -- 0.5% 7,666,569 --------------- NET ASSETS -- 100.0% $ 1,399,482,517 =============== (a) Aggregate cost for federal income tax purposes is $1,284,212,586. As of December 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $169,172,816 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $61,569,454. The net unrealized appreciation was $107,603,362. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------------- Common Stocks* $ 1,391,815,948 $ -- $ -- ================================================= * See Portfolio of Investments for industry breakout. Page 26 See Notes to Financial Statements FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 1.2% 728,010 Keurig Dr Pepper, Inc. $ 23,296,320 --------------- BIOTECHNOLOGY -- 2.2% 67,363 Allovir, Inc. (a) (b) 2,589,434 46,512 Biohaven Pharmaceutical Holding Co., Ltd. (b) 3,986,544 139,583 Denali Therapeutics, Inc. (b) 11,691,472 102,837 Exact Sciences Corp. (b) 13,624,874 103,021 REVOLUTION Medicines, Inc. (b) 4,078,601 49,841 Turning Point Therapeutics, Inc. (b) 6,073,126 --------------- 42,044,051 --------------- BUILDING PRODUCTS -- 1.1% 582,869 Carrier Global Corp. 21,985,819 --------------- CAPITAL MARKETS -- 1.6% 110,976 Focus Financial Partners, Inc., Class A (b) 4,827,456 122,628 StepStone Group, Inc., Class A (a) (b) 4,880,595 353,343 Tradeweb Markets, Inc., Class A 22,066,270 --------------- 31,774,321 --------------- CHEMICALS -- 4.7% 871,226 Corteva, Inc. 33,733,871 1,054,356 Dow, Inc. 58,516,758 --------------- 92,250,629 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 86,953 IAA, Inc. (b) 5,650,206 --------------- CONSTRUCTION & ENGINEERING -- 0.8% 49,940 Arcosa, Inc. 2,743,204 117,675 Jacobs Engineering Group, Inc. 12,821,868 --------------- 15,565,072 --------------- CONTAINERS & PACKAGING -- 0.2% 183,297 Pactiv Evergreen, Inc. (b) 3,325,008 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 32,185 Bandwidth, Inc., Class A (b) 4,945,869 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 691,675 Corning, Inc. 24,900,300 95,860 Keysight Technologies, Inc. (b) 12,662,147 --------------- 37,562,447 --------------- ENTERTAINMENT -- 3.1% 156,925 Spotify Technology S.A. (b) 49,378,021 263,853 Warner Music Group Corp., Class A 10,023,775 --------------- 59,401,796 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.3% 68,812 Safehold, Inc. 4,988,182 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- FOOD & STAPLES RETAILING -- 0.2% 88,774 BJ's Wholesale Club Holdings, Inc. (b) $ 3,309,495 --------------- FOOD PRODUCTS -- 0.3% 40,517 Beyond Meat, Inc. (b) 5,064,625 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1% 199,719 SmileDirectClub, Inc. (b) 2,384,645 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.6% 275,245 1Life Healthcare, Inc. (b) 12,014,444 56,890 Guardant Health, Inc. (b) 7,331,983 155,734 Oak Street Health, Inc. (b) 9,524,692 43,750 Pennant Group (The), Inc. (b) 2,540,125 --------------- 31,411,244 --------------- HEALTH CARE TECHNOLOGY -- 0.7% 56,926 Accolade, Inc. (a) (b) 2,476,281 55,737 Inspire Medical Systems, Inc. (b) 10,483,572 --------------- 12,959,853 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.7% 64,737 Airbnb, Inc., Class A (a) (b) 9,503,392 507,451 DraftKings, Inc., Class A (b) 23,626,918 --------------- 33,130,310 --------------- HOUSEHOLD DURABLES -- 0.2% 175,138 Sonos, Inc. (b) 4,096,478 --------------- INSURANCE -- 1.3% 46,926 Kinsale Capital Group, Inc. 9,391,300 58,552 Lemonade, Inc. (a) (b) 7,172,620 420,669 Selectquote, Inc. (b) 8,728,882 --------------- 25,292,802 --------------- INTERACTIVE MEDIA & SERVICES -- 10.3% 319,745 Pinterest, Inc., Class A (b) 21,071,196 3,275,931 Snap, Inc., Class A (b) 164,025,865 120,368 Zillow Group, Inc., Class C (b) 15,623,766 --------------- 200,720,827 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.9% 320,210 Chewy, Inc., Class A (a) (b) 28,783,677 78,276 Etsy, Inc. (b) 13,926,083 73,181 Expedia Group, Inc. 9,689,165 67,810 Stitch Fix, Inc., Class A (b) 3,981,803 --------------- 56,380,728 --------------- IT SERVICES -- 6.3% 58,716 Fastly, Inc., Class A (b) 5,130,017 417,307 Fidelity National Information Services, Inc. 59,032,248 100,464 Okta, Inc. (b) 25,543,977 124,808 Shift4 Payments, Inc., Class A (b) 9,410,523 66,381 Twilio, Inc., Class A (b) 22,469,968 --------------- 121,586,733 --------------- See Notes to Financial Statements Page 27 FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE PRODUCTS -- 1.3% 76,869 Acushnet Holdings Corp. $ 3,116,269 105,934 Peloton Interactive, Inc., Class A (b) 16,072,307 90,100 YETI Holdings, Inc. (b) 6,169,147 --------------- 25,357,723 --------------- LIFE SCIENCES TOOLS & SERVICES -- 7.8% 66,801 10X Genomics, Inc., Class A (b) 9,459,022 106,134 Adaptive Biotechnologies Corp. (b) 6,275,704 1,196,762 Avantor, Inc. (b) 33,688,850 55,517 Medpace Holdings, Inc. (b) 7,727,966 271,329 PPD, Inc. (b) 9,284,878 184,532 Thermo Fisher Scientific, Inc. 85,951,315 --------------- 152,387,735 --------------- MACHINERY -- 1.9% 76,568 Cummins, Inc. 17,388,593 302,540 Otis Worldwide Corp. 20,436,577 --------------- 37,825,170 --------------- MEDIA -- 3.1% 582,669 Altice USA, Inc., Class A (b) 22,065,675 6,233 Cable One, Inc. 13,885,379 39,072 Cardlytics, Inc. (b) 5,578,309 478,977 ViacomCBS, Inc., Class B 17,846,683 --------------- 59,376,046 --------------- METALS & MINING -- 0.3% 169,391 Arconic Corp. (b) 5,047,852 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.4% 152,762 New Fortress Energy, Inc. 8,186,515 --------------- PHARMACEUTICALS -- 5.4% 420,636 Eli Lilly and Co. 71,020,182 208,988 Zoetis, Inc. 34,587,514 --------------- 105,607,696 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 211,782 Redfin Corp. (b) 14,534,599 --------------- ROAD & RAIL -- 6.2% 131,410 Lyft, Inc., Class A (b) 6,456,173 2,246,731 Uber Technologies, Inc. (b) 114,583,281 --------------- 121,039,454 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.4% 146,997 Allegro MicroSystems, Inc. (b) 3,918,940 2,085,242 Marvell Technology Group Ltd. 99,132,405 26,291 SiTime Corp. (b) 2,942,751 --------------- 105,994,096 --------------- SOFTWARE -- 18.7% 91,756 Anaplan, Inc. (b) 6,592,669 35,518 Appfolio, Inc., Class A (b) 6,394,661 36,238 Appian Corp. (a) (b) 5,873,817 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SOFTWARE (CONTINUED) 59,064 Avalara, Inc. (b) $ 9,739,063 62,983 Bill.com Holdings, Inc. (b) 8,597,180 148,098 Blackline, Inc. (b) 19,753,311 172,041 Ceridian HCM Holding, Inc. (b) 18,332,689 254,360 Cloudflare, Inc., Class A (b) 19,328,816 240,378 Crowdstrike Holdings, Inc., Class A (b) 50,916,868 157,543 Datadog, Inc., Class A (b) 15,508,533 193,022 DocuSign, Inc. (b) 42,908,791 291,872 Dynatrace, Inc. (b) 12,629,301 1,036,388 Palantir Technologies, Inc., Class A (a) (b) 24,406,937 53,324 RingCentral, Inc., Class A (b) 20,208,196 63,242 Smartsheet, Inc., Class A (b) 4,382,038 82,154 Sprout Social, Inc., Class A (b) 3,730,613 239,083 SVMK, Inc. (b) 6,108,571 41,303 Trade Desk (The), Inc., Class A (b) 33,083,703 125,765 Zoom Video Communications, Inc., Class A (b) 42,423,050 69,421 Zscaler, Inc. (b) 13,864,068 --------------- 364,782,875 --------------- SPECIALTY RETAIL -- 2.9% 155,516 Carvana Co. (b) 37,252,302 215,202 Floor & Decor Holdings, Inc., Class A (b) 19,981,506 --------------- 57,233,808 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.5% 387,894 Dell Technologies, Inc., Class C (b) 28,428,751 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 205,474 Levi Strauss & Co., Class A 4,125,918 --------------- THRIFTS & MORTGAGE FINANCE -- 0.7% 718,627 Rocket Cos., Inc., Class A (a) (b) 14,530,638 --------------- TOTAL COMMON STOCKS -- 99.9% 1,943,586,336 (Cost $1,365,317,621) --------------- MONEY MARKET FUNDS -- 2.0% 39,899,245 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 39,899,245 (Cost $39,899,245) --------------- Page 28 See Notes to Financial Statements FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.1% $ 40,663,978 JPMorgan Chase & Co., 0.01% (c), dated 12/31/20, due 01/04/21, with a maturity value of $40,664,023. Collateralized by U.S. Treasury Note, interest rate of 1.625%, due 12/15/22. The value of the collateral including accrued interest is $41,769,426. (d) $ 40,663,978 (Cost $40,663,978) --------------- TOTAL INVESTMENTS -- 104.0% 2,024,149,559 (Cost $1,445,880,844) (e) NET OTHER ASSETS AND LIABILITIES -- (4.0)% (77,776,887) --------------- NET ASSETS -- 100.0% $ 1,946,372,672 =============== (a) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $75,604,345 and the total value of the collateral held by the Fund is $80,563,223. (b) Non-income producing security. (c) Rate shown reflects yield as of December 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,452,924,609. As of December 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $579,923,026 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $8,698,076. The net unrealized appreciation was $571,224,950. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------------- Common Stocks* $ 1,943,586,336 $ -- $ -- Money Market Funds 39,899,245 -- -- Repurchase Agreements -- 40,663,978 -- ------------------------------------------------- Total Investments $ 1,983,485,581 $ 40,663,978 $ -- ================================================= * 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) $ 75,604,345 Non-cash Collateral(2) (75,604,345) --------------- 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, 2020, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. 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) $ 40,663,978 Non-cash Collateral(4) (40,663,978) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 29 FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 79.4% 1,525,991 ACADIA Pharmaceuticals, Inc. (a) $ 81,579,479 1,812,394 Agios Pharmaceuticals, Inc. (a) 78,531,032 523,581 Alexion Pharmaceuticals, Inc. (a) 81,804,295 3,795,337 Alkermes PLC (a) 75,716,973 447,007 Alnylam Pharmaceuticals, Inc. (a) 58,097,500 275,961 Amgen, Inc. 63,448,953 232,205 Biogen, Inc. (a) 56,857,716 820,425 BioMarin Pharmaceutical, Inc. (a) 71,943,068 1,159,037 Bluebird Bio, Inc. (a) 50,151,531 629,490 Exact Sciences Corp. (a) 83,401,130 2,798,893 Exelixis, Inc. (a) 56,173,782 1,409,640 FibroGen, Inc. (a) 52,283,548 1,048,653 Gilead Sciences, Inc. 61,094,524 3,413,383 Grifols S.A., ADR 62,942,783 717,499 Incyte Corp. (a) 62,408,063 1,867,089 Intercept Pharmaceuticals, Inc. (a) 46,117,098 1,379,309 Ionis Pharmaceuticals, Inc. (a) 77,986,131 634,462 Neurocrine Biosciences, Inc. (a) 60,813,183 108,396 Regeneron Pharmaceuticals, Inc. (a) 52,367,192 456,455 Sarepta Therapeutics, Inc. (a) 77,821,013 323,695 Seagen, Inc. (a) 56,691,942 707,057 Ultragenyx Pharmaceutical, Inc. (a) 97,877,901 565,348 United Therapeutics Corp. (a) 85,814,173 298,336 Vertex Pharmaceuticals, Inc. (a) 70,508,730 --------------- 1,622,431,740 --------------- LIFE SCIENCES TOOLS & SERVICES -- 17.4% 244,636 Bio-Techne Corp. 77,684,162 270,492 Charles River Laboratories International, Inc. (a) 67,585,131 199,388 Illumina, Inc. (a) 73,773,560 395,296 IQVIA Holdings, Inc. (a) 70,825,184 1,242,571 QIAGEN N.V. (a) 65,669,877 --------------- 355,537,914 --------------- PHARMACEUTICALS -- 3.2% 3,793,348 Nektar Therapeutics (a) 64,486,916 --------------- TOTAL INVESTMENTS -- 100.0% 2,042,456,570 (Cost $2,024,495,337) (b) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (283,241) --------------- NET ASSETS -- 100.0% $ 2,042,173,329 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $2,085,025,286. As of December 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $333,058,868 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $375,627,584. The net unrealized depreciation was $42,568,716. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------------- Common Stocks* $ 2,042,456,570 $ -- $ -- ================================================= * See Portfolio of Investments for industry breakout. Page 30 See Notes to Financial Statements FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 9.0% 592,933 Arista Networks, Inc. (a) $ 172,288,542 2,566,544 Ciena Corp. (a) 135,641,851 10,790,808 Cisco Systems, Inc. 482,888,658 6,030,975 CommScope Holding Co., Inc. (a) 80,815,065 5,507,340 Juniper Networks, Inc. 123,970,223 --------------- 995,604,339 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 6,462,420 Vonage Holdings Corp. (a) 83,203,658 --------------- ENTERTAINMENT -- 5.1% 1,045,974 Netflix, Inc. (a) 565,589,521 --------------- HEALTH CARE TECHNOLOGY -- 4.2% 1,059,689 Teladoc Health, Inc. (a) 211,895,412 945,596 Veeva Systems, Inc., Class A (a) 257,438,511 --------------- 469,333,923 --------------- INTERACTIVE MEDIA & SERVICES -- 27.1% 272,925 Alphabet, Inc., Class A (a) 478,339,272 263,519 Alphabet, Inc., Class C (a) 461,653,666 2,831,186 Facebook, Inc., Class A (a) 773,366,768 1,755,177 Match Group, Inc. (a) 265,365,211 3,567,380 Pinterest, Inc., Class A (a) 235,090,342 5,596,531 Snap, Inc., Class A (a) 280,218,307 5,350,527 Twitter, Inc. (a) 289,731,037 327,653 Zillow Group, Inc., Class A (a) 44,541,149 1,331,143 Zillow Group, Inc., Class C (a) 172,782,361 --------------- 3,001,088,113 --------------- INTERNET & DIRECT MARKETING RETAIL -- 18.3% 341,613 Amazon.com, Inc. (a) 1,112,609,628 4,759,902 eBay, Inc. 239,185,076 1,182,757 Etsy, Inc. (a) 210,424,298 1,370,050 Expedia Group, Inc. 181,394,620 1,622,079 GrubHub, Inc. (a) 120,471,807 733,742 Wayfair, Inc., Class A (a) 165,686,281 --------------- 2,029,771,710 --------------- IT SERVICES -- 13.6% 1,666,344 Akamai Technologies, Inc. (a) 174,949,457 1,360,850 Fastly, Inc., Class A (a) 118,897,464 1,897,882 GoDaddy, Inc., Class A (a) 157,429,312 949,734 Okta, Inc. (a) 241,479,367 2,596,066 PayPal Holdings, Inc. (a) 607,998,657 931,171 VeriSign, Inc. (a) 201,505,404 --------------- 1,502,259,661 --------------- SOFTWARE -- 21.9% 2,295,787 2U, Inc. (a) 91,854,438 4,469,068 Box, Inc., Class A (a) 80,666,677 1,291,207 Citrix Systems, Inc. 167,986,031 6,481,041 Cloudera, Inc. (a) 90,151,280 628,448 Coupa Software, Inc. (a) 212,987,312 1,894,546 Datadog, Inc., Class A (a) 186,499,108 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SOFTWARE (CONTINUED) 1,195,493 DocuSign, Inc. (a) $ 265,758,094 5,296,151 Dropbox, Inc., Class A (a) 117,521,591 2,256,466 salesforce.com, Inc. (a) 502,131,379 1,863,052 Smartsheet, Inc., Class A (a) 129,090,873 1,179,390 Workday, Inc., Class A (a) 282,593,638 892,014 Zoom Video Communications, Inc., Class A (a) 300,894,162 --------------- 2,428,134,583 --------------- TOTAL COMMON STOCKS -- 100.0% 11,074,985,508 (Cost $7,738,725,567) --------------- MONEY MARKET FUNDS -- 0.1% 7,222,400 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 7,222,400 (Cost $7,222,400) --------------- TOTAL INVESTMENTS -- 100.1% 11,082,207,908 (Cost $7,745,947,967) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (7,179,023) --------------- NET ASSETS -- 100.0% $11,075,028,885 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of December 31, 2020. (c) Aggregate cost for federal income tax purposes is $7,916,618,355. As of December 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,339,316,149 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $173,726,596. The net unrealized appreciation was $3,165,589,553. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------------- Common Stocks* $11,074,985,508 $ -- $ -- Money Market Funds 7,222,400 -- -- ------------------------------------------------- Total Investments $11,082,207,908 $ -- $ -- ================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 31 FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 5.6% 951,365 General Dynamics Corp. $ 141,582,139 350,119 Lockheed Martin Corp. 124,285,243 427,910 Northrop Grumman Corp. 130,392,735 --------------- 396,260,117 --------------- AIR FREIGHT & LOGISTICS -- 2.0% 1,450,549 Expeditors International of Washington, Inc. 137,961,715 --------------- BEVERAGES -- 6.3% 2,704,811 Coca-Cola (The) Co. 148,331,835 1,675,605 Monster Beverage Corp. (a) 154,959,950 954,785 PepsiCo, Inc. 141,594,616 --------------- 444,886,401 --------------- BIOTECHNOLOGY -- 1.9% 574,075 Amgen, Inc. 131,991,324 --------------- CAPITAL MARKETS -- 2.0% 920,370 T. Rowe Price Group, Inc. 139,334,814 --------------- CHEMICALS -- 1.8% 453,886 Air Products and Chemicals, Inc. 124,010,733 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 1,167,876 Waste Management, Inc. 137,727,617 --------------- ELECTRICAL EQUIPMENT -- 2.1% 1,231,880 AMETEK, Inc. 148,983,567 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% 1,175,075 Amphenol Corp., Class A 153,664,558 --------------- ENTERTAINMENT -- 2.1% 1,025,783 Electronic Arts, Inc. 147,302,439 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.9% 580,779 Public Storage 134,119,294 --------------- FOOD & STAPLES RETAILING -- 3.9% 363,961 Costco Wholesale Corp. 137,133,225 935,124 Walmart, Inc. 134,798,125 --------------- 271,931,350 --------------- FOOD PRODUCTS -- 5.6% 2,169,665 General Mills, Inc. 127,576,302 902,626 Hershey (The) Co. 137,497,018 2,731,565 Hormel Foods Corp. 127,318,245 --------------- 392,391,565 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.8% 3,520,334 Boston Scientific Corp. (a) 126,556,007 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.9% 1,359,745 AmerisourceBergen Corp. 132,928,671 410,186 UnitedHealth Group, Inc. 143,844,027 --------------- 276,772,698 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOUSEHOLD DURABLES -- 2.3% 1,365,232 Garmin Ltd. $ 163,363,661 --------------- HOUSEHOLD PRODUCTS -- 1.9% 937,197 Procter & Gamble (The) Co. 130,401,591 --------------- INDUSTRIAL CONGLOMERATES -- 6.2% 791,496 3M Co. 138,345,586 773,886 Honeywell International, Inc. 164,605,552 311,879 Roper Technologies, Inc. 134,447,918 --------------- 437,399,056 --------------- INSURANCE -- 8.1% 1,461,674 Allstate (The) Corp. 160,681,823 635,673 Aon PLC, Class A 134,298,635 1,177,323 Marsh & McLennan Cos., Inc. 137,746,791 1,402,004 Progressive (The) Corp. 138,630,155 --------------- 571,357,404 --------------- INTERACTIVE MEDIA & SERVICES -- 2.2% 86,325 Alphabet, Inc., Class A (a) 151,296,648 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.7% 2,423,819 eBay, Inc. 121,796,905 --------------- IT SERVICES -- 4.3% 588,227 Accenture PLC, Class A 153,650,775 675,729 Visa, Inc., Class A 147,802,204 --------------- 301,452,979 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.0% 243,135 Bio-Rad Laboratories, Inc., Class A (a) 141,733,117 --------------- MACHINERY -- 1.9% 654,865 Illinois Tool Works, Inc. 133,513,876 --------------- MULTILINE RETAIL -- 1.8% 610,359 Dollar General Corp. 128,358,498 --------------- PERSONAL PRODUCTS -- 2.3% 603,763 Estee Lauder (The) Cos., Inc., Class A 160,715,673 --------------- PHARMACEUTICALS -- 10.2% 926,097 Eli Lilly and Co. 156,362,218 913,714 Johnson & Johnson 143,800,309 1,695,120 Merck & Co., Inc. 138,660,816 3,761,574 Pfizer, Inc. 138,463,539 827,402 Zoetis, Inc. 136,935,031 --------------- 714,221,913 --------------- ROAD & RAIL -- 4.1% 1,689,202 CSX Corp. 153,295,082 644,847 Union Pacific Corp. 134,270,042 --------------- 287,565,124 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1% 883,760 Texas Instruments, Inc. 145,051,529 --------------- Page 32 See Notes to Financial Statements FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL -- 1.8% 883,937 Tractor Supply Co. $ 124,263,863 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.0% 352,826 W.W. Grainger, Inc. 144,072,969 --------------- TOTAL INVESTMENTS -- 100.0% 7,020,459,005 (Cost $6,232,762,757) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% 1,449,631 --------------- NET ASSETS -- 100.0% $ 7,021,908,636 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $6,250,274,395. As of December 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $842,384,141 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $72,199,531. The net unrealized appreciation was $770,184,610. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------------- Common Stocks* $ 7,020,459,005 $ -- $ -- ================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 33 FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.7% 357,880 General Dynamics Corp. $ 53,259,702 289,471 L3Harris Technologies, Inc. 54,715,808 153,328 Lockheed Martin Corp. 54,428,374 179,977 Northrop Grumman Corp. 54,842,591 768,817 Raytheon Technologies Corp. 54,978,104 --------------- 272,224,579 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 572,995 C.H. Robinson Worldwide, Inc. 53,787,040 310,357 United Parcel Service, Inc., Class B 52,264,119 --------------- 106,051,159 --------------- AUTOMOBILES -- 1.0% 1,847,022 Honda Motor Co., Ltd., ADR 52,178,371 352,926 Toyota Motor Corp., ADR 54,551,772 --------------- 106,730,143 --------------- BANKS -- 5.9% 691,860 Bank of Hawaii Corp. 53,010,313 711,334 Bank of Montreal 54,082,724 1,014,076 Bank of Nova Scotia (The) 54,800,667 616,033 Canadian Imperial Bank of Commerce 52,652,340 835,493 Commerce Bancshares, Inc. 54,891,890 433,540 JPMorgan Chase & Co. 55,089,928 431,827 M&T Bank Corp. 54,971,577 370,424 PNC Financial Services Group (The), Inc. 55,193,176 663,410 Royal Bank of Canada 54,439,425 962,855 Toronto-Dominion (The) Bank 54,324,279 1,181,635 U.S. Bancorp 55,052,375 --------------- 598,508,694 --------------- BEVERAGES -- 1.6% 1,014,268 Coca-Cola (The) Co. 55,622,457 339,121 Diageo PLC, ADR 53,855,806 368,392 PepsiCo, Inc. 54,632,534 --------------- 164,110,797 --------------- BIOTECHNOLOGY -- 1.1% 235,645 Amgen, Inc. 54,179,498 914,991 Gilead Sciences, Inc. 53,307,376 --------------- 107,486,874 --------------- CAPITAL MARKETS -- 4.3% 1,293,182 Bank of New York Mellon (The) Corp. 54,882,644 76,648 BlackRock, Inc. 55,304,598 593,439 Cboe Global Markets, Inc. 55,261,040 294,678 CME Group, Inc. 53,646,130 2,158,083 Franklin Resources, Inc. 53,930,494 208,437 Goldman Sachs Group (The), Inc. 54,966,921 781,950 Houlihan Lokey, Inc. 52,570,499 360,308 T. Rowe Price Group, Inc. 54,547,028 --------------- 435,109,354 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- CHEMICALS -- 3.2% 202,515 Air Products and Chemicals, Inc. $ 55,331,148 972,469 Dow, Inc. 53,972,029 760,305 DuPont de Nemours, Inc. 54,065,289 468,662 International Flavors & Fragrances, Inc. 51,009,172 136,064 NewMarket Corp. 54,192,931 732,747 Sensient Technologies Corp. 54,054,746 --------------- 322,625,315 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 562,404 Republic Services, Inc. 54,159,505 459,734 Waste Management, Inc. 54,216,431 --------------- 108,375,936 --------------- COMMUNICATIONS EQUIPMENT -- 1.6% 1,193,485 Cisco Systems, Inc. 53,408,454 2,381,666 Juniper Networks, Inc. 53,611,302 324,193 Motorola Solutions, Inc. 55,132,261 --------------- 162,152,017 --------------- CONTAINERS & PACKAGING -- 1.6% 352,207 Avery Dennison Corp. 54,630,828 400,415 Packaging Corp. of America 55,221,233 901,746 Sonoco Products Co. 53,428,450 --------------- 163,280,511 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.1% 1,846,383 AT&T, Inc. 53,101,975 1,256,185 BCE, Inc. 53,764,718 2,718,965 TELUS Corp. 53,835,507 900,383 Verizon Communications, Inc. 52,897,501 --------------- 213,599,701 --------------- ELECTRIC UTILITIES -- 10.3% 926,227 ALLETE, Inc. 57,370,500 1,064,038 Alliant Energy Corp. 54,829,878 652,260 American Electric Power Co., Inc. 54,313,690 1,196,419 Avangrid, Inc. 54,377,244 601,161 Duke Energy Corp. 55,042,301 552,086 Entergy Corp. 55,120,266 1,014,846 Evergy, Inc. 56,334,102 639,873 Eversource Energy 55,355,413 1,321,577 Fortis, Inc. 53,946,773 1,530,829 Hawaiian Electric Industries, Inc. 54,176,038 570,009 IDACORP, Inc. 54,737,964 773,928 MGE Energy, Inc. 54,198,178 719,940 NextEra Energy, Inc. 55,543,371 1,756,761 OGE Energy Corp. 55,970,406 1,291,621 Otter Tail Corp. 55,035,971 693,020 Pinnacle West Capital Corp. 55,406,949 2,005,380 PPL Corp. 56,551,716 892,727 Southern (The) Co. 54,840,220 819,146 Xcel Energy, Inc. 54,612,464 --------------- 1,047,763,444 --------------- Page 34 See Notes to Financial Statements FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 2.1% 1,954,879 ABB Ltd., ADR $ 54,658,417 664,809 Emerson Electric Co. 53,430,699 341,168 Hubbell, Inc. 53,491,731 214,805 Rockwell Automation, Inc. 53,875,242 --------------- 215,456,089 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 1,598,438 Avnet, Inc. 56,121,158 1,489,947 Corning, Inc. 53,638,092 457,614 TE Connectivity Ltd. 55,403,327 --------------- 165,162,577 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.8% 243,716 American Tower Corp. 54,704,493 551,067 Camden Property Trust 55,062,615 349,495 Crown Castle International Corp. 55,636,109 623,633 Federal Realty Investment Trust 53,083,641 429,886 Mid-America Apartment Communities, Inc. 54,462,257 550,781 Prologis, Inc. 54,890,835 234,195 Public Storage 54,082,651 --------------- 381,922,601 --------------- FOOD PRODUCTS -- 4.8% 1,084,943 Archer-Daniels-Midland Co. 54,691,977 1,108,520 Campbell Soup Co. 53,596,942 908,013 General Mills, Inc. 53,391,164 357,901 Hershey (The) Co. 54,519,059 1,124,340 Hormel Foods Corp. 52,405,487 468,297 J.M. Smucker (The) Co. 54,135,133 870,534 Kellogg Co. 54,173,331 313,124 Lancaster Colony Corp. 57,530,273 928,635 Mondelez International, Inc., Class A 54,297,289 --------------- 488,740,655 --------------- GAS UTILITIES -- 3.8% 582,087 Atmos Energy Corp. 55,548,562 518,124 Chesapeake Utilities Corp. 56,066,198 1,597,009 New Jersey Resources Corp. 56,773,670 1,195,350 Northwest Natural Holding Co. 54,974,147 707,766 ONE Gas, Inc. 54,335,196 874,793 Spire, Inc. 56,021,744 1,561,623 UGI Corp. 54,594,340 --------------- 388,313,857 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.1% 495,551 Abbott Laboratories 54,257,879 468,008 Medtronic PLC 54,822,457 --------------- 109,080,336 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.1% 548,414 AmerisourceBergen Corp. 53,612,953 779,561 CVS Health Corp. 53,244,016 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 1,293,497 Fresenius Medical Care AG & Co. KGaA, ADR $ 53,757,735 443,260 Quest Diagnostics, Inc. 52,823,294 --------------- 213,437,998 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.1% 253,056 McDonald's Corp. 54,300,757 520,339 Starbucks Corp. 55,665,866 --------------- 109,966,623 --------------- HOUSEHOLD DURABLES -- 0.5% 453,234 Garmin Ltd. 54,233,980 --------------- HOUSEHOLD PRODUCTS -- 2.1% 264,576 Clorox (The) Co. 53,423,186 627,872 Colgate-Palmolive Co. 53,689,335 399,016 Kimberly-Clark Corp. 53,799,327 389,495 Procter & Gamble (The) Co. 54,194,334 --------------- 215,106,182 --------------- INDUSTRIAL CONGLOMERATES -- 1.1% 304,931 3M Co. 53,298,889 254,268 Honeywell International, Inc. 54,082,804 --------------- 107,381,693 --------------- INSURANCE -- 7.0% 1,228,805 Aflac, Inc. 54,644,958 504,504 Allstate (The) Corp. 55,460,125 409,446 Assurant, Inc. 55,774,734 1,068,495 Axis Capital Holdings Ltd. 53,841,463 352,972 Chubb Ltd. 54,329,450 1,393,435 CNA Financial Corp. 54,288,228 215,570 Erie Indemnity Co., Class A 52,943,992 233,759 Everest Re Group Ltd. 54,720,644 462,831 Hanover Insurance Group (The), Inc. 54,114,200 1,127,655 Hartford Financial Services Group (The), Inc. 55,232,542 465,565 Marsh & McLennan Cos., Inc. 54,471,105 1,236,749 Sun Life Financial, Inc. 54,985,861 387,719 Travelers (The) Cos., Inc. 54,424,116 --------------- 709,231,418 --------------- IT SERVICES -- 2.7% 773,593 Amdocs Ltd. 54,870,952 301,782 Automatic Data Processing, Inc. 53,173,988 3,362,439 Infosys Ltd., ADR 56,993,341 434,098 International Business Machines Corp. 54,644,256 554,549 Paychex, Inc. 51,672,876 --------------- 271,355,413 --------------- MACHINERY -- 3.2% 297,311 Caterpillar, Inc. 54,116,548 238,357 Cummins, Inc. 54,130,875 432,420 Dover Corp. 54,593,025 262,747 Illinois Tool Works, Inc. 53,568,858 450,794 Lincoln Electric Holdings, Inc. 52,404,803 See Notes to Financial Statements Page 35 FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 315,620 Snap-on, Inc. $ 54,015,207 --------------- 322,829,316 --------------- MEDIA -- 1.1% 1,063,404 Comcast Corp., Class A 55,722,370 3,074,838 Shaw Communications, Inc., Class B 53,994,155 --------------- 109,716,525 --------------- MULTILINE RETAIL -- 0.5% 311,852 Target Corp. 55,051,234 --------------- MULTI-UTILITIES -- 7.1% 694,906 Ameren Corp. 54,244,362 1,398,529 Avista Corp. 56,136,954 915,929 Black Hills Corp. 56,283,837 923,513 CMS Energy Corp. 56,343,528 765,740 Consolidated Edison, Inc. 55,340,030 718,784 Dominion Energy, Inc. 54,052,557 452,624 DTE Energy Co. 54,953,080 2,139,125 MDU Resources Group, Inc. 56,344,552 2,487,858 NiSource, Inc. 57,071,463 974,775 NorthWestern Corp. 56,839,130 948,530 Public Service Enterprise Group, Inc. 55,299,299 422,725 Sempra Energy 53,859,392 594,757 WEC Energy Group, Inc. 54,735,487 --------------- 721,503,671 --------------- PERSONAL PRODUCTS -- 0.5% 922,393 Unilever PLC, ADR 55,675,642 --------------- PHARMACEUTICALS -- 5.4% 1,078,170 AstraZeneca PLC, ADR 53,897,718 863,791 Bristol-Myers Squibb Co. 53,580,956 317,358 Eli Lilly and Co. 53,582,725 1,478,843 GlaxoSmithKline PLC, ADR 54,421,423 350,047 Johnson & Johnson 55,090,397 675,543 Merck & Co., Inc. 55,259,417 605,517 Novartis AG, ADR 57,178,970 744,976 Novo Nordisk A/S, ADR 52,036,574 1,432,951 Pfizer, Inc. 52,746,926 1,139,165 Sanofi, ADR 55,352,027 --------------- 543,147,133 --------------- PROFESSIONAL SERVICES -- 1.1% 863,512 Robert Half International, Inc. 53,952,230 669,129 Thomson Reuters Corp. 54,794,974 --------------- 108,747,204 --------------- ROAD & RAIL -- 1.6% 490,556 Canadian National Railway Co. 53,887,576 232,744 Norfolk Southern Corp. 55,302,302 264,526 Union Pacific Corp. 55,079,604 --------------- 164,269,482 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.2% 375,647 Analog Devices, Inc. 55,494,331 1,155,385 Intel Corp. 57,561,281 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 510,955 Taiwan Semiconductor Manufacturing Co., Ltd., ADR $ 55,714,533 329,765 Texas Instruments, Inc. 54,124,330 --------------- 222,894,475 --------------- SOFTWARE -- 1.1% 1,193,485 Open Text Corp. 54,255,828 427,415 SAP SE, ADR 55,730,642 --------------- 109,986,470 --------------- SPECIALTY RETAIL -- 0.5% 197,657 Home Depot (The), Inc. 52,501,652 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 2,705,235 Canon, Inc., ADR 52,508,611 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 1,079,695 Fastenal Co. 52,721,507 623,486 MSC Industrial Direct Co., Inc., Class A 52,615,983 232,571 Watsco, Inc. 52,688,960 --------------- 158,026,450 --------------- WATER UTILITIES -- 1.1% 700,179 American States Water Co. 55,671,232 1,183,207 Essential Utilities, Inc. 55,953,859 --------------- 111,625,091 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.1% 1,901,443 China Mobile Ltd., ADR 54,267,183 1,161,647 Rogers Communications, Inc., Class B 54,121,134 --------------- 108,388,317 --------------- TOTAL INVESTMENTS -- 99.9% 10,134,279,219 (Cost $9,007,212,291) (a) NET OTHER ASSETS AND LIABILITIES -- 0.1% 14,925,173 --------------- NET ASSETS -- 100.0% $10,149,204,392 =============== (a) Aggregate cost for federal income tax purposes is $9,342,959,542. As of December 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,011,879,660 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $220,559,983. The net unrealized appreciation was $791,319,677. ADR - American Depositary Receipt Page 36 See Notes to Financial Statements FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2020 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ------------------------------------------------- Common Stocks* $10,134,279,219 $ -- $ -- ================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 37 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2020 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............................................... $ 129,688,890 $ 1,391,815,948 $2,024,149,559 Cash................................................................ 51,645 855,806 3,666,391 Receivables: Dividends..................................................... 74,557 4,326,646 360,599 Investment securities sold.................................... 66,903 3,502,643 -- Capital shares sold........................................... -- -- -- Securities lending income..................................... 11,403 -- 256,946 Reclaims...................................................... -- -- -- Prepaid expenses.................................................... 820 10,169 12,223 -------------- --------------- -------------- Total Assets.................................................. 129,894,218 1,400,511,212 2,028,445,718 -------------- --------------- -------------- LIABILITIES: Payables: Collateral for securities on loan............................. 7,225,782 -- 80,563,223 Investment securities purchased............................... 67,247 -- -- Investment advisory fees...................................... 39,755 376,769 663,043 Audit and tax fees............................................ 21,925 21,925 22,335 Licensing fees................................................ 17,400 304,486 427,287 Shareholder reporting fees.................................... 8,516 44,817 44,383 Trustees' fees................................................ 60 151 51 Other liabilities................................................... 31,261 280,547 352,724 -------------- --------------- -------------- Total Liabilities............................................. 7,411,946 1,028,695 82,073,046 -------------- --------------- -------------- NET ASSETS.......................................................... $ 122,482,272 $ 1,399,482,517 $1,946,372,672 ============== =============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 154,538,836 $ 1,653,621,178 $1,641,466,389 Par value........................................................... 25,550 473,000 164,500 Accumulated distributable earnings (loss)........................... (32,082,114) (254,611,661) 304,741,783 -------------- --------------- -------------- NET ASSETS.......................................................... $ 122,482,272 $ 1,399,482,517 $1,946,372,672 ============== =============== ============== NET ASSET VALUE, per share.......................................... $ 47.94 $ 29.59 $ 118.32 ============== =============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 2,555,000 47,300,002 16,450,002 ============== =============== ============== Investments, at cost................................................ $ 113,417,548 $ 1,249,525,847 $1,445,880,844 ============== =============== ============== Securities on loan, at value........................................ $ 6,969,901 $ -- $ 75,604,345 ============== =============== ============== Page 38 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST NYSE ARCA DOW JONES CAPITAL VALUE LINE(R) BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND INDEX FUND INDEX FUND ETF INDEX FUND (FBT) (FDN) (FTCS) (FVD) ---------------- ------------------ ----------------- ----------------- $2,042,456,570 $ 11,082,207,908 $ 7,020,459,005 $10,134,279,219 1,728,683 -- 803,141 5,340,059 -- -- 5,003,976 17,870,986 -- -- -- -- -- -- -- 3,509,309 -- -- -- -- 1,830 -- -- 926,939 15,714 81,254 48,996 71,545 -------------- ---------------- --------------- --------------- 2,044,202,797 11,082,289,162 7,026,315,118 10,161,998,057 -------------- ---------------- --------------- --------------- -- -- -- -- -- -- -- 3,504,391 692,409 3,785,004 2,902,627 4,468,538 21,925 21,925 22,335 22,050 822,501 1,613,578 52,435 3,056,599 82,856 322,895 164,108 287,447 171 238 -- 512 409,606 1,516,637 1,264,977 1,454,128 -------------- ---------------- --------------- --------------- 2,029,468 7,260,277 4,406,482 12,793,665 -------------- ---------------- --------------- --------------- $2,042,173,329 $ 11,075,028,885 $ 7,021,908,636 $10,149,204,392 ============== ================ =============== =============== $2,333,295,032 $ 8,329,833,340 $ 6,516,798,610 $10,054,210,931 121,500 521,500 1,039,500 2,891,909 (291,243,203) 2,744,674,045 504,070,526 92,101,552 -------------- ---------------- --------------- --------------- $2,042,173,329 $ 11,075,028,885 $ 7,021,908,636 $10,149,204,392 ============== ================ =============== =============== $ 168.08 $ 212.37 $ 67.55 $ 35.10 ============== ================ =============== =============== 12,150,002 52,150,002 103,950,002 289,190,884 ============== ================ =============== =============== $2,024,495,337 $ 7,745,947,967 $ 6,232,762,757 $ 9,007,212,291 ============== ================ =============== =============== $ -- $ -- $ -- $ -- ============== ================ =============== =============== See Notes to Financial Statements Page 39 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2020 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........................................................... $ 2,561,337 $ 72,632,818 $ 11,041,860 Securities lending income (net of fees)............................. 225,101 -- 751,628 Foreign withholding tax............................................. -- -- (59,908) -------------- --------------- -------------- Total investment income....................................... 2,786,438 72,632,818 11,733,580 -------------- --------------- -------------- EXPENSES: Investment advisory fees............................................ 562,305 4,205,879 5,637,673 Licensing fees...................................................... 91,382 1,267,745 1,412,851 Accounting and administration fees.................................. 60,529 662,259 665,612 Shareholder reporting fees.......................................... 25,260 100,654 100,810 Audit and tax fees.................................................. 22,283 22,286 22,700 Custodian fees...................................................... 12,310 78,370 102,011 Listing fees........................................................ 7,813 13,625 7,813 Trustees' fees and expenses......................................... 6,786 7,917 7,925 Transfer agent fees................................................. 5,623 60,049 60,231 Legal fees.......................................................... 3,040 34,427 34,418 Registration and filing fees........................................ -- (14,127) 6,052 Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... 4,775 32,569 25,441 -------------- --------------- -------------- Total expenses................................................ 802,106 6,471,653 8,083,537 Less fees waived and expenses reimbursed by the investment advisor.................................................... (127,387) (162,827) -- -------------- --------------- -------------- Net expenses.................................................. 674,719 6,308,826 8,083,537 -------------- --------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 2,111,719 66,323,992 3,650,043 -------------- --------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (22,720,174) (285,298,072) (147,346,237) In-kind redemptions........................................... (6,640,703) 21,565,100 328,815,158 Foreign currency transactions................................. -- -- -- -------------- --------------- -------------- Net realized gain (loss)............................................ (29,360,877) (263,732,972) 181,468,921 -------------- --------------- -------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... 7,286,636 33,378,185 391,055,130 Foreign currency translation.................................. -- -- -- -------------- --------------- -------------- Net change in unrealized appreciation (depreciation)................ 7,286,636 33,378,185 391,055,130 -------------- --------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (22,074,241) (230,354,787) 572,524,051 -------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (19,962,522) $ (164,030,795) $ 576,174,094 ============== =============== ============== Page 40 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST NYSE ARCA DOW JONES CAPITAL VALUE LINE(R) BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND INDEX FUND INDEX FUND ETF INDEX FUND (FBT) (FDN) (FTCS) (FVD) ---------------- ------------------ ----------------- ----------------- $ 5,315,335 $ 28,961,738 $ 84,014,729 $ 295,995,245 40,289 33,342 -- -- (206,373) -- -- (6,495,356) -------------- ---------------- --------------- --------------- 5,149,251 28,995,080 84,014,729 289,499,889 -------------- ---------------- --------------- --------------- 7,696,122 36,565,617 25,305,564 45,646,229 1,539,221 5,570,288 -- 11,531,435 870,960 2,783,173 1,825,266 2,781,187 143,886 632,976 365,338 663,899 22,250 22,201 22,644 22,727 138,158 683,431 346,517 536,617 7,813 13,625 3,481 6,375 7,945 13,715 11,200 15,588 73,095 253,518 151,520 253,229 42,100 224,732 130,438 234,352 10,245 (51,861) 253,783 52,856 -- -- -- 2,012,539 51,223 176,556 61,689 144,508 -------------- ---------------- --------------- --------------- 10,603,018 46,887,971 28,477,440 63,901,541 -- -- -- -- -------------- ---------------- --------------- --------------- 10,603,018 46,887,971 28,477,440 63,901,541 -------------- ---------------- --------------- --------------- (5,453,767) (17,892,891) 55,537,289 225,598,348 -------------- ---------------- --------------- --------------- 3,675,677 (200,004,533) (192,685,013) (839,951,091) 52,519,591 1,660,880,581 664,217,608 392,953,957 -- -- -- 14,897 -------------- ---------------- --------------- --------------- 56,195,268 1,460,876,048 471,532,595 (446,982,237) -------------- ---------------- --------------- --------------- 153,873,484 2,472,751,255 416,336,797 94,895,427 -- -- -- 321 -------------- ---------------- --------------- --------------- 153,873,484 2,472,751,255 416,336,797 94,895,748 -------------- ---------------- --------------- --------------- 210,068,752 3,933,627,303 887,869,392 (352,086,489) -------------- ---------------- --------------- --------------- $ 204,614,985 $ 3,915,734,412 $ 943,406,681 $ (126,488,141) ============== ================ =============== =============== See Notes to Financial Statements Page 41 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 12/31/2020 12/31/2019 12/31/2020 12/31/2019 --------------- --------------- --------------- --------------- OPERATIONS: Net investment income (loss)............................... $ 2,111,719 $ 2,079,317 $ 66,323,992 $ 66,591,771 Net realized gain (loss)................................... (29,360,877) (1,179,414) (263,732,972) 108,400,969 Net change in unrealized appreciation (depreciation)....... 7,286,636 34,653,114 33,378,185 175,674,288 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations......................................... (19,962,522) 35,553,017 (164,030,795) 350,667,028 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations...................................... (2,126,197) (2,210,947) (66,635,153) (66,393,993) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.................................. 29,127,047 15,130,878 83,773,486 829,094,807 Proceeds from shares acquired through reorganization....... -- -- -- -- Cost of shares redeemed.................................... (40,623,522) (31,182,294) (294,624,818) (658,851,143) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................... (11,496,475) (16,051,416) (210,851,332) 170,243,664 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets.................... (33,585,194) 17,290,654 (441,517,280) 454,516,699 NET ASSETS: Beginning of period........................................ 156,067,466 138,776,812 1,840,999,797 1,386,483,098 --------------- --------------- --------------- --------------- End of period.............................................. $ 122,482,272 $ 156,067,466 $ 1,399,482,517 $ 1,840,999,797 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.................... 3,055,000 3,405,000 56,500,002 50,900,002 Shares sold................................................ 700,000 350,000 2,750,000 27,200,000 Shares issued through reorganization....................... -- -- -- -- Shares redeemed............................................ (1,200,000) (700,000) (11,950,000) (21,600,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period.......................... 2,555,000 3,055,000 47,300,002 56,500,002 =============== =============== =============== =============== Page 42 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 12/31/2020 12/31/2019 12/31/2020 12/31/2019 12/31/2020 12/31/2019 --------------- --------------- --------------- --------------- --------------- --------------- $ 3,650,043 $ 9,263,022 $ (5,453,767) $ (6,153,199) $ (17,892,891) $ (8,155,804) 181,468,921 128,157,116 56,195,268 (42,772,697) 1,460,876,048 746,461,868 391,055,130 143,968,501 153,873,484 349,806,878 2,472,751,255 565,699,634 --------------- --------------- --------------- --------------- --------------- --------------- 576,174,094 281,388,639 204,614,985 300,880,982 3,915,734,412 1,304,005,698 --------------- --------------- --------------- --------------- --------------- --------------- (5,290,041) (8,578,921) -- -- -- -- --------------- --------------- --------------- --------------- --------------- --------------- 978,879,034 653,706,904 403,631,644 632,970,959 3,121,562,471 1,828,355,646 -- -- -- -- -- -- (934,225,504) (508,160,193) (367,000,398) (1,475,137,653) (3,815,634,985) (2,295,801,572) --------------- --------------- --------------- --------------- --------------- --------------- 44,653,530 145,546,711 36,631,246 (842,166,694) (694,072,514) (467,445,926) --------------- --------------- --------------- --------------- --------------- --------------- 615,537,583 418,356,429 241,246,231 (541,285,712) 3,221,661,898 836,559,772 1,330,835,089 912,478,660 1,800,927,098 2,342,212,810 7,853,366,987 7,016,807,215 --------------- --------------- --------------- --------------- --------------- --------------- $ 1,946,372,672 $ 1,330,835,089 $ 2,042,173,329 $ 1,800,927,098 $11,075,028,885 $ 7,853,366,987 =============== =============== =============== =============== =============== =============== 16,550,002 14,700,002 12,100,002 18,850,002 56,450,002 60,150,002 10,100,000 8,350,000 2,550,000 4,500,000 18,050,000 13,050,000 -- -- -- -- -- -- (10,200,000) (6,500,000) (2,500,000) (11,250,000) (22,350,000) (16,750,000) --------------- --------------- --------------- --------------- --------------- --------------- 16,450,002 16,550,002 12,150,002 12,100,002 52,150,002 56,450,002 =============== =============== =============== =============== =============== =============== See Notes to Financial Statements Page 43 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 12/31/2020 12/31/2019 12/31/2020 12/31/2019 --------------- --------------- --------------- --------------- OPERATIONS: Net investment income (loss)............................... $ 55,537,289 $ 35,758,498 $ 225,598,348 $ 158,448,987 Net realized gain (loss)................................... 471,532,595 61,717,317 (446,982,237) 163,734,814 Net change in unrealized appreciation (depreciation)....... 416,336,797 431,591,119 94,895,748 1,138,085,515 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations......................................... 943,406,681 529,066,934 (126,488,141) 1,460,269,316 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations...................................... (55,671,376) (35,558,152) (231,083,030) (157,857,442) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.................................. 6,487,496,472 2,682,671,848 3,432,557,406 5,710,878,170 Proceeds from shares acquired through reorganization....... -- -- 36,820,323 -- Cost of shares redeemed.................................... (3,745,945,946) (1,159,688,922) (2,627,820,910) (1,722,554,194) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................... 2,741,550,526 1,522,982,926 841,556,819 3,988,323,976 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets.................... 3,629,285,831 2,016,491,708 483,985,648 5,290,735,850 NET ASSETS: Beginning of period........................................ 3,392,622,805 1,376,131,097 9,665,218,744 4,374,482,894 --------------- --------------- --------------- --------------- End of period.............................................. $ 7,021,908,636 $ 3,392,622,805 $10,149,204,392 $ 9,665,218,744 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.................... 56,200,002 28,500,002 268,287,986 150,487,986 Shares sold................................................ 107,300,000 48,400,000 100,550,000 169,450,000 Shares issued through reorganization....................... -- -- 1,052,898 -- Shares redeemed............................................ (59,550,000) (20,700,000) (80,700,000) (51,650,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period.......................... 103,950,002 56,200,002 289,190,884 268,287,986 =============== =============== =============== =============== Page 44 See Notes to Financial Statements 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, ------------------------------------------------------------------------ 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 51.09 $ 40.76 $ 47.21 $ 43.98 $ 32.92 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.80 0.66 0.56 0.42 0.49 Net realized and unrealized gain (loss) (3.15) 10.37 (6.50) 3.27 11.07 ------------ ------------ ------------ ------------ ------------ Total from investment operations (2.35) 11.03 (5.94) 3.69 11.56 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.80) (0.70) (0.51) (0.46) (0.50) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 47.94 $ 51.09 $ 40.76 $ 47.21 $ 43.98 ============ ============ ============ ============ ============ TOTAL RETURN (a) (4.25)% 27.25% (12.68)% 8.44% 35.45% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 122,482 $ 156,067 $ 138,777 $ 97,012 $ 116,776 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.71% 0.70% 0.73% 0.71% 0.75% 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 1.88% 1.42% 1.29% 0.89% 1.52% Portfolio turnover rate (b) 95% 64% 75% 55% 48% FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 32.58 $ 27.24 $ 30.06 $ 27.75 $ 23.69 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.32 1.22 1.09 0.93 0.82 Net realized and unrealized gain (loss) (2.98) 5.34 (2.83) 2.34 4.05 ------------ ------------ ------------ ------------ ------------ Total from investment operations (1.66) 6.56 (1.74) 3.27 4.87 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.33) (1.22) (1.08) (0.96) (0.81) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 29.59 $ 32.58 $ 27.24 $ 30.06 $ 27.75 ============ ============ ============ ============ ============ TOTAL RETURN (a) (4.42)% 24.36% (5.87)% 11.93% 20.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,399,483 $ 1,841,000 $ 1,386,483 $ 1,719,299 $ 1,778,464 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.46% 0.46% 0.47% 0.47% 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 4.73% 4.06% 3.70% 3.18% 3.27% Portfolio turnover rate (b) 63% 39% 39% 43% 50% (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 45 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, ------------------------------------------------------------------------ 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 80.41 $ 62.07 $ 68.18 $ 54.10 $ 51.11 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.24 0.58 0.52 0.43 0.31 Net realized and unrealized gain (loss) 38.01 18.30 (6.08) 14.12 3.10 ------------ ------------ ------------ ------------ ------------ Total from investment operations 38.25 18.88 (5.56) 14.55 3.41 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.34) (0.54) (0.55) (0.47) (0.42) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 118.32 $ 80.41 $ 62.07 $ 68.18 $ 54.10 ============ ============ ============ ============ ============ TOTAL RETURN (a) 47.76% 30.45% (8.22)% 26.96% 6.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,946,373 $ 1,330,835 $ 912,479 $ 981,732 $ 614,024 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.57% 0.58% 0.59% 0.59% 0.60% Ratio of net expenses to average net assets 0.57% 0.58% 0.59% 0.59% 0.60% Ratio of net investment income (loss) to average net assets 0.26% 0.79% 0.74% 0.71% 0.58% Portfolio turnover rate (b) 75% 81% 57% 31% 41% FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 148.84 $ 124.26 $ 124.52 $ 90.89 $ 113.06 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.45) (0.51) (0.22) (0.08) (0.32) Net realized and unrealized gain (loss) 19.69 25.09 (0.04) 33.71 (21.85) ------------ ------------ ------------ ------------ ------------ Total from investment operations 19.24 24.58 (0.26) 33.63 (22.17) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 168.08 $ 148.84 $ 124.26 $ 124.52 $ 90.89 ============ ============ ============ ============ ============ TOTAL RETURN (a) 12.93% 19.78% (0.21)% 36.99% (19.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,042,173 $ 1,800,927 $ 2,342,213 $ 1,207,811 $ 804,385 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.55% 0.55% 0.57% 0.56% 0.56% Ratio of net expenses to average net assets 0.55% 0.55% 0.57% 0.56% 0.56% Ratio of net investment income (loss) to average net assets (0.28)% (0.25)% (0.21)% (0.08)% (0.27)% Portfolio turnover rate (b) 26% 31% 37% 36% 42% (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 46 See Notes to Financial Statements 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, ------------------------------------------------------------------------ 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 139.12 $ 116.66 $ 109.82 $ 79.79 $ 74.64 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.34) (0.14) (0.35) (0.28) (0.27) Net realized and unrealized gain (loss) 73.59 22.60 7.19 30.31 5.42 ------------ ------------ ------------ ------------ ------------ Total from investment operations 73.25 22.46 6.84 30.03 5.15 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 212.37 $ 139.12 $ 116.66 $ 109.82 $ 79.79 ============ ============ ============ ============ ============ TOTAL RETURN (a) 52.65% 19.26% 6.23% 37.62% 6.91% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 11,075,029 $ 7,853,367 $ 7,016,807 $ 5,490,820 $ 3,486,734 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.51% 0.52% 0.52% 0.53% 0.54% Ratio of net expenses to average net assets 0.51% 0.52% 0.52% 0.53% 0.54% Ratio of net investment income (loss) to average net assets (0.20)% (0.10)% (0.27)% (0.32)% (0.35)% Portfolio turnover rate (b) 39% 28% 21% 22% 21% FIRST TRUST CAPITAL STRENGTH ETF (FTCS) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 60.37 $ 48.29 $ 50.95 $ 40.79 $ 38.12 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.63 0.76 0.60 0.59 0.58 Net realized and unrealized gain (loss) 7.18 12.08 (2.65) 10.16 2.67 ------------ ------------ ------------ ------------ ------------ Total from investment operations 7.81 12.84 (2.05) 10.75 3.25 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.63) (0.76) (0.61) (0.59) (0.58) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 67.55 $ 60.37 $ 48.29 $ 50.95 $ 40.79 ============ ============ ============ ============ ============ TOTAL RETURN (a) 13.07% 26.72% (4.09)% 26.49% 8.57% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 7,021,909 $ 3,392,623 $ 1,376,131 $ 624,099 $ 320,190 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.56% 0.58% 0.60% 0.61% 0.64% Ratio of net expenses to average net assets 0.56% 0.58% 0.60% 0.61% 0.64% Ratio of net investment income (loss) to average net assets 1.10% 1.46% 1.30% 1.33% 1.55% Portfolio turnover rate (b) 133% 125% 117% 85% 85% (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 47 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, ------------------------------------------------------------------------ 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 36.03 $ 29.07 $ 30.84 $ 28.02 $ 23.86 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.79 0.73 0.73 0.63 0.56 Net realized and unrealized gain (loss) (0.91) 6.96 (1.77) 2.84 4.17 ------------ ------------ ------------ ------------ ------------ Total from investment operations (0.12) 7.69 (1.04) 3.47 4.73 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.81) (0.73) (0.73) (0.65) (0.57) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 35.10 $ 36.03 $ 29.07 $ 30.84 $ 28.02 ============ ============ ============ ============ ============ TOTAL RETURN (a) (0.04)% 26.60% (3.44)% 12.48% 19.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 10,149,204 $ 9,665,219 $ 4,374,483 $ 4,194,830 $ 2,892,982 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.71% 0.72% 0.72% 0.73% 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 2.47% 2.36% 2.40% 2.19% 2.31% Portfolio turnover rate (b) 86% 53% 58% 50% 60% (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 48 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 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 exchange-traded funds. This report covers the seven funds (each a "Fund" and collectively, the "Funds") listed below: First Trust Dow Jones Select MicroCap Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker "FDM") First Trust Morningstar Dividend Leaders Index Fund - (NYSE Arca ticker "FDL") First Trust US Equity Opportunities ETF - (NYSE Arca ticker "FPX") First Trust NYSE 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") Each Fund represents a separate series of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices: 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 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Page 49 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of December 31, 2020, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Page 50 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities require entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. 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, 2020, only FDM and FPX had securities in the securities lending program. During the fiscal year ended December 31, 2020, FDM, FPX, FBT, and FDN participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. Page 51 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 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, 2020, 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, 2020 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 $ 2,126,197 $ -- $ -- First Trust Morningstar Dividend Leaders Index Fund 66,635,153 -- -- First Trust US Equity Opportunities ETF 5,290,041 -- -- First Trust NYSE Arca Biotechnology Index Fund -- -- -- First Trust Dow Jones Internet Index Fund -- -- -- First Trust Capital Strength ETF 55,671,376 -- -- First Trust Value Line(R) Dividend Index Fund 231,083,030 -- -- 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 -- -- Page 52 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 As of December 31, 2020, 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 $ 90,691 $ (46,311,470) $ 14,138,665 First Trust Morningstar Dividend Leaders Index Fund 425,955 (362,640,978) 107,603,362 First Trust US Equity Opportunities ETF -- (266,483,167) 571,224,950 First Trust NYSE Arca Biotechnology Index Fund -- (248,674,487) (42,568,716) First Trust Dow Jones Internet Index Fund -- (420,915,508) 3,165,589,553 First Trust Capital Strength ETF 66,259 (266,180,343) 770,184,610 First Trust Value Line(R) Dividend Index Fund -- (699,218,855) 791,320,407 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 2017, 2018, 2019, and 2020 remain open to federal and state audit. As of December 31, 2020, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2020, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. Non-Expiring Capital Loss Carryforwards --------------------- First Trust Dow Jones Select MicroCap Index Fund $ 46,311,470 First Trust Morningstar Dividend Leaders Index Fund 362,640,978 First Trust US Equity Opportunities ETF 266,483,167 First Trust NYSE Arca Biotechnology Index Fund 248,674,487 First Trust Dow Jones Internet Index Fund 420,915,508 First Trust Capital Strength ETF 266,180,343 First Trust Value Line(R) Dividend Index Fund* 699,218,855 * $11,006,415 of First Trust Value Line(R) Dividend Index Fund's non-expiring net capital losses is subject to loss limitation resulting from reorganization activity. This limitation generally reduces the utilization of these losses to a maximum of $364,521 per year. During the taxable year ended December 31, 2020, the following Fund utilized non-expiring capital loss carryforwards in the following amount: Capital Loss Carryforward Utilized --------------------- First Trust NYSE Arca Biotechnology Index Fund $ 18,664,932 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, 2020, the Funds had no net late year ordinary or capital losses. Page 53 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 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, 2020, 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 $ 36,413 $ 8,167,163 $ (8,203,576) First Trust Morningstar Dividend Leaders Index Fund 319,046 (2,392,792) 2,073,746 First Trust US Equity Opportunities ETF 864,987 (319,511,045) 318,646,058 First Trust NYSE Arca Biotechnology Index Fund 5,453,767 (37,953,910) 32,500,143 First Trust Dow Jones Internet Index Fund 17,892,891 (1,610,177,656) 1,592,284,765 First Trust Capital Strength ETF -- (657,706,956) 657,706,956 First Trust Value Line(R) Dividend Index Fund 4,896,592 (343,881,166) 338,984,574 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 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% Page 54 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed the below amount as a percentage of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least April 30, 2022. Expense Cap ---------------- First Trust Dow Jones Select MicroCap Index Fund 0.60% First Trust Morningstar Dividend Leaders Index Fund 0.45% First Trust US Equity Opportunities ETF 0.60% First Trust NYSE Arca Biotechnology Index Fund 0.60% First Trust Dow Jones Internet Index Fund 0.60% First Trust Capital Strength ETF 0.65% First Trust Value Line(R) Dividend Index Fund 0.70% Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund's expenses exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived or expenses were reimbursed, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the fiscal year ended December 31, 2020 and the fees waived or expenses borne by First Trust subject to recovery from the applicable Fund for the periods indicated were as follows: Fees Waived or Expenses Borne by First Trust Subject to Recovery ------------------------------------------------- Advisory Year Year Year Fee Expense Ended Ended Ended Waivers Reimbursement 12/31/2018 12/31/2019 12/31/2020 Total --------- ------------- ---------- ---------- ---------- ---------- First Trust Dow Jones Select MicroCap Index Fund $ 127,387 $ -- $ 162,786 $ 149,166 $ 127,387 $ 439,339 First Trust Morningstar Dividend Leaders Index Fund 162,827 -- 256,355 178,254 162,827 597,436 First Trust Value Line(R) Dividend Index Fund -- -- -- 255,932 -- 255,932 During the fiscal year ended December 31, 2020, First Trust recovered fees that were previously waived from First Trust Value Line(R) Dividend Index Fund of $2,012,539. 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. Page 55 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 4. REORGANIZATION On January 30, 2020, the Board of Trustees of First Trust Value Line(R) 100 Exchange-Traded Fund ("FVL") and FVD approved a reorganization of FVD with FVL. The reorganization was completed on December 14, 2020. FVD was the surviving fund. Under the terms of the reorganization, which was tax-free, the assets of FVL were transferred to, and the liabilities of FVL were assumed by, FVD in exchange for shares of FVD. The cost of the investments received from FVL was carried forward to FVD for U.S. GAAP and tax purposes. The FVD shares were then distributed to FVL shareholders and the separate existence of FVD ceased. The reorganization was subject to certain conditions, including that the reorganization was approved on November 16, 2020, by the shareholders of FVL. When the reorganization occurred, the transactions were based on the relative NAVs of FVL and FVD. The following table summarizes the asset transfers and conversion ratios for the reorganization. Net Assets on Unrealized Accumulated Shares Acquiring Net Assets on Acquired Shares December 11, Appreciation Net Realized Conversion (Surviving) Shares December 11, Fund Redeemed 2020 (Depreciation) Gain (Loss) Ratio Fund Issued* 2020** ---------------------------------------------------------------------------------------------------------------------------------- FVL 1,589,982 $ 36,820,323 $ (118,448) $ (8,573,998) 0.662214 FVD 1,052,908 $10,030,756,341 * Amount includes 10 shares that were distributed cash in lieu. ** Amount reflects net assets of FVD prior to the reorganization. The following table summarizes the operations of the Acquired Fund for the period January 1, 2020 to December 11, 2020, and the operations of FVD, the Acquiring (Surviving) Fund, for the fiscal year ended December 31, 2020, as presented in the Statements of Operations and the combined Acquired and Acquiring (Surviving) Funds' pro-forma results of operations for the fiscal year ended December 31, 2020, assuming the acquisition had been completed on January 1, 2020. Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of FVL that have been included in FVD's Statement of Operations since December 11, 2020. Net Realized and Change in Unrealized Net Increase Net Investment Gain (Loss) (Decrease) from Income on Investments Operations --------------- ---------------- --------------- Acquired Fund for the period January 1, 2020 to December 11, 2020 FVL $ 300,669 $ (36,518) $ 264,151 Acquiring Fund for the fiscal year ended December 31, 2020 FVD 229,162,401 (355,768,990) (126,606,589) --------------- ---------------- --------------- Combined Total $ 229,463,070 $ (355,805,508) $ (126,342,438) =============== ================ =============== 5. PURCHASES AND SALES OF SECURITIES For the fiscal year ended December 31, 2020, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: Purchases Sales --------------- ---------------- First Trust Dow Jones Select MicroCap Index Fund $ 107,818,650 $ 107,572,136 First Trust Morningstar Dividend Leaders Index Fund 883,723,084 887,897,101 First Trust US Equity Opportunities ETF 1,054,680,875 1,054,805,193 First Trust NYSE Arca Biotechnology Index Fund 504,046,146 508,642,795 First Trust Dow Jones Internet Index Fund 3,557,722,081 3,547,415,606 First Trust Capital Strength ETF 6,693,364,284 6,687,959,535 First Trust Value Line(R) Dividend Index Fund 7,878,250,114 7,826,978,429 Page 56 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 For the fiscal year ended December 31, 2020, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: Purchases Sales --------------- ---------------- First Trust Dow Jones Select MicroCap Index Fund $ 29,060,811 $ 40,564,009 First Trust Morningstar Dividend Leaders Index Fund 83,452,335 293,475,724 First Trust US Equity Opportunities ETF 977,645,344 936,664,506 First Trust NYSE Arca Biotechnology Index Fund 402,445,913 366,730,104 First Trust Dow Jones Internet Index Fund 3,120,277,879 3,826,619,221 First Trust Capital Strength ETF 6,479,741,236 3,740,482,705 First Trust Value Line(R) Dividend Index Fund 3,419,197,680 2,626,188,214 6. CREATION, REDEMPTION AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the authorized participant redeems a Creation Unit of a Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various facts-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various facts-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to affect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 7. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2022. Page 57 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 8. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were the following subsequent events: On January 14, 2021, the Board of Trustees of the First Trust US Equity Opportunities ETF (ticker "FPX") appointed a new securities lending agent for FPX as of March 1, 2021. On January 21, 2021, FT Cboe Vest Gold Strategy Quarterly Buffer ETF, an additional series of the Trust, began trading under the symbol "BGLD" on the Cboe BZX Exchange, Inc. Page 58 -------------------------------------------------------------------------------- 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, and First Trust Value Line(R) Dividend Index Fund (the "Funds"), each a series of First Trust Exchange-Traded Fund, including the portfolios of investments, as of December 31, 2020, 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, 2020, 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, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois February 23, 2021 We have served as the auditor of one or more First Trust investment companies since 2001. Page 59 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended December 31, 2020, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations: Dividends Received Deduction ---------------------------- 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 92.75% For the taxable year ended December 31, 2020, the following percentages of income dividend 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% A portion of each of the Funds' 2020 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended December 31, 2020, may be eligible for the Qualified Business Income Deduction (QBI) under Internal Revenue Code Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. Page 60 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 (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. Page 61 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 (UNAUDITED) INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, intends to cease making LIBOR available as a reference rate over a phase-out period that is currently expected to begin after the end of 2021, although the specific timing of the phase out of LIBOR continues to be discussed and negotiated across the industry and in various jurisdictions. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. 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. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 62 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 (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, 2020, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $14,597,453. This figure is comprised of $873,612 paid (or to be paid) in fixed compensation and $13,723,841 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $7,622,460 paid (or to be paid) to senior management of First Trust Advisors L.P. and $6,974,993 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 63 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 (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; 190 None (1951) Limited Partner, Gundersen Real Estate o Since Inception Limited Partnership (June 1992 to December 2016) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 190 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 190 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), 190 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 190 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 64 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 (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 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief Accounting Officer o Since January 2016 President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 65 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2020 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2020 Page 66 This page intentionally left blank. This page intentionally left blank. 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]