Table of Contents

 

First Trust Exchange-Traded Fund III
First Trust RiverFront Dynamic Developed International ETF (RFDI) 
 
First Trust RiverFront Dynamic Europe ETF (RFEU) 
 
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) 

Annual Report
For the Year Ended
October 31, 2022
Table of Contents
First Trust Exchange-Traded Fund III
Annual Report
October 31, 2022

2
Fund Performance Overview

3

5

7

9

10

13
Portfolio of Investments

14

17

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Table of Contents
Caution Regarding Forward-Looking Statements
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and/or RiverFront Investment Group, LLC (“RIG” or the “Sub-Advisor”) and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded Fund III (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, 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/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
Performance and Risk Disclosure
There is no assurance that 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 web page 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 portfolio commentary by the portfolio management team of each Fund, you may obtain an understanding of how the market environment affected each Fund’s performance. The statistical information that follows may help you understand each Fund’s performance compared to that of a relevant market benchmark.
It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings.
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Shareholder Letter
First Trust Exchange-Traded Fund III
Annual Letter from the Chairman and CEO
October 31, 2022
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the First Trust RiverFront Dynamic International ETFs (the “Funds”), which contains detailed information about the Funds for the twelve months ended October 31, 2022.
As I’m writing this letter in mid-November, it strikes me that things appear to be a little more chaotic in the current climate than normal. One of the things that may have contributed to the chaotic nature of the news flow of late was the November mid-term election. For the most part, except for a few seats in Congress, the election is behind us. We learned there would be no “red wave” (Republicans gaining a strong majority in Congress) but likely gridlock ahead. Gridlock has been good for stock market investors in the past few decades, particularly when there’s been a Democratic president and the Republicans have control of at least one house of Congress, according to Brian Wesbury, Chief Economist at First Trust.
The Federal Reserve (the “Fed”) has kept its promise to aggressively hike interest rates to combat robust inflation. As of November 13, 2022, the Fed has increased the Federal Funds target rate (upper bound) six times, from 0.25% to 4.00%. The Fed’s actions have some investors and pundits looking for evidence linking the interest rate hikes to a downturn in the economy. In short, the hope is that a pullback in economic activity might deter the Fed from executing further interest rate hikes. Fed Chairman Jerome Powell, however, recently said that the terminal rate (the ultimate rate the Fed is targeting) will likely need to be higher than previously estimated in order to curb stubbornly high inflation. The Consumer Price Index (“CPI”) is a commonly used measure of inflation. The CPI stood at 7.7% on a trailing 12-month basis as of October 31, 2022, according to the U.S. Bureau of Labor Statistics. That is down from its recent high of 9.1% in June 2022. Prior to this year, the last time the CPI was higher than 7.0% was over 40 years ago. While monetary policy is an ongoing process subject to change, the Fed does appear to be steadfast in its mission to bring the rate of inflation back to its preferred level of 2.0%, and that will take some time, in my opinion. Stay tuned! 
Equity and fixed income markets have contended with numerous headwinds this year, such as the war between Russia and Ukraine. Since setting its all-time high of 4,796.56 on January 3, 2022, the S&P 500® Index has been in a bear market (a price decline of 20% or more from the most recent high) for the better part of 310 days. Suffice it to say, we are all looking forward to the end of this bear market. With respect to corrections and bear markets, the silver lining is that the S&P 500® Index has never failed to fully recover the losses sustained in any previous downturn. Where might we see demand for stocks moving forward? One such source could be stock buybacks. As of the last week of October 2022, U.S. companies had announced stock buybacks totaling $1 trillion so far this year, according to Birinyi Associates. The fixed income market has not been immune to selling pressure either. Year-to-date through November 10, 2022, yields on the 10-Year Treasury Note increased by 258 basis points. As you may be aware, bond yields and bond prices are inversely related, particularly with respect to investment-grade bonds. As yields rise, prices fall and vice versa. As noted above, the Fed has more work to do, so bond investors should not be surprised to see interest rates and bond yields trend at least a bit higher in the months ahead.
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,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
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Table of Contents
Fund Performance Overview (Unaudited)
First Trust RiverFront Dynamic Developed International ETF (RFDI)
The investment objective of First Trust RiverFront Dynamic Developed International ETF (the “Fund”) is to provide capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in a portfolio of equity securities of developed market companies, including through investments in common stock, depositary receipts, and common and preferred shares of real estate investment trusts (“REITs”), and forward foreign currency exchange contracts and currency spot transactions used to hedge the Fund’s exposure to the currencies in which the equity securities of such developed market companies are denominated (each, a “Developed Market currency” and, collectively, the “Developed Market currencies”). Developed market companies are those companies (i) whose securities are traded principally on a stock exchange in a developed market country, (ii) that have a primary business office in a developed market country, or (iii) that have at least 50% of their assets in, or derive at least 50% of their revenues or profits from, a developed market country. Developed market countries currently include the countries comprising the Morgan Stanley Capital International World Index or countries considered to be developed by the World Bank, the International Finance Corporation or the United Nations. Under normal market conditions, the Fund invests in at least three countries and at least 40% of its net assets in countries other than the United States. Shares of the Fund are listed on The Nasdaq Stock Market LLC under the ticker symbol “RFDI.”
The Fund utilizes a dynamic currency hedging strategy through the use of forward foreign currency exchange contracts and currency spot transactions to hedge up to 100% of the Fund’s currency exposure. As a result of this hedging strategy, the portion of the Fund’s portfolio securities which are subject to currency hedging transactions may vary widely, from 0% to 100% of the portfolio securities. A forward contract on foreign currency is an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days agreed upon by the parties from the date of the contract, at a price set on the date of the contract. A forward foreign currency exchange contract may reduce the Fund’s exposure to changes in the value of the currency it will deliver and increase its exposure to changes in the value of the currency it will receive for the duration of the contract. The effect on the value of the Fund is similar to selling securities denominated in one currency and purchasing securities denominated in another currency. The Fund also may enter into currency spot transactions as part of its dynamic currency hedging strategy. A currency spot transaction is an agreement between two parties to buy or sell a specific currency for delivery on a date that is typically two business days from the date of the agreement, as opposed to a date set in the future. The underlying currencies of the forward foreign currency exchange contracts and currency spot transactions included in the Fund’s policy relating to the investment of at least 80% of its net assets (including investment borrowings) will be limited to Developed Market currencies.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
10/31/22
5 Years
Ended
10/31/22
Inception
(4/13/16)
to 10/31/22
  5 Years
Ended
10/31/22
Inception
(4/13/16)
to 10/31/22
Fund Performance            
NAV -28.21% -2.35% 2.21%   -11.20% 15.43%
Market Price -28.83% -2.46% 2.19%   -11.73% 15.25%
Index Performance            
MSCI EAFE Index -23.00% -0.09% 3.45%   -0.47% 24.90%
(See Notes to Fund Performance Overview on page 9.)
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust RiverFront Dynamic Developed International ETF (RFDI) (Continued)
Sector Allocation % of Total
Investments
Health Care 18.9%
Industrials 18.5
Financials 13.3
Consumer Discretionary 10.4
Materials 8.7
Energy 8.2
Consumer Staples 6.4
Utilities 5.3
Information Technology 3.9
Real Estate 3.5
Communication Services 2.9
Total 100.0%
    
Fund Allocation % of Net Assets
Common Stocks 96.1%
Real Estate Investment Trusts 2.6
Net Other Assets and Liabilities* 1.3
Total 100.0%
    
* Includes forward foreign currency contracts.
Top Ten Holdings % of Total
Investments
Nestle S.A. 3.4%
Roche Holding AG 3.1
Novartis AG 3.0
Novo Nordisk A.S., Class B 2.3
Glencore PLC 1.8
Mercedes-Benz Group AG 1.8
BHP Group Ltd. 1.8
Rio Tinto PLC 1.7
Banco Bilbao Vizcaya Argentaria S.A. 1.6
Imperial Brands PLC 1.6
Total 22.1%

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.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust RiverFront Dynamic Europe ETF (RFEU)
The investment objective of First Trust RiverFront Dynamic Europe ETF (the “Fund”) is to provide capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in a portfolio of equity securities of European companies, including through investments in common stock, depositary receipts, and common and preferred shares of real estate investment trusts (“REITs”), and forward foreign currency exchange contracts and currency spot transactions used to hedge the Fund’s exposure to the currencies in which the equity securities of such European companies are denominated (each, a “European currency” and, collectively, the “European currencies”). European companies are those companies (i) whose securities are traded principally on a stock exchange in a European country, (ii) that have a primary business office in a European country, or (iii) that have at least 50% of their assets in, or derive at least 50% of their revenues or profits from, a European country. The Fund considers a European country to be any member country of the European Union or any country included in the FTSE Developed Europe Index or the FTSE Emerging Europe All Cap Index. The Fund generally focuses its European company investments in Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and/or the United Kingdom. Shares of the Fund are listed on The Nasdaq Stock Market LLC under the ticker symbol “RFEU.”
The Fund utilizes a dynamic currency hedging strategy through the use of forward foreign currency exchange contracts and currency spot transactions to hedge up to 100% of the Fund’s currency exposure. As a result of this hedging strategy, the portion of the Fund’s portfolio securities which are subject to currency hedging transactions may vary widely, from 0% to 100% of the portfolio securities. A forward contract on foreign currency is an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days agreed upon by the parties from the date of the contract, at a price set on the date of the contract. A forward foreign currency exchange contract may reduce the Fund’s exposure to changes in the value of the currency it will deliver and increase its exposure to changes in the value of the currency it will receive for the duration of the contract. The effect on the value of the Fund is similar to selling securities denominated in one currency and purchasing securities denominated in another currency. The Fund also may enter into currency spot transactions as part of its dynamic currency hedging strategy. A currency spot transaction is an agreement between two parties to buy or sell a specific currency for delivery on a date that is typically two business days from the date of the agreement, as opposed to a date set in the future. The underlying currencies of the forward foreign currency exchange contracts and currency spot transactions included in the Fund’s policy relating to the investment of at least 80% of its net assets (including investment borrowings) will be limited to European currencies.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
10/31/22
5 Years
Ended
10/31/22
Inception
(4/13/16)
to 10/31/22
  5 Years
Ended
10/31/22
Inception
(4/13/16)
to 10/31/22
Fund Performance            
NAV -27.33% -1.27% 3.64%   -6.18% 26.39%
Market Price -27.79% -1.40% 3.58%   -6.81% 25.93%
Index Performance            
MSCI Europe Index -22.88% 0.04% 3.47%   0.21% 25.02%
(See Notes to Fund Performance Overview on page 9.)
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust RiverFront Dynamic Europe ETF (RFEU) (Continued)
Sector Allocation % of Total
Investments
Health Care 23.5%
Industrials 16.4
Consumer Staples 15.6
Energy 11.3
Consumer Discretionary 8.9
Financials 7.8
Information Technology 5.5
Materials 4.9
Real Estate 1.8
Communication Services 1.6
Utilities 1.2
Other* 1.5
Total 100.0%
    
* Exchange-traded fund with holdings representing multiple sectors.
    
Fund Allocation % of Net Assets
Common Stocks 96.5%
Real Estate Investment Trusts 1.8
Exchange-Traded Funds 1.5
Net Other Assets and Liabilities** 0.2
Total 100.0%
    
** Includes forward foreign currency contracts.
Top Ten Holdings % of Total
Investments
Nestle S.A. 5.0%
Roche Holding AG 4.0
Novo Nordisk A.S., Class B 3.6
Novartis AG 3.4
LVMH Moet Hennessy Louis Vuitton SE 3.3
TotalEnergies SE 2.9
Shell PLC 2.6
Unilever PLC 2.6
ASML Holding N.V. 2.5
British American Tobacco PLC 2.3
Total 32.2%

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.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
The investment objective of First Trust RiverFront Dynamic Emerging Markets ETF (the “Fund”) is to provide capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in a portfolio of equity securities of emerging market companies, including through investments in common stock, depositary receipts, and common and preferred shares of real estate investment trusts (“REITs”), and forward foreign currency exchange contracts and currency spot transactions used to hedge the Fund’s exposure to the currencies in which the equity securities of such emerging market companies are denominated (each, an “Emerging Market currency” and, collectively, the “Emerging Market currencies”). The Fund considers an emerging market company to be one (i) domiciled or with a principal place of business or primary securities trading market in an emerging market country, or (ii) that derives a substantial portion of its total revenues or profits from emerging market countries. The Fund considers an emerging market country to be any country whose issuers are included in the Morgan Stanley Capital International Emerging Markets Index and/or those countries considered to be developing by the World Bank, the International Finance Corporation or the United Nations. The Fund generally focuses its emerging market company investments in Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Nigeria, Peru, the Philippines, Poland, Qatar, Russia, South Africa, South Korea, Taiwan, Thailand, Turkey and/or the United Arab Emirates. Shares of the Fund are listed on The Nasdaq Stock Exchange LLC under the ticker symbol “RFEM.”
The Fund utilizes a dynamic currency hedging strategy through the use of forward foreign currency exchange contracts and currency spot transactions to hedge up to 100% of the Fund’s currency exposure. As a result of this hedging strategy, the portion of the Fund’s portfolio securities which are subject to currency hedging transactions may vary widely, from 0% to 100% of the portfolio securities. A forward contract on foreign currency is an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days agreed upon by the parties from the date of the contract, at a price set on the date of the contract. A forward foreign currency exchange contract may reduce the Fund’s exposure to changes in the value of the currency it will deliver and increase its exposure to changes in the value of the currency it will receive for the duration of the contract. The effect on the value of the Fund is similar to selling securities denominated in one currency and purchasing securities denominated in another currency. The Fund also may enter into currency spot transactions as part of its dynamic currency hedging strategy. A currency spot transaction is an agreement between two parties to buy or sell a specific currency for delivery on a date that is typically two business days from the date of the agreement, as opposed to a date set in the future. The underlying currencies of the forward foreign currency exchange contracts and currency spot transactions included in the Fund’s policy relating to the investment of at least 80% of its net assets (including investment borrowings) will be limited to Emerging Market currencies.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
10/31/22
5 Years
Ended
10/31/22
Inception
(6/14/16)
to 10/31/22
  5 Years
Ended
10/31/22
Inception
(6/14/16)
to 10/31/22
Fund Performance            
NAV -24.97% -3.97% 2.67%   -18.35% 18.29%
Market Price -24.54% -4.13% 2.63%   -19.01% 18.00%
Index Performance            
MSCI Emerging Markets Index -31.03% -3.09% 3.34%   -14.54% 23.29%
(See Notes to Fund Performance Overview on page 9.)
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) (Continued)
Sector Allocation % of Total
Investments
Information Technology 30.5%
Materials 14.2
Energy 10.2
Financials 9.6
Consumer Staples 9.4
Communication Services 6.4
Consumer Discretionary 5.8
Industrials 5.7
Health Care 4.2
Utilities 3.7
Real Estate 0.3
Total 100.0%
    
Fund Allocation % of Net Assets
Common Stocks 99.4%
Net Other Assets and Liabilities* 0.6
Total 100.0%
    
* Includes forward foreign currency contracts.
Top Ten Holdings % of Total
Investments
Taiwan Semiconductor Manufacturing Co., Ltd. 4.4%
ITC Ltd. 2.3
Infosys Ltd. 2.2
Tata Steel Ltd. 2.2
JBS S.A. 2.1
Petroleo Brasileiro S.A. (Preference Shares) 2.0
United Microelectronics Corp., ADR 2.0
Petroleo Brasileiro S.A. 2.0
Tencent Holdings Ltd. 1.9
Wal-Mart de Mexico S.A.B. de C.V. 1.8
Total 22.9%

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.
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Table of Contents
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.
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.
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Table of Contents
Portfolio Commentary
First Trust Exchange-Traded Fund III
Annual Report
October 31, 2022 (Unaudited)
Advisor
First Trust Advisors L.P. (“First Trust”) serves as the investment advisor to the First Trust RiverFront Dynamic Developed International ETF (“RFDI”), the First Trust RiverFront Dynamic Europe ETF (“RFEU”), and the First Trust RiverFront Dynamic Emerging Markets ETF (“RFEM”) (each a “Fund” and collectively, the “Funds”). First Trust is responsible for the ongoing monitoring of each Fund’s investment portfolio, managing each Fund’s business affairs and providing certain administrative services necessary for the management of each Fund.
Sub-Advisor
RiverFront Investment Group, LLC
RiverFront Investment Group, LLC (“RIG”) is an SEC-registered investment advisor located in Richmond, Virginia. It is majority owned by its employees, and Baird Financial Corporation is a minority owner of RiverFront Investment Holding Group, LLC. The firm provides asset management services to a series of global tactical asset allocation portfolios and registered investment companies, including mutual funds and exchange-traded products.
Portfolio Management Team
Adam Grossman, CFA, Portfolio Manager of RIG
Chris Konstantinos, CFA, Portfolio Manager of RIG
Commentary
Market Recap
The 12-month period ended October 31, 2022 saw inflation, geopolitical conflicts, and recession concerns drive global equities into a bear market. U.S. markets led large cap equities with a total return of -14.61% for the period, as measured by the S&P 500® Index. After a decade of leadership, U.S. growth stocks, feeling the pressure of a rising rate environment, underperformed U.S. value stocks, with a total return of -24.43% and -3.66%, as measured by the S&P 500® Growth Index and the S&P 500® Value Index, respectively, for the period. Developed markets outperformed emerging markets for the period with a total return of -23.00%, as measured by the MSCI EAFE Index. This return was driven by Europe’s total return of -22.88%, as measured by the MSCI Europe Index, with Japan’s total return of -24.67%, as measured by the MSCI Japan Index, dragging performance slightly. Emerging market’s total return of -31.03%, as measured by the MSCI Emerging Markets Index, made it the worst performing equity region for the period.
While it outperformed international equities, U.S. fixed income provided little downside protection compared to U.S. equities, producing a total return of -15.68% for the period, as measured by the Bloomberg US Aggregate Bond Index.
First Trust RiverFront Dynamic Developed International ETF (RFDI)
2022 Performance Review 
  2022 Performance
RFDI Market -28.83%  
RFDI NAV -28.21%  
Benchmark: MSCI EAFE Index -23.00%  
*Inception date 4/13/16
Fund-Level Attribution
For the 12-month period ended October 31, 2022, the Fund posted net asset value (“NAV”) returns and market returns below the benchmark’s (MSCI EAFE Index) return.
Currency Hedging
The portfolio hedged the Euro for periods of fiscal year 2022 and the Yen for the entire fiscal year. Both hedges were additive to portfolio returns.
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Table of Contents
Portfolio Commentary (Continued)
First Trust Exchange-Traded Fund III
Annual Report
October 31, 2022 (Unaudited)
First Trust RiverFront Dynamic Europe ETF (RFEU):
2022 Performance Review
  2022 Performance
RFEU Market -27.29%  
RFEU NAV -27.33%  
Benchmark: MSCI Europe Index -22.88%  
*Inception date 4/13/16
Fund-Level Attribution
For the 12-month period ended October 31, 2022, the Fund posted NAV returns and market returns below the benchmark’s (MSCI Europe Index) return.
Currency Hedging
The portfolio partially hedged the Euro for the fiscal year, with the exception of the period from February 9, 2022 to April 28, 2022. This hedge was additive to portfolio returns.
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM):
2022 Performance Review
  2022 Performance
RFEM Market -24.54%  
RFEM NAV -24.97%  
Benchmark: MSCI Emerging Markets Index -31.03%  
*Inception date 6/14/16
Fund-Level Attribution
For the 12-month period ended October 31, 2022, the Fund posted NAV returns and market returns above the benchmark’s (MSCI Emerging Markets Index) return.
Currency Hedging
Since May 3, 2022, the portfolio partially hedged the Taiwan Dollar and Korean Won. Both hedges were additive to portfolio returns.
Market Outlook
In the second half of the 12-month period ended October 31, 2022, we expressed concern that our bear case scenario would play out. As a refresher, we described this negative scenario as:
The Federal Reserve (the “Fed”) comes to believe that the risk of runaway inflation exceeds the risk of wealth destruction due to overseas geopolitical issues and/or COVID-19, and thus applies overly aggressive tightening measures that exceed current market expectations.
With the 12-month period ended October 31, 2022 at an end, it continues to seem that this scenario is playing out. The conflict in Ukraine continues to drive European energy prices higher, making the European Central Bank’s job of lowering inflation a more difficult proposition. Additionally, the United Kingdom’s government spending plan has caused the scenario in Great Britain to become more dire than previously expected.
Given continued inflation pressures and recession concerns, the portfolio managers reaffirm the following beliefs:
Expect High Volatility – Given the uncertainty surrounding inflation, recession risk, and the consumer, we expect volatility to remain high across the globe, in our opinion. Traditionally, defensive sectors and security selection that tends toward stocks with low volatility characteristics could provide positive relative performance.
Page 11

Table of Contents
Portfolio Commentary (Continued)
First Trust Exchange-Traded Fund III
Annual Report
October 31, 2022 (Unaudited)
Commodity producers are likely to outperform, in our opinion. Commodity prices remain toward the top of the previous decade’s price range. Given their operating leverage and exposure to these prices, commodity producing countries and companies should, in our opinion, be able to continue their outperformance if inflation remains high.
In our view, interest rate differentials provide currency hedging opportunities. As long as several global central banks lag the Fed, we believe there will be opportunities to hedge the currency exposure of international equities. Specifically, being able to dynamically hedge a portfolio, in order to respond to changes in global central bank policies, could provide alpha to a U.S. domiciled investor.
Page 12

Table of Contents
First Trust Exchange-Traded Fund III
Understanding Your Fund Expenses
October 31, 2022 (Unaudited)
As a shareholder of First Trust RiverFront Dynamic Developed International ETF, First Trust RiverFront Dynamic Europe ETF or First Trust RiverFront Dynamic Emerging Markets ETF (each a “Fund” and collectively, the “Funds”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs (in U.S. dollars) 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 October 31, 2022.
Actual Expenses
The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this six-month period.
Hypothetical Example for Comparison Purposes
The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
  Beginning
Account Value
May 1, 2022
Ending
Account Value
October 31, 2022
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust RiverFront Dynamic Developed International ETF (RFDI)
Actual $1,000.00 $833.30 0.83% $3.84
Hypothetical (5% return before expenses) $1,000.00 $1,021.02 0.83% $4.23
First Trust RiverFront Dynamic Europe ETF (RFEU)
Actual $1,000.00 $848.50 0.83% $3.87
Hypothetical (5% return before expenses) $1,000.00 $1,021.02 0.83% $4.23
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
Actual $1,000.00 $816.00 0.95% $4.35
Hypothetical (5% return before expenses) $1,000.00 $1,020.42 0.95% $4.84
    
(a) Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2022 through October 31, 2022), multiplied by 184/365 (to reflect the six-month period).
Page 13

Table of Contents
First Trust RiverFront Dynamic Developed International ETF (RFDI)
Portfolio of Investments
October 31, 2022
Shares   Description   Value
COMMON STOCKS (a) – 96.1%
    Australia – 5.8%    
92,781   ALS Ltd.   $678,934
88,087   BHP Group Ltd.   2,105,043
436,051   Harvey Norman Holdings Ltd.   1,160,307
41,998   JB Hi-Fi Ltd.   1,152,735
72,919   Sonic Healthcare Ltd.   1,528,479
16,058   Woodside Energy Group Ltd.   369,569
        6,995,067
    Bermuda – 1.9%    
274,000   CK Infrastructure Holdings Ltd.   1,301,995
69,100   Orient Overseas International Ltd.   1,009,697
        2,311,692
    Canada – 4.9%    
121,379   ARC Resources Ltd.   1,708,848
30,950   Canadian Natural Resources Ltd.   1,856,296
18,867   Tourmaline Oil Corp.   1,063,039
17,331   West Fraser Timber Co., Ltd.   1,301,272
        5,929,455
    Denmark – 4.7%    
704   AP Moller - Maersk A.S., Class A   1,409,065
715   AP Moller - Maersk A.S., Class B   1,495,613
25,742   Novo Nordisk A.S., Class B   2,798,571
        5,703,249
    France – 5.9%    
14,793   BioMerieux   1,309,001
2,507   Christian Dior SE   1,552,180
8,987   Dassault Aviation S.A.   1,335,763
50,796   Engie S.A.   660,320
2,698   LVMH Moet Hennessy Louis Vuitton SE   1,703,765
5,969   Vinci S.A.   549,656
        7,110,685
    Germany – 5.3%    
8,394   Hapag-Lloyd AG (b) (c)   1,517,223
36,580   Mercedes-Benz Group AG   2,118,401
11,690   Nemetschek SE   558,686
7,640   Siemens AG   835,357
8,060   Volkswagen AG   1,377,996
        6,407,663
    Hong Kong – 1.1%    
288,500   Power Assets Holdings Ltd.   1,380,084
    Israel – 1.0%    
9,633   Check Point Software Technologies Ltd. (d)   1,244,873
    Italy – 1.1%    
176,578   Banca Mediolanum S.p.A.   1,322,734
Shares   Description   Value
    Japan – 23.6%    
66,100   Chugai Pharmaceutical Co., Ltd.   $1,533,643
10,600   Daito Trust Construction Co., Ltd.   1,048,630
65,300   H.U. Group Holdings, Inc.   1,216,456
60,600   Honda Motor Co., Ltd.   1,374,651
58,200   ITOCHU Corp.   1,506,519
98,000   Japan Tobacco, Inc.   1,623,942
9,400   Kajima Corp.   88,567
78,300   Mitsubishi Chemical Group Corp.   353,915
62,700   Mitsubishi Corp.   1,699,746
31,100   Mitsui OSK Lines Ltd.   617,210
44,550   Nintendo Co., Ltd.   1,818,612
70,800   Nippon Yusen KK   1,285,108
17,200   Nissan Chemical Corp.   775,009
11,900   Oracle Corp., Japan   635,435
99,900   ORIX Corp.   1,467,981
40,600   Recruit Holdings Co., Ltd.   1,253,263
180,600   Santen Pharmaceutical Co., Ltd.   1,236,429
70,200   SBI Holdings, Inc.   1,269,025
5,800   Shimano, Inc.   900,064
12,600   Softbank Corp.   124,182
61,500   Sumitomo Mitsui Financial Group, Inc.   1,725,946
69,900   Takeda Pharmaceutical Co., Ltd.   1,841,812
6,000   Tokyo Electron Ltd.   1,593,463
85,600   Tokyo Gas Co., Ltd.   1,529,569
        28,519,177
    Jersey – 1.8%    
373,155   Glencore PLC   2,137,531
    Luxembourg – 0.5%    
173,946   B&M European Value Retail S.A.   643,527
    Netherlands – 0.9%    
1,316   ASML Holding N.V.   621,657
2,573   Ferrari N.V.   507,282
        1,128,939
    New Zealand – 0.8%    
338,007   Spark New Zealand Ltd.   1,006,168
    Norway – 5.1%    
18,141   Aker ASA, Class A   1,278,192
1,043,899   DNO ASA   1,361,588
45,921   Equinor ASA   1,680,050
264,523   Wallenius Wilhelmsen ASA   1,881,608
        6,201,438
    Singapore – 1.1%    
223,100   Singapore Exchange Ltd.   1,327,001
    Spain – 4.2%    
382,441   Banco Bilbao Vizcaya Argentaria S.A.   1,968,727
 
Page 14
See Notes to Financial Statements

Table of Contents
First Trust RiverFront Dynamic Developed International ETF (RFDI)
Portfolio of Investments (Continued)
October 31, 2022
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Spain (Continued)    
607,153   Banco Santander S.A., ADR   $1,584,669
92,944   Red Electrica Corp. S.A.   1,501,779
        5,055,175
    Sweden – 0.6%    
39,253   Swedish Orphan Biovitrum AB (d)   722,760
    Switzerland – 15.7%    
3,936   Banque Cantonale Vaudoise   350,225
7,156   Kuehne + Nagel International AG   1,525,032
37,859   Nestle S.A.   4,122,580
43,856   Novartis AG   3,543,167
1,942   Partners Group Holding AG   1,744,280
11,164   Roche Holding AG   3,707,583
4,032   Roche Holding AG   1,635,590
413   SGS S.A.   911,087
15,586   Straumann Holding AG   1,484,588
        19,024,132
    United Kingdom – 8.7%    
125,882   3i Group PLC   1,675,315
56,691   Anglo American PLC   1,695,870
74,354   Evraz PLC (e) (f)   68,974
161,083   IG Group Holdings PLC   1,469,527
77,932   Imperial Brands PLC   1,898,270
47,573   RELX PLC   1,277,173
Shares   Description   Value
    United Kingdom (Continued)    
81,883   Rightmove PLC   $461,817
38,046   Rio Tinto PLC   1,979,546
        10,526,492
    United States – 1.4%    
34,245   Ovintiv, Inc.   1,734,509
    Total Common Stocks   116,432,351
    (Cost $126,917,565)    
REAL ESTATE INVESTMENT TRUSTS (a) – 2.6%
    Australia – 0.9%    
524,656   Growthpoint Properties Australia Ltd.   1,114,180
    Belgium – 0.8%    
37,536   Warehouses De Pauw CVA   963,727
    United Kingdom – 0.9%    
104,266   Safestore Holdings PLC   1,080,335
    Total Real Estate Investment Trusts   3,158,242
    (Cost $3,661,738)    
    Total Investments – 98.7%   119,590,593
    (Cost $130,579,303)    
    Net Other Assets and Liabilities – 1.3%   1,556,614
    Net Assets – 100.0%   $121,147,207
 
Forward Foreign Currency Contracts
Settlement
Date
  Counterparty   Amount
Purchased
  Amount
Sold
  Purchase
Value as of
10/31/2022
  Sale
Value as of
10/31/2022
  Unrealized
Appreciation/
(Depreciation)
12/01/22   BBH   USD 7,677,596   EUR 7,598,194   $  7,677,596   $  7,524,366   $ 153,230
12/01/22   BBH   USD 5,548,842   GBP 4,767,660     5,548,842     5,471,881     76,961
12/01/22   BBH   USD 11,229,099   JPY 1,637,651,697   $11,229,099    11,049,084    180,015
Net Unrealized Appreciation / (Depreciation)

  $410,206
    
Counterparty Abbreviations
BBH Brown Brothers Harriman and Co.
See Notes to Financial Statements
Page 15

Table of Contents
First Trust RiverFront Dynamic Developed International ETF (RFDI)
Portfolio of Investments (Continued)
October 31, 2022
(a) Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(c) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(d) Non-income producing security.
(e) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At October 31, 2022, securities noted as such are valued at $68,974 or 0.1% of net assets.
(f) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
    
ADR American Depositary Receipt
    
Currency Exposure
Diversification
% of Total
Investments†
USD 25.3%
CHF 15.8
JPY 14.6
EUR 10.7
GBP 7.4
AUD 6.8
NOK 5.2
DKK 4.7
CAD 3.9
HKD 3.1
SGD 1.1
NZD 0.8
SEK 0.6
Total 100.0%
    
The weightings include the impact of currency forwards.
    
Currency Abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound Sterling
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
SGD Singapore Dollar
USD United States Dollar

Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of October 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
10/31/2022
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Common Stocks:        
United Kingdom $10,526,492 $10,457,518 $68,974 $
Other Country Categories* 105,905,859 105,905,859
Real Estate Investment Trusts* 3,158,242 3,158,242
Total Investments 119,590,593 119,521,619 68,974
Forward Foreign Currency Contracts** 410,206 410,206
Total $120,000,799 $119,521,619 $479,180 $
    
* See Portfolio of Investments for country breakout.
** See the Schedule of Forward Foreign Currency Contracts for contract and currency detail.
 
Page 16
See Notes to Financial Statements

Table of Contents
First Trust RiverFront Dynamic Europe ETF (RFEU)
Portfolio of Investments
October 31, 2022
Shares   Description   Value
COMMON STOCKS (a) – 96.5%
    Australia – 1.1%    
3,750   Rio Tinto Ltd.   $211,564
    Belgium – 1.6%    
2,211   KBC Ancora   78,617
2,892   UCB S.A.   218,124
        296,741
    Denmark – 6.2%    
120   AP Moller - Maersk A.S., Class A   240,182
123   AP Moller - Maersk A.S., Class B   257,287
6,128   Novo Nordisk A.S., Class B   666,212
        1,163,681
    Finland – 1.0%    
7,645   Tieto OYJ   182,382
    France – 15.3%    
1,740   Arkema S.A.   137,771
2,265   BioMerieux   200,425
3,713   Bureau Veritas S.A.   91,991
14,561   Carrefour S.A.   234,340
103   Euroapi S.A. (b)   1,802
1,985   Ipsen S.A.   204,014
995   LVMH Moet Hennessy Louis Vuitton SE   628,334
2,449   Sanofi   211,358
460   Sartorius Stedim Biotech   146,016
1,843   Sodexo S.A.   163,448
10,124   TotalEnergies SE   551,278
3,232   Vinci S.A.   297,619
        2,868,396
    Germany – 7.7%    
9,553   1&1 AG   125,940
5,762   Deutsche Post AG   204,482
26,317   E.ON SE   220,442
8,530   Fresenius SE & Co., KGaA   196,414
3,591   HUGO BOSS AG   165,516
5,848   Mercedes-Benz Group AG   338,666
846   Nemetschek SE   40,432
1,208   Volkswagen AG (Preference Shares)   154,407
        1,446,299
    Israel – 3.0%    
97,691   Bezeq The Israeli Telecommunication Corp., Ltd.   173,013
1,831   Check Point Software Technologies Ltd. (b)   236,620
1,021   Delek Group Ltd. (b)   156,204
        565,837
    Italy – 1.9%    
27,694   Autogrill S.p.A. (b)   173,243
Shares   Description   Value
    Italy (Continued)    
11,849   Azimut Holding S.p.A.   $190,870
        364,113
    Jersey – 2.5%    
6,240   Experian PLC   198,508
46,682   Glencore PLC   267,407
        465,915
    Luxembourg – 1.1%    
20,058   Subsea 7 S.A.   200,654
    Netherlands – 8.5%    
993   ASML Holding N.V.   469,077
3,865   ASR Nederland N.V.   170,315
293   Ferrari N.V.   57,767
3,264   Heineken Holding N.V.   222,892
11,178   Koninklijke Ahold Delhaize N.V.   312,068
1,532   OCI N.V.   58,622
450   QIAGEN N.V. (b)   19,602
2,786   Wolters Kluwer N.V.   296,114
        1,606,457
    Norway – 3.8%    
2,590   Aker ASA, Class A   182,488
149,062   DNO ASA   194,426
9,184   Equinor ASA   336,003
        712,917
    Portugal – 1.0%    
51,441   Navigator (The) Co., S.A.   196,127
    Spain – 3.1%    
9,459   Cia de Distribucion Integral Logista Holdings S.A.   195,744
6,736   Grupo Catalana Occidente S.A.   183,064
109,878   Mapfre S.A.   188,398
380   Red Electrica Corp. S.A.   6,140
        573,346
    Switzerland – 22.0%    
1,886   Banque Cantonale Vaudoise   167,816
1,123   Flughafen Zurich AG (b)   174,279
2,371   Galenica AG (c)   170,245
854   Kuehne + Nagel International AG   181,998
2,086   Logitech International S.A.   103,847
8,631   Nestle S.A.   939,855
7,857   Novartis AG   634,774
25,893   OC Oerlikon Corp. AG   167,173
2,258   Roche Holding AG   749,885
608   Roche Holding AG   246,637
72   SGS S.A.   158,834
652   Straumann Holding AG   62,104
1,233   Vifor Pharma AG   220,348
2,437   VZ Holding AG   167,926
        4,145,721
 
See Notes to Financial Statements
Page 17

Table of Contents
First Trust RiverFront Dynamic Europe ETF (RFEU)
Portfolio of Investments (Continued)
October 31, 2022
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    United Kingdom – 16.7%    
19,812   3i Group PLC   $263,670
1,198   AstraZeneca PLC   140,876
11,020   British American Tobacco PLC   433,917
125,864   Diversified Energy Co. PLC   181,581
44,089   Evraz PLC (d) (e)   40,899
19,196   GSK PLC   314,536
10,934   HSBC Holdings PLC   56,087
12,178   Imperial Brands PLC   296,632
2,388   Intertek Group PLC   100,067
12,506   RELX PLC   335,743
17,948   Shell PLC   494,810
10,739   Unilever PLC   489,479
        3,148,297
    Total Common Stocks   18,148,447
    (Cost $20,824,185)    
REAL ESTATE INVESTMENT TRUSTS (a) – 1.8%
    Belgium – 0.6%    
4,153   Warehouses De Pauw CVA   106,627
Shares   Description   Value
    United Kingdom – 1.2%    
24,855   Segro PLC   $223,754
    Total Real Estate Investment Trusts   330,381
    (Cost $573,887)    
EXCHANGE-TRADED FUNDS (a) – 1.5%
    United States – 1.5%    
6,700   iShares Core MSCI Europe ETF   287,363
    (Cost $276,509)    
    Total Investments – 99.8%   18,766,191
    (Cost $21,674,581)    
    Net Other Assets and Liabilities – 0.2%   46,420
    Net Assets – 100.0%   $18,812,611
 
Forward Foreign Currency Contracts
Settlement
Date
  Counterparty   Amount
Purchased
  Amount
Sold
  Purchase
Value as of
10/31/2022
  Sale
Value as of
10/31/2022
  Unrealized
Appreciation/
(Depreciation)
12/01/22   BBH   USD 2,881,864   EUR 2,852,060   $ 2,881,864   $ 2,824,348   $ 57,516
12/01/22   BBH   USD 1,458,851   GBP 1,253,469    1,458,851    1,438,617    20,234
Net Unrealized Appreciation / (Depreciation)

  $77,750
    
Counterparty Abbreviations
BBH Brown Brothers Harriman and Co.
(a) Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) Non-income producing security.
(c) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(d) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At October 31, 2022, securities noted as such are valued at $40,899 or 0.2% of net assets.
(e) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
    
Page 18
See Notes to Financial Statements

Table of Contents
First Trust RiverFront Dynamic Europe ETF (RFEU)
Portfolio of Investments (Continued)
October 31, 2022
Currency Exposure
Diversification
% of Total
Investments†
USD 26.0%
EUR 25.5
CHF 22.0
GBP 12.6
DKK 6.2
NOK 4.9
ILS 1.7
AUD 1.1
Total 100.0%
    
The weightings include the impact of currency forwards.
    
Currency Abbreviations
AUD Australian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound Sterling
ILS Israeli Shekel
NOK Norwegian Krone
USD United States Dollar

Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of October 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
10/31/2022
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Common Stocks:        
United Kingdom $3,148,297 $3,107,398 $40,899 $
Other Country Categories* 15,000,150 15,000,150
Real Estate Investment Trusts* 330,381 330,381
Exchange-Traded Funds* 287,363 287,363
Total Investments 18,766,191 18,725,292 40,899
Forward Foreign Currency Contracts** 77,750 77,750
Total $18,843,941 $18,725,292 $118,649 $
    
* See Portfolio of Investments for country breakout.
** See the Schedule of Forward Foreign Currency Contracts for contract and currency detail.
See Notes to Financial Statements
Page 19

Table of Contents
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
Portfolio of Investments
October 31, 2022
Shares   Description   Value
COMMON STOCKS (a) – 99.4%
    Argentina – 0.8%    
28,167   Grupo Financiero Galicia S.A., ADR   $218,576
    Brazil – 17.2%    
67,267   Bradespar S.A. (Preference Shares)   312,667
75,562   Cia Siderurgica Nacional S.A., ADR   182,104
60,547   CPFL Energia S.A.   415,173
66,648   EDP - Energias do Brasil S.A.   297,661
59,293   Equatorial Energia S.A.   344,704
121,843   JBS S.A.   588,753
83,749   Marfrig Global Foods S.A.   173,481
88,274   Petroleo Brasileiro S.A.   568,385
100,361   Petroleo Brasileiro S.A. (Preference Shares)   579,181
37,633   Petroleo Brasileiro S.A., ADR   482,455
37,154   Petroleo Brasileiro S.A., ADR   427,643
27,531   Suzano S.A.   283,544
21,484   Vale S.A.   279,203
        4,934,954
    Cayman Islands – 5.6%    
42,400   Alibaba Group Holding Ltd. (b)   331,923
26,486   ANTA Sports Products Ltd.   232,817
404,711   Country Garden Holdings Co., Ltd.   52,073
521,572   Sino Biopharmaceutical Ltd.   253,157
78,219   Sunac China Holdings
Ltd. (b) (c) (d) (e)
  22,819
20,347   Tencent Holdings Ltd.   532,934
104,088   Wisdom Marine Lines Co., Ltd.   168,944
        1,594,667
    Chile – 1.0%    
3,997,470   Cia Sud Americana de Vapores S.A.   277,514
    Colombia – 0.6%    
327,548   Ecopetrol S.A.   162,489
    Hong Kong – 1.3%    
454,000   Lenovo Group Ltd.   363,216
    India – 25.3%    
10,651   Asian Paints Ltd.   399,868
26,078   Aurobindo Pharma Ltd.   169,537
17,760   Axis Bank Ltd.   194,383
76,014   Bharat Petroleum Corp., Ltd.   278,840
51,237   Chambal Fertilisers and Chemicals Ltd.   202,033
37,651   Dabur India Ltd.   252,303
6,313   Divi’s Laboratories Ltd.   275,232
28,719   HCL Technologies Ltd.   361,219
4,942   HDFC Asset Management Co., Ltd. (f) (g)   123,858
Shares   Description   Value
    India (Continued)    
15,415   Hindustan Unilever Ltd.   $474,997
34,372   Infosys Ltd.   638,484
17,818   Infosys Ltd., ADR   333,731
155,484   ITC Ltd.   654,976
55,103   Jindal Steel & Power Ltd.   306,111
16,340   Jubilant Foodworks Ltd.   120,402
3,034   Mindtree Ltd.   124,756
3,434   Reliance Industries Ltd.   105,769
33,369   State Bank of India   231,308
40,461   Sun Pharmaceutical Industries Ltd.   497,053
30,938   Sun TV Network Ltd.   195,415
12,805   Tata Consultancy Services Ltd.   493,954
519,028   Tata Steel Ltd.   636,735
46,558   Vedanta Ltd.   157,935
        7,228,899
    Mexico – 3.2%    
111,544   Grupo Mexico S.A.B. de C.V., Series B   401,801
135,383   Wal-Mart de Mexico S.A.B. de C.V.   523,001
        924,802
    Poland – 0.6%    
12,435   Asseco Poland S.A.   179,072
    Russia – 0.1%    
59,735   Rosneft Oil Co. PJSC (c) (d) (e)   7,423
23,602   Severstal PAO (c) (d) (e)   13,427
        20,850
    South Africa – 5.0%    
3,578   Capitec Bank Holdings Ltd.   370,207
24,935   Exxaro Resources Ltd.   277,630
36,154   Impala Platinum Holdings Ltd.   370,225
12,099   Kumba Iron Ore Ltd.   227,894
28,625   Vodacom Group Ltd.   195,277
        1,441,233
    South Korea – 14.5%    
3,601   Coway Co., Ltd.   139,798
7,420   GS Holdings Corp.   239,615
22,316   HMM Co., Ltd.   299,228
6,913   Kia Corp.   321,761
4,147   KIWOOM Securities Co., Ltd.   235,233
6,700   Korea Investment Holdings Co., Ltd.   233,062
15,276   KT Corp.   392,503
2,946   Kumho Petrochemical Co., Ltd.   270,930
2,999   LX Semicon Co., Ltd.   174,535
64,109   Mirae Asset Securities Co., Ltd.   285,789
30,138   NH Investment & Securities Co., Ltd.   189,784
11,533   Samsung Electronics Co., Ltd.   480,930
13,154   Samsung Securities Co., Ltd.   293,193
 
Page 20
See Notes to Financial Statements

Table of Contents
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
Portfolio of Investments (Continued)
October 31, 2022
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    South Korea (Continued)    
6,654   SIMMTECH Co., Ltd.   $165,130
7,530   SK Hynix, Inc.   437,173
        4,158,664
    Taiwan – 20.4%    
678,559   AUO Corp.   355,889
43,673   Evergreen Marine Corp. Taiwan Ltd.   186,362
66,903   Faraday Technology Corp.   294,832
78,356   Gigabyte Technology Co., Ltd.   224,934
25,384   International Games System Co., Ltd.   276,902
227,957   Macronix International Co., Ltd.   210,819
23,784   MediaTek, Inc.   435,489
46,309   Nan Ya Printed Circuit Board Corp.   303,960
43,638   Novatek Microelectronics Corp.   326,379
33,810   Realtek Semiconductor Corp.   267,563
102,878   Taiwan Semiconductor Manufacturing Co., Ltd.   1,245,168
2,736   Taiwan Semiconductor Manufacturing Co., Ltd., ADR   168,401
422,333   United Microelectronics Corp.   512,475
Shares   Description   Value
    Taiwan (Continued)    
96,518   United Microelectronics Corp., ADR   $572,352
111,908   Wan Hai Lines Ltd.   235,121
119,037   Yang Ming Marine Transport Corp.   222,392
        5,839,038
    Thailand – 0.6%    
207,100   Com7 PCL, NVDR   164,603
    Turkey – 3.2%    
1,048,390   Dogan Sirketler Grubu Holding A.S.   335,678
202,419   Haci Omer Sabanci Holding A.S.   364,728
336,278   Turk Telekomunikasyon A.S.   223,833
        924,239
    Total Investments – 99.4%   28,432,816
    (Cost $33,920,138)    
    Net Other Assets and Liabilities – 0.6%   175,428
    Net Assets – 100.0%   $28,608,244
 
Forward Foreign Currency Contracts
Settlement
Date
  Counterparty   Amount
Purchased
  Amount
Sold
  Purchase
Value as of
10/31/2022
  Sale
Value as of
10/31/2022
  Unrealized
Appreciation/
(Depreciation)
12/01/22   SG   USD 1,004,237   KRW 1,429,110,000   $ 1,004,237   $ 1,003,402   $  835
12/01/22   SG   USD 2,080,221   TWD 66,906,150    2,080,221    2,080,682    (461)
Net Unrealized Appreciation / (Depreciation)

  $374
    
Counterparty Abbreviations
SG Societe Generale
(a) Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) Non-income producing security.
(c) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At October 31, 2022, securities noted as such are valued at $43,669 or 0.2% of net assets.
(d) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
(e) This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(f) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(g) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
    
ADR American Depositary Receipt
NVDR Non-Voting Depositary Receipt
See Notes to Financial Statements
Page 21

Table of Contents
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
Portfolio of Investments (Continued)
October 31, 2022
Currency Exposure
Diversification
% of Total
Investments†
INR 24.3%
USD 19.2
BRL 13.5
TWD 11.2
KRW 11.1
HKD 6.3
ZAR 5.1
MXN 3.2
TRY 3.2
CLP 1.0
PLN 0.6
THB 0.6
COP 0.6
RUB 0.1
Total 100.0%
    
The weightings include the impact of currency forwards.
    
Currency Abbreviations
BRL Brazilian Real
CLP Chilean Peso
COP Colombian Peso
HKD Hong Kong Dollar
INR Indian Rupee
KRW South Korean Won
MXN Mexican Peso
PLN Polish Zloty
RUB Russian Ruble
THB Thai Baht
TRY Turkish Lira
TWD New Taiwan Dollar
USD United States Dollar
ZAR South African Rand

Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of October 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
ASSETS TABLE
  Total
Value at
10/31/2022
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Common Stocks:        
Cayman Islands $1,594,667 $1,571,848 $ $22,819
Russia 20,850 20,850
Other Country Categories* 26,817,299 26,817,299
Total Investments 28,432,816 28,389,147 43,669
Forward Foreign Currency Contracts** 835 835
Total $28,433,651 $28,389,147 $835 $43,669
 
LIABILITIES TABLE
  Total
Value at
10/31/2022
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Forward Foreign Currency Contracts** $(461) $ $(461) $
    
* See Portfolio of Investments for country breakout.
** See the Schedule of Forward Foreign Currency Contracts for contract and currency detail.
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. The Level 3 investments values are based on unobservable and non-quantitative inputs.
 
Page 22
See Notes to Financial Statements

Table of Contents
First Trust Exchange-Traded Fund III
Statements of Assets and Liabilities
October 31, 2022
  First Trust
RiverFront
Dynamic
Developed
International
ETF
(RFDI)
  First Trust
RiverFront
Dynamic
Europe
ETF
(RFEU)
  First Trust
RiverFront
Dynamic
Emerging
Markets
ETF
(RFEM)
ASSETS:          
Investments, at value

$ 119,590,593