FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- First Trust Income Opportunities ETF (FCEF) (formerly known as First Trust CEF Income Opportunity ETF) First Trust Flexible Municipal High Income ETF (MFLX) (formerly known as First Trust Municipal CEF Income Opportunity ETF (MCEF)) 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) ---------------------------- Annual Report For the Year Ended August 31, 2022 ---------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 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 Commentary......................................................... 16 Understanding Your Fund Expenses............................................. 25 Portfolio of Investments First Trust Income Opportunities ETF (FCEF)............................... 26 First Trust Flexible Municipal High Income ETF (MFLX)..................... 28 First Trust Low Duration Strategic Focus ETF (LDSF)....................... 31 First Trust Active Factor Large Cap ETF (AFLG)............................ 32 First Trust Active Factor Mid Cap ETF (AFMC).............................. 36 First Trust Active Factor Small Cap ETF (AFSM)............................ 41 Statements of Assets and Liabilities......................................... 46 Statements of Operations..................................................... 48 Statements of Changes in Net Assets.......................................... 50 Financial Highlights......................................................... 53 Notes to Financial Statements................................................ 56 Report of Independent Registered Public Accounting Firm...................... 65 Additional Information....................................................... 67 Board of Trustees and Officers............................................... 78 Privacy Policy............................................................... 80 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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. By reading the portfolio commentary from the portfolio management team of the Funds, you may obtain an understanding of how the market environment affected each Fund's performance. The statistical information that follows may help you understand each Fund's performance compared to that of 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 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL LETTER FROM THE CHAIRMAN AND CEO AUGUST 31, 2022 Dear Shareholders: First Trust is pleased to provide you with the annual report for certain series of the First Trust Exchange-Traded Fund VIII (the "Funds"), which contains detailed information about the Funds for the twelve months ended August 31, 2022. At their most recent meeting (September 20-21, 2022), the Federal Open Market Committee announced a 75 basis point interest rate hike, the third rate hike in as many meetings. Overall, the Federal Reserve (the "Fed") has raised its benchmark Federal Funds target rate (upper bound) from 0.25% this past March to 3.25% as of September 30, 2022, the fastest pace for rate hikes since 1994. The Fed is hiking interest rates aggressively to combat the surge in inflation that commenced in the second quarter of 2021. Perhaps the most common measure of inflation is the Consumer Price Index ("CPI"). The CPI has averaged 3.0% per year since 1926 but stood at an eye-popping 8.3% on a trailing 12-month basis in August 2022. Its recent high point was 9.1% in June 2022. For borrowers, these rate hikes will raise the cost of capital, making it tougher to secure loans for consumers and businesses. The goal is to raise interest rates high enough to cool some of the demand for goods and services so that inflation can begin to moderate. The Fed would eventually like to see the CPI back near the 2.0% level. It will take some time to play out. Guidance from Fed Chairman Jerome Powell indicates that more rate hikes are coming, perhaps as much as another 100 basis points by year-end. We'll see. One of the areas that has yet to cool off is the housing market, in my opinion. We have seen a substantial selloff this year in the stock and bond markets, but not housing. Prices appreciated markedly across the U.S. during the coronavirus ("COVID-19") pandemic. Demand was high and inventories were uncharacteristically low. Simply put, housing affordability has become a huge challenge for many prospective buyers. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which tracks the value of single-family homes, soared 45.2% from the end of 2019 through June 2022. Keep in mind, historically, home prices tend to rise with inflation over time. They are not supposed to increase 45% over 30 months. The rapid increase in short-term lending rates has caused the rate on a 30-year fixed-rate mortgage to nearly double from 3.27% at the end of 2021 to 6.43% as of September 21, 2022, according to Bankrate. The sharp rise in mortgage rates is just beginning to have a slight effect on demand. Redfin reported that close to 63,000 deals on existing homes fell through in July 2022, or around 16% of homes under contract that month, according to CNBC. Fed Chairman Powell is trying to engineer a soft landing for the economy via monetary policy. In other words, the Fed is trying to avoid a deep and lengthy recession. That is why the relative resilience of the real estate markets, both residential and commercial, is so critical at this juncture. One other plus going for the U.S. economy today is the strong labor market. As of this report, companies are still hiring. If these sources of strength eventually succumb to the economic headwinds and turn weaker, the odds of achieving a soft landing drop dramatically, in my opinion. For those investors who like to follow the news closely, in addition to monitoring the state of the economy, keep an eye on the war between Russia and Ukraine as well as the COVID-19-induced lockdowns of cities in China. Any good news on those two fronts could be a net positive for the markets moving forward. As I previously noted, it is going to take some time to remedy this situation. As always, we encourage investors to be diversified and stay the course. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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." ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended 5 Years Ended Inception (9/27/16) 5 Years Ended Inception (9/27/16) 8/31/22 8/31/22 to 8/31/22 8/31/22 to 8/31/22 FUND PERFORMANCE NAV -14.62% 4.59% 6.11% 25.18% 42.07% Market Price -14.39% 4.56% 6.11% 24.95% 42.06% INDEX PERFORMANCE Russell 3000(R) Index -13.28% 11.29% 12.28% 70.69% 98.63% Blended Benchmark (1) -14.38% 3.90% 5.38% 21.10% 36.44% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 15.) ----------------------------- (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 Index 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 Index for each period shown above. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF) (CONTINUED) ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Eaton Vance Tax-Advantaged Global Dividend Income Fund 4.6% Cohen & Steers REIT and Preferred and Income Fund, Inc. 4.5 Eaton Vance Tax-Advantaged Dividend Income Fund 4.3 Tekla Healthcare Investors 3.6 John Hancock Tax-Advantaged Dividend Income Fund 3.6 Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund 3.5 Tekla Healthcare Opportunities Fund 3.5 Ares Dynamic Credit Allocation Fund, Inc. 3.5 Gabelli Dividend & Income Trust (The) 3.3 Source Capital, Inc. 3.2 -------- Total 37.6% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM WORLD REGIONS INVESTMENTS ---------------------------------------------------------- North America 81.6% Europe 12.9 Asia 5.5 -------- Total 100.0% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM MARKET CAPITALIZATION INVESTMENTS ---------------------------------------------------------- Mega 24.3% Large 38.4 Mid 27.0 Small 7.2 Micro 3.1 -------- Total 100.0% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM CREDIT QUALITY (2) INVESTMENTS ---------------------------------------------------------- AAA 5.1% AA 0.1 A 0.7 BBB 16.5 BB 27.3 B 33.3 CCC-D 9.7 NR 7.3 -------- Total 100.0% ======== PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 27, 2016 - AUGUST 31, 2022 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 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. (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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 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." ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended 5 Years Ended Inception (9/27/16) 5 Years Ended Inception (9/27/16) 8/31/22 8/31/22 to 8/31/22 8/31/22 to 8/31/22 FUND PERFORMANCE NAV -18.91% 0.87% 0.60% 4.44% 3.60% Market Price -19.16% 0.78% 0.54% 3.96% 3.22% INDEX PERFORMANCE Bloomberg Municipal Long Bond (22+) Index (1) -14.09% 1.02% 1.03% 5.18% 6.29% Blended Benchmark (2) -9.35% 2.41% 2.30% 12.64% 14.45% Bloomberg Municipal Bond Index -8.63% 1.28% 1.29% 6.55% 7.91% First Trust Municipal Closed-End Fund Index (3) -20.78% 0.99% 0.80% 5.05% 4.82% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 15.) ----------------------------- (1) The Bloomberg Municipal Long Bond (22+) Index will serve 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX) (CONTINUED) ---------------------------------------------------------- % OF FUND ALLOCATION NET ASSETS ---------------------------------------------------------- Municipal Bonds 90.2% Closed-End Funds 6.2 Net Other Assets and Liabilities 3.6 -------- Total 100.0% ======== ---------------------------------------------------------- % OF TOTAL INVESTMENTS CREDIT QUALITY (4) (INCLUDING CASH) ---------------------------------------------------------- AAA 0.4% AA 20.0 A 27.9 BBB 16.4 BB 6.3 B 3.2 CCC-D 0.0* NR 24.8 Cash 1.0 -------- Total 100.0% ======== *Amount is less than 0.1%. PERFORMANCE OF A $10,000 INITIAL INVESTMENT SEPTEMBER 27, 2016 - AUGUST 31, 2022 First Trust Flexible Bloomberg Municipal Bloomberg First Trust Municipal Municipal High Long Bond (22+) Blended Municipal Closed-End Fund Income ETF Index Benchmark Bond Index 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 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. (4) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 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." ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Ended Inception (1/3/19) Inception (1/3/19) 8/31/22 to 8/31/22 to 8/31/22 FUND PERFORMANCE NAV -4.98% 0.81% 2.99% Market Price -4.99% 0.79% 2.93% INDEX PERFORMANCE Blended Benchmark(1) -6.72% 1.47% 5.48% Bloomberg 1-5 Year Government/Credit Index -5.85% 0.87% 3.21% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 15.) ----------------------------- (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 Index 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 Index for each period shown above. Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) (CONTINUED) ---------------------------------------------------------- % OF FUND ALLOCATION NET ASSETS ---------------------------------------------------------- Municipal Bonds 90.2% Closed-End Funds 6.2 Net Other Assets and Liabilities 3.6 -------- Total 100.0% ======== ---------------------------------------------------------- % OF TOTAL INVESTMENTS CREDIT QUALITY (4) (INCLUDING CASH) ---------------------------------------------------------- AAA 0.4% AA 20.0 A 27.9 BBB 16.4 BB 6.3 B 3.2 CCC-D 0.0* NR 24.8 Cash 1.0 -------- Total 100.0% ======== *Amount is less than 0.1%. PERFORMANCE OF A $10,000 INITIAL INVESTMENT JANUARY 3, 2019 - AUGUST 31, 2022 First Trust Low Duration Strategic Blended Bloomberg 1-5 Year 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 10,548 10,321 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 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 "non-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." ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS Inception Inception 1 Year Ended (12/3/19) (12/3/19) 8/31/22 to 8/31/22 to 8/31/22 FUND PERFORMANCE NAV -11.18% 7.51% 21.98% Market Price -11.22% 7.47% 21.88% INDEX PERFORMANCE S&P 500(R) Index -11.23% 11.16% 33.67% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 15.) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Information Technology 25.6% Health Care 13.7 Financials 10.9 Industrials 10.1 Consumer Discretionary 9.5 Communication Services 6.3 Consumer Staples 5.4 Energy 5.1 Utilities 4.8 Materials 4.7 Real Estate 3.9 -------- Total 100.0% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Apple, Inc. 6.7% Microsoft Corp. 3.8 Alphabet, Inc., Class A 3.0 Berkshire Hathaway, Inc., Class B 2.3 Exxon Mobil Corp. 1.8 Pfizer, Inc. 1.4 Amazon.com, Inc. 1.4 Chevron Corp. 1.3 NVR, Inc. 1.1 General Dynamics Corp. 1.1 -------- Total 23.9% ======== 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 - AUGUST 31, 2022 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 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 "non-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 Inception Inception 1 Year Ended (12/3/19) (12/3/19) 8/31/22 to 8/31/22 to 8/31/22 FUND PERFORMANCE NAV -14.04% 5.19% 14.91% Market Price -14.01% 5.19% 14.91% INDEX PERFORMANCE S&P MidCap 400(R) Index -10.37% 9.31% 27.64% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 15.) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Industrials 19.0% Information Technology 13.6 Financials 13.2 Consumer Discretionary 12.3 Health Care 11.6 Materials 7.4 Real Estate 7.2 Consumer Staples 4.4 Energy 4.4 Utilities 4.4 Communication Services 2.5 -------- Total 100.0% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Steel Dynamics, Inc. 1.8% Reliance Steel & Aluminum Co. 1.5 Builders FirstSource, Inc. 1.4 AutoNation, Inc. 1.3 Molina Healthcare, Inc. 1.3 United Therapeutics Corp. 1.3 Dick's Sporting Goods, Inc. 1.2 Omega Healthcare Investors, Inc. 1.1 Carlisle Cos., Inc. 1.0 UGI Corp. 1.0 -------- Total 12.9% ======== 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 - AUGUST 31, 2022 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 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 "non-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 Inception Inception 1 Year Ended (12/3/19) (12/3/19) 8/31/22 to 8/31/22 to 8/31/22 FUND PERFORMANCE NAV -13.52% 5.85% 16.90% Market Price -13.46% 5.84% 16.85% INDEX PERFORMANCE Russell 2000(R) Index -17.88% 6.54% 18.98% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 15.) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Health Care 18.6% Industrials 14.6 Financials 14.2 Information Technology 13.8 Consumer Discretionary 11.2 Energy 6.9 Consumer Staples 6.0 Real Estate 5.6 Materials 4.6 Utilities 2.7 Communication Services 1.8 -------- Total 100.0% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- Weis Markets, Inc. 1.2% Lantheus Holdings, Inc. 1.0 Mueller Industries, Inc. 1.0 Amphastar Pharmaceuticals, Inc. 1.0 Otter Tail Corp. 0.9 SpartanNash Co. 0.9 Ingles Markets, Inc., Class A 0.9 Encore Wire Corp. 0.9 Boise Cascade Co. 0.9 Louisiana-Pacific Corp. 0.9 -------- Total 9.6% ======== 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 - AUGUST 31, 2022 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 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 COMMENTARY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (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. COMMENTARY MARKET RECAP Equity and taxable fixed income closed-end funds, while initially enjoying strong returns during the first few months of the 12-month period ended August 31, 2022, turned lower on rising geo-political and economic risks. The Russian invasion of Ukraine in February 2022, along with soaring inflation, caused investors to rethink their investment outlook. Beginning in March 2022, the Federal Open Market Committee ("FOMC") moved quickly, in an effort to fight inflation, by beginning to raise short-term interest rates. Over the next four FOMC meetings, they raised rates four times by a total of 225 basis points ("bps") through the end of the 12-month period ended August 31, 2022. The action by the Fed to fight inflation, along with other news, caused early gains by closed-end funds to be quickly erased. Both share prices and underlying net asset values were hit as investor confidence was shaken but the selloff in share price would outpace that of net asset value thus causing overall discounts to net asset value for the funds to widen. Discounts to net asset value ("NAV") overall widened over 12-month period ended August 31, 2022. The Fund did experience a slight narrowing of discounts in the equity-focused holding, to -5.01% on average from -5.23% (as of August 31, 2021). Taxable Fixed Income closed-end funds in the portfolio saw the average premium to NAV they held at the end of the last fiscal year move to an average discount of -3.97% by the end of fiscal year 2022. The Fund's overall discount expanded during the same period from -3.94% to -5.36%. PERFORMANCE ANALYSIS On a NAV basis for the 12-month period ended August 31, 2022, the Fund provided a total return of -14.62%. The Fund's Blended Benchmark (the "Blended Benchmark") consists of 60% of the First Trust Equity Closed-End Fund Total Return Index and 40% of the First Trust Taxable Fixed Income Closed-End Fund Total Return Index and provided a total return of -14.38% over the same period. The Fund's broad based benchmark, the Russell 3000(R) Index, returned -13.28% during the same period. The Fund's NAV total return for the same period underperformed the total return of both the Blended Benchmark and the Russell 3000(R) Index by 24 bps and 134 bps, respectively. The Fund's share price return of -14.39% underperformed the total return of both the Blended Benchmark and the Russell 3000(R) Index by 1 basis point and 111 bps, respectively, for the same period. The primary factor resulting in the slight underperformance relative to the Blended Benchmark was the security selection within the equity closed-end fund space. As the market turned, the Fund's overweight position in growth sectors, namely the Information Technology and Health Care sectors, were a drag on absolute performance as well as performance versus the Blended Benchmark. During the 12-month period ended August 31, 2022, the Fund continued to make a conscious effort to pay out more of the distributions received from the underlying holdings and was able to raise the distribution three times during the same period (+11.90%). MARKET AND FUND OUTLOOK In the short-term, we believe the closed-end fund market is going to be hard pressed to find a sense of direction based on three outstanding issues. First, it appears the FOMC will continue to aggressively raise interest rates until they are able to tamp inflation down to more manageable levels. Next, the slowing of the economy brought about by the raising of interest rates may ultimately push the economy into a recession; the duration and severity of which are still up for debate. And finally, the health of the global supply chain is still an issue. The question remains when will shortages begin to dissipate? Page 16 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (UNAUDITED) We believe that until we get more clarity regarding these three issues, the closed-end fund markets, like markets in general, will struggle with direction. We will continue to experience periods of weakness as well as periods of strength. We believe the key is to take advantage of the down days and put money to work, albeit slowly, consistent with a long-term investment outlook. While these periods of malaise can be trying for many retail investors as share prices fall and discounts widen, we believe the closed-end fund strategy does produce an attractive level of income which may hold many investors over until better days become more common, in our opinion. We expect the Fund to carry a larger allocation to cash and short-term investments in the months ahead. While this may not be a good long-term strategy, we believe for the short term it may afford more dry powder to take advantage of investment opportunities. During these uncertain times, it is important to stay active in managing closed-end fund exposure. Page 17 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (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 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. COMMENTARY The First Trust Flexible Municipal High Income ETF is an actively managed exchange-traded fund ("ETF"). The Fund's investment objective is to seek 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. On April 12, 2022, First Trust Advisors L.P. announced that the shareholders of First Trust Municipal CEF Income Opportunity ETF (Nasdaq: MCEF) ("MCEF"), a series of First Trust Exchange-Traded Fund VIII (the "Trust"), voted at a shareholder meeting to approve certain changes to MCEF's principal investment strategies. MCEF converted from its then current fund-of-funds investment strategy to one that seeks to provide the same investment objective of current income by investing directly in municipal debt securities. The Fund has the ability to invest up to 10% of its net assets in closed-end investment companies that invest primarily in municipal debt securities. Furthermore, MCEF was renamed "First Trust Flexible Municipal High Income ETF" and MCEF's ticker symbol was changed to "MFLX." The portfolio management team began to purchase individual municipal bonds on April 14, 2022 and completed the initial transition into a predominantly individual municipal bond portfolio on May 20, 2022. MARKET RECAP For the 12-month period ended August 31, 2022, municipal bonds generated a total return of -8.63% as measured by the Bloomberg Municipal Bond Index. During the same period, the Bloomberg Municipal Long Bond (22+) Index (the "Benchmark") produced a total return of -14.09%. By comparison, the Bloomberg U.S. Treasury Index generated a total return of -10.81% during the same period. The following were major factors in explaining the municipal bond market's performance: o Over the past year, U.S. Treasury rates increased all along the yield curve and municipal interest rates followed U.S. Treasury yields higher. During the 12-month period ended August 31, 2022, 10-Year and 30-Year U.S. Treasury yields increased by approximately 191 basis points ("bps") and 138 bps, respectively. o Large industry-wide mutual fund and exchange-traded fund ("ETF") outflows resulted in funds selling municipal bonds to meet redemptions, which put additional pressure on municipal bond prices. For the 12-month period ended August 31, 2022, municipal fund outflows totaled approximately $86.7 billion. Page 18 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (UNAUDITED) o According to data from Municipal Market Analytics, Inc., the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through August 31, 2022, the number and par value of municipal bond defaults totaled 31 and $2.67 billion, respectively, compared with 48 defaults and $2.38 billion for the same period a year ago. o New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. Through August 31, 2022, year-to-date issuance was $273.7 billion, down approximately 14% compared to the same period a year ago. o As a result of these factors, municipal bond yields rose, credit spreads widened, and municipal bond prices declined. PERFORMANCE ANALYSIS The Fund's net asset value ("NAV") and market performance for the 12-month period ended August 31, 2022, was -18.91% and -19.16%, respectively, compared with the Benchmark's return of -14.09%, the Bloomberg Municipal Bond Index total return of -8.63%, the Blended Benchmark total return of -9.35%, and the First Trust Municipal Closed-End Fund Index of -20.78%. As of August 31, 2022, the Fund's market price of $16.67 represented a discount of 0.71% to its NAV of $16.79. The market value of the Fund's shares fluctuates from time to time and may be higher or lower than the Fund's NAV. The distribution paid on August 31, 2022, of $0.054, represents a tax-exempt annualized distribution rate of 3.89% based on the Fund's closing market price of $16.67 on August 31, 2022. The Fund's distribution rate is not constant and is subject to change over time based on the performance of the Fund. As noted above, since the Fund converted from investing primarily in municipal closed-end funds ("municipal CEFs") to a fund investing in individual municipal bonds and an opportunistic sleeve of up to 10% municipal CEFs on April 14, 2022, the performance discussion below will focus on performance since the transition. From April 14, 2022, to August 31, 2022, relative to the Benchmark, the Fund's underweight allocation to bonds with an average maturity of 18+ years was a positive contributor to Fund performance. The Fund's underweight allocation to bonds with an effective duration of 10+ years was also a positive contributor to Fund performance. During the reporting period from April 14, 2022 to August 31, 2022, in regard to the Fund's maturity allocation and duration apportionments, there were no negative contributors to the Fund's performance. Regarding credit rating allocation, the Fund's selection of bonds in the AA, A, and BBB credit rating categories were all positive contributors to Fund performance relative to the Benchmark. In addition, to a smaller degree, the Fund's allocation and selection to BB and non-rated bonds was a positive contributor to Fund performance relative to the Benchmark. No credit rating categories were a negative contributor to Fund performance relative to the Benchmark. MARKET OUTLOOK According to Fed Funds Futures (Bloomberg WIRP function), as of August 31, 2022, approximately 6.4 interest rate hikes are expected from September 21, 2022, through March 22, 2023. During the remainder of 2022 and first quarter of 2023, we expect longer U.S. Treasury rates to become range-bound, in our opinion. For example, regarding the 10-Year U.S. Treasury, we expect the bond to trade within a range of 3.25%-3.75% and would not be surprised if the yield curve inverts more significantly, whereby 2-year yields are significantly higher than 10-year yields. We believe the Federal Reserve will raise rates by 75 bps at the September 21 meeting, and another 50 bps at both the November and December 2022 meetings. If these rate increases occur, the Federal Funds rate will end the year at approximately 4.00%-4.25%. Thus, we believe short term U.S. Treasury rates will be significantly higher than 10-Year Treasury rates by year-end. Regarding municipal bonds, rates have also increased dramatically during the first eight months of 2022. As of August 31, 2022, AAA 5-Year, 10-Year, and 30-Year municipal rates have increased by approximately 173 bps, 156 bps, and 180 bps, to 2.32%, 2.59% and 3.29%, respectively. During the remainder of 2022, we believe municipal rates will become range-bound, or even rally, if two key events occur: (1) U.S. Treasury rates do in fact stabilize within a reasonably tight range; and (2) mutual fund/ETF outflows moderate. We believe that municipal rates and taxable equivalent yields are now attractive for high wage earners. If we see rates stabilize, we believe retail investors will begin purchasing municipal bonds more aggressively and fund outflows will moderate. For the fourth quarter of 2022 and first half of 2023, in our opinion, we do expect the municipal market to produce positive total returns, as we expect interest rates to become broadly stable or range-bound, and the additional coupon income generated from higher interest rates and coupon payments to offset any relatively small declines in municipal bond prices. We especially like "A" rated municipal bonds in certain sectors which have seen distinct credit spread widening, including hospitals, airports and gas bonds. Page 19 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (UNAUDITED) Credit quality remains healthy in the municipal bond market. Defaults and credit rating downgrades remain favorable. Therefore, credits spreads widening or narrowing should be, in our opinion, primarily driven by the direction of U.S. Treasury rates and municipal mutual fund/ETF fund flows. However, given an expected slowdown in the U.S. economy, we anticipate focusing on municipal credits with leading market positions, growing utilization statistics, and healthy balance sheets. Within the high yield municipal universe, we plan to focus on higher credit quality securities and reduce exposure to lower rated high yield borrowers. With this in mind, we continue to practice the discipline of our investment process where we perform fundamental credit analysis and quantitative total return scenario analysis on individual bonds and the portfolio as a whole, looking for bonds that can provide both high income and attractive total return potential over time. Page 20 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (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. COMMENTARY MARKET RECAP Over the last 12 months, persistently high inflation, the Federal Reserve's (the "Fed") pivot from monetary accommodation and the Russian invasion of Ukraine in February 2022 resulted in a shift in the markets focus from economic growth to concern that recession risk may be meaningfully pulled forward. Interest rates were higher across the board and the U.S. Treasury yield curve inverted between the 2-Year and 10-Year Treasuries. On August 31, 2021, the 2-Year U.S. Treasury yield was 0.21% and by August 31, 2022, it had increased to 3.48% while the 10-Year U.S. Treasury increased from 1.31% to 3.19%. Over the last 12 months, the Fed increased the target range for the Federal Funds rate from 0 - 0.25% to 2.25 - 2.50%. Higher rates were a headwind for broad based fixed income assets as the Bloomberg US Aggregate Bond Index returned -11.52% and high yield bonds, reflected in the ICE BofA US High Yield Constrained Index, declined -10.43% as high yield spreads increased from 322 basis points ("bps") to 505. In the fourth quarter of 2021, the Fed moved on from its belief that inflation would be transitory, conceding that while it initially may have been limited to areas related to the reopening of the economy and supply chain, it had broadened and accelerated. At the December 2021 Federal Open Market Committee ("FOMC") meeting, they announced an accelerated pace of asset purchase tapering and a more hawkish path for increasing its policy rate. In February 2022, the Russian invasion of Ukraine sent a shockwave through global risk markets, including a spike in oil and commodity prices, further exacerbating inflationary pressure. In response, the Fed increased the target range for the Federal Funds rate by a quarter percentage point at the March 2022 FOMC meeting and indicated additional rate hikes would be forthcoming throughout the year. Through the second quarter of 2022, the curve continued to flatten and ultimately 2-Year and 10-Year Treasuries inverted. By mid-summer 2022, inflation remained at the highest levels in decades inducing the Fed to hike the Federal Funds rate 75 bps at the June 2022 FOMC meeting. Amidst a backdrop of slowing growth and very high inflation with a significant Fed response, risk assets tumbled in the second quarter of 2022 as high yield bond spreads widened 245 bps and the S&P 500(R) Index declined -16.10%. PERFORMANCE ANALYSIS For the 12-month period ended August 31, 2022, the Fund returned -4.98% based on net asset value ("NAV") and -4.99% based on market price, while the Bloomberg 1-5 Year Government/Credit Index, the Fund's primary benchmark (the "Benchmark") returned -5.85%. The Fund's NAV return outperformed the Blended Benchmark (80% Bloomberg 1-5 Year Government/Credit Index and 20% ICE BofA US High Yield Constrained Index), by 174 bps (-4.98% versus -6.72%). The Fund's share price return outperformed by 173 bps over the same period. The negative returns for the Fund reflected the impact higher interest rates had on fixed income assets while the relative outperformance was largely driven by the Fund's lower duration relative to the Benchmark. The Benchmark is a broad based, non-securitized component of the Bloomberg US Aggregate Bond Index with securities that have maturities between 1 and 5 years. Over the period, the Fund's duration profile was, on average, 60% lower than the Benchmark's duration, benefitting relative performance as market rates rose. Page 21 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (UNAUDITED) Exposure to ultra short securities and senior loans contributed to outperformance as the First Trust Enhanced Short Maturity ETF returned -0.17% and the Fund's holding in the First Trust Senior Loan Fund ("FTSL") returned -1.04% on a NAV basis, performing better than the Benchmark. The floating nature of senior loan coupon structures enabled FTSL to hold up well relative to longer duration asset types as interest rates moved higher. The Fund's largest holding, the First Trust Low Duration Opportunities ETF, which has been defensively positioned in low duration mortgage-backed securities, also outperformed the Benchmark, returning -2.84% over the period. Exposure to emerging market debt was a drag on performance as U.S. Dollar strength weighed on the sector. The U.S. Dollar Index rose from 92.63 on August 31, 2021 to 104.69 on June 30, 2022 when the Fund exited the position in the emerging market debt fund, the First Trust Emerging Markets Local Currency Bond ETF, which was down -19.48% over the same period. The Fund's position in the First Trust Tactical High Yield ETF ("HYLS"), which holds high yield bonds and senior loans, was down -10.66% over the 12-month period ended August 31, 2022. Much of this negative performance in HYLS occurred during the second quarter of 2022 when risk assets sold off sharply. High yield credit spreads widened 245 bps during the second quarter of 2022 as the market started to price in the risk of a recession and HYLS was also negatively impacted by its use of leverage in the second quarter of 2022. MARKET AND FUND OUTLOOK Due to persistently high inflation, the Fed has continued to reiterate its commitment to lowering inflation to its 2% target. The Federal Funds rate was increased by 75 bps in each of the last three FOMC meetings, moving the upper bound target rate to 3.25%. We expect the Fed to continue to raise rates into the next year, stabilizing the Federal Funds terminal rate around 4.5% before pausing further rate increases and observing the implications of such a dramatic move in interest rates over such a short period of time. Importantly, given that the Fed's dual mandate centers on inflation and employment, both of which are typically lagging indicators with respect to overall economic activity, we believe the risk of a policy error by the Fed that results in recession has increased dramatically for 2023. Therefore, as the Fed continues to raise the Federal Funds rate, we continue to favor duration profiles short of the Benchmark, but, due to more balanced risks and rising recession risk, we believe duration extension is warranted. Furthermore, given the potential for a shorter business cycle and increasing recession risk in 2023, we believe it is prudent to increase credit quality. Page 22 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (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 FRIST 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 member of the portfolio management team since 2021, and Erik Russo, who has served as a member of the portfolio management team since 2022. COMMENTARY MARKET RECAP Equity markets lost ground over the 12-month period ended August 31, 2022, as tightening monetary policy, flagging earnings and reduced sentiment sent shares lower. With inflation levels touching over 9% and near 40-year highs, the Federal Reserve (the "Fed") raised short-term interest rates from near zero to 2.5% as of August 31, 2022. The twin threats of inflation and higher rates have overwhelmed market sentiment despite a low unemployment rate, cash-rich consumer balance sheets, and a significant return of demand for consumer services. It's now obvious that the U.S. stock market is pricing in a significant risk of a recession after only a modest probability at the beginning of 2022. The S&P 500(R) Index profits are still expected to grow close to 10% in 2022; however, expectations have started to move lower as the economy slows and many corporations see lower margins due to persistent inflation. Energy sector stocks were by far the top sector performers within the S&P 500(R) Index during the 12-month period ended August 31, 2022, with a couple defensive sectors also posting positive returns. The Energy sector benefited from a reopening economy and a lack of supply, which drove prices and profit margins higher, while the Utilities and Consumer Staples sectors outperformed due to a risk-off environment which led to more market demand for these stocks. By contrast, the Communication Services, Consumer Discretionary, and Information Technology sectors all lagged the broader market. All three sectors favor long-duration equities that were hampered by rising rates and faced difficult comparisons to the one year-ago period as the trend to digitization sped up during the coronavirus pandemic. On a size basis, the S&P 500(R) Index, generally a proxy for large capitalization stocks, outpaced the Russell 2000(R) Index, a small cap proxy, during the 12-month period ended August 31, 2022, with a return of -11.23%, while the Russell 2000(R) Index returned -17.88% over the same period. The S&P Midcap 400(R) Index performed the best with a return of -10.37% over the same period. FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (THE "FUND" OR "AFLG") FUND PERFORMANCE The Fund returned -11.18% on a net asset value ("NAV") basis and -11.22% on a market price basis over the 12-month period ended August 31, 2022. The S&P 500(R) Index (the "Benchmark") returned -11.23% over the same period. The Fund paid total distributions of $0.2715 per share over the period. The inline performance can be attributed to a mixed year for factor returns with value and low volatility stocks benefiting the Fund's performance, while stocks with momentum and quality factors were headwinds for Fund performance. The momentum factor lagged by a wide margin as the market continued to search for leadership. Sharp reversals in the market tend to lead to poor performance for the momentum factor. Despite its defensive nature, the quality factor lagged the broader market as investors favored more defensive sectors over strong balance Page 23 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII ANNUAL REPORT AUGUST 31, 2022 (UNAUDITED) sheets and high profitability. On the positive side, the value factor showed strong performance as more expensive stocks lagged the broader market. Investors flocked to the low volatility factor as a safety trade given fears of recession. Single stock selection was a drag on relative performance, while industry allocation was a benefit to the Fund's performance. FIRST TRUST ACTIVE FACTOR MID CAP ETF (THE "FUND" OR "AFMC") FUND PERFORMANCE The Fund returned -14.04% on a NAV basis and -14.01% on a market price basis over the 12-month period ended August 31, 2022. The S&P Midcap 400(R) Index (the "Benchmark") returned -10.37% over the same period. The Fund paid total distributions of $0.2798 per share over the period. The underperformance can be attributed to a mixed year for factor returns with value and low volatility benefiting performance, while the momentum and quality factors were headwinds for Fund performance. The momentum factor lagged by a wide margin as the market continued to search for leadership. Sharp reversals in the market tend to lead to poor performance for the momentum factor. Despite its defensive nature, the quality factor lagged the broader market as investors favored more defensive sectors over strong balance sheets and high profitability. On the positive side, the value factor showed strong performance as more expensive stocks lagged the broader market. Investors flocked to the low volatility factor as a safety trade given fears of recession. Another reason for the underperformance was poor single-stock selection, especially in the information technology sector. The Fund did not hold a few of the biggest technology gainers in the Benchmark over the period. Industry allocation was also a drag on overall performance. FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (THE "FUND" OR "AFSM") FUND PERFORMANCE The Fund returned -13.52% on a NAV basis and -13.46% on a market price basis over the 12-month period ended August 31, 2022. The Russell 2000(R) Index (the "Benchmark") returned -17.88% over the same period. The Fund paid total distributions of $0.1813 per share over the period. The outperformance can be attributed to strong factor performance for small caps with value and low volatility stocks benefiting performance, while stocks with the momentum factor remained weak. The momentum factor lagged by a wide margin as the market continued to search for leadership. Sharp reversals in the market tend to lead to poor performance for the momentum factor. The quality factor outperformed in small caps as a more speculative universe versus larger peers benefited names with positive earnings. The value factor showed strong performance as more expensive stocks lagged the broader market. Investors flocked to the low volatility factor as a safety trade given fears of recession. Single stock selection was a drag on relative performance, while industry allocation was a benefit. MARKET AND FUND OUTLOOK We believe market risk is more balanced in the near term due to uncertainty across several spectrums, including quantitative tightening, geopolitical tensions, and slowing corporate profits that could possibly decline. We remain constructive on equities for the long-term but future returns are likely to be lower than the last decade with stocks trading at close to a historic average multiple, in our view. While the last year again proved to be a difficult environment for factor investing, we believe a more normalized environment could lead to better conditions for the Active Factor suite, especially given an exit from a zero interest rate environment. The Funds continue to offer diversified exposure across the quality, low volatility, value and momentum factors, while reducing sector and single-stock risk. We continue to target key factors that historically have offered premiums to the market return. Page 24 FIRST TRUST EXCHANGE-TRADED FUND VIII UNDERSTANDING YOUR FUND EXPENSES AUGUST 31, 2022 (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 August 31, 2022. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the 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 MARCH 1, 2022 AUGUST 31, 2022 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------ FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF) (B) Actual $1,000.00 $ 927.40 0.85% $4.13 Hypothetical (5% return before expenses) $1,000.00 $1,020.92 0.85% $4.33 FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX) (b) Actual $1,000.00 $ 905.10 0.60% $2.88 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) (B) Actual $1,000.00 $ 966.60 0.20% $0.99 Hypothetical (5% return before expenses) $1,000.00 $1,024.20 0.20% $1.02 FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) Actual $1,000.00 $ 916.30 0.55% $2.66 Hypothetical (5% return before expenses) $1,000.00 $1,022.43 0.55% $2.80 FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) Actual $1,000.00 $ 904.40 0.65% $3.12 Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31 FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) (b) Actual $1,000.00 $ 900.80 0.75% $3.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.42 0.75% $3.82 (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2022 through August 31, 2022), multiplied by 184/365 (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. Page 25 FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF) PORTFOLIO OF INVESTMENTS AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CLOSED-END FUNDS -- 92.6% CAPITAL MARKETS -- 92.6% 15,413 abrdn Global Infrastructure Income Fund $ 288,069 20,671 Adams Natural Resources Fund, Inc. 446,080 5,572 Advent Convertible and Income Fund 73,105 14,854 Angel Oak Financial Strategies Income Term Trust 212,264 18,626 Apollo Tactical Income Fund, Inc. 242,324 69,436 Ares Dynamic Credit Allocation Fund, Inc. 906,834 10,623 Barings Global Short Duration High Yield Fund 145,960 35,417 BlackRock Corporate High Yield Fund, Inc. 339,295 12,681 BlackRock Health Sciences Trust II 206,827 13,625 BlackRock Multi-Sector Income Trust 220,861 14,091 BlackRock Resources & Commodities Strategy Trust 132,314 19,146 BlackRock Science & Technology Trust 671,450 300 BlackRock Utilities Infrastructure & Power Opportunities Trust 7,050 55,124 Blackstone Strategic Credit Fund 654,322 15,086 Central Securities Corp. 544,454 25,082 Cohen & Steers Infrastructure Fund, Inc. 668,435 50,176 Cohen & Steers REIT and Preferred and Income Fund, Inc. 1,180,140 28,260 DoubleLine Income Solutions Fund 352,685 9,795 Eaton Vance Enhanced Equity Income Fund 151,920 38,493 Eaton Vance Short Duration Diversified Income Fund 428,427 45,762 Eaton Vance Tax-Advantaged Dividend Income Fund 1,124,830 71,391 Eaton Vance Tax-Advantaged Global Dividend Income Fund 1,215,789 39,309 Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund 930,837 41,014 Gabelli Dividend & Income Trust (The) 869,907 16,068 General American Investors Co., Inc. 595,641 39,204 John Hancock Tax-Advantaged Dividend Income Fund 942,464 11,639 Lazard Global Total Return and Income Fund, Inc. 188,203 34,104 Macquarie Global Infrastructure Total Return Fund, Inc. 834,184 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 39,308 MainStay CBRE Global Infrastructure Megatrends Fund $ 618,315 129,441 Nuveen Credit Strategies Income Fund 697,687 40,241 Nuveen Floating Rate Income Fund 348,487 5,178 Nuveen Multi-Asset Income Fund 70,317 77,201 Nuveen Preferred & Income Opportunities Fund 613,748 31,787 Nuveen Real Asset Income and Growth Fund 421,178 25,632 Nuveen Variable Rate Preferred & Income Fund 492,775 59,580 PGIM Global High Yield Fund, Inc. 701,257 26,415 PIMCO Dynamic Income Fund 572,149 43,702 PIMCO Dynamic Income Opportunities Fund 651,160 16,317 PIMCO Energy & Tactical Credit Opportunities Fund 247,692 29,533 Principal Real Estate Income Fund 387,768 6,550 Reaves Utility Income Fund 208,355 14,965 Royce Micro-Cap Trust, Inc. 135,433 35,977 Royce Value Trust, Inc. 546,131 22,859 Source Capital, Inc. 847,840 50,766 Tekla Healthcare Investors 944,248 47,782 Tekla Healthcare Opportunities Fund 927,926 17,714 Tekla Life Sciences Investors 255,790 28,859 Tri-Continental Corp. 797,951 8,638 Virtus Convertible & Income 2024 Target Term Fund 77,137 12,284 Virtus Equity & Convertible Income Fund 274,302 47,530 Western Asset High Income Opportunity Fund, Inc. 189,645 33,037 Western Asset Inflation-Linked Opportunities & Income Fund 338,960 ------------- TOTAL CLOSED-END FUNDS -- 92.6% 25,940,922 (Cost $28,640,232) ------------- EXCHANGE-TRADED FUNDS -- 1.0% CAPITAL MARKETS -- 1.0% 2,049 Financial Select Sector SPDR Fund 67,719 1,334 PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund 69,195 7,089 ProShares Short 20+ Year Treasury (a) 145,112 ------------- TOTAL EXCHANGE-TRADED FUNDS -- 1.0% 282,026 (Cost $293,518) ------------- Page 26 See Notes to Financial Statements FIRST TRUST INCOME OPPORTUNITIES ETF (FCEF) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- MONEY MARKET FUNDS -- 6.2% 1,738,830 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.06% (b) $ 1,738,830 (Cost $1,738,830) ------------- TOTAL INVESTMENTS -- 99.8% 27,961,778 (Cost $30,672,580) NET OTHER ASSETS AND LIABILITIES -- 0.2% 43,559 ------------- NET ASSETS -- 100.0% $ 28,005,337 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of August 31, 2022. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of August 31, 2022 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 8/31/2022 PRICES INPUTS INPUTS --------------------------------------------------------------- Closed-End Funds*............................... $ 25,940,922 $ 25,940,922 $ -- $ -- Exchange-Traded Funds*.......................... 282,026 282,026 -- -- Money Market Funds.............................. 1,738,830 1,738,830 -- -- --------------------------------------------------------------- Total Investments............................... $ 27,961,778 $ 27,961,778 $ -- $ -- =============================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX) PORTFOLIO OF INVESTMENTS AUGUST 31, 2022 PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ------------ ------------------------------------------------------------------- ------------ ------------ ------------ MUNICIPAL BONDS -- 90.2% ALABAMA -- 1.7% $ 250,000 Southeast Energy Auth A Cooperative Dist, Ser B (Mandatory put 12/01/31)................................................... 4.00% 12/01/51 $ 246,133 ------------ CALIFORNIA -- 13.4% 250,000 CA Muni Fin Auth, Ser A............................................ 5.00% 10/01/44 257,172 300,000 City of Long Beach CA Arpt System Rev, Ser A, AGM.................. 5.00% 06/01/37 335,598 250,000 Elk Grove Fin Auth................................................. 4.00% 09/01/50 217,522 250,000 San Francisco City & Cnty Arpt Comm-San Francisco Intl Arpt, Ser 2020, AMT................................................... 5.00% 05/01/37 266,372 300,000 San Francisco City & Cnty Pub Util Commn Pwr Rev, Ser B............ 4.00% 11/01/42 294,457 250,000 St of CA........................................................... 5.00% 11/01/39 275,926 245,000 Tobacco Securitization Auth of Southern CA......................... 5.00% 06/01/35 264,064 ------------ 1,911,111 ------------ COLORADO -- 1.4% 200,000 City & Cnty of Denver CO, AMT...................................... 5.00% 10/01/32 199,992 ------------ FLORIDA -- 13.1% 250,000 Babcock Ranch Cmnty Indep Spl Dist, Ser 2022....................... 4.13% 05/01/27 250,873 250,000 Black Creek Cmnty Dev Dist......................................... 5.13% 06/15/32 253,245 265,000 Cnty of Miami-Dade FL Aviation Rev, Ser B, AMT..................... 5.00% 10/01/40 274,467 250,000 North Sumter Cnty Util Dependent Dist, AGM......................... 4.00% 10/01/41 241,698 365,000 Palm Beach Cnty Hlth Facs Auth, Ser A.............................. 5.00% 11/01/41 371,249 250,000 Ridge At Apopka Cmnty Dev Dist..................................... 5.38% 05/01/42 251,855 250,000 Sawyers Landing Cmnty Dev Dist..................................... 4.25% 05/01/53 222,205 ------------ 1,865,592 ------------ GEORGIA -- 1.8% 250,000 Main Street Nat Gas, Inc., Ser C (Mandatory put 12/01/28).......... 4.00% 05/01/52 249,396 ------------ GUAM -- 1.8% 250,000 Territory of Guam, Ser F........................................... 5.00% 01/01/28 263,451 ------------ ILLINOIS -- 7.7% 300,000 Chicago Brd of Edu, Ser B.......................................... 5.00% 12/01/30 321,289 250,000 IL Fin Auth, Ser A................................................. 5.00% 10/01/34 276,765 250,000 IL Fin Auth, Ser A................................................. 5.00% 08/15/47 266,072 250,000 St of IL, Ser B.................................................... 4.00% 12/01/37 236,735 ------------ 1,100,861 ------------ IOWA -- 1.8% 250,000 IA Fin Auth (Mandatory put 12/01/42)............................... 5.00% 12/01/50 256,435 ------------ KANSAS -- 3.6% 250,000 Wyandotte Cnty-Kansas City Unif Govt (a)........................... 5.75% 09/01/39 247,068 250,000 Wyandotte Cnty-Kansas City Unif Govt Util Sys Rev, Ser A........... 5.00% 09/01/40 259,378 ------------ 506,446 ------------ KENTUCKY -- 2.1% 300,000 KY Public Energy Auth, Ser A (Mandatory put 06/01/26).............. 4.00% 12/01/50 302,237 ------------ MASSACHUSETTS -- 1.8% 250,000 MA Bay Transprtn Auth Sales Tax Rev, Ser A......................... 5.00% 07/01/45 262,291 ------------ MISSOURI -- 1.8% 250,000 Hlth & Eductnl Facs Auth of The St of MO........................... 5.00% 02/01/42 257,026 ------------ Page 28 See Notes to Financial Statements FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ------------ ------------------------------------------------------------------- ------------ ------------ ------------ MUNICIPAL BONDS (CONTINUED) NEW YORK -- 5.5% $ 250,000 NY St Dorm Auth.................................................... 5.00% 05/01/38 $ 269,620 250,000 NY St Urban Dev Corp............................................... 5.00% 03/15/44 267,988 250,000 NY Transprtn Dev Corp., AMT........................................ 4.00% 10/01/30 246,636 ------------ 784,244 ------------ NORTH CAROLINA -- 1.4% 250,000 NC Med Care Commn.................................................. 4.00% 03/01/41 204,286 ------------ OHIO -- 10.7% 250,000 Buckeye Tobacco Stlmt Fing Auth, Ser B-2........................... 5.00% 06/01/55 238,120 300,000 Cnty of Montgomery OH.............................................. 4.00% 08/01/41 289,005 250,000 OH Air Quality Dev Auth, AMT (Mandatory put 10/01/24).............. 2.10% 07/01/28 241,584 250,000 OH Air Quality Dev Auth, AMT (Mandatory put 06/01/27).............. 4.25% 11/01/39 255,231 250,000 OH Air Quality Dev Auth, AMT (a)................................... 5.00% 07/01/49 236,912 250,000 OH Higher Eductnl Fac Commn........................................ 5.00% 02/01/35 272,511 ------------ 1,533,363 ------------ OREGON -- 5.7% 250,000 Clackamas Cnty Hosp Facs Auth, Ser A............................... 5.38% 11/15/55 241,904 300,000 OR St Facs Auth, Ser A............................................. 5.00% 06/01/52 315,260 250,000 Union Cnty Hosp Facs Auth.......................................... 5.00% 07/01/41 255,548 ------------ 812,712 ------------ PUERTO RICO -- 3.4% 250,000 Commonwealth of Puerto Rico, Ser A1................................ 4.00% 07/01/35 229,863 250,000 Puerto Rico Sales Tax Fing Corp. Sales Tax Rev, Ser A-1............ 4.55% 07/01/40 249,998 ------------ 479,861 ------------ SOUTH CAROLINA -- 1.6% 250,000 SC Jobs-Econ Dev Auth.............................................. 4.00% 11/15/32 225,909 ------------ TENNESSEE -- 0.7% 100,000 TN Energy Acquisition Corp. (Mandatory put 11/01/31)............... 5.00% 05/01/52 104,608 ------------ TEXAS -- 3.6% 250,000 City of Austin TX Arpt Sys Rev, AMT................................ 5.00% 11/15/41 265,493 250,000 North Parkway Muni Mgmt Dis No 1 (a)............................... 5.00% 09/15/51 246,162 ------------ 511,655 ------------ VERMONT -- 1.8% 300,000 VT Econ Dev Auth................................................... 4.00% 05/01/37 256,990 ------------ VIRGINIA -- 2.0% 250,000 Fairfax Cnty Econ Dev Auth......................................... 5.00% 10/01/39 282,357 ------------ WEST VIRGINIA -- 1.8% 250,000 West Virginia Econ Dev Auth, AMT (Mandatory put 07/01/25).......... 5.00% 07/01/45 252,335 ------------ TOTAL MUNICIPAL BONDS.......................................................................... 12,869,291 (Cost $12,955,494) ------------ SHARES DESCRIPTION VALUE ------------ ----------------------------------------------------------------------------------------------- ------------ CLOSED-END FUNDS -- 6.2% CAPITAL MARKETS -- 6.2% 2,995 BlackRock Municipal Income Fund, Inc........................................................... 35,551 3,183 BlackRock Municipal Income Quality Trust....................................................... 39,724 6,642 BlackRock MuniHoldings Fund, Inc............................................................... 84,686 See Notes to Financial Statements Page 29 FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE ------------ ----------------------------------------------------------------------------------------------- ------------ CLOSED-END FUNDS (CONTINUED) CAPITAL MARKETS (CONTINUED) 3,125 BlackRock MuniHoldings Quality Fund II, Inc.................................................... $ 34,906 2,925 BlackRock MuniYield Quality Fund II, Inc....................................................... 34,720 7,360 BlackRock MuniYield Quality Fund III, Inc...................................................... 85,082 3,479 Eaton Vance Municipal Bond Fund................................................................ 36,843 3,374 Eaton Vance Municipal Income Trust............................................................. 37,215 7,427 Invesco Municipal Trust........................................................................ 74,938 7,390 Invesco Quality Municipal Income Trust......................................................... 74,565 3,576 Invesco Trust for Investment Grade Municipals.................................................. 37,083 2,587 Nuveen AMT-Free Municipal Credit Income Fund................................................... 35,804 6,775 Nuveen AMT-Free Quality Municipal Income Fund.................................................. 81,165 2,745 Nuveen Municipal Credit Income Fund............................................................ 35,548 6,711 Nuveen Quality Municipal Income Fund........................................................... 82,545 6,681 Pioneer Municipal High Income Opportunities Fund, Inc.......................................... 80,239 ------------ TOTAL CLOSED-END FUNDS......................................................................... 890,614 (Cost $1,099,043) ------------ TOTAL INVESTMENTS -- 96.4%..................................................................... 13,759,905 (Cost $14,054,537) NET OTHER ASSETS AND LIABILITIES -- 3.6%....................................................... 512,320 ------------ NET ASSETS -- 100.0%........................................................................... $ 14,272,225 ============ (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 August 31, 2022, securities noted as such amounted to $730,142 or 5.1% of net assets. AGM - Assured Guaranty Municipal Corp AMT - Alternative Minimum Tax ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of August 31, 2022 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 8/31/2022 PRICES INPUTS INPUTS --------------------------------------------------------------- Municipal Bonds*................................ $ 12,869,291 $ -- $ 12,869,291 $ -- Closed-End Funds**.............................. 890,614 890,614 -- -- --------------------------------------------------------------- Total Investments............................... $ 13,759,905 $ 890,614 $ 12,869,291 $ -- =============================================================== * See Portfolio of Investments for state breakout. ** See Portfolio of Investments for industry breakout. Page 30 See Notes to Financial Statements FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) PORTFOLIO OF INVESTMENTS AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- EXCHANGE-TRADED FUNDS -- 100.0% CAPITAL MARKETS -- 100.0% 440,244 First Trust Enhanced Short Maturity ETF (a) $ 26,154,896 1,735,219 First Trust Low Duration Opportunities ETF (a) 83,828,430 806,714 First Trust Tactical High Yield ETF (a) 32,671,917 1,065,484 First Trust TCW Unconstrained Plus Bond ETF (a) 26,306,800 863,651 iShares 0-5 Year Investment Grade Corporate Bond ETF 41,748,889 ------------- TOTAL EXCHANGE-TRADED FUNDS -- 100.0% 210,710,932 (Cost $221,758,020) ------------- MONEY MARKET FUNDS -- 0.0% 38,219 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.06% (b) 38,219 (Cost $38,219) ------------- TOTAL INVESTMENTS -- 100.0% 210,749,151 (Cost $221,796,239) NET OTHER ASSETS AND LIABILITIES -- 0.0% 8,124 ------------- NET ASSETS -- 100.0% $ 210,757,275 ============= (a) Investment in an affiliated fund. (b) Rate shown reflects yield as of August 31, 2022. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of August 31, 2022 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 8/31/2022 PRICES INPUTS INPUTS --------------------------------------------------------------- Exchange-Traded Funds*.......................... $ 210,710,932 $ 210,710,932 $ -- $ -- Money Market Funds.............................. 38,219 38,219 -- -- --------------------------------------------------------------- Total Investments............................... $ 210,749,151 $ 210,749,151 $ -- $ -- =============================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 31 FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 4.0% 216 General Dynamics Corp. $ 49,449 72 HEICO Corp. 10,966 357 Howmet Aerospace, Inc. 12,649 28 L3Harris Technologies, Inc. 6,389 68 Lockheed Martin Corp. 28,567 72 Northrop Grumman Corp. 34,415 309 Raytheon Technologies Corp. 27,733 297 Textron, Inc. 18,527 ------------- 188,695 ------------- AIR FREIGHT & LOGISTICS -- 1.4% 132 C.H. Robinson Worldwide, Inc. 15,068 116 Expeditors International of Washington, Inc. 11,935 56 FedEx Corp. 11,806 128 United Parcel Service, Inc., Class B 24,897 ------------- 63,706 ------------- BANKS -- 1.7% 196 Comerica, Inc. 15,739 140 M&T Bank Corp. 25,449 575 Regions Financial Corp. 12,460 240 Wells Fargo & Co. 10,491 305 Zions Bancorp N.A. 16,784 ------------- 80,923 ------------- BIOTECHNOLOGY -- 2.8% 244 AbbVie, Inc. 32,808 40 Amgen, Inc. 9,612 12 Biogen, Inc. (a) 2,345 464 Gilead Sciences, Inc. 29,450 20 Moderna, Inc. (a) 2,645 44 Regeneron Pharmaceuticals, Inc. (a) 25,567 100 Vertex Pharmaceuticals, Inc. (a) 28,176 ------------- 130,603 ------------- BUILDING PRODUCTS -- 0.9% 204 A.O. Smith Corp. 11,516 76 Carlisle Cos., Inc. 22,470 64 Carrier Global Corp. 2,504 36 Fortune Brands Home & Security, Inc. 2,211 48 Johnson Controls International PLC 2,599 ------------- 41,300 ------------- CAPITAL MARKETS -- 1.2% 64 Ameriprise Financial, Inc. 17,153 240 Bank of New York Mellon (The) Corp. 9,967 20 FactSet Research Systems, Inc. 8,667 88 LPL Financial Holdings, Inc. 19,477 ------------- 55,264 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CHEMICALS -- 2.1% 224 CF Industries Holdings, Inc. $ 23,175 436 Corteva, Inc. 26,784 440 Dow, Inc. 22,440 252 LyondellBasell Industries N.V., Class A 20,916 128 Mosaic (The) Co. 6,895 ------------- 100,210 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.1% 8 Cintas Corp. 3,255 68 Rollins, Inc. 2,295 ------------- 5,550 ------------- COMMUNICATIONS EQUIPMENT -- 2.1% 84 Arista Networks, Inc. (a) 10,070 809 Cisco Systems, Inc. 36,178 56 F5, Inc. (a) 8,795 905 Juniper Networks, Inc. 25,720 48 Motorola Solutions, Inc. 11,684 20 Ubiquiti, Inc. 6,208 ------------- 98,655 ------------- CONSUMER FINANCE -- 1.1% 369 Ally Financial, Inc. 12,251 212 Capital One Financial Corp. 22,434 48 Discover Financial Services 4,823 345 Synchrony Financial 11,299 ------------- 50,807 ------------- CONTAINERS & PACKAGING -- 0.8% 712 Amcor PLC 8,551 540 International Paper Co. 22,475 165 Sealed Air Corp. 8,878 ------------- 39,904 ------------- DISTRIBUTORS -- 0.6% 104 Genuine Parts Co. 16,225 235 LKQ Corp. 12,507 ------------- 28,732 ------------- DIVERSIFIED FINANCIAL SERVICES -- 2.3% 377 Berkshire Hathaway, Inc., Class B (a) 105,862 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 1,600 AT&T, Inc. 28,064 962 Lumen Technologies, Inc. 9,581 406 Verizon Communications, Inc. 16,975 ------------- 54,620 ------------- ELECTRIC UTILITIES -- 3.3% 320 Constellation Energy Corp. 26,109 216 Evergy, Inc. 14,802 1,093 Exelon Corp. 47,994 301 FirstEnergy Corp. 11,905 Page 32 See Notes to Financial Statements FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 748 NRG Energy, Inc. $ 30,877 752 PPL Corp. 21,868 44 Southern (The) Co. 3,391 ------------- 156,946 ------------- ELECTRICAL EQUIPMENT -- 0.3% 164 Emerson Electric Co. 13,405 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% 56 CDW Corp. 9,559 28 Keysight Technologies, Inc. (a) 4,589 120 TE Connectivity Ltd. 15,145 ------------- 29,293 ------------- ENTERTAINMENT -- 0.5% 292 Liberty Media Corp.-Liberty Formula One, Class C (a) 18,594 350 Warner Bros Discovery, Inc. (a) 4,634 ------------- 23,228 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.4% 104 Extra Space Storage, Inc. 20,668 232 Gaming and Leisure Properties, Inc. 11,199 395 Iron Mountain, Inc. 20,781 44 Mid-America Apartment Communities, Inc. 7,290 64 Public Storage 21,173 369 Regency Centers Corp. 22,450 8 SBA Communications Corp. 2,602 464 VICI Properties, Inc. 15,307 775 Weyerhaeuser Co. 26,474 140 WP Carey, Inc. 11,764 ------------- 159,708 ------------- FOOD & STAPLES RETAILING -- 3.2% 720 Albertsons Cos., Inc., Class A 19,807 72 Costco Wholesale Corp. 37,591 921 Kroger (The) Co. 44,153 361 Walgreens Boots Alliance, Inc. 12,657 288 Walmart, Inc. 38,174 ------------- 152,382 ------------- FOOD PRODUCTS -- 1.1% 176 General Mills, Inc. 13,517 112 J.M. Smucker (The) Co. 15,679 313 Tyson Foods, Inc., Class A 23,594 ------------- 52,790 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.6% 384 Hologic, Inc. (a) 25,943 ------------- HEALTH CARE PROVIDERS & SERVICES -- 6.3% 76 AmerisourceBergen Corp. 11,139 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 188 Cardinal Health, Inc. $ 13,295 28 Centene Corp. (a) 2,513 68 Cigna Corp. 19,275 436 CVS Health Corp. 42,793 100 Elevance Health, Inc. 48,511 333 Henry Schein, Inc. (a) 24,445 96 Laboratory Corp. of America Holdings 21,626 72 McKesson Corp. 26,424 172 Quest Diagnostics, Inc. 21,553 92 UnitedHealth Group, Inc. 47,778 152 Universal Health Services, Inc., Class B 14,872 ------------- 294,224 ------------- HOTELS, RESTAURANTS & LEISURE -- 0.8% 8 Booking Holdings, Inc. (a) 15,007 80 Marriott International, Inc., Class A 12,299 40 McDonald's Corp. 10,091 ------------- 37,397 ------------- HOUSEHOLD DURABLES -- 1.9% 32 D.R. Horton, Inc. 2,277 160 Lennar Corp., Class A 12,392 64 Mohawk Industries, Inc. (a) 7,063 12 NVR, Inc. (a) 49,681 180 PulteGroup, Inc. 7,319 76 Whirlpool Corp. 11,901 ------------- 90,633 ------------- HOUSEHOLD PRODUCTS -- 0.1% 32 Colgate-Palmolive Co. 2,503 ------------- INDUSTRIAL CONGLOMERATES -- 0.5% 196 3M Co. 24,373 ------------- INSURANCE -- 4.6% 484 Aflac, Inc. 28,759 80 Allstate (The) Corp. 9,640 232 American International Group, Inc. 12,006 28 Aon PLC, Class A 7,819 68 Arthur J. Gallagher & Co. 12,347 16 Assurant, Inc. 2,536 32 Chubb Ltd. 6,050 160 CNA Financial Corp. 6,154 32 Globe Life, Inc. 3,110 176 Hartford Financial Services Group (The), Inc. 11,319 288 Loews Corp. 15,929 92 Marsh & McLennan Cos., Inc. 14,846 88 MetLife, Inc. 5,661 236 Progressive (The) Corp. 28,945 260 Prudential Financial, Inc. 24,895 20 Travelers (The) Cos., Inc. 3,233 See Notes to Financial Statements Page 33 FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 364 W.R. Berkley Corp. $ 23,587 ------------- 216,836 ------------- INTERACTIVE MEDIA & SERVICES -- 3.4% 1,306 Alphabet, Inc., Class A (a) 141,335 120 Meta Platforms, Inc., Class A (a) 19,552 ------------- 160,887 ------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 511 Amazon.com, Inc. (a) 64,780 40 eBay, Inc. 1,765 ------------- 66,545 ------------- IT SERVICES -- 4.5% 60 Accenture PLC, Class A 17,308 60 Automatic Data Processing, Inc. 14,664 365 Cognizant Technology Solutions Corp., Class A 23,057 72 Gartner, Inc. (a) 20,543 260 International Business Machines Corp. 33,397 168 Jack Henry & Associates, Inc. 32,290 32 Mastercard, Inc., Class A 10,380 208 Paychex, Inc. 25,655 216 SS&C Technologies Holdings, Inc. 12,044 1,492 Western Union (The) Co. 22,111 ------------- 211,449 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 24 Waters Corp. (a) 7,166 ------------- MACHINERY -- 1.9% 124 Cummins, Inc. 26,706 36 Fortive Corp. 2,280 100 Ingersoll Rand, Inc. 4,737 12 Nordson Corp. 2,726 32 Otis Worldwide Corp. 2,311 52 Pentair PLC 2,314 140 Snap-on, Inc. 30,500 76 Stanley Black & Decker, Inc. 6,696 100 Westinghouse Air Brake Technologies Corp. 8,765 ------------- 87,035 ------------- MEDIA -- 1.2% 468 Comcast Corp., Class A 16,937 260 DISH Network Corp., Class A (a) 4,511 420 Fox Corp., Class A 14,356 161 Interpublic Group of (The) Cos., Inc. 4,450 684 News Corp., Class A 11,573 52 Omnicom Group, Inc. 3,479 ------------- 55,306 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- METALS & MINING -- 1.7% 100 Alcoa Corp. $ 4,948 297 Nucor Corp. 39,483 420 Steel Dynamics, Inc. 33,903 ------------- 78,334 ------------- MULTILINE RETAIL -- 0.8% 32 Dollar General Corp. 7,597 64 Dollar Tree, Inc. (a) 8,684 120 Target Corp. 19,241 ------------- 35,522 ------------- MULTI-UTILITIES -- 1.4% 388 CenterPoint Energy, Inc. 12,233 377 Consolidated Edison, Inc. 36,848 20 DTE Energy Co. 2,607 96 Sempra Energy 15,837 ------------- 67,525 ------------- OIL, GAS & CONSUMABLE FUELS -- 5.1% 168 Antero Resources Corp. (a) 6,733 52 APA Corp. 2,034 120 Chesapeake Energy Corp. 12,059 396 Chevron Corp. 62,592 148 ConocoPhillips 16,198 607 Coterra Energy, Inc. 18,762 285 Devon Energy Corp. 20,127 280 EQT Corp. 13,384 869 Exxon Mobil Corp. 83,068 168 Marathon Oil Corp. 4,299 24 Marathon Petroleum Corp. 2,418 ------------- 241,674 ------------- PHARMACEUTICALS -- 3.9% 660 Bristol-Myers Squibb Co. 44,491 132 Eli Lilly & Co. 39,762 172 Johnson & Johnson 27,750 1,469 Pfizer, Inc. 66,443 545 Viatris, Inc. 5,205 ------------- 183,651 ------------- PROFESSIONAL SERVICES -- 0.6% 116 Booz Allen Hamilton Holding Corp. 11,101 225 Robert Half International, Inc. 17,318 ------------- 28,419 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 305 CBRE Group, Inc., Class A (a) 24,083 ------------- ROAD & RAIL -- 0.1% 12 Old Dominion Freight Line, Inc. 3,257 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.3% 60 Advanced Micro Devices, Inc. (a) 5,092 188 Applied Materials, Inc. 17,685 60 Broadcom, Inc. 29,947 Page 34 See Notes to Financial Statements FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 24 Enphase Energy, Inc. (a) $ 6,875 763 Intel Corp. 24,355 56 KLA Corp. 19,271 20 Lam Research Corp. 8,758 176 Micron Technology, Inc. 9,949 8 Monolithic Power Systems, Inc. 3,625 228 ON Semiconductor Corp. (a) 15,680 164 Qorvo, Inc. (a) 14,724 108 QUALCOMM, Inc. 14,285 72 Skyworks Solutions, Inc. 7,096 100 Teradyne, Inc. 8,464 100 Texas Instruments, Inc. 16,521 ------------- 202,327 ------------- SOFTWARE -- 5.8% 112 Aspen Technology, Inc. (a) 23,587 104 Cadence Design Systems, Inc. (a) 18,072 12 Intuit, Inc. 5,181 684 Microsoft Corp. 178,846 588 NortonLifeLock, Inc. 13,283 20 Palo Alto Networks, Inc. (a) 11,136 64 Synopsys, Inc. (a) 22,145 ------------- 272,250 ------------- SPECIALTY RETAIL -- 3.2% 40 Advance Auto Parts, Inc. 6,746 20 AutoZone, Inc. (a) 42,384 128 Bath & Body Works, Inc. 4,778 228 Best Buy Co., Inc. 16,117 112 Gap (The), Inc. 1,024 88 Home Depot (The), Inc. 25,381 48 Lowe's Cos., Inc. 9,319 12 O'Reilly Automotive, Inc. (a) 8,365 76 Tractor Supply Co. 14,071 8 Ulta Beauty, Inc. (a) 3,359 140 Victoria's Secret & Co. (a) 4,682 96 Williams-Sonoma, Inc. 14,280 ------------- 150,506 ------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 8.2% 1,998 Apple, Inc. 314,126 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 1,292 HP, Inc. $ 37,093 172 NetApp, Inc. 12,406 205 Seagate Technology Holdings PLC 13,727 567 Xerox Holdings Corp. 9,424 ------------- 386,776 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 172 Ralph Lauren Corp. 15,709 468 Tapestry, Inc. 16,254 244 Under Armour, Inc., Class A (a) 2,054 ------------- 34,017 ------------- TOBACCO -- 1.0% 404 Altria Group, Inc. 18,228 301 Philip Morris International, Inc. 28,743 ------------- 46,971 ------------- TRADING COMPANIES & DISTRIBUTORS -- 0.4% 48 Fastenal Co. 2,416 28 W.W. Grainger, Inc. 15,538 ------------- 17,954 ------------- TOTAL COMMON STOCKS -- 99.8% 4,686,146 (Cost $4,854,190) ------------- MONEY MARKET FUNDS -- 0.0% 2,300 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.06% (b) 2,300 (Cost $2,300) ------------- TOTAL INVESTMENTS -- 99.8% 4,688,446 (Cost $4,856,490) NET OTHER ASSETS AND LIABILITIES -- 0.2% 9,127 ------------- NET ASSETS -- 100.0% $ 4,697,573 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of August 31, 2022. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of August 31, 2022 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 8/31/2022 PRICES INPUTS INPUTS --------------------------------------------------------------- Common Stocks*.................................. $ 4,686,146 $ 4,686,146 $ -- $ -- Money Market Funds.............................. 2,300 2,300 -- -- --------------------------------------------------------------- Total Investments............................... $ 4,688,446 $ 4,688,446 $ -- $ -- =============================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.2% 44 Curtiss-Wright Corp. $ 6,476 17 Huntington Ingalls Industries, Inc. 3,915 69 Parsons Corp. (a) 2,855 ------------- 13,246 ------------- AUTOMOBILES -- 0.5% 73 Thor Industries, Inc. 5,914 ------------- BANKS -- 2.9% 172 Bank OZK 6,971 149 Cathay General Bancorp 6,249 33 Comerica, Inc. 2,650 34 Commerce Bancshares, Inc. 2,338 68 Popular, Inc. 5,251 51 Prosperity Bancshares, Inc. 3,615 152 United Bankshares, Inc. 5,639 ------------- 32,713 ------------- BEVERAGES -- 0.5% 20 Celsius Holdings, Inc. (a) 2,070 53 National Beverage Corp. 2,939 ------------- 5,009 ------------- BIOTECHNOLOGY -- 2.9% 1 Emergent BioSolutions, Inc. (a) 24 425 Exelixis, Inc. (a) 7,539 116 Halozyme Therapeutics, Inc. (a) 4,725 5 Karuna Therapeutics, Inc. (a) 1,275 40 Neurocrine Biosciences, Inc. (a) 4,185 64 United Therapeutics Corp. (a) 14,504 ------------- 32,252 ------------- BUILDING PRODUCTS -- 4.2% 20 Advanced Drainage Systems, Inc. 2,714 257 Builders FirstSource, Inc. (a) 15,063 38 Carlisle Cos., Inc. 11,235 119 Owens Corning 9,726 98 UFP Industries, Inc. 7,780 ------------- 46,518 ------------- CAPITAL MARKETS -- 1.3% 18 FactSet Research Systems, Inc. 7,800 193 Federated Hermes, Inc. 6,574 ------------- 14,374 ------------- CHEMICALS -- 2.4% 36 Ashland, Inc. 3,663 44 Cabot Corp. 3,167 160 Chemours (The) Co. 5,397 146 Huntsman Corp. 4,091 109 Olin Corp. 5,958 18 RPM International, Inc. 1,677 32 Westlake Corp. 3,156 ------------- 27,109 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 0.2% 211 GEO Group (The), Inc. (a) $ 1,726 16 HNI Corp. 512 ------------- 2,238 ------------- COMMUNICATIONS EQUIPMENT -- 2.7% 41 Calix, Inc. (a) 2,413 149 Ciena Corp. (a) 7,560 4 F5, Inc. (a) 628 274 Juniper Networks, Inc. 7,787 37 Lumentum Holdings, Inc. (a) 3,092 273 NetScout Systems, Inc. (a) 8,665 ------------- 30,145 ------------- CONSTRUCTION & ENGINEERING -- 3.3% 62 AECOM 4,535 59 Dycom Industries, Inc. (a) 6,615 48 EMCOR Group, Inc. 5,708 206 Fluor Corp. (a) 5,447 41 MasTec, Inc. (a) 3,301 142 MDU Resources Group, Inc. 4,281 26 Valmont Industries, Inc. 7,197 ------------- 37,084 ------------- CONSUMER FINANCE -- 1.3% 41 Bread Financial Holdings, Inc. 1,576 4 Credit Acceptance Corp. (a) 2,128 384 Navient Corp. 5,910 14 OneMain Holdings, Inc. 489 249 SLM Corp. 3,805 ------------- 13,908 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 7 Grand Canyon Education, Inc. (a) 570 187 H&R Block, Inc. 8,415 62 Service Corp. International 3,826 ------------- 12,811 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 161 Voya Financial, Inc. 9,906 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 232 EchoStar Corp., Class A (a) 4,271 283 Lumen Technologies, Inc. 2,819 ------------- 7,090 ------------- ELECTRIC UTILITIES -- 1.8% 69 Hawaiian Electric Industries, Inc. 2,699 137 NRG Energy, Inc. 5,656 194 OGE Energy Corp. 7,865 66 Portland General Electric Co. 3,410 ------------- 19,630 ------------- Page 36 See Notes to Financial Statements FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 2.0% 20 Acuity Brands, Inc. $ 3,279 68 Atkore, Inc. (a) 5,740 381 GrafTech International Ltd. 2,240 28 Hubbell, Inc. 5,776 169 nVent Electric PLC 5,570 ------------- 22,605 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.0% 90 Arrow Electronics, Inc. (a) 9,433 183 Avnet, Inc. 8,032 48 Belden, Inc. 3,143 64 II-VI, Inc. (a) 3,023 22 IPG Photonics Corp. (a) 1,993 80 Jabil, Inc. 4,824 88 National Instruments Corp. 3,499 34 TD SYNNEX Corp. 3,273 328 Vishay Intertechnology, Inc. 6,452 23 Vontier Corp. 504 2 Zebra Technologies Corp., Class A (a) 603 ------------- 44,779 ------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 37 Helmerich & Payne, Inc. 1,582 ------------- ENTERTAINMENT -- 0.6% 99 World Wrestling Entertainment, Inc., Class A 6,733 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.6% 272 Brixmor Property Group, Inc. 5,843 20 Camden Property Trust 2,570 303 Corporate Office Properties Trust 7,829 203 Cousins Properties, Inc. 5,451 81 First Industrial Realty Trust, Inc. 4,105 169 Highwoods Properties, Inc. 5,139 157 Hudson Pacific Properties, Inc. 2,074 115 Iron Mountain, Inc. 6,050 59 Kilroy Realty Corp. 2,877 227 Medical Properties Trust, Inc. 3,316 87 National Retail Properties, Inc. 3,906 386 Omega Healthcare Investors, Inc. 12,607 164 PotlatchDeltic Corp. 7,613 86 Rayonier, Inc. 3,055 9 SL Green Realty Corp. 398 ------------- 72,833 ------------- FOOD & STAPLES RETAILING -- 1.1% 149 Albertsons Cos., Inc., Class A 4,099 288 Sprouts Farmers Market, Inc. (a) 8,323 ------------- 12,422 ------------- FOOD PRODUCTS -- 2.0% 212 Flowers Foods, Inc. 5,788 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 31 J.M. Smucker (The) Co. $ 4,340 91 Post Holdings, Inc. (a) 8,077 77 TreeHouse Foods, Inc. (a) 3,588 ------------- 21,793 ------------- GAS UTILITIES -- 2.1% 130 National Fuel Gas Co. 9,265 38 ONE Gas, Inc. 2,974 273 UGI Corp. 10,784 ------------- 23,023 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.8% 129 DENTSPLY SIRONA, Inc. 4,227 240 Envista Holdings Corp. (a) 8,902 46 Haemonetics Corp. (a) 3,451 10 Inspire Medical Systems, Inc. (a) 1,915 20 iRhythm Technologies, Inc. (a) 2,949 48 Lantheus Holdings, Inc. (a) 3,782 43 QuidelOrtho Corp. (a) 3,408 10 Shockwave Medical, Inc. (a) 2,969 ------------- 31,603 ------------- HEALTH CARE PROVIDERS & SERVICES -- 5.2% 10 Amedisys, Inc. (a) 1,184 67 AMN Healthcare Services, Inc. (a) 6,877 63 Cardinal Health, Inc. 4,455 6 Chemed Corp. 2,857 6 DaVita, Inc. (a) 512 13 Encompass Health Corp. 631 6 Enhabit, Inc. (a) 100 132 Henry Schein, Inc. (a) 9,690 43 Molina Healthcare, Inc. (a) 14,507 225 Option Care Health, Inc. (a) 6,966 39 Patterson Cos., Inc. 1,088 168 Premier, Inc., Class A 5,920 28 Universal Health Services, Inc., Class B 2,740 ------------- 57,527 ------------- HOUSEHOLD DURABLES -- 2.3% 61 Meritage Homes Corp. (a) 4,779 18 Mohawk Industries, Inc. (a) 1,987 140 PulteGroup, Inc. 5,692 228 Taylor Morrison Home Corp. (a) 5,725 67 Toll Brothers, Inc. 2,934 102 Tri Pointe Homes, Inc. (a) 1,768 20 Whirlpool Corp. 3,132 ------------- 26,017 ------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 75 Clearway Energy, Inc., Class C 2,782 106 Vistra Corp. 2,624 ------------- 5,406 ------------- See Notes to Financial Statements Page 37 FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 4.9% 71 American Financial Group, Inc. $ 9,065 28 Assurant, Inc. 4,438 69 Brighthouse Financial, Inc. (a) 3,281 73 CNA Financial Corp. 2,808 304 CNO Financial Group, Inc. 5,597 13 Erie Indemnity Co., Class A 2,794 13 Kinsale Capital Group, Inc. 3,296 143 Loews Corp. 7,909 66 Mercury General Corp. 2,105 157 Old Republic International Corp. 3,429 254 Unum Group 9,614 ------------- 54,336 ------------- INTERNET & DIRECT MARKETING RETAIL -- 0.2% 786 Qurate Retail, Inc., Series A 2,437 ------------- IT SERVICES -- 1.2% 40 ExlService Holdings, Inc. (a) 6,708 46 Genpact Ltd. 2,161 3 Maximus, Inc. 182 249 Western Union (The) Co. 3,690 ------------- 12,741 ------------- LEISURE PRODUCTS -- 0.6% 287 Mattel, Inc. (a) 6,348 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 4 Bio-Rad Laboratories, Inc., Class A (a) 1,940 ------------- MACHINERY -- 2.9% 35 AGCO Corp. 3,805 51 Crane Holdings Co. 4,812 21 Flowserve Corp. 640 7 Franklin Electric Co., Inc. 608 114 Kennametal, Inc. 2,672 36 Lincoln Electric Holdings, Inc. 4,921 33 Snap-on, Inc. 7,189 78 Terex Corp. 2,591 56 Timken (The) Co. 3,528 11 Watts Water Technologies, Inc., Class A 1,524 ------------- 32,290 ------------- MEDIA -- 1.3% 57 Interpublic Group of (The) Cos., Inc. 1,575 46 John Wiley & Sons, Inc., Class A 2,117 36 Nexstar Media Group, Inc. 6,888 167 TEGNA, Inc. 3,574 ------------- 14,154 ------------- METALS & MINING -- 4.3% 75 Alcoa Corp. 3,711 144 Cleveland-Cliffs, Inc. (a) 2,487 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- METALS & MINING (CONTINUED) 86 Reliance Steel & Aluminum Co. $ 16,166 252 Steel Dynamics, Inc. 20,342 212 United States Steel Corp. 4,848 ------------- 47,554 ------------- MULTILINE RETAIL -- 1.1% 28 Dillard's, Inc., Class A 8,295 204 Macy's, Inc. 3,533 ------------- 11,828 ------------- OIL, GAS & CONSUMABLE FUELS -- 4.3% 51 Chesapeake Energy Corp. 5,125 5 Chord Energy Corp. 708 294 Coterra Energy, Inc. 9,087 20 Denbury, Inc. (a) 1,779 153 EQT Corp. 7,313 77 HF Sinclair Corp. 4,052 42 Magnolia Oil & Gas Corp., Class A 1,003 405 Marathon Oil Corp. 10,364 34 PDC Energy, Inc. 2,309 94 Range Resources Corp. (a) 3,089 99 World Fuel Services Corp. 2,554 ------------- 47,383 ------------- PAPER & FOREST PRODUCTS -- 0.7% 142 Louisiana-Pacific Corp. 7,701 ------------- PERSONAL PRODUCTS -- 0.9% 75 Edgewell Personal Care Co. 2,922 169 Nu Skin Enterprises, Inc., Class A 6,919 ------------- 9,841 ------------- PHARMACEUTICALS -- 0.5% 72 Organon & Co. 2,054 70 Prestige Consumer Healthcare, Inc. (a) 3,541 ------------- 5,595 ------------- PROFESSIONAL SERVICES -- 2.6% 42 ASGN, Inc. (a) 4,061 5 CACI International, Inc., Class A (a) 1,404 29 FTI Consulting, Inc. (a) 4,657 32 Insperity, Inc. 3,489 76 KBR, Inc. 3,671 78 ManpowerGroup, Inc. 5,719 21 Robert Half International, Inc. 1,616 10 Science Applications International Corp. 911 37 TriNet Group, Inc. (a) 3,049 ------------- 28,577 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 40 Jones Lang LaSalle, Inc. (a) 6,920 ------------- Page 38 See Notes to Financial Statements FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL -- 1.5% 157 Knight-Swift Transportation Holdings, Inc. $ 7,930 45 Ryder System, Inc. 3,440 116 Schneider National, Inc., Class B 2,652 76 Werner Enterprises, Inc. 3,024 ------------- 17,046 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1% 118 Amkor Technology, Inc. 2,375 99 Cirrus Logic, Inc. (a) 7,592 85 Lattice Semiconductor Corp. (a) 4,582 58 MKS Instruments, Inc. 5,778 26 Qorvo, Inc. (a) 2,334 6 Silicon Laboratories, Inc. (a) 752 ------------- 23,413 ------------- SOFTWARE -- 2.8% 18 Aspen Technology, Inc. (a) 3,791 204 Box, Inc., Class A (a) 5,253 30 CommVault Systems, Inc. (a) 1,629 5 Consensus Cloud Solutions, Inc. (a) 252 28 Dropbox, Inc., Class A (a) 599 4 Fair Isaac Corp. (a) 1,798 46 InterDigital, Inc. 2,307 42 Manhattan Associates, Inc. (a) 5,933 50 NortonLifeLock, Inc. 1,129 26 Qualys, Inc. (a) 3,949 18 SPS Commerce, Inc. (a) 2,198 65 Teradata Corp. (a) 2,139 ------------- 30,977 ------------- SPECIALTY RETAIL -- 5.8% 184 Aaron's (The) Co., Inc. 2,190 6 Advance Auto Parts, Inc. 1,012 118 AutoNation, Inc. (a) 14,703 40 Bath & Body Works, Inc. 1,493 121 Dick's Sporting Goods, Inc. 12,871 148 Foot Locker, Inc. 5,452 27 Murphy USA, Inc. 7,834 64 Penske Automotive Group, Inc. 7,546 81 Victoria's Secret & Co. (a) 2,709 60 Williams-Sonoma, Inc. 8,925 ------------- 64,735 ------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 40 NetApp, Inc. 2,885 77 Pure Storage, Inc., Class A (a) 2,231 189 Xerox Holdings Corp. 3,141 ------------- 8,257 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 39 Capri Holdings Ltd. (a) $ 1,840 33 PVH Corp. 1,856 11 Ralph Lauren Corp. 1,005 42 Tapestry, Inc. 1,459 ------------- 6,160 ------------- THRIFTS & MORTGAGE FINANCE -- 1.9% 169 Essent Group Ltd. 6,758 513 MGIC Investment Corp. 7,331 23 PennyMac Financial Services, Inc. 1,222 285 Radian Group, Inc. 6,016 ------------- 21,327 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 26 Applied Industrial Technologies, Inc. 2,756 47 Beacon Roofing Supply, Inc. (a) 2,581 14 MSC Industrial Direct Co., Inc., Class A 1,109 113 Univar Solutions, Inc. (a) 2,850 6 Watsco, Inc. 1,632 ------------- 10,928 ------------- TOTAL COMMON STOCKS -- 99.9% 1,108,758 (Cost $1,234,377) ------------- MONEY MARKET FUNDS -- 0.0% 101 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.06% (b) 101 (Cost $101) ------------- TOTAL INVESTMENTS -- 99.9% 1,108,859 (Cost $1,234,478) NET OTHER ASSETS AND LIABILITIES -- 0.1% 1,024 ------------- NET ASSETS -- 100.0% $ 1,109,883 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of August 31, 2022. See Notes to Financial Statements Page 39 FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of August 31, 2022 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 8/31/2022 PRICES INPUTS INPUTS --------------------------------------------------------------- Common Stocks*.................................. $ 1,108,758 $ 1,108,758 $ -- $ -- Money Market Funds.............................. 101 101 -- -- --------------------------------------------------------------- Total Investments............................... $ 1,108,859 $ 1,108,859 $ -- $ -- =============================================================== * See Portfolio of Investments for industry breakout. Page 40 See Notes to Financial Statements FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 0.2% 126 AAR Corp. (a) $ 5,403 ------------- BANKS -- 6.7% 217 Atlantic Union Bankshares Corp. 7,042 126 BancFirst Corp. 13,590 158 BankUnited, Inc. 5,854 323 Berkshire Hills Bancorp, Inc. 9,112 146 City Holding Co. 12,411 525 CVB Financial Corp. 13,776 40 Dime Community Bancshares, Inc. 1,250 441 First BanCorp 6,306 58 First Financial Bancorp 1,252 172 Hancock Whitney Corp. 8,296 293 Hilltop Holdings, Inc. 7,735 146 HomeStreet, Inc. 5,082 490 Hope Bancorp, Inc. 7,090 451 Northwest Bancshares, Inc. 6,346 216 OFG Bancorp 5,875 225 Popular, Inc. 17,375 80 Preferred Bank 5,427 96 Stock Yards Bancorp, Inc. 6,361 399 WesBanco, Inc. 13,650 ------------- 153,830 ------------- BEVERAGES -- 0.3% 56 MGP Ingredients, Inc. 6,130 ------------- BIOTECHNOLOGY -- 4.7% 377 Alkermes PLC (a) 8,923 184 AnaptysBio, Inc. (a) 4,272 36 Anika Therapeutics, Inc. (a) 814 206 Arcutis Biotherapeutics, Inc. (a) 5,552 1,039 Catalyst Pharmaceuticals, Inc. (a) 14,068 196 Eagle Pharmaceuticals, Inc. (a) 6,423 20 Enanta Pharmaceuticals, Inc. (a) 1,218 196 Halozyme Therapeutics, Inc. (a) 7,983 1,272 Ironwood Pharmaceuticals, Inc. (a) 13,687 132 iTeos Therapeutics, Inc. (a) 2,928 20 Karuna Therapeutics, Inc. (a) 5,101 70 Ligand Pharmaceuticals, Inc. (a) 6,467 202 REGENXBIO, Inc. (a) 5,959 174 Sage Therapeutics, Inc. (a) 6,553 674 Vanda Pharmaceuticals, Inc. (a) 7,131 150 Vir Biotechnology, Inc. (a) 3,562 266 Xencor, Inc. (a) 7,020 ------------- 107,661 ------------- BUILDING PRODUCTS -- 0.9% 22 Advanced Drainage Systems, Inc. 2,985 148 Insteel Industries, Inc. 4,277 290 Resideo Technologies, Inc. (a) 6,038 104 UFP Industries, Inc. 8,257 ------------- 21,557 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CAPITAL MARKETS -- 0.9% 198 Donnelley Financial Solutions, Inc. (a) $ 8,405 184 Federated Hermes, Inc. 6,267 10 Hercules Capital, Inc. 141 34 Houlihan Lokey, Inc. 2,669 24 Piper Sandler Cos. 2,749 ------------- 20,231 ------------- CHEMICALS -- 1.3% 283 AdvanSix, Inc. 10,262 234 American Vanguard Corp. 4,664 112 Cabot Corp. 8,061 134 LSB Industries, Inc. (b) 2,114 56 Sensient Technologies Corp. 4,461 ------------- 29,562 ------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 166 ABM Industries, Inc. 7,702 665 GEO Group (The), Inc. (a) 5,440 ------------- 13,142 ------------- COMMUNICATIONS EQUIPMENT -- 2.0% 272 ADTRAN Holdings, Inc. 6,321 108 Calix, Inc. (a) 6,356 68 Clearfield, Inc. (a) 7,895 28 Digi International, Inc. (a) 927 264 NETGEAR, Inc. (a) 6,228 578 NetScout Systems, Inc. (a) 18,346 ------------- 46,073 ------------- CONSTRUCTION & ENGINEERING -- 1.2% 148 Comfort Systems USA, Inc. 14,850 14 EMCOR Group, Inc. 1,665 194 Fluor Corp. (a) 5,130 252 Sterling Infrastructure, Inc. (a) 6,373 ------------- 28,018 ------------- CONSUMER FINANCE -- 1.1% 92 Bread Financial Holdings, Inc. 3,536 120 Encore Capital Group, Inc. (a) 6,562 196 Enova International, Inc. (a) 6,848 478 Navient Corp. 7,356 ------------- 24,302 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.7% 296 H&R Block, Inc. 13,320 999 Laureate Education, Inc. 11,009 1,308 Perdoceo Education Corp. (a) 15,147 ------------- 39,476 ------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 288 Cannae Holdings, Inc. (a) 6,224 ------------- See Notes to Financial Statements Page 41 FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 465 EchoStar Corp., Class A (a) $ 8,561 ------------- ELECTRIC UTILITIES -- 2.1% 310 Hawaiian Electric Industries, Inc. 12,127 284 Otter Tail Corp. 21,453 301 Portland General Electric Co. 15,553 ------------- 49,133 ------------- ELECTRICAL EQUIPMENT -- 1.7% 16 Acuity Brands, Inc. 2,623 134 Atkore, Inc. (a) 11,311 156 Encore Wire Corp. 20,295 826 GrafTech International Ltd. 4,857 ------------- 39,086 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.9% 18 Badger Meter, Inc. 1,704 100 Belden, Inc. 6,548 280 Benchmark Electronics, Inc. 7,686 22 ePlus, Inc. (a) 1,037 509 Knowles Corp. (a) 7,711 229 Methode Electronics, Inc. 9,265 58 PC Connection, Inc. 2,882 80 Plexus Corp. (a) 7,498 350 Sanmina Corp. (a) 16,982 311 ScanSource, Inc. (a) 9,010 431 TTM Technologies, Inc. (a) 6,780 675 Vishay Intertechnology, Inc. 13,277 ------------- 90,380 ------------- ENERGY EQUIPMENT & SERVICES -- 0.3% 108 Helmerich & Payne, Inc. 4,617 289 RPC, Inc. 2,298 ------------- 6,915 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.0% 60 CareTrust REIT, Inc. 1,292 229 Equity Commonwealth (a) 6,025 110 First Industrial Realty Trust, Inc. 5,575 242 Four Corners Property Trust, Inc. 6,507 60 Industrial Logistics Properties Trust 449 302 LTC Properties, Inc. 13,557 240 National Health Investors, Inc. 15,722 329 Office Properties Income Trust 5,781 353 Physicians Realty Trust 5,881 414 Piedmont Office Realty Trust, Inc., Class A 4,877 257 PotlatchDeltic Corp. 11,930 381 Retail Opportunity Investments Corp. 6,382 404 SITE Centers Corp. 5,236 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 96 Tanger Factory Outlet Centers, Inc. $ 1,480 150 Urban Edge Properties 2,360 ------------- 93,054 ------------- FOOD & STAPLES RETAILING -- 3.7% 86 BJ's Wholesale Club Holdings, Inc. (a) 6,406 32 Grocery Outlet Holding Corp. (a) 1,284 237 Ingles Markets, Inc., Class A 20,744 697 SpartanNash Co. 21,210 307 Sprouts Farmers Market, Inc. (a) 8,872 346 Weis Markets, Inc. 26,888 ------------- 85,404 ------------- FOOD PRODUCTS -- 0.6% 128 Cal-Maine Foods, Inc. 6,862 300 Hostess Brands, Inc. (a) 6,954 ------------- 13,816 ------------- GAS UTILITIES -- 0.3% 76 ONE Gas, Inc. 5,949 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.1% 507 AngioDynamics, Inc. (a) 11,225 214 Avanos Medical, Inc. (a) 5,271 154 Cutera, Inc. (a) 7,354 88 Enovis Corp. (a) 4,457 22 Globus Medical, Inc., Class A (a) 1,302 28 ICU Medical, Inc. (a) 4,452 212 Inogen, Inc. (a) 6,070 70 Inspire Medical Systems, Inc. (a) 13,404 82 Integer Holdings Corp. (a) 5,172 12 iRhythm Technologies, Inc. (a) 1,769 303 Lantheus Holdings, Inc. (a) 23,876 44 Neogen Corp. (a) 920 282 Orthofix Medical, Inc. (a) 5,612 82 QuidelOrtho Corp. (a) 6,499 56 Shockwave Medical, Inc. (a) 16,624 180 Varex Imaging Corp. (a) 3,796 ------------- 117,803 ------------- HEALTH CARE PROVIDERS & SERVICES -- 2.9% 42 Addus HomeCare Corp. (a) 3,747 20 Amedisys, Inc. (a) 2,369 172 AMN Healthcare Services, Inc. (a) 17,654 78 CorVel Corp. (a) 12,120 116 Fulgent Genetics, Inc. (a) 5,043 464 Option Care Health, Inc. (a) 14,365 36 Patterson Cos., Inc. 1,004 320 Premier, Inc., Class A 11,277 ------------- 67,579 ------------- Page 42 See Notes to Financial Statements FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 2.0% 401 Allscripts Healthcare Solutions, Inc. (a) $ 6,817 415 Evolent Health, Inc., Class A (a) 15,251 629 NextGen Healthcare, Inc. (a) 10,781 207 Simulations Plus, Inc. 12,431 ------------- 45,280 ------------- HOUSEHOLD DURABLES -- 2.9% 22 Cavco Industries, Inc. (a) 5,148 102 Century Communities, Inc. 4,762 635 Ethan Allen Interiors, Inc. 15,094 248 Green Brick Partners, Inc. (a) 6,041 130 M/I Homes, Inc. (a) 5,621 194 Skyline Champion Corp. (a) 10,994 300 Taylor Morrison Home Corp. (a) 7,533 647 Tri Pointe Homes, Inc. (a) 11,213 ------------- 66,406 ------------- INSURANCE -- 3.3% 160 American Equity Investment Life Holding Co. 6,080 118 Brighthouse Financial, Inc. (a) 5,611 625 CNO Financial Group, Inc. 11,506 366 Employers Holdings, Inc. 14,332 32 Enstar Group Ltd. (a) 6,056 28 Kinsale Capital Group, Inc. 7,100 58 RLI Corp. 6,366 132 Safety Insurance Group, Inc. 11,887 92 Selective Insurance Group, Inc. 7,307 ------------- 76,245 ------------- INTERACTIVE MEDIA & SERVICES -- 0.0% 16 Ziff Davis, Inc. (a) 1,236 ------------- IT SERVICES -- 2.1% 170 CSG Systems International, Inc. 9,834 110 ExlService Holdings, Inc. (a) 18,448 619 International Money Express, Inc. (a) 13,866 68 Perficient, Inc. (a) 5,311 ------------- 47,459 ------------- LEISURE PRODUCTS -- 1.0% 622 Smith & Wesson Brands, Inc. 8,273 124 Sturm Ruger & Co., Inc. 6,479 327 Vista Outdoor, Inc. (a) 9,195 ------------- 23,947 ------------- LIFE SCIENCES TOOLS & SERVICES -- 0.1% 10 Medpace Holdings, Inc. (a) 1,476 ------------- MACHINERY -- 1.6% 60 Hillenbrand, Inc. 2,500 355 Manitowoc (The) Co., Inc. (a) 3,390 364 Mueller Industries, Inc. 22,994 110 Titan International, Inc. (a) 1,544 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- MACHINERY (CONTINUED) 46 Watts Water Technologies, Inc., Class A $ 6,372 ------------- 36,800 ------------- MARINE -- 1.5% 132 Eagle Bulk Shipping, Inc. 5,734 784 Genco Shipping & Trading Ltd. 10,749 235 Matson, Inc. 17,310 ------------- 33,793 ------------- MEDIA -- 1.0% 102 John Wiley & Sons, Inc., Class A 4,695 210 Scholastic Corp. 9,641 72 TechTarget, Inc. (a) 4,673 126 Thryv Holdings, Inc. (a) 3,223 ------------- 22,232 ------------- METALS & MINING -- 2.5% 94 Alcoa Corp. 4,651 74 Alpha Metallurgical Resources, Inc. 11,629 156 Ryerson Holding Corp. 4,446 285 Schnitzer Steel Industries, Inc., Class A 9,416 522 TimkenSteel Corp. (a) 8,008 559 Warrior Met Coal, Inc. 18,196 ------------- 56,346 ------------- MULTILINE RETAIL -- 0.8% 46 Dillard's, Inc., Class A 13,627 268 Macy's, Inc. 4,642 ------------- 18,269 ------------- MULTI-UTILITIES -- 0.3% 88 Black Hills Corp. 6,642 ------------- OIL, GAS & CONSUMABLE FUELS -- 6.5% 176 Antero Resources Corp. (a) 7,054 98 Arch Resources, Inc. 14,267 202 California Resources Corp. 10,092 108 Chesapeake Energy Corp. 10,853 82 Chord Energy Corp. 11,607 118 Civitas Resources, Inc. 7,928 296 CNX Resources Corp. (a) 5,230 86 CONSOL Energy, Inc. 6,173 34 CVR Energy, Inc. 1,110 24 Denbury, Inc. (a) 2,134 973 Dorian LPG Ltd. 14,157 32 Golar LNG Ltd. (a) 873 26 Gulfport Energy Corp. (a) 2,542 385 Magnolia Oil & Gas Corp., Class A 9,190 235 Murphy Oil Corp. 9,158 130 Ovintiv, Inc. 6,908 94 PDC Energy, Inc. 6,384 186 REX American Resources Corp. (a) 5,636 See Notes to Financial Statements Page 43 FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 186 SandRidge Energy, Inc. (a) $ 3,902 114 SM Energy Co. 5,024 112 Teekay Tankers Ltd., Class A (a) 2,755 282 World Fuel Services Corp. 7,276 ------------- 150,253 ------------- PAPER & FOREST PRODUCTS -- 0.9% 364 Louisiana-Pacific Corp. 19,740 ------------- PERSONAL PRODUCTS -- 1.0% 354 elf Beauty, Inc. (a) 13,498 52 Inter Parfums, Inc. 4,083 32 Nu Skin Enterprises, Inc., Class A 1,310 48 USANA Health Sciences, Inc. (a) 3,097 48 Veru, Inc. (a) 734 ------------- 22,722 ------------- PHARMACEUTICALS -- 3.7% 749 Amphastar Pharmaceuticals, Inc. (a) 22,170 60 Axsome Therapeutics, Inc. (a) 3,828 379 Collegium Pharmaceutical, Inc. (a) 6,663 188 Corcept Therapeutics, Inc. (a) 4,854 398 Evolus, Inc. (a) 3,825 88 Harmony Biosciences Holdings, Inc. (a) 3,864 236 Innoviva, Inc. (a) 3,106 98 Intra-Cellular Therapies, Inc. (a) 4,925 24 Pacira BioSciences, Inc. (a) 1,259 239 Prestige Consumer Healthcare, Inc. (a) 12,089 424 SIGA Technologies, Inc. 6,394 365 Supernus Pharmaceuticals, Inc. (a) 12,494 ------------- 85,471 ------------- PROFESSIONAL SERVICES -- 1.8% 168 CBIZ, Inc. (a) 7,335 327 Heidrick & Struggles International, Inc. 9,306 112 Huron Consulting Group, Inc. (a) 7,493 184 Kforce, Inc. 10,069 134 Korn Ferry 8,163 ------------- 42,366 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.5% 964 Anywhere Real Estate, Inc. (a) 9,418 80 Cushman & Wakefield PLC (a) 1,197 556 Douglas Elliman, Inc. 2,563 168 Marcus & Millichap, Inc. 6,280 399 RMR Group (The), Inc., Class A 10,390 124 St. Joe (The) Co. 4,737 ------------- 34,585 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- ROAD & RAIL -- 2.5% 186 ArcBest Corp. $ 14,979 878 Daseke, Inc. (a) 5,321 831 Heartland Express, Inc. 12,590 292 Marten Transport Ltd. 5,784 84 Ryder System, Inc. 6,421 511 Schneider National, Inc., Class B 11,681 ------------- 56,776 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.2% 132 Alpha & Omega Semiconductor Ltd. (a) 5,103 190 Axcelis Technologies, Inc. (a) 12,719 102 Cirrus Logic, Inc. (a) 7,822 413 Cohu, Inc. (a) 11,081 88 Diodes, Inc. (a) 6,263 237 Kulicke & Soffa Industries, Inc. 9,963 104 Lattice Semiconductor Corp. (a) 5,606 800 Photronics, Inc. (a) 13,440 48 Rambus, Inc. (a) 1,238 ------------- 73,235 ------------- SOFTWARE -- 1.9% 157 Box, Inc., Class A (a) 4,043 100 CommVault Systems, Inc. (a) 5,429 94 Ebix, Inc. 2,446 104 InterDigital, Inc. 5,216 49 Qualys, Inc. (a) 7,443 14 SPS Commerce, Inc. (a) 1,710 114 Tenable Holdings, Inc. (a) 4,515 32 Teradata Corp. (a) 1,053 106 Verint Systems, Inc. (a) 5,140 389 Xperi Holding Corp. 6,189 ------------- 43,184 ------------- SPECIALTY RETAIL -- 3.4% 456 Aaron's (The) Co., Inc. 5,426 343 Abercrombie & Fitch Co., Class A (a) 4,936 74 Academy Sports & Outdoors, Inc. 3,188 396 Big 5 Sporting Goods Corp. 4,847 56 Buckle (The), Inc. 1,808 176 Caleres, Inc. 4,491 26 Children's Place (The), Inc. (a) 1,097 38 Citi Trends, Inc. (a) 767 294 Designer Brands, Inc., Class A 5,016 64 Genesco, Inc. (a) 3,621 40 Group 1 Automotive, Inc. 7,144 84 Haverty Furniture Cos., Inc. 2,253 40 Hibbett, Inc. 2,344 275 MarineMax, Inc. (a) 9,993 54 Murphy USA, Inc. 15,669 64 Signet Jewelers Ltd. 4,184 76 Zumiez, Inc. (a) 1,973 ------------- 78,757 ------------- Page 44 See Notes to Financial Statements FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 186 Avid Technology, Inc. (a) $ 5,087 82 Super Micro Computer, Inc. (a) 5,337 370 Xerox Holdings Corp. 6,149 ------------- 16,573 ------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.3% 483 G-III Apparel Group Ltd. (a) 10,177 58 Kontoor Brands, Inc. 2,159 246 Movado Group, Inc. 7,845 70 Oxford Industries, Inc. 7,471 62 Steven Madden Ltd. 1,805 ------------- 29,457 ------------- THRIFTS & MORTGAGE FINANCE -- 2.0% 162 Essent Group Ltd. 6,478 478 Kearny Financial Corp. 5,430 896 MGIC Investment Corp. 12,804 136 Mr. Cooper Group, Inc. (a) 5,753 684 Radian Group, Inc. 14,439 ------------- 44,904 ------------- TOBACCO -- 0.4% 150 Universal Corp. 7,656 94 Vector Group Ltd. 921 ------------- 8,577 ------------- TRADING COMPANIES & DISTRIBUTORS -- 2.5% 14 Applied Industrial Technologies, Inc. 1,484 160 BlueLinx Holdings, Inc. (a) 11,216 324 Boise Cascade Co. 20,195 162 Rush Enterprises, Inc., Class A 7,624 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 80 Veritiv Corp. (a) $ 9,535 48 WESCO International, Inc. (a) 6,321 ------------- 56,375 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 212 Gogo, Inc. (a) 3,151 180 United States Cellular Corp. (a) 5,146 ------------- 8,297 ------------- TOTAL COMMON STOCKS -- 99.7% 2,286,692 (Cost $2,371,350) ------------- MONEY MARKET FUNDS -- 0.2% 5,636 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.06% (c) 5,636 (Cost $5,636) ------------- TOTAL INVESTMENTS -- 99.9% 2,292,328 (Cost $2,376,986) NET OTHER ASSETS AND LIABILITIES -- 0.1% 2,149 ------------- NET ASSETS -- 100.0% $ 2,294,477 ============= (a) Non-income producing security. (b) Non-income producing security which makes payment-in-kind ("PIK") distributions. There were no in-kind distributions received for the fiscal year ended August 31, 2022. (c) Rate shown reflects yield as of August 31, 2022. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of August 31, 2022 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 8/31/2022 PRICES INPUTS INPUTS --------------------------------------------------------------- Common Stocks*.................................. $ 2,286,692 $ 2,286,692 $ -- $ -- Money Market Funds.............................. 5,636 5,636 -- -- --------------------------------------------------------------- Total Investments............................... $ 2,292,328 $ 2,292,328 $ -- $ -- =============================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 45 FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF ASSETS AND LIABILITIES AUGUST 31, 2022 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............................. $ 27,961,778 $ 13,759,905 $ 41,787,108 Investments, at value - Affiliated............................... -- -- 168,962,043 ---------------- ----------------- ----------------- Total investments, at value................................... 27,961,778 13,759,905 210,749,151 Cash............................................................. -- 133,187 -- Receivables: Dividends..................................................... 64,579 4,014 43,779 Investment securities sold.................................... -- 213,596 -- Interest...................................................... -- 168,349 -- ---------------- ----------------- ----------------- Total Assets.................................................. 28,026,357 14,279,051 210,792,930 ---------------- ----------------- ----------------- LIABILITIES: Investment advisory fees payable................................. 21,020 6,826 35,655 ---------------- ----------------- ----------------- Total Liabilities............................................. 21,020 6,826 35,655 ---------------- ----------------- ----------------- NET ASSETS....................................................... $ 28,005,337 $ 14,272,225 $ 210,757,275 ================ ================= ================= NET ASSETS CONSIST OF: Paid-in capital.................................................. $ 30,703,956 $ 18,016,412 $ 227,943,968 Par value........................................................ 13,550 8,500 112,000 Accumulated distributable earnings (loss)........................ (2,712,169) (3,752,687) (17,298,693) ---------------- ----------------- ----------------- NET ASSETS....................................................... $ 28,005,337 $ 14,272,225 $ 210,757,275 ================ ================= ================= NET ASSET VALUE, per share....................................... $ 20.67 $ 16.79 $ 18.82 ================ ================= ================= Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................ 1,355,000 850,002 11,200,002 ================ ================= ================= Investments, at cost - Unaffiliated.............................. $ 30,672,580 $ 14,054,537 $ 44,100,511 ================ ================= ================= Investments, at cost - Affiliated................................ $ -- $ -- $ 177,695,728 ================ ================= ================= Total investments, at cost....................................... $ 30,672,580 $ 14,054,537 $ 221,796,239 ================ ================= ================= 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) ---------------- ----------------- ----------------- $ 4,688,446 $ 1,108,859 $ 2,292,328 -- -- -- ---------------- ----------------- ----------------- 4,688,446 1,108,859 2,292,328 -- -- -- 11,427 1,663 3,693 -- -- -- -- -- -- ---------------- ----------------- ----------------- 4,699,873 1,110,522 2,296,021 ---------------- ----------------- ----------------- 2,300 639 1,544 ---------------- ----------------- ----------------- 2,300 639 1,544 ---------------- ----------------- ----------------- $ 4,697,573 $ 1,109,883 $ 2,294,477 ================ ================= ================= $ 5,246,544 $ 1,624,067 $ 2,865,405 2,000 500 1,000 (550,971) (514,684) (571,928) ---------------- ----------------- ----------------- $ 4,697,573 $ 1,109,883 $ 2,294,477 ================ ================= ================= $ 23.49 $ 22.20 $ 22.94 ================ ================= ================= 200,002 50,002 100,002 ================ ================= ================= $ 4,856,490 $ 1,234,478 $ 2,376,986 ================ ================= ================= $ -- $ -- $ -- ================ ================= ================= $ 4,856,490 $ 1,234,478 $ 2,376,986 ================ ================= ================= See Notes to Financial Statements Page 47 FIRST TRUST EXCHANGE-TRADED FUND VIII STATEMENTS OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2022 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......................................... $ 1,622,016 $ 601,273 $ 646,913 Dividends - Affiliated........................................... -- -- 3,515,584 Interest......................................................... -- 169,014 -- Foreign withholding tax.......................................... -- -- -- ---------------- ----------------- ----------------- Total investment income....................................... 1,622,016 770,287 4,162,497 ---------------- ----------------- ----------------- EXPENSES: Investment advisory fees......................................... 291,979 136,391 481,553 ---------------- ----------------- ----------------- Total expenses................................................ 291,979 136,391 481,553 ---------------- ----------------- ----------------- Less fees waived by the investment advisor....................... -- (11,814) -- ---------------- ----------------- ----------------- Net expenses..................................................... 291,979 124,577 481,553 ---------------- ----------------- ----------------- NET INVESTMENT INCOME (LOSS)..................................... 1,330,037 645,710 3,680,944 ---------------- ----------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments - Unaffiliated.................................... (264,250) (3,517,636) (268,198) Investments - Affiliated...................................... -- -- (4,573,520) In-kind redemptions - Unaffiliated............................ 193,489 (76,431) (305,245) In-kind redemptions - Affiliated.............................. -- -- (1,815,706) Distribution of capital gains from investment companies.................................................. 520,210 13,681 60,471 ---------------- ----------------- ----------------- Net realized gain (loss)......................................... 449,449 (3,580,386) (6,902,198) ---------------- ----------------- ----------------- Net change in unrealized appreciation (depreciation) on: Investments - Unaffiliated.................................... (7,342,772) (1,191,248) (2,562,299) Investments - Affiliated...................................... -- -- (8,139,913) ---------------- ----------------- ----------------- Net change in unrealized appreciation (depreciation)............. (7,342,772) (1,191,248) (10,702,212) ---------------- ----------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS).......................... (6,893,323) (4,771,634) (17,604,410) ---------------- ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ (5,563,286) $ (4,125,924) $ (13,923,466) ================ ================= ================= Page 48 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) ---------------- ----------------- ----------------- $ 79,724 $ 33,241 $ 44,454 -- -- -- -- -- -- -- (24) (52) ---------------- ----------------- ----------------- 79,724 33,217 44,402 ---------------- ----------------- ----------------- 24,459 11,622 18,973 ---------------- ----------------- ----------------- 24,459 11,622 18,973 ---------------- ----------------- ----------------- -- -- -- ---------------- ----------------- ----------------- 24,459 11,622 18,973 ---------------- ----------------- ----------------- 55,265 21,595 25,429 ---------------- ----------------- ----------------- (138,862) (150,352) (164,929) -- -- -- 107 (26,147) 109 -- -- -- -- -- -- ---------------- ----------------- ----------------- (138,755) (176,499) (164,820) ---------------- ----------------- ----------------- (441,602) (251,819) (219,832) -- -- -- ---------------- ----------------- ----------------- (441,602) (251,819) (219,832) ---------------- ----------------- ----------------- (580,357) (428,318) (384,652) ---------------- ----------------- ----------------- $ (525,092) $ (406,723) $ (359,223) ================ ================= ================= See Notes to Financial Statements Page 49 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) ----------------------------------- ----------------------------------- Year Ended Year Ended Year Ended Year Ended 8/31/2022 8/31/2021 8/31/2022 8/31/2021 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)............................ $ 1,330,037 $ 951,920 $ 645,710 $ 389,967 Net realized gain (loss)................................ 449,449 1,993,017 (3,580,386) 115,287 Net change in unrealized appreciation (depreciation).... (7,342,772) 7,167,845 (1,191,248) 1,141,529 ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from operations........................................... (5,563,286) 10,112,782 (4,125,924) 1,646,783 ---------------- ---------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (2,022,212) (1,686,588) (717,089) (395,501) Return of capital....................................... -- -- (10,763) -- ---------------- ---------------- ---------------- ---------------- Total distributions to shareholders..................... (2,022,212) (1,686,588) (727,852) (395,501) ---------------- ---------------- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 2,433,703 6,988,057 12,143,517 8,430,208 Cost of shares redeemed................................. (5,518,237) (10,040,378) (11,345,363) -- ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions............................. (3,084,534) (3,052,321) 798,154 8,430,208 ---------------- ---------------- ---------------- ---------------- Total increase (decrease) in net assets................. (10,670,032) 5,373,873 (4,055,622) 9,681,490 NET ASSETS: Beginning of period..................................... 38,675,369 33,301,496 18,327,847 8,646,357 ---------------- ---------------- ---------------- ---------------- End of period........................................... $ 28,005,337 $ 38,675,369 $ 14,272,225 $ 18,327,847 ================ ================ ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 1,505,000 1,655,000 850,002 450,002 Shares sold............................................. 100,000 300,000 600,000 400,000 Shares redeemed......................................... (250,000) (450,000) (600,000) -- ---------------- ---------------- ---------------- ---------------- Shares outstanding, end of period....................... 1,355,000 1,505,000 850,002 850,002 ================ ================ ================ ================ Page 50 See Notes to Financial Statements FIRST TRUST FIRST TRUST LOW DURATION ACTIVE FACTOR STRATEGIC FOCUS ETF LARGE CAP ETF (LDSF) (AFLG) ----------------------------------- ----------------------------------- Year Ended Year Ended Year Ended Year Ended 8/31/2022 8/31/2021 8/31/2022 8/31/2021 ---------------- ---------------- ---------------- ---------------- $ 3,680,944 $ 2,938,613 $ 55,265 $ 57,256 (6,902,198) 1,753,049 (138,755) 1,238,808 (10,702,212) (2,248,816) (441,602) 84,230 ---------------- ---------------- ---------------- ---------------- (13,923,466) 2,442,846 (525,092) 1,380,294 ---------------- ---------------- ---------------- ---------------- (4,397,151) (3,935,676) (46,676) (53,635) (729,900) -- -- -- ---------------- ---------------- ---------------- ---------------- (5,127,051) (3,935,676) (46,676) (53,635) ---------------- ---------------- ---------------- ---------------- 175,760,526 106,710,761 1,261,886 8,097,356 (130,024,664) (51,846,837) -- (7,515,991) ---------------- ---------------- ---------------- ---------------- 45,735,862 54,863,924 1,261,886 581,365 ---------------- ---------------- ---------------- ---------------- 26,685,345 53,371,094 690,118 1,908,024 184,071,930 130,700,836 4,007,455 2,099,431 ---------------- ---------------- ---------------- ---------------- $ 210,757,275 $ 184,071,930 $ 4,697,573 $ 4,007,455 ================ ================ ================ ================ 9,100,002 6,400,002 150,002 100,002 8,900,000 5,250,000 50,000 350,000 (6,800,000) (2,550,000) -- (300,000) ---------------- ---------------- ---------------- ---------------- 11,200,002 9,100,002 200,002 150,002 ================ ================ ================ ================ See Notes to Financial Statements Page 51 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) ----------------------------------- ----------------------------------- Year Ended Year Ended Year Ended Year Ended 8/31/2022 8/31/2021 8/31/2022 8/31/2021 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)............................ $ 21,595 $ 14,929 $ 25,429 $ 5,393 Net realized gain (loss)................................ (176,499) 614,371 (164,820) 731,776 Net change in unrealized appreciation (depreciation).... (251,819) 138,549 (219,832) 89,504 ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from operations........................................... (406,723) 767,849 (359,223) 826,673 ---------------- ---------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (19,566) (17,180) (18,130) (8,250) Return of capital....................................... -- -- -- -- ---------------- ---------------- ---------------- ---------------- Total distributions to shareholders..................... (19,566) (17,180) (18,130) (8,250) ---------------- ---------------- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 1,306,411 1,175,597 -- 2,572,524 Cost of shares redeemed................................. (1,076,295) (2,457,585) -- (2,563,922) ---------------- ---------------- ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions............................. 230,116 (1,281,988) -- 8,602 ---------------- ---------------- ---------------- ---------------- Total increase (decrease) in net assets................. (196,173) (531,319) (377,353) 827,025 NET ASSETS: Beginning of period..................................... 1,306,056 1,837,375 2,671,830 1,844,805 ---------------- ---------------- ---------------- ---------------- End of period........................................... $ 1,109,883 $ 1,306,056 $ 2,294,477 $ 2,671,830 ================ ================ ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 50,002 100,002 100,002 100,002 Shares sold............................................. 50,000 50,000 -- 100,000 Shares redeemed......................................... (50,000) (100,000) -- (100,000) ---------------- ---------------- ---------------- ---------------- Shares outstanding, end of period....................... 50,002 50,002 100,002 100,002 ================ ================ ================ ================ Page 52 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) YEAR ENDED AUGUST 31, ------------------------------------------------------------------- 2022 2021 2020 2019 2018 ----------- ----------- ----------- ----------- ----------- Net asset value, beginning of period..................... $ 25.70 $ 20.12 $ 21.75 $ 22.26 $ 21.66 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)............................. 0.87 0.65 0.82 0.82 0.78 Net realized and unrealized gain (loss).................. (4.53) 6.07 (1.29) (0.18) 0.93 --------- --------- --------- --------- --------- Total from investment operations......................... (3.66) 6.72 (0.47) 0.64 1.71 --------- --------- --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.................................... (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...................................... (1.37) (1.14) (1.16) (1.15) (1.11) --------- --------- --------- --------- --------- Net asset value, end of period........................... $ 20.67 $ 25.70 $ 20.12 $ 21.75 $ 22.26 ========= ========= ========= ========= ========= TOTAL RETURN (a)......................................... (14.62)% 34.19% (2.04)% 3.18% 8.09% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $ 28,005 $ 38,675 $ 33,301 $ 37,085 $ 45,754 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (b)........ 0.85% 0.85% 0.85% 0.85% 0.85% Ratio of net investment income (loss) to average net assets................................................ 3.87% 2.79% 4.01% 3.92% 3.14% Portfolio turnover rate (c).............................. 16% 8% 6% 13% 15% FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF (MFLX) YEAR ENDED AUGUST 31, ------------------------------------------------------------------- 2022 2021 2020 2019 2018 ----------- ----------- ----------- ----------- ----------- Net asset value, beginning of period..................... $ 21.56 $ 19.21 $ 19.61 $ 17.94 $ 19.20 --------- --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)............................. 0.67 0.70 0.68 0.62 0.64 Net realized and unrealized gain (loss).................. (4.68) 2.39 (0.48) 1.65 (1.24) --------- --------- --------- --------- --------- Total from investment operations......................... (4.01) 3.09 0.20 2.27 (0.60) --------- --------- --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.................................... (0.72) (0.74) (0.60) (0.60) (0.64) Net realized gain........................................ (0.03) (0.00) (d) -- -- -- Return of capital........................................ (0.01) -- -- -- (0.02) --------- --------- --------- --------- --------- Total distributions...................................... (0.76) (0.74) (0.60) (0.60) (0.66) --------- --------- --------- --------- --------- Net asset value, end of period........................... $ 16.79 $ 21.56 $ 19.21 $ 19.61 $ 17.94 ========= ========= ========= ========= ========= TOTAL RETURN (a)......................................... (18.91)% 16.37% 1.10% 12.96% (3.09)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $ 14,272 $ 18,328 $ 8,646 $ 10,785 $ 13,454 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (b)........ 0.75% 0.75% 0.75% 0.75% 0.75% Ratio of net expenses to average net assets.............. 0.69% -- -- -- -- Ratio of net investment income (loss) to average net assets................................................ 3.55% 3.57% 3.49% 3.49% 3.54% Portfolio turnover rate (c).............................. 109% (e) 17% 7% 20% 11% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. Total returns would have been lower if certain fees had not been waived by the investment advisor. (b) 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. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) Amount is less than $0.01. (e) 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 53 FIRST TRUST EXCHANGE-TRADED FUND VIII FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) YEAR ENDED AUGUST 31, PERIOD --------------------------------------- ENDED 2022 2021 2020 8/31/2019 (a) ----------- ----------- ----------- ------------- Net asset value, beginning of period..................... $ 20.23 $ 20.42 $ 20.50 $ 20.03 --------- --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)............................. 0.29 0.38 0.49 0.43 Net realized and unrealized gain (loss).................. (1.29) (0.06) (0.07) 0.47 --------- --------- --------- --------- Total from investment operations......................... (1.00) 0.32 0.42 0.90 --------- --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.................................... (0.35) (0.51) (0.50) (0.43) Return of capital........................................ (0.06) -- -- -- --------- --------- --------- --------- Total distributions...................................... (0.41) (0.51) (0.50) (0.43) --------- --------- --------- --------- Net asset value, end of period........................... $ 18.82 $ 20.23 $ 20.42 $ 20.50 ========= ========= ========= ========= TOTAL RETURN (b)......................................... (4.98)% 1.57% 2.09% 4.52% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $ 210,757 $ 184,072 $ 130,701 $ 50,228 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (c)........ 0.20% 0.20% 0.20% 0.20% (d) Ratio of net investment income (loss) to average net assets................................................ 1.53% 1.85% 2.36% 3.16% (d) Portfolio turnover rate (e).............................. 50% 54% 71% 14% FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) YEAR ENDED AUGUST 31, PERIOD ------------------------- ENDED 2022 2021 8/31/2020 (a) ----------- ----------- ------------- Net asset value, beginning of period..................... $ 26.72 $ 20.99 $ 19.87 --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)............................. 0.30 0.27 0.23 Net realized and unrealized gain (loss).................. (3.26) 5.72 1.07 --------- --------- --------- Total from investment operations......................... (2.96) 5.99 1.30 --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.................................... (0.27) (0.26) (0.18) --------- --------- --------- Net asset value, end of period........................... $ 23.49 $ 26.72 $ 20.99 ========= ========= ========= TOTAL RETURN (b)......................................... (11.18)% 28.74% 6.67% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $ 4,698 $ 4,007 $ 2,099 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets............ 0.55% 0.55% 0.55% (d) Ratio of net investment income (loss) to average net assets................................................ 1.24% 1.12% 1.62% (d) Portfolio turnover rate (e).............................. 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 54 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) YEAR ENDED AUGUST 31, PERIOD ------------------------- ENDED 2022 2021 8/31/2020 (a) ----------- ----------- ------------- Net asset value, beginning of period..................... $ 26.12 $ 18.37 $ 19.88 --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)............................. 0.32 0.19 0.18 Net realized and unrealized gain (loss).................. (3.96) 7.76 (1.55) --------- --------- --------- Total from investment operations......................... (3.64) 7.95 (1.37) --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.................................... (0.28) (0.20) (0.14) --------- --------- --------- Net asset value, end of period........................... $ 22.20 $ 26.12 $ 18.37 ========= ========= ========= TOTAL RETURN (b)......................................... (14.04)% 43.52% (6.86)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $ 1,110 $ 1,306 $ 1,837 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets............ 0.65% 0.65% 0.65% (c) Ratio of net investment income (loss) to average net assets................................................ 1.21% 0.81% 1.34% (c) Portfolio turnover rate (d).............................. 80% 80% 66% FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) YEAR ENDED AUGUST 31, PERIOD ------------------------- ENDED 2022 2021 8/31/2020 (a) ----------- ----------- ------------- Net asset value, beginning of period..................... $ 26.72 $ 18.45 $ 19.95 --------- --------- --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)............................. 0.25 0.05 0.12 Net realized and unrealized gain (loss).................. (3.85) 8.30 (1.52) --------- --------- --------- Total from investment operations......................... (3.60) 8.35 (1.40) --------- --------- --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.................................... (0.18) (0.08) (0.10) --------- --------- --------- Net asset value, end of period........................... $ 22.94 $ 26.72 $ 18.45 ========= ========= ========= TOTAL RETURN (b)......................................... (13.52)% 45.40% (7.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)..................... $ 2,294 $ 2,672 $ 1,845 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets (e)........ 0.75% 0.75% 0.75% (c) Ratio of net investment income (loss) to average net assets................................................ 1.01% 0.27% 0.91% (c) Portfolio turnover rate (d).............................. 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 securities in which the Fund invests. This ratio does not include these indirect fees and expenses. See Notes to Financial Statements Page 55 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 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 ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of fifty-six 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")(1) First Trust Flexible Municipal High Income ETF - (Nasdaq ticker "MFLX")(2) 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") (1) Effective on April 8, 2022, First Trust CEF Income Opportunity ETF changed its name to First Trust Income Opportunities ETF. (2) Effective on April 14, 2022, First Trust Municipal CEF Income Opportunity ETF (Nasdaq ticker "MCEF") changed its name and ticker to First Trust Flexible Municipal High Income ETF (Nasdaq ticker "MFLX"). 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 borrowing) in municipal debt securities that pay interest that is exempt from regular federal income taxes. Prior to April 8, 2022 and April 14, 2022, respectively, FCEF and MFLX invested at least 80% of their net assets (including investment borrowings) in Closed-End Funds. MFLX invested in Closed-End Funds ("Municipal Closed-End Funds") which invest primarily in municipal debt securities, some or all of which pay interest that is exempt from regular federal income taxes. FCEF and MFLX may have also invested in exchange-traded funds. Closed-End Funds issue shares of common stock that are traded on a securities exchange. Because the shares of Closed-End Funds cannot be redeemed upon demand to the issuer like the shares of an open-end investment company, investors seek to buy and sell shares of Closed-End Funds in the secondary market. 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. Page 56 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 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. 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 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 adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. 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 fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Shares of open-end funds are valued at fair value which is based on NAV per share. Municipal securities and other debt securities are fair valued on the basis of fair valuations provided by dealers who make markets in such securities or by a third-party pricing service approved by the Trust's Board of Trustees, 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. Page 57 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 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. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. 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 August 31, 2022, is included with each Fund's Portfolio of Investments. In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing requirements to determine fair value in good faith for purposes of the 1940 Act. The rule permits fund boards to designate a fund's investment adviser to perform fair value determinations, subject to board oversight and certain other conditions. The rule also defines when market quotations are "readily available" Page 58 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 for purposes of the 1940 Act and requires a fund to fair value a portfolio investment when a market quotation is not readily available. The SEC also adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping requirements associated with fair value determinations. The compliance date for Rule 2a-5 and Rule 31a-4 is September 8, 2022. Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the Trust's Board of Trustees designated the Advisor as its valuation designee to perform fair value determinations and approved new Advisor Valuation Procedures for the Trust. 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. 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 August 31, 2022, 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 August 31, 2022 and for the fiscal year then ended are as follows: CHANGE IN UNREALIZED REALIZED SHARES AT VALUE AT APPRECIATION GAIN VALUE AT DIVIDEND SECURITY NAME 8/31/2022 8/31/2021 PURCHASES SALES (DEPRECIATION) (LOSS) 8/31/2022 INCOME ----------------------------------------------------------------------------------------------------------------------------------- First Trust Emerging Markets Local Currency Bond ETF -- $ 4,515,997 $ 4,789,473 $ (7,718,545) $ 36,416 $ (1,623,341) $ -- $ 339,698 First Trust Enhanced Short Maturity ETF 440,244 18,425,976 40,929,741 (33,122,284) (4,113) (74,424) 26,154,896 128,936 First Trust Low Duration Opportunities ETF 1,735,219 73,503,407 70,758,510 (57,284,884) (2,404,706) (743,897) 83,828,430 (11,357) First Trust Senior Loan Fund -- 32,186,177 28,469,694 (58,506,391) (59,047) (2,090,433) -- 1,044,416 First Trust Tactical High Yield ETF 806,714 9,186,126 42,239,555 (14,275,683) (3,997,622) (480,459) 32,671,917 1,431,640 First Trust TCW Unconstrained Plus Bond ETF 1,065,484 18,399,566 50,965,049 (39,970,302) (1,710,841) (1,376,672) 26,306,800 582,251 ------------------------------------------------------------------------------------------------- $156,217,249 $238,152,022 $(210,878,089) $ (8,139,913) $ (6,389,226) $168,962,043 $3,515,584 ================================================================================================= D. 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. Page 59 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 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 -- -- -- The tax character of distributions paid by each Fund during the fiscal year ended August 31, 2021, 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 $ 1,243,133 $ 443,455 $ -- $ -- First Trust Flexible Municipal High Income ETF 9,130 -- 386,371 -- First Trust Low Duration Strategic Focus ETF 3,935,676 -- -- -- First Trust Active Factor Large Cap ETF 53,635 -- -- -- First Trust Active Factor Mid Cap ETF 17,180 -- -- -- First Trust Active Factor Small Cap ETF 8,250 -- -- -- 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) E. 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. Page 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 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 August 31, 2022, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At 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. In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended August 31, 2022, the adjustments for each Fund were as follows: Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital -------------- -------------- --------------- First Trust Income Opportunities ETF $ 523,085 $ (271,695) $ (251,390) First Trust Flexible Municipal High Income ETF 8,606 122,821 (131,427) First Trust Low Duration Strategic Focus ETF 716,207 2,926,082 (3,642,289) First Trust Active Factor Large Cap ETF -- (147) 147 First Trust Active Factor Mid Cap ETF -- 26,983 (26,983) First Trust Active Factor Small Cap ETF 224 (88) (136) Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 As of August 31, 2022, 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 $ 30,673,947 $ 610,422 $ (3,322,591) $ (2,712,169) First Trust Flexible Municipal High Income ETF 14,056,794 80,156 (377,045) (296,889) First Trust Low Duration Strategic Focus ETF 221,900,160 216,943 (11,367,952) (11,151,009) First Trust Active Factor Large Cap ETF 4,875,934 248,387 (435,875) (187,488) First Trust Active Factor Mid Cap ETF 1,234,599 32,187 (157,927) (125,740) First Trust Active Factor Small Cap ETF 2,381,804 175,460 (264,936) (89,476) F. 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 transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. Each Fund has agreed to pay First Trust an annual unitary management fee based on each Fund's average daily net assets at a rate set forth below: 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 effective April 14, 2022, the Advisor agreed to waive management fees of 0.20% of average daily net assets until 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 fiscal year ended August 31, 2022, the Advisor waived MFLX's fees of $11,814. 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. 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 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or 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 fiscal year ended August 31, 2022, 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 $ 5,537,411 $ 5,343,179 First Trust Flexible Municipal High Income ETF 18,703,695 20,891,030 First Trust Low Duration Strategic Focus ETF 118,024,880 117,341,339 First Trust Active Factor Large Cap ETF 2,680,410 2,667,837 First Trust Active Factor Mid Cap ETF 1,354,416 1,347,834 First Trust Active Factor Small Cap ETF 1,840,473 1,831,794 For the fiscal year ended August 31, 2022, 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 $ 1,231,396 $ 5,230,448 First Trust Flexible Municipal High Income ETF 11,008,041 8,420,948 First Trust Low Duration Strategic Focus ETF 175,450,130 129,792,828 First Trust Active Factor Large Cap ETF 1,258,562 -- First Trust Active Factor Mid Cap ETF 1,304,037 1,074,665 First Trust Active Factor Small Cap ETF -- -- 5. 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 Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 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. 6. 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. 7. 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. 8. OTHER MATTERS By operation of law, LDSF now operates as a diversified open-end management investment company as defined in Section 5(b) of the 1940 Act. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 64 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND VIII: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities of First Trust Income Opportunities ETF (formerly known as First Trust CEF Income Opportunity ETF), First Trust Flexible Municipal High Income ETF (formerly known as First Trust Municipal CEF Income Opportunity ETF), First Trust Low Duration Strategic Focus ETF, First Trust Active Factor Large Cap ETF, First Trust Active Factor Mid Cap ETF, and First Trust Active Factor Small Cap ETF, (the "Funds"), each a series of the First Trust Exchange-Traded Fund VIII, including the portfolios of investments, as of August 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of August 31, 2022, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods listed in the table below in conformity with accounting principles generally accepted in the United States of America. ------------------------------------------------------------------------------------------------------------------------------ INDIVIDUAL FUNDS INCLUDED IN THE TRUST FINANCIAL HIGHLIGHTS ------------------------------------------------------------------------------------------------------------------------------ First Trust Income Opportunities ETF (FCEF) For the years ended August 31, 2022, 2021, 2020, 2019, and 2018 (formerly known as First Trust CEF Income Opportunity ETF) First Trust Flexible Municipal High Income ETF (MFLX) (formerly known as First Trust Municipal CEF Income Opportunity ETF (MCEF)) ------------------------------------------------------------------------------------------------------------------------------ First Trust Low Duration Strategic Focus ETF For the years ended August 31, 2022, 2021, and 2020 and for the period from (LDSF) January 3, 2019 (commencement of operations) through August 31, 2019 ------------------------------------------------------------------------------------------------------------------------------ First Trust Active Factor Large Cap ETF (AFLG) For the years ended August 31, 2022 and 2021 and for the period from December 3, 2019 (commencement of operations) through August 31, 2020 First Trust Active Factor Mid Cap ETF (AFMC) First Trust Active Factor Small Cap ETF (AFSM) ------------------------------------------------------------------------------------------------------------------------------ BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of Page 65 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (CONTINUED) -------------------------------------------------------------------------------- the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois October 21, 2022 We have served as the auditor of one or more First Trust investment companies since 2001. Page 66 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended August 31, 2022, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations: Dividends Received Deduction ---------------------------- First Trust Income Opportunities ETF * First Trust Flexible Municipal High Income ETF * First Trust Low Duration Strategic Focus ETF 0.00% First Trust Active Factor Large Cap ETF 100.00% First Trust Active Factor Mid Cap ETF 100.00% First Trust Active Factor Small Cap ETF 100.00% * The actual percentage of income dividends that qualify for the dividend received deduction will be available to corporate shareholders shortly after the calendar year end. For the taxable year ended August 31, 2022, the following percentages of income dividend paid by the Funds are hereby designated as qualified dividend income: Qualified Dividend Income ---------------------------- First Trust Income Opportunities ETF ** First Trust Flexible Municipal High Income ETF ** First Trust Low Duration Strategic Focus ETF 0.00% First Trust Active Factor Large Cap ETF 100.00% First Trust Active Factor Mid Cap ETF 100.00% First Trust Active Factor Small Cap ETF 100.00% ** The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after the calendar year end. A portion of each of the Funds' 2022 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended August 31, 2022, may be eligible for the Qualified Business Income Deduction (QBI) under Internal Revenue Code of 1986, as amended, Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. Distributions paid to foreign shareholders for the taxable year ended August 31, 2022, that were properly designated by First Trust Low Duration Strategic Focus ETF as "interest-related dividends" or "short-term capital gain dividends," may not be subject to federal income tax provided that the income was earned directly by such foreign shareholders. Page 67 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) For the taxable year ended August 31, 2022, the following distribution information is being provided as required by the Internal Revenue Code or to meet a specific state's requirement. The First Trust Flexible Municipal High Income ETF designates the following amounts or, if subsequently determined to be different, the maximum amount allowable for its fiscal year ended August 31, 2022: Federal and State Income Tax ---------------------------- Tax-Exempt Interest Dividends 97.69% Alternative Minimum Tax (AMT) 14.23% For the fiscal year ended August 31, 2022, the amount of long-term capital gain distributions designated by First Trust Income Opportunities ETF was $169,090, which is taxable at the applicable capital gain tax rates for federal income tax purposes. For the fiscal year ended August 31, 2022, the amount of long-term capital gain distributions designated by First Trust Flexible Municipal High Income ETF was $29,680, which is taxable at the applicable capital gain tax rates for federal income tax purposes. 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. Page 68 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (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 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 Page 69 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) 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 the 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 the Fund's shares and result in increased market volatility. During any such events, the Fund's shares may trade at increased premiums or discounts to their net asset value and the bid/ask spread on the 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. 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 Page 70 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT FOR FIRST TRUST INCOME OPPORTUNITIES ETF FIRST TRUST FLEXIBLE MUNICIPAL HIGH INCOME ETF The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following two 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) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2023 at a meeting held on June 12-13, 2022. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2022 and June 12-13, 2022, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2022, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 12-13, 2022 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's unitary fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. The Board noted that each Fund is an actively-managed ETF and noted that the Advisor's CEF Management Team is responsible for the day-to-day management of FCEF's investments and the Advisor's Municipal Securities Team is responsible for the day-to-day management of MFLX's investments, with a sleeve managed by the CEF Management Team. The Board considered the background and experience of the members of the CEF Management Team and the Municipal Securities Team and noted the Board's prior meetings with members of the CEF Management Team. The Board considered the Advisor's statement that it applies the same oversight model internally with its CEF Management Team and Municipal Securities Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2022 meeting, described to the Board the scope of its ongoing investment in additional Page 71 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In addition to the written materials provided by the Advisor, at the June 12-13, 2022 meeting, the Board also received a presentation from representatives of the Advisor's Municipal Securities Team, who discussed the services that the Team provides to MFLX, including the Team's day-to-day management of MFLX's investments. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. The Board considered the unitary fee rate payable by each Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, acquired fund fees and expenses, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board noted that the Advisor had previously agreed to waive a portion of its unitary fee for MFLX in an amount equal to 0.20% of MFLX's average daily net assets until at least April 14, 2023. The Board also noted that, because each Fund invests in underlying funds, the Fund incurs acquired fund fees and expenses, which are not payable out of the unitary fee, and that such acquired fund fees and expenses will change over time as assets are reallocated among the underlying funds. The Board considered that for FCEF, to the extent any of the underlying funds are other funds in the First Trust Fund Complex, the Advisor has agreed to offset the unitary fee paid by each Fund related to the Fund's assets invested in the affiliated underlying funds. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for FCEF was below the median total (net) expense ratio (excluding acquired fund fees and expenses) of the peer funds in its Expense Group and that the unitary fee rate for MFLX, after taking into account the contractual fee waiver, was above the median total (net) expense ratio of the peer funds in its Expense Group. The Board also noted that FCEF's total (net) expense ratio (including acquired fund fees and expenses) was above the median total (net) expense ratio (including acquired fund fees and expenses) of the peer funds in its Expense Group. With respect to the Expense Groups, the Board, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, including that the Expense Group for FCEF contained both actively-managed ETFs and open-end mutual funds, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information comparing each Fund's performance for periods ended December 31, 2021 to the performance of the funds in its Performance Universe and, for FCEF, to that of a blended benchmark index and, for MFLX, to that of a benchmark index. With respect to FCEF, the Board noted that during 2021, it approved changing the Fund's investment strategy to allow the Fund to invest in ETFs in addition to closed-end funds, which took effect April 8, 2022, and that the performance information reflected FCEF's old investment strategy. With respect to MFLX, the Board noted that during 2021, it approved, subject to shareholder approval, changing the Fund's investment strategy from a fund-of-funds investment strategy primarily invested in municipal closed-end funds to an investment strategy primarily invested directly in municipal debt securities, which was approved by shareholders on April 12, 2022 and took effect on April 14, 2022, and that the performance information reflected MFLX's old investment strategy. Based on the information provided, the Board noted that FCEF outperformed its Performance Universe median and blended benchmark index for the one-, three- and five-year periods ended December 31, 2021. The Board also noted that MFLX outperformed its Performance Universe median and benchmark index for the one-year period ended December 31, 2021, and outperformed its Performance Universe median and underperformed its benchmark index for the three- and five-year periods ended December 31, 2021. On the basis of all the information provided on the unitary fee and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes that its expenses relating to providing advisory services to the Funds will likely increase during the next twelve months as the Advisor continues to build infrastructure and add Page 72 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) new staff. The Board noted that any reduction in fixed costs associated with the management of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2021 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis. BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT FOR FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor"), on behalf of the First Trust Low Duration Strategic Focus ETF (the "Fund"). The Board approved the continuation of the Agreement for a one-year period ending June 30, 2023 at a meeting held on June 12-13, 2022. The Board determined that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2022 and June 12-13, 2022, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2022, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 12-13, 2022 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from the Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor manages the Fund and knowing the Fund's unitary fee. In reviewing the Agreement, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services provided by the Advisor to the Fund, as well as the background and experience of the persons responsible for such services. The Board noted that the Fund is an actively-managed ETF and noted that the Advisor's Investment Committee is responsible for the day-to-day management of the Fund's investments. The Board considered the background and experience of the members of the Investment Committee. In reviewing the services provided, the Board noted the compliance Page 73 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objectives, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2022 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. In addition to the written materials provided by the Advisor, at the April 18, 2022 meeting, the Board also received a presentation from representatives of the Advisor's Investment Committee, who discussed the services that the Committee provides to the Fund, including the Committee's day-to-day management of the Fund's investments. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and the Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed the Fund consistent with its investment objectives, policies and restrictions. The Board considered the unitary fee rate payable by the Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for the Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, acquired fund fees and expenses, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board noted that, because the Fund invests in underlying ETFs, including ETFs in the First Trust Fund Complex, the Fund incurs acquired fund fees and expenses, which are not payable out of the unitary fee, and that such acquired fund fees and expenses will change over time as assets are reallocated among the underlying ETFs. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because the Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was above the median total (net) expense ratio (excluding acquired fund fees and expenses, as applicable) of the peer funds in its Expense Group. The Board also noted that the Fund's total (net) expense ratio (including acquired fund fees and expenses) was above the median total (net) expense ratio (including acquired fund fees and expenses, as applicable) of the peer funds in the Expense Group. With respect to the Expense Group, the Board, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, including that the Expense Group contained both actively-managed ETFs and open-end mutual funds, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Fund and other non-ETF clients that limited their comparability. In considering the unitary fee rate overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to the Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund's performance. The Board received and reviewed information comparing the Fund's performance for the one-year period ended December 31, 2021 to the performance of the funds in the Performance Universe and to that of a benchmark index. Based on the information provided, the Board noted that the Fund underperformed the Performance Universe median and outperformed the benchmark index for the one-year period ended December 31, 2021. On the basis of all the information provided on the unitary fee and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for the Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to the Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund and noted the Advisor's statement that it believes that its expenses relating to providing advisory services to the Fund will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2021 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund. The Board considered that the Advisor had identified as an indirect benefit to the Advisor Page 74 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Fund. In addition, the Board considered that the Advisor, as the investment advisor to certain of the underlying ETFs in which the Fund invests, will recognize additional revenue from such underlying ETFs if investment by the Fund causes the assets of the underlying ETFs to grow. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Fund. No single factor was determinative in the Board's analysis. BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT FOR FIRST TRUST ACTIVE FACTOR LARGE CAP ETF FIRST TRUST ACTIVE FACTOR MID CAP ETF FIRST TRUST ACTIVE FACTOR SMALL CAP ETF The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor"), on behalf of the following three series of the Trust (each a "Fund" and collectively, the "Funds"): 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 continuation of the Agreement for each Fund for a one-year period ending June 30, 2023 at a meeting held on June 12-13, 2022. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2022 and June 12-13, 2022, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2022, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 12-13, 2022 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's unitary fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. The Board noted that each Fund is Page 75 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) an actively-managed ETF and noted that the Advisor's Investment Committee is responsible for the day-to-day management of each Fund's investments. The Board considered the background and experience of the members of the Investment Committee. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2022 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In addition to the written materials provided by the Advisor, at the April 18, 2022 meeting, the Board also received a presentation from representatives of the Advisor's Investment Committee, who discussed the services that the Committee provides to each Fund, including the Committee's day-to-day management of each Fund's investments. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. The Board considered the unitary fee rate payable by each Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, acquired fund fees and expenses, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for AFLG was above the median total (net) expense ratio of the peer funds in its Expense Group and that the unitary fee rate for each of AFMC and AFSM was below the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for actively-managed ETFs and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information comparing each Fund's performance for the one-year period ended December 31, 2021 to the performance of the funds in its Performance Universe and to that of a benchmark index. Based on the information provided, the Board noted that AFLG outperformed its Performance Universe median and underperformed its benchmark index for the one-year period ended December 31, 2021. The Board also noted that each of AFMC and AFSM outperformed its respective Performance Universe median and benchmark index for the one-year period ended December 31, 2021. On the basis of all the information provided on the unitary fee and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes that its expenses relating to providing advisory services to the Funds will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board noted that any reduction in fixed costs associated with the management of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2021 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, Page 76 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 18, 2022 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted any highly liquid investment minimums. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 77 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician, Edward-Elmhurst Medical 220 None (1951) Group; Physician and Officer, o Since Inception Wheaton Orthopedics (1990 to 2021) Thomas R. Kadlec, Trustee o Indefinite Term Retired; President, ADM Investors 220 Director, National Futures (1957) Services, Inc. (Futures Commission Association and ADMIS o Since Inception Merchant) (2010 to July 2022) Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMISHong Kong Ltd., and Futures Industry Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate 220 Director and Board Chair (1964) Aurora Health and President, of Advocate Home Health o Since 2021 Advocate Aurora Continuing Health Services, Advocate Home Division (Integrated Healthcare Care Products and System) Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises 220 Formerly, Director of (1956) (Financial and Management Trust Company of Illinois o Since Inception Consulting) Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (2018 to Present), 220 None (1954) Managing Director and Chief o Since Inception Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First 220 None Chairman of the Board Trust Advisors L.P. and First Trust (1955) o Since Inception Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 78 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer, First (1966) Executive Officer Trust Advisors L.P. and First Trust Portfolios L.P.; o Since Inception Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1972) Officer and Chief First Trust Portfolios L.P. Accounting Officer o Since Inception W. Scott Jardine Secretary and Chief Legal o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. and (1966) and Assistant Secretary First Trust Portfolios L.P. o Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 79 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND VIII AUGUST 31, 2022 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2022 Page 80 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 [BLANK BACK COVER]