Caution Regarding Forward-Looking Statements

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

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

Performance and Risk Disclosure

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

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

The Advisor may also periodically provide additional information on Fund performance on each Fund’s web page at www.ftportfolios.com.

How to Read This Report

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

The statistical information that follows may help you understand each Fund’s performance compared to that of a relevant market benchmark.

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

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Shareholder Letter

First Trust Exchange-Traded Fund III

Semi-Annual Letter from the Chairman and CEO

January 31, 2023

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for the Managed Volatility Funds of First Trust Exchange-Traded Fund III (the “Funds”), which contains detailed information about the Funds for the six-month period ended January 31, 2023.

Given recent inflation data, the Federal Reserve’s (the “Fed”) monetary policy remains front and center in most discussions regarding the outlook of the U.S. economy. Annual revisions to the Consumer Price Index released on February 10, 2023, showed that prices climbed at a 3.3% annual rate in the last three months of 2022, not the 1.8% rate reported four weeks prior, according to Brian Wesbury, Chief Economist at First Trust. Additionally, “core” inflation, which excludes volatile food and energy prices, was also revised upwards from 3.1% to 4.3% over the period. Furthermore, January’s 2023 jobs data came in better than expected, with non-farm payroll employment rising by 517,000. It is precisely this situation: stubbornly high inflation, strong jobs growth and increasing interest rates, which has many pundits debating whether the typical U.S. consumer can remain healthy enough to help ward off an economic recession.

As many investors know, the consumer is an essential driver of economic growth in the U.S. On average, over the 15-year period ended October 1, 2022, consumer spending accounted for 67.8% of the U.S. gross domestic product (“GDP”). Crucially, recent data regarding consumer health has been mixed, in my opinion. On one hand, the Commerce Department reported that in December 2022, the U.S. savings rate rose to its highest level in seven months, coming in at 3.4%. On the other hand, while December’s savings rate was a welcome reversal from the declines suffered throughout 2021 and 2022, it could indicate that consumers are beginning to pull back on discretionary spending amidst a cloudier economic outlook, according to Bloomberg. Recent data shows that the average interest rate on U.S. credit cards rose to 19.07% in the fourth quarter of 2022, its highest level in over 50 years. Additionally, U.S. credit card debt reached a record $930.6 billion in the fourth quarter, jumping 18.5% year-over-year. Even so, debt service payments accounted for just 9.75% of disposable personal income in the third quarter of 2022. This figure is higher than its historic low of 8.33% set in 2021 but is also well below its peak of 13.17% set in 2007. In my view, it is worth keeping an eye on debt service payments. If higher payments lead to a decline in discretionary spending, it could negatively impact GDP.

I would like to take a moment to remind you that even though nearly three years have passed since the World Health Organization initially declared the coronavirus outbreak a global pandemic, the economic impact of worldwide lockdowns and the subsequent governmental stimulus is still very real. China, for example, only recently dropped its requirement that incoming travelers must quarantine before entering the country. In addition, the global economy has yet to fully absorb the impact of the fiscal policies enacted to jump start consumer spending in 2020, in my view. As evidence of this, each of the countries that comprise the G-10 currently has a headline inflation rate that stands well above its stated target. Central banks likely have more work to do, in my opinion.

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

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

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Fund Performance Overview (Unaudited)

First Trust Horizon Managed Volatility Domestic ETF (HUSV)

The investment objective of First Trust Horizon Managed Volatility Domestic ETF (the “Fund”) is to provide capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in common stocks of domestic companies listed and traded on U.S. national securities exchanges that Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) believes exhibit low future expected volatility. The goal of this strategy is to capture upside price movements in rising markets and reduce downside risk when markets decline. To implement this strategy, the Sub-Advisor employs volatility forecasting models to forecast future expected volatility. The strategy is largely quantitative and rules-based, but also includes multiple parameters over which the Sub-Advisor may exercise discretion (including, but not limited to, the number of holdings and the weightings of particular holdings) in connection with its active management of the Fund. Shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol “HUSV.” The first day of secondary market trading in shares of the Fund was August 25, 2016.

Performance
			Average Annual Total Returns		Cumulative Total Returns
	6 Months Ended 1/31/23	1 Year Ended 1/31/23	5 Years Ended 1/31/23	Inception (8/24/16) to 1/31/23	5 Years Ended 1/31/23	Inception (8/24/16) to 1/31/23
Fund Performance
NAV	0.00%	-1.81%	8.53%	9.61%	50.57%	80.50%
Market Price	-0.04%	-1.78%	8.52%	9.60%	50.53%	80.44%
Index Performance
S&P 500^® Index	-0.44%	-8.22%	9.54%	12.27%	57.71%	110.63%

(See Notes to Fund Performance Overview on page 9.)

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Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Horizon Managed Volatility Domestic ETF (HUSV) (Continued)

Sector Allocation	% of Total Investments
Consumer Staples	18.0%
Health Care	14.5
Information Technology	14.0
Financials	13.1
Utilities	12.6
Industrials	12.3
Consumer Discretionary	8.0
Real Estate	3.7
Communication Services	2.2
Materials	0.8
Energy	0.8
Total	100.0%

Top Ten Holdings	% of Total Investments
Cisco Systems, Inc.	2.6%
Automatic Data Processing, Inc.	2.4
International Business Machines Corp.	2.4
Johnson & Johnson	2.3
Jack Henry & Associates, Inc.	2.3
Merck & Co., Inc.	2.2
McDonald’s Corp.	2.2
Roper Technologies, Inc.	2.2
Paychex, Inc.	2.2
Bristol-Myers Squibb Co.	2.1
Total	22.9%

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

Frequency Distribution of Discounts and Premiums

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

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Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Horizon Managed Volatility Developed International ETF (HDMV)

The investment objective of First Trust Horizon Managed Volatility Developed International ETF (the “Fund”) is to provide capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in common stocks and depositary receipts of developed market companies listed and traded on non-U.S. exchanges that Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) believes exhibit low future expected volatility. The term “developed market companies” means those companies (i) whose securities are traded principally on a stock exchange in a developed market country, (ii) with a primary business office in a developed market country, or (iii) that have at least 50% of their assets in, or derive at least 50% of their revenues or profits from, a developed market country. The Sub-Advisor considers Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Luxembourg, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States to be developed market countries. However, this list may change in response to market and geopolitical events. Under normal market conditions, the Fund will invest in at least three countries and at least 40% of its net assets in countries other than the United States. Shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol “HDMV.” The first day of secondary market trading in shares of the Fund was August 25, 2016.

Performance
			Average Annual Total Returns		Cumulative Total Returns
	6 Months Ended 1/31/23	1 Year Ended 1/31/23	5 Years Ended 1/31/23	Inception (8/24/16) to 1/31/23	5 Years Ended 1/31/23	Inception (8/24/16) to 1/31/23
Fund Performance
NAV	2.23%	-4.46%	-1.36%	2.23%	-6.62%	15.22%
Market Price	2.17%	-4.70%	-1.48%	2.20%	-7.19%	15.04%
Index Performance
MSCI EAFE Index	9.52%	-2.83%	2.13%	5.90%	11.12%	44.67%

(See Notes to Fund Performance Overview on page 9.)

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Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Horizon Managed Volatility Developed International ETF (HDMV) (Continued)

Sector Allocation	% of Total Investments
Industrials	20.7%
Financials	20.0
Consumer Staples	15.4
Communication Services	13.5
Utilities	7.0
Real Estate	6.8
Health Care	6.1
Consumer Discretionary	4.5
Information Technology	3.5
Materials	1.8
Energy	0.7
Total	100.0%

Top Ten Holdings	% of Total Investments
Singapore Airlines Ltd.	2.0%
Oversea-Chinese Banking Corp., Ltd.	2.0
MTR Corp., Ltd.	2.0
McDonald’s Holdings Co., Japan Ltd.	2.0
Singapore Exchange Ltd.	1.9
Singapore Technologies Engineering Ltd.	1.9
Power Assets Holdings Ltd.	1.7
Orange S.A.	1.6
Swisscom AG	1.5
Novartis AG	1.5
Total	18.1%

Frequency Distribution of Discounts and Premiums

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Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)

The investment objective of First Trust Horizon Managed Volatility Small/Mid ETF (the “Fund”) is to seek to provide investors with capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in small- and/or mid-capitalization common stocks listed and traded on U.S. national securities exchanges that Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) believes exhibit low future expected volatility. The goal of this strategy is to capture upside price movements in rising markets and reduce downside risk when markets decline. To implement this strategy, the Sub-Advisor employs volatility forecasting models to forecast future expected volatility. The strategy is largely quantitative and rules-based, but also includes multiple parameters over which the Sub-Advisor may exercise discretion (including, but not limited to, the number of holdings and the weightings of particular holdings) in connection with its active management of the Fund. Shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol “HSMV.” The first day of secondary market trading in shares of the Fund was April 7, 2020.

Performance
			Average Annual Total Returns	Cumulative Total Returns
	6 Months Ended 1/31/23	1 Year Ended 1/31/23	Inception (4/6/20) to 1/31/23	Inception (4/6/20) to 1/31/23
Fund Performance
NAV	3.13%	1.88%	18.17%	60.19%
Market Price	3.10%	1.69%	18.15%	60.09%
Index Performance
S&P 1000^® Index	5.43%	1.35%	26.12%	92.49%

(See Notes to Fund Performance Overview on page 9.)

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Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) (Continued)

Sector Allocation	% of Total Investments
Financials	21.1%
Industrials	19.6
Real Estate	16.7
Utilities	9.6
Information Technology	7.8
Health Care	6.8
Consumer Discretionary	6.5
Materials	5.3
Consumer Staples	5.1
Communication Services	1.5
Energy	0.0*
Total	100.0%

*	Amount is less than 0.01%.

Top Ten Holdings	% of Total Investments
Envista Holdings Corp.	0.6%
Timken (The) Co.	0.6
Lamar Advertising Co., Class A	0.6
Columbia Sportswear Co.	0.6
Kilroy Realty Corp.	0.6
CommVault Systems, Inc.	0.6
H&R Block, Inc.	0.6
ITT, Inc.	0.6
Healthcare Realty Trust, Inc.	0.6
Knight-Swift Transportation Holdings, Inc.	0.6
Total	6.0%

Frequency Distribution of Discounts and Premiums

Page 8

Table of Contents

Notes to Fund Performance Overview (Unaudited)

Total returns for the periods since inception are calculated from the inception date of each Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated.

Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance.

Page 9

Table of Contents

Portfolio Management

First Trust Exchange-Traded Fund III

Semi-Annual Report

January 31, 2023 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”) serves as the investment advisor to the First Trust Horizon Managed Volatility Domestic ETF (“HUSV”), the First Trust Horizon Managed Volatility Developed International ETF (“HDMV”), and the First Trust Horizon Managed Volatility Small/Mid ETF (“HSMV”) (each a “Fund” and collectively, the “Funds”). First Trust is responsible for the ongoing monitoring of each Fund’s investment portfolio, managing each Fund’s business affairs and providing certain administrative services necessary for the management of each Fund.

Sub-Advisor

Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) serves as the investment sub-advisor to the Funds.

Portfolio Management Team

The following persons serve as portfolio managers of the Funds:

Michael Dickson, PhD, Head of Research and Product Development and Portfolio Manager of Horizon

Scott Ladner, Chief Investment Officer and Portfolio Manager of Horizon

Steven Clark, PhD, Portfolio Manager of Horizon

The portfolio managers are primarily and jointly responsible for the day-to-day management of the Funds. Each portfolio manager has served as part of the portfolio management team of the Funds since each Fund’s inception.

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Table of Contents

First Trust Exchange-Traded Fund III

Understanding Your Fund Expenses

January 31, 2023 (Unaudited)

As a shareholder of First Trust Horizon Managed Volatility Domestic ETF, First Trust Horizon Managed Volatility Developed International ETF or First Trust Horizon Managed Volatility Small/Mid 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 (in U.S. dollars) 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 January 31, 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 Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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

	Beginning Account Value August 1, 2022	Ending Account Value January 31, 2023	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
Actual	$1,000.00	$1,000.00	0.70%	$3.53
Hypothetical (5% return before expenses)	$1,000.00	$1,021.68	0.70%	$3.57
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Actual	$1,000.00	$1,022.30	0.80%	$4.08
Hypothetical (5% return before expenses)	$1,000.00	$1,021.17	0.80%	$4.08
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Actual	$1,000.00	$1,031.30	0.80%	$4.10
Hypothetical (5% return before expenses)	$1,000.00	$1,021.17	0.80%	$4.08

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2022 through January 31, 2023), multiplied by 184/365 (to reflect the six-month period).

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Table of Contents

First Trust Horizon Managed Volatility Domestic ETF (HUSV)

Portfolio of Investments

January 31, 2023 (Unaudited)

Shares	Description	Value
COMMON STOCKS – 96.1%
	Aerospace & Defense – 3.2%
5,147	General Dynamics Corp.	$1,199,560
2,307	Lockheed Martin Corp.	1,068,741
9,712	Raytheon Technologies Corp.	969,743
		3,238,044
	Beverages – 4.9%
30,355	Coca-Cola (The) Co.	1,861,369
34,198	Keurig Dr. Pepper, Inc.	1,206,505
10,893	PepsiCo, Inc.	1,862,921
		4,930,795
	Biotechnology – 2.9%
7,769	AbbVie, Inc.	1,147,870
6,841	Amgen, Inc.	1,726,668
		2,874,538
	Capital Markets – 1.3%
7,521	CME Group, Inc.	1,328,660
	Commercial Services & Supplies – 3.8%
14,335	Republic Services, Inc.	1,789,295
12,885	Waste Management, Inc.	1,993,696
		3,782,991
	Communications Equipment – 2.6%
52,912	Cisco Systems, Inc.	2,575,227
	Containers & Packaging – 0.8%
69,702	Amcor PLC	840,606
	Distributors – 1.3%
8,001	Genuine Parts Co.	1,342,728
	Diversified Financial Services – 1.5%
4,963	Berkshire Hathaway, Inc., Class B (a)	1,546,074
	Diversified Telecommunication Services – 1.3%
32,070	Verizon Communications, Inc.	1,333,150
	Electric Utilities – 6.3%
14,063	Duke Energy Corp.	1,440,754
13,289	Evergy, Inc.	832,556
35,527	FirstEnergy Corp.	1,454,830
38,258	PPL Corp.	1,132,437
21,235	Southern (The) Co.	1,437,185
		6,297,762
	Electrical Equipment – 1.1%
7,316	AMETEK, Inc.	1,060,235
	Food Products – 9.3%
12,813	Campbell Soup Co.	665,379

Shares	Description	Value

	Food Products (Continued)
12,029	Conagra Brands, Inc.	$447,359
11,773	General Mills, Inc.	922,532
7,728	Hershey (The) Co.	1,735,709
29,664	Hormel Foods Corp.	1,344,076
9,189	J.M. Smucker (The) Co.	1,404,079
12,092	Kellogg Co.	829,269
10,102	Kraft Heinz (The) Co.	409,434
23,867	Mondelez International, Inc., Class A	1,561,856
		9,319,693
	Health Care Equipment & Supplies – 1.1%
4,409	Becton Dickinson and Co.	1,112,038
	Health Care Providers & Services – 3.9%
3,474	McKesson Corp.	1,315,534
8,301	Quest Diagnostics, Inc.	1,232,533
2,632	UnitedHealth Group, Inc.	1,313,868
		3,861,935
	Hotels, Restaurants & Leisure – 3.6%
8,344	McDonald’s Corp.	2,231,186
10,685	Yum! Brands, Inc.	1,394,499
		3,625,685
	Household Products – 2.5%
11,022	Kimberly-Clark Corp.	1,432,970
7,623	Procter & Gamble (The) Co.	1,085,363
		2,518,333
	Industrial Conglomerates – 1.0%
4,818	Honeywell International, Inc.	1,004,457
	Insurance – 10.2%
20,794	Aflac, Inc.	1,528,359
5,501	Chubb Ltd.	1,251,422
11,036	Globe Life, Inc.	1,333,701
24,127	Loews Corp.	1,483,328
16,693	MetLife, Inc.	1,218,923
8,120	Progressive (The) Corp.	1,107,162
6,395	Travelers (The) Cos., Inc.	1,222,212
4,190	Willis Towers Watson PLC	1,065,056
		10,210,163
	IT Services – 9.2%
10,534	Automatic Data Processing, Inc.	2,378,683
17,607	International Business Machines Corp.	2,372,191
12,776	Jack Henry & Associates, Inc.	2,300,830
18,784	Paychex, Inc.	2,176,314
		9,228,018

Page 12

See Notes to Financial Statements

Table of Contents

First Trust Horizon Managed Volatility Domestic ETF (HUSV)

Portfolio of Investments (Continued)

January 31, 2023 (Unaudited)

Shares	Description	Value
COMMON STOCKS (Continued)
	Machinery – 2.1%
9,834	PACCAR, Inc.	$1,074,955
3,987	Snap-on, Inc.	991,686
		2,066,641
	Multi-Utilities – 6.3%
14,069	Ameren Corp.	1,222,174
34,598	CenterPoint Energy, Inc.	1,042,092
13,969	CMS Energy Corp.	882,701
15,295	Consolidated Edison, Inc.	1,457,766
8,034	DTE Energy Co.	934,917
8,378	WEC Energy Group, Inc.	787,448
		6,327,098
	Oil, Gas & Consumable Fuels – 0.8%
44,322	Kinder Morgan, Inc.	811,092
	Pharmaceuticals – 6.7%
28,737	Bristol-Myers Squibb Co.	2,087,743
14,310	Johnson & Johnson	2,338,540
20,878	Merck & Co., Inc.	2,242,506
		6,668,789
	Professional Services – 1.1%
11,577	Leidos Holdings, Inc.	1,144,271
	Software – 2.2%
5,112	Roper Technologies, Inc.	2,181,546
	Specialty Retail – 3.0%
370	AutoZone, Inc. (a)	902,375
1,468	O’Reilly Automotive, Inc. (a)	1,163,170
11,376	TJX (The) Cos., Inc.	931,239
		2,996,784
	Tobacco – 1.3%
19,637	Altria Group, Inc.	884,450
3,496	Philip Morris International, Inc.	364,423
		1,248,873
	Wireless Telecommunication Services – 0.8%
5,515	T-Mobile US, Inc. (a)	823,445
	Total Common Stocks	96,299,671
	(Cost $92,419,959)
REAL ESTATE INVESTMENT TRUSTS – 3.7%
	Equity Real Estate Investment Trusts – 3.7%
8,284	Camden Property Trust	1,020,672
22,338	Realty Income Corp.	1,515,186

Shares	Description	Value

	Equity Real Estate Investment Trusts (Continued)
33,755	VICI Properties, Inc.	$1,153,746
	Total Real Estate Investment Trusts	3,689,604
	(Cost $3,662,760)
	Total Investments – 99.8%	99,989,275
	(Cost $96,082,719)
	Net Other Assets and Liabilities – 0.2%	234,653
	Net Assets – 100.0%	$100,223,928

(a)	Non-income producing security.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of January 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 1/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$ 96,299,671	$ 96,299,671	$ —	$ —
Real Estate Investment Trusts*	3,689,604	3,689,604	—	—
Total Investments	$ 99,989,275	$ 99,989,275	$—	$—

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 13

Table of Contents

First Trust Horizon Managed Volatility Developed International ETF (HDMV)

Portfolio of Investments

January 31, 2023 (Unaudited)

Shares	Description	Value
COMMON STOCKS (a) – 98.2%
	Australia – 7.7%
67,959	Aurizon Holdings Ltd. (b)	$177,629
28,859	Brambles Ltd. (b)	245,404
33,306	Coles Group Ltd. (b)	418,911
2,300	Commonwealth Bank of Australia (b)	179,543
1,087	CSL Ltd. (b)	229,521
29,806	Endeavour Group Ltd. (b)	139,956
54,739	Insurance Australia Group Ltd. (b)	190,096
10,613	National Australia Bank Ltd. (b)	239,473
107,973	Telstra Corp., Ltd. (b)	312,062
20,506	Treasury Wine Estates Ltd. (b)	211,228
9,745	Washington H Soul Pattinson & Co., Ltd. (b)	198,476
13,379	Westpac Banking Corp. (b)	225,113
13,528	Woolworths Group Ltd. (b)	345,741
		3,113,153
	Belgium – 0.7%
1,725	Groupe Bruxelles Lambert S.A. (b)	147,566
1,868	UCB S.A. (b)	153,371
		300,937
	Bermuda – 0.6%
41,606	CK Infrastructure Holdings Ltd. (b)	231,477
	Cayman Islands – 1.4%
42,675	CK Asset Holdings Ltd. (b)	272,843
45,975	CK Hutchison Holdings Ltd. (b)	292,583
		565,426
	Denmark – 1.0%
1,234	Carlsberg A.S., Class B (b)	175,181
9,951	Tryg A.S. (b)	228,356
		403,537
	France – 7.2%
964	Air Liquide S.A. (b)	153,494
6,544	Bouygues S.A. (b)	215,585
5,897	Bureau Veritas S.A. (b)	168,604
9,507	Carrefour S.A. (b)	180,833
4,018	Edenred (b)	218,858
1,651	Eiffage S.A. (b)	176,344
11,022	Getlink SE (b)	186,424
3,895	La Francaise des Jeux SAEM (b) (c) (d)	166,659
60,365	Orange S.A. (b)	638,828
548	Pernod Ricard S.A. (b)	113,453
1,586	Sanofi (b)	155,308
1,921	Sodexo S.A. (b)	190,434
1,515	Vinci S.A. (b)	171,179
15,678	Vivendi SE (b)	168,378
		2,904,381

Shares	Description	Value

	Germany – 5.3%
714	Allianz SE (b)	$170,727
1,858	Beiersdorf AG (b)	225,891
1,008	Deutsche Boerse AG (b)	180,374
13,789	Deutsche Telekom AG (b)	307,202
13,012	E.ON SE (b)	141,869
930	Hannover Rueck SE (b)	188,854
6,491	Henkel AG & Co., KGaA (b)	433,717
554	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (b)	200,109
1,209	SAP SE (b)	143,315
1,146	Symrise AG (b)	121,831
		2,113,889
	Hong Kong – 7.3%
74,500	BOC Hong Kong Holdings Ltd. (b)	260,369
41,438	CLP Holdings, Ltd. (b)	307,882
15,596	Hang Seng Bank Ltd. (b)	259,724
286,145	Hong Kong & China Gas Co., Ltd. (b)	287,295
147,580	MTR Corp., Ltd. (b)	789,776
119,959	Power Assets Holdings Ltd. (b)	678,748
25,039	Sun Hung Kai Properties Ltd. (b)	355,094
		2,938,888
	Ireland – 0.3%
1,302	Kerry Group PLC, Class A (b)	121,998
	Israel – 0.9%
82,949	Bezeq Israeli Telecommunication Corp., Ltd. (b)	137,464
1,632	Check Point Software Technologies Ltd. (e)	207,591
		345,055
	Italy – 1.6%
5,852	Assicurazioni Generali S.p.A. (b)	114,239
17,491	Infrastrutture Wireless Italiane S.p.A. (b) (c) (d)	191,680
32,253	Snam S.p.A. (b)	164,282
21,938	Terna-Rete Elettrica Nazionale S.p.A. (b)	173,570
		643,771
	Japan – 24.3%
4,400	Aeon Co., Ltd. (b)	90,207
2,600	Ajinomoto Co., Inc. (b)	85,718
6,300	ANA Holdings, Inc. (b) (e)	139,436
16,700	Asahi Kasei Corp. (b)	126,546
7,000	Astellas Pharma, Inc. (b)	103,041
4,500	Canon, Inc. (b)	99,866
1,700	Central Japan Railway Co. (b)	207,357
8,300	Chubu Electric Power Co., Inc. (b)	89,400

Page 14

See Notes to Financial Statements

Table of Contents

First Trust Horizon Managed Volatility Developed International ETF (HDMV)

Portfolio of Investments (Continued)

January 31, 2023 (Unaudited)

Shares	Description	Value
COMMON STOCKS (a) (Continued)
	Japan (Continued)
4,500	Dai Nippon Printing Co., Ltd. (b)	$106,243
800	Daito Trust Construction Co., Ltd. (b)	79,055
7,700	Daiwa House Industry Co., Ltd. (b)	184,916
29,400	Daiwa Securities Group, Inc. (b)	138,741
3,500	East Japan Railway Co. (b)	195,154
26,800	ENEOS Holdings, Inc. (b)	95,949
7,000	Hankyu Hanshin Holdings, Inc. (b)	208,057
15,700	Hulic Co., Ltd. (b)	129,051
12,300	Japan Post Bank Co., Ltd. (b)	109,284
30,100	Japan Post Holdings Co., Ltd. (b)	264,262
8,000	Japan Tobacco, Inc. (b)	163,135
2,000	Kao Corp. (b)	80,844
7,900	KDDI Corp. (b)	246,823
3,100	Keio Corp. (b)	113,784
3,000	Kintetsu Group Holdings Co., Ltd. (b)	97,695
11,300	Kirin Holdings Co., Ltd. (b)	174,130
1,200	Kobayashi Pharmaceutical Co., Ltd. (b)	86,151
2,900	Kyocera Corp. (b)	150,485
19,900	McDonald’s Holdings Co., Japan Ltd. (b)	786,197
4,200	MEIJI Holdings Co., Ltd. (b)	216,605
9,600	Mitsubishi Electric Corp. (b)	105,799
10,100	Mitsubishi Estate Co., Ltd. (b)	129,817
40,500	Mitsubishi HC Capital, Inc. (b)	206,718
4,400	Mitsui Fudosan Co., Ltd. (b)	82,472
10,900	Mizuho Financial Group, Inc. (b)	170,263
6,000	NGK Insulators Ltd. (b)	83,048
1,800	Nintendo Co., Ltd. (b)	78,044
9,900	Nippon Telegraph & Telephone Corp. (b)	296,857
13,200	Nisshin Seifun Group, Inc. (b)	165,336
1,900	Nissin Foods Holdings Co., Ltd. (b)	148,538
60,000	Nomura Holdings, Inc. (b)	239,450
4,100	Nomura Real Estate Holdings, Inc. (b)	90,366
29,400	Obayashi Corp. (b)	228,048
8,400	Odayku Electric Railway Co., Ltd. (b)	110,438
21,900	Oji Holdings Corp. (b)	90,507
4,100	Otsuka Holdings Co., Ltd. (b)	131,530
5,000	SBI Holdings, Inc. (b)	105,997
6,400	SCSK Corp. (b)	104,240
2,800	Secom Co., Ltd. (b)	166,812
8,000	Sekisui Chemical Co., Ltd. (b)	112,066
9,600	Sekisui House Ltd. (b)	181,433
34,900	Shimizu Corp. (b)	195,639
41,900	Softbank Corp. (b)	479,424

Shares	Description	Value

	Japan (Continued)
27,800	Sumitomo Chemical Co., Ltd. (b)	$106,714
1,900	Sumitomo Mitsui Financial Group, Inc. (b)	82,576
4,000	Taisei Corp. (b)	138,088
6,900	Takeda Pharmaceutical Co., Ltd. (b)	216,918
8,600	Tobu Railway Co., Ltd. (b)	201,783
15,400	Tokyu Corp. (b)	198,035
5,700	Toppan, Inc. (b)	91,839
7,600	Tosoh Corp. (b)	99,434
3,200	West Japan Railway Co. (b)	134,011
1,900	Yakult Honsha Co., Ltd. (b)	135,637
4,900	Yamato Holdings Co., Ltd. (b)	85,735
		9,761,744
	Netherlands – 3.7%
1,865	Heineken Holding N.V. (b)	153,985
2,114	Heineken N.V. (b)	211,271
6,946	Koninklijke Ahold Delhaize N.V. (b)	207,317
162,308	Koninklijke KPN N.V. (b)	554,906
4,083	QIAGEN N.V. (b) (e)	199,182
1,562	Wolters Kluwer N.V. (b)	170,294
		1,496,955
	New Zealand – 0.8%
94,612	Spark New Zealand Ltd. (b)	319,007
	Norway – 1.3%
8,429	Gjensidige Forsikring ASA (b)	151,498
26,828	Orkla ASA (b)	200,290
15,221	Telenor ASA (b)	159,343
		511,131
	Singapore – 16.0%
37,300	City Developments Ltd. (b)	236,737
19,500	DBS Group Holdings Ltd. (b)	533,837
85,500	Keppel Corp., Ltd. (b)	493,648
80,800	Oversea-Chinese Banking Corp., Ltd. (b)	798,333
178,500	Singapore Airlines Ltd. (b)	807,153
109,500	Singapore Exchange Ltd. (b)	771,266
273,200	Singapore Technologies Engineering Ltd. (b)	768,113
181,700	Singapore Telecommunications Ltd. (b)	347,985
23,600	United Overseas Bank Ltd. (b)	536,443
80,400	UOL Group Ltd. (b)	428,980
34,900	Venture Corp., Ltd. (b)	492,835
69,000	Wilmar International Ltd. (b)	214,523
		6,429,853

See Notes to Financial Statements

Page 15

Table of Contents

First Trust Horizon Managed Volatility Developed International ETF (HDMV)

Portfolio of Investments (Continued)

January 31, 2023 (Unaudited)

Shares	Description	Value
COMMON STOCKS (a) (Continued)
	Spain – 2.3%
6,044	ACS Actividades de Construccion y Servicios S.A. (b)	$178,865
8,908	Enagas S.A. (b)	159,732
17,403	Iberdrola S.A. (b)	204,168
9,956	Red Electrica Corp. S.A. (b)	176,210
55,118	Telefonica S.A. (b)	209,394
		928,369
	Sweden – 1.2%
4,496	Essity AB, Class B (b)	117,454
12,984	Svenska Handelsbanken AB, Class A (b)	135,397
13,408	Tele2 AB, Class B (b)	115,799
45,349	Telia Co., AB (b)	117,120
		485,770
	Switzerland – 8.9%
1,939	Baloise Holding AG (b)	318,913
3,069	Banque Cantonale Vaudoise (b)	291,730
3,768	Nestle S.A. (b)	459,730
6,467	Novartis AG (b)	584,675
790	Roche Holding AG (b)	246,615
674	Roche Holding AG (b)	246,712
3,075	Swiss Prime Site AG (b)	274,008
1,832	Swiss Re AG (b)	191,831
1,003	Swisscom AG (b)	592,628
771	Zurich Insurance Group AG (b)	381,282
		3,588,124
	United Kingdom – 5.7%
5,115	Bunzl PLC (b)	187,778
3,024	Coca-Cola Europacific Partners PLC	170,009
14,573	Compass Group PLC (b)	348,120
9,491	GSK PLC (b)	166,710
1,662	Intertek Group PLC (b)	89,328
14,423	National Grid PLC (b)	183,358
2,954	Reckitt Benckiser Group PLC (b)	210,505
6,255	RELX PLC (b)	185,829
7,374	Smiths Group PLC (b)	157,413
49,800	Tesco PLC (b)	151,361
6,394	Unilever PLC (b)	325,449
107,304	Vodafone Group PLC (b)	123,809
		2,299,669
	Total Common Stocks	39,503,134
	(Cost $39,355,381)
REAL ESTATE INVESTMENT TRUSTS (a) – 1.2%
	Singapore – 1.2%
139,200	CapitaLand Ascendas REIT (b)	306,328

Shares	Description	Value

	Singapore (Continued)
100,700	CapitaLand Integrated Commercial Trust (b)	$164,758
	Total Real Estate Investment Trusts	471,086
	(Cost $453,867)
	Total Investments – 99.4%	39,974,220
	(Cost $39,809,248)
	Net Other Assets and Liabilities – 0.6%	252,484
	Net Assets – 100.0%	$40,226,704

(a)	Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b)	This security 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 January 31, 2023, securities noted as such are valued at $39,596,620 or 98.4% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded.
(c)	This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(d)	This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(e)	Non-income producing security.

Page 16

See Notes to Financial Statements

Table of Contents

First Trust Horizon Managed Volatility Developed International ETF (HDMV)

Portfolio of Investments (Continued)

January 31, 2023 (Unaudited)

Currency Exposure Diversification	% of Total Investments
Japanese Yen	24.4%
Euro	21.3
Singapore Dollar	17.3
Hong Kong Dollar	9.4
Swiss Franc	9.0
Australian Dollar	7.8
British Pound Sterling	5.3
Norwegian Krone	1.3
Swedish Krona	1.2
Danish Krone	1.0
United States Dollar	0.9
New Zealand Dollar	0.8
Israeli Shekel	0.3
Total	100.0%

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of January 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 1/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks:
Israel	$ 345,055	$ 207,591	$ 137,464	$ —
United Kingdom	2,299,669	170,009	2,129,660	—
Other Country Categories*	36,858,410	—	36,858,410	—
Real Estate Investment Trusts*	471,086	—	471,086	—
Total Investments	$ 39,974,220	$ 377,600	$ 39,596,620	$—

*	See Portfolio of Investments for country breakout.

See Notes to Financial Statements

Page 17

Table of Contents

First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)

Portfolio of Investments

January 31, 2023 (Unaudited)

Shares	Description	Value
COMMON STOCKS – 83.1%
	Aerospace & Defense – 0.6%
1,081	Woodward, Inc.	$110,543
	Auto Components – 0.5%
3,602	Gentex Corp.	106,295
	Banks – 12.7%
3,788	Associated Banc-Corp.	84,889
1,255	Bank of Hawaii Corp.	95,995
1,641	Bank OZK	74,944
1,608	Banner Corp.	104,247
2,361	Cathay General Bancorp	103,789
1,475	Commerce Bancshares, Inc.	98,176
1,580	Community Bank System, Inc.	91,182
813	Cullen/Frost Bankers, Inc.	105,918
4,099	CVB Financial Corp.	99,278
2,914	First Financial Bankshares, Inc.	103,797
7,656	FNB Corp.	109,251
6,036	Fulton Financial Corp.	100,982
1,891	Glacier Bancorp, Inc.	86,211
1,263	Independent Bank Corp.	100,648
2,244	International Bancshares Corp.	105,176
5,533	Old National Bancorp	96,827
1,373	Prosperity Bancshares, Inc.	104,156
1,072	ServisFirst Bancshares, Inc.	73,089
4,931	Simmons First National Corp., Class A	110,011
2,902	Trustmark Corp.	84,506
1,040	UMB Financial Corp.	93,798
2,513	United Bankshares, Inc.	101,023
3,118	United Community Banks, Inc.	101,460
6,283	Valley National Bancorp	74,642
2,936	Washington Federal, Inc.	104,110
1,769	Westamerica BanCorp	98,286
		2,506,391
	Biotechnology – 0.5%
384	United Therapeutics Corp. (a)	101,057
	Building Products – 1.1%
444	Carlisle Cos., Inc.	111,382
379	Lennox International, Inc.	98,775
		210,157
	Capital Markets – 1.7%
244	Affiliated Managers Group, Inc.	42,149
334	Evercore, Inc., Class A	43,357
1,551	Janus Henderson Group PLC	40,202
1,141	Jefferies Financial Group, Inc.	44,818
1,652	SEI Investments Co.	103,134
875	Stifel Financial Corp.	58,984
		332,644
	Chemicals – 2.1%
917	Ashland, Inc.	100,201
816	Balchem Corp.	106,594
292	NewMarket Corp.	100,597

Shares	Description	Value

	Chemicals (Continued)
1,145	RPM International, Inc.	$102,947
		410,339
	Commercial Services & Supplies – 2.6%
2,229	ABM Industries, Inc.	104,562
842	Clean Harbors, Inc. (a)	109,713
1,932	Stericycle, Inc. (a)	103,961
652	Tetra Tech, Inc.	101,399
509	UniFirst Corp.	101,006
		520,641
	Communications Equipment – 0.4%
7,173	Viavi Solutions, Inc. (a)	81,055
	Construction & Engineering – 1.6%
1,221	AECOM	106,557
685	EMCOR Group, Inc.	101,551
3,329	MDU Resources Group, Inc.	102,899
		311,007
	Construction Materials – 0.5%
707	Eagle Materials, Inc.	103,279
	Consumer Finance – 0.2%
2,429	SLM Corp.	42,678
	Containers & Packaging – 1.6%
892	AptarGroup, Inc.	103,151
1,944	Silgan Holdings, Inc.	104,762
1,701	Sonoco Products Co.	103,948
		311,861
	Diversified Consumer Services – 1.6%
890	Grand Canyon Education, Inc. (a)	103,738
2,909	H&R Block, Inc.	113,393
1,431	Service Corp. International	106,109
		323,240
	Electric Utilities – 3.0%
1,545	ALLETE, Inc.	95,574
2,413	Hawaiian Electric Industries, Inc.	101,997
943	IDACORP, Inc.	99,779
2,525	OGE Energy Corp.	99,283
2,069	PNM Resources, Inc.	102,374
2,043	Portland General Electric Co.	97,206
		596,213
	Electrical Equipment – 1.5%
429	Hubbell, Inc.	98,202
2,588	nVent Electric PLC	102,873

Page 18

See Notes to Financial Statements

Table of Contents

First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)

Portfolio of Investments (Continued)

January 31, 2023 (Unaudited)

Shares	Description	Value
COMMON STOCKS (Continued)
	Electrical Equipment (Continued)
648	Regal Rexnord Corp.	$90,202
		291,277
	Electronic Equipment, Instruments & Components – 4.2%
907	Arrow Electronics, Inc. (a)	106,563
2,324	Avnet, Inc.	106,625
928	Insight Enterprises, Inc. (a)	104,604
1,349	Jabil, Inc.	106,072
5,755	Knowles Corp. (a)	110,669
409	Littelfuse, Inc.	104,986
924	Plexus Corp. (a)	88,695
924	TD SYNNEX Corp.	94,387
		822,601
	Entertainment – 0.5%
1,169	World Wrestling Entertainment, Inc., Class A	98,921
	Food & Staples Retailing – 1.4%
461	Casey’s General Stores, Inc.	108,754
3,023	Grocery Outlet Holding Corp. (a)	91,869
2,527	Sprouts Farmers Market, Inc. (a)	80,738
		281,361
	Food Products – 3.1%
1,700	Cal-Maine Foods, Inc.	97,274
3,640	Flowers Foods, Inc.	100,791
4,574	Hostess Brands, Inc. (a)	105,797
1,023	Ingredion, Inc.	105,164
512	Lancaster Colony Corp.	98,258
1,083	Post Holdings, Inc. (a)	102,831
		610,115
	Gas Utilities – 3.1%
1,658	National Fuel Gas Co.	96,263
1,993	New Jersey Resources Corp.	99,491
2,090	Northwest Natural Holding Co.	104,793
1,104	ONE Gas, Inc.	90,925
1,399	Spire, Inc.	101,036
2,714	UGI Corp.	108,099
		600,607
	Health Care Equipment & Supplies – 2.2%
1,576	Enovis Corp. (a)	99,209
3,193	Envista Holdings Corp. (a)	124,495
1,389	Globus Medical, Inc., Class A (a)	104,869
1,772	Integra LifeSciences Holdings Corp. (a)	101,536
		430,109

Shares	Description	Value

	Health Care Providers & Services – 2.1%
1,233	Acadia Healthcare Co., Inc. (a)	$103,597
205	Chemed Corp.	103,554
1,688	Encompass Health Corp.	105,415
3,544	Patterson Cos., Inc.	106,993
		419,559
	Health Care Technology – 0.4%
4,876	Allscripts Healthcare Solutions, Inc. (a)	87,329
	Hotels, Restaurants & Leisure – 2.2%
867	Choice Hotels International, Inc.	106,545
938	Cracker Barrel Old Country Store, Inc.	104,662
1,188	Papa John’s International, Inc.	106,552
1,415	Wyndham Hotels & Resorts, Inc.	109,677
		427,436
	Household Products – 0.5%
2,895	Energizer Holdings, Inc.	107,405
	Insurance – 4.4%
723	American Financial Group, Inc.	103,093
1,010	First American Financial Corp.	62,489
754	Hanover Insurance Group (The), Inc.	101,473
759	Kemper Corp.	44,576
146	Kinsale Capital Group, Inc.	40,652
1,196	Mercury General Corp.	42,733
4,167	Old Republic International Corp.	109,967
641	Reinsurance Group of America, Inc.	97,285
274	RenaissanceRe Holdings Ltd.	53,619
745	RLI Corp.	98,675
1,107	Selective Insurance Group, Inc.	105,165

Shareholder Letter	2
Fund Performance Overview
First Trust Horizon Managed Volatility Domestic ETF (HUSV)	3
First Trust Horizon Managed Volatility Developed International ETF (HDMV)	5
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)	7
Notes to Fund Performance Overview	9
Portfolio Management	10
Understanding Your Fund Expenses	11
Portfolio of Investments
First Trust Horizon Managed Volatility Domestic ETF (HUSV)	12
First Trust Horizon Managed Volatility Developed International ETF (HDMV)	14
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)	18
Statements of Assets and Liabilities	22
Statements of Operations	23
Statements of Changes in Net Assets	24
Financial Highlights	26
Notes to Financial Statements	29
Additional Information	36