FIRST TRUST
First Trust Exchange-Traded Fund VIII
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First Trust Income Opportunities ETF (FCEF)
First Trust Flexible Municipal High Income ETF (MFLX)
First Trust Low Duration Strategic Focus ETF (LDSF)
First Trust Active Factor Large Cap ETF (AFLG)
First Trust Active Factor Mid Cap ETF (AFMC)
First Trust Active Factor Small Cap ETF (AFSM)
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Semi-Annual Report
For the Six Months Ended
February 28, 2023
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2023
Shareholder Letter........................................................... 2
Fund Performance Overview
First Trust Income Opportunities ETF (FCEF)............................... 3
First Trust Flexible Municipal High Income ETF (MFLX)..................... 5
First Trust Low Duration Strategic Focus ETF (LDSF)....................... 7
First Trust Active Factor Large Cap ETF (AFLG)............................ 9
First Trust Active Factor Mid Cap ETF (AFMC).............................. 11
First Trust Active Factor Small Cap ETF (AFSM)............................ 13
Notes to Fund Performance Overview........................................... 15
Portfolio Management......................................................... 16
Understanding Your Fund Expenses............................................. 20
Portfolio of Investments
First Trust Income Opportunities ETF (FCEF)............................... 21
First Trust Flexible Municipal High Income ETF (MFLX)..................... 23
First Trust Low Duration Strategic Focus ETF (LDSF)....................... 27
First Trust Active Factor Large Cap ETF (AFLG)............................ 28
First Trust Active Factor Mid Cap ETF (AFMC).............................. 33
First Trust Active Factor Small Cap ETF (AFSM)............................ 38
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Financial Highlights......................................................... 51
Notes to Financial Statements................................................ 54
Additional Information....................................................... 64
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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 VIII (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(s). 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 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.
The statistical information that follows may help you understand each Fund's
performance compared to that of relevant market benchmark(s).
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 VIII
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
FEBRUARY 28, 2023
Dear Shareholders:
First Trust is pleased to provide you with the semi-annual report for certain
series of the First Trust Exchange-Traded Fund VIII (the "Funds"), which
contains detailed information about the Funds for the six-month period ended
February 28, 2023.
As I write this letter in late March, the global financial and banking sectors
are sifting through the rubble of several bank failures in the U.S. and
absorbing the news of a merger between two of Switzerland's largest banks. As
many investors may be aware, despite this news, the Federal Reserve (the "Fed")
announced an additional 25 basis point increase to the Federal Funds target rate
(upper bound) at their March 22, 2023 meeting. This brings the Federal Funds
target rate (upper bound) to 5.0%, its highest level since June 2006. The Fed's
resolve in fighting inflation is notable, but they find themselves in an
unenviable situation, in my opinion. On the one hand, if the Fed becomes overly
restrictive, they could run the risk of ushering in an economic recession. On
the other hand, inflation (which we will discuss further in a moment) is still
well-above the Fed's stated target level of 2.0%, which could indicate that
higher rates may be required to rein in stubbornly high prices.
Since peaking at 9.1% in June 2022, inflation, as measured by the trailing
12-month rate of change in the Consumer Price Index ("CPI"), has been trending
downward. While this is welcome news, the CPI, which stood at 6.0% on February
28, 2023, is still at a level not seen since 1990, according to data from the
U.S. Bureau of Labor Statistics (excluding October 2021, when it was trending
towards its June 2022 peak of 9.1%). In a positive sign, inflation does not
appear to have slowed the pace of U.S. consumer spending. In January 2023,
consumer spending, as measured by personal consumption expenditures ("PCE"),
grew by 1.8% month-over-month, the largest increase in the metric since March
2021, according to Reuters. There is no way to know if this trend will continue,
but a healthy consumer, as measured by continued growth in PCE, may be the key
to the U.S. avoiding a recession, in my opinion.
The Federal Reserve Bank of New York reported that an inverted U.S. yield curve
is a historically reliable signal that a recession could occur in the next
twelve months, according to Forbes. As of March 22, 2023, the yield on the
2-Year Treasury Note ("T-Note") stood 50 basis points above the yield on the
10-Year T-Note. Brian Wesbury, Chief Economist at First Trust, recently noted
that an inverted yield curve "is consistent with risk aversion among investors
and in Corporate America. We expect prolonged weakness in business investment in
equipment as well as in commercial construction. And, after surging rapidly last
year, the pace of inventory accumulation should cool off too. Combined, these
should pose a big headwind for gross domestic product growth later this year."
Whether these headwinds grow into an economic recession remains to be seen, but
the Fed will be paying close attention as they try to achieve their best-case
scenario of a "soft landing" for the U.S. economy.
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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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF)
The First Trust Income Opportunities ETF (the "Fund") seeks to provide current
income with a secondary emphasis on total return. Under normal market
conditions, the Fund seeks to achieve its investment objectives by investing in
a portfolio of closed-end investment companies and exchange-traded funds that
are listed and traded in the United States on registered exchanges. The Fund may
invest in closed-end funds and/or ETFs that utilize leverage. The Fund is
classified as "diversified" under the Investment Company Act of 1940, as
amended. The shares of the Fund are listed and traded on The Nasdaq Stock Market
LLC under the ticker symbol "FCEF."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended 5 Years Ended Inception (9/27/16) 5 Years Ended Inception (9/27/16)
2/28/23 2/28/23 2/28/23 to 2/28/23 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV -0.36% -7.59% 4.11% 5.56% 22.32% 41.55%
Market Price -0.36% -7.64% 4.11% 5.56% 22.32% 41.54%
INDEX PERFORMANCE
Russell 3000(R) Index 1.51% -8.07% 9.42% 11.54% 56.88% 101.63%
Blended Benchmark (1) 0.45% -6.98% 3.73% 5.03% 20.12% 37.05%
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(See Notes to Fund Performance Overview on page 15.)
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(1) A blended benchmark (the "Blended Benchmark") comprised 60% of the First
Trust Equity Closed-End Fund Total Return Index, a cap-weighted index
(based on NAV) designed to provide a broad representation of the equity
based closed-end fund universe, and 40% of the First Trust Taxable Fixed
Income Closed-End Fund Total Return Index, a cap-weighted index (based on
NAV) designed to provide a broad representation of the taxable fixed
income closed-end fund universe, has been selected as a secondary
benchmark to provide a more direct correlation to the Fund's underlying
portfolio. The indexes do not charge management fees or brokerage
expenses, and no such fees or expenses were deducted from the performance
shown. Indexes are unmanaged and an investor cannot invest directly in an
index. The Blended Benchmark returns are calculated by using the monthly
return of the two indices during each period shown above. At the beginning
of each month the two indices are rebalanced to a 60-40 ratio to account
for divergence from that ratio that occurred during the course of each
month. The monthly returns are then compounded for each period shown
above, giving the performance for the Blended Benchmark for each period
shown above.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF) (CONTINUED)
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% OF TOTAL
LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
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Eaton Vance Tax-Advantaged Global Dividend
Income Fund 4.5%
Ares Dynamic Credit Allocation Fund, Inc. 3.9
Eaton Vance Tax-Advantaged Dividend
Income Fund 3.6
Tekla Healthcare Investors 3.6
John Hancock Tax-Advantaged Dividend
Income Fund 3.6
Tekla Healthcare Opportunities Fund 3.5
Cohen & Steers REIT and Preferred and
Income Fund, Inc. 3.5
Gabelli Dividend & Income Trust (The) 3.4
Source Capital, Inc. 3.4
Eaton Vance Tax-Advantaged Global Dividend
Opportunities Fund 3.4
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Total 36.4%
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% OF TOTAL
LONG-TERM
WORLD REGIONS INVESTMENTS
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North America 81.4%
Europe 13.3
Asia 5.3
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Total 100.0%
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% OF TOTAL
LONG-TERM
MARKET CAPITALIZATION INVESTMENTS
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Mega 24.8%
Large 36.7
Mid 27.8
Small 7.6
Micro 3.1
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Total 100.0%
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% OF TOTAL
LONG-TERM
CREDIT QUALITY(2) INVESTMENTS
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AAA 5.5%
AA 0.2
A 1.9
BBB 17.8
BB 28.6
B 31.6
CCC-D 8.5
NR 5.9
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Total 100.0%
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PERFORMANCE OF A $10,000 INITIAL INVESTMENT
SEPTEMBER 27, 2016 - FEBRUARY 28, 2023
First Trust Income Russell 3000(R) Blended
Opportunities ETF Index Benchmark
9/28/16 $10,000 $10,000 $10,000
2/28/17 10,698 11,058 10,693
8/31/17 11,348 11,637 11,267
2/28/18 11,572 12,853 11,410
8/31/18 12,267 13,993 12,041
2/28/19 12,044 13,502 11,833
8/31/19 12,658 14,177 12,452
2/29/20 12,451 14,434 12,117
8/31/20 12,401 17,216 12,258
2/28/21 14,636 19,532 14,085
8/31/21 16,638 22,903 15,935
2/28/22 15,317 21,932 14,733
8/31/22 14,205 19,862 13,645
2/28/23 14,155 20,162 13,705
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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(2) The ratings are provided by Morningstar except where otherwise indicated.
A credit rating is an assessment provided by a nationally recognized
statistical rating organization (NRSRO) of the creditworthiness of an
issuer with respect to debt obligations except for those debt obligations
that are only privately rated. Ratings are measured on a scale that
generally ranges from AAA (highest) to D (lowest). Investment grade is
defined as those issuers that have a long-term credit rating of BBB- or
higher. "NR" indicates no rating. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. Credit ratings are subject to change.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX)
The First Trust Flexible Municipal High Income ETF (the "Fund") seeks to provide
current income. Under normal market conditions, the Fund seeks to achieve its
investment objective by investing at least 80% of its net assets (plus any
investment borrowings) in municipal debt securities that pay interest that is
exempt from regular federal income taxes. The Fund may invest in municipal debt
securities of any duration, maturity or credit quality, but will focus on longer
duration, higher yielding municipal debt securities, including municipal debt
securities that are rated below investment grade or unrated and determined by
the Fund's investment advisor, to be of comparable quality, also known as "junk"
bonds. In addition, the Fund may invest up to 10% of its net assets in
closed-end investment companies that are listed and traded in the United States
on registered exchanges which invest primarily in municipal debt securities,
some or all of which pay interest that is exempt from regular federal income
taxes. The Fund is classified as "diversified" under the Investment Company Act
of 1940, as amended. The shares of the Fund are listed and traded on The Nasdaq
Stock Market LLC under the ticker symbol "MFLX."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended 5 Years Ended Inception (9/27/16) 5 Years Ended Inception (9/27/16)
2/28/23 2/28/23 2/28/23 to 2/28/23 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV -0.54% -9.97% 1.82% 0.47% 9.44% 3.04%
Market Price -0.35% -10.17% 1.76% 0.44% 9.13% 2.85%
INDEX PERFORMANCE
Bloomberg Municipal
Long Bond (22+)
Index(1) 0.03% -10.94% 1.18% 0.96% 6.04% 6.32%
Blended Benchmark(2) -0.55% -7.23% 2.38% 2.04% 12.50% 13.83%
Bloomberg Municipal Bond
Index 0.66% -5.10% 1.66% 1.30% 8.59% 8.62%
First Trust Municipal
Closed-End Fund Index(3) -5.49% -16.18% 1.06% -0.15% 5.40% -0.94%
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(See Notes to Fund Performance Overview on page 15.)
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(1) The Bloomberg Municipal Long Bond (22+) Index serves as the Fund's new
primary benchmark index. The Fund's investment advisor has determined that
the Bloomberg Municipal Long Bond (22+) Index provides a more appropriate
comparison to Fund returns.
(2) The Blended Benchmark returns are a 50/50 split between the Bloomberg
Municipal High Yield Bond Index and the Bloomberg Municipal Bond Index.
(3) The First Trust Municipal Closed-End Fund Index is a cap-weighted index
(based on NAV) designed to provide a broad representation of the taxable
fixed income closed-end fund universe. The index does not charge
management fees or brokerage expenses, and no such fees or expenses were
deducted from the performance shown. The Fund's investment advisor has
determined that the First Trust Municipal Closed-End Fund Index no longer
serves as an appropriate comparison to Fund returns, and therefore,
intends to remove it as a benchmark index for the Fund.
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX) (CONTINUED)
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% OF
FUND ALLOCATION NET ASSETS
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Municipal Bonds 91.2%
Closed-End Funds 4.2
Net Other Assets and Liabilities(4) 4.6
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Total 100.0%
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% OF TOTAL
INVESTMENTS
CREDIT QUALITY(5) (INCLUDING CASH)
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AAA 0.3%
AA 10.8
A 31.9
BBB 13.4
BB 7.3
B 3.4
CCC-D 0.0*
NR 29.5
Cash 3.4
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Total 100.0%
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* Amount is less than 0.1%.
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
SEPTEMBER 27, 2016 - FEBRUARY 28, 2023
First Trust Flexible Bloomberg Bloomberg First Trust Municipal
Municipal High Municipal Long Blended Municipal Closed-End
Income ETF Bond (22+) Index Benchmark Bond Index Fund Index
9/28/16 $10,000 $10,000 $10,000 $10,000 $10,000
2/28/17 9,433 9,614 9,765 9,758 9,359
8/31/17 9,919 10,105 10,161 10,128 9,978
2/28/18 9,415 10,027 10,118 10,003 9,399
8/31/18 9,613 10,235 10,497 10,178 9,693
2/28/19 9,889 10,235 10,679 10,416 10,017
8/31/19 10,858 11,375 11,470 11,066 11,182
2/29/20 11,086 11,875 11,950 11,402 11,415
8/31/20 10,977 11,722 11,722 11,424 11,273
2/28/21 11,636 11,884 12,102 11,522 11,971
8/31/21 12,775 12,372 12,625 11,813 13,231
2/28/22 11,446 11,939 12,270 11,448 11,818
8/31/22 10,360 10,629 11,445 10,791 10,482
2/28/23 10,304 10,632 11,383 10,862 9,907
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.
Performance in municipal bond investment strategies can be impacted from the
benefits of purchasing odd lot positions. The impact of these investments can be
particularly meaningful when funds have limited assets under management and may
not be a sustainable source of performance as a fund grows in size.
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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(4) Includes variation margin on futures contracts.
(5) This represents the municipal and closed-end fund holdings in the Fund.
The ratings for the Municipal Bond portion of the Fund are by S&P Global
Ratings, Moody's Investors Service, Inc., Fitch Ratings, or a comparably
rated NRSRO. For situations in which a security is rated by more than one
NRSRO and the ratings are not equivalent, the highest ratings are used.
The ratings for the CEF portion of the Fund are provided by Morningstar. A
credit rating is an assessment provided by a nationally recognized
statistical rating organization (NRSRO) of the creditworthiness of an
issuer with respect to debt obligations except for those debt obligations
that are only privately rated. Ratings are measured on a scale that
generally ranges from AAA (highest) to D (lowest). Investment grade is
defined as those issuers that have a long-term credit rating of BBB- or
higher. "NR" indicates no rating. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. Credit ratings are subject to change.
Page 6
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF)
The First Trust Low Duration Strategic Focus ETF (the "Fund") seeks to generate
current income, with a secondary objective of preservation of capital. Under
normal market conditions, the Fund seeks to achieve its investment objectives by
investing at least 80% of its net assets (including investment borrowings) in a
portfolio of U.S.-listed exchange-traded funds ("ETFs") that principally invest
in income-generating securities that provide the Fund with an effective
portfolio duration of three years or less. The Fund is classified as
"diversified" under the Investment Company Act of 1940, as amended. The shares
of the Fund are listed and traded on The Nasdaq Stock Market LLC under the
ticker symbol "LDSF."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (1/3/19) Inception (1/3/19)
2/28/23 2/28/23 to 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV -0.10% -3.45% 0.69% 2.88%
Market Price -0.05% -3.45% 0.69% 2.88%
INDEX PERFORMANCE
Blended Benchmark(1) -0.02% -4.23% 1.29% 5.46%
Bloomberg 1-5 Year Government/Credit Index -0.63% -4.00% 0.61% 2.56%
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(See Notes to Fund Performance Overview on page 15.)
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% OF
FUND ALLOCATION NET ASSETS
----------------------------------------------------------
Exchange-Traded Funds 99.9%
Money Market Funds 0.1
Net Other Assets and Liabilities 0.0*
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Total 100.0%
========
* Amount is less than 0.1%.
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(1) The Blended Benchmark consists of the following two indexes: 80% of the
Bloomberg 1-5 Year Government/Credit Index which measures the performance
of U.S. dollar-denominated U.S. Treasury bonds, government related bonds
and investment grade U.S. corporate bonds that have a maturity between one
and five years; and 20% of the ICE BofA US High Yield Constrained Index
which tracks the performance of U.S. dollar denominated below investment
grade corporate debt publicly issued in the U.S. domestic market but caps
issuer exposure at 2%. The indexes do not charge management fees or
brokerage expenses, and no such fees or expenses were deducted from the
performance shown. Indexes are unmanaged and an investor cannot invest
directly in an index. The Blended Benchmark returns are calculated by
using the monthly return of the two indices during each period shown
above. At the beginning of each month the two indices are rebalanced to a
80-20 ratio to account for divergence from that ratio that occurred during
the course of each month. The monthly returns are then compounded for each
period shown above, giving the performance for the Blended Benchmark for
each period shown above.
Page 7
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JANUARY 3, 2019 - FEBRUARY 28, 2023
First Trust Low Duration Blended Bloomberg 1-5 Year
Strategic Focus ETF Benchmark Government/Credit Index
1/3/19 $10,000 $10,000 $10,000
2/28/19 10,210 10,151 10,037
8/31/19 10,453 10,564 10,433
2/29/20 10,648 10,789 10,676
8/31/20 10,672 11,059 10,926
2/28/21 10,781 11,190 10,924
8/31/21 10,839 11,309 10,962
2/28/22 10,655 11,012 10,683
8/31/22 10,299 10,547 10,321
2/28/23 10,288 10,546 10,256
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 8
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
The First Trust Active Factor Large Cap ETF (the "Fund") seeks to provide
capital appreciation. Under normal market conditions, the Fund will invest at
least 80% of its net assets (including investment borrowings) in U.S.-listed
equity securities issued by large capitalization companies. The Fund defines
large capitalization companies as those that, at the time of investment, have a
minimum market capitalization equal to or greater than the minimum market
capitalization of a widely recognized index of large capitalization companies
based upon the composition of the index at the time of investment. The Fund is
actively managed primarily relying on a multi-factor quantitative methodology
with active risk management to construct a portfolio of securities exhibiting
exposures to one or more investing factors. The multi-factor quantitative
methodology currently used by the Fund may take into account the following
factors: (i) value; (ii) momentum; (iii) quality; and (iv) low volatility. The
Fund is classified as "diversified" under the Investment Company Act of 1940, as
amended. The shares of the Fund are listed and traded on the NYSE Arca, Inc.
under the ticker symbol "AFLG."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (12/3/19) Inception (12/3/19)
2/28/23 2/28/23 to 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV 2.23% -6.32% 7.06% 24.71%
Market Price 2.19% -6.51% 7.01% 24.55%
INDEX PERFORMANCE
S&P 500(R) Index 1.26% -7.69% 9.80% 35.35%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 15.)
----------------------------------------------------------
% OF TOTAL
LONG-TERM
SECTOR CLASSIFICATION INVESTMENTS
----------------------------------------------------------
Information Technology 26.7%
Health Care 13.3
Industrials 10.8
Financials 10.6
Consumer Discretionary 10.3
Materials 5.4
Communication Services 5.4
Energy 5.1
Consumer Staples 4.6
Utilities 4.0
Real Estate 3.8
--------
Total 100.0%
========
----------------------------------------------------------
% OF TOTAL
LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Apple, Inc. 5.6%
Microsoft Corp. 3.6
Exxon Mobil Corp. 2.2
NVR, Inc. 1.3
Alphabet, Inc., Class A 1.1
Gilead Sciences, Inc. 1.1
Broadcom, Inc. 1.0
Cisco Systems, Inc. 1.0
Nucor Corp. 1.0
Consolidated Edison, Inc. 0.9
--------
Total 18.8%
========
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 3, 2019 - FEBRUARY 28, 2023
First Trust Active S&P 500(R)
Factor Large Cap ETF Index
12/3/19 $10,000 $10,000
2/29/20 9,344 9,595
8/31/20 10,667 11,479
2/28/21 11,677 12,597
8/31/21 13,733 15,058
2/28/22 13,311 14,663
8/31/22 12,198 13,367
2/28/23 12,471 13,535
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 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
The First Trust Active Factor Mid Cap ETF (the "Fund") seeks to provide capital
appreciation. Under normal market conditions, the Fund will invest at least 80%
of its net assets (including investment borrowings) in U.S.-listed equity
securities issued by mid capitalization companies. The Fund defines mid
capitalization companies as those that, at the time of investment, have a market
capitalization between the minimum and maximum market capitalization of a widely
recognized index of mid capitalization companies based upon the composition of
the index at the time of investment. The Fund is actively managed primarily
relying on a multi-factor quantitative methodology with active risk management
to construct a portfolio of securities exhibiting exposures to one or more
investing factors. The multi-factor quantitative methodology currently used by
the Fund may take into account the following factors: (i) value; (ii) momentum;
(iii) quality; and (iv) low volatility. The Fund is classified as "diversified"
under the Investment Company Act of 1940, as amended. The shares of the Fund are
listed and traded on the NYSE Arca, Inc. under the ticker symbol "AFMC."
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (12/3/19) Inception (12/3/19)
2/28/23 2/28/23 to 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV 8.10% -2.24% 6.93% 24.22%
Market Price 8.15% -2.08% 6.94% 24.27%
INDEX PERFORMANCE
S&P MidCap 400(R) Index 7.89% -0.62% 10.39% 37.71%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 15.)
----------------------------------------------------------
% OF TOTAL
LONG-TERM
SECTOR CLASSIFICATION INVESTMENTS
----------------------------------------------------------
Industrials 20.3%
Information Technology 15.6
Financials 13.6
Consumer Discretionary 13.1
Health Care 11.1
Materials 7.7
Real Estate 7.0
Consumer Staples 3.0
Utilities 3.0
Energy 2.9
Communication Services 2.7
--------
Total 100.0%
========
----------------------------------------------------------
% OF TOTAL
LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Steel Dynamics, Inc. 2.1%
Reliance Steel & Aluminum Co. 1.9
Builders FirstSource, Inc. 1.5
AutoNation, Inc. 1.3
Dick's Sporting Goods, Inc. 1.1
Taylor Morrison Home Corp. 0.9
EMCOR Group, Inc. 0.9
Bank OZK 0.9
Cirrus Logic, Inc. 0.9
PulteGroup, Inc. 0.9
--------
Total 12.4%
========
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 3, 2019 - FEBRUARY 28, 2023
First Trust Active S&P MidCap
Factor Mid Cap ETF 400(R) Index
12/3/19 $10,000 $10,000
2/29/20 9,126 9,181
8/31/20 9,314 9,838
2/28/21 11,858 12,834
8/31/21 13,367 14,242
2/28/22 12,705 13,857
8/31/22 11,491 12,764
2/28/23 12,422 13,771
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 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
The First Trust Active Factor Small Cap ETF (the "Fund") seeks to provide
capital appreciation. Under normal market conditions, the Fund will invest at
least 80% of its net assets (including investment borrowings) in U.S.-listed
equity securities issued by small capitalization companies. The Fund defines
small capitalization companies as those that, at the time of investment, have a
market capitalization between a minimum of $250 million and the maximum market
capitalization of a widely recognized index of small capitalization companies
based upon the composition of the index at the time of investment. The Fund is
actively managed primarily relying on a multi-factor quantitative methodology
with active risk management to construct a portfolio of securities exhibiting
exposures to one or more investing factors. The multi-factor quantitative
methodology currently used by the Fund may take into account the following
factors: (i) value; (ii) momentum; (iii) quality; and (iv) low volatility. The
Fund is classified as "diversified" under the Investment Company Act of 1940, as
amended. The shares of the Fund are listed and traded on the NYSE Arca, Inc.
under the ticker symbol "AFSM."
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (12/3/19) Inception (12/3/19)
2/28/23 2/28/23 to 2/28/23 to 2/28/23
FUND PERFORMANCE
NAV 7.19% -3.44% 7.21% 25.30%
Market Price 7.10% -3.52% 7.17% 25.15%
INDEX PERFORMANCE
Russell 2000(R) Index 3.63% -6.02% 6.68% 23.30%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 15.)
----------------------------------------------------------
% OF TOTAL
LONG-TERM
SECTOR CLASSIFICATION INVESTMENTS
----------------------------------------------------------
Health Care 16.9%
Industrials 16.4
Financials 14.9
Information Technology 13.4
Consumer Discretionary 13.1
Energy 7.3
Consumer Staples 5.2
Real Estate 5.1
Materials 4.1
Communication Services 1.9
Utilities 1.7
--------
Total 100.0%
========
----------------------------------------------------------
% OF TOTAL
LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Encore Wire Corp. 1.3%
Atkore, Inc. 1.1
elf Beauty, Inc. 1.1
Axcelis Technologies, Inc. 1.0
Mueller Industries, Inc. 1.0
Otter Tail Corp. 0.9
ArcBest Corp. 0.9
Sanmina Corp. 0.9
Arch Resources, Inc. 0.9
Amphastar Pharmaceuticals, Inc. 0.8
--------
Total 9.9%
========
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 3, 2019 - FEBRUARY 28, 2023
First Trust Active Russell 2000(R)
Factor Small Cap ETF Index
12/3/19 $10,000 $10,000
2/29/20 8,981 9,244
8/31/20 9,297 9,851
2/28/21 12,461 13,958
8/31/21 13,518 14,489
2/28/22 12,977 13,118
8/31/22 11,690 11,898
2/28/23 12,530 12,330
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 14
--------------------------------------------------------------------------------
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.
Page 15
--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2023 (UNAUDITED)
ADVISOR
First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment
advisor to the First Trust Income Opportunities ETF (the "Fund"), and is
responsible for the selection and ongoing monitoring of the securities in the
Fund's portfolio and certain other services necessary for the management of the
portfolio.
PORTFOLIO MANAGEMENT
Ken Fincher, Senior Vice President of First Trust, is the Fund's portfolio
manager and has responsibility for the day-to-day management of the Fund's
investment portfolio. Mr. Fincher has nearly 30 years of experience in financial
markets. His current responsibilities include management of two First Trust
exchange-traded funds and separately managed accounts that invest primarily in
closed-end funds. He has also helped develop new product structures in the
closed-end fund space. Mr. Fincher has been named Outstanding Individual
Contributor to the Closed-End Fund Sector in 2007, 2006, 2005 and 2004 by
financial analysts and his peers in the closed-end fund community and served on
the Closed-End Fund committee of the Investment Company Institute. Mr. Fincher
received a B.A. in financial administration from Michigan State University and
an M.B.A. from Loyola University Graduate School of Business.
Page 16
--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2023 (UNAUDITED)
ADVISOR
First Trust serves as the investment advisor to the First Trust Flexible
Municipal High Income ETF (the "Fund"). First Trust is responsible for the
ongoing monitoring of the Fund's investment portfolio, managing the Fund's
business affairs and providing certain administrative services necessary for the
management of the Fund.
PORTFOLIO MANAGEMENT TEAM
The following persons serve as portfolio managers of the Fund.
JOHNATHAN N. WILHELM, SENIOR VICE PRESIDENT AND SENIOR PORTFOLIO MANAGER OF
FIRST TRUST
KEN FINCHER, SENIOR VICE PRESIDENT AND PORTFOLIO MANAGER OF FIRST TRUST
TOM BYRON, SENIOR VICE PRESIDENT AND SENIOR PORTFOLIO MANAGER OF
FIRST TRUST
The portfolio managers are primarily and jointly responsible for the day-to-day
management of the Fund. Ken Fincher has served as part of the portfolio
management team of the Fund since 2016 and Johnathan Wilhelm and Tom Byron have
each served as part of the portfolio management team of the Fund since 2022.
Page 17
--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2023 (UNAUDITED)
ADVISOR
First Trust serves as the investment advisor to the First Trust Low Duration
Strategic Focus ETF (the "Fund"). First Trust is responsible for the ongoing
monitoring of the Fund's investment portfolio, managing the Fund's business
affairs and providing certain administrative services necessary for the
management of the Fund.
PORTFOLIO MANAGEMENT TEAM
The Fund's portfolio is managed by a team of portfolio managers consisting of:
DANIEL J. LINDQUIST, MANAGING DIRECTOR OF FIRST TRUST
DAVID G. MCGAREL, CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND MANAGING
DIRECTOR OF FIRST TRUST
CHRIS A. PETERSON, SENIOR VICE PRESIDENT OF FIRST TRUST
WILLIAM HOUSEY, SENIOR VICE PRESIDENT OF FIRST TRUST
STEVE COLLINS, VICE PRESIDENT OF FIRST TRUST
The portfolio managers are primarily and jointly responsible for the day-to-day
management of the Fund. Each portfolio manager has served as a part of the
portfolio management team of the Fund since 2019.
Page 18
--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2023 (UNAUDITED)
ADVISOR
First Trust serves as the investment advisor to the First Trust Active Factor
Large Cap ETF ("AFLG"), the First Trust Active Factor Mid Cap ETF ("AFMC"), and
the First Trust Active Factor Small Cap ETF ("AFSM") (each a "Fund" and
collectively, the "Funds"). First Trust is responsible for the selection and
ongoing monitoring of the securities in the Funds' portfolios, managing the
Funds' business affairs and providing certain administrative services necessary
for the management of the Funds.
PORTFOLIO MANAGEMENT TEAM
Each Fund's portfolio is managed by a team (the "Investment Committee")
consisting of:
DANIEL J. LINDQUIST, CHAIRMAN OF THE INVESTMENT COMMITTEE AND MANAGING DIRECTOR
OF FIRST TRUST .
JON C. ERICKSON, SENIOR VICE PRESIDENT OF FIRST TRUST
DAVID G. MCGAREL, CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND
MANAGING DIRECTOR OF FIRST TRUST
ROGER F. TESTIN, SENIOR VICE PRESIDENT OF FIRST TRUST
STAN UELAND, SENIOR VICE PRESIDENT OF FIRST TRUST
CHRIS A. PETERSON, SENIOR VICE PRESIDENT OF FIRST TRUST
CHRIS BUSH, VICE PRESIDENT OF FIRST TRUST
ERIK RUSSO, VICE PRESIDENT OF FIRST TRUST
The Investment Committee members are primarily and jointly responsible for the
day-to-day management of the Funds. Each Investment Committee member has served
as a part of the portfolio management team of the Funds since 2019, except for
Chris Bush, who has served as a part of the portfolio management team since
2021, and Erik Russo, who has served as a member of the portfolio management
team since 2022.
Page 19
FIRST TRUST EXCHANGE-TRADED FUND VIII
UNDERSTANDING YOUR FUND EXPENSES
FEBRUARY 28, 2023 (UNAUDITED)
As a shareholder of First Trust Income Opportunities ETF, First Trust Flexible
Municipal High Income ETF, First Trust Low Duration Strategic Focus ETF, First
Trust Active Factor Large Cap ETF, First Trust Active Factor Mid Cap ETF or
First Trust Active Factor Small Cap 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 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 February 28, 2023.
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 Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
----------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
SEPTEMBER 1, 2022 FEBRUARY 28, 2023 PERIOD PERIOD (a)
----------------------------------------------------------------------------------------------------------------------------
FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF) (b)
Actual $1,000.00 $ 996.40 0.85% $4.21
Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26
FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX) (b) (c)
Actual $1,000.00 $ 994.60 0.55% $2.72
Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76
FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) (b)
Actual $1,000.00 $ 999.00 0.20% $0.99
Hypothetical (5% return before expenses) $1,000.00 $1,023.80 0.20% $1.00
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
Actual $1,000.00 $1,022.30 0.55% $2.76
Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
Actual $1,000.00 $1,081.00 0.65% $3.35
Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) (b)
Actual $1,000.00 $1,071.90 0.75% $3.85
Hypothetical (5% return before expenses) $1,000.00 $1,021.08 0.75% $3.76
(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (September 1,
2022 through February 28, 2023), multiplied by 181/365 (to reflect the
six-month period).
(b) Annualized expense ratio and expenses paid during the six-month period do
not include fees and expenses of the underlying funds in which the Fund
invests, or the underlying securities in which the Fund invests.
(c) MFLX expense ratios reflect an expense waiver. See Note 3 in the Notes to
Financial Statements.
Page 20
FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CLOSED-END FUNDS -- 90.4%
CAPITAL MARKETS -- 90.4%
19,145 abrdn Global Infrastructure
Income Fund $ 337,335
21,530 Adams Natural Resources Fund,
Inc. 458,158
14,854 Angel Oak Financial Strategies
Income Term Trust 193,102
17,939 Apollo Tactical Income Fund, Inc. 229,799
78,805 Ares Dynamic Credit Allocation
Fund, Inc. 998,459
5,423 Barings Global Short Duration
High Yield Fund 73,699
12,681 BlackRock Health Sciences
Trust II 201,755
13,625 BlackRock Multi-Sector Income
Trust 205,465
19,940 BlackRock Resources &
Commodities Strategy Trust 199,599
19,147 BlackRock Science & Technology
Trust 602,173
2,990 BlackRock Utilities Infrastructure
& Power Opportunities Trust 66,797
57,584 Blackstone Strategic Credit Fund 639,182
15,086 Central Securities Corp. 532,715
25,082 Cohen & Steers Infrastructure
Fund, Inc. 613,506
41,794 Cohen & Steers REIT and
Preferred and Income Fund, Inc. 887,287
28,260 DoubleLine Income Solutions
Fund 345,055
38,493 Eaton Vance Short Duration
Diversified Income Fund 408,796
39,510 Eaton Vance Tax-Advantaged
Dividend Income Fund 919,003
71,391 Eaton Vance Tax-Advantaged
Global Dividend Income Fund 1,133,689
39,308 Eaton Vance Tax-Advantaged
Global Dividend Opportunities
Fund 858,880
70,179 FS Credit Opportunities Corp. 321,420
41,014 Gabelli Dividend & Income Trust
(The) 876,879
16,068 General American Investors Co.,
Inc. 615,886
39,204 John Hancock Tax-Advantaged
Dividend Income Fund 905,220
15,246 Kayne Anderson Energy
Infrastructure Fund 135,842
28,185 Macquarie Global Infrastructure
Total Return Fund, Inc. 649,664
39,308 MainStay CBRE Global
Infrastructure Megatrends Fund 560,532
6,074 Nuveen Corporate Income 2023
Target Term Fund 56,245
132,570 Nuveen Credit Strategies Income
Fund 706,598
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
57,537 Nuveen Floating Rate Income
Fund $ 487,914
8,180 Nuveen Mortgage and Income
Fund 135,461
77,201 Nuveen Preferred & Income
Opportunities Fund 572,831
31,787 Nuveen Real Asset Income and
Growth Fund 383,987
25,632 Nuveen Variable Rate Preferred
& Income Fund 460,607
59,580 PGIM Global High Yield Fund,
Inc. 691,128
4,470 PIMCO Access Income Fund 68,436
43,702 PIMCO Dynamic Income
Opportunities Fund 599,591
17,117 PIMCO Energy & Tactical Credit
Opportunities Fund 262,917
36,911 Principal Real Estate Income
Fund 408,605
11,295 Reaves Utility Income Fund 317,277
14,965 Royce Micro-Cap Trust, Inc. 140,222
35,977 Royce Value Trust, Inc. 514,471
22,858 Source Capital, Inc. 869,747
50,766 Tekla Healthcare Investors 912,773
47,782 Tekla Healthcare Opportunities
Fund 899,735
17,714 Tekla Life Sciences Investors 247,287
5,073 Tortoise Power and Energy
Infrastructure Fund, Inc. 65,949
28,859 Tri-Continental Corp. 777,462
12,284 Virtus Equity & Convertible
Income Fund 241,503
47,530 Western Asset High Income
Opportunity Fund, Inc. 192,021
33,037 Western Asset Inflation-Linked
Opportunities & Income Fund 300,967
4,074 Western Asset Investment Grade
Defined Opportunity Trust, Inc. 67,425
-------------
TOTAL CLOSED-END FUNDS
-- 90.4% 24,351,056
(Cost $27,816,335) -------------
EXCHANGE-TRADED FUNDS -- 4.2%
CAPITAL MARKETS -- 4.2%
3,934 Financial Select Sector SPDR
Fund 140,522
10,937 Invesco Variable Rate Investment
Grade ETF 272,878
2,481 iShares iBoxx $ Investment Grade
Corporate Bond ETF 262,788
7,089 ProShares Short 20+ Year
Treasury 158,226
18,181 ProShares Short S&P500 283,442
-------------
TOTAL EXCHANGE-TRADED FUNDS
-- 4.2% 1,117,856
(Cost $1,136,274) -------------
See Notes to Financial Statements Page 21
FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
MONEY MARKET FUNDS -- 5.2%
1,403,357 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class
4.41% (a) $ 1,403,357
(Cost $1,403,357) -------------
TOTAL INVESTMENTS -- 99.8% 26,872,269
(Cost $30,355,966)
NET OTHER ASSETS AND
LIABILITIES -- 0.2% 57,211
-------------
NET ASSETS -- 100.0% $ 26,929,480
=============
(a) Rate shown reflects yield as of February 28, 2023.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------------
Closed-End Funds*............................... $ 24,351,056 $ 24,351,056 $ -- $ --
Exchange-Traded Funds*.......................... 1,117,856 1,117,856 -- --
Money Market Funds.............................. 1,403,357 1,403,357 -- --
-----------------------------------------------------------------
Total Investments............................... $ 26,872,269 $ 26,872,269 $ -- $ --
=================================================================
* See Portfolio of Investments for industry breakout.
Page 22 See Notes to Financial Statements
FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
------------- ------------------------------------------------------------------ ------------- ------------- -------------
MUNICIPAL BONDS -- 91.2%
ALABAMA -- 4.0%
$ 250,000 Black Belt Energy Gas Dist (Mandatory put 12/01/26)............... 4.00% 10/01/52 $ 248,750
250,000 Southeast Energy Auth A Cooperative Dist, Ser B (Mandatory
put 12/01/31).................................................. 4.00% 12/01/51 243,662
-------------
492,412
-------------
ARIZONA -- 3.6%
250,000 AZ Indl Dev Auth (a).............................................. 4.00% 12/15/51 183,747
250,000 Industrial Dev Auth of The Cnty of Pima (The), Ser A (a).......... 6.25% 11/15/35 254,152
-------------
437,899
-------------
ARKANSAS -- 0.8%
100,000 AR Dev Fin Auth, AMT (a).......................................... 5.45% 09/01/52 98,556
-------------
CALIFORNIA -- 11.1%
250,000 CA Muni Fin Auth, Ser A........................................... 5.00% 10/01/44 255,320
300,000 City of Long Beach CA Arpt System Rev, Ser A, AGM................. 5.00% 06/01/37 333,151
250,000 Elk Grove Fin Auth................................................ 4.00% 09/01/50 211,324
300,000 San Francisco City & Cnty Pub Util Commn Pwr Rev, Ser B........... 4.00% 11/01/42 298,126
245,000 Tobacco Securitization Auth of Southern CA........................ 5.00% 06/01/35 264,139
-------------
1,362,060
-------------
COLORADO -- 3.2%
200,000 City & Cnty of Denver CO, AMT..................................... 5.00% 10/01/32 195,487
250,000 CO Hlth Facs Auth, Ser 2023A...................................... 4.00% 05/15/41 195,995
-------------
391,482
-------------
FLORIDA -- 12.8%
250,000 Black Creek Cmnty Dev Dist........................................ 5.13% 06/15/32 249,615
265,000 Cnty of Miami-Dade FL Aviation Rev, Ser B, AMT.................... 5.00% 10/01/40 271,242
250,000 North Sumter Cnty Util Dependent Dist, AGM........................ 4.00% 10/01/41 239,958
365,000 Palm Beach Cnty Hlth Facs Auth, Ser A............................. 5.00% 11/01/41 370,929
250,000 Ridge At Apopka Cmnty Dev Dist.................................... 5.38% 05/01/42 244,030
250,000 Sawyers Landing Cmnty Dev Dist.................................... 4.25% 05/01/53 194,494
-------------
1,570,268
-------------
GEORGIA -- 2.0%
250,000 Main Street Natural Gas, Inc., Ser A (Mandatory put 12/01/29)..... 4.00% 09/01/52 245,433
-------------
GUAM -- 2.1%
250,000 Territory of Guam, Ser F.......................................... 5.00% 01/01/28 261,513
-------------
ILLINOIS -- 6.7%
300,000 Chicago Brd of Edu, Ser B......................................... 5.00% 12/01/30 312,516
250,000 IL Fin Auth, Ser A................................................ 5.00% 10/01/34 269,106
250,000 St of IL, Ser B................................................... 4.00% 12/01/37 234,662
-------------
816,284
-------------
IOWA -- 2.0%
250,000 IA Fin Auth (Mandatory put 12/01/42).............................. 5.00% 12/01/50 250,938
-------------
KANSAS -- 4.0%
250,000 Wyandotte Cnty-Kansas City Unif Govt (a).......................... 5.75% 09/01/39 237,002
250,000 Wyandotte Cnty-Kansas City Unif Govt Util Sys Rev, Ser A.......... 5.00% 09/01/40 254,609
-------------
491,611
-------------
See Notes to Financial Statements Page 23
FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
------------- ------------------------------------------------------------------ ------------- ------------- -------------
MUNICIPAL BONDS (CONTINUED)
MISSISSIPPI -- 2.4%
$ 300,000 MS Busn Fin Corp., AMT (b)........................................ 3.15% 05/01/28 $ 300,000
-------------
MISSOURI -- 1.9%
250,000 Hlth & Eductnl Facs Auth of The St of MO.......................... 5.00% 02/01/42 234,288
-------------
NEW YORK -- 2.2%
250,000 NY St Dorm Auth................................................... 5.00% 05/01/38 266,036
-------------
NORTH CAROLINA -- 1.6%
250,000 NC Med Care Commn................................................. 4.00% 03/01/41 194,267
-------------
OHIO -- 11.0%
250,000 Buckeye Tobacco Stlmt Fing Auth, Ser B-2.......................... 5.00% 06/01/55 227,360
300,000 Cnty of Montgomery OH............................................. 4.00% 08/01/41 289,095
100,000 Cnty of Washington OH............................................. 6.63% 12/01/42 99,400
250,000 OH Air Quality Dev Auth, AMT (Mandatory put 06/01/27)............. 4.25% 11/01/39 248,584
250,000 OH Air Quality Dev Auth, AMT (a).................................. 5.00% 07/01/49 217,990
250,000 OH Higher Eductnl Fac Commn....................................... 5.00% 02/01/35 271,890
-------------
1,354,319
-------------
OREGON -- 6.4%
250,000 Clackamas Cnty Hosp Facs Auth, Ser A.............................. 5.38% 11/15/55 221,860
300,000 OR St Facs Auth, Ser A............................................ 5.00% 06/01/52 308,161
250,000 Union Cnty Hosp Facs Auth......................................... 5.00% 07/01/41 253,949
-------------
783,970
-------------
PUERTO RICO -- 5.6%
250,000 Comwlth of Puerto Rico, Ser A1.................................... 4.00% 07/01/35 218,976
250,000 Puerto Rico Hwy & Transprtn Auth, Ser A........................... 5.00% 07/01/62 231,875
250,000 Puerto Rico Sales Tax Fing Corp. Sales Tax Rev, Ser A-1........... 4.55% 07/01/40 233,468
-------------
684,319
-------------
SOUTH CAROLINA -- 1.8%
250,000 SC Jobs-Econ Dev Auth............................................. 4.00% 11/15/32 223,294
-------------
TEXAS -- 4.0%
250,000 City of Austin TX Arpt Sys Rev, AMT............................... 5.00% 11/15/41 262,185
250,000 N Parkway Muni Mgmt Dis #1 (a).................................... 5.00% 09/15/51 229,045
-------------
491,230
-------------
VERMONT -- 2.0%
300,000 VT Econ Dev Auth.................................................. 4.00% 05/01/37 240,551
-------------
TOTAL MUNICIPAL BONDS......................................................................... 11,190,730
(Cost $11,516,388) -------------
SHARES DESCRIPTION VALUE
------------- ------------------------------------------------------------------------------------------------ -------------
CLOSED-END FUNDS -- 4.2%
CAPITAL MARKETS -- 4.2%
2,995 BlackRock Municipal Income Fund, Inc............................................................ 33,844
3,183 BlackRock Municipal Income Quality Trust........................................................ 35,681
2,770 BlackRock MuniHoldings Fund, Inc................................................................ 32,243
2,925 BlackRock MuniYield Quality Fund II, Inc........................................................ 29,806
3,032 BlackRock MuniYield Quality Fund III, Inc....................................................... 33,079
3,479 Eaton Vance Municipal Bond Fund................................................................. 34,686
3,374 Eaton Vance Municipal Income Trust.............................................................. 33,808
3,428 Invesco Quality Municipal Income Trust.......................................................... 32,463
Page 24 See Notes to Financial Statements
FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
------------- ------------------------------------------------------------------------------------------------ -------------
CLOSED-END FUNDS (CONTINUED)
CAPITAL MARKETS (CONTINUED)
3,576 Invesco Trust for Investment Grade Municipals................................................... $ 34,794
2,587 Nuveen AMT-Free Municipal Credit Income Fund.................................................... 30,423
2,921 Nuveen AMT-Free Quality Municipal Income Fund................................................... 31,430
2,745 Nuveen Municipal Credit Income Fund............................................................. 32,199
3,548 Nuveen Municipal Value Fund, Inc................................................................ 31,613
2,860 Nuveen Quality Municipal Income Fund............................................................ 32,204
4,168 Nuveen Select Tax-Free Income Portfolio......................................................... 60,853
-------------
TOTAL CLOSED-END FUNDS.......................................................................... 519,126
(Cost $658,935) -------------
TOTAL INVESTMENTS -- 95.4%....................................................................... 11,709,856
(Cost $12,175,323)
NET OTHER ASSETS AND LIABILITIES -- 4.6%......................................................... 566,733
-------------
NET ASSETS -- 100.0%............................................................................. $ 12,276,589
=============
FUTURES CONTRACTS AT FEBRUARY 28, 2023 (See Note 2D - Futures Contracts in the
Notes to Financial Statements):
UNREALIZED
APPRECIATION
NUMBER OF EXPIRATION NOTIONAL (DEPRECIATION)/
FUTURES CONTRACTS POSITION CONTRACTS DATE VALUE VALUE
----------------------------------------- ------------- ------------- ------------- ------------- -------------
U.S. 10-Year Treasury Notes Short 2 Jun-2023 $ (223,312) $ (224)
Ultra 10-Year U.S. Treasury Notes Short 1 Jun-2023 (117,188) (315)
------------- -------------
$ (340,500) $ (539)
============= =============
(a) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended, and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to
procedures adopted by the Trust's Board of Trustees, this security has
been determined to be liquid by First Trust Advisors L.P., the Fund's
advisor. Although market instability can result in periods of increased
overall market illiquidity, liquidity for each security is determined
based on security specific factors and assumptions, which require
subjective judgment. At February 28, 2023, securities noted as such
amounted to $1,220,492 or 9.9% of net assets.
(b) Variable Rate Demand bond. Interest rate is reset periodically by the
agent based on current market conditions.
AGM - Assured Guaranty Municipal Corp
AMT - Alternative Minimum Tax
See Notes to Financial Statements Page 25
FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------------
Municipal Bonds*................................ $ 11,190,730 $ -- $ 11,190,730 $ --
Closed-End Funds**.............................. 519,126 519,126 -- --
-----------------------------------------------------------------
Total Investments............................... $ 11,709,856 $ 519,126 $ 11,190,730 $ --
=================================================================
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------------
Futures Contracts***............................ $ (539) $ (539) $ -- $ --
=================================================================
* See Portfolio of Investments for state and territory breakout.
** See Portfolio of Investments for industry breakout.
*** Includes cumulative appreciation/depreciation on futures contracts as
reported in the Futures Contracts table. Only the current day's variation
margin is presented on the Statements of Assets and Liabilities.
Page 26 See Notes to Financial Statements
FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
EXCHANGE-TRADED FUNDS -- 99.9%
CAPITAL MARKETS -- 99.9%
307,271 First Trust Enhanced Short
Maturity ETF (a) $ 18,267,261
2,439,607 First Trust Limited Duration
Investment Grade Corporate
ETF (a) 45,327,898
1,541,086 First Trust Low Duration
Opportunities ETF (a) 73,432,748
469,969 First Trust Tactical High Yield
ETF (a) 18,587,274
568,319 First Trust TCW Unconstrained
Plus Bond ETF (a) 13,651,023
168,678 iShares 1-3 Year Treasury Bond
ETF, Class 3 13,661,231
-------------
TOTAL EXCHANGE-TRADED FUNDS
-- 99.9% 182,927,435
(Cost $191,174,044) -------------
MONEY MARKET FUNDS -- 0.1%
77,778 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class
4.41% (b) 77,778
(Cost $77,778) -------------
TOTAL INVESTMENTS -- 100.0% 183,005,213
(Cost $191,251,822)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 31,824
-------------
NET ASSETS -- 100.0% $ 183,037,037
=============
(a) Investment in an affiliated fund.
(b) Rate shown reflects yield as of February 28, 2023.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------------
Exchange-Traded Funds*.......................... $ 182,927,435 $ 182,927,435 $ -- $ --
Money Market Funds.............................. 77,778 77,778 -- --
-----------------------------------------------------------------
Total Investments............................... $ 183,005,213 $ 183,005,213 $ -- $ --
=================================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 1.3%
99 General Dynamics Corp. $ 22,563
32 Lockheed Martin Corp. 15,176
343 Textron, Inc. 24,878
-------------
62,617
-------------
AIR FREIGHT & LOGISTICS -- 1.8%
158 C.H. Robinson Worldwide, Inc. 15,794
215 Expeditors International of
Washington, Inc. 22,480
56 FedEx Corp. 11,380
187 United Parcel Service, Inc.,
Class B 34,126
-------------
83,780
-------------
AUTO COMPONENTS -- 0.3%
322 BorgWarner, Inc. 16,190
-------------
BANKS -- 0.8%
436 Regions Financial Corp. 10,168
513 Wells Fargo & Co. 23,993
44 Zions Bancorp N.A. 2,227
-------------
36,388
-------------
BIOTECHNOLOGY -- 3.0%
254 AbbVie, Inc. 39,091
48 Amgen, Inc. 11,120
12 Biogen, Inc. (a) 3,238
630 Gilead Sciences, Inc. 50,734
36 Moderna, Inc. (a) 4,997
28 Neurocrine Biosciences, Inc. (a) 2,887
20 Regeneron Pharmaceuticals,
Inc. (a) 15,208
51 Vertex Pharmaceuticals, Inc. (a) 14,805
-------------
142,080
-------------
BUILDING PRODUCTS -- 1.7%
417 A.O. Smith Corp. 27,368
48 Carlisle Cos., Inc. 12,395
64 Carrier Global Corp. 2,882
131 Fortune Brands Innovations, Inc. 8,115
48 Johnson Controls International
PLC 3,011
266 Masco Corp. 13,946
68 Trane Technologies PLC 12,578
-------------
80,295
-------------
CAPITAL MARKETS -- 2.4%
88 Ameriprise Financial, Inc. 30,173
239 Bank of New York Mellon (The)
Corp. 12,160
47 LPL Financial Holdings, Inc. 11,729
32 MarketAxess Holdings, Inc. 10,926
24 MSCI, Inc. 12,532
195 Nasdaq, Inc. 10,932
103 Raymond James Financial, Inc. 11,171
140 State Street Corp. 12,415
-------------
112,038
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CHEMICALS -- 2.5%
194 CF Industries Holdings, Inc. $ 16,663
209 Corteva, Inc. 13,019
466 Dow, Inc. 26,655
91 FMC Corp. 11,753
48 Linde PLC 16,722
147 LyondellBasell Industries N.V.,
Class A 14,110
143 Mosaic (The) Co. 7,606
115 RPM International, Inc. 10,192
-------------
116,720
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.5%
36 Cintas Corp. 15,785
286 Rollins, Inc. 10,067
-------------
25,852
-------------
COMMUNICATIONS EQUIPMENT
-- 2.2%
68 Arista Networks, Inc. (a) 9,432
972 Cisco Systems, Inc. 47,064
20 F5, Inc. (a) 2,860
475 Juniper Networks, Inc. 14,620
99 Motorola Solutions, Inc. 26,018
24 Ubiquiti, Inc. 6,439
-------------
106,433
-------------
CONSTRUCTION & ENGINEERING
-- 0.2%
128 AECOM 11,054
-------------
CONSUMER FINANCE -- 1.4%
633 Ally Financial, Inc. 19,021
235 Capital One Financial Corp. 25,634
24 Discover Financial Services 2,688
562 Synchrony Financial 20,069
-------------
67,412
-------------
CONTAINERS & PACKAGING -- 0.4%
339 International Paper Co. 12,336
235 Westrock Co. 7,379
-------------
19,715
-------------
DISTRIBUTORS -- 0.7%
147 Genuine Parts Co. 25,999
139 LKQ Corp. 7,963
-------------
33,962
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.6%
100 Berkshire Hathaway, Inc.,
Class B (a) 30,518
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.8%
1,695 AT&T, Inc. 32,053
2,248 Lumen Technologies, Inc. 7,643
-------------
39,696
-------------
Page 28 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES -- 2.4%
298 Constellation Energy Corp. $ 22,317
203 Evergy, Inc. 11,939
457 Exelon Corp. 18,458
334 FirstEnergy Corp. 13,206
676 NRG Energy, Inc. 22,166
879 PPL Corp. 23,795
-------------
111,881
-------------
ELECTRICAL EQUIPMENT -- 0.6%
28 AMETEK, Inc. 3,964
92 Hubbell, Inc. 23,142
8 Rockwell Automation, Inc. 2,359
-------------
29,465
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.4%
179 Amphenol Corp., Class A 13,876
60 CDW Corp. 12,145
99 Keysight Technologies, Inc. (a) 15,836
207 TE Connectivity Ltd. 26,356
-------------
68,213
-------------
ENTERTAINMENT -- 0.3%
20 Electronic Arts, Inc. 2,219
16 Netflix, Inc. (a) 5,154
180 Warner Music Group Corp.,
Class A 5,681
-------------
13,054
-------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.2%
32 AvalonBay Communities, Inc. 5,521
171 Boston Properties, Inc. 11,197
207 Equity Residential 12,942
12 Essex Property Trust, Inc. 2,737
461 Gaming and Leisure Properties,
Inc. 24,839
724 Host Hotels & Resorts, Inc. 12,163
302 Iron Mountain, Inc. 15,930
36 Mid-America Apartment
Communities, Inc. 5,764
52 Public Storage 15,545
180 Regency Centers Corp. 11,322
733 Weyerhaeuser Co. 22,906
132 WP Carey, Inc. 10,713
-------------
151,579
-------------
FOOD & STAPLES RETAILING -- 1.6%
258 Albertsons Cos., Inc., Class A 5,129
615 Kroger (The) Co. 26,531
159 Sysco Corp. 11,857
299 Walgreens Boots Alliance, Inc. 10,623
143 Walmart, Inc. 20,325
-------------
74,465
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
FOOD PRODUCTS -- 2.0%
266 Archer-Daniels-Midland Co. $ 21,174
220 Campbell Soup Co. 11,554
338 General Mills, Inc. 26,874
52 Hershey (The) Co. 12,393
36 Mondelez International, Inc.,
Class A 2,347
331 Tyson Foods, Inc., Class A 19,608
-------------
93,950
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.7%
414 DENTSPLY SIRONA, Inc. 15,761
514 Hologic, Inc. (a) 40,935
20 IDEXX Laboratories, Inc. (a) 9,465
195 Medtronic PLC 16,146
-------------
82,307
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 6.1%
60 AmerisourceBergen Corp. 9,333
199 Cardinal Health, Inc. 15,066
40 Centene Corp. (a) 2,736
107 Cigna Group (The) 31,255
298 CVS Health Corp. 24,895
79 Elevance Health, Inc. 37,104
283 Henry Schein, Inc. (a) 22,162
48 Humana, Inc. 23,761
99 Laboratory Corp. of America
Holdings 23,697
64 McKesson Corp. 22,388
219 Quest Diagnostics, Inc. 30,301
76 UnitedHealth Group, Inc. 36,171
95 Universal Health Services, Inc.,
Class B 12,689
-------------
291,558
-------------
HOTELS, RESTAURANTS & LEISURE
-- 0.4%
4 Booking Holdings, Inc. (a) 10,096
32 McDonald's Corp. 8,445
20 Yum! Brands, Inc. 2,543
-------------
21,084
-------------
HOUSEHOLD DURABLES -- 3.1%
207 D.R. Horton, Inc. 19,143
318 Lennar Corp., Class A 30,763
12 NVR, Inc. (a) 62,084
481 PulteGroup, Inc. 26,296
72 Whirlpool Corp. 9,935
-------------
148,221
-------------
HOUSEHOLD PRODUCTS -- 0.0%
7 Colgate-Palmolive Co. 513
-------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.2%
469 AES (The) Corp. 11,575
-------------
See Notes to Financial Statements Page 29
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INDUSTRIAL CONGLOMERATES -- 0.5%
215 3M Co. $ 23,164
-------------
INSURANCE -- 5.4%
624 Aflac, Inc. 42,526
32 Allstate (The) Corp. 4,121
32 American Financial Group, Inc. 4,291
457 American International Group,
Inc. 27,927
24 Aon PLC, Class A 7,297
299 Arch Capital Group Ltd. (a) 20,930
20 Assurant, Inc. 2,548
88 Erie Indemnity Co., Class A 20,714
28 Everest Re Group Ltd. 10,751
120 Globe Life, Inc. 14,603
350 Hartford Financial Services
Group (The), Inc. 27,398
262 Loews Corp. 16,006
76 Marsh & McLennan Cos., Inc. 12,323
44 MetLife, Inc. 3,156
72 Principal Financial Group, Inc. 6,448
123 Prudential Financial, Inc. 12,300
16 Travelers (The) Cos., Inc. 2,962
278 W.R. Berkley Corp. 18,401
12 Willis Towers Watson PLC 2,812
-------------
257,514
-------------
INTERACTIVE MEDIA & SERVICES
-- 1.8%
572 Alphabet, Inc., Class A (a) 51,514
199 Meta Platforms, Inc., Class A (a) 34,813
-------------
86,327
-------------
INTERNET & DIRECT MARKETING RETAIL
-- 0.7%
308 Amazon.com, Inc. (a) 29,023
20 Etsy, Inc. (a) 2,428
-------------
31,451
-------------
IT SERVICES -- 4.3%
111 Automatic Data Processing, Inc. 24,400
415 Cognizant Technology Solutions
Corp., Class A 25,991
286 DXC Technology Co. (a) 7,934
72 Gartner, Inc. (a) 23,602
115 International Business Machines
Corp. 14,869
48 Jack Henry & Associates, Inc. 7,884
64 Mastercard, Inc., Class A 22,739
159 Paychex, Inc. 17,554
414 SS&C Technologies Holdings,
Inc. 24,302
56 Visa, Inc., Class A 12,317
1,588 Western Union (The) Co. 20,580
-------------
202,172
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.1%
4 Mettler-Toledo International,
Inc. (a) $ 5,735
-------------
MACHINERY -- 2.2%
60 Cummins, Inc. 14,585
56 Illinois Tool Works, Inc. 13,057
87 Ingersoll Rand, Inc. 5,052
64 Otis Worldwide Corp. 5,416
168 PACCAR, Inc. 12,130
52 Pentair PLC 2,909
127 Snap-on, Inc. 31,582
103 Toro (The) Co. 11,375
76 Westinghouse Air Brake
Technologies Corp. 7,929
-------------
104,035
-------------
MEDIA -- 2.2%
958 Comcast Corp., Class A 35,609
771 Fox Corp., Class A 27,000
405 Interpublic Group of (The) Cos.,
Inc. 14,394
828 News Corp., Class A 14,200
128 Omnicom Group, Inc. 11,593
-------------
102,796
-------------
METALS & MINING -- 2.5%
270 Nucor Corp. 45,209
80 Reliance Steel & Aluminum Co. 19,827
148 Southern Copper Corp. 10,906
346 Steel Dynamics, Inc. 43,634
-------------
119,576
-------------
MULTILINE RETAIL -- 0.2%
52 Target Corp. 8,762
-------------
MULTI-UTILITIES -- 1.3%
290 CenterPoint Energy, Inc. 8,068
501 Consolidated Edison, Inc. 44,764
76 Sempra Energy 11,397
-------------
64,229
-------------
OIL, GAS & CONSUMABLE FUELS
-- 5.1%
52 APA Corp. 1,996
163 Chesapeake Energy Corp. 13,172
179 Chevron Corp. 28,778
147 ConocoPhillips 15,192
376 Coterra Energy, Inc. 9,388
963 Exxon Mobil Corp. 105,843
151 HF Sinclair Corp. 7,508
445 Marathon Oil Corp. 11,192
275 Marathon Petroleum Corp. 33,990
4 Texas Pacific Land Corp. 7,121
64 Valero Energy Corp. 8,431
-------------
242,611
-------------
PHARMACEUTICALS -- 2.3%
624 Bristol-Myers Squibb Co. 43,031
79 Eli Lilly & Co. 24,587
Page 30 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
867 Pfizer, Inc. $ 35,174
543 Viatris, Inc. 6,190
-------------
108,982
-------------
PROFESSIONAL SERVICES -- 1.1%
191 Booz Allen Hamilton Holding
Corp. 18,093
131 CoStar Group, Inc. (a) 9,257
295 Robert Half International, Inc. 23,783
-------------
51,133
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.6%
335 CBRE Group, Inc., Class A (a) 28,522
-------------
ROAD & RAIL -- 0.3%
36 Old Dominion Freight Line, Inc. 12,213
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 5.5%
76 Analog Devices, Inc. 13,944
302 Applied Materials, Inc. 35,077
80 Broadcom, Inc. 47,543
44 Enphase Energy, Inc. (a) 9,263
406 Intel Corp. 10,122
64 KLA Corp. 24,280
24 Lam Research Corp. 11,664
291 Microchip Technology, Inc. 23,580
175 Micron Technology, Inc. 10,119
8 Monolithic Power Systems, Inc. 3,874
203 ON Semiconductor Corp. (a) 15,714
203 Qorvo, Inc. (a) 20,481
231 QUALCOMM, Inc. 28,536
64 Teradyne, Inc. 6,473
-------------
260,670
-------------
SOFTWARE -- 6.0%
99 Aspen Technology, Inc. (a) 20,989
104 Cadence Design Systems, Inc. (a) 20,066
40 Ceridian HCM Holding, Inc. (a) 2,917
56 Dynatrace, Inc. (a) 2,382
32 Fair Isaac Corp. (a) 21,676
21 Gen Digital, Inc. 410
8 HubSpot, Inc. (a) 3,095
689 Microsoft Corp. 171,850
48 Palo Alto Networks, Inc. (a) 9,042
95 PTC, Inc. (a) 11,906
52 Synopsys, Inc. (a) 18,916
-------------
283,249
-------------
SPECIALTY RETAIL -- 3.8%
12 AutoZone, Inc. (a) 29,838
139 Bath & Body Works, Inc. 5,681
262 Best Buy Co., Inc. 21,775
76 Home Depot (The), Inc. 22,537
72 Lowe's Cos., Inc. 14,814
12 O'Reilly Automotive, Inc. (a) 9,961
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
92 Ross Stores, Inc. $ 10,170
239 TJX (The) Cos., Inc. 18,307
60 Tractor Supply Co. 13,996
16 Ulta Beauty, Inc. (a) 8,301
203 Victoria's Secret & Co. (a) 8,047
131 Williams-Sonoma, Inc. 16,364
-------------
179,791
-------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 7.2%
1,789 Apple, Inc. 263,716
294 Dell Technologies, Inc., Class C 11,948
668 HP, Inc. 19,719
350 NetApp, Inc. 22,593
375 Seagate Technology Holdings
PLC 24,210
-------------
342,186
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.1%
182 Ralph Lauren Corp. 21,511
616 Tapestry, Inc. 26,802
243 Under Armour, Inc., Class A (a) 2,413
-------------
50,726
-------------
TOBACCO -- 1.0%
664 Altria Group, Inc. 30,829
183 Philip Morris International, Inc. 17,806
-------------
48,635
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.6%
48 Fastenal Co. 2,475
40 W.W. Grainger, Inc. 26,737
-------------
29,212
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.3%
99 T-Mobile US, Inc. (a) 14,076
-------------
TOTAL COMMON STOCKS
-- 99.7% 4,740,382
(Cost $4,715,522) -------------
MONEY MARKET FUNDS -- 0.3%
13,391 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class
4.41% (b) 13,391
(Cost $13,391) -------------
TOTAL INVESTMENTS -- 100.0% 4,753,773
(Cost $4,728,913)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (17)
-------------
NET ASSETS -- 100.0% $ 4,753,756
=============
(a) Non-income producing security.
(b) Rate shown reflects yield as of February 28, 2023.
See Notes to Financial Statements Page 31
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------------
Common Stocks*.................................. $ 4,740,382 $ 4,740,382 $ -- $ --
Money Market Funds.............................. 13,391 13,391 -- --
-----------------------------------------------------------------
Total Investments............................... $ 4,753,773 $ 4,753,773 $ -- $ --
=================================================================
* See Portfolio of Investments for industry breakout.
Page 32 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.1%
44 Curtiss-Wright Corp. $ 7,691
106 Parsons Corp. (a) 4,773
-------------
12,464
-------------
AIR FREIGHT & LOGISTICS -- 0.1%
7 C.H. Robinson Worldwide, Inc. 700
-------------
AUTO COMPONENTS -- 0.5%
56 BorgWarner, Inc. 2,815
19 Visteon Corp. (a) 3,174
-------------
5,989
-------------
AUTOMOBILES -- 0.6%
79 Thor Industries, Inc. 7,188
-------------
BANKS -- 4.2%
239 Bank OZK 11,001
57 BOK Financial Corp. 5,967
74 Cathay General Bancorp 3,176
27 Commerce Bancshares, Inc. 1,786
25 Cullen/Frost Bankers, Inc. 3,296
94 CVB Financial Corp. 2,249
298 F.N.B. Corp. 4,253
127 International Bancshares Corp. 6,163
75 Popular, Inc. 5,355
173 United Bankshares, Inc. 7,053
-------------
50,299
-------------
BIOTECHNOLOGY -- 2.6%
1 Emergent BioSolutions, Inc. (a) 12
413 Exelixis, Inc. (a) 7,054
132 Halozyme Therapeutics, Inc. (a) 6,335
64 Neurocrine Biosciences, Inc. (a) 6,598
42 United Therapeutics Corp. (a) 10,334
-------------
30,333
-------------
BUILDING PRODUCTS -- 3.1%
214 Builders FirstSource, Inc. (a) 18,143
10 Fortune Brands Innovations, Inc. 619
10 Masterbrand, Inc. (a) 97
102 Owens Corning 9,975
100 UFP Industries, Inc. 8,553
-------------
37,387
-------------
CAPITAL MARKETS -- 1.9%
26 Evercore, Inc., Class A 3,411
192 Federated Hermes, Inc. 7,555
47 Interactive Brokers Group, Inc.,
Class A 4,047
140 Janus Henderson Group PLC 3,845
108 Jefferies Financial Group, Inc. 4,081
-------------
22,939
-------------
CHEMICALS -- 1.7%
7 Ashland, Inc. 712
237 Huntsman Corp. 6,954
2 NewMarket Corp. 687
156 Olin Corp. 9,009
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CHEMICALS (CONTINUED)
38 RPM International, Inc. $ 3,368
-------------
20,730
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.3%
100 HNI Corp. 3,125
-------------
COMMUNICATIONS EQUIPMENT
-- 1.7%
9 Calix, Inc. (a) 460
75 Ciena Corp. (a) 3,617
9 F5, Inc. (a) 1,287
158 Juniper Networks, Inc. 4,863
71 Lumentum Holdings, Inc. (a) 3,821
214 NetScout Systems, Inc. (a) 6,086
-------------
20,134
-------------
CONSTRUCTION & ENGINEERING
-- 2.5%
52 AECOM 4,491
5 Comfort Systems USA, Inc. 727
66 EMCOR Group, Inc. 11,037
75 Fluor Corp. (a) 2,750
23 Valmont Industries, Inc. 7,299
56 WillScot Mobile Mini Holdings
Corp. (a) 2,878
-------------
29,182
-------------
CONSUMER FINANCE -- 0.9%
112 Ally Financial, Inc. 3,366
401 Navient Corp. 7,238
-------------
10,604
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.8%
34 Grand Canyon Education, Inc. (a) 3,852
165 H&R Block, Inc. 6,072
-------------
9,924
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.9%
146 Voya Financial, Inc. 10,876
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.0%
279 EchoStar Corp., Class A (a) 5,569
69 Iridium Communications, Inc. (a) 4,235
673 Lumen Technologies, Inc. 2,288
-------------
12,092
-------------
ELECTRIC UTILITIES -- 1.2%
168 NRG Energy, Inc. 5,509
249 OGE Energy Corp. 8,894
-------------
14,403
-------------
ELECTRICAL EQUIPMENT -- 3.0%
17 Acuity Brands, Inc. 3,297
59 Atkore, Inc. (a) 8,615
37 EnerSys 3,356
817 GrafTech International Ltd. 4,616
See Notes to Financial Statements Page 33
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
33 Hubbell, Inc. $ 8,301
160 nVent Electric PLC 7,334
-------------
35,519
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 4.5%
42 Arrow Electronics, Inc. (a) 4,956
142 Avnet, Inc. 6,349
89 Belden, Inc. 7,510
21 Insight Enterprises, Inc. (a) 2,812
59 IPG Photonics Corp. (a) 7,271
64 Jabil, Inc. 5,314
84 National Instruments Corp. 4,243
62 Sanmina Corp. (a) 3,749
422 Vishay Intertechnology, Inc. 8,959
54 Vontier Corp. 1,413
2 Zebra Technologies Corp.,
Class A (a) 600
-------------
53,176
-------------
ENERGY EQUIPMENT & SERVICES
-- 0.3%
101 ChampionX Corp. 3,088
-------------
ENTERTAINMENT -- 0.8%
10 Madison Square Garden Sports
Corp. 1,911
86 World Wrestling Entertainment,
Inc., Class A 7,224
-------------
9,135
-------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.1%
224 Brixmor Property Group, Inc. 5,071
266 Corporate Office Properties Trust 6,764
240 Cousins Properties, Inc. 5,878
20 First Industrial Realty Trust, Inc. 1,055
199 Highwoods Properties, Inc. 5,273
420 Hudson Pacific Properties, Inc. 3,877
86 Iron Mountain, Inc. 4,537
83 Kilroy Realty Corp. 2,990
159 Kite Realty Group Trust 3,453
37 Lamar Advertising Co., Class A 3,869
558 Medical Properties Trust, Inc. 5,747
149 National Retail Properties, Inc. 6,753
241 Omega Healthcare Investors, Inc. 6,456
162 PotlatchDeltic Corp. 7,478
43 Regency Centers Corp. 2,705
-------------
71,906
-------------
FOOD & STAPLES RETAILING -- 0.6%
245 Sprouts Farmers Market, Inc. (a) 7,421
-------------
FOOD PRODUCTS -- 1.8%
159 Flowers Foods, Inc. 4,433
95 Hostess Brands, Inc. (a) 2,346
4 J.M. Smucker (The) Co. 592
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
15 Lancaster Colony Corp. $ 2,880
121 Pilgrim's Pride Corp. (a) 2,830
97 Post Holdings, Inc. (a) 8,726
-------------
21,807
-------------
GAS UTILITIES -- 1.6%
169 National Fuel Gas Co. 9,680
29 ONE Gas, Inc. 2,325
201 UGI Corp. 7,483
-------------
19,488
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 3.4%
168 DENTSPLY SIRONA, Inc. 6,396
60 Enovis Corp. (a) 3,457
153 Envista Holdings Corp. (a) 5,915
74 Haemonetics Corp. (a) 5,755
11 Inspire Medical Systems, Inc. (a) 2,859
36 Lantheus Holdings, Inc. (a) 2,662
63 Merit Medical Systems, Inc. (a) 4,446
13 Penumbra, Inc. (a) 3,380
23 QuidelOrtho Corp. (a) 2,000
19 Shockwave Medical, Inc. (a) 3,615
-------------
40,485
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 4.1%
5 Amedisys, Inc. (a) 460
75 AMN Healthcare Services, Inc. (a) 6,751
61 Cardinal Health, Inc. 4,618
6 Chemed Corp. 3,129
6 DaVita, Inc. (a) 494
109 Enhabit, Inc. (a) 1,673
113 Henry Schein, Inc. (a) 8,849
15 Molina Healthcare, Inc. (a) 4,130
169 Option Care Health, Inc. (a) 5,183
41 Patterson Cos., Inc. 1,087
163 Premier, Inc., Class A 5,247
57 Universal Health Services, Inc.,
Class B 7,614
-------------
49,235
-------------
HOUSEHOLD DURABLES -- 3.3%
72 Meritage Homes Corp. (a) 7,864
201 PulteGroup, Inc. 10,989
314 Taylor Morrison Home Corp. (a) 11,251
64 Toll Brothers, Inc. 3,836
153 Tri Pointe Homes, Inc. (a) 3,647
11 Whirlpool Corp. 1,518
-------------
39,105
-------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.1%
79 Vistra Corp. 1,737
-------------
INSURANCE -- 3.8%
19 American Financial Group, Inc. 2,548
134 Brighthouse Financial, Inc. (a) 7,749
152 CNO Financial Group, Inc. 3,894
Page 34 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
23 Erie Indemnity Co., Class A $ 5,414
15 First American Financial Corp. 852
11 Kinsale Capital Group, Inc. 3,506
137 Loews Corp. 8,369
166 Old Republic International Corp. 4,378
20 RLI Corp. 2,758
125 Unum Group 5,569
-------------
45,037
-------------
INTERNET & DIRECT MARKETING RETAIL
-- 0.1%
529 Qurate Retail, Inc., Series A (a) 1,116
-------------
IT SERVICES -- 2.0%
80 DXC Technology Co. (a) 2,219
40 Euronet Worldwide, Inc. (a) 4,354
35 ExlService Holdings, Inc. (a) 5,758
23 Genpact Ltd. 1,098
44 Maximus, Inc. 3,611
482 Western Union (The) Co. 6,247
-------------
23,287
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.5%
13 Bruker Corp. 896
8 Medpace Holdings, Inc. (a) 1,551
76 Syneos Health, Inc. (a) 3,057
-------------
5,504
-------------
MACHINERY -- 3.5%
66 Allison Transmission Holdings,
Inc. 3,135
14 Crane Holdings Co. 1,677
6 Franklin Electric Co., Inc. 573
240 Kennametal, Inc. 6,799
36 Lincoln Electric Holdings, Inc. 6,046
25 Snap-on, Inc. 6,217
59 Terex Corp. 3,493
97 Timken (The) Co. 8,289
38 Toro (The) Co. 4,197
9 Watts Water Technologies, Inc.,
Class A 1,577
-------------
42,003
-------------
MEDIA -- 0.9%
43 Interpublic Group of (The) Cos.,
Inc. 1,528
91 New York Times (The) Co.,
Class A 3,503
32 Nexstar Media Group, Inc. 5,949
-------------
10,980
-------------
METALS & MINING -- 5.4%
143 Cleveland-Cliffs, Inc. (a) 3,050
139 Commercial Metals Co. 7,193
89 Reliance Steel & Aluminum Co. 22,058
195 Steel Dynamics, Inc. 24,591
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
METALS & MINING (CONTINUED)
249 United States Steel Corp. $ 7,627
-------------
64,519
-------------
MULTILINE RETAIL -- 1.2%
23 Dillard's, Inc., Class A 8,198
305 Macy's, Inc. 6,240
-------------
14,438
-------------
OIL, GAS & CONSUMABLE FUELS
-- 2.6%
27 Chesapeake Energy Corp. 2,182
20 Chord Energy Corp. 2,692
93 Coterra Energy, Inc. 2,322
15 Denbury, Inc. (a) 1,250
59 EQT Corp. 1,958
98 HF Sinclair Corp. 4,872
21 Magnolia Oil & Gas Corp.,
Class A 459
232 Marathon Oil Corp. 5,835
87 PBF Energy, Inc., Class A 3,803
63 PDC Energy, Inc. 4,228
53 Peabody Energy Corp. (a) 1,447
12 Vitesse Energy, Inc. (a) 209
-------------
31,257
-------------
PAPER & FOREST PRODUCTS -- 0.5%
108 Louisiana-Pacific Corp. 6,319
-------------
PERSONAL PRODUCTS -- 0.6%
163 Nu Skin Enterprises, Inc., Class A 6,494
-------------
PHARMACEUTICALS -- 0.5%
24 Organon & Co. 588
98 Prestige Consumer Healthcare,
Inc. (a) 5,904
-------------
6,492
-------------
PROFESSIONAL SERVICES -- 2.8%
16 ASGN, Inc. (a) 1,421
1 CACI International, Inc.,
Class A (a) 293
23 FTI Consulting, Inc. (a) 4,225
32 Insperity, Inc. 3,971
57 KBR, Inc. 3,141
80 ManpowerGroup, Inc. 6,790
37 Robert Half International, Inc. 2,983
39 Science Applications International
Corp. 4,159
79 TriNet Group, Inc. (a) 6,547
-------------
33,530
-------------
REAL ESTATE MANAGEMENT & DEVELOPMENT
-- 0.9%
32 Howard Hughes (The) Corp. (a) 2,660
46 Jones Lang LaSalle, Inc. (a) 8,025
-------------
10,685
-------------
ROAD & RAIL -- 2.5%
159 Knight-Swift Transportation
Holdings, Inc. 9,038
See Notes to Financial Statements Page 35
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL (CONTINUED)
36 Landstar System, Inc. $ 6,508
242 Schneider National, Inc., Class B 6,791
156 Werner Enterprises, Inc. 7,246
-------------
29,583
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.5%
18 Allegro MicroSystems, Inc. (a) 786
15 Axcelis Technologies, Inc. (a) 1,928
107 Cirrus Logic, Inc. (a) 10,994
81 Lattice Semiconductor Corp. (a) 6,882
31 MKS Instruments, Inc. 3,005
59 Qorvo, Inc. (a) 5,952
130 Rambus, Inc. (a) 5,750
91 Semtech Corp. (a) 2,804
5 Silicon Laboratories, Inc. (a) 893
26 Synaptics, Inc. (a) 3,058
-------------
42,052
-------------
SOFTWARE -- 3.1%
5 Appfolio, Inc., Class A (a) 660
18 Aspen Technology, Inc. (a) 3,816
153 Box, Inc., Class A (a) 5,103
23 CommVault Systems, Inc. (a) 1,354
7 Dolby Laboratories, Inc., Class A 576
55 Dropbox, Inc., Class A (a) 1,122
13 Fair Isaac Corp. (a) 8,806
23 Gen Digital, Inc. 449
89 InterDigital, Inc. 6,496
12 Manhattan Associates, Inc. (a) 1,725
20 Qualys, Inc. (a) 2,363
18 SPS Commerce, Inc. (a) 2,711
35 Teradata Corp. (a) 1,427
-------------
36,608
-------------
SPECIALTY RETAIL -- 5.2%
119 Aaron's (The) Co., Inc. 1,708
37 Academy Sports & Outdoors, Inc. 2,189
109 AutoNation, Inc. (a) 14,880
31 Bath & Body Works, Inc. 1,267
98 Dick's Sporting Goods, Inc. 12,606
79 Foot Locker, Inc. 3,454
24 Murphy USA, Inc. 6,122
56 Penske Automotive Group, Inc. 8,072
57 Victoria's Secret & Co. (a) 2,259
70 Williams-Sonoma, Inc. 8,744
-------------
61,301
-------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.8%
40 NetApp, Inc. 2,582
76 Pure Storage, Inc., Class A (a) 2,169
47 Super Micro Computer, Inc. (a) 4,605
-------------
9,356
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.4%
19 Capri Holdings Ltd. (a) $ 942
13 Deckers Outdoor Corp. (a) 5,412
86 PVH Corp. 6,901
11 Ralph Lauren Corp. 1,300
36 Tapestry, Inc. 1,566
-------------
16,121
-------------
THRIFTS & MORTGAGE FINANCE
-- 1.8%
172 Essent Group Ltd. 7,388
432 MGIC Investment Corp. 5,944
42 PennyMac Financial Services, Inc. 2,540
275 Radian Group, Inc. 5,871
-------------
21,743
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.5%
31 Applied Industrial Technologies,
Inc. 4,429
14 MSC Industrial Direct Co., Inc.,
Class A 1,183
311 Univar Solutions, Inc. (a) 10,807
5 Watsco, Inc. 1,524
-------------
17,943
-------------
TOTAL COMMON STOCKS
-- 99.8% 1,186,839
(Cost $1,184,983) -------------
MONEY MARKET FUNDS -- 0.3%
3,119 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class
4.41% (b) 3,119
(Cost $3,119) -------------
TOTAL INVESTMENTS -- 100.1% 1,189,958
(Cost $1,188,102)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (1,516)
-------------
NET ASSETS -- 100.0% $ 1,188,442
=============
(a) Non-income producing security.
(b) Rate shown reflects yield as of February 28, 2023.
Page 36 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------------
Common Stocks*.................................. $ 1,186,839 $ 1,186,839 $ -- $ --
Money Market Funds.............................. 3,119 3,119 -- --
-----------------------------------------------------------------
Total Investments............................... $ 1,189,958 $ 1,189,958 $ -- $ --
=================================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 37
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 0.2%
310 Parsons Corp. (a) $ 13,959
-------------
AIR FREIGHT & LOGISTICS -- 0.5%
140 Forward Air Corp. 14,449
205 Hub Group, Inc., Class A (a) 18,805
-------------
33,254
-------------
AUTO COMPONENTS -- 0.8%
1,105 Modine Manufacturing Co. (a) 26,973
315 Patrick Industries, Inc. 22,948
-------------
49,921
-------------
AUTOMOBILES -- 0.3%
265 Winnebago Industries, Inc. 16,843
-------------
BANKS -- 5.7%
471 Bancorp (The), Inc. (a) 16,292
855 BankUnited, Inc. 30,284
1,049 Berkshire Hills Bancorp, Inc. 30,484
340 City Holding Co. 33,388
595 CVB Financial Corp. 14,238
100 Dime Community Bancshares,
Inc. 3,064
1,077 First BanCorp 15,627
145 Hancock Whitney Corp. 7,122
454 Heritage Financial Corp. 12,653
535 Hilltop Holdings, Inc. 17,746
939 HomeStreet, Inc. 23,691
329 NBT Bancorp, Inc. 13,354
1,124 Northwest Bancshares, Inc. 15,534
540 OFG Bancorp 16,427
384 Popular, Inc. 27,418
200 Preferred Bank 14,080
415 S&T Bancorp, Inc. 15,463
275 TriCo Bancshares 13,890
424 Trustmark Corp. 12,466
460 WesBanco, Inc. 16,629
-------------
349,850
-------------
BIOTECHNOLOGY -- 5.2%
945 Alkermes PLC (a) 25,269
285 Amicus Therapeutics, Inc. (a) 3,759
100 Anika Therapeutics, Inc. (a) 3,170
2,260 Catalyst Pharmaceuticals, Inc. (a) 34,488
684 Chinook Therapeutics, Inc. (a) 14,925
659 Deciphera Pharmaceuticals,
Inc. (a) 9,556
1,032 Dynavax Technologies Corp. (a) 10,630
814 Eagle Pharmaceuticals, Inc. (a) 22,792
379 Halozyme Therapeutics, Inc. (a) 18,188
2,963 Ironwood Pharmaceuticals,
Inc. (a) 33,393
225 Kiniksa Pharmaceuticals Ltd.,
Class A (a) 2,894
210 Prometheus Biosciences, Inc. (a) 25,702
1,087 REGENXBIO, Inc. (a) 24,186
319 Rhythm Pharmaceuticals, Inc. (a) 7,755
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
BIOTECHNOLOGY (CONTINUED)
524 Syndax Pharmaceuticals, Inc. (a) $ 13,283
521 TG Therapeutics, Inc. (a) 8,346
2,884 Vanda Pharmaceuticals, Inc. (a) 18,573
125 Veracyte, Inc. (a) 3,076
789 Vir Biotechnology, Inc. (a) 17,989
665 Xencor, Inc. (a) 21,366
-------------
319,340
-------------
BUILDING PRODUCTS -- 1.1%
934 Insteel Industries, Inc. 27,786
456 UFP Industries, Inc. 39,002
-------------
66,788
-------------
CAPITAL MARKETS -- 1.4%
1,175 Avantax, Inc. (a) 33,593
370 Donnelley Financial Solutions,
Inc. (a) 15,655
540 Federated Hermes, Inc. 21,249
85 Houlihan Lokey, Inc. 8,135
60 Piper Sandler Cos. 9,059
-------------
87,691
-------------
CHEMICALS -- 0.3%
584 American Vanguard Corp. 12,188
45 Cabot Corp. 3,579
334 LSB Industries, Inc. (a) 4,539
-------------
20,306
-------------
COMMUNICATIONS EQUIPMENT
-- 1.3%
505 Digi International, Inc. (a) 16,852
1,065 Extreme Networks, Inc. (a) 19,937
579 Harmonic, Inc. (a) 7,637
1,314 NetScout Systems, Inc. (a) 37,370
-------------
81,796
-------------
CONSTRUCTION & ENGINEERING
-- 1.5%
329 Comfort Systems USA, Inc. 47,850
160 EMCOR Group, Inc. 26,755
485 Fluor Corp. (a) 17,785
-------------
92,390
-------------
CONSUMER FINANCE -- 1.4%
364 Encore Capital Group, Inc. (a) 18,812
490 Enova International, Inc. (a) 23,887
2,033 Navient Corp. 36,696
90 PRA Group, Inc. (a) 3,830
-------------
83,225
-------------
CONTAINERS & PACKAGING -- 0.3%
786 O-I Glass, Inc. (a) 17,465
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.9%
155 Grand Canyon Education, Inc. (a) 17,560
740 H&R Block, Inc. 27,232
1,143 Laureate Education, Inc. 13,556
2,853 Perdoceo Education Corp. (a) 39,328
Page 38 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
175 Strategic Education, Inc. $ 14,919
-------------
112,595
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.9%
844 Cannae Holdings, Inc. (a) 19,057
770 Jackson Financial, Inc., Class A 34,943
-------------
54,000
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.8%
1,384 EchoStar Corp., Class A (a) 27,624
310 Iridium Communications, Inc. (a) 19,025
-------------
46,649
-------------
ELECTRIC UTILITIES -- 1.4%
329 Hawaiian Electric Industries, Inc. 13,308
755 Otter Tail Corp. 53,522
414 Portland General Electric Co. 19,789
-------------
86,619
-------------
ELECTRICAL EQUIPMENT -- 3.0%
40 Acuity Brands, Inc. 7,759
460 Atkore, Inc. (a) 67,169
414 Encore Wire Corp. 79,906
5,211 GrafTech International Ltd. 29,442
-------------
184,276
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 3.7%
75 Badger Meter, Inc. 9,122
285 Belden, Inc. 24,048
374 CTS Corp. 16,198
130 Insight Enterprises, Inc. (a) 17,410
804 Knowles Corp. (a) 13,652
310 Methode Electronics, Inc. 15,106
364 PC Connection, Inc. 15,943
865 Sanmina Corp. (a) 52,298
389 ScanSource, Inc. (a) 12,129
1,074 TTM Technologies, Inc. (a) 14,274
1,554 Vishay Intertechnology, Inc. 32,991
-------------
223,171
-------------
ENERGY EQUIPMENT & SERVICES
-- 0.9%
270 Helmerich & Payne, Inc. 11,361
724 RPC, Inc. 6,349
315 Tidewater, Inc. (a) 15,385
290 Weatherford International PLC (a) 19,320
-------------
52,415
-------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.0%
305 CareTrust REIT, Inc. 5,999
574 Equity Commonwealth 12,186
591 Four Corners Property Trust, Inc. 16,046
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
935 Getty Realty Corp. $ 32,098
514 Highwoods Properties, Inc. 13,621
1,352 Hudson Pacific Properties, Inc. 12,479
379 LTC Properties, Inc. 13,576
294 National Health Investors, Inc. 16,170
1,688 Office Properties Income Trust 27,751
15 Park Hotels & Resorts, Inc. 206
2,540 Piedmont Office Realty Trust,
Inc., Class A 23,241
670 PotlatchDeltic Corp. 30,927
1,007 SITE Centers Corp. 13,464
981 Tanger Factory Outlet Centers,
Inc. 18,531
374 Urban Edge Properties 5,760
-------------
242,055
-------------
FOOD & STAPLES RETAILING -- 2.2%
200 BJ's Wholesale Club Holdings,
Inc. (a) 14,360
314 Ingles Markets, Inc., Class A 28,072
994 SpartanNash Co. 26,599
715 Sprouts Farmers Market, Inc. (a) 21,657
561 Weis Markets, Inc. 42,883
-------------
133,571
-------------
FOOD PRODUCTS -- 1.0%
545 Cal-Maine Foods, Inc. 30,956
599 Hostess Brands, Inc. (a) 14,796
275 Tootsie Roll Industries, Inc. 12,108
-------------
57,860
-------------
GAS UTILITIES -- 0.3%
190 ONE Gas, Inc. 15,230
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 4.4%
1,264 AngioDynamics, Inc. (a) 15,648
1,152 Avanos Medical, Inc. (a) 32,337
75 Cutera, Inc. (a) 2,432
495 Enovis Corp. (a) 28,522
50 Globus Medical, Inc., Class A (a) 2,917
205 Haemonetics Corp. (a) 15,943
160 Inspire Medical Systems, Inc. (a) 41,589
511 Lantheus Holdings, Inc. (a) 37,793
110 Neogen Corp. (a) 1,946
105 Orthofix Medical, Inc. (a) 2,163
270 QuidelOrtho Corp. (a) 23,474
130 Shockwave Medical, Inc. (a) 24,731
175 TransMedics Group, Inc. (a) 14,012
130 UFP Technologies, Inc. (a) 15,304
449 Varex Imaging Corp. (a) 7,943
-------------
266,754
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.9%
100 Addus HomeCare Corp. (a) 10,864
25 Amedisys, Inc. (a) 2,299
See Notes to Financial Statements Page 39
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
394 AMN Healthcare Services,
Inc. (a) $ 35,464
90 CorVel Corp. (a) 16,225
180 Cross Country Healthcare, Inc. (a) 4,761
585 Fulgent Genetics, Inc. (a) 19,182
1,145 Option Care Health, Inc. (a) 35,117
819 Owens & Minor, Inc. (a) 12,555
1,002 Pediatrix Medical Group, Inc. (a) 15,772
835 Premier, Inc., Class A 26,879
-------------
179,118
-------------
HEALTH CARE TECHNOLOGY -- 0.8%
629 NextGen Healthcare, Inc. (a) 11,391
90 Phreesia, Inc. (a) 3,312
1,889 Veradigm, Inc. (a) 31,376
-------------
46,079
-------------
HOUSEHOLD DURABLES -- 3.8%
925 Ethan Allen Interiors, Inc. 27,334
1,334 Green Brick Partners, Inc. (a) 41,621
515 M.D.C. Holdings, Inc. 19,055
324 M/I Homes, Inc. (a) 18,740
215 Meritage Homes Corp. (a) 23,484
485 Skyline Champion Corp. (a) 33,179
1,223 Taylor Morrison Home Corp. (a) 43,820
924 Tri Pointe Homes, Inc. (a) 22,028
-------------
229,261
-------------
INSURANCE -- 3.0%
399 American Equity Investment Life
Holding Co. 16,618
580 Brighthouse Financial, Inc. (a) 33,542
764 CNO Financial Group, Inc. 19,574
440 Employers Holdings, Inc. 19,541
110 Kinsale Capital Group, Inc. 35,057
140 RLI Corp. 19,307
160 Safety Insurance Group, Inc. 12,910
230 Selective Insurance Group, Inc. 23,352
-------------
179,901
-------------
INTERACTIVE MEDIA & SERVICES
-- 0.5%
1,541 Cars.com, Inc. (a) 29,587
40 Ziff Davis, Inc. (a) 3,159
-------------
32,746
-------------
IT SERVICES -- 1.5%
354 CSG Systems International, Inc. 19,895
210 ExlService Holdings, Inc. (a) 34,547
1,496 International Money Express,
Inc. (a) 38,223
-------------
92,665
-------------
LEISURE PRODUCTS -- 0.5%
1,811 Smith & Wesson Brands, Inc. 19,812
409 Vista Outdoor, Inc. (a) 11,681
-------------
31,493
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.4%
20 AbCellera Biologics, Inc. (a) $ 168
854 Maravai LifeSciences Holdings,
Inc., Class A (a) 12,596
45 Medpace Holdings, Inc. (a) 8,725
53 OmniAb, Inc. - 12.5 Earnout
Shares (a) (b) (c) (d) (e) 0
53 OmniAb, Inc. - 15 Earnout
Shares (a) (b) (c) (d) (e) 0
60 Syneos Health, Inc. (a) 2,413
-------------
23,902
-------------
MACHINERY -- 2.3%
115 Enerpac Tool Group Corp. 3,097
75 Hillenbrand, Inc. 3,535
800 Mueller Industries, Inc. 59,176
225 SPX Technologies, Inc. (a) 15,849
55 Terex Corp. 3,257
275 Titan International, Inc. (a) 3,413
1,225 Wabash National Corp. 33,565
105 Watts Water Technologies, Inc.,
Class A 18,399
-------------
140,291
-------------
MARINE -- 1.5%
555 Eagle Bulk Shipping, Inc. 36,225
1,504 Genco Shipping & Trading Ltd. 28,651
425 Matson, Inc. 28,267
-------------
93,143
-------------
MEDIA -- 0.4%
511 Scholastic Corp. 23,307
165 Sinclair Broadcast Group, Inc.,
Class A 2,684
-------------
25,991
-------------
METALS & MINING -- 3.0%
235 Alcoa Corp. 11,501
255 Alpha Metallurgical Resources,
Inc. 42,774
335 Commercial Metals Co. 17,336
860 Ryerson Holding Corp. 30,900
490 Schnitzer Steel Industries, Inc.,
Class A 16,018
1,197 TimkenSteel Corp. (a) 21,893
1,148 Warrior Met Coal, Inc. 43,934
-------------
184,356
-------------
MULTILINE RETAIL -- 1.0%
105 Dillard's, Inc., Class A 37,423
1,279 Macy's, Inc. 26,168
-------------
63,591
-------------
OIL, GAS & CONSUMABLE FUELS
-- 6.4%
329 Arch Resources, Inc. 51,768
861 Ardmore Shipping Corp. 15,627
430 California Resources Corp. 18,146
Page 40 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
150 Chesapeake Energy Corp. $ 12,122
90 Chord Energy Corp. 12,116
265 Civitas Resources, Inc. 18,595
50 CONSOL Energy, Inc. 2,737
85 CVR Energy, Inc. 2,697
1,457 DHT Holdings, Inc. 16,858
1,744 Dorian LPG Ltd. 38,281
255 International Seaways, Inc. 13,117
195 Magnolia Oil & Gas Corp.,
Class A 4,261
305 Murphy Oil Corp. 11,901
285 Ovintiv, Inc. 12,189
145 Par Pacific Holdings, Inc. (a) 4,028
340 PBF Energy, Inc., Class A 14,861
425 PDC Energy, Inc. 28,522
384 Peabody Energy Corp. (a) 10,483
641 Permian Basin Royalty Trust 16,012
465 REX American Resources
Corp. (a) 15,350
494 SandRidge Energy, Inc. (a) 7,207
70 Scorpio Tankers, Inc. 4,225
285 SM Energy Co. 8,410
539 Talos Energy, Inc. (a) 9,600
860 Teekay Tankers Ltd., Class A (a) 38,829
-------------
387,942
-------------
PAPER & FOREST PRODUCTS -- 0.5%
480 Louisiana-Pacific Corp. 28,085
-------------
PERSONAL PRODUCTS -- 2.0%
881 elf Beauty, Inc. (a) 65,855
130 Inter Parfums, Inc. 15,653
140 Medifast, Inc. 15,698
420 USANA Health Sciences, Inc. (a) 25,528
-------------
122,734
-------------
PHARMACEUTICALS -- 3.2%
1,505 Amphastar Pharmaceuticals,
Inc. (a) 47,949
150 Axsome Therapeutics, Inc. (a) 10,228
429 Corcept Therapeutics, Inc. (a) 8,936
334 Harmony Biosciences Holdings,
Inc. (a) 14,706
414 Innoviva, Inc. (a) 4,997
245 Intra-Cellular Therapies, Inc. (a) 12,012
315 Ligand Pharmaceuticals, Inc. (a) 22,724
334 Prestige Consumer Healthcare,
Inc. (a) 20,124
305 Revance Therapeutics, Inc. (a) 10,584
1,034 SIGA Technologies, Inc. 7,083
930 Supernus Pharmaceuticals,
Inc. (a) 34,959
-------------
194,302
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
PROFESSIONAL SERVICES -- 2.3%
671 CBIZ, Inc. (a) $ 33,610
25 CRA International, Inc. 3,112
962 Heidrick & Struggles
International, Inc. 33,026
431 Huron Consulting Group, Inc. (a) 30,252
25 Insperity, Inc. 3,102
230 Kforce, Inc. 14,373
369 Korn Ferry 20,623
-------------
138,098
-------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 1.1%
1,257 Anywhere Real Estate, Inc. (a) 7,278
3,459 Douglas Elliman, Inc. 14,597
751 Marcus & Millichap, Inc. 25,812
609 RMR Group (The), Inc., Class A 17,137
-------------
64,824
-------------
ROAD & RAIL -- 2.2%
555 ArcBest Corp. 53,391
1,846 Daseke, Inc. (a) 15,045
1,022 Heartland Express, Inc. 16,485
716 Marten Transport Ltd. 15,802
1,232 Schneider National, Inc., Class B 34,570
-------------
135,293
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.6%
230 Aehr Test Systems (a) 7,670
475 Axcelis Technologies, Inc. (a) 61,056
250 Cirrus Logic, Inc. (a) 25,687
735 Cohu, Inc. (a) 27,342
220 Diodes, Inc. (a) 20,172
105 Impinj, Inc. (a) 13,925
635 Kulicke & Soffa Industries, Inc. 33,846
185 Lattice Semiconductor Corp. (a) 15,718
695 Photronics, Inc. (a) 12,246
535 Rambus, Inc. (a) 23,663
565 Semtech Corp. (a) 17,408
25 Silicon Laboratories, Inc. (a) 4,463
155 Synaptics, Inc. (a) 18,230
-------------
281,426
-------------
SOFTWARE -- 1.4%
155 A10 Networks, Inc. 2,359
776 Adeia, Inc. 7,651
394 Box, Inc., Class A (a) 13,140
250 CommVault Systems, Inc. (a) 14,720
260 InterDigital, Inc. 18,978
75 Model N, Inc. (a) 2,490
55 Progress Software Corp. 3,159
125 Qualys, Inc. (a) 14,769
35 SPS Commerce, Inc. (a) 5,272
80 Teradata Corp. (a) 3,261
-------------
85,799
-------------
See Notes to Financial Statements Page 41
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL -- 4.0%
779 Aaron's (The) Co., Inc. $ 11,179
454 Abercrombie & Fitch Co.,
Class A (a) 13,352
410 Academy Sports & Outdoors, Inc. 24,252
639 Big 5 Sporting Goods Corp. 5,642
661 Buckle (The), Inc. 26,962
441 Caleres, Inc. 11,515
155 Children's Place (The), Inc. (a) 6,490
95 Citi Trends, Inc. (a) 2,664
55 Genesco, Inc. (a) 2,473
90 Group 1 Automotive, Inc. 19,896
606 Haverty Furniture Cos., Inc. 22,871
60 Hibbett, Inc. 4,316
830 MarineMax, Inc. (a) 27,871
135 Murphy USA, Inc. 34,437
65 ODP (The) Corp. (a) 2,943
100 Signet Jewelers Ltd. 7,162
889 Zumiez, Inc. (a) 20,678
-------------
244,703
-------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.8%
464 Avid Technology, Inc. (a) 13,484
375 Super Micro Computer, Inc. (a) 36,739
-------------
50,223
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.8%
649 G-III Apparel Group Ltd. (a) 10,783
70 Kontoor Brands, Inc. 3,651
300 Movado Group, Inc. 10,386
175 Oxford Industries, Inc. 20,582
60 PVH Corp. 4,814
-------------
50,216
-------------
THRIFTS & MORTGAGE FINANCE
-- 2.4%
855 Essent Group Ltd. 36,722
2,818 Kearny Financial Corp. 28,293
1,272 MGIC Investment Corp. 17,503
340 Mr. Cooper Group, Inc. (a) 15,786
260 PennyMac Financial Services, Inc. 15,722
1,613 Radian Group, Inc. 34,438
-------------
148,464
-------------
TOBACCO -- 0.1%
230 Vector Group Ltd. 3,052
-------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.6%
35 Applied Industrial Technologies,
Inc. 5,000
289 BlueLinx Holdings, Inc. (a) 24,389
445 Boise Cascade Co. 30,754
60 Rush Enterprises, Inc., Class A 3,401
345 Titan Machinery, Inc. (a) 15,797
25 Veritiv Corp. 3,786
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS
(CONTINUED)
95 WESCO International, Inc. (a) $ 15,730
-------------
98,857
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
449 United States Cellular Corp. (a) 10,834
-------------
TOTAL COMMON STOCKS
-- 99.7% 6,075,412
(Cost $5,626,089) -------------
MONEY MARKET FUNDS -- 0.2%
10,406 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class
4.41% (f) 10,406
(Cost $10,406) -------------
TOTAL INVESTMENTS -- 99.9% 6,085,818
(Cost $5,636,495)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 4,187
-------------
NET ASSETS -- 100.0% $ 6,090,005
=============
(a) Non-income producing security.
(b) 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 provisions of the Investment Company Act of 1940 and
rules thereunder, as amended. At February 28, 2023, securities noted as
such are valued at $0 or 0.0% of net assets.
(c) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).
(d) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by First Trust Advisors, L.P.,
the Fund's Advisor.
(e) Restricted security as to resale, excluding Rule 144A securities (see Note
2E - Restricted Securities in the Notes to Financial Statements).
(f) Rate shown reflects yield as of February 28, 2023.
Page 42 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------------
Common Stocks:
Life Sciences Tools & Services............... $ 23,902 $ 23,902 $ -- $ --**
Other Industry Categories*................... 6,051,510 6,051,510 -- --
Money Market Funds.............................. 10,406 10,406 -- --
-----------------------------------------------------------------
Total Investments............................... $ 6,085,818 $ 6,085,818 $ -- $ --**
=================================================================
* See Portfolio of Investments for industry breakout.
** Investment is valued at $0.
Level 3 investments are fair valued by the Advisor's Pricing Committee and are
footnoted in the Portfolio of Investments. Level 3 investments values are based
on unobservable and non-quantitative inputs.
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 2023 (UNAUDITED)
FIRST TRUST
FIRST TRUST FLEXIBLE FIRST TRUST
INCOME MUNICIPAL LOW DURATION
OPPORTUNITIES HIGH INCOME STRATEGIC FOCUS
ETF (FCEF) ETF (MFLX) ETF (LDSF)
---------------- ----------------- -----------------
ASSETS:
Investments, at value - Unaffiliated............................. $ 26,872,269 $ 11,709,856 $ 13,739,009
Investments, at value - Affiliated............................... -- -- 169,266,204
---------------- ----------------- -----------------
Total investments, at value................................... 26,872,269 11,709,856 183,005,213
Cash............................................................. -- 408,400 --
Cash segregated as collateral for open futures contracts......... -- 6,650 --
Receivables:
Dividends..................................................... 75,163 1,314 62,548
Interest...................................................... -- 155,689 --
Investment securities sold.................................... -- -- 923,883
---------------- ----------------- -----------------
Total Assets.................................................. 26,947,432 12,281,909 183,991,644
---------------- ----------------- -----------------
LIABILITIES:
Payables:
Investment advisory fees...................................... 17,952 5,132 30,178
Capital shares purchased...................................... -- -- 924,429
Investment securities purchased............................... -- -- --
Variation margin.............................................. -- 188 --
---------------- ----------------- -----------------
Total Liabilities............................................. 17,952 5,320 954,607
---------------- ----------------- -----------------
NET ASSETS....................................................... $ 26,929,480 $ 12,276,589 $ 183,037,037
================ ================= =================
NET ASSETS CONSIST OF:
Paid-in capital.................................................. $ 30,781,207 $ 16,442,497 $ 203,976,015
Par value........................................................ 13,550 7,500 99,000
Accumulated distributable earnings (loss)........................ (3,865,277) (4,173,408) (21,037,978)
---------------- ----------------- -----------------
NET ASSETS....................................................... $ 26,929,480 $ 12,276,589 $ 183,037,037
================ ================= =================
NET ASSET VALUE, per share....................................... $ 19.87 $ 16.37 $ 18.49
================ ================= =================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................ 1,355,000 750,002 9,900,002
================ ================= =================
Investments, at cost - Unaffiliated.............................. $ 30,355,966 $ 12,175,323 $ 13,796,224
================ ================= =================
Investments, at cost - Affiliated................................ $ -- $ -- $ 177,455,598
================ ================= =================
Total investments, at cost....................................... $ 30,355,966 $ 12,175,323 $ 191,251,822
================ ================= =================
Page 44 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ACTIVE FACTOR ACTIVE FACTOR ACTIVE FACTOR
LARGE CAP ETF MID CAP ETF SMALL CAP ETF
(AFLG) (AFMC) (AFSM)
---------------- ----------------- -----------------
$ 4,753,773 $ 1,189,958 $ 6,085,818
-- -- --
---------------- ----------------- -----------------
4,753,773 1,189,958 6,085,818
-- -- --
-- -- --
8,839 978 8,707
-- -- --
451,022 104,914 553,672
---------------- ----------------- -----------------
5,213,634 1,295,850 6,648,197
---------------- ----------------- -----------------
2,060 603 3,545
-- -- --
457,818 106,805 554,647
-- -- --
---------------- ----------------- -----------------
459,878 107,408 558,192
---------------- ----------------- -----------------
$ 4,753,756 $ 1,188,442 $ 6,090,005
================ ================= =================
$ 5,246,544 $ 1,624,067 $ 6,268,888
2,000 500 2,500
(494,788) (436,125) (181,383)
---------------- ----------------- -----------------
$ 4,753,756 $ 1,188,442 $ 6,090,005
================ ================= =================
$ 23.77 $ 23.77 $ 24.36
================ ================= =================
200,002 50,002 250,002
================ ================= =================
$ 4,728,913 $ 1,188,102 $ 5,636,495
================ ================= =================
$ -- $ -- $ --
================ ================= =================
$ 4,728,913 $ 1,188,102 $ 5,636,495
================ ================= =================
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2023 (UNAUDITED)
FIRST TRUST
FIRST TRUST FLEXIBLE FIRST TRUST
INCOME MUNICIPAL LOW DURATION
OPPORTUNITIES HIGH INCOME STRATEGIC FOCUS
ETF (FCEF) ETF (MFLX) ETF (LDSF)
---------------- ----------------- -----------------
INVESTMENT INCOME:
Dividends - Unaffiliated......................................... $ 1,150,737 $ 14,041 $ 575,664
Dividends - Affiliated........................................... -- -- 3,083,575
Interest......................................................... -- 259,649 --
Foreign withholding tax.......................................... -- -- --
---------------- ----------------- -----------------
Total investment income....................................... 1,150,737 273,690 3,659,239
---------------- ----------------- -----------------
EXPENSES:
Investment advisory fees......................................... 110,270 45,838 200,430
---------------- ----------------- -----------------
Total expenses................................................ 110,270 45,838 200,430
---------------- ----------------- -----------------
Less fees waived by the investment advisor ................... -- (12,223) --
---------------- ----------------- -----------------
Net expenses ................................................. 110,270 33,615 200,430
---------------- ----------------- -----------------
NET INVESTMENT INCOME (LOSS)..................................... 1,040,467 240,075 3,458,809
---------------- ----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments - Unaffiliated.................................... (447,955) (250,249) (2,705,822)
Investments - Affiliated...................................... -- -- (3,368,710)
In-kind redemptions - Unaffiliated............................ (136,975) -- (92,344)
In-kind redemptions - Affiliated.............................. -- -- (503,596)
Distribution of capital gains from investment companies....... 101,893 -- --
Futures contracts............................................. -- 3,828 --
---------------- ----------------- -----------------
Net realized gain (loss)......................................... (483,037) (246,421) (6,670,472)
---------------- ----------------- -----------------
Net increase from payment by the advisor......................... 7 -- --
---------------- ----------------- -----------------
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated.................................... (772,895) (170,835) 2,256,188
Investments - Affiliated...................................... -- -- 544,291
Futures contracts............................................. -- (539) --
---------------- ----------------- -----------------
Net change in unrealized appreciation (depreciation)............. (772,895) (171,374) 2,800,479
---------------- ----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS).......................... (1,255,925) (417,795) (3,869,993)
---------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................................... $ (215,458) $ (177,720) $ (411,184)
================ ================= =================
Page 46 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ACTIVE FACTOR ACTIVE FACTOR ACTIVE FACTOR
LARGE CAP ETF MID CAP ETF SMALL CAP ETF
(AFLG) (AFMC) (AFSM)
---------------- ----------------- -----------------
$ 50,893 $ 11,154 $ 51,030
-- -- --
-- -- --
-- (8) (68)
---------------- ----------------- -----------------
50,893 11,146 50,962
---------------- ----------------- -----------------
12,821 3,630 15,919
---------------- ----------------- -----------------
12,821 3,630 15,919
---------------- ----------------- -----------------
-- -- --
---------------- ----------------- -----------------
12,821 3,630 15,919
---------------- ----------------- -----------------
38,072 7,516 35,043
---------------- ----------------- -----------------
(128,432) (46,246) (143,019)
-- -- --
-- -- --
-- -- --
-- -- --
-- -- --
---------------- ----------------- -----------------
(128,432) (46,246) (143,019)
---------------- ----------------- -----------------
-- -- --
---------------- ----------------- -----------------
192,904 127,475 533,981
-- -- --
-- -- --
---------------- ----------------- -----------------
192,904 127,475 533,981
---------------- ----------------- -----------------
64,472 81,229 390,962
---------------- ----------------- -----------------
$ 102,544 $ 88,745 $ 426,005
================ ================= =================
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
INCOME FLEXIBLE MUNICIPAL
OPPORTUNITIES ETF HIGH INCOME ETF
(FCEF) (MFLX)
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
2/28/2023 YEAR ENDED 2/28/2023 YEAR ENDED
(UNAUDITED) 8/31/2022 (UNAUDITED) 8/31/2022
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)............................ $ 1,040,467 $ 1,330,037 $ 240,075 $ 645,710
Net realized gain (loss)................................ (483,037) 449,449 (246,421) (3,580,386)
Net increase from payment by the advisor................ 7 -- -- --
Net change in unrealized appreciation (depreciation).... (772,895) (7,342,772) (171,374) (1,191,248)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
operations........................................... (215,458) (5,563,286) (177,720) (4,125,924)
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (937,650) (2,022,212) (243,001) (717,089)
Return of capital....................................... -- -- -- (10,763)
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders..................... (937,650) (2,022,212) (243,001) (727,852)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 999,804 2,433,703 845,655 12,143,517
Cost of shares redeemed................................. (922,553) (5,518,237) (2,420,570) (11,345,363)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................. 77,251 (3,084,534) (1,574,915) 798,154
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................. (1,075,857) (10,670,032) (1,995,636) (4,055,622)
NET ASSETS:
Beginning of period..................................... 28,005,337 38,675,369 14,272,225 18,327,847
---------------- ---------------- ---------------- ----------------
End of period........................................... $ 26,929,480 $ 28,005,337 $ 12,276,589 $ 14,272,225
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 1,355,000 1,505,000 850,002 850,002
Shares sold............................................. 50,000 100,000 50,000 600,000
Shares redeemed......................................... (50,000) (250,000) (150,000) (600,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period....................... 1,355,000 1,355,000 750,002 850,002
================ ================ ================ ================
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
LOW DURATION ACTIVE FACTOR
STRATEGIC FOCUS ETF LARGE CAP ETF
(LDSF) (AFLG)
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
2/28/2023 YEAR ENDED 2/28/2023 YEAR ENDED
(UNAUDITED) 8/31/2022 (UNAUDITED) 8/31/2022
---------------- ---------------- ---------------- ----------------
$ 3,458,809 $ 3,680,944 $ 38,072 $ 55,265
(6,670,472) (6,902,198) (128,432) (138,755)
-- -- -- --
2,800,479 (10,702,212) 192,904 (441,602)
---------------- ---------------- ---------------- ----------------
(411,184) (13,923,466) 102,544 (525,092)
---------------- ---------------- ---------------- ----------------
(3,328,101) (4,397,151) (46,361) (46,676)
-- (729,900) -- --
---------------- ---------------- ---------------- ----------------
(3,328,101) (5,127,051) (46,361) (46,676)
---------------- ---------------- ---------------- ----------------
37,180,130 175,760,526 -- 1,261,886
(61,161,083) (130,024,664) -- --
---------------- ---------------- ---------------- ----------------
(23,980,953) 45,735,862 -- 1,261,886
---------------- ---------------- ---------------- ----------------
(27,720,238) 26,685,345 56,183 690,118
210,757,275 184,071,930 4,697,573 4,007,455
---------------- ---------------- ---------------- ----------------
$ 183,037,037 $ 210,757,275 $ 4,753,756 $ 4,697,573
================ ================ ================ ================
11,200,002 9,100,002 200,002 150,002
2,000,000 8,900,000 -- 50,000
(3,300,000) (6,800,000) -- --
---------------- ---------------- ---------------- ----------------
9,900,002 11,200,002 200,002 200,002
================ ================ ================ ================
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
ACTIVE FACTOR ACTIVE FACTOR
MID CAP ETF SMALL CAP ETF
(AFMC) (AFSM)
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
2/28/2023 YEAR ENDED 2/28/2023 YEAR ENDED
(UNAUDITED) 8/31/2022 (UNAUDITED) 8/31/2022
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)............................ $ 7,516 $ 21,595 $ 35,043 $ 25,429
Net realized gain (loss)................................ (46,246) (176,499) (143,019) (164,820)
Net increase from payment by the advisor................ -- -- -- --
Net change in unrealized appreciation (depreciation).... 127,475 (251,819) 533,981 (219,832)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
operations........................................... 88,745 (406,723) 426,005 (359,223)
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (10,186) (19,566) (35,460) (18,130)
Return of capital....................................... -- -- -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders..................... (10,186) (19,566) (35,460) (18,130)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... -- 1,306,411 3,404,983 --
Cost of shares redeemed................................. -- (1,076,295) -- --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................. -- 230,116 3,404,983 --
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................. 78,559 (196,173) 3,795,528 (377,353)
NET ASSETS:
Beginning of period..................................... 1,109,883 1,306,056 2,294,477 2,671,830
---------------- ---------------- ---------------- ----------------
End of period........................................... $ 1,188,442 $ 1,109,883 $ 6,090,005 $ 2,294,477
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 50,002 50,002 100,002 100,002
Shares sold............................................. -- 50,000 150,000 --
Shares redeemed......................................... -- (50,000) -- --
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period....................... 50,002 50,002 250,002 100,002
================ ================ ================ ================
Page 50 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31,
2/28/2023 -------------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
----------- ----------- ----------- ----------- ----------- -----------
Net asset value, beginning of period.......... $ 20.67 $ 25.70 $ 20.12 $ 21.75 $ 22.26 $ 21.66
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. 0.79 0.87 0.65 0.82 0.82 0.78
Net realized and unrealized gain (loss)....... (0.88) (a) (4.53) 6.07 (1.29) (0.18) 0.93
--------- --------- --------- --------- --------- ---------
Total from investment operations.............. (0.09) (3.66) 6.72 (0.47) 0.64 1.71
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income......................... (0.71) (1.26) (0.84) (1.10) (0.96) (1.01)
Net realized gain............................. -- (0.11) (0.30) (0.06) (0.19) (0.10)
--------- --------- --------- --------- --------- ---------
Total distributions........................... (0.71) (1.37) (1.14) (1.16) (1.15) (1.11)
--------- --------- --------- --------- --------- ---------
Net asset value, end of period................ $ 19.87 $ 20.67 $ 25.70 $ 20.12 $ 21.75 $ 22.26
========= ========= ========= ========= ========= =========
TOTAL RETURN (b).............................. (0.36)% (a) (14.62)% 34.19% (2.04)% 3.18% 8.09%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......... $ 26,929 $ 28,005 $ 38,675 $ 33,301 $ 37,085 $ 45,754
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets (c)................................. 0.85% (d) 0.85% 0.85% 0.85% 0.85% 0.85%
Ratio of net investment income (loss) to
average net assets......................... 8.02% (d) 3.87% 2.79% 4.01% 3.92% 3.14%
Portfolio turnover rate (e)................... 8% 16% 8% 6% 13% 15%
FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31,
2/28/2023 -------------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
----------- ----------- ----------- ----------- ----------- -----------
Net asset value, beginning of period.......... $ 16.79 $ 21.56 $ 19.21 $ 19.61 $ 17.94 $ 19.20
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. 0.32 0.67 0.70 0.68 0.62 0.64
Net realized and unrealized gain (loss)....... (0.42) (4.68) 2.39 (0.48) 1.65 (1.24)
--------- --------- --------- --------- --------- ---------
Total from investment operations.............. (0.10) (4.01) 3.09 0.20 2.27 (0.60)
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income......................... (0.32) (0.72) (0.74) (0.60) (0.60) (0.64)
Net realized gain............................. -- (0.03) (0.00) (f) -- -- --
Return of capital............................. -- (0.01) -- -- -- (0.02)
--------- --------- --------- --------- --------- ---------
Total distributions........................... (0.32) (0.76) (0.74) (0.60) (0.60) (0.66)
--------- --------- --------- --------- --------- ---------
Net asset value, end of period................ $ 16.37 $ 16.79 $ 21.56 $ 19.21 $ 19.61 $ 17.94
========= ========= ========= ========= ========= =========
TOTAL RETURN (b).............................. (0.54)% (18.91)% 16.37% 1.10% 12.96% (3.09)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......... $ 12,277 $ 14,272 $ 18,328 $ 8,646 $ 10,785 $ 13,454
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets (c)................................. 0.75% (d) 0.75% 0.75% 0.75% 0.75% 0.75%
Ratio of net expenses to average net
assets (c)................................. 0.55% (d) 0.69% -- -- -- --
Ratio of net investment income (loss) to
average net assets......................... 3.93% (d) 3.55% 3.57% 3.49% 3.49% 3.54%
Portfolio turnover rate (e)................... 21% 109% (g) 17% 7% 20% 11%
(a) The Fund received a payment from the advisor in the amount of $7, which
represents less than $0.01 per share. Since the advisor reimbursed the
Fund, there was no effect on the Fund's total return.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. MFLX total returns would have been lower if certain
fees had not been waived by the investment advisor.
(c) The Fund indirectly bears its proportionate share of fees and expenses
incurred by the underlying funds in which the Fund invests. This ratio
does not include these indirect fees and expenses.
(d) Annualized.
(e) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(f) Amount is less than $0.01.
(g) The variation in the portfolio turnover rate is due to the change in the
Fund's investment strategy effective April 14, 2022 which resulted in a
rebalance of the Fund's portfolio.
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/2023 --------------------------------------- ENDED
(UNAUDITED) 2022 2021 2020 8/31/2019 (a)
----------- ----------- ----------- ----------- -------------
Net asset value, beginning of period.......... $ 18.82 $ 20.23 $ 20.42 $ 20.50 $ 20.03
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. 0.32 0.29 0.38 0.49 0.43
Net realized and unrealized gain (loss)....... (0.34) (1.29) (0.06) (0.07) 0.47
--------- --------- --------- --------- ---------
Total from investment operations.............. (0.02) (1.00) 0.32 0.42 0.90
--------- --------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income......................... (0.31) (0.35) (0.51) (0.50) (0.43)
Return of capital............................. -- (0.06) -- -- --
--------- --------- --------- --------- ---------
Total distributions........................... (0.31) (0.41) (0.51) (0.50) (0.43)
--------- --------- --------- --------- ---------
Net asset value, end of period................ $ 18.49 $ 18.82 $ 20.23 $ 20.42 $ 20.50
========= ========= ========= ========= =========
TOTAL RETURN (b).............................. (0.10)% (4.98)% 1.57% 2.09% 4.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......... $ 183,037 $ 210,757 $ 184,072 $ 130,701 $ 50,228
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets (c)................................. 0.20% (d) 0.20% 0.20% 0.20% 0.20% (d)
Ratio of net investment income (loss) to
average net assets......................... 3.45% (d) 1.53% 1.85% 2.36% 3.16% (d)
Portfolio turnover rate (e)................... 34% 50% 54% 71% 14%
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/2023 ------------------------- ENDED
(UNAUDITED) 2022 2021 8/31/2020 (a)
----------- ----------- ----------- -------------
Net asset value, beginning of period.......... $ 23.49 $ 26.72 $ 20.99 $ 19.87
--------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. 0.19 0.30 0.27 0.23
Net realized and unrealized gain (loss)....... 0.32 (3.26) 5.72 1.07
--------- --------- --------- ---------
Total from investment operations.............. 0.51 (2.96) 5.99 1.30
--------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income......................... (0.23) (0.27) (0.26) (0.18)
--------- --------- --------- ---------
Net asset value, end of period................ $ 23.77 $ 23.49 $ 26.72 $ 20.99
========= ========= ========= =========
TOTAL RETURN (b).............................. 2.23% (11.18)% 28.74% 6.67%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......... $ 4,754 $ 4,698 $ 4,007 $ 2,099
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets..................................... 0.55% (d) 0.55% 0.55% 0.55% (d)
Ratio of net investment income (loss) to
average net assets......................... 1.63% (d) 1.24% 1.12% 1.62% (d)
Portfolio turnover rate (e)................... 32% 61% 70% 55%
(a) Inception dates for LDSF and AFLG are January 3, 2019 and December 3,
2019, respectively, which are consistent with the respective Fund's
commencement of investment operations and are the dates the initial
creation units were established.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) The Fund indirectly bears its proportionate share of fees and expenses
incurred by the underlying funds in which the Fund invests. This ratio
does not include these indirect fees and expenses.
(d) Annualized.
(e) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/2023 ------------------------- ENDED
(UNAUDITED) 2022 2021 8/31/2020 (a)
----------- ----------- ----------- -------------
Net asset value, beginning of period.......... $ 22.20 $ 26.12 $ 18.37 $ 19.88
--------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. 0.15 0.32 0.19 0.18
Net realized and unrealized gain (loss)....... 1.62 (3.96) 7.76 (1.55)
--------- --------- --------- ---------
Total from investment operations.............. 1.77 (3.64) 7.95 (1.37)
--------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income......................... (0.20) (0.28) (0.20) (0.14)
--------- --------- --------- ---------
Net asset value, end of period................ $ 23.77 $ 22.20 $ 26.12 $ 18.37
========= ========= ========= =========
TOTAL RETURN (b).............................. 8.10% (14.04)% 43.52% (6.86)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......... $ 1,188 $ 1,110 $ 1,306 $ 1,837
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets..................................... 0.65% (c) 0.65% 0.65% 0.65% (c)
Ratio of net investment income (loss) to
average net assets......................... 1.35% (c) 1.21% 0.81% 1.34% (c)
Portfolio turnover rate (d)................... 32% 80% 80% 66%
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/2023 ------------------------- ENDED
(UNAUDITED) 2022 2021 8/31/2020 (a)
----------- ----------- ----------- -------------
Net asset value, beginning of period.......... $ 22.94 $ 26.72 $ 18.45 $ 19.95
--------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. 0.16 0.25 0.05 0.12
Net realized and unrealized gain (loss)....... 1.47 (3.85) 8.30 (1.52)
--------- --------- --------- ---------
Total from investment operations.............. 1.63 (3.60) 8.35 (1.40)
--------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income......................... (0.21) (0.18) (0.08) (0.10)
--------- --------- --------- ---------
Net asset value, end of period................ $ 24.36 $ 22.94 $ 26.72 $ 18.45
========= ========= ========= =========
TOTAL RETURN (b).............................. 7.19% (13.52)% 45.40% (7.03)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......... $ 6,090 $ 2,294 $ 2,672 $ 1,845
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets (e)................................. 0.75% (c) 0.75% 0.75% 0.75% (c)
Ratio of net investment income (loss) to
average net assets......................... 1.65% (c) 1.01% 0.27% 0.91% (c)
Portfolio turnover rate (d)................... 38% 73% 86% 65%
(a) Inception date for AFMC and AFSM is December 3, 2019, which is consistent
with the commencement of investment operations and is the date the initial
creation units were established.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(e) The Fund indirectly bears its proportionate share of fees and expenses
incurred by the underlying funds in which the Fund invests. This ratio
does not include these indirect fees and expenses.
See Notes to Financial Statements Page 53
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
1. ORGANIZATION
First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on February 22,
2016, 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 fifty-nine funds that are offering shares. This
report covers the six funds (each a "Fund" and collectively, the "Funds") listed
below:
First Trust Income Opportunities ETF - (The Nasdaq Stock Market LLC
("Nasdaq") ticker "FCEF")
First Trust Flexible Municipal High Income ETF - (Nasdaq ticker "MFLX")
First Trust Low Duration Strategic Focus ETF - (Nasdaq ticker "LDSF")
First Trust Active Factor Large Cap ETF - (NYSE Arca, Inc. ("NYSE Arca")
ticker "AFLG")
First Trust Active Factor Mid Cap ETF - (NYSE Arca ticker "AFMC")
First Trust Active Factor Small Cap ETF - (NYSE Arca ticker "AFSM")
Each Fund represents a separate series of shares of beneficial interest in the
Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on
a continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units."
Each Fund is an actively managed exchange-traded fund. FCEF's primary investment
objective is to provide current income with a secondary emphasis on total
return. MFLX's investment objective is to provide current income. AFLG, AFMC and
AFSM's investment objective seeks to provide capital appreciation. LDSF's
primary investment objective seeks to generate current income, with a secondary
objective of preservation of capital.
Under normal market conditions, FCEF will invest its net assets in a portfolio
of closed-end investment companies ("Closed-End Funds") and exchanged-traded
funds ("ETFs") that are listed and traded in the United States on registered
exchanges.
Under normal market conditions, MFLX will invest at least 80% of its net assets
(plus any investment borrowings) in municipal debt securities that pay interest
that is exempt from regular federal income taxes.
Under normal market conditions, LDSF will invest at least 80% of its net assets
(including investment borrowings) in a portfolio of U.S.-listed ETFs that
principally invest in income-generating securities that provide the Fund with an
effective portfolio duration of three years or less. A significant portion of
the ETFs in which the Fund invests may be advised by First Trust Advisors L.P.
("First Trust" or the "Advisor"). The Fund may invest in ETFs that invest
principally in corporate bonds, floating rate loans and fixed-to-floating rate
loans, senior loans, mortgage-backed securities, hybrid income securities
(including convertible, contingent convertible and preferred securities),
government debt and other fixed income securities. The securities to which the
Fund may have exposure may be issued by both U.S. and non-U.S. issuers,
including both corporate and governmental issuers located in countries
considered to be emerging markets. The Fund may also invest up to 40% of its net
assets in ETFs that have exposure to U.S. corporate high yield securities (also
known as "junk bonds") and senior loans. The Fund may invest up to 20% of its
net assets in bonds issued by non-U.S. government and corporate issuers,
including up to 10% of its net assets in ETFs holding debt of issuers located in
countries considered to be emerging markets. The Fund may also invest up to 10%
of its net assets in ETFs holding preferred securities and up to 10% of its net
assets in ETFs holding convertible securities.
Under normal market conditions, AFLG will invest at least 80% of its net assets
(including investment borrowings) in U.S.-listed equity securities issued by
large capitalization companies.
Under normal market conditions, AFMC will invest at least 80% of its net assets
(including investment borrowings) in U.S.-listed equity securities issued by mid
capitalization companies.
Under normal market conditions, AFSM will invest at least 80% of its net assets
(including investment borrowings) in U.S.-listed equity securities issued by
small capitalization companies.
There can be no assurance that a Fund will achieve its investment objective(s).
The Funds may not be appropriate for all investors.
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.
Page 54
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of the Fund (including accrued interest and dividends), less
all liabilities (including accrued expenses and dividends declared but unpaid),
by the total number of shares outstanding.
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 readily available market quotations such as last sale or
official closing prices from a national or foreign exchange (i.e., a regulated
market) and are primarily obtained from third-party pricing services. Fair value
prices represent any prices not considered market value prices and are either
obtained from a third-party pricing service or are determined by the Advisor's
Pricing Committee in accordance with valuation procedures approved by the
Trust's Board of Trustees, and in accordance with provisions of the 1940 Act and
rules thereunder. Investments valued by the Advisor's Pricing Committee, if any,
are footnoted as such in the footnotes to the Portfolio of Investments. Each
Fund's investments are valued as follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the primary exchange for such securities.
Securities trading on foreign exchanges or over-the-counter markets that
close prior to the NYSE close may be valued using a systematic fair
valuation model provided by a third-party pricing service. If these
foreign securities meet certain criteria in relation to the valuation
model, their valuation is systematically adjusted to reflect the impact of
movement in the U.S. market after the close of the foreign markets.
Securities traded in an over-the-counter market are valued at the mean of
their most recent bid and asked price, if available, and otherwise at
their last trade price.
Shares of open-end funds are valued based on NAV per share.
Exchange-traded futures contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded futures contracts are valued at the mean of
their most recent bid and asked price, if available, and otherwise at
their closing bid price.
Municipal securities and other debt securities are fair valued on the
basis of fair valuations provided by a third-party pricing service
approved by the Advisor's Pricing Committee, which may use the following
valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications
Pricing services generally value fixed-income securities assuming orderly
transactions of an institutional round lot size, but a Fund may hold or
transact in such securities in smaller, odd lot sizes. Odd lots may trade
at lower prices than institutional round lots.
Fixed income and other debt securities having a remaining maturity of
sixty days or less when purchased are fair valued at cost adjusted for
amortization of premiums and accretion of discounts (amortized cost),
provided the Advisor's Pricing Committee has determined that the use of
amortized cost is an appropriate reflection of fair value given market and
issuer-specific conditions existing at the time of the determination.
Factors that may be considered in determining the appropriateness of the
use of amortized cost include, but are not limited to, the following:
1) the credit conditions in the relevant market and changes thereto;
2) the liquidity conditions in the relevant market and changes thereto;
3) the interest rate conditions in the relevant market and changes
thereto (such as significant changes in interest rates);
4) issuer-specific conditions (such as significant credit
deterioration); and
5) any other market-based data the Advisor's Pricing Committee
considers relevant. In this regard, the Advisor's Pricing Committee
may use last-obtained market-based data to assist it when valuing
portfolio securities using amortized cost.
Page 55
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by 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 last sale price on the exchange on which they are principally
traded or, for Nasdaq and AIM securities, the official closing
price;
2) the type of security;
3) the size of the holding;
4) the initial cost of the security;
5) transactions in comparable securities;
6) price quotes from dealers and/or third-party pricing services;
7) relationships among various securities;
8) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
9) an analysis of the issuer's financial statements;
10) the existence of merger proposals or tender offers that might affect
the value of the security; and
11) other relevant factors.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of February 28, 2023, 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. Amortization of premiums and accretion of
discounts are recorded using the effective interest method.
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 the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
Page 56
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
MFLX may invest in when-issued or delayed-delivery securities. Securities
purchased or sold on a when-issued or delayed-delivery basis may have extended
settlement periods. The value of the security so purchased is subject to market
fluctuations during this period. MFLX maintains liquid assets with a current
value at least equal to the amount of its when-issued or delayed-delivery
securities. At February 28, 2023, MFLX held no when-issued or delayed-delivery
securities.
C. AFFILIATED TRANSACTIONS
LDSF invests in securities of affiliated funds. The Fund's investment
performance and risks are directly related to the investment performance and
risks of the affiliated funds. Dividend income, realized gains and losses, and
change in appreciation (depreciation) from affiliated funds are presented on the
Statements of Operations.
Amounts related to these investments at February 28, 2023 and for the six months
then ended are as follows:
CHANGE IN
UNREALIZED REALIZED
SHARES AT VALUE AT APPRECIATION GAIN VALUE AT DIVIDEND
SECURITY NAME 2/28/2023 8/31/2022 PURCHASES SALES (DEPRECIATION) (LOSS) 2/28/2023 INCOME
------------------------------------------------------------------------------------------------------------------------------------
First Trust
Enhanced
Short Maturity
ETF 307,271 $ 26,154,896 $ 3,735,735 $ (11,631,742) $ 17,632 $ (9,260) $ 18,267,261 $ 343,416
First Trust
Limited Duration
Investment
Grade
Corporate ETF 2,439,607 -- 54,442,019 (8,761,056) (351,587) (1,478) 45,327,898 309,017
First Trust
Low Duration
Opportunities ETF 1,541,086 83,828,430 15,179,763 (24,430,409) (686,684) (458,352) 73,432,748 1,176,232
First Trust
Tactical High
Yield ETF 469,969 32,671,917 3,867,056 (16,829,758) 1,142,793 (2,264,734) 18,587,274 718,062
First Trust TCW
Unconstrained
Plus Bond ETF 568,319 26,306,800 4,406,971 (16,346,403) 422,137 (1,138,482) 13,651,023 536,848
--------------------------------------------------------------------------------------------------
$ 168,962,043 $ 81,631,544 $ (77,999,368) $ 544,291 $(3,872,306) $ 169,266,204 $3,083,575
==================================================================================================
D. FUTURES CONTRACTS
MFLX may purchase or sell (i.e., is long or short) exchange-listed futures
contracts to hedge against changes in interest rates (interest rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or
sell a specific quantity of an underlying instrument at a specified price and at
a specified date. Depending on the terms of the contract, futures contracts are
settled either through physical delivery of the underlying instrument on the
settlement date or by payment of a cash settlement amount on the settlement
date. Open futures contracts can also be closed out prior to settlement by
entering into an offsetting transaction in a matching futures contract. If the
Fund is not able to enter into an offsetting transaction, the Fund will continue
to be required to maintain margin deposits on the futures contract. When the
contract is closed or expires, the Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed or expired. This gain or loss is included in
"Net realized gain (loss) on futures contracts" on the Statements of Operations.
Upon entering into a futures contract, the Fund must deposit funds, called
margin, with its custodian in the name of the clearing broker equal to a
specified percentage of the current value of the contract. Open futures
contracts are marked-to-market daily with the change in value recognized as a
component of "Net change in unrealized appreciation (depreciation) on futures
contracts" on the Statements of Operations. Pursuant to the contract, the Fund
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known as
variation margin and are included in "Variation margin" receivable or payable on
the Statements of Assets and Liabilities. If market conditions change
unexpectedly, the Fund may not achieve the anticipated benefits of the futures
contract and may realize a loss. The use of futures contracts involves the risk
of imperfect correlation in movements in the price of the futures contracts,
interest rates and the underlying instruments.
E. RESTRICTED SECURITIES
As of February 28, 2023, AFSM held restricted securities as shown in the
following table that the Advisor has deemed illiquid pursuant to procedures
adopted by AFSM's Board of Trustees.
ACQUISITION CURRENT CARRYING % OF
SECURITIES DATE SHARES PRICE COST VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------------------------
OmniAb, Inc. - 12.5 Earnout Shares 11/02/2022 53 $ 0.00 $ 0.00 $ 0.00 0.00%
OmniAb, Inc. - 15 Earnout Shares 11/02/2022 53 0.00 0.00 0.00 0.00
---------------------------------------
$ 0.00 $ 0.00 0.00%
=======================================
Page 57
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, with the exception of FCEF, MFLX and LDSF which declare and pay
monthly, 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. A Fund may also designate a portion of the amount paid to
redeeming shareholders as a distribution for tax purposes.
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 August 31, 2022, was as follows:
Distributions Distributions Distributions Distributions
paid from paid from paid from paid from
Ordinary Capital Tax-Exempt Return of
Income Gains Income Capital
------------- ------------- -------------- --------------
First Trust Income Opportunities ETF $ 1,853,122 $ 169,090 $ -- $ --
First Trust Flexible Municipal High Income ETF 18,745 29,680 668,664 10,763
First Trust Low Duration Strategic Focus ETF 4,397,151 -- -- 729,900
First Trust Active Factor Large Cap ETF 46,676 -- -- --
First Trust Active Factor Mid Cap ETF 19,566 -- -- --
First Trust Active Factor Small Cap ETF 18,130 -- -- --
As of August 31, 2022, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated Net
Undistributed Capital and Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------- ------------- --------------
First Trust Income Opportunities ETF $ -- $ -- $ (2,712,169)
First Trust Flexible Municipal High Income ETF -- (3,455,798) (296,889)
First Trust Low Duration Strategic Focus ETF -- (6,147,684) (11,151,009)
First Trust Active Factor Large Cap ETF 17,567 (381,050) (187,488)
First Trust Active Factor Mid Cap ETF 3,450 (392,394) (125,740)
First Trust Active Factor Small Cap ETF 7,523 (489,975) (89,476)
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.
In addition, MFLX intends to invest in such Municipal Closed-End Funds to allow
it to qualify to pass through "exempt dividends" as defined in the Internal
Revenue Code.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. For FCEF, MFLX and LDSF, the
taxable years ended 2019, 2020, 2021, and 2022 remain open to federal and state
audit. For AFLG, AFMC and AFSM, the taxable years ended 2020, 2021, and 2022
remain open to federal and state audit. As of February 28, 2023, 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.
Page 58
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
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 August 31, 2022, for
federal income tax purposes, the Funds 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 the Funds' shareholders.
Non-Expiring
Capital Loss
Carryforwards
--------------
First Trust Income Opportunities ETF $ --
First Trust Flexible Municipal High Income ETF 3,455,798
First Trust Low Duration Strategic Focus ETF 6,147,684
First Trust Active Factor Large Cap ETF 381,050
First Trust Active Factor Mid Cap ETF 392,394
First Trust Active Factor Small Cap ETF 489,975
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 August 31, 2022, the Funds had no
net late year ordinary or capital losses.
As of February 28, 2023, the aggregate cost, gross unrealized appreciation,
gross unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
------------- ------------- -------------- --------------
First Trust Income Opportunities ETF $ 30,355,966 $ 406,373 $ (3,890,070) $ (3,483,697)
First Trust Flexible Municipal High Income ETF 12,175,323 62,866 (528,872) (466,006)
First Trust Low Duration Strategic Focus ETF 191,251,822 -- (8,246,609) (8,246,609)
First Trust Active Factor Large Cap ETF 4,728,913 306,274 (281,414) 24,860
First Trust Active Factor Mid Cap ETF 1,188,102 90,344 (88,488) 1,856
First Trust Active Factor Small Cap ETF 5,636,495 626,941 (177,618) 449,323
H. EXPENSES
Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the 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.
Pursuant to the Investment Management Agreement between the Trust and the
Advisor, First Trust manages the investment of each Fund's assets and is
responsible for the expenses of each Fund, including the cost of transfer
agency, custody, fund administration, legal, audit, license fees and other
services, but excluding fee payments under the Investment Management Agreement,
interest, taxes, pro rata share of fees and expenses attributable to investments
in other investment companies ("acquired fund fees and expenses"), brokerage
commissions and other expenses connected with the execution of portfolio
Page 59
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
transactions, distribution and service fees payable pursuant to a Rule 12b-1
plan, if any, and extraordinary expenses. Effective November 1, 2022, the annual
unitary management fee payable by each Fund to First Trust for these services
will be reduced at certain levels of each Fund's net asset ("breakpoints") and
calculated pursuant to the schedule below:
Breakpoints FCEF MFLX
--------------------------------------------------- -------------------
Fund net assets up to and including $2.5 billion 0.85000% 0.75000%
Fund net assets greater than $2.5 billion up to and
including $5 billion 0.82875% 0.73125%
Fund net assets greater than $5 billion up to and
including $7.5 billion 0.80750% 0.71250%
Fund net assets greater than $7.5 billion up to and
including $10 billion 0.78625% 0.69375%
Fund net assets greater than $10 billion 0.76500% 0.67500%
Breakpoints LDSF AFLG AFMC AFSM
--------------------------------------------------- -----------------------------------------
Fund net assets up to and including $2.5 billion 0.200% 0.55000% 0.65000% 0.75000%
Fund net assets greater than $2.5 billion up to and
including $5 billion 0.195% 0.53625% 0.63375% 0.73125%
Fund net assets greater than $5 billion up to and
including $7.5 billion 0.190% 0.52250% 0.61750% 0.71250%
Fund net assets greater than $7.5 billion up to and
including $10 billion 0.185% 0.50875% 0.60125% 0.69375%
Fund net assets greater than $10 billion up to and
including $15 billion 0.180% 0.49500% 0.58500% 0.67500%
Fund net assets greater than $15 billion 0.170% 0.46750% 0.55250% 0.63750%
During any period in which the MFLX fee waiver described below is in effect,
MFLX will not be eligible for any breakpoints discounts.
Prior to November 1, 2022, the Funds paid First Trust an annual unitary
management fee based on each Fund's average daily net assets at the following
rates:
Rate
--------------
First Trust Income Opportunities ETF 0.85%
First Trust Flexible Municipal High Income ETF 0.75%
First Trust Low Duration Strategic Focus ETF 0.20%
First Trust Active Factor Large Cap ETF 0.55%
First Trust Active Factor Mid Cap ETF 0.65%
First Trust Active Factor Small Cap ETF 0.75%
For MFLX, pursuant to a contractual agreement, the Advisor agreed to waive
management fees of 0.20% of average daily net assets through April 14, 2023. The
waiver agreement may be terminated by action of the Board of Trustees at any
time upon 60 days' written notice by the Trust, on behalf of MFLX, or by the
Advisor only after April 14, 2023. First Trust does not have the right to
recover the fees waived. During the six months ended February 28, 2023, the
Advisor waived MFLX's fees of $12,223.
In addition, FCEF, MFLX and LDSF incur acquired fund fees and expenses. The
total of the unitary management fee and acquired fund fees and expenses
represents each Fund's total annual operating expenses.
For the six months ended February 28, 2023, FCEF received a payment from the
Advisor of $7 in connection with a trade error.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Page 60
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
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 target outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee Chairs
rotate every three years. The officers and "Interested" Trustee receive no
compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended February 28, 2023, 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 Income Opportunities ETF $ 2,555,501 $ 2,038,867
First Trust Flexible Municipal High Income ETF 2,449,267 4,066,384
First Trust Low Duration Strategic Focus ETF 67,742,040 67,686,252
First Trust Active Factor Large Cap ETF 1,496,324 1,506,560
First Trust Active Factor Mid Cap ETF 362,897 365,985
First Trust Active Factor Small Cap ETF 1,636,442 1,636,239
For the six months ended February 28, 2023, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
-------------- --------------
First Trust Income Opportunities ETF $ 930,056 $ 842,855
First Trust Flexible Municipal High Income ETF -- --
First Trust Low Duration Strategic Focus ETF 37,150,537 61,119,829
First Trust Active Factor Large Cap ETF -- --
First Trust Active Factor Mid Cap ETF -- --
First Trust Active Factor Small Cap ETF 3,397,564 --
5. DERIVATIVE TRANSACTIONS
The following table presents the type of derivatives held by MFLX at February
28, 2023, the primary underlying risk exposure and the location of these
instruments as presented on the Statements of Assets and Liabilities.
ASSET DERIVATIVES LIABILITY DERIVATIVES
---------------------------------------- ----------------------------------------
DERIVATIVE RISK STATEMENTS OF ASSETS AND STATEMENTS OF ASSETS AND
INSTRUMENTS EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE
----------- ----------- --------------------------- ----------- --------------------------- -----------
Futures Interest Unrealized appreciation on Unrealized depreciation on
contracts Rate Risk futures contracts* $ -- futures contracts* $ 539
* Includes cumulative appreciation/depreciation on futures contracts as reported
in the Fund's Portfolio of Investments. Only the current day's variation margin
is presented on the Statements of Assets and Liabilities.
The following table presents the amount of net realized gain (loss) and change
in net unrealized appreciation (depreciation) recognized for the six months
ended February 28, 2023, on derivative instruments, as well as the primary
underlying risk exposure associated with the instruments.
STATEMENTS OF OPERATIONS LOCATION
------------------------------------------------------------------------------------
INTEREST RATE RISK EXPOSURE
Net realized gain (loss) on futures contracts $ 3,828
Net change in unrealized appreciation (depreciation) on futures contracts (539)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
During the six months ended February 28, 2023, the notional value of futures
contracts opened and closed were $682,813 and $342,852, respectively.
MFLX does not have the right to offset financial assets and financial
liabilities related to futures and options contracts on the Statements of Assets
and Liabilities.
6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
Authorized Participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares 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 December 31, 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.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
9. OTHER MATTERS
By operation of law, AFLG, AFMC and AFSM each now operate as a diversified
open-end management investment company as defined in Section 5(b) of the 1940
Act.
10. 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
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or
more indices or ETF models. As a result, such a fund may be included in one or
more index-tracking exchange-traded funds or mutual funds. Being a component
security of such a vehicle could greatly affect the trading activity involving a
fund, the size of the fund and the market volatility of the fund. Inclusion in
an index could increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods. In addition, index rebalances may potentially result in increased
trading activity in a fund's shares.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
costs incurred in connection with closing out positions and entering into new
trades. Any potential effects of the transition away from LIBOR on the fund or
on certain instruments in which the fund invests can be difficult to ascertain,
and they may vary depending on a variety of factors, and they could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Market risk is the risk that a particular security, or shares of a
fund in general, may fall in value. Securities held by a fund, as well as shares
of a fund itself, are subject to market fluctuations caused by factors such as
general economic conditions, political events, regulatory or market
developments, changes in interest rates and perceived trends in securities
prices. Shares of a fund could decline in value or underperform other
investments as a result of the risk of loss associated with these market
fluctuations. In addition, local, regional or global events such as war, acts of
terrorism, spread of infectious diseases or other public health issues,
recessions, or other events could have a significant negative impact on a fund
and its investments. Such events may affect certain geographic regions,
countries, sectors and industries more significantly than others. In February
2022, Russia invaded Ukraine which has caused and could continue to cause
significant market disruptions and volatility within the markets in Russia,
Europe, and the United States. The hostilities and sanctions resulting from
those hostilities could have a significant impact on certain fund investments as
well as fund performance. The COVID-19 global pandemic and the ensuing policies
enacted by governments and central banks have caused and may continue to cause
significant volatility and uncertainty in global financial markets. While the
U.S. has resumed "reasonably" normal business activity, many countries continue
to impose lockdown measures. Additionally, there is no guarantee that vaccines
will be effective against emerging variants of the disease. These events also
adversely affect the prices and liquidity of a fund's portfolio securities or
other instruments and could result in disruptions in the trading markets. Any of
such circumstances could have a materially negative impact on the value of a
fund's shares and result in increased market volatility. During any such events,
a fund's shares may trade at increased premiums or discounts to their net asset
value and the bid/ask spread on a fund's shares may widen.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
PREFERRED SECURITIES RISK. Preferred securities combine some of the
characteristics of both common stocks and bonds. Preferred securities are
typically subordinated to bonds and other debt securities in a company's capital
structure in terms of priority to corporate income, subjecting them to greater
credit risk than those debt securities. Generally, holders of preferred
securities have no voting rights with respect to the issuing company unless
preferred dividends have been in arrears for a specified number of periods, at
which time the preferred security holders may obtain limited rights. In certain
circumstances, an issuer of preferred securities may defer payment on the
securities and, in some cases, redeem the securities prior to a specified date.
Preferred securities may also be substantially less liquid than other
securities, including common stock.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2023 (UNAUDITED)
VALUATION RISK. The valuation of certain securities may carry more risk than
that of common stock. Uncertainties in the conditions of the financial markets,
unreliable reference data, lack of transparency and inconsistency of valuation
models and processes may lead to inaccurate asset pricing. A fund may hold
investments in sizes smaller than institutionally sized round lot positions
(sometimes referred to as odd lots). However, third-party pricing services
generally provide evaluations on the basis of institutionally-sized round lots.
If a fund sells certain of its investments in an odd lot transaction, the sale
price may be less than the value at which such securities have been held by the
fund. Odd lots often trade at lower prices than institutional round lots. There
is no assurance that the fund will be able to sell a portfolio security at the
price established by the pricing service, which could result in a loss to the
fund.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
ADVISORY AGREEMENTS
BOARD CONSIDERATIONS REGARDING APPROVAL OF AMENDMENTS TO THE INVESTMENT
MANAGEMENT AGREEMENTS
The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"),
including the Independent Trustees, unanimously approved the amendment (as
applicable to a specific Fund, the "Amendment" and collectively, the
"Amendments") of the Investment Management Agreements (as applicable to a
specific Fund, the "Agreement" and collectively, the "Agreements") with First
Trust Advisors L.P. (the "Advisor") on behalf of the following six series of the
Trust (each a "Fund" and collectively, the "Funds"):
First Trust Income Opportunities ETF (FCEF)
First Trust Flexible Municipal High Income ETF (MFLX)
First Trust Low Duration Strategic Focus ETF (LDSF)
First Trust Active Factor Large Cap ETF (AFLG)
First Trust Active Factor Mid Cap ETF (AFMC)
First Trust Active Factor Small Cap ETF (AFSM)
The Board approved the Amendment for each Fund at a meeting held on October 24,
2022. As part of the review process, the Board reviewed information and had
preliminary discussions with the Advisor regarding the proposed Amendments at
meetings held on April 18, 2022, June 12-13, 2022 and September 18-19, 2022.
Following those preliminary discussions, the Board requested and received
information from the Advisor regarding the proposed Amendments, and that
information was considered at an executive session of the Independent Trustees
and their counsel held prior to the October 24, 2022 meeting, as well as at the
October meeting.
In reviewing the Amendment for each Fund, the Board considered that the purpose
of the Amendments is to modify the unitary fee rate for each Fund under the
applicable Agreement by introducing a breakpoint schedule pursuant to which the
unitary fee rate paid by each Fund to the Advisor will be reduced as assets of
such Fund meet certain thresholds. The Board noted the Advisor's representations
that the quality and quantity of the services provided to each Fund by the
Advisor under the applicable Agreement will not be reduced or modified as a
result of the applicable Amendment, and that the obligations of the Advisor
under each Agreement will remain the same in all respects.
The Board noted that it, including the Independent Trustees, last approved the
continuation of the applicable Agreement for each Fund for a one-year period
ending June 30, 2023 at a meeting held on June 12-13, 2022. The Board noted that
in connection with such approval it had determined for each Fund, based upon the
information provided, that the terms of the applicable Agreement were fair and
reasonable and that the continuation of the applicable Agreement was 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.
The Board noted that the Advisor had previously agreed to waive a portion of its
unitary fee for MFLX and that the modified unitary fee rate schedule for the
Fund under the applicable Amendment would not be implemented until the
expiration of the Fund's contractual fee waiver. The Board considered that the
effective unitary fee rate paid by the Fund under the applicable Agreement after
taking into account the contractual fee waiver is less than the effective
unitary fee rate that the Fund would pay pursuant to the modified unitary fee
rate schedule under the applicable Amendment.
Based on all of the information considered, the Board, including the Independent
Trustees, unanimously determined that the terms of the Amendments are fair and
reasonable and that the Amendments are in the best interests of each Fund.
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FIRST TRUST
First Trust Exchange-Traded Fund VIII
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
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