FIRST TRUST

First Trust Exchange-Traded Fund
Book 1

First Trust Dow Jones Select MicroCap Index Fund (FDM)
First Trust Morningstar Dividend Leaders Index Fund (FDL)
First Trust US Equity Opportunities ETF (FPX)
First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)
First Trust Dow Jones Internet Index Fund (FDN)
First Trust Capital Strength ETF (FTCS)
First Trust Value Line(R) Dividend Index Fund (FVD)

Semi-Annual Report
For the Six Months Ended
June 30, 2021





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TABLE OF CONTENTS
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                        FIRST TRUST EXCHANGE-TRADED FUND
                               SEMI-ANNUAL REPORT
                                 JUNE 30, 2021

Shareholder Letter..........................................................   2
Market Overview.............................................................   3
Fund Performance Overview
   First Trust Dow Jones Select MicroCap Index Fund (FDM)...................   4
   First Trust Morningstar Dividend Leaders Index Fund (FDL)................   6
   First Trust US Equity Opportunities ETF (FPX)............................   8
   First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)...............  10
   First Trust Dow Jones Internet Index Fund (FDN)..........................  12
   First Trust Capital Strength ETF (FTCS)..................................  14
   First Trust Value Line(R) Dividend Index Fund (FVD)......................  16
Notes to Fund Performance Overview..........................................  18
Understanding Your Fund Expenses............................................  19
Portfolio of Investments
   First Trust Dow Jones Select MicroCap Index Fund (FDM)...................  21
   First Trust Morningstar Dividend Leaders Index Fund (FDL)................  25
   First Trust US Equity Opportunities ETF (FPX)............................  27
   First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)...............  31
   First Trust Dow Jones Internet Index Fund (FDN)..........................  32
   First Trust Capital Strength ETF (FTCS)..................................  34
   First Trust Value Line(R) Dividend Index Fund (FVD)......................  36
Statements of Assets and Liabilities........................................  40
Statements of Operations....................................................  42
Statements of Changes in Net Assets.........................................  44
Financial Highlights........................................................  47
Notes to Financial Statements...............................................  51
Additional Information......................................................  60





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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 certain other risks of investing in the Funds.

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

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

                            HOW TO READ THIS REPORT

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

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

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


                                                                          Page 1





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SHAREHOLDER LETTER
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                        FIRST TRUST EXCHANGE-TRADED FUND
                  SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
                                 JUNE 30, 2021

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for certain
funds in the First Trust Exchange-Traded Fund (the "Funds"), which contains
detailed information about the Funds for the six months ended June 30, 2021.

Since December of 2008, the Federal Reserve (the "Fed") has largely maintained
an extremely accommodating stance on monetary policy. In other words, it has
kept interest rates at very low levels, and has done so on purpose. From
December 2008 through June 2021 (a period that captured a portion of the
financial crisis of 2007-2008 and the entire coronavirus ("COVID-19") pandemic),
the Federal Funds target rate (upper bound) stood at 0.25% for approximately
eight years and three months of that 12.5-year period. That is an aggressive
posture to hold for such a long duration. For comparative purposes, the Federal
Funds target rate averaged 4.50% for the 20-year period ended December 31, 2008.
All along, the Fed has been signaling to savers, investors, and businesses alike
that it wanted them to assume more risk. The Fed did not want money just sitting
idle on the sidelines. It wanted the money to be put to work, so to speak, in
such a way that it would stimulate U.S. economic growth and stave off any
deflationary pressures potentially looming. It has been a tough road to hoe, as
I'm sure those investors who follow the economy closely have noticed.

Why am I taking this trip down memory lane? It is because the Federal Funds
target rate currently stands at 0.25%, just like it did back in December 2008.
We can cite the severe hit to many parts of the U.S. economy from the COVID-19
pandemic, such as the leisure and travel industry, as to why the target rate has
returned to such a low level. For all intents and purposes, until the economy
reaches full employment (4% unemployment rate) and a 2% plus inflation rate for
a sustained period, the Fed has stated that it intends to maintain the status
quo. Since inflation has risen notably in recent months, the Fed is now
forecasting a couple of rate hikes in 2023. At a minimum, that is still 18
months away. Keep in mind, however, the Fed reserves the right to change its
posture at any time.

As previously noted, the Fed has been encouraging savers and investors to assume
more risk for over a decade. One of the best barometers of risk in the
securities markets is the default rate on speculative-grade (below
investment-grade) debt, in my opinion. High yield corporate bonds behave like a
hybrid security between other fixed-income securities and stocks. They share
behavioral characteristics of both, and they are economically sensitive. Moody's
reported that its global speculative-grade default rate stood at 4.0% in June
2021, according to its own release. Moody's puts the historical average default
rate at 4.2%. Its baseline scenario sees the default rate declining to 1.7% by
December 2021. Moody's recorded 28 defaults over the first six months of 2021,
down from 114 defaults over the same period a year ago. I believe that investors
should take some comfort in knowing that defaults are trending lower, not
higher, in the current economic climate.

Companies have heeded the Fed's call for risk-taking, as measured by this year's
robust global mergers and acquisitions ("M&A") activity. Global M&A activity set
a record high in the first half of 2021, with announced deals valued at $2.8
trillion, according to data from Refinitiv. U.S. M&A activity also reached a
record high, coming in at $1.3 trillion for the same period, or around 46% of
the global total. M&A specialists expect deal-making to remain robust for the
rest of 2021, due to low borrowing costs and stronger economic growth.

In closing, we welcome the reopening of the U.S. economy and, hopefully, the
global economy shortly thereafter. We encourage investors to stay the course
even though the markets could experience some turbulence in the months ahead.
The potential for additional volatility represents an opportunity for investors
to check their asset allocation levels to determine if they are suitable for an
extended inflationary climate.

Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.


Page 2





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MARKET OVERVIEW
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                        FIRST TRUST EXCHANGE-TRADED FUND
                               SEMI-ANNUAL REPORT
                           JUNE 30, 2021 (UNAUDITED)

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

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

STATE OF THE ECONOMY/INVESTING

We have learned recently that the reopening process for the economy from the
coronavirus ("COVID-19") pandemic, while underway, is likely to be more of a
work in progress than a foregone conclusion. It has to do with the spread of the
highly contagious Delta variant, now found in all 50 states. The Delta variant,
which was first identified in India in 2020, appears to be more problematic for
those individuals who have yet to be vaccinated. Cases are rising rapidly. The
Centers for Disease Control and Prevention expects the Delta variant to account
for approximately 80% of new cases moving forward. The concern has quickly
elevated, and some state and local governments, such as Los Angeles County, are
contemplating reinstating the mask mandate for businesses and other public
venues. This is something we intend to monitor moving forward to assess its
potential near-term impact on the economy.

The global growth forecast from the International Monetary Fund ("IMF") released
in April 2021 projected a rate of 6.0% for real gross domestic product growth
for 2021, up from -3.3% in 2020. The IMF is calling for a 6.4% growth rate for
the U.S. in 2021, up from -3.5% from the previous year. Advanced Economies are
expected to register a 5.1% growth rate, up from -4.7% for the previous year. 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
estimate is 6.7%, up from -2.2% a year ago.

The marketplace for exchange-traded funds ("ETFs") and related exchange-traded
products ("ETPs") continues to set records, both domestically and abroad. ETFGI,
an independent research and consultancy firm, reported that total assets
invested in ETFs/ETPs listed in the U.S. stood at an all-time high of $6.51
trillion at the close of June 2021, according to its own release. In the first
half of 2021, net inflows to ETFs/ETPs listed in the U.S. totaled a record high
$472.18 billion, with $327.44 billion of it flowing to equity funds. Total
assets invested in ETFs/ETPs listed globally stood at an all-time high of $9.35
trillion for the same period. In the first half of this year, net inflows to
ETFs/ETPs listed globally totaled a record high $660.73 billion, with $460.73
billion of it flowing to equity funds.

U.S. STOCKS AND BONDS

In the first half of 2021, 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 15.25%, 17.60%, and 23.56%,
respectively, according to Bloomberg. All 11 of the major sectors that comprise
the S&P 500(R) Index posted positive total returns. The top-performing sectors
were Energy, Financials, Real Estate and Communication Services, up 45.64%,
25.69%, 23.30% and 19.67%, respectively, while the worst-performing sectors were
Utilities, up 2.38%, and Consumer Staples, up 5.02%. Bloomberg's 2021 and 2022
consensus earnings growth rate estimates for the S&P 500(R) Index were 35.94%
and 12.41%, respectively, as of July 2, 2021.

Corporate America is cash rich. Non-financial companies in the S&P 500(R) Index
that reported their earnings results in April and May of 2021 increased their
cash holdings by 12% year-over-year, according to Bloomberg. Cash holdings,
which include short-term investments and long-term marketable securities,
reached $2.03 trillion. The sectors holding the most cash are as follows:
Information Technology ($587.7 billion); Communication Services ($345.2
billion); Consumer Discretionary ($294.9 billion); Health Care ($288.4 billion);
and Industrials ($280.4 billion).

In the U.S. bond market, the major bond groups produced a mixed bag of returns
in the first half of 2021. The top-performing major debt group we track is
speculative-grade in nature. The Bloomberg Barclays U.S. Corporate High Yield
Index posted a total return of 3.62%. The worst-performing debt group we track
is a blend of government and investment-grade corporate bonds. The Bloomberg
Barclays U.S. Aggregate Index posted a total return of -1.60%. The yield on the
benchmark 10-Year Treasury Note rose 55 basis points to 1.47% in the first half
of 2021, according to Bloomberg. For comparative purposes, its average yield for
the 20-year period ended June 30, 2021, was 3.07%. It is still extraordinarily
low.

FOREIGN STOCKS AND BONDS

The U.S. dollar rose by 2.78% against a basket of major currencies in the first
half of 2021, as measured by the U.S. Dollar Index ("DXY"), according to
Bloomberg. The DXY closed at a reading of 92.44 on June 30, 2021, above its
20-year average of 89.41. The stronger U.S. dollar likely had a bit of a
negative influence on the returns of foreign securities held by U.S. investors,
providing they were unhedged. The strength in the dollar was more noticeable
with respect to bond returns due to the low interest rate levels persisting in
many foreign debt markets, in our opinion.

The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of -0.97% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt declined by 3.21% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
7.45% (USD), while the MSCI World ex USA Index was up 9.92% (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
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (9/27/05)      Ended      Ended      (9/27/05)
                                     6/30/21     6/30/21    6/30/21    6/30/21     to 6/30/21    6/30/21    6/30/21     to 6/30/21
                                                                                                
FUND PERFORMANCE
NAV                                   29.21%     59.92%     14.52%      11.87%       8.52%        96.99%    207.01%      262.64%
Market Value                          29.09%     60.01%     14.50%      11.89%       8.52%        96.81%    207.53%      262.79%

INDEX PERFORMANCE
Dow Jones Select MicroCap Index(SM)   29.60%     62.31%     15.36%      12.62%       9.27%       104.26%    228.30%      304.44%
Russell 2000(R) Index                 17.54%     62.03%     16.47%      12.34%       9.76%       114.29%    220.05%      333.68%
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(See Notes to Fund Performance Overview on page 18.)

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                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials                                     31.6%
Industrials                                    19.9
Health Care                                    13.8
Consumer Discretionary                          8.7
Information Technology                          7.0
Energy                                          6.8
Communication Services                          3.4
Materials                                       3.1
Real Estate                                     3.1
Consumer Staples                                1.9
Utilities                                       0.7
                                             -------
   Total                                      100.0%
                                             =======

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                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Silvergate Capital Corp., Class A               3.5%
Anavex Life Sciences Corp.                      2.4
Enova International, Inc.                       1.9
US Concrete, Inc.                               1.8
Dime Community Bancshares, Inc.                 1.8
Clean Energy Fuels Corp.                        1.8
WideOpenWest, Inc.                              1.6
IES Holdings, Inc.                              1.6
Donnelley Financial Solutions, Inc.             1.5
Energy Recovery, Inc.                           1.4
                                             -------
   Total                                       19.3%
                                             =======

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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)



                        PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                             DECEMBER 31, 2010 - JUNE 30, 2021

            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
06/21               31,733                    34,055                  33,993


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
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended       (3/9/06)      Ended      Ended       (3/9/06)
                                     6/30/21     6/30/21    6/30/21    6/30/21     to 6/30/21    6/30/21    6/30/21     to 6/30/21
                                                                                                
FUND PERFORMANCE
NAV                                   14.06%     36.18%      8.49%      11.02%        7.43%       50.33%    184.47%      199.70%
Market Value                          14.13%     36.38%      8.50%      11.02%        7.43%       50.37%    184.55%      199.70%

INDEX PERFORMANCE
Morningstar(R) Dividend Leaders
   Index(SM)                          14.43%     37.04%      9.07%      11.60%        7.98%       54.37%    199.79%      223.91%
S&P 500(R) Index                      15.25%     40.79%     17.65%      14.84%       10.53%      125.36%    298.93%      365.94%
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(See Notes to Fund Performance Overview on page 18.)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Health Care                                    20.0%
Communication Services                         17.9
Consumer Staples                               17.6
Utilities                                      13.7
Energy                                         10.6
Information Technology                          9.0
Financials                                      8.1
Materials                                       2.5
Consumer Discretionary                          0.5
Industrials                                     0.1
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
AT&T, Inc.                                     10.1%
Verizon Communications, Inc.                    7.1
Chevron Corp.                                   7.0
AbbVie, Inc.                                    6.3
Pfizer, Inc.                                    6.0
Philip Morris International, Inc.               5.3
Merck & Co., Inc.                               4.8
Coca-Cola (The) Co.                             4.4
Altria Group, Inc.                              4.3
Broadcom, Inc.                                  4.2
                                             -------
   Total                                       59.5%
                                             =======

-----------------------------
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)



                     PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                          DECEMBER 31, 2010 - JUNE 30, 2021

            First Trust Morningstar       Morningstar(R)
               Dividend Leaders              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
06/21                30,672                    32,410             42,295


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
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (4/12/06)      Ended      Ended      (4/12/06)
                                     6/30/21     6/30/21    6/30/21    6/30/21     to 6/30/21    6/30/21    6/30/21     to 6/30/21
                                                                                                
FUND PERFORMANCE
NAV                                    7.77%     52.07%     21.06%      18.22%       13.82%      159.98%    433.11%      616.54%
Market Value                           7.75%     52.31%     21.06%      18.22%       13.82%      159.97%    433.40%      616.67%

INDEX PERFORMANCE
IPOX(R)-100 U.S. Index                 8.03%     52.89%     21.62%      18.84%       14.46%      166.13%    462.05%      680.54%
S&P 500(R) Index                      15.25%     40.79%     17.65%      14.84%       10.50%      125.36%    298.93%      356.62%
Russell 3000(R) Index                 15.11%     44.16%     17.89%      14.70%       10.53%      127.67%    294.05%      358.67%
------------------------------------------------------------------------------------------------------------------------------------


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

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         35.6%
Health Care                                    13.7
Industrials                                    11.7
Communication Services                         10.7
Consumer Discretionary                         10.6
Financials                                      9.3
Materials                                       4.2
Consumer Staples                                2.8
Real Estate                                     0.7
Energy                                          0.7
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Marvell Technology, Inc.                        8.2%
Snap, Inc., Class A                             7.0
Uber Technologies, Inc.                         5.2
Tradeweb Markets, Inc., Class A                 3.4
Zoom Video Communications, Inc.,
   Class A                                      3.1
DocuSign, Inc.                                  3.0
Carvana Co.                                     2.9
Crowdstrike Holdings, Inc., Class A             2.8
Avantor, Inc.                                   2.5
Pinterest, Inc., Class A                        2.4
                                             -------
   Total                                       40.5%
                                             =======

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


Page 8





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

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



                             PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                  DECEMBER 31, 2010 - JUNE 30, 2021

               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
06/21             58,589                61,983            42,295               41,907


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(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT)

The First Trust NYSE(R) Arca(R) Biotechnology Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NYSE(R) Arca(R)
Biotechnology Index (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in the common stocks and
depositary receipts that comprise the Index. The Index is an equal-dollar
weighted index designed to measure the performance of a cross section of small,
mid and large capitalization companies in the biotechnology industry that are
primarily involved in the use of biological processes to develop products or
provide services. Such processes include, but are not limited to, recombinant
DNA technology, molecular biology, genetic engineering, monoclonal
antibody-based technology, lipid/liposome technology and genomics. This Index is
rebalanced and reconstituted quarterly and the Fund will make corresponding
changes to its portfolio shortly after the Index changes are made public. The
Fund's shares are listed for trading on the NYSE Arca. The first day of
secondary market trading in shares of the Fund was June 23, 2006.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                              AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (6/19/06)      Ended      Ended      (6/19/06)
                                     6/30/21     6/30/21    6/30/21    6/30/21     to 6/30/21    6/30/21    6/30/21     to 6/30/21
                                                                                                
FUND PERFORMANCE
NAV                                    2.74%      2.97%     14.04%      14.71%       15.53%       92.92%    294.53%      775.15%
Market Value                           2.74%      2.96%     14.05%      14.70%       15.53%       92.93%    294.15%      775.10%

INDEX PERFORMANCE
NYSE(R) Arca(R) Biotechnology Index    3.04%      3.58%     14.65%      15.28%       16.15%       98.08%    314.62%      848.65%
S&P Composite 1500(R) Health Care
   Index                              11.81%     28.88%     14.52%      15.91%       12.48%       96.99%    337.90%      485.61%
NASDAQ(R) Biotechnology Index          8.55%     20.52%     14.44%      17.08%       14.36%       96.32%    383.96%      651.25%
S&P 500(R) Index                      15.25%     40.79%     17.65%      14.84%       10.89%      125.36%    298.93%      372.63%
------------------------------------------------------------------------------------------------------------------------------------


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

-----------------------------------------------------------
                                           % OF TOTAL
INDUSTRY CLASSIFICATION               LONG-TERM INVESTMENTS
-----------------------------------------------------------
Biotechnology                                  80.1%
Life Sciences Tools & Services                 17.1
Pharmaceuticals                                 2.8
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Moderna, Inc.                                   4.3%
FibroGen, Inc.                                  4.2
Biogen, Inc.                                    4.0
Alkermes PLC                                    3.9
Alnylam Pharmaceuticals, Inc.                   3.8
Illumina, Inc.                                  3.7
ACADIA Pharmaceuticals, Inc.                    3.6
Charles River Laboratories
   International, Inc.                          3.6
Bluebird Bio, Inc.                              3.5
IQVIA Holdings, Inc.                            3.5
                                             -------
   Total                                       38.1%
                                             =======

-----------------------------
NYSE and NYSE(R) Arca(R) Biotechnology Index ("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(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) (CONTINUED)



                                           PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                                DECEMBER 31, 2010 - JUNE 30, 2021

             First Trust NYSE(R)         NYSE(R) Arca(R)        S&P Composite           NASDAQ(R)
            Arca(R) Biotechnology         Biotechnology         1500(R) Health        Biotechnology        S&P 500(R)
                 Index Fund                   Index               Care Index              Index              Index
                                                                                             
12/10              $10,000                   $10,000               $10,000               $10,000            $10,000
06/11               11,221                    11,256                11,419                11,434             10,602
12/11                8,364                     8,410                11,188                11,208             10,211
06/12               11,223                    11,321                12,474                13,989             11,180
12/12               11,786                    11,921                13,242                14,827             11,845
06/13               14,877                    15,081                15,971                18,812             13,482
12/13               17,690                    17,977                18,828                24,608             15,681
06/14               21,069                    21,434                20,748                27,933             16,801
12/14               26,117                    26,591                23,495                33,075             17,829
06/15               31,779                    32,409                25,891                40,283             18,048
12/15               28,979                    29,619                25,236                36,967             18,075
06/16               22,946                    23,523                25,382                28,187             18,769
12/16               23,299                    23,946                24,717                29,075             20,237
06/17               29,212                    30,098                28,788                34,117             22,127
12/17               31,917                    32,972                30,271                35,366             24,654
06/18               35,900                    37,163                31,264                36,476             25,307
12/18               31,856                    33,060                32,301                32,225             23,574
06/19               36,105                    37,563                35,013                36,393             27,946
12/19               38,158                    39,899                39,043                40,325             30,995
06/20               42,993                    45,077                38,801                45,917             30,041
12/20               43,088                    45,293                44,725                50,978             36,700
06/21               44,270                    46,670                50,004                55,336             42,295


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
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (6/19/06)      Ended      Ended      (6/19/06)
                                     6/30/21     6/30/21    6/30/21    6/30/21     to 6/30/21    6/30/21    6/30/21     to 6/30/21
                                                                                                
FUND PERFORMANCE
NAV                                   15.29%     43.57%     27.69%      21.06%       18.17%      239.51%    575.97%     1,129.39%
Market Value                          15.29%     43.66%     27.68%      21.05%       18.17%      239.29%    575.73%     1,129.29%

INDEX PERFORMANCE
Dow Jones Internet Composite
   Index(SM)                          15.56%     44.27%     28.41%      21.74%       18.81%      249.07%    614.94%     1,234.14%
S&P Composite 1500(R) Information
   Technology Index                   13.66%     43.16%     30.68%      21.48%       16.46%      281.08%    599.73%       887.66%
S&P 500(R) Index                      15.25%     40.79%     17.65%      14.84%       10.89%      125.36%    298.93%       372.63%
------------------------------------------------------------------------------------------------------------------------------------


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

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         44.6%
Communication Services                         34.3
Consumer Discretionary                         17.1
Health Care                                     4.0
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Amazon.com, Inc.                                9.5%
Facebook, Inc., Class A                         7.5
PayPal Holdings, Inc.                           5.5
Alphabet, Inc., Class A                         4.8
Alphabet, Inc., Class C                         4.7
Netflix, Inc.                                   4.6
salesforce.com, Inc.                            4.4
Cisco Systems, Inc.                             4.2
Zoom Video Communications, Inc.,
   Class A                                      3.3
Snap, Inc., Class A                             2.8
                                             -------
   Total                                       51.3%
                                             =======

-----------------------------
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)



                                  PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                       DECEMBER 31, 2010 - JUNE 30, 2021

               First Trust                Dow Jones                               S&P Composite 1500(R)
            Dow Jones Internet        Internet Composite       S&P 500(R)         Information Technology
                Index Fund                Index(SM)               Index                   Index
                                                                             
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
06/21             71,484                    75,791                42,295                  71,694


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
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended       (7/6/06)      Ended      Ended       (7/6/06)
                                     6/30/21     6/30/21    6/30/21    6/30/21     to 6/30/21    6/30/21    6/30/21     to 6/30/21
                                                                                                
FUND PERFORMANCE
NAV                                   12.56%     30.63%     15.06%      13.60%       10.89%      101.65%    258.01%      370.62%
Market Value                          12.59%     30.66%     15.05%      13.61%       10.89%      101.57%    258.10%      370.56%

INDEX PERFORMANCE
The Capital Strength Index(SM)*       12.89%     31.44%     15.78%       N/A          N/A        108.05%      N/A          N/A
S&P 500(R) Index                      15.25%     40.79%     17.65%      14.84%       10.71%      125.36%    298.93%      359.57%
------------------------------------------------------------------------------------------------------------------------------------


*     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.)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Industrials                                    23.9%
Health Care                                    20.4
Consumer Staples                               19.5
Financials                                     14.6
Consumer Discretionary                          9.9
Information Technology                          8.0
Communication Services                          2.0
Materials                                       1.7
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Edwards Lifesciences Corp.                      2.3%
United Parcel Service, Inc., Class B            2.3
NIKE, Inc., Class B                             2.2
Expeditors International of Washington,
  Inc.                                          2.2
Moody's Corp.                                   2.2
Zoetis, Inc.                                    2.2
Marsh & McLennan Cos., Inc.                     2.2
Agilent Technologies, Inc.                      2.1
Nasdaq, Inc.                                    2.1
S&P Global, Inc.                                2.1
                                             -------
   Total                                       21.9%
                                             =======

-----------------------------
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)



        PERFORMANCE OF A $10,000 INITIAL INVESTMENT
             DECEMBER 31, 2010 - JUNE 30, 2021

            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
06/21              38,618                42,295


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                         Page 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
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (8/19/03)      Ended      Ended      (8/19/03)
                                     6/30/21     6/30/21    6/30/21    6/30/21     to 6/30/21    6/30/21    6/30/21     to 6/30/21
                                                                                                
FUND PERFORMANCE
NAV                                   14.38%     33.82%     10.57%      12.13%       10.09%       65.29%    214.09%      457.16%
Market Value                          14.32%     33.88%     10.57%      12.11%       10.09%       65.24%    213.61%      457.02%

INDEX PERFORMANCE
Value Line(R) Dividend Index*         14.83%     34.96%     11.48%      13.05%        N/A         72.15%    240.81%        N/A
S&P 500(R) Index                      15.25%     40.79%     17.65%      14.84%       10.71%      125.36%    298.93%      515.28%
Dow Jones U.S. Select Dividend
   Index(SM)*                         23.69%     50.71%     10.74%      12.48%        N/A         66.56%    224.01%        N/A
------------------------------------------------------------------------------------------------------------------------------------


      On December 15, 2006, the Fund acquired the assets and adopted the
      financial and performance history of First Trust Value Line(R) Dividend
      Fund (the "Predecessor FVD Fund," a closed-end fund), which had an
      inception date of August 19, 2003. The inception date total returns at net
      asset value ("NAV") include the sales load of $0.675 per share on the
      initial offering. The investment goals, strategies and policies of the
      Fund are substantially similar to those of the Predecessor FVD Fund. The
      inception date of the Index was July 3, 2006. Returns for the Index are
      only disclosed for those periods in which the Index was in existence for
      the entire period. The cumulative total returns for the period from the
      reorganization date (December 15, 2006) through period end (June 30, 2021)
      were 244.46% and 246.02% at NAV and Market Value, respectively. That
      compares to an Index return of 286.90% for the same period. The average
      annual total returns for the period from the reorganization date (December
      15, 2006) through period end (June 30, 2021) were 8.88% and 8.91% at NAV
      and Market Value, respectively. That compares to an Index return of 9.75%
      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.)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Utilities                                      18.4%
Industrials                                    17.1
Financials                                     16.6
Health Care                                    11.0
Consumer Staples                               11.0
Information Technology                         10.5
Materials                                       4.5
Consumer Discretionary                          4.0
Real Estate                                     3.4
Communication Services                          3.0
Energy                                          0.5
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Morgan Stanley                                  0.5%
A.O. Smith Corp.                                0.5
Goldman Sachs Group (The), Inc.                 0.5
Taiwan Semiconductor Manufacturing
   Co., Ltd., ADR                               0.5
Houlihan Lokey, Inc.                            0.5
Analog Devices, Inc.                            0.5
Clorox (The) Co.                                0.5
Abbott Laboratories                             0.5
Corning, Inc.                                   0.5
Hubbell, Inc.                                   0.5
                                             -------
   Total                                        5.0%
                                             =======

-----------------------------
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)



                                 PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                      DECEMBER 31, 2010 - JUNE 30, 2021

                 First Trust
                Value Line(R)           Value Line(R)         S&P 500(R)        Dow Jones U.S. Select
             Dividend Index Fund        Dividend Index          Index            Dividend Index(SM)
                                                                           
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                  32,220              36,700                  28,393
06/21               33,963                  37,002              42,295                  35,119


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
JUNE 30, 2021 (UNAUDITED)

As a shareholder of First Trust Dow Jones Select MicroCap Index Fund, First
Trust Morningstar Dividend Leaders Index Fund, First Trust US Equity
Opportunities ETF, First Trust NYSE(R) Arca(R) Biotechnology Index Fund, First
Trust Dow Jones Internet Index Fund, First Trust Capital Strength ETF or First
Trust Value Line(R) Dividend Index Fund (each a "Fund" and collectively, the
"Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing
costs, including management fees, distribution and/or service (12b-1) fees, if
any, and other Fund expenses. This Example is intended to help you understand
your ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended June 30, 2021.

ACTUAL EXPENSES

The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.

Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.



--------------------------------------------------------------------------------------------------------------------------
                                                                                           ANNUALIZED
                                                                                          EXPENSE RATIO      EXPENSES PAID
                                                     BEGINNING            ENDING          BASED ON THE        DURING THE
                                                   ACCOUNT VALUE       ACCOUNT VALUE        SIX-MONTH          SIX-MONTH
                                                  JANUARY 1, 2021      JUNE 30, 2021       PERIOD (a)         PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
                                                                                                     
FIRST TRUST DOW JONES SELECT MICROCAP INDEX
   FUND (FDM)
Actual                                               $1,000.00           $1,292.10            0.60%              $3.41
Hypothetical (5% return before expenses)             $1,000.00           $1,021.82            0.60%              $3.01

FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX
   FUND (FDL)
Actual                                               $1,000.00           $1,140.60            0.45%              $2.39
Hypothetical (5% return before expenses)             $1,000.00           $1,022.56            0.45%              $2.26

FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
Actual                                               $1,000.00           $1,077.70            0.57%              $2.94
Hypothetical (5% return before expenses)             $1,000.00           $1,021.97            0.57%              $2.86

FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX
   FUND (FBT)
Actual                                               $1,000.00           $1,027.40            0.55%              $2.76
Hypothetical (5% return before expenses)             $1,000.00           $1,022.07            0.55%              $2.76

FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
Actual                                               $1,000.00           $1,152.90            0.51%              $2.72
Hypothetical (5% return before expenses)             $1,000.00           $1,022.27            0.51%              $2.56

FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
Actual                                               $1,000.00           $1,125.60            0.55%              $2.90
Hypothetical (5% return before expenses)             $1,000.00           $1,022.07            0.55%              $2.76



                                                                         Page 19





FIRST TRUST EXCHANGE-TRADED FUND

UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JUNE 30, 2021 (UNAUDITED)



--------------------------------------------------------------------------------------------------------------------------
                                                                                           ANNUALIZED
                                                                                          EXPENSE RATIO      EXPENSES PAID
                                                     BEGINNING            ENDING          BASED ON THE        DURING THE
                                                   ACCOUNT VALUE       ACCOUNT VALUE        SIX-MONTH          SIX-MONTH
                                                  JANUARY 1, 2021      JUNE 30, 2021       PERIOD (a)         PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
                                                                                                     
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
Actual                                               $1,000.00           $1,143.80            0.67%              $3.56
Hypothetical (5% return before expenses)             $1,000.00           $1,021.47            0.67%              $3.36



(a)   These expense ratios reflect expense caps for certain Funds. See Note 3 in
      Notes to Financial Statements.

(b)   Expenses are equal to the annualized expense ratio as indicated in the
      table multiplied by the average account value over the period (January 1,
      2021 through June 30, 2021), multiplied by 181/365 (to reflect the
      six-month period).


Page 20





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AEROSPACE & DEFENSE -- 0.8%
      29,759 Vectrus, Inc. (a)                 $      1,416,231
                                               ----------------
             AIR FREIGHT & LOGISTICS -- 0.5%
     114,523 Radiant Logistics, Inc. (a)                793,644
                                               ----------------
             AUTO COMPONENTS -- 0.6%
      48,382 Motorcar Parts of America,
                Inc. (a)                              1,085,692
                                               ----------------
             BANKS -- 17.8%
      69,682 Amalgamated Financial Corp.              1,089,130
      39,488 Arrow Financial Corp.                    1,419,594
      16,087 Bank First Corp. (b)                     1,122,390
      38,020 Bar Harbor Bankshares                    1,088,132
      29,522 Capital City Bank Group, Inc.              761,372
      89,741 Dime Community Bancshares, Inc.          3,017,092
      65,403 Farmers National Banc Corp.              1,014,401
      53,365 First Bancshares (The), Inc.             1,997,452
      56,762 First of Long Island (The) Corp.         1,205,057
     142,624 HarborOne Bancorp, Inc.                  2,045,228
      55,310 Independent Bank Corp.                   1,200,780
      19,704 Metropolitan Bank Holding
                Corp. (a)                             1,186,575
      19,069 Northeast Bank                             569,591
      15,759 Northrim BanCorp, Inc.                     673,697
      65,572 Old Second Bancorp, Inc.                   813,093
      34,674 Professional Holding Corp.,
                Class A (a) (b)                         624,826
      37,820 QCR Holdings, Inc.                       1,818,764
      12,426 Red River Bancshares, Inc.                 627,637
      38,480 Reliant Bancorp, Inc.                    1,067,050
      52,749 Silvergate Capital Corp.,
                Class A (a)                           5,977,517
      37,829 West BanCorp, Inc.                       1,049,755
                                               ----------------
                                                     30,369,133
                                               ----------------
             BIOTECHNOLOGY -- 8.2%
      51,273 Actinium Pharmaceuticals,
                Inc. (a) (b)                            405,569
     146,320 Aldeyra Therapeutics, Inc. (a) (b)       1,657,806
     177,823 Anavex Life Sciences Corp. (a)           4,065,034
      45,013 Axcella Health, Inc. (a) (b)               180,502
      74,691 BrainStorm Cell Therapeutics,
                Inc. (a) (b)                            283,826
      35,952 Cabaletta Bio, Inc. (a) (b)                309,187
     174,841 Calithera Biosciences,
                Inc. (a) (b)                            365,418
     244,062 Catalyst Pharmaceuticals, Inc. (a)       1,403,356
      86,881 ContraFect Corp. (a) (b)                   382,276
      37,618 Enochian Biosciences, Inc. (a) (b)         186,961
      44,238 Equillium, Inc. (a) (b)                    260,562
     108,228 Genprex, Inc. (a)                          362,564
     213,109 IVERIC bio, Inc. (a)                     1,344,718
      72,807 Jounce Therapeutics, Inc. (a)              495,088
      96,456 Kezar Life Sciences, Inc. (a)              523,756
      73,098 NeuBase Therapeutics, Inc. (a) (b)         350,139
     110,180 Ovid therapeutics, Inc. (a)                430,804
     537,351 Palatin Technologies, Inc. (a) (b)         327,784
     154,019 Solid Biosciences, Inc. (a)                563,710
                                               ----------------
                                                     13,899,060
                                               ----------------


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             CAPITAL MARKETS -- 3.7%
       7,379 Diamond Hill Investment Group,
                Inc.                           $      1,234,580
      75,619 Donnelley Financial Solutions,
                Inc. (a)                              2,495,427
      23,327 Oppenheimer Holdings, Inc.,
                Class A                               1,185,945
      40,755 Victory Capital Holdings, Inc.,
                Class A                               1,315,979
                                               ----------------
                                                      6,231,931
                                               ----------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 0.9%
      92,906 Kimball International, Inc.,
                Class B                               1,221,714
      84,572 Quad/Graphics, Inc. (a)                    350,974
                                               ----------------
                                                      1,572,688
                                               ----------------
             COMMUNICATIONS EQUIPMENT
                -- 0.5%
      88,395 Casa Systems, Inc. (a)                     784,064
                                               ----------------
             CONSTRUCTION & ENGINEERING
                -- 3.6%
     155,670 HC2 Holdings, Inc. (a)                     619,566
      52,911 IES Holdings, Inc. (a)                   2,717,509
      25,029 Northwest Pipe Co. (a)                     707,069
      71,901 Orion Group Holdings, Inc. (a)             413,431
      72,628 Sterling Construction Co.,
                Inc. (a)                              1,752,514
                                               ----------------
                                                      6,210,089
                                               ----------------
             CONSTRUCTION MATERIALS -- 1.8%
      40,948 US Concrete, Inc. (a)                    3,021,962
                                               ----------------
             CONSUMER FINANCE -- 2.8%
      43,337 Curo Group Holdings Corp.                  736,729
      93,310 Enova International, Inc. (a)            3,192,135
      44,754 Oportun Financial Corp. (a)                896,423
                                               ----------------
                                                      4,825,287
                                               ----------------
             CONTAINERS & PACKAGING -- 0.6%
      17,390 UFP Technologies, Inc. (a)                 998,534
                                               ----------------
             DIVERSIFIED CONSUMER SERVICES
                -- 0.3%
      79,146 Universal Technical Institute,
                Inc. (a)                                513,658
                                               ----------------
             DIVERSIFIED FINANCIAL SERVICES
                -- 1.2%
      36,661 Alerus Financial Corp.                   1,063,536
      20,640 A-Mark Precious Metals, Inc.               959,760
                                               ----------------
                                                      2,023,296
                                               ----------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 0.2%
     120,879 Alaska Communications Systems
                Group, Inc. (a)                         402,527
                                               ----------------
             ELECTRIC UTILITIES -- 0.2%
      29,338 Spark Energy, Inc., Class A (b)            332,399
                                               ----------------


                        See Notes to Financial Statements                Page 21





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             ELECTRICAL EQUIPMENT -- 1.6%
      30,239 Allied Motion Technologies, Inc.  $      1,044,152
      67,279 LSI Industries, Inc.                       538,905
      65,700 Orion Energy Systems, Inc. (a)             376,461
      22,561 Powell Industries, Inc.                    698,263
                                               ----------------
                                                      2,657,781
                                               ----------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 2.2%
      63,364 Kimball Electronics, Inc. (a)            1,377,533
      56,657 LightPath Technologies, Inc.,
                Class A (a) (b)                         143,909
      29,819 Napco Security Technologies,
                Inc. (a)                              1,084,517
      31,957 Vishay Precision Group, Inc. (a)         1,087,816
                                               ----------------
                                                      3,693,775
                                               ----------------
             ENERGY EQUIPMENT & SERVICES
                -- 0.2%
      63,383 Exterran Corp. (a)                         301,703
                                               ----------------
             ENTERTAINMENT -- 0.6%
      61,909 Sciplay Corp., Class A (a)               1,049,358
                                               ----------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 2.1%
      41,057 One Liberty Properties, Inc.             1,165,608
     106,671 UMH Properties, Inc.                     2,327,561
                                               ----------------
                                                      3,493,169
                                               ----------------
             FOOD & STAPLES RETAILING -- 0.5%
      32,142 Natural Grocers by Vitamin
                Cottage, Inc.                           345,205
      21,358 Village Super Market, Inc.,
                Class A                                 502,127
                                               ----------------
                                                        847,332
                                               ----------------
             FOOD PRODUCTS -- 0.5%
      16,982 Seneca Foods Corp., Class A (a)            867,441
                                               ----------------
             HEALTH CARE EQUIPMENT & SUPPLIES
                -- 0.6%
      20,515 Bellerophon Therapeutics, Inc. (a)          99,293
      16,640 FONAR Corp. (a)                            294,195
      88,740 Invacare Corp. (a)                         716,132
                                               ----------------
                                                      1,109,620
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 0.8%
      60,121 Triple-S Management Corp. (a)            1,338,895
                                               ----------------
             HEALTH CARE TECHNOLOGY -- 0.6%
      32,534 Computer Programs and Systems,
                Inc.                                  1,081,105
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 0.8%
      20,794 RCI Hospitality Holdings, Inc.           1,376,563
                                               ----------------
             HOUSEHOLD DURABLES -- 2.5%
      75,480 Beazer Homes USA, Inc. (a)               1,456,009
      55,657 Ethan Allen Interiors, Inc.              1,536,133


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             HOUSEHOLD DURABLES (CONTINUED)
      11,507 Hovnanian Enterprises, Inc.,
                Class A (a)                    $      1,223,079
                                               ----------------
                                                      4,215,221
                                               ----------------
             HOUSEHOLD PRODUCTS -- 0.8%
      24,752 Central Garden & Pet Co. (a)             1,310,123
                                               ----------------
             INSURANCE -- 1.7%
      16,584 HCI Group, Inc.                          1,648,947
      62,481 Heritage Insurance Holdings, Inc.          536,087
       3,655 Investors Title Co.                        638,273
                                               ----------------
                                                      2,823,307
                                               ----------------
             IT SERVICES -- 2.3%
     133,318 GreenSky, Inc., Class A (a)                739,915
      64,644 Grid Dynamics Holdings, Inc. (a)           971,599
      68,852 Hackett Group (The), Inc.                1,240,713
      67,579 International Money Express,
                Inc. (a)                              1,003,548
                                               ----------------
                                                      3,955,775
                                               ----------------
             LEISURE PRODUCTS -- 1.7%
      61,218 Clarus Corp.                             1,573,303
      48,112 MasterCraft Boat Holdings,
                Inc. (a)                              1,264,864
                                               ----------------
                                                      2,838,167
                                               ----------------
             MACHINERY -- 5.6%
      38,607 Blue Bird Corp. (a)                        959,770
     105,153 Energy Recovery, Inc. (a)                2,395,385
      24,701 Hyster-Yale Materials Handling,
                Inc.                                  1,802,679
      88,189 Manitowoc (The) Co., Inc. (a)            2,160,630
      28,972 Miller Industries, Inc.                  1,142,656
      69,033 REV Group, Inc.                          1,083,128
                                               ----------------
                                                      9,544,248
                                               ----------------
             MARINE -- 0.9%
      31,871 Eagle Bulk Shipping, Inc. (a) (b)        1,508,136
                                               ----------------
             MEDIA -- 2.6%
     110,341 MSG Networks, Inc., Class A (a)          1,608,772
     132,719 WideOpenWest, Inc. (a)                   2,748,610
                                               ----------------
                                                      4,357,382
                                               ----------------
             MORTGAGE REAL ESTATE INVESTMENT
                TRUSTS -- 1.9%
      40,360 Cherry Hill Mortgage Investment
                Corp. (b)                               397,949
     111,159 Ellington Financial, Inc.                2,128,695
      58,367 Great Ajax Corp.                           757,604
                                               ----------------
                                                      3,284,248
                                               ----------------
             OIL, GAS & CONSUMABLE FUELS
                -- 6.6%
     171,620 Berry Corp.                              1,153,286
      48,378 Bonanza Creek Energy, Inc.               2,277,153
     294,393 Clean Energy Fuels Corp. (a) (b)         2,988,089
      76,945 CONSOL Energy, Inc. (a)                  1,421,174
      63,902 Diamond S Shipping, Inc. (a)               636,464
      68,847 Dorian LPG Ltd. (a)                        972,120
      71,310 International Seaways, Inc.              1,367,726


Page 22                 See Notes to Financial Statements





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             OIL, GAS & CONSUMABLE FUELS
                (CONTINUED)
     183,048 Overseas Shipholding Group, Inc.,
                Class A (a)                    $        382,570
                                               ----------------
                                                     11,198,582
                                               ----------------
             PAPER & FOREST PRODUCTS -- 0.8%
      75,177 Verso Corp., Class A                     1,330,633
                                               ----------------
             PERSONAL PRODUCTS -- 0.1%
      32,357 Lifevantage Corp. (a) (b)                  237,824
                                               ----------------
             PHARMACEUTICALS -- 3.6%
     457,091 Ampio Pharmaceuticals,
                Inc. (a) (b)                            763,342
      55,056 Kaleido Biosciences, Inc. (a) (b)          409,617
       9,242 Lyra Therapeutics, Inc. (a) (b)             74,213
      85,567 Marinus Pharmaceuticals, Inc. (a)        1,535,072
      51,636 Phibro Animal Health Corp.,
                Class A                               1,491,248
     136,768 Provention Bio, Inc. (a) (b)             1,152,954
      20,012 Satsuma Pharmaceuticals, Inc. (a)          141,085
      23,614 scPharmaceuticals, Inc. (a)                144,281
      37,350 TFF Pharmaceuticals, Inc. (a)              358,933
                                               ----------------
                                                      6,070,745
                                               ----------------
             PROFESSIONAL SERVICES -- 2.4%
      19,207 Barrett Business Services, Inc.          1,394,621
      18,592 CRA International, Inc.                  1,591,475
      29,555 Willdan Group, Inc. (a)                  1,112,450
                                               ----------------
                                                      4,098,546
                                               ----------------
             REAL ESTATE MANAGEMENT
                & DEVELOPMENT -- 1.0%
      22,073 Altisource Portfolio Solutions
                S.A. (a) (b)                            196,229
      39,132 RMR Group (The), Inc., Class A           1,512,060
                                               ----------------
                                                      1,708,289
                                               ----------------
             ROAD & RAIL -- 0.6%
     157,246 Daseke, Inc. (a)                         1,018,954
                                               ----------------
             SOFTWARE -- 0.7%
     112,108 Smith Micro Software, Inc. (a)             585,204
     160,567 VirnetX Holding Corp. (a) (b)              685,621
                                               ----------------
                                                      1,270,825
                                               ----------------
             SPECIALTY RETAIL -- 2.5%
      53,197 Big 5 Sporting Goods Corp. (b)           1,366,099
      42,976 Haverty Furniture Cos., Inc.             1,837,654
      36,972 TravelCenters of America, Inc. (a)       1,081,061
                                               ----------------
                                                      4,284,814
                                               ----------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 1.3%
     144,939 Quantum Corp. (a)                          998,630
      40,168 Turtle Beach Corp. (a)                   1,282,162
                                               ----------------
                                                      2,280,792
                                               ----------------


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             TEXTILES, APPAREL & LUXURY GOODS
                -- 0.3%
      20,380 Lakeland Industries, Inc. (a) (b) $        455,085
                                               ----------------
             THRIFTS & MORTGAGE FINANCE
                -- 2.4%
       4,071 Hingham Institution for Savings          1,182,625
     117,229 Northfield Bancorp, Inc.                 1,922,556
      53,171 Waterstone Financial, Inc.               1,045,342
                                               ----------------
                                                      4,150,523
                                               ----------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 2.9%
      24,038 BlueLinx Holdings, Inc. (a)              1,208,631
      40,858 CAI International, Inc.                  2,288,048
      48,028 Titan Machinery, Inc. (a)                1,485,986
                                               ----------------
                                                      4,982,665
                                               ----------------
             WATER UTILITIES -- 0.5%
      21,588 Artesian Resources Corp., Class A          793,791
                                               ----------------
             TOTAL COMMON STOCKS -- 99.9%           170,015,612
             (Cost $122,466,487)               ----------------

             MONEY MARKET FUNDS -- 7.8%
  13,209,339 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                0.01% (c) (d)                        13,209,339
             (Cost $13,209,339)                ----------------

             TOTAL INVESTMENTS -- 107.7%            183,224,951
             (Cost $135,675,826) (e)

             NET OTHER ASSETS AND
                LIABILITIES -- (7.7)%               (13,052,322)
                                               ----------------
             NET ASSETS -- 100.0%              $    170,172,629
                                               ================

(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 $12,502,869 and the
      total value of the collateral held by the Fund is $13,209,339.

(c)   Rate shown reflects yield as of June 30, 2021.

(d)   This security serves as collateral for securities on loan.

(e)   Aggregate cost for financial reporting purposes approximates the aggregate
      cost for federal income tax purposes. As of June 30, 2021, the aggregate
      gross unrealized appreciation for all investments in which there was an
      excess of value over tax cost was $53,146,519 and the aggregate gross
      unrealized depreciation for all investments in which there was an excess
      of tax cost over value was $5,597,394. The net unrealized appreciation was
      $47,549,125.


                        See Notes to Financial Statements                Page 23





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

-----------------------------

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2021
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                       LEVEL 2         LEVEL 3
                       LEVEL 1       SIGNIFICANT     SIGNIFICANT
                       QUOTED        OBSERVABLE      UNOBSERVABLE
                       PRICES          INPUTS           INPUTS
                   ------------------------------------------------
Common Stocks*     $   170,015,612  $          --  $             --
Money Market
   Funds                13,209,339             --                --
                   ------------------------------------------------
Total Investments  $   183,224,951  $          --  $             --
                   ================================================

* 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)     $     12,502,869
Non-cash Collateral(2)                              (12,502,869)
                                               ----------------
Net Amount                                     $             --
                                               ================

(1)   The amount presented on the Statements of Assets and Liabilities, which is
      included in "Investments, at value," is not offset and is shown on a gross
      basis.

(2)   At June 30, 2021, the value of the collateral received from each borrower
      exceeded the value of the related securities loaned. This amount is
      disclosed on the Portfolio of Investments.


Page 24                 See Notes to Financial Statements





FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 99.8%
             BANKS -- 2.9%
      55,577 Associated Banc-Corp.             $      1,138,217
      13,752 Bank of Hawaii Corp.                     1,158,193
     155,515 Citizens Financial Group, Inc.           7,133,473
      56,494 Comerica, Inc.                           4,030,282
      46,887 CVB Financial Corp.                        965,403
     133,213 F.N.B. Corp.                             1,642,516
      40,065 First Financial Bancorp                    946,736
     201,480 First Horizon Corp.                      3,481,574
      60,288 Fulton Financial Corp.                     951,345
     462,515 Huntington Bancshares, Inc.              6,600,089
      96,241 Investors Bancorp, Inc.                  1,372,397
     365,845 KeyCorp                                  7,554,699
     189,910 People's United Financial, Inc.          3,255,057
     110,342 Umpqua Holdings Corp.                    2,035,810
      53,892 United Bankshares, Inc.                  1,967,058
     143,471 Valley National Bancorp                  1,926,816
      26,374 WesBanco, Inc.                             939,706
                                               ----------------
                                                     47,099,371
                                               ----------------
             BEVERAGES -- 4.4%
   1,334,051 Coca-Cola (The) Co.                     72,185,500
                                               ----------------
             BIOTECHNOLOGY -- 8.8%
     914,974 AbbVie, Inc.                           103,062,671
     590,500 Gilead Sciences, Inc.                   40,661,830
                                               ----------------
                                                    143,724,501
                                               ----------------
             CAPITAL MARKETS -- 2.6%
      83,840 Apollo Global Management, Inc.           5,214,848
      39,285 Ares Management Corp., Class A           2,498,133
      47,126 Artisan Partners Asset Management,
                Inc., Class A                         2,394,943
     270,474 Blackstone Group (The), Inc.            26,273,844
      35,728 Federated Hermes, Inc.                   1,211,537
      99,803 Franklin Resources, Inc.                 3,192,698
      26,997 Moelis & Co., Class A                    1,535,859
      30,284 Virtu Financial, Inc., Class A             836,747
                                               ----------------
                                                     43,158,609
                                               ----------------
             CHEMICALS -- 0.7%
     109,546 LyondellBasell Industries N.V.,
                Class A                              11,268,997
                                               ----------------
             COMMUNICATIONS EQUIPMENT
                -- 0.2%
     104,713 Juniper Networks, Inc.                   2,863,901
                                               ----------------
             CONSUMER FINANCE -- 0.1%
      69,948 Navient Corp.                            1,352,095
                                               ----------------
             CONTAINERS & PACKAGING -- 0.6%
     144,657 International Paper Co.                  8,868,921
                                               ----------------
             DIVERSIFIED CONSUMER SERVICES
                -- 0.1%
      83,953 H&R Block, Inc.                          1,971,216
                                               ----------------


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 17.1%
   5,720,280 AT&T, Inc.                        $    164,629,658
   2,068,104 Verizon Communications, Inc.           115,875,867
                                               ----------------
                                                    280,505,525
                                               ----------------
             ELECTRIC UTILITIES -- 9.9%
      21,292 ALLETE, Inc.                             1,490,014
     197,719 American Electric Power Co., Inc.       16,725,050
      20,421 Avangrid, Inc.                           1,050,252
     332,413 Duke Energy Corp.                       32,815,811
     200,687 Edison International                    11,603,722
      80,408 Entergy Corp.                            8,016,678
      87,069 Evergy, Inc.                             5,261,580
     366,014 Exelon Corp.                            16,218,080
     250,089 FirstEnergy Corp.                        9,305,812
      38,033 Hawaiian Electric Industries, Inc.       1,608,035
      98,536 NRG Energy, Inc.                         3,971,001
     106,090 OGE Energy Corp.                         3,569,929
      48,758 Pinnacle West Capital Corp.              3,996,693
      33,418 Portland General Electric Co.            1,539,901
     500,181 PPL Corp.                               13,990,063
     497,974 Southern (The) Co.                      30,132,407
                                               ----------------
                                                    161,295,028
                                               ----------------
             FOOD & STAPLES RETAILING -- 0.9%
     285,114 Walgreens Boots Alliance, Inc.          14,999,848
                                               ----------------
             FOOD PRODUCTS -- 1.6%
      74,309 Campbell Soup Co.                        3,387,747
      72,937 Flowers Foods, Inc.                      1,765,076
     228,086 General Mills, Inc.                     13,897,280
     103,512 Kellogg Co.                              6,658,927
                                               ----------------
                                                     25,709,030
                                               ----------------
             GAS UTILITIES -- 0.5%
      33,789 National Fuel Gas Co.                    1,765,475
      33,216 New Jersey Resources Corp.               1,314,357
      18,306 ONE Gas, Inc.                            1,356,841
      49,873 South Jersey Industries, Inc.            1,293,207
      23,018 Southwest Gas Holdings, Inc.             1,523,562
      20,645 Spire, Inc.                              1,492,014
                                               ----------------
                                                      8,745,456
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 0.4%
     110,715 Cardinal Health, Inc.                    6,320,720
      29,006 Patterson Cos., Inc.                       881,492
                                               ----------------
                                                      7,202,212
                                               ----------------
             HOUSEHOLD DURABLES -- 0.2%
     141,193 Newell Brands, Inc.                      3,878,572
                                               ----------------
             HOUSEHOLD PRODUCTS -- 1.1%
     135,406 Kimberly-Clark Corp.                    18,114,615
                                               ----------------
             INSURANCE -- 2.3%
      29,389 Axis Capital Holdings Ltd.               1,440,355
     100,586 Fidelity National Financial, Inc.        4,371,468
      12,717 Mercury General Corp.                      825,969
     107,889 Old Republic International Corp.         2,687,515


                        See Notes to Financial Statements                Page 25





FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             INSURANCE (CONTINUED)
      99,123 Principal Financial Group, Inc.   $      6,263,582
     195,534 Prudential Financial, Inc.              20,036,369
      85,185 Unum Group                               2,419,254
                                               ----------------
                                                     38,044,512
                                               ----------------
             IT SERVICES -- 4.2%
     441,944 International Business Machines
                Corp.                                64,784,571
     174,324 Western Union (The) Co.                  4,004,222
                                               ----------------
                                                     68,788,793
                                               ----------------
             MEDIA -- 0.7%
     142,984 Interpublic Group of (The) Cos.,
                Inc.                                  4,645,550
      81,871 Omnicom Group, Inc.                      6,548,861
                                               ----------------
                                                     11,194,411
                                               ----------------
             METALS & MINING -- 1.3%
     285,758 Newmont Corp.                           18,111,342
      40,617 Southern Copper Corp.                    2,612,485
                                               ----------------
                                                     20,723,827
                                               ----------------
             MULTI-UTILITIES -- 3.3%
      29,647 Avista Corp.                             1,265,037
      23,347 Black Hills Corp.                        1,532,264
     156,840 Consolidated Edison, Inc.               11,248,565
      68,732 DTE Energy Co.                           8,907,667
     152,892 NiSource, Inc.                           3,745,854
      22,051 NorthWestern Corp.                       1,327,911
     191,468 Public Service Enterprise Group,
                Inc.                                 11,438,298
     112,870 Sempra Energy                           14,953,018
                                               ----------------
                                                     54,418,614
                                               ----------------
             OIL, GAS & CONSUMABLE FUELS
                -- 10.5%
   1,090,849 Chevron Corp.                          114,255,524
     443,508 ConocoPhillips                          27,009,637
     269,758 Devon Energy Corp.                       7,874,236
   1,268,403 Kinder Morgan, Inc.                     23,122,987
                                               ----------------
                                                    172,262,384
                                               ----------------
             PHARMACEUTICALS -- 10.7%
   1,009,325 Merck & Co., Inc.                       78,495,205
   2,482,735 Pfizer, Inc.                            97,223,903
                                               ----------------
                                                    175,719,108
                                               ----------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 4.2%
     143,933 Broadcom, Inc.                          68,633,012
                                               ----------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 0.4%
     453,315 Hewlett Packard Enterprise Co.           6,609,333
                                               ----------------


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             TEXTILES, APPAREL & LUXURY GOODS
                -- 0.2%
     123,177 Hanesbrands, Inc.                 $      2,299,715
                                               ----------------
             THRIFTS & MORTGAGE FINANCE
                -- 0.2%
     301,523 New York Community Bancorp,
                Inc.                                  3,322,783
                                               ----------------
             TOBACCO -- 9.6%
   1,455,505 Altria Group, Inc.                      69,398,478
     877,637 Philip Morris International, Inc.       86,982,603
                                               ----------------
                                                    156,381,081
                                               ----------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 0.1%
      17,393 MSC Industrial Direct Co., Inc.,
                Class A                               1,560,674
                                               ----------------

             TOTAL INVESTMENTS -- 99.8%           1,632,901,644
             (Cost $1,495,406,402) (a)

             NET OTHER ASSETS AND
                LIABILITIES -- 0.2%                   3,639,428
                                               ----------------
             NET ASSETS -- 100.0%              $  1,636,541,072
                                               ================

(a)   Aggregate cost for financial reporting purposes approximates the aggregate
      cost for federal income tax purposes. As of June 30, 2021, the aggregate
      gross unrealized appreciation for all investments in which there was an
      excess of value over tax cost was $148,592,080 and the aggregate gross
      unrealized depreciation for all investments in which there was an excess
      of tax cost over value was $11,096,838. The net unrealized appreciation
      was $137,495,242.

-----------------------------

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2021
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                       LEVEL 2         LEVEL 3
                       LEVEL 1       SIGNIFICANT     SIGNIFICANT
                       QUOTED        OBSERVABLE      UNOBSERVABLE
                       PRICES          INPUTS           INPUTS
                   ------------------------------------------------
Common Stocks*     $ 1,632,901,644  $          --  $             --
                   ================================================

* See Portfolio of Investments for industry breakout.


Page 26                 See Notes to Financial Statements





FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             AUTO COMPONENTS -- 0.6%
     245,297 BorgWarner, Inc.                  $     11,906,716
                                               ----------------
             BANKS -- 0.8%
     496,284 KeyCorp                                 10,248,264
     151,976 Synovus Financial Corp.                  6,668,707
                                               ----------------
                                                     16,916,971
                                               ----------------
             BEVERAGES -- 1.2%
     724,813 Keurig Dr Pepper, Inc.                  25,542,410
                                               ----------------
             BIOTECHNOLOGY -- 3.2%
     141,275 Alexion Pharmaceuticals, Inc. (a)       25,953,630
      33,276 Biohaven Pharmaceutical Holding
                Co., Ltd. (a)                         3,230,434
      22,089 C4 Therapeutics, Inc. (a)                  835,848
      87,724 Exact Sciences Corp. (a)                10,904,971
     229,875 Horizon Therapeutics PLC (a)            21,525,495
      45,191 Karuna Therapeutics, Inc. (a)            5,151,322
                                               ----------------
                                                     67,601,700
                                               ----------------
             BUILDING PRODUCTS -- 1.3%
     555,463 Carrier Global Corp.                    26,995,502
                                               ----------------
             CAPITAL MARKETS -- 6.1%
     186,727 Coinbase Global, Inc., Class A (a)      47,297,949
     184,448 Focus Financial Partners, Inc.,
                Class A (a)                           8,945,728
     831,251 Tradeweb Markets, Inc., Class A         70,290,585
                                               ----------------
                                                    126,534,262
                                               ----------------
             CHEMICALS -- 4.0%
     755,094 Corteva, Inc.                           33,488,419
     762,156 Dow, Inc.                               48,229,232
      51,302 Zymergen, Inc. (a)                       2,052,593
                                               ----------------
                                                     83,770,244
                                               ----------------
             CONSTRUCTION & ENGINEERING
                -- 0.5%
      61,585 Arcosa, Inc.                             3,617,503
     231,979 WillScot Mobile Mini Holdings
                Corp. (a)                             6,465,255
                                               ----------------
                                                     10,082,758
                                               ----------------
             CONSUMER FINANCE -- 0.6%
     406,374 SoFi Technologies, Inc. (a)              7,790,190
      39,325 Upstart Holdings, Inc. (a)               4,911,692
                                               ----------------
                                                     12,701,882
                                               ----------------
             DIVERSIFIED FINANCIAL SERVICES
                -- 0.3%
     219,001 Equitable Holdings, Inc.                 6,668,580
                                               ----------------
             ELECTRICAL EQUIPMENT -- 0.4%
      48,052 Atkore, Inc. (a)                         3,411,692
     180,104 Vertiv Holdings Co.                      4,916,839
                                               ----------------
                                                      8,328,531
                                               ----------------


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 2.7%
     827,164 Corning, Inc.                     $     33,831,008
     141,308 Keysight Technologies, Inc. (a)         21,819,368
                                               ----------------
                                                     55,650,376
                                               ----------------
             ENERGY EQUIPMENT & SERVICES
                -- 0.2%
     154,435 ChampionX Corp. (a)                      3,961,258
                                               ----------------
             ENTERTAINMENT -- 1.0%
     233,111 ROBLOX Corp., Class A (a)               20,975,328
                                               ----------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 0.5%
     747,334 DigitalBridge Group, Inc. (a)            5,903,939
      54,473 Safehold, Inc.                           4,276,130
                                               ----------------
                                                     10,180,069
                                               ----------------
             FOOD & STAPLES RETAILING -- 0.7%
     238,557 Albertsons Cos., Inc., Class A (b)       4,690,031
     210,374 BJ's Wholesale Club Holdings,
                Inc. (a)                             10,009,595
                                               ----------------
                                                     14,699,626
                                               ----------------
             FOOD PRODUCTS -- 0.9%
      64,496 Beyond Meat, Inc. (a) (b)               10,157,475
     195,877 Simply Good Foods (The) Co. (a)          7,151,469
      69,987 Utz Brands, Inc.                         1,525,017
                                               ----------------
                                                     18,833,961
                                               ----------------
             HEALTH CARE EQUIPMENT & SUPPLIES
                -- 1.7%
     312,708 Alcon, Inc.                             21,970,864
     164,430 Envista Holdings Corp. (a)               7,105,020
     120,126 Ortho Clinical Diagnostics
                Holdings PLC (a)                      2,571,898
      17,889 Shockwave Medical, Inc. (a)              3,394,080
                                               ----------------
                                                     35,041,862
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 1.3%
      69,004 Accolade, Inc. (a)                       3,747,607
     199,856 agilon health, Inc. (a)                  8,108,158
      63,963 HealthEquity, Inc. (a)                   5,147,742
     123,127 Oak Street Health, Inc. (a)              7,211,549
      45,268 Progyny, Inc. (a)                        2,670,812
                                               ----------------
                                                     26,885,868
                                               ----------------
             HEALTH CARE TECHNOLOGY -- 0.1%
      22,766 Health Catalyst, Inc. (a)                1,263,741
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 3.0%
     221,043 Airbnb, Inc., Class A (a)               33,850,525
     304,512 DraftKings, Inc., Class A (a)           15,886,391
      75,155 Expedia Group, Inc. (a)                 12,303,625
                                               ----------------
                                                     62,040,541
                                               ----------------
             HOUSEHOLD DURABLES -- 0.4%
     254,857 Sonos, Inc. (a)                          8,978,612
                                               ----------------


                        See Notes to Financial Statements                Page 27





FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             INSURANCE -- 0.7%
      78,506 Lemonade, Inc. (a) (b)            $      8,589,341
     334,204 Selectquote, Inc. (a)                    6,436,769
                                               ----------------
                                                     15,026,110
                                               ----------------
             INTERACTIVE MEDIA & SERVICES
                -- 9.7%
      96,683 Bumble, Inc., Class A (a) (b)            5,568,941
     635,046 Pinterest, Inc., Class A (a)            50,136,881
   2,142,391 Snap, Inc., Class A (a)                145,982,523
                                               ----------------
                                                    201,688,345
                                               ----------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 1.2%
     180,563 Chewy, Inc., Class A (a)                14,392,677
     232,182 RealReal (The), Inc. (a)                 4,587,916
     109,562 Stitch Fix, Inc., Class A (a)            6,606,589
                                               ----------------
                                                     25,587,182
                                               ----------------
             IT SERVICES -- 3.1%
     289,670 Shift4 Payments, Inc., Class A (a)      27,147,872
     123,527 Switch, Inc., Class A                    2,607,655
      88,310 Twilio, Inc., Class A (a)               34,808,270
                                               ----------------
                                                     64,563,797
                                               ----------------
             LEISURE PRODUCTS -- 1.6%
     113,619 Acushnet Holdings Corp.                  5,612,778
     312,279 YETI Holdings, Inc. (a)                 28,673,458
                                               ----------------
                                                     34,286,236
                                               ----------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 6.5%
     123,523 10X Genomics, Inc., Class A (a)         24,188,274
   1,488,409 Avantor, Inc. (a)                       52,853,404
     263,513 Maravai LifeSciences Holdings,
                Inc., Class A (a)                    10,996,397
     128,763 Medpace Holdings, Inc. (a)              22,743,409
     538,762 PPD, Inc. (a)                           24,831,540
                                               ----------------
                                                    135,613,024
                                               ----------------
             MACHINERY -- 1.7%
     447,358 Gates Industrial Corp. PLC (a)           8,083,759
     329,170 Otis Worldwide Corp.                    26,916,231
                                               ----------------
                                                     34,999,990
                                               ----------------
             METALS & MINING -- 0.2%
     112,532 Arconic Corp. (a)                        4,008,390
                                               ----------------
             OIL, GAS & CONSUMABLE FUELS
                -- 0.5%
     663,732 Range Resources Corp. (a)               11,124,148
                                               ----------------
             PHARMACEUTICALS -- 0.9%
     544,209 Elanco Animal Health, Inc. (a)          18,878,610
                                               ----------------
             PROFESSIONAL SERVICES -- 1.3%
     199,761 Jacobs Engineering Group, Inc.          26,652,113
                                               ----------------
             REAL ESTATE MANAGEMENT
                & DEVELOPMENT -- 0.3%
      26,236 Jones Lang LaSalle, Inc. (a)             5,128,089
                                               ----------------


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             ROAD & RAIL -- 6.5%
     336,855 Lyft, Inc., Class A (a)           $     20,372,990
     106,895 TuSimple Holdings, Inc.,
                Class A (a)                           7,615,200
   2,160,726 Uber Technologies, Inc. (a)            108,295,587
                                               ----------------
                                                    136,283,777
                                               ----------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 8.2%
   2,933,413 Marvell Technology, Inc.               171,105,980
                                               ----------------
             SOFTWARE -- 19.4%
     186,478 AppLovin Corp., Class A (a) (b)         14,017,551
      83,674 Asana, Inc., Class A (a) (b)             5,190,298
      95,516 Bill.com Holdings, Inc. (a)             17,496,621
     317,683 Cloudflare, Inc., Class A (a)           33,623,569
     230,940 Crowdstrike Holdings, Inc.,
                Class A (a)                          58,037,531
     224,170 DocuSign, Inc. (a)                      62,671,207
     820,652 Dropbox, Inc., Class A (a)              24,873,962
     580,196 Dynatrace, Inc. (a)                     33,895,050
      23,069 J2 Global, Inc. (a)                      3,173,141
     661,278 McAfee Corp., Class A                   18,529,010
     959,692 Palantir Technologies, Inc.,
                Class A (a)                          25,297,481
      66,004 Procore Technologies, Inc. (a)           6,267,080
     219,238 Sprout Social, Inc., Class A (a)        19,604,262
      33,238 Verint Systems, Inc. (a)                 1,498,037
     165,737 Zoom Video Communications, Inc.,
                Class A (a)                          64,145,191
      70,049 Zscaler, Inc. (a)                       15,134,787
                                               ----------------
                                                    403,454,778
                                               ----------------
             SPECIALTY RETAIL -- 3.2%
     141,288 Academy Sports & Outdoors,
                Inc. (a)                              5,826,717
     198,337 Carvana Co. (a)                         59,862,073
                                               ----------------
                                                     65,688,790
                                               ----------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 2.2%
     468,624 Dell Technologies, Inc.,
                Class C (a)                          46,707,754
                                               ----------------
             TEXTILES, APPAREL & LUXURY GOODS
                -- 0.6%
      58,941 Kontoor Brands, Inc.                     3,324,862
     307,095 Levi Strauss & Co., Class A              8,512,673
                                               ----------------
                                                     11,837,535
                                               ----------------
             THRIFTS & MORTGAGE FINANCE
                -- 0.7%
     761,422 Rocket Cos., Inc., Class A (b)          14,733,516
                                               ----------------
             TOTAL COMMON STOCKS
                -- 100.0%                         2,082,928,962
             (Cost $1,606,124,819)             ----------------


Page 28                 See Notes to Financial Statements





FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

 PRINCIPAL
   VALUE     DESCRIPTION                                  VALUE
---------------------------------------------------------------
               REPURCHASE AGREEMENTS -- 1.3%
$ 13,341,527 Bank of America Corp.,
                0.05% (c), dated 06/30/21, due
                07/01/21, with a maturity
                value of $13,341,546.
                Collateralized by U.S.
                Treasury Securities, interest
                rate of 2.875%  to 3.625%, due
                02/15/2044 to 05/15/2049. The
                value of the collateral
                including accrued interest is
                $13,608,358. (d)               $     13,341,527

  13,341,527 JPMorgan Chase & Co.,
                0.05% (c), dated 06/30/21, due
                07/01/21, with a maturity
                value of $13,341,546.
                Collateralized by U.S.
                Treasury Securities, interest
                rate of 0.125% to  2.750%, due
                12/31/2022 to 11/15/2023. The
                value of the collateral
                including accrued interest is
                $13,608,361. (d)                     13,341,527

     853,603 Mizuho Financial Group, Inc.,
                0.04% (c), dated 06/30/21, due
                07/01/21, with a maturity
                value of $853,604.
                Collateralized by U.S.
                Treasury Securities, interest
                rate of 0.125% to 2.875%, due
                07/31/2021 to 11/15/2030. The
                value of the collateral
                including accrued interest is
                $870,676. (d)                           853,603
                                               ----------------
             TOTAL REPURCHASE AGREEMENTS
                -- 1.3%                              27,536,657
             (Cost $27,536,657)                ----------------

             TOTAL INVESTMENTS -- 101.3%          2,110,465,619
             (Cost $1,633,661,476) (e)

             NET OTHER ASSETS AND
                LIABILITIES -- (1.3)%               (27,378,292)
                                               ----------------
             NET ASSETS -- 100.0%              $  2,083,087,327
                                               ================

(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 $26,313,728 and the
      total value of the collateral held by the Fund is $27,536,657.

(c)   Rate shown reflects yield as of June 30, 2021.

(d)   This security serves as collateral for securities on loan.

(e)   Aggregate cost for financial reporting purposes approximates the aggregate
      cost for federal income tax purposes. As of June 30, 2021, the aggregate
      gross unrealized appreciation for all investments in which there was an
      excess of value over tax cost was $495,125,353 and the aggregate gross
      unrealized depreciation for all investments in which there was an excess
      of tax cost over value was $18,321,210. The net unrealized appreciation
      was $476,804,143.

-----------------------------

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2021
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                       LEVEL 2         LEVEL 3
                       LEVEL 1       SIGNIFICANT     SIGNIFICANT
                       QUOTED        OBSERVABLE      UNOBSERVABLE
                       PRICES          INPUTS           INPUTS
                   ------------------------------------------------
Common Stocks*     $ 2,082,928,962  $          --  $             --
Repurchase
   Agreements                   --     27,536,657                --
                   ------------------------------------------------
Total Investments  $ 2,082,928,962  $  27,536,657  $             --
                   ================================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 29





FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).

The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:

SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $     26,313,728
Non-cash Collateral(2)                              (26,313,728)
                                               ----------------
Net Amount                                     $             --
                                               ================

(1)   The amount presented on the Statements of Assets and Liabilities, which is
      included in "Investments, at value," is not offset and is shown on a gross
      basis.

(2)   At June 30, 2021, the value of the collateral received from each borrower
      exceeded the value of the related securities loaned. This amount is
      disclosed on the Portfolio of Investments.

The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:

REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $     27,536,657
Non-cash Collateral(4)                              (27,536,657)
                                               ----------------
Net Amount                                     $             --
                                               ================

(3)   The amount is included in "Investments, at value" on the Statements of
      Assets and Liabilities.

(4)   At June 30, 2021, the value of the collateral received from each seller
      exceeded the value of the repurchase agreements.


Page 30                 See Notes to Financial Statements





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

PORTFOLIO OF INVESTMENTS
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             BIOTECHNOLOGY -- 80.1%
   2,904,300 ACADIA Pharmaceuticals,
                Inc. (a)                       $     70,835,877
   1,123,212 Agios Pharmaceuticals, Inc. (a)         61,900,213
     375,334 Alexion Pharmaceuticals, Inc. (a)       68,952,609
   3,091,268 Alkermes PLC (a)                        75,797,891
     442,138 Alnylam Pharmaceuticals, Inc. (a)       74,951,234
     240,322 Amgen, Inc.                             58,578,488
     227,336 Biogen, Inc. (a)                        78,719,637
     773,861 BioMarin Pharmaceutical, Inc. (a)       64,570,962
   2,172,193 Bluebird Bio, Inc. (a)                  69,466,732
     472,310 Exact Sciences Corp. (a)                58,712,856
   2,604,125 Exelixis, Inc. (a)                      47,447,158
   3,085,239 FibroGen, Inc. (a)                      82,159,915
     918,610 Gilead Sciences, Inc.                   63,255,485
   3,416,492 Grifols S.A., ADR                       59,276,136
     742,777 Incyte Corp. (a)                        62,489,829
   1,506,432 Ionis Pharmaceuticals, Inc. (a)         60,091,572
     359,618 Moderna, Inc. (a)                       84,503,038
     636,070 Neurocrine Biosciences, Inc. (a)        61,902,332
     122,015 Regeneron Pharmaceuticals,
                Inc. (a)                             68,150,258
     855,514 Sarepta Therapeutics, Inc. (a)          66,507,658
     422,190 Seagen, Inc. (a)                        66,655,357
     565,088 Ultragenyx Pharmaceutical,
                Inc. (a)                             53,881,141
     301,567 United Therapeutics Corp. (a)           54,104,135
     279,762 Vertex Pharmaceuticals, Inc. (a)        56,408,412
                                               ----------------
                                                  1,569,318,925
                                               ----------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 17.1%
     146,606 Bio-Techne Corp.                        66,010,817
     189,753 Charles River Laboratories
                International, Inc. (a)              70,193,430
     154,027 Illumina, Inc. (a)                      72,887,117
     284,862 IQVIA Holdings, Inc. (a)                69,027,760
   1,164,503 QIAGEN N.V. (a)                         56,338,655
                                               ----------------
                                                    334,457,779
                                               ----------------
             PHARMACEUTICALS -- 2.8%
   3,232,773 Nektar Therapeutics (a)                 55,474,385
                                               ----------------
             TOTAL INVESTMENTS -- 100.0%          1,959,251,089
             (Cost $1,852,394,344) (b)

             NET OTHER ASSETS AND
                LIABILITIES -- 0.0%                     639,581
                                               ----------------
             NET ASSETS -- 100.0%              $  1,959,890,670
                                               ================

(a)   Non-income producing security.

(b)   Aggregate cost for financial reporting purposes approximates the aggregate
      cost for federal income tax purposes. As of June 30, 2021, the aggregate
      gross unrealized appreciation for all investments in which there was an
      excess of value over tax cost was $333,867,096 and the aggregate gross
      unrealized depreciation for all investments in which there was an excess
      of tax cost over value was $227,010,351. The net unrealized appreciation
      was $106,856,745.

ADR   - American Depositary Receipt

-----------------------------

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2021
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                       LEVEL 2         LEVEL 3
                       LEVEL 1       SIGNIFICANT     SIGNIFICANT
                       QUOTED        OBSERVABLE      UNOBSERVABLE
                       PRICES          INPUTS           INPUTS
                   ------------------------------------------------
Common Stocks*     $ 1,959,251,089  $          --  $             --
                   ================================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 31





FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             COMMUNICATIONS EQUIPMENT
                -- 8.6%
     461,760 Arista Networks, Inc. (a)         $    167,300,266
   1,952,728 Ciena Corp. (a)                        111,090,696
   8,638,505 Cisco Systems, Inc.                    457,840,765
   3,884,465 CommScope Holding Co., Inc. (a)         82,777,949
   4,124,588 Juniper Networks, Inc.                 112,807,482
                                               ----------------
                                                    931,817,158
                                               ----------------
             ENTERTAINMENT -- 4.6%
     934,980 Netflix, Inc. (a)                      493,865,786
                                               ----------------
             HEALTH CARE TECHNOLOGY -- 4.0%
   1,103,970 Teladoc Health, Inc. (a)               183,579,171
     798,849 Veeva Systems, Inc., Class A (a)       248,402,097
                                               ----------------
                                                    431,981,268
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 1.6%
   1,065,678 Expedia Group, Inc. (a)                174,462,145
                                               ----------------
             INTERACTIVE MEDIA & SERVICES
                -- 29.8%
     212,485 Alphabet, Inc., Class A (a)            518,843,748
     201,182 Alphabet, Inc., Class C (a)            504,226,470
   1,371,088 Bumble, Inc., Class A (a)               78,974,669
   2,320,921 Facebook, Inc., Class A (a)            807,007,441
   1,601,548 Match Group, Inc. (a)                  258,249,615
   3,339,846 Pinterest, Inc., Class A (a)           263,680,842
   4,478,553 Snap, Inc., Class A (a)                305,168,601
   4,226,995 Twitter, Inc. (a)                      290,859,526
     292,427 Zillow Group, Inc., Class A (a)         35,831,080
   1,273,693 Zillow Group, Inc., Class C (a)        155,670,759
                                               ----------------
                                                  3,218,512,751
                                               ----------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 15.4%
     297,764 Amazon.com, Inc. (a)                 1,024,355,802
   3,627,845 eBay, Inc.                             254,710,998
   1,028,691 Etsy, Inc. (a)                         211,745,755
     562,553 Wayfair, Inc., Class A (a)             177,603,608
                                               ----------------
                                                  1,668,416,163
                                               ----------------
             IT SERVICES -- 14.3%
   1,390,209 Akamai Technologies, Inc. (a)          162,098,370
   1,578,443 Fastly, Inc., Class A (a) (b)           94,075,203
   1,712,983 GoDaddy, Inc., Class A (a)             148,961,002
     891,915 Okta, Inc. (a)                         218,233,762
   2,035,905 PayPal Holdings, Inc. (a)              593,425,589
     596,614 Snowflake, Inc., Class A (a)           144,261,265
     795,980 VeriSign, Inc. (a)                     181,236,686
                                               ----------------
                                                  1,542,291,877
                                               ----------------
             SOFTWARE -- 21.7%
   3,094,036 Box, Inc., Class A (a)                  79,052,620
   1,220,119 Citrix Systems, Inc.                   143,083,355
   4,740,182 Cloudera, Inc. (a)                      75,179,287
     690,656 Coupa Software, Inc. (a)               181,027,844
   1,819,438 Datadog, Inc., Class A (a)             189,367,107
   1,046,226 DocuSign, Inc. (a)                     292,493,403


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             SOFTWARE (CONTINUED)
   3,883,779 Dropbox, Inc., Class A (a)        $    117,717,341
   2,977,245 Nutanix, Inc., Class A (a)             113,790,304
   1,937,955 salesforce.com, Inc. (a)               473,384,268
   5,133,824 Vonage Holdings Corp. (a)               73,978,404
   1,060,406 Workday, Inc., Class A (a)             253,161,328
     912,148 Zoom Video Communications,
                Inc., Class A (a)                   353,028,640
                                               ----------------
                                                  2,345,263,901
                                               ----------------
             TOTAL COMMON STOCKS
                -- 100.0%                        10,806,611,049
             (Cost $7,399,383,503)             ----------------

             MONEY MARKET FUNDS -- 0.4%
  33,401,137 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                0.01% (c) (d)                        33,401,137
   8,272,092 Morgan Stanley Institutional
                Liquidity Funds - Treasury
                Portfolio - Institutional
                Class - 0.01% (c)                     8,272,092
                                               ----------------
             TOTAL MONEY MARKET FUNDS
                -- 0.4%                              41,673,229
             (Cost $41,673,229)                ----------------

             TOTAL INVESTMENTS -- 100.4%         10,848,284,278
             (Cost $7,441,056,732) (e)

             NET OTHER ASSETS AND
                LIABILITIES -- (0.4)%               (39,649,938)
                                               ----------------
             NET ASSETS -- 100.0%              $ 10,808,634,340
                                               ================

(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 $32,190,377 and the
      total value of the collateral held by the Fund is $33,401,137.

(c)   Rate shown reflects yield as of June 30, 2021.

(d)   This security serves as collateral for securities on loan.

(e)   Aggregate cost for financial reporting purposes approximates the aggregate
      cost for federal income tax purposes. As of June 30, 2021, the aggregate
      gross unrealized appreciation for all investments in which there was an
      excess of value over tax cost was $3,512,588,102 and the aggregate gross
      unrealized depreciation for all investments in which there was an excess
      of tax cost over value was $105,360,556. The net unrealized appreciation
      was $3,407,227,546.


Page 32                 See Notes to Financial Statements





FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

-----------------------------

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2021
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                       LEVEL 2         LEVEL 3
                       LEVEL 1       SIGNIFICANT     SIGNIFICANT
                       QUOTED        OBSERVABLE      UNOBSERVABLE
                       PRICES          INPUTS           INPUTS
                   ------------------------------------------------
Common Stocks*     $10,806,611,049  $          --  $             --
Money Market
   Funds                41,673,229             --                --
                   ------------------------------------------------
Total Investments  $10,848,284,278  $          --  $             --
                   ================================================

* 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)     $     32,190,377
Non-cash Collateral(2)                              (32,190,377)
                                               ----------------
Net Amount                                     $             --
                                               ================

(1)   The amount presented on the Statements of Assets and Liabilities, which is
      included in "Investments, at value," is not offset and is shown on a gross
      basis.

(2)   At June 30, 2021, the value of the collateral received from each borrower
      exceeded the value of the related securities loaned. This amount is
      disclosed on the Portfolio of Investments.


                        See Notes to Financial Statements                Page 33





FIRST TRUST CAPITAL STRENGTH ETF (FTCS)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AEROSPACE & DEFENSE -- 5.9%
     857,805 General Dynamics Corp.            $    161,490,369
     403,867 Lockheed Martin Corp.                  152,803,080
     456,774 Northrop Grumman Corp.                 166,005,375
                                               ----------------
                                                    480,298,824
                                               ----------------
             AIR FREIGHT & LOGISTICS -- 4.5%
   1,422,633 Expeditors International of
                Washington, Inc.                    180,105,338
     880,527 United Parcel Service, Inc.,
                Class B                             183,123,200
                                               ----------------
                                                    363,228,538
                                               ----------------
             BEVERAGES -- 7.7%
   2,130,880 Brown-Forman Corp., Class B            159,688,147
   2,947,827 Coca-Cola (The) Co.                    159,506,919
   1,611,892 Monster Beverage Corp. (a)             147,246,334
   1,097,666 PepsiCo, Inc.                          162,641,172
                                               ----------------
                                                    629,082,572
                                               ----------------
             BIOTECHNOLOGY -- 1.9%
     618,822 Amgen, Inc.                            150,837,863
                                               ----------------
             CAPITAL MARKETS -- 6.4%
     491,429 Moody's Corp.                          178,079,127
     987,948 Nasdaq, Inc.                           173,681,258
     418,542 S&P Global, Inc.                       171,790,564
                                               ----------------
                                                    523,550,949
                                               ----------------
             COMMUNICATIONS EQUIPMENT -- 2.0%
   2,996,956 Cisco Systems, Inc.                    158,838,668
                                               ----------------
             CONTAINERS & PACKAGING -- 1.7%
   1,738,703 Ball Corp.                             140,869,717
                                               ----------------
             ELECTRICAL EQUIPMENT -- 2.0%
   1,191,112 AMETEK, Inc.                           159,013,452
                                               ----------------
             ENTERTAINMENT -- 2.0%
   1,121,863 Electronic Arts, Inc.                  161,357,555
                                               ----------------
             FOOD & STAPLES RETAILING -- 4.0%
     426,845 Costco Wholesale Corp.                 168,889,761
   1,125,378 Walmart, Inc.                          158,700,806
                                               ----------------
                                                    327,590,567
                                               ----------------
             FOOD PRODUCTS -- 4.0%
   2,581,391 General Mills, Inc.                    157,284,154
     982,914 Hershey (The) Co.                      171,203,960
                                               ----------------
                                                    328,488,114
                                               ----------------
             HEALTH CARE EQUIPMENT
                & SUPPLIES -- 2.3%
   1,777,572 Edwards Lifesciences Corp. (a)         184,103,132
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 6.0%
     363,534 Humana, Inc.                           160,943,773
   1,216,197 Quest Diagnostics, Inc.                160,501,518
     404,694 UnitedHealth Group, Inc.               162,055,665
                                               ----------------
                                                    483,500,956
                                               ----------------
             HEALTH CARE TECHNOLOGY -- 2.0%
   2,101,171 Cerner Corp.                           164,227,525
                                               ----------------


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             HOUSEHOLD DURABLES -- 2.0%
   1,125,459 Garmin Ltd.                       $    162,786,390
                                               ----------------
             HOUSEHOLD PRODUCTS -- 1.9%
   1,152,926 Procter & Gamble (The) Co.             155,564,305
                                               ----------------
             INDUSTRIAL CONGLOMERATES -- 3.8%
     796,856 3M Co.                                 158,279,507
     681,742 Honeywell International, Inc.          149,540,108
                                               ----------------
                                                    307,819,615
                                               ----------------
             INSURANCE -- 8.1%
   1,294,921 Allstate (The) Corp.                   168,909,495
     661,755 Aon PLC, Class A                       158,000,624
   1,241,678 Marsh & McLennan Cos., Inc.            174,679,261
   1,602,261 Progressive (The) Corp.                157,358,053
                                               ----------------
                                                    658,947,433
                                               ----------------
             IT SERVICES -- 4.0%
     551,436 Accenture PLC, Class A                 162,557,819
     820,149 Automatic Data Processing, Inc.        162,897,994
                                               ----------------
                                                    325,455,813
                                               ----------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 2.1%
   1,175,798 Agilent Technologies, Inc.             173,794,702
                                               ----------------
             MACHINERY -- 3.9%
     717,409 IDEX Corp.                             157,865,850
     706,333 Illinois Tool Works, Inc.              157,907,806
                                               ----------------
                                                    315,773,656
                                               ----------------
             MULTILINE RETAIL -- 2.0%
     730,090 Dollar General Corp.                   157,984,175
                                               ----------------
             PHARMACEUTICALS -- 6.2%
     975,343 Johnson & Johnson                      160,678,006
   2,122,519 Merck & Co., Inc.                      165,068,303
     943,979 Zoetis, Inc.                           175,919,926
                                               ----------------
                                                    501,666,235
                                               ----------------
             ROAD & RAIL -- 3.8%
   4,812,632 CSX Corp.                              154,389,234
     710,518 Union Pacific Corp.                    156,264,224
                                               ----------------
                                                    310,653,458
                                               ----------------
             SOFTWARE -- 2.0%
     606,886 Microsoft Corp.                        164,405,417
                                               ----------------
             SPECIALTY RETAIL -- 3.7%
     482,321 Home Depot (The), Inc.                 153,807,344
     759,854 Lowe's Cos., Inc.                      147,388,880
                                               ----------------
                                                    301,196,224
                                               ----------------
             TEXTILES, APPAREL & LUXURY GOODS
                -- 2.2%
   1,178,163 NIKE, Inc., Class B                    182,014,402
                                               ----------------
             TOBACCO -- 1.8%
   3,025,030 Altria Group, Inc.                     144,233,430
                                               ----------------
             TOTAL INVESTMENTS -- 99.9%           8,117,283,687
             (Cost $7,051,182,634) (b)

             NET OTHER ASSETS AND
                LIABILITIES -- 0.1%                   8,268,698
                                               ----------------
             NET ASSETS -- 100.0%              $  8,125,552,385
                                               ================


Page 34                 See Notes to Financial Statements





FIRST TRUST CAPITAL STRENGTH ETF (FTCS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

(a)   Non-income producing security.

(b)   Aggregate cost for financial reporting purposes approximates the aggregate
      cost for federal income tax purposes. As of June 30, 2021, the aggregate
      gross unrealized appreciation for all investments in which there was an
      excess of value over tax cost was $1,128,775,648 and the aggregate gross
      unrealized depreciation for all investments in which there was an excess
      of tax cost over value was $62,674,595. The net unrealized appreciation
      was $1,066,101,053.

-----------------------------

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2021
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                       LEVEL 2         LEVEL 3
                       LEVEL 1       SIGNIFICANT     SIGNIFICANT
                       QUOTED        OBSERVABLE      UNOBSERVABLE
                       PRICES          INPUTS           INPUTS
                   ------------------------------------------------
Common Stocks*     $ 8,117,283,687  $          --  $             --
                   ================================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 35





FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AEROSPACE & DEFENSE -- 2.4%
     306,821 General Dynamics Corp.            $     57,762,121
     262,857 L3Harris Technologies, Inc.             56,816,541
     153,031 Lockheed Martin Corp.                   57,899,279
     156,802 Northrop Grumman Corp.                  56,986,551
     665,161 Raytheon Technologies Corp.             56,744,885
                                               ----------------
                                                    286,209,377
                                               ----------------
             AIR FREIGHT & LOGISTICS -- 1.0%
     620,392 C.H. Robinson Worldwide, Inc.           58,112,119
     287,888 United Parcel Service, Inc.,
                Class B                              59,872,067
                                               ----------------
                                                    117,984,186
                                               ----------------
             AUTOMOBILES -- 0.5%
     327,224 Toyota Motor Corp., ADR                 57,211,844
                                               ----------------
             BANKS -- 5.0%
     564,946 Bank of Montreal                        57,940,862
     905,399 Bank of Nova Scotia (The)               58,914,313
     493,997 Canadian Imperial Bank of
                Commerce                             56,246,498
     797,576 Commerce Bancshares, Inc.               59,467,267
     389,117 JPMorgan Chase & Co.                    60,523,258
     396,442 M&T Bank Corp.                          57,606,987
     317,869 PNC Financial Services Group
                (The), Inc.                          60,636,690
     572,795 Royal Bank of Canada                    58,029,862
     825,471 Toronto-Dominion (The) Bank             57,824,244
   1,045,625 U.S. Bancorp                            59,569,256
                                               ----------------
                                                    586,759,237
                                               ----------------
             BEVERAGES -- 2.0%
   1,076,788 Coca-Cola (The) Co.                     58,264,999
     259,077 Constellation Brands, Inc.,
                Class A                              60,595,519
     301,200 Diageo PLC, ADR                         57,737,028
     399,381 PepsiCo, Inc.                           59,176,283
                                               ----------------
                                                    235,773,829
                                               ----------------
             BIOTECHNOLOGY -- 1.0%
     243,647 Amgen, Inc.                             59,388,956
     869,106 Gilead Sciences, Inc.                   59,846,639
                                               ----------------
                                                    119,235,595
                                               ----------------
             BUILDING PRODUCTS -- 1.0%
     865,382 A.O. Smith Corp.                        62,359,427
     882,475 Johnson Controls International
                PLC                                  60,564,259
                                               ----------------
                                                    122,923,686
                                               ----------------
             CAPITAL MARKETS -- 4.6%
   1,178,693 Bank of New York Mellon (The)
                Corp.                                60,384,442
      67,959 BlackRock, Inc.                         59,462,086
     495,879 Cboe Global Markets, Inc.               59,034,395
     270,982 CME Group, Inc.                         57,632,452
   1,805,500 Franklin Resources, Inc.                57,757,945
     163,719 Goldman Sachs Group (The), Inc.         62,136,272
     751,107 Houlihan Lokey, Inc.                    61,433,042
     681,109 Morgan Stanley                          62,450,884


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             CAPITAL MARKETS (CONTINUED)
     304,907 T. Rowe Price Group, Inc.         $     60,362,439
                                               ----------------
                                                    540,653,957
                                               ----------------
             CHEMICALS -- 2.5%
     197,372 Air Products and Chemicals, Inc.        56,779,977
     394,409 International Flavors &
                Fragrances, Inc.                     58,924,704
     203,008 Linde PLC                               58,689,613
     186,412 NewMarket Corp.                         60,020,936
     662,907 Sensient Technologies Corp.             57,381,230
                                               ----------------
                                                    291,796,460
                                               ----------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 1.0%
     539,832 Republic Services, Inc.                 59,386,918
     420,024 Waste Management, Inc.                  58,849,563
                                               ----------------
                                                    118,236,481
                                               ----------------
             COMMUNICATIONS EQUIPMENT
                -- 1.5%
   1,100,679 Cisco Systems, Inc.                     58,335,987
   2,117,738 Juniper Networks, Inc.                  57,920,134
     277,011 Motorola Solutions, Inc.                60,069,836
                                               ----------------
                                                    176,325,957
                                               ----------------
             CONTAINERS & PACKAGING -- 1.5%
     432,532 Packaging Corp. of America              58,573,483
   1,428,007 Silgan Holdings, Inc.                   59,262,290
     889,445 Sonoco Products Co.                     59,503,871
                                               ----------------
                                                    177,339,644
                                               ----------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 2.0%
   2,023,306 AT&T, Inc.                              58,230,747
   1,181,793 BCE, Inc.                               58,286,031
   2,607,317 TELUS Corp.                             58,482,120
   1,038,027 Verizon Communications, Inc.            58,160,653
                                               ----------------
                                                    233,159,551
                                               ----------------
             ELECTRIC UTILITIES -- 9.7%
     855,636 ALLETE, Inc.                            59,877,407
   1,021,002 Alliant Energy Corp.                    56,931,072
     703,619 American Electric Power Co., Inc.       59,519,131
   1,117,704 Avangrid, Inc.                          57,483,517
     577,767 Duke Energy Corp.                       57,037,158
     560,188 Entergy Corp.                           55,850,744
     918,763 Evergy, Inc.                            55,520,848
     725,418 Eversource Energy                       58,207,540
   1,280,560 Fortis, Inc.                            56,639,169
   1,362,522 Hawaiian Electric Industries,
                Inc.                                 57,607,430
     581,793 IDACORP, Inc.                           56,724,818
     773,131 MGE Energy, Inc.                        57,551,872
     787,494 NextEra Energy, Inc.                    57,707,560
   1,705,542 OGE Energy Corp.                        57,391,488
   1,198,735 Otter Tail Corp.                        58,510,255
     708,388 Pinnacle West Capital Corp.             58,066,564
   1,196,779 PNM Resources, Inc.                     58,366,912
   2,081,592 PPL Corp.                               58,222,128
     936,552 Southern (The) Co.                      56,670,762


Page 36                 See Notes to Financial Statements





FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             ELECTRIC UTILITIES (CONTINUED)
     871,824 Xcel Energy, Inc.                 $     57,435,765
                                               ----------------
                                                  1,151,322,140
                                               ----------------
             ELECTRICAL EQUIPMENT -- 2.0%
   1,734,859 ABB Ltd., ADR                           58,967,857
     616,607 Emerson Electric Co.                    59,342,258
     325,069 Hubbell, Inc.                           60,735,892
     208,807 Rockwell Automation, Inc.               59,722,978
                                               ----------------
                                                    238,768,985
                                               ----------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 1.5%
   1,484,886 Avnet, Inc.                             59,514,231
   1,486,015 Corning, Inc.                           60,778,013
     444,652 TE Connectivity Ltd.                    60,121,397
                                               ----------------
                                                    180,413,641
                                               ----------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 3.4%
     218,627 American Tower Corp.                    59,059,898
     432,181 Camden Property Trust                   57,337,453
     296,154 Crown Castle International Corp.        57,779,646
   1,200,701 Duke Realty Corp.                       56,853,192
     342,350 Mid-America Apartment
                Communities, Inc.                    57,658,587
     477,479 Prologis, Inc.                          57,073,065
     192,828 Public Storage                          57,981,451
                                               ----------------
                                                    403,743,292
                                               ----------------
             FOOD & STAPLES RETAILING -- 0.5%
     429,133 Walmart, Inc.                           60,516,336
                                               ----------------
             FOOD PRODUCTS -- 6.0%
     946,539 Archer-Daniels-Midland Co.              57,360,263
   1,285,052 Campbell Soup Co.                       58,585,521
     973,300 General Mills, Inc.                     59,303,169
     339,836 Hershey (The) Co.                       59,192,635
   1,224,052 Hormel Foods Corp.                      58,448,483
     644,220 Ingredion, Inc.                         58,301,910
     337,629 J & J Snack Foods Corp.                 58,885,874
     446,414 J.M. Smucker (The) Co.                  57,841,862
     912,180 Kellogg Co.                             58,680,539
     303,286 Lancaster Colony Corp.                  58,688,874
     671,493 McCormick & Co., Inc.                   59,306,262
     934,157 Mondelez International, Inc.,
                Class A                              58,328,763
                                               ----------------
                                                    702,924,155
                                               ----------------
             GAS UTILITIES -- 2.9%
     591,022 Atmos Energy Corp.                      56,803,124
     489,332 Chesapeake Utilities Corp.              58,881,320
   1,387,400 New Jersey Resources Corp.              54,899,418
     773,032 ONE Gas, Inc.                           57,297,132
     783,902 Spire, Inc.                             56,652,597
   1,264,780 UGI Corp.                               58,571,962
                                               ----------------
                                                    343,105,553
                                               ----------------


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             HEALTH CARE EQUIPMENT & SUPPLIES
                -- 2.0%
     525,249 Abbott Laboratories               $     60,892,117
     718,124 Baxter International, Inc.              57,808,982
     243,050 Becton, Dickinson and Co.               59,107,329
     466,268 Medtronic PLC                           57,877,847
                                               ----------------
                                                    235,686,275
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 3.0%
     501,928 AmerisourceBergen Corp.                 57,465,737
     696,670 CVS Health Corp.                        58,130,145
   1,411,144 Fresenius Medical Care AG & Co.
                KGaA, ADR                            58,661,256
   1,703,063 Premier, Inc., Class A                  59,249,562
     452,245 Quest Diagnostics, Inc.                 59,682,773
     147,049 UnitedHealth Group, Inc.                58,884,301
                                               ----------------
                                                    352,073,774
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 1.5%
     251,323 McDonald's Corp.                        58,053,100
     527,482 Starbucks Corp.                         58,977,762
     501,317 Yum! Brands, Inc.                       57,666,495
                                               ----------------
                                                    174,697,357
                                               ----------------
             HOUSEHOLD DURABLES -- 0.5%
     412,181 Garmin Ltd.                             59,617,860
                                               ----------------
             HOUSEHOLD PRODUCTS -- 2.0%
     338,502 Clorox (The) Co.                        60,899,895
     718,741 Colgate-Palmolive Co.                   58,469,580
     452,140 Kimberly-Clark Corp.                    60,487,289
     439,873 Procter & Gamble (The) Co.              59,352,064
                                               ----------------
                                                    239,208,828
                                               ----------------
             INDUSTRIAL CONGLOMERATES -- 1.0%
     299,851 3M Co.                                  59,559,404
     270,998 Honeywell International, Inc.           59,443,411
                                               ----------------
                                                    119,002,815
                                               ----------------
             INSURANCE -- 7.0%
   1,102,964 Aflac, Inc.                             59,185,048
     456,731 Allstate (The) Corp.                    59,575,992
     419,125 Arthur J. Gallagher & Co.               58,711,030
     378,304 Assurant, Inc.                          59,083,519
   1,197,757 Axis Capital Holdings Ltd.              58,702,070
     368,071 Chubb Ltd.                              58,501,205
   1,282,239 CNA Financial Corp.                     58,329,052
     307,851 Erie Indemnity Co., Class A             59,522,991
     240,305 Everest Re Group Ltd.                   60,559,263
     436,730 Hanover Insurance Group (The),
                Inc.                                 59,238,057
     941,828 Hartford Financial Services Group
                (The), Inc.                          58,365,081
     429,322 Marsh & McLennan Cos., Inc.             60,397,019
   1,152,930 Sun Life Financial, Inc.                59,422,012
     393,766 Travelers (The) Cos., Inc.              58,950,708
                                               ----------------
                                                    828,543,047
                                               ----------------


                        See Notes to Financial Statements                Page 37





FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             IT SERVICES -- 3.5%
     738,877 Amdocs Ltd.                       $     57,159,525
     297,927 Automatic Data Processing, Inc.         59,174,261
     363,810 Broadridge Financial Solutions,
                Inc.                                 58,766,229
     840,770 Cognizant Technology Solutions
                Corp., Class A                       58,231,730
   2,851,151 Infosys Ltd., ADR                       60,415,890
     399,141 International Business Machines
                Corp.                                58,510,079
     564,674 Paychex, Inc.                           60,589,520
                                               ----------------
                                                    412,847,234
                                               ----------------
             MACHINERY -- 4.1%
     274,533 Caterpillar, Inc.                       59,746,617
     248,143 Cummins, Inc.                           60,499,745
     942,131 Donaldson Co., Inc.                     59,853,582
     400,098 Dover Corp.                             60,254,759
     262,350 Illinois Tool Works, Inc.               58,650,966
     458,404 Lincoln Electric Holdings, Inc.         60,376,391
     669,731 PACCAR, Inc.                            59,773,491
     265,430 Snap-on, Inc.                           59,305,025
                                               ----------------
                                                    478,460,576
                                               ----------------
             MEDIA -- 0.5%
   1,021,891 Comcast Corp., Class A                  58,268,225
                                               ----------------
             METALS & MINING -- 0.5%
   1,461,895 Kirkland Lake Gold Ltd.                 56,326,814
                                               ----------------
             MULTILINE RETAIL -- 0.5%
     250,392 Target Corp.                            60,529,762
                                               ----------------
             MULTI-UTILITIES -- 5.3%
     701,930 Ameren Corp.                            56,182,477
   1,318,338 Avista Corp.                            56,253,482
     841,618 Black Hills Corp.                       55,235,389
   1,000,071 CMS Energy Corp.                        59,084,195
     778,480 Consolidated Edison, Inc.               55,832,586
     771,201 Dominion Energy, Inc.                   56,737,258
     440,401 DTE Energy Co.                          57,075,970
     939,705 NorthWestern Corp.                      56,589,035
     974,592 Public Service Enterprise Group,
                Inc.                                 58,222,126
     422,749 Sempra Energy                           56,005,787
     645,579 WEC Energy Group, Inc.                  57,424,252
                                               ----------------
                                                    624,642,557
                                               ----------------
             OIL, GAS & CONSUMABLE FUELS
                -- 0.5%
   1,463,349 Enbridge, Inc.                          58,592,494
                                               ----------------
             PERSONAL PRODUCTS -- 0.5%
     975,893 Unilever PLC, ADR                       57,089,740
                                               ----------------
             PHARMACEUTICALS -- 5.0%
   1,003,841 AstraZeneca PLC, ADR                    60,130,076
     875,861 Bristol-Myers Squibb Co.                58,525,032
     262,868 Eli Lilly and Co.                       60,333,463
   1,471,448 GlaxoSmithKline PLC, ADR                58,593,059


SHARES       DESCRIPTION                                  VALUE
---------------------------------------------------------------
             PHARMACEUTICALS (CONTINUED)
     357,263 Johnson & Johnson                 $     58,855,507
     762,658 Merck & Co., Inc.                       59,311,913
     623,300 Novartis AG, ADR                        56,869,892
     708,215 Novo Nordisk A/S, ADR                   59,327,170
   1,484,886 Pfizer, Inc.                            58,148,136
   1,112,391 Sanofi, ADR                             58,578,510
                                               ----------------
                                                    588,672,758
                                               ----------------
             PROFESSIONAL SERVICES -- 1.0%
     665,611 Robert Half International, Inc.         59,219,411
     594,437 Thomson Reuters Corp.                   59,039,483
                                               ----------------
                                                    118,258,894
                                               ----------------
             ROAD & RAIL -- 1.5%
     557,260 Canadian National Railway Co.           58,802,075
     221,079 Norfolk Southern Corp.                  58,676,577
     269,106 Union Pacific Corp.                     59,184,483
                                               ----------------
                                                    176,663,135
                                               ----------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 2.0%
     356,589 Analog Devices, Inc.                    61,390,362
   1,047,685 Intel Corp.                             58,817,036
     512,825 Taiwan Semiconductor
                Manufacturing Co., Ltd., ADR         61,621,052
     314,513 Texas Instruments, Inc.                 60,480,850
                                               ----------------
                                                    242,309,300
                                               ----------------
             SOFTWARE -- 1.5%
   1,170,447 Open Text Corp.                         59,458,707
     750,532 Oracle Corp.                            58,421,411
     415,784 SAP SE, ADR                             58,401,021
                                               ----------------
                                                    176,281,139
                                               ----------------
             SPECIALTY RETAIL -- 1.0%
     190,292 Home Depot (The), Inc.                  60,682,216
     309,896 Lowe's Cos., Inc.                       60,110,527
                                               ----------------
                                                    120,792,743
                                               ----------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 0.5%
   2,491,880 Canon, Inc., ADR                        56,391,244
                                               ----------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 2.0%
   1,137,474 Fastenal Co.                            59,148,648
     654,965 MSC Industrial Direct Co., Inc.,
                Class A                              58,770,010
     131,510 W.W. Grainger, Inc.                     57,601,380
     207,730 Watsco, Inc.                            59,543,727
                                               ----------------
                                                    235,063,765
                                               ----------------
             WATER UTILITIES -- 0.5%
     716,717 American States Water Co.               57,022,005
                                               ----------------
             WIRELESS TELECOMMUNICATION
                SERVICES -- 0.5%
   1,123,497 Rogers Communications, Inc.,
                Class B                              59,702,631
                                               ----------------


Page 38                 See Notes to Financial Statements





FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2021 (UNAUDITED)

             DESCRIPTION                                  VALUE
---------------------------------------------------------------
             TOTAL INVESTMENTS -- 99.9%        $ 11,791,148,878
             (Cost $9,729,479,023) (a)

             NET OTHER ASSETS AND
                LIABILITIES -- 0.1%                  14,705,038
                                               ----------------
             NET ASSETS -- 100.0%              $ 11,805,853,916
                                               ================

(a)   Aggregate cost for financial reporting purposes approximates the aggregate
      cost for federal income tax purposes. As of June 30, 2021, the aggregate
      gross unrealized appreciation for all investments in which there was an
      excess of value over tax cost was $2,116,235,227 and the aggregate gross
      unrealized depreciation for all investments in which there was an excess
      of tax cost over value was $54,565,372. The net unrealized appreciation
      was $2,061,669,855.

ADR   - American Depositary Receipt

-----------------------------

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2021
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                       LEVEL 2         LEVEL 3
                       LEVEL 1       SIGNIFICANT     SIGNIFICANT
                       QUOTED        OBSERVABLE      UNOBSERVABLE
                       PRICES          INPUTS           INPUTS
                   ------------------------------------------------
Common Stocks*     $11,791,148,878  $          --  $             --
                   ================================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 39





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2021 (UNAUDITED)



                                                                             FIRST TRUST        FIRST TRUST         FIRST TRUST
                                                                          DOW JONES SELECT      MORNINGSTAR          US EQUITY
                                                                              MICROCAP        DIVIDEND LEADERS     OPPORTUNITIES
                                                                             INDEX FUND          INDEX FUND             ETF
                                                                                (FDM)              (FDL)               (FPX)
                                                                          -----------------  ------------------  -----------------

                                                                                                         
ASSETS:
Investments, at value...............................................       $   183,224,951    $  1,632,901,644    $ 2,110,465,619
Cash................................................................               223,236           1,217,539         10,617,964
Receivables:
      Dividends.....................................................                87,413           3,512,222            369,859
      Securities lending income.....................................                 6,877                  --             14,251
      Capital shares sold...........................................                    --           1,658,096          6,370,413
      Investment securities sold....................................                    --                  --                 --
      Reclaims......................................................                    --                  --              1,135
Prepaid expenses....................................................                 3,258               9,526              7,289
                                                                           ---------------    ----------------    ---------------
      Total Assets..................................................           183,545,735       1,639,299,027      2,127,846,530
                                                                           ---------------    ----------------    ---------------
LIABILITIES:
Payables:
      Collateral for securities on loan.............................            13,209,339                  --         27,536,657
      Investment securities purchased...............................                   388           1,654,551         15,708,535
      Capital shares redeemed.......................................                    --                  --                 --
      Licensing fees................................................                61,606             336,434            480,895
      Investment advisory fees......................................                43,041             451,391            666,859
      Shareholder reporting fees....................................                 6,877              41,348             49,266
      Audit and tax fees............................................                17,960              17,960             17,959
      Trustees' fees................................................                 1,570               1,798              1,892
Other liabilities...................................................                32,325             254,473            297,140
                                                                           ---------------    ----------------    ---------------
      Total Liabilities.............................................            13,373,106           2,757,955         44,759,203
                                                                           ---------------    ----------------    ---------------
NET ASSETS..........................................................       $   170,172,629    $  1,636,541,072    $ 2,083,087,327
                                                                           ===============    ================    ===============
NET ASSETS CONSIST OF:
Paid-in capital.....................................................       $   167,031,016    $  1,729,451,141    $ 1,632,462,701
Par value...........................................................                27,550             493,500            163,500
Accumulated distributable earnings (loss)...........................             3,114,063         (93,403,569)       450,461,126
                                                                           ---------------    ----------------    ---------------
NET ASSETS..........................................................       $   170,172,629    $  1,636,541,072    $ 2,083,087,327
                                                                           ===============    ================    ===============
NET ASSET VALUE, per share..........................................       $         61.77    $          33.16    $        127.41
                                                                           ===============    ================    ===============
Number of shares outstanding (unlimited number of shares
   authorized, par value $0.01 per share)...........................             2,755,000          49,350,002         16,350,002
                                                                           ===============    ================    ===============
Investments, at cost................................................       $   135,675,826    $  1,495,406,402    $ 1,633,661,476
                                                                           ===============    ================    ===============
Securities on loan, at value........................................       $    12,502,869    $             --    $    26,313,728
                                                                           ===============    ================    ===============



Page 40                 See Notes to Financial Statements







   FIRST TRUST        FIRST TRUST         FIRST TRUST        FIRST TRUST
 NYSE(R) ARCA(R)       DOW JONES            CAPITAL         VALUE LINE(R)
  BIOTECHNOLOGY         INTERNET           STRENGTH           DIVIDEND
   INDEX FUND          INDEX FUND             ETF            INDEX FUND
      (FBT)              (FDN)              (FTCS)              (FVD)
-----------------  ------------------  -----------------  -----------------

                                                  

 $ 1,959,251,089    $ 10,848,284,278    $ 8,117,283,687    $11,791,148,878
       2,382,789                  --          3,457,990          5,537,309

              --                  --          9,219,031         18,158,748
           2,572              51,476                 --                 --
              --                  --                 --         17,877,290
              --                  --          7,531,165                 --
          53,363                  --                 --          1,293,226
           8,531              35,005             19,901             35,514
 ---------------    ----------------    ---------------    ---------------
   1,961,698,344      10,848,370,759      8,137,511,774     11,834,050,965
 ---------------    ----------------    ---------------    ---------------


              --          33,401,137                 --                 --
              --                  --                 --         17,843,838
              --                  --          7,540,917                 --
         790,297           1,536,178              7,500          3,960,857
         640,468           3,405,290          3,310,996          4,888,909
          80,353             329,413            186,903            284,754
          17,960              17,960             17,960             17,959
           1,903               3,344              2,701              3,280
         276,693           1,043,097            892,412          1,197,452
 ---------------    ----------------    ---------------    ---------------
       1,807,674          39,736,419         11,959,389         28,197,049
 ---------------    ----------------    ---------------    ---------------
 $ 1,959,890,670    $ 10,808,634,340    $ 8,125,552,385    $11,805,853,916
 ===============    ================    ===============    ===============

 $ 2,203,508,563    $  6,546,351,532    $ 6,767,421,965    $10,359,601,056
         113,500             441,500          1,075,500          2,969,409
    (243,731,393)      4,261,841,308      1,357,054,920      1,443,283,451
 ---------------    ----------------    ---------------    ---------------
 $ 1,959,890,670    $ 10,808,634,340    $ 8,125,552,385    $11,805,853,916
 ===============    ================    ===============    ===============
 $        172.68    $         244.82    $         75.55    $         39.76
 ===============    ================    ===============    ===============

      11,350,002          44,150,002        107,550,002        296,940,884
 ===============    ================    ===============    ===============
 $ 1,852,394,344    $  7,441,056,732    $ 7,051,182,634    $ 9,729,479,023
 ===============    ================    ===============    ===============
 $            --    $     32,190,377    $            --    $            --
 ===============    ================    ===============    ===============



                        See Notes to Financial Statements                Page 41





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED)



                                                                             FIRST TRUST        FIRST TRUST         FIRST TRUST
                                                                          DOW JONES SELECT      MORNINGSTAR          US EQUITY
                                                                              MICROCAP        DIVIDEND LEADERS     OPPORTUNITIES
                                                                             INDEX FUND          INDEX FUND             ETF
                                                                                (FDM)              (FDL)               (FPX)
                                                                          -----------------  ------------------  -----------------

                                                                                                         
INVESTMENT INCOME:
Dividends...........................................................       $     1,018,944    $     33,206,396    $     5,221,305
Securities lending income (net of fees).............................                47,984                  --          1,246,334
Foreign withholding tax.............................................                    --                  --             (4,031)
                                                                           ---------------    ----------------    ---------------
      Total investment income.......................................             1,066,928          33,206,396          6,463,608
                                                                           ---------------    ----------------    ---------------
EXPENSES:
Investment advisory fees............................................               386,181           2,344,965          4,014,164
Licensing fees......................................................                61,359             751,815          1,000,106
Accounting and administration fees..................................                40,464             362,953            451,805
Audit and tax fees..................................................                15,603              15,603             15,193
Shareholder reporting fees..........................................                11,050              43,367             64,408
Custodian fees......................................................                 8,993             (25,320)            79,749
Listing fees........................................................                 3,917               6,794              3,917
Transfer agent fees.................................................                 3,862              31,939             37,486
Trustees' fees and expenses.........................................                 3,106               3,467              3,765
Legal fees..........................................................                 1,488              15,828             15,602
Registration and filing fees........................................                   389               2,525                 --
Expenses previously waived or reimbursed............................                    --                  --                 --
Other expenses......................................................                 2,503               8,536             12,477
                                                                           ---------------    ----------------    ---------------
      Total expenses................................................               538,915           3,562,472          5,698,672
      Less fees waived and expenses reimbursed by the investment
         advisor....................................................               (75,499)            (45,332)                --
                                                                           ---------------    ----------------    ---------------
      Net expenses..................................................               463,416           3,517,140          5,698,672
                                                                           ---------------    ----------------    ---------------
NET INVESTMENT INCOME (LOSS)........................................               603,512          29,689,256            764,936
                                                                           ---------------    ----------------    ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
      Investments...................................................               749,547           7,982,762        (46,394,419)
      In-kind redemptions...........................................             3,027,759         156,870,204        294,260,998
      Foreign currency transactions.................................                    --                  --                 --
                                                                           ---------------    ----------------    ---------------
Net realized gain (loss)............................................             3,777,306         164,852,966        247,866,579
                                                                           ---------------    ----------------    ---------------
Net change in unrealized appreciation (depreciation) on:
      Investments...................................................            31,277,783          (4,794,859)      (101,464,572)
      Foreign currency translation..................................                    --                  --                 --
                                                                           ---------------    ----------------    ---------------
Net change in unrealized appreciation (depreciation)................            31,277,783          (4,794,859)      (101,464,572)
                                                                           ---------------    ----------------    ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................            35,055,089         160,058,107        146,402,007
                                                                           ---------------    ----------------    ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
   FROM OPERATIONS..................................................       $    35,658,601    $    189,747,363    $   147,166,943
                                                                           ===============    ================    ===============



Page 42                 See Notes to Financial Statements







   FIRST TRUST        FIRST TRUST         FIRST TRUST        FIRST TRUST
 NYSE(R) ARCA(R)       DOW JONES            CAPITAL         VALUE LINE(R)
  BIOTECHNOLOGY         INTERNET           STRENGTH           DIVIDEND
   INDEX FUND          INDEX FUND             ETF            INDEX FUND
      (FBT)              (FDN)              (FTCS)              (FVD)
-----------------  ------------------  -----------------  -----------------

                                                  

 $     4,057,834    $     11,348,066    $    68,439,412    $   154,770,158
           2,572             120,879                 --                 --
        (237,081)                 --                 --         (4,117,419)
 ---------------    ----------------    ---------------    ---------------
       3,823,325          11,468,945         68,439,412        150,652,739
 ---------------    ----------------    ---------------    ---------------

       3,951,671          20,653,718         18,683,274         27,398,747
         790,296           3,026,803             47,566          6,557,541
         445,430           1,521,905          1,200,892          1,593,522
          15,603              15,603             15,193             16,046
          79,641             347,615            226,356            293,511
          73,985             392,689            279,488            406,595
           3,917               6,794              2,483             42,706
          37,095             141,483            105,814            149,391
           3,649               6,452              5,477              6,081
          14,187              72,151             65,577             97,746
          (7,376)            (22,127)           (19,874)               270
              --                  --                 --            255,932
           7,992              68,250             52,684             86,280
 ---------------    ----------------    ---------------    ---------------
       5,416,090          26,231,336         20,664,930         36,904,368

              --                  --                 --                 --
 ---------------    ----------------    ---------------    ---------------
       5,416,090          26,231,336         20,664,930         36,904,368
 ---------------    ----------------    ---------------    ---------------
      (1,592,765)        (14,762,391)        47,774,482        113,748,371
 ---------------    ----------------    ---------------    ---------------


     (79,653,602)        (25,323,510)       (21,363,102)        97,316,627
      39,862,665       1,486,285,559        596,299,520        312,907,732
              --                  --                 --              4,089
 ---------------    ----------------    ---------------    ---------------
     (39,790,937)      1,460,962,049        574,936,418        410,228,448
 ---------------    ----------------    ---------------    ---------------

      88,895,512          70,967,605        278,404,805        934,602,927
              --                  --                 --                356
 ---------------    ----------------    ---------------    ---------------
      88,895,512          70,967,605        278,404,805        934,603,283
 ---------------    ----------------    ---------------    ---------------
      49,104,575       1,531,929,654        853,341,223      1,344,831,731
 ---------------    ----------------    ---------------    ---------------

 $    47,511,810    $  1,517,167,263    $   901,115,705    $ 1,458,580,102
 ===============    ================    ===============    ===============



                        See Notes to Financial Statements                Page 43





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF CHANGES IN NET ASSETS



                                                                         FIRST TRUST                         FIRST TRUST
                                                                      DOW JONES SELECT                       MORNINGSTAR
                                                                          MICROCAP                        DIVIDEND LEADERS
                                                                         INDEX FUND                          INDEX FUND
                                                                            (FDM)                               (FDL)
                                                              ---------------------------------   ---------------------------------
                                                                Six Months                          Six Months
                                                                   Ended                               Ended
                                                                 6/30/2021        Year Ended         6/30/2021        Year Ended
                                                                (Unaudited)       12/31/2020        (Unaudited)       12/31/2020
                                                              ---------------   ---------------   ---------------   ---------------

                                                                                                        
OPERATIONS:
Net investment income (loss)............................      $       603,512   $     2,111,719   $    29,689,256   $    66,323,992
Net realized gain (loss)................................            3,777,306       (29,360,877)      164,852,966      (263,732,972)
Net change in unrealized appreciation (depreciation)....           31,277,783         7,286,636        (4,794,859)       33,378,185
                                                              ---------------   ---------------   ---------------   ---------------
Net increase (decrease) in net assets resulting
   from operations......................................           35,658,601       (19,962,522)      189,747,363      (164,030,795)
                                                              ---------------   ---------------   ---------------   ---------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations...................................             (462,424)       (2,126,197)      (28,539,271)      (66,635,153)
                                                              ---------------   ---------------   ---------------   ---------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold...............................           21,038,520        29,127,047       622,796,577        83,773,486
Proceeds from shares acquired through reorganization....                   --                --                --                --
Cost of shares redeemed.................................           (8,544,340)      (40,623,522)     (546,946,114)     (294,624,818)
                                                              ---------------   ---------------   ---------------   ---------------
Net increase (decrease) in net assets resulting
   from shareholder transactions........................           12,494,180       (11,496,475)       75,850,463      (210,851,332)
                                                              ---------------   ---------------   ---------------   ---------------
Total increase (decrease) in net assets.................           47,690,357       (33,585,194)      237,058,555      (441,517,280)

NET ASSETS:
Beginning of period.....................................          122,482,272       156,067,466     1,399,482,517     1,840,999,797
                                                              ---------------   ---------------   ---------------   ---------------
End of period...........................................      $   170,172,629   $   122,482,272   $ 1,636,541,072   $ 1,399,482,517
                                                              ===============   ===============   ===============   ===============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.................            2,555,000         3,055,000        47,300,002        56,500,002
Shares sold.............................................              350,000           700,000        18,600,000         2,750,000
Shares issued through reorganization....................                   --                --                --                --
Shares redeemed.........................................             (150,000)       (1,200,000)      (16,550,000)      (11,950,000)
                                                              ---------------   ---------------   ---------------   ---------------
Shares outstanding, end of period.......................            2,755,000         2,555,000        49,350,002        47,300,002
                                                              ===============   ===============   ===============   ===============



Page 44                 See Notes to Financial Statements







          FIRST TRUST                         FIRST TRUST                           FIRST TRUST
           US EQUITY                        NYSE(R) ARCA(R)                          DOW JONES
         OPPORTUNITIES                       BIOTECHNOLOGY                           INTERNET
              ETF                              INDEX FUND                           INDEX FUND
             (FPX)                               (FBT)                                 (FDN)
-------------------------------     --------------------------------     ---------------------------------
  Six Months                          Six Months                           Six Months
    Ended                               Ended                                 Ended
  6/30/2021        Year Ended         6/30/2021        Year Ended           6/30/2021        Year Ended
 (Unaudited)       12/31/2020        (Unaudited)       12/31/2020          (Unaudited)       12/31/2020
--------------   --------------     --------------   ---------------     ---------------   ---------------


                                                                            
$      764,936   $    3,650,043     $   (1,592,765)  $    (5,453,767)    $   (14,762,391)  $   (17,892,891)
   247,866,579      181,468,921        (39,790,937)       56,195,268       1,460,962,049     1,460,876,048
  (101,464,572)     391,055,130         88,895,512       153,873,484          70,967,605     2,472,751,255
--------------   --------------     --------------   ---------------     ---------------   ---------------

   147,166,943      576,174,094         47,511,810       204,614,985       1,517,167,263     3,915,734,412
--------------   --------------     --------------   ---------------     ---------------   ---------------


    (1,447,600)      (5,290,041)                --                --                  --                --
--------------   --------------     --------------   ---------------     ---------------   ---------------


   914,610,662      978,879,034         52,174,778       403,631,644       1,590,510,278     3,121,562,471
            --               --                 --                --                  --                --
  (923,615,350)    (934,225,504)      (181,969,247)     (367,000,398)     (3,374,072,086)   (3,815,634,985)
--------------   --------------     --------------   ---------------     ---------------   ---------------

    (9,004,688)      44,653,530       (129,794,469)       36,631,246      (1,783,561,808)     (694,072,514)
--------------   --------------     --------------   ---------------     ---------------   ---------------
   136,714,655      615,537,583        (82,282,659)      241,246,231        (266,394,545)    3,221,661,898


 1,946,372,672    1,330,835,089      2,042,173,329     1,800,927,098      11,075,028,885     7,853,366,987
--------------   --------------     --------------   ---------------     ---------------   ---------------
$2,083,087,327   $1,946,372,672     $1,959,890,670   $ 2,042,173,329     $10,808,634,340   $11,075,028,885
==============   ==============     ==============   ===============     ===============   ===============


    16,450,002       16,550,002         12,150,002        12,100,002          52,150,002        56,450,002
     7,400,000       10,100,000            300,000         2,550,000           7,050,000        18,050,000
            --               --                 --                --                  --                --
    (7,500,000)     (10,200,000)        (1,100,000)       (2,500,000)        (15,050,000)      (22,350,000)
--------------   --------------     --------------   ---------------     ---------------   ---------------
    16,350,002       16,450,002         11,350,002        12,150,002          44,150,002        52,150,002
==============   ==============     ==============   ===============     ===============   ===============



                        See Notes to Financial Statements                Page 45





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)



                                                                         FIRST TRUST                         FIRST TRUST
                                                                      CAPITAL STRENGTH                 VALUE LINE(R) DIVIDEND
                                                                             ETF                             INDEX FUND
                                                                           (FTCS)                               (FVD)
                                                              ---------------------------------   ---------------------------------
                                                                Six Months                          Six Months
                                                                   Ended                               Ended
                                                                 6/30/2021        Year Ended         6/30/2021        Year Ended
                                                                (Unaudited)       12/31/2020        (Unaudited)       12/31/2020
                                                              ---------------   ---------------   ---------------   ---------------

                                                                                                        
OPERATIONS:
Net investment income (loss)............................      $    47,774,482   $    55,537,289   $   113,748,371   $   225,598,348
Net realized gain (loss)................................          574,936,418       471,532,595       410,228,448      (446,982,237)
Net change in unrealized appreciation (depreciation)....          278,404,805       416,336,797       934,603,283        94,895,748
                                                              ---------------   ---------------   ---------------   ---------------
Net increase (decrease) in net assets resulting
   from operations......................................          901,115,705       943,406,681     1,458,580,102      (126,488,141)
                                                              ---------------   ---------------   ---------------   ---------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations...................................          (48,131,311)      (55,671,376)     (107,398,203)     (231,083,030)
                                                              ---------------   ---------------   ---------------   ---------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold...............................        3,663,565,069     6,487,496,472     1,575,185,220     3,432,557,406
Proceeds from shares acquired through reorganization....                   --                --                --        36,820,323
Cost of shares redeemed.................................       (3,412,905,714)   (3,745,945,946)   (1,269,717,595)   (2,627,820,910)
                                                              ---------------   ---------------   ---------------   ---------------
Net increase (decrease) in net assets resulting
   from shareholder transactions........................          250,659,355     2,741,550,526       305,467,625       841,556,819
                                                              ---------------   ---------------   ---------------   ---------------
Total increase (decrease) in net assets.................        1,103,643,749     3,629,285,831     1,656,649,524       483,985,648

NET ASSETS:
Beginning of period.....................................        7,021,908,636     3,392,622,805    10,149,204,392     9,665,218,744
                                                              ---------------   ---------------   ---------------   ---------------
End of period...........................................      $ 8,125,552,385   $ 7,021,908,636   $11,805,853,916   $10,149,204,392
                                                              ===============   ===============   ===============   ===============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.................          103,950,002        56,200,002       289,190,884       268,287,986
Shares sold.............................................           51,400,000       107,300,000        40,150,000       100,550,000
Shares issued through reorganization....................                   --                --                --         1,052,898
Shares redeemed.........................................          (47,800,000)      (59,550,000)      (32,400,000)      (80,700,000)
                                                              ---------------   ---------------   ---------------   ---------------
Shares outstanding, end of period.......................          107,550,002       103,950,002       296,940,884       289,190,884
                                                              ===============   ===============   ===============   ===============



Page 46                 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)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2021      -------------------------------------------------------------------------
                                         (UNAUDITED)        2020           2019            2018            2017            2016
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $     47.94     $     51.09    $     40.76     $     47.21     $     43.98    $     32.92
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.22            0.80           0.66            0.56            0.42           0.49
Net realized and unrealized gain (loss)        13.78           (3.15)         10.37           (6.50)           3.27          11.07
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations               14.00           (2.35)         11.03           (5.94)           3.69          11.56
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.17)          (0.80)         (0.70)          (0.51)          (0.46)         (0.50)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     61.77     $     47.94    $     51.09     $     40.76     $     47.21    $     43.98
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                               29.21%          (4.25)%        27.25%         (12.68)%          8.44%         35.45%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $   170,173     $   122,482    $  156,067      $   138,777     $    97,012    $   116,776
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
   net assets                                   0.70% (b)       0.71%          0.70%          0.73%            0.71%          0.75%
Ratio of net expenses to average
   net assets                                   0.60% (b)       0.60%          0.60%          0.60%            0.60%          0.60%
Ratio of net investment income (loss) to
   average net assets                           0.78% (b)       1.88%          1.42%          1.29%            0.89%          1.52%
Portfolio turnover rate (c)                        6%             95%            64%            75%              55%            48%


FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2021      -------------------------------------------------------------------------
                                         (UNAUDITED)        2020           2019            2018            2017            2016
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $     29.59     $     32.58    $     27.24     $     30.06     $     27.75    $     23.69
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.61            1.32           1.22            1.09            0.93           0.82
Net realized and unrealized gain (loss)         3.55           (2.98)          5.34           (2.83)           2.34           4.05
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations                4.16           (1.66)          6.56           (1.74)           3.27           4.87
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.59)          (1.33)         (1.22)          (1.08)          (0.96)         (0.81)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     33.16     $     29.59    $     32.58     $     27.24     $     30.06    $     27.75
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                               14.06%          (4.42)%        24.36%          (5.87)%         11.93%         20.72%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 1,636,541     $ 1,339,483    $ 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% (b)       0.46%          0.46%           0.47%           0.47%          0.48%
Ratio of net expenses to average
   net assets                                   0.45% (b)       0.45%          0.45%           0.45%           0.45%          0.45%
Ratio of net investment income (loss) to
   average net assets                           3.80% (b)       4.73%          4.06%           3.70%           3.18%          3.27%
Portfolio turnover rate (c)                       48%             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)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


                        See Notes to Financial Statements                Page 47





FIRST TRUST EXCHANGE-TRADED FUND

FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD



FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2021      -------------------------------------------------------------------------
                                         (UNAUDITED)        2020           2019            2018            2017            2016
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $    118.32     $     80.41    $     62.07     $     68.18     $     54.10    $     51.11
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.05            0.24           0.58            0.52            0.43           0.31
Net realized and unrealized gain (loss)         9.13           38.01          18.30           (6.08)          14.12           3.10
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations                9.18           38.25          18.88           (5.56)          14.55           3.41
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.09)          (0.34)         (0.54)          (0.55)          (0.47)         (0.42)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $    127.41     $    118.32    $     80.41     $     62.07     $     68.18    $     54.10
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                                7.77%          47.76%         30.45%          (8.22)%         26.96%          6.70%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 2,083,087     $ 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% (b)       0.57%          0.58%           0.59%           0.59%          0.60%
Ratio of net expenses to average
   net assets                                   0.57% (b)       0.57%          0.58%           0.59%           0.59%          0.60%
Ratio of net investment income (loss) to
   average net assets                           0.08% (b)       0.26%          0.79%           0.74%           0.71%          0.58%
Portfolio turnover rate (c)                       38%             75%            81%             57%             31%            41%


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

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2021      -------------------------------------------------------------------------
                                         (UNAUDITED)        2020           2019            2018            2017            2016
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $    168.08     $    148.84    $    124.26     $    124.52     $     90.89    $    113.06
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                   (0.14)          (0.45)         (0.51)          (0.22)          (0.08)         (0.32)
Net realized and unrealized gain (loss)         4.74           19.69          25.09           (0.04)          33.71         (21.85)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations                4.60           19.24          24.58           (0.26)          33.63         (22.17)
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                             --              --             --              --              --             --
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $    172.68     $    168.08    $    148.84     $    124.26     $    124.52    $     90.89
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                                2.74%          12.93%         19.78%          (0.21)%         36.99%        (19.60)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 1,959,891     $ 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% (b)       0.55%          0.55%           0.57%           0.56%          0.56%
Ratio of net expenses to average
   net assets                                   0.55% (b)       0.55%          0.55%           0.57%           0.56%          0.56%
Ratio of net investment income (loss) to
   average net assets                          (0.16)%(b)      (0.28)%        (0.25)%         (0.21)%         (0.08)%        (0.27)%
Portfolio turnover rate (c)                       19%             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)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


Page 48                 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)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2021      -------------------------------------------------------------------------
                                         (UNAUDITED)        2020           2019            2018            2017            2016
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $    212.37     $    139.12    $    116.66     $    109.82     $     79.79    $     74.64
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                   (0.33)          (0.34)         (0.14)          (0.35)          (0.28)         (0.27)
Net realized and unrealized gain (loss)        32.78           73.59          22.60            7.19           30.31           5.42
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations               32.45           73.25          22.46            6.84           30.03           5.15
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                             --              --             --              --              --             --
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $    244.82     $    212.37    $    139.12     $    116.66     $    109.82    $     79.79
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                               15.29%          52.65%         19.26%           6.23%          37.62%          6.91%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $10,808,634     $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% (b)       0.51%          0.52%           0.52%           0.53%          0.54%
Ratio of net expenses to average
   net assets                                   0.51% (b)       0.51%          0.52%           0.52%           0.53%          0.54%
Ratio of net investment income (loss) to
   average net assets                          (0.29)%(b)      (0.20)%        (0.10)%         (0.27)%         (0.32)%        (0.35)%
Portfolio turnover rate (c)                        7%             39%            28%             21%             22%            21%


FIRST TRUST CAPITAL STRENGTH ETF (FTCS)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2021      -------------------------------------------------------------------------
                                         (UNAUDITED)        2020           2019            2018            2017            2016
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $     67.55     $     60.37    $     48.29     $     50.95     $     40.79    $     38.12
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.45            0.63           0.76            0.60            0.59           0.58
Net realized and unrealized gain (loss)         8.00            7.18          12.08           (2.65)          10.16           2.67
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations                8.45            7.81          12.84           (2.05)          10.75           3.25
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.45)          (0.63)         (0.76)          (0.61)          (0.59)         (0.58)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     75.55     $     67.55    $     60.37     $     48.29     $     50.95    $     40.79
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                               12.56%          13.07%         26.72%          (4.09)%         26.49%          8.57%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 8,125,552     $ 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                                   0.55% (b)       .56%           0.58%           0.60%           0.61%          0.64%
Ratio of net expenses to average
   net assets                                   0.55% (b)       0.56%          0.58%           0.60%           0.61%          0.64%
Ratio of net investment income (loss) to
   average net assets                           1.28% (b)       1.10%          1.46%           1.30%           1.33%          1.55%
Portfolio turnover rate (c)                       67%            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)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


                        See Notes to Financial Statements                Page 49





FIRST TRUST EXCHANGE-TRADED FUND

FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD



FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2021      -------------------------------------------------------------------------
                                         (UNAUDITED)        2020           2019            2018            2017            2016
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $     35.10     $     36.03    $     29.07     $     30.84     $     28.02    $     23.86
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.39            0.79           0.73            0.73            0.63           0.56
Net realized and unrealized gain (loss)         4.64           (0.91)          6.96           (1.77)           2.84           4.17
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations                5.03           (0.12)          7.69           (1.04)           3.47           4.73
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.37)          (0.81)         (0.73)          (0.73)          (0.65)         (0.57)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     39.76     $     35.10    $     36.03     $     29.07     $     30.84    $     28.02
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                               14.38%          (0.04)%        26.60%          (3.44)%         12.48%         19.94%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $11,805,854     $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                                   0.67% (b)       0.70%          0.71%           0.72%           0.72%          0.73%
Ratio of net expenses to average
   net assets                                   0.67% (b)       0.70%          0.70%           0.70%           0.70%          0.70%
Ratio of net investment income (loss) to
   average net assets                           2.08% (b)       2.47%          2.36%           2.40%           2.19%          2.31%
Portfolio turnover rate (c)                       29%             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)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


Page 50                 See Notes to Financial Statements





--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

                                1. ORGANIZATION

First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on August 8,
2003, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").

The Trust currently consists of twenty-two exchange-traded funds. This report
covers the seven funds (each a "Fund" and collectively, the "Funds") listed
below:

      First Trust Dow Jones Select MicroCap Index Fund - (NYSE Arca, Inc.
         ("NYSE Arca") ticker "FDM")
      First Trust Morningstar Dividend Leaders Index Fund - (NYSE Arca ticker
         "FDL")
      First Trust US Equity Opportunities ETF - (NYSE Arca ticker "FPX")
      First Trust NYSE(R) Arca(R) Biotechnology Index Fund - (NYSE Arca ticker
         "FBT")
      First Trust Dow Jones Internet Index Fund - (NYSE Arca ticker "FDN")
      First Trust Capital Strength ETF - (The Nasdaq Stock Market LLC ("Nasdaq")
         ticker "FTCS")
      First Trust Value Line(R) Dividend Index Fund - (NYSE Arca ticker "FVD")

Each Fund represents a separate series of beneficial interest in the Trust.
Unlike conventional mutual funds, each Fund issues and redeems shares on a
continuous basis at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units." The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:



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(R) Arca(R) Biotechnology Index Fund            NYSE(R) Arca(R) Biotechnology Index
First Trust Dow Jones Internet Index Fund                       Dow Jones Internet Composite Index(SM)
First Trust Capital Strength ETF                                The Capital Strength Index(SM)
First Trust Value Line(R) Dividend Index Fund                   Value Line(R) Dividend Index


                       2. SIGNIFICANT ACCOUNTING POLICIES

The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.

A. PORTFOLIO VALUATION

Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Foreign securities are priced using data
reflecting the earlier closing of the principal markets for those securities.
Each Fund's NAV is calculated by dividing the value of all assets of each Fund
(including accrued interest and dividends), less all liabilities (including
accrued expenses and dividends declared but unpaid), by the total number of
shares outstanding.

Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:


                                                                         Page 51





--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

      Common stocks and other equity securities listed on any national or
      foreign exchange (excluding Nasdaq and the London Stock Exchange
      Alternative Investment Market ("AIM")) are valued at the last sale price
      on the exchange on which they are principally traded or, for Nasdaq and
      AIM securities, the official closing price. Securities traded on more than
      one securities exchange are valued at the last sale price or official
      closing price, as applicable, at the close of the securities exchange
      representing the principal market for such securities.

      Shares of open-end funds are valued at fair value which is based on NAV
      per share.

      Securities traded in an over-the-counter market are fair valued at the
      mean of their most recent bid and asked price, if available, and otherwise
      at their closing bid price.

      Overnight repurchase agreements are valued at amortized cost when it
      represents the best estimate of fair value.

Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:

      1)    the type of security;

      2)    the size of the holding;

      3)    the initial cost of the security;

      4)    transactions in comparable securities;

      5)    price quotes from dealers and/or third-party pricing services;

      6)    relationships among various securities;

      7)    information obtained by contacting the issuer, analysts, or the
            appropriate stock exchange;

      8)    an analysis of the issuer's financial statements; and

      9)    the existence of merger proposals or tender offers that might affect
            the value of the security.

In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.

The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:

      o     Level 1 - Level 1 inputs are quoted prices in active markets for
            identical investments. An active market is a market in which
            transactions for the investment occur with sufficient frequency and
            volume to provide pricing information on an ongoing basis.

      o     Level 2 - Level 2 inputs are observable inputs, either directly or
            indirectly, and include the following:

            o     Quoted prices for similar investments in active markets.

            o     Quoted prices for identical or similar investments in markets
                  that are non-active. A non-active market is a market where
                  there are few transactions for the investment, the prices are
                  not current, or price quotations vary substantially either
                  over time or among market makers, or in which little
                  information is released publicly.

            o     Inputs other than quoted prices that are observable for the
                  investment (for example, interest rates and yield curves
                  observable at commonly quoted intervals, volatilities,
                  prepayment speeds, loss severities, credit risks, and default
                  rates).

            o     Inputs that are derived principally from or corroborated by
                  observable market data by correlation or other means.

      o     Level 3 - Level 3 inputs are unobservable inputs. Unobservable
            inputs may reflect the reporting entity's own assumptions about the
            assumptions that market participants would use in pricing the
            investment.


Page 52





--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of June 30, 2021, is
included with each Fund's Portfolio of Investments.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.

Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.

Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from REITs during the year based on estimates available.
The characterization of distributions received by a Fund may be subsequently
revised based on information received from the REITs after their tax reporting
periods conclude.

C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES

Offsetting Assets and Liabilities require entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.

This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.

D. SECURITIES LENDING

The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.

Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers with the exception of FPX.
The Bank of New York Mellon ("BNYM") acts as FPX's securities lending agent and
is responsible for executing the lending of the portfolio securities to
creditworthy borrowers. The Funds, however, will be responsible for the risks
associated with the investment of cash collateral. A Fund may lose money on its
investment of cash collateral, which may affect its ability to repay the
collateral to the borrower without the use of other Fund assets. Each Fund that
engages in securities lending receives compensation (net of any rebate and
securities lending agent fees) for lending its securities. Compensation can be
in the form of fees received from the securities lending agent or dividends or
interest earned from the investment of cash collateral. The fees received from
the securities lending agent are accrued daily. The dividend and interest earned
on the securities loaned is accounted for in the same manner as other dividend
and interest income. At June 30, 2021, only FDM, FPX and FDN had securities in
the securities lending program. During the six months ended June 30, 2021, FDM,
FPX, FBT and FDN participated in the securities lending program.


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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

In the event of a default by a borrower with respect to any loan, BBH or BNYM
will exercise any and all remedies provided under the applicable borrower
agreement to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
and BNYM to exercise these remedies, a Fund sustains losses as a result of a
borrower's default, BBH or BNYM will indemnify the Fund by purchasing
replacement securities at its own expense, or paying the Fund an amount equal to
the market value of the replacement securities, subject to certain limitations
which are set forth in detail in the Securities Lending Agency Agreement between
the Trust on behalf of the Funds and BBH or BNYM.

E. REPURCHASE AGREEMENTS

Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.

MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.

Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH or BNYM on behalf of the Funds participating in the securities
lending program. In the event the counterparty defaults on the repurchase
agreement, the U.S. Treasury securities can either be maintained as part of a
Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that
the proceeds from the sale of the underlying collateral held by the Fund is less
than the repurchase price and the Fund's costs associated with the delay and
enforcement of the MRA.

While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the six months ended June 30, 2021, were received as
collateral for lending securities.

F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.

Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.

The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 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(R) Arca(R) Biotechnology Index Fund                                --                  --                   --
First Trust Dow Jones Internet Index Fund                                           --                  --                   --
First Trust Capital Strength ETF                                            55,671,376                  --                   --
First Trust Value Line(R) Dividend Index Fund                              231,083,030                  --                   --



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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

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(R) Arca(R) 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 ended 2017, 2018,
2019, and 2020 remain open to federal and state audit. As of June 30, 2021,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.

Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At December 31, 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(R) Arca(R) 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(R) Arca(R) 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.


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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

H. EXPENSES

Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.

First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:



FUND                                                            LICENSOR
                                                             
First Trust Dow Jones Select MicroCap Index Fund                S&P Dow Jones Indices LLC
First Trust Morningstar Dividend Leaders Index Fund             Morningstar, Inc.
First Trust US Equity Opportunities ETF                         IPOX(R) Schuster LLC
First Trust NYSE(R) Arca(R) Biotechnology Index Fund            ICE Data Indices, LLC
First Trust Dow Jones Internet Index Fund                       S&P Dow Jones Indices LLC
First Trust Capital Strength ETF                                Nasdaq, Inc.
First Trust Value Line(R) Dividend Index Fund                   Value Line Publishing LLC


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(R) Arca(R) Biotechnology Index Fund                 0.40%
First Trust Dow Jones Internet Index Fund                            0.40%
First Trust Capital Strength ETF                                     0.50%
First Trust Value Line(R) Dividend Index Fund                        0.50%


The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2023.



                                                                  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(R) Arca(R) Biotechnology Index Fund                 0.60%
First Trust Dow Jones Internet Index Fund                            0.60%
First Trust Capital Strength ETF                                     0.65%
First Trust Value Line(R) Dividend Index Fund                        0.70%


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.


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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

The advisory fee waivers and expense reimbursements for the six months ended
June 30, 2021 and the fees waived or expenses borne by First Trust subject to
recovery from the applicable Fund for the periods indicated were as follows:



                                                                               Fees Waived or Expenses Borne by First Trust
                                                                                           Subject to Recovery
                                                                      --------------------------------------------------------------
                                          Advisory                    Six Months      Year         Year      Six Months
                                             Fee         Expense        Ended        Ended        Ended        Ended
                                           Waivers    Reimbursement   12/31/2018   12/31/2019   12/31/2020   6/30/2021      Total
                                          ---------   -------------   ----------   ----------   ----------   ----------   ----------
                                                                                                     
First Trust Dow Jones Select MicroCap
   Index Fund                             $  75,499   $          --   $   95,671   $  149,166   $  127,387   $   75,499   $  447,723
First Trust Morningstar Dividend
   Leaders Index Fund                        45,332              --      139,505      178,254      162,827       45,332      525,918


During the six months ended June 30, 2021, First Trust recovered fees that were
previously waived from First Trust Value Line(R) Dividend Index Fund of
$255,932.

The Trust has multiple service agreements with BNYM. Under the service
agreements, BNYM performs custodial, fund accounting, certain administrative
services, and transfer agency services for each Fund. As custodian, BNYM is
responsible for custody of each Fund's assets. As fund accountant and
administrator, BNYM is responsible for maintaining the books and records of each
Fund's securities and cash. As transfer agent, BNYM is responsible for
maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank
of New York Mellon Corporation, a financial holding company.

Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.

Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.

                               4. 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.


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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

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 Gain      Net Increase
                                                                         Net Investment       (Loss) on        (Decrease) from
                                                                             Income          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 six months ended June 30, 2021, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:



                                                                     Purchases           Sales
                                                                  ---------------   ---------------
                                                                              
First Trust Dow Jones Select MicroCap Index Fund                  $     9,027,115   $     9,034,475
First Trust Morningstar Dividend Leaders Index Fund                   750,783,276       743,173,844
First Trust US Equity Opportunities ETF                               760,482,254       759,326,586
First Trust NYSE(R) Arca(R) Biotechnology Index Fund                  377,659,514       380,201,165
First Trust Dow Jones Internet Index Fund                             702,630,529       718,799,918
First Trust Capital Strength ETF                                    5,048,319,154     5,015,324,763
First Trust Value Line(R) Dividend Index Fund                       3,134,618,775     3,117,533,469


For the six months ended June 30, 2021, 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                  $    21,060,986   $     8,554,608
First Trust Morningstar Dividend Leaders Index Fund                   619,033,844       545,615,648
First Trust US Equity Opportunities ETF                               913,189,130       921,393,948
First Trust NYSE(R) Arca(R) Biotechnology Index Fund                   52,157,372       181,925,777
First Trust Dow Jones Internet Index Fund                           1,590,534,930     3,373,444,868
First Trust Capital Strength ETF                                    3,639,550,296     3,428,963,598
First Trust Value Line(R) Dividend Index Fund                       1,565,490,763     1,270,533,673


                  6. CREATION, REDEMPTION AND TRANSACTION FEES

Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the


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--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

Authorized Participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.

Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various facts-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.

Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.

                              7. DISTRIBUTION PLAN

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.

No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2023.

                               8. INDEMNIFICATION

The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.

                              9. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.


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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

                      PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.

                               PORTFOLIO HOLDINGS

Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.

                              RISK CONSIDERATIONS

RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.

CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.

CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.

CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.

DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.

EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.

ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price


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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.

FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.

INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.

INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.

INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.

LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a
reference rate over a phase-out period that will begin immediately after
December 31, 2021. The unavailability or replacement of LIBOR may affect the
value, liquidity or return on certain fund investments and may result in costs
incurred in connection with closing out positions and entering into new trades.
Any potential effects of the transition away from LIBOR on the fund or on
certain instruments in which the fund invests can be difficult to ascertain, and
they may vary depending on a variety of factors, and they could result in losses
to the fund.

MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.

MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. While the development of
vaccines has slowed the spread of the virus and allowed for the resumption of
"reasonably" normal business activity in the United States, many countries
continue to impose lockdown measures in an attempt to slow the spread.
Additionally, there is no guarantee that vaccines will be effective against
emerging variants of the disease.


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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.

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

                              ADVISORY AGREEMENTS

BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT
AGREEMENTS

The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"),
including the Independent Trustees, unanimously approved the continuation of the
Investment Management Agreement (the "Agreement") with First Trust Advisors L.P.
(the "Advisor") on behalf of the following seven series of the Trust (each a
"Fund" and collectively, the "Funds"):

        First Trust Value Line(R) Dividend Index Fund (FVD)
        First Trust Dow Jones Select MicroCap Index Fund (FDM)
        First Trust Morningstar Dividend Leaders Index Fund (FDL)
        First Trust US Equity Opportunities ETF (FPX)
        First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)
        First Trust Dow Jones Internet Index Fund (FDN)
        First Trust Capital Strength ETF (FTCS)

The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2022 at a meeting held on June 6-7, 2021. The
Board determined for each Fund that the continuation of the Agreement is in the
best interests of the Fund in light of the nature, extent and quality of the
services provided and such other matters as the Board considered to be relevant
in the exercise of its business judgment.

To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law, in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. At meetings held on April 26, 2021 and June 6-7, 2021, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of the Independent Trustees, that, among other
things, outlined: the services provided by the Advisor to each Fund (including
the relevant personnel responsible for these services and their experience); the
advisory fee rate payable by each Fund as compared to fees charged to a peer
group of funds (the "Expense Group") and a broad peer universe of funds (the
"Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios of
the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; the nature of expenses incurred in
providing services to each Fund and the potential for the Advisor to realize
economies of scale, if any; profitability and other financial data for the
Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust
Portfolios L.P. ("FTP"); and information on the Advisor's compliance program.
The Board reviewed initial materials with the Advisor at the meeting held on


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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

April 26, 2021, prior to which the Independent Trustees and their counsel met
separately to discuss the information provided by the Advisor. Following the
April meeting, counsel to the Independent Trustees, on behalf of the Independent
Trustees, requested certain clarifications and supplements to the materials
provided, and the information provided in response to those requests was
considered at an executive session of the Independent Trustees and their counsel
held prior to the June 6-7, 2021 meeting, as well as at the June meeting. The
Board applied its business judgment to determine whether the arrangement between
the Trust and the Advisor continues to be a reasonable business arrangement from
each Fund's perspective. The Board determined that, given the totality of the
information provided with respect to the Agreement, the Board had received
sufficient information to renew the Agreement. The Board considered that
shareholders chose to invest or remain invested in a Fund knowing that the
Advisor manages the Fund and knowing the Fund's advisory fee.

In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of the services provided by the Advisor under the Agreement.
The Board considered that the Advisor is responsible for the overall management
and administration of the Trust and each Fund and reviewed all of the services
provided by the Advisor to the Funds, as well as the background and experience
of the persons responsible for such services. In reviewing the services
provided, the Board noted the compliance program that had been developed by the
Advisor and considered that it includes a robust program for monitoring the
Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's
compliance with its investment objective, policies and restrictions. The Board
also considered a report from the Advisor with respect to its risk management
functions related to the operation of the Funds. Finally, as part of the Board's
consideration of the Advisor's services, the Advisor, in its written materials
and at the April 26, 2021 meeting, described to the Board the scope of its
ongoing investment in additional personnel and infrastructure to maintain and
improve the quality of services provided to the Funds and the other funds in the
First Trust Fund Complex. In light of the information presented and the
considerations made, the Board concluded that the nature, extent and quality of
the services provided to the Trust and each Fund by the Advisor under the
Agreement have been and are expected to remain satisfactory and that the Advisor
has managed each Fund consistent with its investment objective, policies and
restrictions.

The Board considered the advisory fee rate payable by each Fund under the
Agreement for the services provided. The Board considered that the Advisor
agreed to extend the current expense cap for each Fund through April 30, 2023.
For each Fund, the Board noted that expenses reimbursed and fees waived are
subject to recovery by the Advisor for up to three years from the date the fee
was waived or expense was incurred, but no reimbursement payment would be made
by the Fund if it results in the Fund exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived, or (iii) the current expense limitation. The Board
received and reviewed information showing the advisory or unitary fee rates and
expense ratios of the peer funds in the Expense Groups, as well as advisory and
unitary fee rates charged by the Advisor to other fund (including ETFs) and
non-fund clients, as applicable. Because each Fund's Expense Group included peer
funds that pay a unitary fee, the Board determined that expense ratios were the
most relevant comparative data point. Based on the information provided, the
Board noted that the total (net) expense ratio of each Fund was above the median
total (net) expense ratio of the peer funds in its respective Expense Group.
With respect to the Expense Groups, the Board, at the April 26, 2021 meeting,
discussed with the Advisor limitations in creating peer groups for index ETFs,
including differences in underlying indexes and index-tracking methodologies
that can result in greater management complexities across seemingly comparable
ETFs, and different business models that may affect the pricing of services
among ETF sponsors. The Board took these limitations and differences into
account in considering the peer data. With respect to fees charged to other
non-ETF clients, the Board considered differences between the Funds and other
non-ETF clients that limited their comparability. In considering the advisory
fee rates overall, the Board also considered the Advisor's statement that it
seeks to meet investor needs through innovative and value-added investment
solutions and the Advisor's demonstrated long-term commitment to each Fund and
the other funds in the First Trust Fund Complex.

The Board considered performance information for each Fund. The Board noted the
process it has established for monitoring each Fund's performance and portfolio
risk on an ongoing basis, which includes quarterly performance reporting from
the Advisor for the Funds. The Board determined that this process continues to
be effective for reviewing each Fund's performance. The Board received and
reviewed information for periods ended December 31, 2020 regarding the
performance of each Fund's underlying index, the correlation between each Fund's
performance and that of its underlying index, each Fund's tracking difference
and each Fund's excess return as compared to its benchmark index. With respect
to FTCS, the Board noted that during 2013, the Fund changed its underlying index
to The Capital Strength Index(SM), and that the performance information included
a blend of the old and new indexes. Based on the information provided and its
ongoing review of performance, the Board concluded that each Fund was correlated
to its underlying index and that the tracking difference for each Fund was
within a reasonable range. In addition, the Board reviewed data prepared by
Broadridge comparing each Fund's performance to that of its respective
Performance Universe and to that of a broad-based benchmark index, but given
each Fund's objective of seeking investment results that correspond generally to
the performance of its underlying index, the Board placed more emphasis on its
review of correlation and tracking difference.


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                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2021 (UNAUDITED)

On the basis of all the information provided on the fees, expenses and
performance of each Fund and the ongoing oversight by the Board, the Board
concluded that the advisory fee for each Fund continues to be reasonable and
appropriate in light of the nature, extent and quality of the services provided
by the Advisor to each Fund under the Agreement.

The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes its expenses will
likely increase during the next twelve months as the Advisor continues to hire
personnel and build infrastructure, including technology, to improve the
services to the Funds. The Board considered the revenues and allocated costs
(including the allocation methodology) of the Advisor in serving as investment
advisor to each Fund for the twelve months ended December 31, 2020 and the
estimated profitability level for each Fund calculated by the Advisor based on
such data, as well as complex-wide and product-line profitability data, for the
same period. The Board noted the inherent limitations in the profitability
analysis and concluded that, based on the information provided, the Advisor's
profitability level for each Fund was not unreasonable. In addition, the Board
considered fall-out benefits described by the Advisor that may be realized from
its relationship with the Funds. The Board considered that the Advisor had
identified as a fall-out benefit to the Advisor and FTP their exposure to
investors and brokers who, absent their exposure to the Funds, may have had no
dealings with the Advisor or FTP, and noted that the Advisor does not utilize
soft dollars in connection with the Funds. The Board concluded that the
character and amount of potential fall-out benefits to the Advisor were not
unreasonable.

Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of each Fund. No single factor was
determinative in the Board's analysis.

                       LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as
amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund
Complex, other than the closed-end funds, have adopted and implemented a
liquidity risk management program (the "Program") reasonably designed to assess
and manage the funds' liquidity risk, i.e., the risk that a fund could not meet
requests to redeem shares issued by the fund without significant dilution of
remaining investors' interests in the fund. The Board of Trustees of the First
Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the
person designated to administer the Program, and in this capacity the Advisor
performs its duties primarily through the activities and efforts of the First
Trust Liquidity Committee (the "Liquidity Committee").

Pursuant to the Program, the Liquidity Committee classifies the liquidity of
each fund's portfolio investments into one of the four liquidity categories
specified by Rule 22e-4: highly liquid investments, moderately liquid
investments, less liquid investments and illiquid investments. The Liquidity
Committee determines certain of the inputs for this classification process,
including reasonably anticipated trade sizes and significant investor dilution
thresholds. The Liquidity Committee also determines and periodically reviews a
highly liquid investment minimum for certain funds, monitors the funds' holdings
of assets classified as illiquid investments to seek to ensure they do not
exceed 15% of a fund's net assets and establishes policies and procedures
regarding redemptions in kind.

At the April 26, 2021 meeting of the Board of Trustees, as required by Rule
22e-4 and the Program, the Advisor provided the Board with a written report
prepared by the Advisor that addressed the operation of the Program during the
period from March 20, 2020 through the Liquidity Committee's annual meeting held
on March 16, 2021 and assessed the Program's adequacy and effectiveness of
implementation during this period, including the operation of the highly liquid
investment minimum for each fund that is required under the Program to have one,
and any material changes to the Program. Note that because the Funds primarily
hold assets that are highly liquid investments, the Funds have not adopted a
highly liquid investment minimum.

As stated in the written report, during the review period, no fund breached the
15% limitation on illiquid investments, no fund with a highly liquid investment
minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor
concluded that each fund's investment strategy is appropriate for an open-end
fund; that the Program operated effectively in all material respects during the
review period; and that the Program is reasonably designed to assess and manage
the liquidity risk of each fund and to maintain compliance with Rule 22e-4.


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FIRST TRUST

First Trust Exchange-Traded Fund

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603





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