FIRST TRUST

First Trust Exchange-Traded Fund
Book 1

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

Semi-Annual Report
For the Six Months Ended
June 30, 2022





--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                               SEMI-ANNUAL REPORT
                                 JUNE 30, 2022

Shareholder Letter..........................................................   2
Market Overview.............................................................   3
Fund Performance Overview
   First Trust Dow Jones Select MicroCap Index Fund (FDM)...................   4
   First Trust Morningstar Dividend Leaders Index Fund (FDL)................   6
   First Trust US Equity Opportunities ETF (FPX)............................   8
   First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)...............  10
   First Trust Dow Jones Internet Index Fund (FDN)..........................  12
   First Trust Capital Strength ETF (FTCS)..................................  14
   First Trust Value Line(R) Dividend Index Fund (FVD)......................  16
Notes to Fund Performance Overview..........................................  18
Understanding Your Fund Expenses............................................  19
Portfolio of Investments
   First Trust Dow Jones Select MicroCap Index Fund (FDM)...................  21
   First Trust Morningstar Dividend Leaders Index Fund (FDL)................  26
   First Trust US Equity Opportunities ETF (FPX)............................  28
   First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)...............  32
   First Trust Dow Jones Internet Index Fund (FDN)..........................  33
   First Trust Capital Strength ETF (FTCS)..................................  36
   First Trust Value Line(R) Dividend Index Fund (FVD)......................  38
Statements of Assets and Liabilities........................................  42
Statements of Operations....................................................  44
Statements of Changes in Net Assets.........................................  46
Financial Highlights........................................................  49
Notes to Financial Statements...............................................  53
Additional Information......................................................  62





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

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

                  CAUTION REGARDING FORWARD-LOOKING STATEMENTS

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

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

                        PERFORMANCE AND RISK DISCLOSURE

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

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

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

                            HOW TO READ THIS REPORT

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

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

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


                                                                          Page 1





--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                  SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
                                 JUNE 30, 2022

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for certain
funds in the First Trust Exchange-Traded Fund (the "Funds"), which contains
detailed information about the Funds for the six months ended June 30, 2022.

The trillions of dollars of stimulus funneled into the U.S. financial system by
the Federal government throughout the bulk of the coronavirus ("COVID-19")
pandemic was effective in bolstering economic activity, as reflected by some
impressive gross domestic product ("GDP") statistics. It also fueled inflation.
I will touch on that angle as well. Data from the U.S. Bureau of Economic
Analysis indicates that annualized real GDP growth rates over the four quarters
comprising 2021 were 6.3%, 6.7%, 2.3% and 6.9%, respectively. It appears,
however, that the upside from those stimulus dollars may be waning. In the first
two quarters of 2022, the U.S. economy contracted. Real GDP declined by an
annualized 1.6% in the first quarter and declined by an annualized 0.9% in the
second quarter. Why the downturn? Well, the lion's share of the stimulus
programs for individuals ended in September 2021. The war between Russia and
Ukraine, which commenced in late February 2022, China's COVID-19 shutdown this
year and the ongoing supply chain bottlenecks have also provided a drag on the
global economy and securities markets, in my opinion. While the standard
definition of a recession is two consecutive quarters of negative GDP growth,
the official arbiter of declaring recessions in the U.S. belongs to the National
Bureau of Economic Research, and it factors in additional economic indicators in
its evaluation process. Even if we were to experience a recession, it does not
necessarily mean it will be deep in scope. Currently, the Federal Reserve (the
"Fed") is still hoping to orchestrate a soft landing for the economy, though it
admits it will be challenging.

In addition to the recent decline in economic activity, the financial media is
paying a good deal of attention to the inverted yield curve in the Treasury
market, particularly the spread between the yields on the 2-Year and 10-Year
Treasury Note ("T-Note"). As of July 27, 2022, the closing yield on the 2-Year
T-Note was 3.00%, 21 basis points ("bps") above the 2.79% yield on the 10-Year
T-Note. The current inversion has only been in play in earnest since July 5,
2022. Yields on shorter-maturity bonds should be lower than those further out on
the curve. For the 30-year period ended July 27, 2022, the average yield on the
10-Year T-Note was 113 bps higher than the average yield on the 2-Year T-Note.
Historically, such inversions have portended that a recession is likely to
arrive in the next 12-24 months. At its meeting on July 27, 2022, the Fed raised
the Federal Funds target rate by 75 bps to combat the spike in inflation. The
target rate currently sits at 2.50%, marking the upper bound of its 2.25% to
2.50% range. The Fed's next meeting is scheduled for September 20-21, 2022.

In the current climate, the number one goal is to tame inflation. The Fed has
made it clear that it is committed to doing so. The Consumer Price Index stood
at a trailing 12-month rate of 9.1% in June 2022, its highest level since 1981.
Surging inflation is the number one concern of Americans. It is certainly going
to be a hot button issue in the upcoming mid-term elections in November. A
recent CNN poll revealed that 75% of Americans consider inflation their top
economic concern and only 25% approve of President Joe Biden's efforts to
curtail it. This dovetails into another concern: the markets. With respect to
returns, on a year-to-date and 12-month basis, all the major domestic and
foreign stock and bond indices were sitting in negative territory, based on
their respective total returns through June 30, 2022. Sell-offs are a natural
part of market cycles. We all know that prices do not go up in a straight line.
As previously noted, the Fed, the economy and the markets are battling some
significant headwinds. The good news is we know what they are. Suffice it to
say, it will take some time to remedy them. 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





--------------------------------------------------------------------------------
MARKET OVERVIEW
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                               SEMI-ANNUAL REPORT
                           JUNE 30, 2022 (UNAUDITED)

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

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

STATE OF THE ECONOMY/INVESTING

As we head into the second half of 2022, the latest hot topic appears to be
whether or not the U.S. economy is on the cusp of a recession. After all, real
gross domestic product ("GDP") declined by an annualized 1.6% in the first
quarter of 2022, according to data from the U.S. Bureau of Economic Analysis.
The technical definition of a recession is two consecutive quarters of negative
GDP growth. Opinions on this topic vary. Some pundits believe the U.S. economy
is already in a recession. Brian Wesbury, Chief Economist at First Trust, is not
one of them. Wesbury notes that the official arbiter of recessions, the National
Bureau of Economic Research, considers other factors beyond just real GDP,
including the job market, manufacturing activity and real income. While subject
to change, Wesbury does not currently foresee a recession arriving until late
2023 or 2024. Investors should monitor the actions of the Federal Reserve (the
"Fed") over the next few months. We are anticipating additional interest rate
hikes by the Fed to combat the surge in inflation, which reached 9.1% on a
trailing 12-month basis in June 2022, as measured by the Consumer Price Index.

The global growth forecast from the International Monetary Fund ("IMF") released
in April 2022 projected a 3.6% real GDP growth rate for 2022, down from 6.1% in
2021. The IMF is calling for a 3.7% growth rate for the U.S. in 2022, down from
5.7% the previous year. Advanced Economies are expected to register a 3.3%
growth rate, down from 5.2%. While the gap has narrowed from prior years,
Emerging Market and Developing Economies are still expected to grow faster than
Advanced Economies. Their 2022 growth rate estimate is 3.8%, down from 6.8% a
year ago.

Investors continued to funnel capital into exchange-traded funds ("ETFs") and
related exchange-traded products ("ETPs") in the first half of 2022 despite the
sharp sell-off in the markets. ETFGI, an independent research and consultancy
firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood
at $6.18 trillion at the close of June 2022, down from $7.21 trillion at the end
of 2021. In the first half of 2022, net inflows to ETFs/ETPs listed in the U.S.
totaled $307.49 billion, with $158.73 billion of it flowing to equity funds.
Total assets invested in ETFs/ETPs listed globally stood at $8.86 trillion, down
from $10.27 trillion at the end of 2021. In the first half of this year, net
inflows to ETFs/ETPs listed globally totaled $463.81 billion, with $277.22
billion of it flowing to equity funds.

U.S. STOCKS AND BONDS

In the first half of 2022, three of the major U.S. stock indices posted
double-digit declines. The S&P 500(R) Index (the "Index"), S&P MidCap 400(R)
Index and S&P SmallCap 600(R) Index posted total returns of -19.96%, -19.54%,
and -18.94%, respectively, according to Bloomberg. Only one of the 11 major
sectors that comprise the Index posted positive total returns. The
top-performing sector was Energy, up 31.84%, while the worst-performing sector
was Consumer Discretionary, down 32.82%. Bloomberg's 2022 and 2023 consensus
earnings growth rate estimates for the Index were 10.37% and 8.49%,
respectively, as of July 1, 2022.

The Index posted a price-only return (dividends not included) of -20.58% in the
first half of 2022, the worst showing since a 21.01% decline in the first half
of 1970, according to MarketWatch. The definition of a bear market is a 20%
price decline from the most recent peak of a security or index. Statistics
provided by Dow Jones Market Data indicate that, since 1932, the Index has
endured a first-half decline of 15% or more on five occasions (1932, 1939, 1940,
1962 and 1970). The Index rebounded over the following six months in each of
those instances. The average second-half return for the five occurrences was
23.66%, with a median return of 15.25%, according to MarketWatch. Keep in mind,
past performance is no guarantee of future results.

In the U.S. bond market, all the major bond groups posted negative total returns
in the first half of 2022. The top performing major debt group we track was
intermediate Treasuries. The Bloomberg U.S. Treasury: Intermediate Index posted
a total return of -5.80%. The worst performing debt group we track was long-term
municipal bonds. The Bloomberg Municipal Bond: Long Bond (22+) Index posted a
total return of -14.66%. The yield on the benchmark 10-Year Treasury Note rose
151 basis points to 3.02% in the first half of 2022, according to Bloomberg. For
comparative purposes, its average yield for the 20-year period ended June 30,
2022, was 2.92%.

FOREIGN STOCKS AND BONDS

The U.S. Dollar rose by 9.43% against a basket of major currencies in the first
half of 2022, as measured by the U.S. Dollar Index ("DXY"), according to
Bloomberg. The DXY Index closed at a reading of 104.69 on June 30, 2022,
significantly above its 20-year average of 88.49. The stronger U.S. Dollar had a
negative influence on the returns of foreign securities held by U.S. investors,
provided they were unhedged.

The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a
total return of -18.50% (USD), while the Bloomberg Global Aggregate Index of
higher quality debt declined by 13.91% (USD). With respect to equities, the MSCI
Emerging Markets Index of stocks posted a total return of -17.63% (USD), while
the MSCI World ex USA Index was down 18.76% (USD) on a total return basis,
according to Bloomberg.


                                                                          Page 3





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

FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

The First Trust Dow Jones Select MicroCap Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Dow Jones Select
MicroCap Index(SM) (the "Index"). The Fund will normally invest at least 80% of
its net assets (including investment borrowings) in the common stocks of U.S.
micro-capitalization companies which are publicly traded in the United States.
The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in the common stocks that comprise the Index. The Index
is designed to measure the performance of micro-cap stocks issued by U.S.
companies that are comparatively liquid and have strong fundamentals relative to
the micro-cap segment as a whole. The Index is rebalanced quarterly and
reconstituted annually and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca, Inc. ("NYSE Arca"). The first day of
secondary market trading in shares of the Fund was September 30, 2005.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                              AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (9/27/05)      Ended      Ended      (9/27/05)
                                     6/30/22     6/30/22    6/30/22    6/30/22     to 6/30/22    6/30/22    6/30/22     to 6/30/22
                                                                                                   
FUND PERFORMANCE
NAV                                  -17.09%     -13.56%     5.07%      10.93%       7.06%       28.05%     182.20%      213.45%
Market Price                         -17.21%     -13.69%     5.07%      10.91%       7.05%       28.05%     181.75%      213.12%

INDEX PERFORMANCE
Dow Jones Select MicroCap Index(SM)  -16.91%     -13.06%     5.85%      11.68%       7.79%       32.90%     201.85%      251.61%
Russell 2000(R) Index                -23.43%     -25.20%     5.17%       9.35%       7.28%       28.65%     144.49%      224.40%
------------------------------------------------------------------------------------------------------------------------------------


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

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials                                     34.9%
Industrials                                    15.3
Consumer Discretionary                         11.1
Information Technology                          9.3
Health Care                                     7.3
Real Estate                                     5.9
Materials                                       5.2
Consumer Staples                                4.9
Energy                                          4.4
Utilities                                       1.0
Communication Services                          0.7
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
CONSOL Energy, Inc.                             1.7%
Meridian Bioscience, Inc.                       1.4
Ingles Markets, Inc., Class A                   1.3
Photronics, Inc.                                1.3
Franklin BSP Realty Trust, Inc.                 1.2
SpartanNash Co.                                 1.2
Andersons (The), Inc.                           1.1
Unitil Corp.                                    1.0
AdvanSix, Inc.                                  1.0
Banc of California, Inc.                        1.0
                                             -------
   Total                                       12.2%
                                             =======

-----------------------------
The Dow Jones Select MicroCap Index(SM) ("Index") is a product of S&P Dow Jones
Indices LLC or its affiliates ("SPDJI") and has been licensed for use by First
Trust. S&P(R) is a registered trademark of Standard & Poor's Financial Services
LLC ("S&P"); Dow Jones(R) is a registered trademark of Dow Jones Trademark
Holdings LLC ("Dow Jones"); and these trademarks have been licensed for use by
SPDJI and sublicensed for certain purposes by First Trust. The Fund is not
sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their
respective affiliates and none of such parties make any representation regarding
the advisability of investing in such products nor do they have any liability
for any errors, omissions, or interruptions of the Index.


Page 4





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

FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) (CONTINUED)



                       PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                            DECEMBER 31, 2011 - JUNE 30, 2022

            First Trust Dow Jones
               Select MicroCap          Dow Jones Select       Russell 2000(R)
                 Index Fund            MicroCap Index(SM)           Index
                                                          
12/11              $10,000                  $10,000                $10,000
06/12               10,644                   10,679                 10,853
12/12               11,587                   11,669                 11,634
06/13               13,469                   13,605                 13,479
12/13               16,606                   16,832                 16,151
06/14               16,495                   16,771                 16,666
12/14               17,117                   17,449                 16,941
06/15               18,007                   18,409                 17,746
12/15               17,213                   17,660                 16,193
06/16               17,643                   18,151                 16,552
12/16               23,315                   24,050                 19,644
06/17               23,460                   24,254                 20,624
12/17               25,285                   26,223                 22,521
06/18               27,341                   28,436                 24,246
12/18               22,072                   23,025                 20,038
06/19               24,648                   25,802                 23,440
12/19               28,089                   29,478                 25,152
06/20               21,729                   22,846                 21,888
12/20               26,895                   28,611                 30,176
06/21               34,754                   37,080                 35,469
12/21               36,238                   38,797                 34,650
06/22               30,045                   32,236                 26,532


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 5





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

FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)

The First Trust Morningstar Dividend Leaders Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Morningstar(R) Dividend
Leaders Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in the common stocks that
comprise the Index. The Index is designed to measure the performance of the 100
highest-yielding stocks that have a consistent record of dividend payment and
have the ability to sustain their dividend payments. The securities comprising
the Morningstar(R) US Market Index(SM) serve as the Fund's selection universe.
The Index is rebalanced quarterly and reconstituted annually and the Fund will
make corresponding changes to its portfolio shortly after the Index changes are
made public. The Fund's shares are listed for trading on the NYSE Arca. The
first day of secondary market trading in shares of the Fund was March 15, 2006.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                              AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended       (3/9/06)      Ended      Ended       (3/9/06)
                                     6/30/22     6/30/22    6/30/22    6/30/22     to 6/30/22    6/30/22    6/30/22     to 6/30/22
                                                                                                   
FUND PERFORMANCE
NAV                                    0.40%       9.81%     8.79%      10.52%       7.58%       52.42%     171.84%      229.11%
Market Price                           0.45%       9.87%     8.80%      10.52%       7.58%       52.44%     171.92%      229.28%

INDEX PERFORMANCE
Morningstar(R) Dividend Leaders
   Index(SM)                           0.58%      10.35%     9.38%      11.09%       8.12%       56.54%     186.22%      257.44%
S&P 500(R) Index                     -19.96%     -10.62%    11.31%      12.96%       9.10%       70.86%     238.16%      313.80%
------------------------------------------------------------------------------------------------------------------------------------


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

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials                                     18.8%
Energy                                         18.2
Consumer Staples                               13.6
Health Care                                    11.4
Information Technology                         10.3
Communication Services                          9.2
Utilities                                       7.9
Industrials                                     6.5
Consumer Discretionary                          2.7
Materials                                       1.4
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Exxon Mobil Corp.                               9.0%
Verizon Communications, Inc.                    8.4
AbbVie, Inc.                                    8.1
Philip Morris International, Inc.               5.9
Cisco Systems, Inc.                             4.8
International Business Machines Corp.           4.7
Altria Group, Inc.                              4.4
Pioneer Natural Resources Co.                   4.2
United Parcel Service, Inc., Class B            3.6
Gilead Sciences, Inc.                           2.9
                                             -------
   Total                                       56.0%
                                             =======

-----------------------------
Morningstar(R) and Morningstar(R) Dividend Leaders Index(SM) are registered
trademarks and service marks of Morningstar, Inc. ("Morningstar") and have been
licensed for use by First Trust on behalf of the Fund. The Fund is not
sponsored, endorsed, issued, sold or promoted by Morningstar and Morningstar
makes no representation regarding the advisability of investing in the Fund.


Page 6





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

FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) (CONTINUED)



                     PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                          DECEMBER 31, 2011 - JUNE 30, 2022

            First Trust Morningstar       Morningstar(R)
               Dividend Leaders              Dividend           S&P 500(R)
                  Index Fund             Leaders Index(SM)        Index
                                                        
12/11               $10,000                   $10,000            $10,000
06/12                10,827                    10,864             10,949
12/12                10,914                    10,976             11,600
06/13                12,438                    12,542             13,203
12/13                13,394                    13,540             15,356
06/14                14,772                    14,977             16,452
12/14                15,129                    15,375             17,459
06/15                14,671                    14,941             17,674
12/15                15,542                    15,863             17,701
06/16                17,830                    18,252             18,381
12/16                18,763                    19,247             19,821
06/17                19,311                    19,863             21,675
12/17                21,003                    21,657             24,153
06/18                20,306                    20,992             24,796
12/18                19,769                    20,470             23,092
06/19                22,592                    23,465             27,373
12/19                24,590                    25,611             30,355
06/20                19,686                    20,559             29,421
12/20                23,502                    24,621             35,940
06/21                26,807                    28,175             41,416
12/21                29,322                    30,915             46,244
06/22                29,439                    31,094             37,014


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                          Page 7





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

FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

The First Trust US Equity Opportunities ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the IPOX(R)-100 U.S. Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the Index.
The Index seeks to measure the performance of the equity securities of the 100
typically largest and most liquid initial public offerings ("IPOs") (including
spin-offs and equity carve-outs) of U.S. companies. The Index is rebalanced and
reconstituted quarterly and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca. The first day of secondary market trading
in shares of the Fund was April 13, 2006.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                              AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (4/12/06)      Ended      Ended      (4/12/06)
                                     6/30/22     6/30/22    6/30/22    6/30/22     to 6/30/22    6/30/22    6/30/22     to 6/30/22
                                                                                                   
FUND PERFORMANCE
NAV                                  -32.80%     -35.35%     7.17%      12.46%        9.91%      41.37%     223.56%      363.22%
Market Price                         -32.78%     -35.35%     7.18%      12.48%        9.92%      41.43%     224.11%      363.34%

INDEX PERFORMANCE
IPOX(R)-100 U.S. Index               -32.64%     -35.04%     7.67%      13.04%       10.53%      44.68%     240.67%      407.04%
S&P 500(R) Index                     -19.96%     -10.62%    11.31%      12.96%        9.06%      70.86%     238.16%      308.14%
Russell 3000(R) Index                -21.10%     -13.87%    10.60%      12.57%        8.84%      65.47%     226.86%      295.07%
------------------------------------------------------------------------------------------------------------------------------------


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

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         22.6%
Health Care                                    17.2
Industrials                                    13.1
Materials                                       7.9
Energy                                          7.7
Consumer Staples                                7.5
Financials                                      7.3
Consumer Discretionary                          6.2
Communication Services                          5.9
Utilities                                       4.1
Real Estate                                     0.5
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Corteva, Inc.                                   5.5%
Crowdstrike Holdings, Inc., Class A             5.2
General Dynamics Corp.                          4.1
Keurig Dr Pepper, Inc.                          3.1
T-Mobile US, Inc.                               2.9
Airbnb, Inc., Class A                           2.8
Markel Corp.                                    2.8
Marvell Technology, Inc.                        2.7
Pioneer Natural Resources Co.                   2.6
United Therapeutics Corp.                       2.6
                                             -------
   Total                                       34.3%
                                             =======

-----------------------------
IPOX(R) and IPOX(R)-100 U.S. Index are registered international trademarks and
service marks of IPOX(R) Schuster LLC ("IPOX") and have been licensed for use by
First Trust. The Fund is not sponsored, endorsed, sold or promoted by IPOX, and
IPOX makes no representation regarding the advisability of trading in such Fund.
IPOX(R) is an international trademark of IPOX Schuster LLC, Index of Initial
Public Offerings (IPOX) and IPOX Derivatives Patent No. US 7,698,197.


Page 8





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

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



                             PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                  DECEMBER 31, 2011 - JUNE 30, 2022

               First Trust
                US Equity            IPOX(R)-100        S&P 500(R)        Russell 3000(R)
            Opportunities ETF        U.S. Index           Index                Index
                                                                  
12/11            $10,000               $10,000           $10,000              $10,000
06/12             11,354                11,388            10,949               10,932
12/12             13,001                13,077            11,600               11,641
06/13             15,184                15,311            13,203               13,278
12/13             19,240                19,469            15,356               15,547
06/14             20,512                20,822            16,452               16,626
12/14             21,531                21,921            17,459               17,499
06/15             23,391                23,885            17,674               17,838
12/15             22,002                22,533            17,701               17,583
06/16             21,859                22,438            18,381               18,220
12/16             23,477                24,163            19,818               19,822
06/17             25,987                26,811            21,669               21,592
12/17             29,807                30,833            24,144               24,010
06/18             31,366                32,513            24,784               24,783
12/18             27,357                28,433            23,086               22,751
06/19             34,418                35,867            27,366               27,015
12/19             35,695                37,243            30,354               29,809
06/20             37,376                39,066            29,421               28,773
12/20             52,729                55,285            35,943               36,037
06/21             56,825                59,725            41,422               41,481
12/21             54,663                57,598            46,257               45,285
06/22             36,734                38,798            37,024               35,730


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                          Page 9





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

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

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



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                              AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (6/19/06)      Ended      Ended      (6/19/06)
                                     6/30/22     6/30/22    6/30/22    6/30/22     to 6/30/22    6/30/22    6/30/22     to 6/30/22
                                                                                                   
FUND PERFORMANCE
NAV                                  -16.27%     -21.47%     3.54%      11.97%       12.78%      19.00%     209.76%      587.28%
Market Price                         -16.28%     -21.46%     3.55%      11.97%       12.78%      19.04%     209.86%      587.33%

INDEX PERFORMANCE
NYSE(R) Arca Biotechnology Index     -16.03%     -21.38%     4.01%      12.47%       13.35%      21.71%     223.74%      645.84%
S&P Composite 1500(R) Health Care
   Index                              -9.17%       1.42%    11.99%      15.06%       11.75%      76.15%     306.58%      493.91%
Nasdaq(R) Biotechnology Index        -20.31%     -26.57%     3.56%      11.25%       11.24%      19.11%     190.47%      451.66%
S&P 500(R) Index                     -19.96%     -10.62%    11.31%      12.96%        9.41%      70.86%     238.16%      322.46%
------------------------------------------------------------------------------------------------------------------------------------


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

-----------------------------------------------------------
                                           % OF TOTAL
INDUSTRY CLASSIFICATION               LONG-TERM INVESTMENTS
-----------------------------------------------------------
Biotechnology                                  79.2%
Life Sciences Tools & Services                 18.5
Pharmaceuticals                                 2.3
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
United Therapeutics Corp.                       4.6%
Seagen, Inc.                                    4.5
Grifols S.A., ADR                               4.2
Alkermes PLC                                    3.8
QIAGEN N.V.                                     3.8
Gilead Sciences, Inc.                           3.8
BioMarin Pharmaceutical, Inc.                   3.8
Neurocrine Biosciences, Inc.                    3.7
Vertex Pharmaceuticals, Inc.                    3.7
Biogen, Inc.                                    3.6
                                             -------
   Total                                       39.5%
                                             =======

-----------------------------
"NYSE(R)" is a service/trade mark of ICE Data Indices, LLC or its affiliates.
This trademark has been licensed, along with the NYSE(R) Arca Biotechnology
Index (the "Index") for use by First Trust Portfolios L.P. in connection with
the First Trust NYSE(R) Arca(R) Biotechnology Index Fund (the "Product").
Neither First Trust Portfolios L.P., First Trust Exchange Traded Fund (the
"Trust") nor the Product, as applicable, is sponsored, endorsed, sold or
promoted by ICE Data Indices, LLC, its affiliates or its Third Party Suppliers
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in the Product particularly, the Trust or the ability of
the Index to track general market performance. Past performance of an Index is
not an indicator of or a guarantee of future results.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 10





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

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



                                          PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                               DECEMBER 31, 2011 - JUNE 30, 2022

             First Trust NYSE(R)         NYSE(R) Arca         S&P Composite           Nasdaq(R)
            Arca(R) Biotechnology        Biotechnology        1500(R) Health        Biotechnology        S&P 500(R)
                 Index Fund                  Index              Care Index              Index              Index
                                                                                           
12/11              $10,000                  $10,000              $10,000               $10,000            $10,000
06/12               13,418                   13,461               11,149                12,482             10,949
12/12               14,092                   14,174               11,836                13,229             11,600
06/13               17,788                   17,932               14,275                16,785             13,203
12/13               21,152                   21,375               16,829                21,957             15,356
06/14               25,192                   25,485               18,546                24,923             16,452
12/14               31,228                   31,617               21,001                29,510             17,459
06/15               37,998                   38,535               23,143                35,941             17,674
12/15               34,650                   35,217               22,557                32,982             17,701
06/16               27,436                   27,969               22,688                25,149             18,381
12/16               27,859                   28,472               22,094                25,941             19,818
06/17               34,930                   35,786               25,733                30,439             21,669
12/17               38,165                   39,204               27,058                31,553             24,144
06/18               42,928                   44,187               27,946                32,544             24,784
12/18               38,086                   39,309               28,874                28,756             23,086
06/19               43,165                   44,663               31,299                32,480             27,366
12/19               45,625                   47,338               34,898                35,978             30,354
06/20               51,407                   53,482               34,682                40,968             29,419
12/20               51,520                   53,760               39,978                45,487             35,938
06/21               52,933                   55,394               44,699                49,376             41,419
12/21               49,640                   51,927               49,907                45,494             46,257
06/22               41,564                   43,603               45,331                36,254             37,024


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                         Page 11





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

FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)

The First Trust Dow Jones Internet Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Dow Jones Internet Composite
Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The Index is designed to measure the performance of the largest and most
actively traded securities issued by U.S. companies in the Internet industry.
The Index is rebalanced and reconstituted quarterly and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the NYSE Arca. The first day
of secondary market trading in shares of the Fund was June 23, 2006.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                              AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (6/19/06)      Ended      Ended      (6/19/06)
                                     6/30/22     6/30/22    6/30/22    6/30/22     to 6/30/22    6/30/22    6/30/22     to 6/30/22
                                                                                                   
FUND PERFORMANCE
NAV                                  -43.80%     -48.11%     6.04%      13.65%       12.25%       34.10%    259.55%      537.90%
Market Price                         -43.79%     -48.09%     6.05%      13.67%       12.26%       34.15%    260.07%      538.09%

INDEX PERFORMANCE
Dow Jones Internet Composite
   Index(SM)                         -43.64%     -47.83%     6.64%      14.27%       12.87%       37.90%    279.56%      595.98%
S&P Composite 1500(R) Information
   Technology Index                  -26.84%     -13.91%    19.65%      18.40%       14.29%      145.24%    441.51%      750.32%
S&P 500(R) Index                     -19.96%     -10.62%    11.31%      12.96%        9.41%       70.86%    238.16%      322.46%
------------------------------------------------------------------------------------------------------------------------------------


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

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         46.9%
Communication Services                         30.2
Consumer Discretionary                         17.0
Health Care                                     4.0
Real Estate                                     1.9
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Amazon.com, Inc.                                9.0%
Meta Platforms, Inc., Class A                   6.3
Alphabet, Inc., Class A                         5.5
Cisco Systems, Inc.                             5.3
Alphabet, Inc., Class C                         5.1
Salesforce, Inc.                                4.9
Netflix, Inc.                                   3.7
PayPal Holdings, Inc.                           3.6
Snowflake, Inc., Class A                        3.0
Veeva Systems, Inc., Class A                    2.7
                                             -------
   Total                                       49.1%
                                             =======

-----------------------------
The Dow Jones Internet Composite Index(SM) ("Index") is a product of S&P Dow
Jones Indices LLC or its affiliates ("SPDJI") and has been licensed for use by
First Trust. S&P(R) is a registered trademark of Standard & Poor's Financial
Services LLC ("S&P"); Dow Jones(R) is a registered trademark of Dow Jones
Trademark Holdings LLC ("Dow Jones"); and these trademarks have been licensed
for use by SPDJI and sublicensed for certain purposes by First Trust. The Fund
is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their
respective affiliates and none of such parties make any representation regarding
the advisability of investing in such product nor do they have any liability for
any errors, omissions, or interruptions of the Index.


Page 12





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

FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) (CONTINUED)



                                     PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                          DECEMBER 31, 2011 - JUNE 30, 2022

                First Trust                Dow Jones                               S&P Composite 1500(R)
             Dow Jones Internet        Internet Composite        S&P 500(R)        Information Technology
                 Index Fund                Index(SM)               Index                   Index
                                                                              
12/11             $10,000                   $10,000               $10,000                 $10,000
06/12              10,945                    10,978                10,949                  11,272
12/12              12,085                    12,163                11,600                  11,475
06/13              14,052                    14,183                13,203                  12,247
12/13              18,537                    18,775                15,356                  14,802
06/14              18,448                    18,718                16,452                  16,053
12/14              18,987                    19,300                17,459                  17,607
06/15              20,808                    21,209                17,674                  17,836
12/15              23,120                    23,623                17,701                  18,592
06/16              22,339                    22,881                18,381                  18,603
12/16              24,718                    25,382                19,818                  21,341
06/17              29,345                    30,215                21,669                  24,888
12/17              34,017                    35,116                24,144                  29,298
06/18              42,640                    44,127                24,784                  32,386
12/18              36,133                    37,495                23,086                  29,079
06/19              44,509                    46,374                27,366                  36,930
12/19              43,094                    45,025                30,354                  43,544
06/20              52,820                    55,363                29,419                  49,518
12/20              65,782                    69,115                35,938                  62,368
06/21              75,840                    79,869                41,419                  70,887
12/21              70,019                    73,938                46,257                  83,438
06/22              39,353                    41,670                37,024                  61,041


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                         Page 13





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

FIRST TRUST CAPITAL STRENGTH ETF (FTCS)

The First Trust Capital Strength ETF (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called The Capital Strength Index(SM) (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and real estate
investment trusts that comprise the Index. The Index seeks to provide exposure
to well-capitalized companies with strong market positions that have the
potential to provide their stockholders with a greater degree of stability and
performance over time. The Index is rebalanced and reconstituted quarterly and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on The
Nasdaq Stock Market LLC. The first day of secondary market trading in shares of
the Fund was July 11, 2006.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                              AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended       (7/6/06)      Ended      Ended       (7/6/06)
                                     6/30/22     6/30/22    6/30/22    6/30/22     to 6/30/22    6/30/22    6/30/22     to 6/30/22
                                                                                                   
FUND PERFORMANCE
NAV                                  -16.81%      -6.42%    10.25%      13.45%       9.72%       62.88%     253.11%      340.39%
Market Price                         -16.77%      -6.36%    10.26%      13.45%       9.72%       62.94%     253.30%      340.64%

INDEX PERFORMANCE
The Capital Strength Index(SM)*      -16.57%      -5.88%    10.93%       N/A          N/A        68.00%       N/A          N/A
S&P 500(R) Index                     -19.96%     -10.62%    11.31%      12.96%       9.24%       70.86%     238.16%      310.78%
------------------------------------------------------------------------------------------------------------------------------------


*     On June 4, 2013, the Fund's underlying index changed from the Credit
      Suisse U.S. Value Index, Powered by HOLT(TM) to The Capital Strength
      Index(SM). On June 18, 2010, the Fund's underlying index changed from the
      Deutsche Bank CROCI(R) US+ Index(TM) to the Credit Suisse U.S. Value
      Index, Powered by HOLT(TM). Since the Fund's new underlying index had an
      inception date of March 20, 2013, it was not in existence for some of the
      periods disclosed.

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

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Health Care                                    33.1%
Financials                                     21.6
Industrials                                    20.0
Consumer Staples                               13.6
Information Technology                          9.5
Materials                                       2.2
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Merck & Co., Inc.                               2.3%
Progressive (The) Corp.                         2.3
Expeditors International of Washington, Inc.    2.2
W.R. Berkley Corp.                              2.2
Bristol-Myers Squibb Co.                        2.2
Johnson & Johnson                               2.2
PACCAR, Inc.                                    2.2
Vertex Pharmaceuticals, Inc.                    2.2
Mondelez International, Inc., Class A           2.2
Air Products and Chemicals, Inc.                2.2
                                             -------
   Total                                       22.2%
                                             =======

-----------------------------
Nasdaq(R) and The Capital Strength Index(SM) are registered trademarks and
service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred
to as the "Corporations") and are licensed for use by First Trust. The Fund has
not been passed on by the Corporations as to its legality or suitability. The
Fund is not issued, endorsed, sold or promoted by the Corporations. THE
CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.


Page 14





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

FIRST TRUST CAPITAL STRENGTH ETF (FTCS) (CONTINUED)



         PERFORMANCE OF A $10,000 INITIAL INVESTMENT
              DECEMBER 31, 2011 - JUNE 30, 2022

            First Trust Capital        S&P 500(R)
               Strength ETF              Index
                                  
12/11             $10,000               $10,000
06/12              10,543                10,949
12/12              11,745                11,600
06/13              13,701                13,203
12/13              15,962                15,356
06/14              16,853                16,452
12/14              18,430                17,459
06/15              18,399                17,674
12/15              18,734                17,701
06/16              19,734                18,381
12/16              20,340                19,818
06/17              22,860                21,669
12/17              25,727                24,144
06/18              25,941                24,784
12/18              24,672                23,086
06/19              29,007                27,366
12/19              31,271                30,354
06/20              30,464                29,420
12/20              35,352                35,942
06/21              39,792                41,421
12/21              44,751                46,257
06/22              37,230                37,024


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                         Page 15




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

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

The First Trust Value Line(R) Dividend Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Value Line(R) Dividend Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and depositary receipts
that comprise the Index. The Index seeks to measure the performance of the
securities ranked #1 or #2 according to Value Line Publishing, LLC's proprietary
Value Line(R) Safety(SM) Ranking System that are also still expected to provide
above-average dividend yield. The Index is rebalanced and reconstituted monthly,
and the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
NYSE Arca.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                              AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                     6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                      Ended       Ended      Ended      Ended      (8/19/03)      Ended      Ended      (8/19/03)
                                     6/30/22     6/30/22    6/30/22    6/30/22     to 6/30/22    6/30/22    6/30/22     to 6/30/22
                                                                                                   
FUND PERFORMANCE
NAV                                   -9.00%      -0.65%     8.18%      11.27%       9.49%       48.13%     191.03%      453.53%
Market Price                          -8.95%      -0.55%     8.18%      11.29%       9.50%       48.20%     191.42%      453.95%

INDEX PERFORMANCE
Value Line(R) Dividend Index*         -8.65%       0.12%     9.06%      12.18%        N/A        54.30%     215.55%        N/A
S&P 500(R) Index                     -19.96%     -10.62%    11.31%      12.96%       9.46%       70.86%     238.16%      449.96%
Dow Jones U.S. Select Dividend
   Index(SM)*                         -2.56%       4.18%     9.15%      11.81%        N/A        54.94%     205.47%        N/A
------------------------------------------------------------------------------------------------------------------------------------


      On December 15, 2006, the Fund acquired the assets and adopted the
      financial and performance history of First Trust Value Line(R) Dividend
      Fund (the "Predecessor FVD Fund," a closed-end fund), which had an
      inception date of August 19, 2003. The inception date total returns at net
      asset value ("NAV") include the sales load of $0.675 per share on the
      initial offering. The investment goals, strategies and policies of the
      Fund are substantially similar to those of the Predecessor FVD Fund. The
      inception date of the Index was July 3, 2006. Returns for the Index are
      only disclosed for those periods in which the Index was in existence for
      the entire period. The cumulative total returns for the period from the
      reorganization date (December 15, 2006) through period end (June 30, 2022)
      were 242.22% and 244.12% at NAV and Market Price, respectively. That
      compares to an Index return of 287.38% for the same period. The average
      annual total returns for the period from the reorganization date (December
      15, 2006) through period end (June 30, 2022) were 8.24% and 8.28% at NAV
      and Market Price, respectively. That compares to an Index return of 9.11%
      for the same period.

      NAV and Market Price returns assume that all distributions have been
      reinvested in the Fund at NAV and Market Price, respectively. Prior to
      December 15, 2006, NAV and Market Price returns assumed that all
      distributions were reinvested at prices obtained by the Dividend
      Reinvestment Plan of the Predecessor FVD Fund and the price used to
      calculate Market Price return was the AMEX (now known as the NYSE
      American) closing market price of the Predecessor FVD Fund.

*     Performance data is not available for all the periods shown in the table
      because performance data does not exist for the periods shown.

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

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Utilities                                      20.4%
Industrials                                    16.3
Financials                                     14.3
Consumer Staples                               12.6
Information Technology                         10.6
Health Care                                     8.8
Consumer Discretionary                          5.1
Real Estate                                     4.7
Materials                                       4.2
Communication Services                          2.5
Energy                                          0.5
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Clorox (The) Co.                                0.6%
General Mills, Inc.                             0.6
Pfizer, Inc.                                    0.6
American States Water Co.                       0.6
WEC Energy Group, Inc.                          0.6
Erie Indemnity Co., Class A                     0.6
Ameren Corp.                                    0.5
Kimberly-Clark Corp.                            0.5
Pinnacle West Capital Corp.                     0.5
Exelon Corp.                                    0.5
                                             -------
   Total                                        5.6%
                                             =======

-----------------------------
Value Line(R) and Value Line(R) Dividend Index are trademarks or registered
trademarks of Value Line, Inc. ("Value Line") and have been licensed for use for
certain purposes by First Trust. The Fund is not sponsored, endorsed,
recommended, sold or promoted by Value Line and Value Line makes no
representation regarding the advisability of investing in products utilizing
such strategy.


Page 16





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

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



                                  PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                       DECEMBER 31, 2011 - JUNE 30, 2022

                First Trust
               Value Line(R)           Value Line(R)         S&P 500(R)        Dow Jones U.S. Select
            Dividend Index Fund        Dividend Index          Index            Dividend Index(SM)
                                                                          
12/11             $10,000                 $10,000             $10,000                 $10,000
06/12              10,633                  10,685              10,949                  10,654
12/12              11,117                  11,209              11,600                  11,084
06/13              12,661                  12,822              13,203                  12,619
12/13              14,070                  14,302              15,356                  14,305
06/14              15,269                  15,592              16,452                  15,716
12/14              16,313                  16,722              17,459                  16,502
06/15              15,974                  16,438              17,674                  15,913
12/15              16,517                  17,073              17,701                  16,233
06/16              18,843                  19,562              18,381                  18,757
12/16              19,812                  20,646              19,818                  19,802
06/17              20,890                  21,854              21,669                  21,008
12/17              22,285                  23,397              24,144                  22,859
06/18              22,111                  23,306              24,784                  23,092
12/18              21,512                  22,756              23,088                  21,492
06/19              25,186                  26,760              27,368                  24,424
12/19              27,235                  29,036              30,354                  26,467
06/20              23,276                  24,950              29,420                  20,730
12/20              27,231                  29,326              35,942                  25,258
06/21              31,146                  33,679              41,421                  31,242
12/21              34,001                  36,916              46,253                  33,404
06/22              30,946                  33,715              37,024                  32,546


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                         Page 17





--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.

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

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


Page 18





FIRST TRUST EXCHANGE-TRADED FUND

UNDERSTANDING YOUR FUND EXPENSES
JUNE 30, 2022 (UNAUDITED)

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

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended June 30, 2022.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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



--------------------------------------------------------------------------------------------------------------------------
                                                                                           ANNUALIZED
                                                                                          EXPENSE RATIO      EXPENSES PAID
                                                     BEGINNING            ENDING          BASED ON THE        DURING THE
                                                   ACCOUNT VALUE       ACCOUNT VALUE        SIX-MONTH          SIX-MONTH
                                                  JANUARY 1, 2022      JUNE 30, 2022       PERIOD (a)         PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
                                                                                                     
FIRST TRUST DOW JONES SELECT MICROCAP INDEX
   FUND (FDM)
Actual                                               $1,000.00           $  829.10            0.60%              $2.72
Hypothetical (5% return before expenses)             $1,000.00           $1,021.82            0.60%              $3.01

FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX
   FUND (FDL)
Actual                                               $1,000.00           $1,004.00            0.45%              $2.24
Hypothetical (5% return before expenses)             $1,000.00           $1,022.56            0.45%              $2.26

FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
Actual                                               $1,000.00           $  672.00            0.58%              $2.40
Hypothetical (5% return before expenses)             $1,000.00           $1,021.92            0.58%              $2.91

FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX
   FUND (FBT)
Actual                                               $1,000.00           $  837.30            0.56%              $2.55
Hypothetical (5% return before expenses)             $1,000.00           $1,022.02            0.56%              $2.81

FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
Actual                                               $1,000.00           $  562.00            0.52%              $2.01
Hypothetical (5% return before expenses)             $1,000.00           $1,022.22            0.52%              $2.61

FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
Actual                                               $1,000.00           $  831.90            0.55%              $2.50
Hypothetical (5% return before expenses)             $1,000.00           $1,022.07            0.55%              $2.76



                                                                         Page 19





FIRST TRUST EXCHANGE-TRADED FUND

UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JUNE 30, 2022 (UNAUDITED)



--------------------------------------------------------------------------------------------------------------------------
                                                                                           ANNUALIZED
                                                                                          EXPENSE RATIO      EXPENSES PAID
                                                     BEGINNING            ENDING          BASED ON THE        DURING THE
                                                   ACCOUNT VALUE       ACCOUNT VALUE        SIX-MONTH          SIX-MONTH
                                                  JANUARY 1, 2022      JUNE 30, 2022       PERIOD (a)         PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
                                                                                                     
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
Actual                                               $1,000.00           $  910.00            0.67%              $3.17
Hypothetical (5% return before expenses)             $1,000.00           $1,021.47            0.67%              $3.36



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

(b)   Expenses are equal to the annualized expense ratio as indicated in the
      table multiplied by the average account value over the period (January 1,
      2022 through June 30, 2022), multiplied by 181/365 (to reflect the
      six-month period).


Page 20





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AEROSPACE & DEFENSE -- 0.9%
      16,339 Ducommun, Inc. (a)                $        703,231
      17,648 Vectrus, Inc. (a)                          590,502
                                               ----------------
                                                      1,293,733
                                               ----------------
             AIRLINES -- 0.1%
      47,445 Mesa Air Group, Inc. (a)                   103,905
                                               ----------------
             AUTO COMPONENTS -- 1.2%
      28,503 Motorcar Parts of America,
                Inc. (a)                                373,959
      28,339 Standard Motor Products, Inc.            1,274,972
                                               ----------------
                                                      1,648,931
                                               ----------------
             BANKS -- 24.2%
      28,279 Allegiance Bancshares, Inc.              1,067,815
      35,207 Amerant Bancorp, Inc.                      990,021
      79,076 Banc of California, Inc.                 1,393,319
      23,778 Bank of Marin Bancorp                      755,665
      22,404 Blue Ridge Bankshares, Inc.                343,229
      34,968 Byline Bancorp, Inc.                       832,239
      21,869 Camden National Corp.                      963,330
      27,987 Capstar Financial Holdings, Inc.           549,105
      41,112 Central Pacific Financial Corp.            881,853
      14,614 Central Valley Community
                Bancorp                                 211,903
      22,697 Community Trust Bancorp, Inc.              917,867
      30,569 First Bancshares (The), Inc.               874,274
      16,312 First Financial Corp.                      725,884
      32,436 First of Long Island (The) Corp.           568,603
       9,264 Five Star Bancorp                          244,755
      45,282 Flushing Financial Corp.                   962,695
      14,551 Great Southern Bancorp, Inc.               852,107
      45,462 Hanmi Financial Corp.                    1,020,167
      68,841 HarborOne Bancorp, Inc.                    949,317
      90,186 Heritage Commerce Corp.                    964,088
      52,378 Heritage Financial Corp.                 1,317,831
      27,905 HomeStreet, Inc.                           967,466
      57,866 Horizon Bancorp, Inc.                    1,008,026
      31,407 Independent Bank Corp.                     605,527
      13,060 Investar Holding Corp.                     286,014
      92,795 Lakeland Bancorp, Inc.                   1,356,663
      15,496 Metropolitan Bank Holding
                Corp. (a)                             1,075,732
      19,291 Mid Penn Bancorp, Inc.                     520,278
      30,934 Midland States Bancorp, Inc.               743,653
      15,951 MVB Financial Corp.                        496,236
      17,185 Nicolet Bankshares, Inc. (a)             1,243,163
      10,153 Northeast Bank                             370,889
      32,985 Origin Bancorp, Inc.                     1,279,818
      18,518 PCB Bancorp                                345,916
      36,797 Peoples Bancorp, Inc.                      978,800
      20,317 Preferred Bank                           1,381,962
      23,968 QCR Holdings, Inc.                       1,294,032
      44,157 Univest Financial Corp.                  1,123,354
      25,895 Washington Trust Bancorp, Inc.           1,252,541
                                               ----------------
                                                     33,716,137
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             BIOTECHNOLOGY -- 2.7%
     142,629 Catalyst Pharmaceuticals,
                Inc. (a)                       $        999,829
      36,984 Dyne Therapeutics, Inc. (a)                254,080
      16,675 Eagle Pharmaceuticals, Inc. (a)            740,870
      22,776 Enochian Biosciences,
                Inc. (a) (b)                             43,958
      31,129 KalVista Pharmaceuticals,
                Inc. (a)                                306,309
      55,275 Magenta Therapeutics, Inc. (a)              66,330
      80,907 Ovid therapeutics, Inc. (a)                173,950
     159,316 Tyme Technologies, Inc. (a)                 44,609
      84,293 Vanda Pharmaceuticals, Inc. (a)            918,794
     102,755 Viking Therapeutics, Inc. (a)              296,962
                                               ----------------
                                                      3,845,691
                                               ----------------
             BUILDING PRODUCTS -- 1.9%
      29,007 Insteel Industries, Inc.                   976,666
      49,819 Quanex Building Products Corp.           1,133,382
      31,301 Tecnoglass, Inc. (b)                       549,332
                                               ----------------
                                                      2,659,380
                                               ----------------
             CAPITAL MARKETS -- 1.8%
       4,732 Diamond Hill Investment Group,
                Inc.                                    821,665
      20,469 Greenhill & Co., Inc.                      188,724
      13,215 Oppenheimer Holdings, Inc.,
                Class A                                 436,624
      28,941 Sculptor Capital Management, Inc.          241,657
      34,800 Victory Capital Holdings, Inc.,
                Class A                                 838,680
                                               ----------------
                                                      2,527,350
                                               ----------------
             CHEMICALS -- 3.1%
      41,934 AdvanSix, Inc.                           1,402,273
      40,001 American Vanguard Corp.                    894,022
      28,043 Hawkins, Inc.                            1,010,389
      31,549 Koppers Holdings, Inc.                     714,270
      38,390 Tredegar Corp.                             383,900
                                               ----------------
                                                      4,404,854
                                               ----------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 3.2%
     144,720 ACCO Brands Corp.                          945,022
      38,617 Ennis, Inc.                                781,222
     185,172 GEO Group (The), Inc. (a)                1,222,135
      88,735 Interface, Inc.                          1,112,737
      54,666 Kimball International, Inc.,
                Class B                                 419,288
                                               ----------------
                                                      4,480,404
                                               ----------------
             COMMUNICATIONS EQUIPMENT
                -- 2.2%
      14,163 Aviat Networks, Inc. (a)                   354,641
      57,618 Casa Systems, Inc. (a) (b)                 226,439
      17,057 Clearfield, Inc. (a)                     1,056,681
      52,383 Digi International, Inc. (a)             1,268,716
      51,508 EMCORE Corp. (a)                           158,130
                                               ----------------
                                                      3,064,607
                                               ----------------


                        See Notes to Financial Statements                Page 21





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             CONSTRUCTION & ENGINEERING
                -- 1.9%
      22,159 Argan, Inc.                       $        826,974
      43,985 Infrastructure and Energy
                Alternatives, Inc. (a)                  353,200
      45,157 Sterling Infrastructure, Inc. (a)          989,841
      62,647 Tutor Perini Corp. (a)                     550,041
                                               ----------------
                                                      2,720,056
                                               ----------------
             CONSUMER FINANCE -- 0.7%
       8,011 Atlanticus Holdings Corp. (a)              281,747
      31,307 Curo Group Holdings Corp.                  173,127
      13,421 Regional Management Corp.                  501,543
                                               ----------------
                                                        956,417
                                               ----------------
             CONTAINERS & PACKAGING -- 0.9%
      54,232 Myers Industries, Inc.                   1,232,693
                                               ----------------
             DISTRIBUTORS -- 0.6%
      40,563 Funko, Inc., Class A (a)                   905,366
                                               ----------------
             DIVERSIFIED CONSUMER SERVICES
                -- 0.9%
     102,629 Perdoceo Education Corp. (a)             1,208,970
                                               ----------------
             DIVERSIFIED FINANCIAL SERVICES
                -- 0.6%
      25,084 A-Mark Precious Metals, Inc.               808,959
                                               ----------------
             ELECTRICAL EQUIPMENT -- 0.4%
      82,452 Babcock & Wilcox Enterprises,
                Inc. (a)                                497,186
                                               ----------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 1.8%
      52,424 Benchmark Electronics, Inc.              1,182,686
      37,080 Kimball Electronics, Inc. (a)              745,308
      18,832 Vishay Precision Group, Inc. (a)           548,576
                                               ----------------
                                                      2,476,570
                                               ----------------
             ENTERTAINMENT -- 0.4%
      36,799 Sciplay Corp., Class A (a)                 514,082
                                               ----------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 4.9%
      41,889 Bluerock Residential Growth
                REIT, Inc.                            1,101,262
      64,990 City Office REIT, Inc.                     841,620
       9,003 CTO Realty Growth, Inc.                    550,263
      47,066 Farmland Partners, Inc.                    649,511
     138,528 Franklin Street Properties Corp.           577,662
      24,273 One Liberty Properties, Inc.               630,613
      59,865 Plymouth Industrial REIT, Inc.           1,050,032
      45,004 Urstadt Biddle Properties, Inc.,
                Class A                                 729,065
      68,935 Whitestone REIT                            741,051
                                               ----------------
                                                      6,871,079
                                               ----------------
             FOOD & STAPLES RETAILING -- 3.6%
      46,947 Andersons (The), Inc.                    1,548,782
      21,420 Ingles Markets, Inc., Class A            1,858,185
      53,938 SpartanNash Co.                          1,627,309
                                               ----------------
                                                      5,034,276
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             FOOD PRODUCTS -- 0.9%
       6,547 Alico, Inc.                       $        233,270
      13,323 John B Sanfilippo & Son, Inc.              965,784
                                               ----------------
                                                      1,199,054
                                               ----------------
             HEALTH CARE EQUIPMENT
                & SUPPLIES -- 1.8%
      32,046 Bioventus, Inc., Class A (a)               218,554
      47,673 Co-Diagnostics, Inc. (a) (b)               267,445
      65,021 Meridian Bioscience, Inc. (a)            1,977,939
                                               ----------------
                                                      2,463,938
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 1.0%
      53,030 Cross Country Healthcare, Inc. (a)       1,104,615
      27,277 InfuSystem Holdings, Inc. (a)              262,677
                                               ----------------
                                                      1,367,292
                                               ----------------
             HEALTH CARE TECHNOLOGY -- 0.5%
      22,031 Computer Programs and Systems,
                Inc. (a)                                704,331
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 1.0%
      28,259 Chuy's Holdings, Inc. (a)                  562,919
      29,066 El Pollo Loco Holdings, Inc. (a)           286,010
      11,804 RCI Hospitality Holdings, Inc.             570,841
                                               ----------------
                                                      1,419,770
                                               ----------------
             HOUSEHOLD DURABLES -- 2.4%
      44,124 Beazer Homes USA, Inc. (a)                 532,577
      64,900 Cricut, Inc., Class A (a) (b)              398,486
      27,056 Dream Finders Homes, Inc.,
                Class A (a) (b)                         287,876
      32,873 Ethan Allen Interiors, Inc.                664,363
       7,720 Flexsteel Industries, Inc. (b)             138,960
       7,123 Hovnanian Enterprises, Inc.,
                Class A (a)                             304,793
      20,086 Lovesac (The) Co. (a)                      552,365
      18,846 Universal Electronics, Inc. (a)            481,892
                                               ----------------
                                                      3,361,312
                                               ----------------
             HOUSEHOLD PRODUCTS -- 0.4%
      14,547 Central Garden & Pet Co. (a)               617,084
                                               ----------------
             INSURANCE -- 1.2%
       3,384 National Western Life Group,
                Inc., Class A                           685,937
      32,807 Tiptree, Inc.                              348,410
      26,736 Trean Insurance Group, Inc. (a)            166,565
      41,559 Universal Insurance Holdings,
                Inc.                                    541,514
                                               ----------------
                                                      1,742,426
                                               ----------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 1.0%
      19,492 Duluth Holdings, Inc.,
                Class B (a)                             185,953
      39,813 Liquidity Services, Inc. (a)               535,087
      31,303 PetMed Express, Inc. (b)                   622,930
                                               ----------------
                                                      1,343,970
                                               ----------------


Page 22                 See Notes to Financial Statements





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             IT SERVICES -- 1.4%
      17,114 Cass Information Systems, Inc.    $        578,453
      51,940 Information Services Group, Inc.           351,114
      49,333 International Money Express,
                Inc. (a)                              1,009,847
                                               ----------------
                                                      1,939,414
                                               ----------------
             LEISURE PRODUCTS -- 0.5%
      19,923 American Outdoor Brands, Inc. (a)          189,468
      26,925 MasterCraft Boat Holdings,
                Inc. (a)                                566,771
                                               ----------------
                                                        756,239
                                               ----------------
             MACHINERY -- 1.9%
      30,552 Blue Bird Corp. (a)                        281,384
      33,888 Gorman-Rupp (The) Co.                      959,030
      14,680 Hyster-Yale Materials Handling,
                Inc.                                    472,990
      73,165 Wabash National Corp.                      993,581
                                               ----------------
                                                      2,706,985
                                               ----------------
             MARINE -- 0.1%
      36,384 Pangaea Logistics Solutions Ltd.           184,831
                                               ----------------
             MEDIA -- 0.3%
      91,690 Entravision Communications
                Corp., Class A                          418,106
                                               ----------------
             METALS & MINING -- 0.3%
      13,947 Olympic Steel, Inc.                        359,135
                                               ----------------
             MORTGAGE REAL ESTATE INVESTMENT
                TRUSTS -- 3.3%
      70,785 Ares Commercial Real Estate
                Corp.                                   865,701
      84,575 Ellington Financial, Inc.                1,240,715
     124,881 Franklin BSP Realty Trust,
                Inc. (b)                              1,683,396
      80,362 Granite Point Mortgage Trust,
                Inc.                                    769,064
                                               ----------------
                                                      4,558,876
                                               ----------------
             MULTI-UTILITIES -- 1.0%
      23,922 Unitil Corp.                             1,404,700
                                               ----------------
             OIL, GAS & CONSUMABLE FUELS
                -- 4.4%
      47,793 CONSOL Energy, Inc. (a)                  2,360,018
      41,327 Dorian LPG Ltd.                            628,170
      28,196 Kinetik Holdings, Inc. (b)                 962,612
      40,101 NextDecade Corp. (a) (b)                   178,049
       7,774 REX American Resources
                Corp. (a)                               659,235
     422,305 Uranium Energy Corp. (a) (b)             1,300,699
                                               ----------------
                                                      6,088,783
                                               ----------------
             PAPER & FOREST PRODUCTS -- 1.0%
      66,730 Glatfelter Corp.                           459,102
      68,756 Resolute Forest Products,
                Inc. (a)                                877,327
                                               ----------------
                                                      1,336,429
                                               ----------------
             PHARMACEUTICALS -- 1.3%
      50,693 Collegium Pharmaceutical,
                Inc. (a)                                898,280
      36,301 Harrow Health, Inc. (a) (b)                264,271


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             PHARMACEUTICALS (CONTINUED)
      30,347 Phibro Animal Health Corp.,
                Class A                        $        580,538
      11,223 Rain Therapeutics, Inc. (a)                 62,400
                                               ----------------
                                                      1,805,489
                                               ----------------
             PROFESSIONAL SERVICES -- 2.7%
      10,923 Barrett Business Services, Inc.            795,959
      11,000 CRA International, Inc.                    982,520
      51,571 Kelly Services, Inc., Class A            1,022,653
      46,434 Resources Connection, Inc.                 945,861
                                               ----------------
                                                      3,746,993
                                               ----------------
             REAL ESTATE MANAGEMENT &
                DEVELOPMENT -- 1.0%
       2,169 American Realty Investors,
                Inc. (a)                                 30,778
      28,749 RE/MAX Holdings, Inc., Class A             704,925
      23,131 RMR Group (The), Inc., Class A             655,764
                                               ----------------
                                                      1,391,467
                                               ----------------
             ROAD & RAIL -- 0.5%
      89,950 Daseke, Inc. (a)                           574,781
      37,461 US Xpress Enterprises, Inc.,
                Class A (a)                             100,395
                                               ----------------
                                                        675,176
                                               ----------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 2.6%
      32,312 Alpha & Omega Semiconductor
                Ltd. (a)                              1,077,282
      59,605 AXT, Inc. (a)                              349,285
      11,046 CyberOptics Corp. (a)                      385,947
      92,109 Photronics, Inc. (a)                     1,794,284
                                               ----------------
                                                      3,606,798
                                               ----------------
             SOFTWARE -- 1.1%
      45,475 ChannelAdvisor Corp. (a)                   663,025
       9,260 CoreCard Corp. (a) (b)                     226,037
      31,956 eGain Corp. (a)                            311,571
      46,755 Rimini Street, Inc. (a)                    280,997
      20,997 Viant Technology, Inc.,
                Class A (a)                             106,665
                                               ----------------
                                                      1,588,295
                                               ----------------
             SPECIALTY RETAIL -- 2.4%
      31,316 Big 5 Sporting Goods Corp. (b)             351,052
      12,936 Citi Trends, Inc. (a)                      305,936
      23,072 Conn's, Inc. (a)                           185,038
      20,709 Haverty Furniture Cos., Inc.               480,035
      16,383 JOANN, Inc. (b)                            126,968
      14,079 Lazydays Holdings, Inc. (a) (b)            165,851
      17,292 OneWater Marine, Inc.,
                Class A (a)                             571,501
      25,522 Shoe Carnival, Inc.                        551,530
      65,476 Sportsman's Warehouse Holdings,
                Inc. (a)                                627,915
                                               ----------------
                                                      3,365,826
                                               ----------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 0.2%
      24,589 Turtle Beach Corp. (a)                     300,723
                                               ----------------


                        See Notes to Financial Statements                Page 23





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             TEXTILES, APPAREL & LUXURY
                GOODS -- 1.0%
      11,364 Lakeland Industries, Inc. (a)     $        174,551
      24,031 Movado Group, Inc.                         743,279
      10,258 Rocky Brands, Inc.                         350,618
      36,309 Vera Bradley, Inc. (a)                     157,581
                                               ----------------
                                                      1,426,029
                                               ----------------
             THRIFTS & MORTGAGE FINANCE
                -- 3.1%
      13,824 Federal Agricultural Mortgage
                Corp., Class C                        1,349,913
      32,549 Finance Of America Cos., Inc.,
                Class A (a)                              51,102
     105,080 Kearny Financial Corp.                   1,167,439
      64,208 Northfield Bancorp, Inc.                   836,630
      28,646 TrustCo Bank Corp.                         883,443
                                               ----------------
                                                      4,288,527
                                               ----------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 1.6%
      14,412 BlueLinx Holdings, Inc. (a)                962,866
      29,974 Titan Machinery, Inc. (a)                  671,717
      10,437 Transcat, Inc. (a)                         592,926
                                               ----------------
                                                      2,227,509
                                               ----------------
             TOTAL COMMON STOCKS
                -- 99.9%                            139,366,153
             (Cost $150,359,938)               ----------------

             MONEY MARKET FUNDS -- 2.1%
   2,943,019 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                1.39% (c) (d)                         2,943,019
             (Cost $2,943,019)                 ----------------


 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
---------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 2.0%
$  2,767,855 BNP Paribas S.A., 1.44% (c),
                dated 06/30/22, due 07/01/22,
                with a maturity value of
                $2,767,966. Collateralized by
                U.S. Treasury Note, interest
                rate of 1.25%, due 05/31/28.
                The value of the collateral
                including accrued interest is
                $2,829,027. (d)                       2,767,855
             (Cost $2,767,855)                 ----------------

             TOTAL INVESTMENTS -- 104.0%            145,077,027
             (Cost $156,070,812)
             NET OTHER ASSETS AND
                LIABILITIES -- (4.0)%                (5,509,808)
                                               ----------------
             NET ASSETS -- 100.0%              $    139,567,219
                                               ================

(a)   Non-income producing security.

(b)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $5,549,225 and the
      total value of the collateral held by the Fund is $5,710,874.

(c)   Rate shown reflects yield as of June 30, 2022.

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

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

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

SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $      5,549,225
Non-cash Collateral(2)                               (5,549,225)
                                               ----------------
Net Amount                                     $             --
                                               ================

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

(2)   At June 30, 2022, the value of the collateral received from each borrower
      exceeded the value of the related securities loaned. This amount is
      disclosed on the Portfolio of Investments.

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

REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $      2,767,855
Non-cash Collateral(4)                               (2,767,855)
                                               ----------------
Net Amount                                     $             --
                                               ================

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

(4)   At June 30, 2022, the value of the collateral received from each seller
      exceeded the value of the repurchase agreements.


Page 24                 See Notes to Financial Statements





FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 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
                                                     6/30/2022           PRICES           INPUTS           INPUTS
                                                  --------------------------------------------------------------------
                                                                                           
Common Stocks*..................................  $    139,366,153  $    139,366,153  $            --  $            --
Money Market Funds..............................         2,943,019         2,943,019               --               --
Repurchase Agreements...........................         2,767,855                --        2,767,855               --
                                                  --------------------------------------------------------------------
Total Investments...............................  $    145,077,027  $    142,309,172  $     2,767,855  $            --
                                                  ====================================================================


* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 25





FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 99.5%
             AIR FREIGHT & LOGISTICS -- 3.6%
     571,812 United Parcel Service, Inc.,
                Class B                        $    104,378,562
                                               ----------------
             BANKS -- 11.6%
     134,474 Associated Banc-Corp.                    2,455,495
      33,329 Bank of Hawaii Corp.                     2,479,678
     143,586 Cadence Bank                             3,371,399
      56,477 Cathay General Bancorp                   2,211,074
   1,822,507 Citigroup, Inc.                         83,817,097
     442,458 Citizens Financial Group, Inc.          15,791,326
      71,214 Columbia Banking System, Inc.            2,040,281
     316,958 F.N.B. Corp.                             3,442,164
      97,212 First Financial Bancorp                  1,885,913
     120,010 First Hawaiian, Inc.                     2,725,427
      81,910 First Interstate BancSystem,
                Inc., Class A                         3,121,590
     144,877 Fulton Financial Corp.                   2,093,473
   1,526,029 Huntington Bancshares, Inc.             18,358,129
     867,981 KeyCorp                                 14,955,313
     242,345 Old National Bancorp                     3,584,282
     343,318 PNC Financial Services Group
                (The), Inc.                          54,165,281
   1,209,392 Truist Financial Corp.                  57,361,463
   1,109,410 U.S. Bancorp                            51,055,048
     238,643 Umpqua Holdings Corp.                    4,002,043
     123,632 United Bankshares, Inc.                  4,335,774
     357,348 Valley National Bancorp                  3,719,993
      58,629 WesBanco, Inc.                           1,859,126
                                               ----------------
                                                    338,831,369
                                               ----------------
             BIOTECHNOLOGY -- 11.0%
   1,546,254 AbbVie, Inc.                           236,824,263
   1,359,018 Gilead Sciences, Inc.                   84,000,902
                                               ----------------
                                                    320,825,165
                                               ----------------
             CAPITAL MARKETS -- 4.2%
     130,574 Ares Management Corp., Class A           7,424,438
     121,059 Artisan Partners Asset
                Management, Inc., Class A             4,306,068
     739,463 Blackstone, Inc.                        67,461,209
     108,362 Carlyle Group (The), Inc.                3,430,741
     291,738 Franklin Resources, Inc.                 6,800,413
     170,361 Jefferies Financial Group, Inc.          4,705,371
      75,346 Moelis & Co., Class A                    2,964,865
     206,734 T. Rowe Price Group, Inc.               23,487,050
      77,305 Virtu Financial, Inc., Class A           1,809,710
                                               ----------------
                                                    122,389,865
                                               ----------------
             CHEMICALS -- 0.7%
     250,109 LyondellBasell Industries N.V.,
                Class A                              21,874,533
                                               ----------------
             COMMUNICATIONS EQUIPMENT
                -- 4.8%
   3,303,196 Cisco Systems, Inc.                    140,848,277
                                               ----------------
             CONSUMER FINANCE -- 0.1%
     150,244 Navient Corp.                            2,101,914
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             CONTAINERS & PACKAGING -- 0.6%
     350,711 International Paper Co.           $     14,670,241
      75,517 Sonoco Products Co.                      4,307,490
                                               ----------------
                                                     18,977,731
                                               ----------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 8.4%
   4,825,199 Verizon Communications, Inc.           244,878,849
                                               ----------------
             ELECTRIC UTILITIES -- 7.4%
      54,659 ALLETE, Inc.                             3,212,856
      61,200 Avangrid, Inc.                           2,822,544
     634,855 Duke Energy Corp.                       68,062,804
     356,120 Edison International                    22,521,029
     158,871 Entergy Corp.                           17,895,229
     497,556 FirstEnergy Corp.                       19,101,175
     187,748 OGE Energy Corp.                         7,239,563
     119,080 Pinnacle West Capital Corp.              8,707,130
      71,720 Portland General Electric Co.            3,466,228
     893,994 Southern (The) Co.                      63,750,712
                                               ----------------
                                                    216,779,270
                                               ----------------
             FOOD & STAPLES RETAILING -- 1.0%
     743,575 Walgreens Boots Alliance, Inc.          28,181,493
                                               ----------------
             FOOD PRODUCTS -- 1.0%
     424,947 Conagra Brands, Inc.                    14,550,185
     199,220 Kellogg Co.                             14,212,355
                                               ----------------
                                                     28,762,540
                                               ----------------
             GAS UTILITIES -- 0.2%
      93,108 South Jersey Industries, Inc.            3,178,707
      42,208 Spire, Inc.                              3,139,009
                                               ----------------
                                                      6,317,716
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 0.4%
     235,126 Cardinal Health, Inc.                   12,290,036
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 0.5%
      29,705 Cracker Barrel Old Country Store,
                Inc.                                  2,480,070
     104,580 Darden Restaurants, Inc.                11,830,090
                                               ----------------
                                                     14,310,160
                                               ----------------
             HOUSEHOLD DURABLES -- 0.8%
     133,600 Leggett & Platt, Inc.                    4,619,888
      70,814 M.D.C. Holdings, Inc.                    2,288,000
     391,745 Newell Brands, Inc.                      7,458,825
      56,138 Whirlpool Corp.                          8,694,092
                                               ----------------
                                                     23,060,805
                                               ----------------
             HOUSEHOLD PRODUCTS -- 1.3%
      61,208 Energizer Holdings, Inc.                 1,735,247
     276,477 Kimberly-Clark Corp.                    37,365,866
                                               ----------------
                                                     39,101,113
                                               ----------------
             INDUSTRIAL CONGLOMERATES -- 2.4%
     541,735 3M Co.                                  70,105,926
                                               ----------------


Page 26                 See Notes to Financial Statements





FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             INSURANCE -- 2.5%
      22,033 CNA Financial Corp.               $        989,282
     276,593 Fidelity National Financial, Inc.       10,222,877
      87,610 First American Financial Corp.           4,636,321
     258,412 Old Republic International Corp.         5,778,092
     200,988 Principal Financial Group, Inc.         13,423,989
     399,636 Prudential Financial, Inc.              38,237,172
                                               ----------------
                                                     73,287,733
                                               ----------------
             IT SERVICES -- 5.0%
     972,785 International Business Machines
                Corp.                               137,347,514
     485,142 Western Union (The) Co.                  7,990,289
                                               ----------------
                                                    145,337,803
                                               ----------------
             MACHINERY -- 0.1%
      66,159 Trinity Industries, Inc.                 1,602,371
                                               ----------------
             MEDIA -- 0.7%
     343,684 Interpublic Group of (The) Cos.,
                Inc.                                  9,461,621
     189,399 Omnicom Group, Inc.                     12,047,670
                                               ----------------
                                                     21,509,291
                                               ----------------
             MULTI-UTILITIES -- 0.2%
      67,537 Avista Corp.                             2,938,535
      52,046 NorthWestern Corp.                       3,067,071
                                               ----------------
                                                      6,005,606
                                               ----------------
             OIL, GAS & CONSUMABLE FUELS
                -- 18.1%
     747,955 Devon Energy Corp.                      41,219,800
   3,049,094 Exxon Mobil Corp.                      261,124,410
   2,522,617 Kinder Morgan, Inc.                     42,279,061
     563,589 ONEOK, Inc.                             31,279,190
     381,058 Phillips 66                             31,242,945
     546,437 Pioneer Natural Resources Co.          121,899,166
                                               ----------------
                                                    529,044,572
                                               ----------------
             PERSONAL PRODUCTS -- 0.1%
       9,334 Medifast, Inc.                           1,684,880
                                               ----------------
             SPECIALTY RETAIL -- 0.7%
     198,566 American Eagle Outfitters, Inc.          2,219,968
     228,741 Best Buy Co., Inc.                      14,911,626


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             SPECIALTY RETAIL (CONTINUED)
     100,732 Foot Locker, Inc.                 $      2,543,483
                                               ----------------
                                                     19,675,077
                                               ----------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 0.5%
     155,954 Seagate Technology Holdings PLC         11,141,354
     149,133 Xerox Holdings Corp.                     2,214,625
                                               ----------------
                                                     13,355,979
                                               ----------------
             TEXTILES, APPAREL & LUXURY GOODS
                -- 0.7%
      38,246 Carter's, Inc.                           2,695,578
     423,889 Hanesbrands, Inc.                        4,361,818
     300,008 VF Corp.                                13,251,353
                                               ----------------
                                                     20,308,749
                                               ----------------
             THRIFTS & MORTGAGE FINANCE
                -- 0.3%
     760,785 New York Community Bancorp,
                Inc.                                  6,945,967
     155,975 Radian Group, Inc.                       3,064,909
                                               ----------------
                                                     10,010,876
                                               ----------------
             TOBACCO -- 10.2%
   3,069,552 Altria Group, Inc.                     128,215,187
   1,732,243 Philip Morris International, Inc.      171,041,674
                                               ----------------
                                                    299,256,861
                                               ----------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 0.4%
      38,637 MSC Industrial Direct Co., Inc.,
                Class A                               2,902,025
      65,465 Triton International Ltd.                3,446,732
      26,387 Watsco, Inc.                             6,301,744
                                               ----------------
                                                     12,650,501
                                               ----------------
             TOTAL INVESTMENTS -- 99.5%           2,907,745,623
             (Cost $2,840,083,653)
             NET OTHER ASSETS AND
                LIABILITIES -- 0.5%                  14,213,979
                                               ----------------
             NET ASSETS -- 100.0%              $  2,921,959,602
                                               ================

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 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
                                                     6/30/2022           PRICES           INPUTS           INPUTS
                                                  --------------------------------------------------------------------
                                                                                           
Common Stocks*..................................  $  2,907,745,623  $  2,907,745,623  $            --  $            --
                                                  ====================================================================


* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 27





FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             AEROSPACE & DEFENSE -- 4.6%
     187,318 General Dynamics Corp.            $     41,444,107
     127,216 Parsons Corp. (a)                        5,142,071
                                               ----------------
                                                     46,586,178
                                               ----------------
             AUTOMOBILES -- 0.9%
     331,371 Rivian Automotive, Inc.,
                Class A (a)                           8,529,490
                                               ----------------
             BEVERAGES -- 3.5%
     211,863 Duckhorn Portfolio (The),
                Inc. (a)                              4,461,835
     869,858 Keurig Dr Pepper, Inc.                  30,784,274
                                               ----------------
                                                     35,246,109
                                               ----------------
             BIOTECHNOLOGY -- 3.4%
      36,374 Cerevel Therapeutics Holdings,
                Inc. (a)                                961,729
      69,561 Ionis Pharmaceuticals, Inc. (a)          2,575,148
      75,658 Legend Biotech Corp., ADR (a)            4,161,190
     111,110 United Therapeutics Corp. (a)           26,181,960
                                               ----------------
                                                     33,880,027
                                               ----------------
             BUILDING PRODUCTS -- 0.7%
     208,058 Carrier Global Corp.                     7,419,348
                                               ----------------
             CAPITAL MARKETS -- 3.2%
      81,686 Coinbase Global, Inc.,
                Class A (a) (b)                       3,840,876
     290,350 Owl Rock Capital Corp. (b)               3,580,016
     113,585 TPG, Inc.                                2,715,817
     316,317 Tradeweb Markets, Inc., Class A         21,588,635
                                               ----------------
                                                     31,725,344
                                               ----------------
             CHEMICALS -- 7.9%
   1,022,968 Corteva, Inc.                           55,383,487
     198,795 Diversey Holdings Ltd. (a)               1,312,047
     312,531 Dow, Inc.                               16,129,725
     277,710 Livent Corp. (a)                         6,301,240
                                               ----------------
                                                     79,126,499
                                               ----------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 2.1%
      41,086 Driven Brands Holdings, Inc. (a)         1,131,508
     154,963 Republic Services, Inc.                 20,280,008
                                               ----------------
                                                     21,411,516
                                               ----------------
             COMMUNICATIONS EQUIPMENT
                -- 0.1%
      16,925 Lumentum Holdings, Inc. (a)              1,344,184
                                               ----------------
             CONSTRUCTION & ENGINEERING
                -- 0.2%
      54,580 WillScot Mobile Mini Holdings
                Corp. (a)                             1,769,484
                                               ----------------
             DIVERSIFIED CONSUMER SERVICES
                -- 1.5%
      72,042 Duolingo, Inc. (a) (b)                   6,307,277
     223,501 Terminix Global Holdings,
                Inc. (a)                              9,085,316
                                               ----------------
                                                     15,392,593
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             ELECTRIC UTILITIES -- 2.4%
     160,249 Constellation Energy Corp.        $      9,175,857
     225,147 Evergy, Inc.                            14,690,842
                                               ----------------
                                                     23,866,699
                                               ----------------
             ELECTRICAL EQUIPMENT -- 0.4%
      52,875 Atkore, Inc. (a)                         4,389,154
                                               ----------------
             ENERGY EQUIPMENT & SERVICES
                -- 1.1%
     374,178 ChampionX Corp.                          7,427,433
     174,603 ProFrac Holding Corp.,
                Class A (a) (b)                       3,196,981
                                               ----------------
                                                     10,624,414
                                               ----------------
             ENTERTAINMENT -- 0.7%
     145,499 ROBLOX Corp., Class A (a)                4,781,097
     178,578 Warner Bros Discovery, Inc. (a)          2,396,517
                                               ----------------
                                                      7,177,614
                                               ----------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 0.5%
     157,520 Phillips Edison & Co., Inc.              5,262,743
                                               ----------------
             FOOD & STAPLES RETAILING -- 2.7%
     746,942 Albertsons Cos., Inc., Class A          19,958,290
     177,277 Grocery Outlet Holding Corp. (a)         7,557,319
                                               ----------------
                                                     27,515,609
                                               ----------------
             FOOD PRODUCTS -- 0.7%
     101,758 Hostess Brands, Inc. (a)                 2,158,287
     123,095 Simply Good Foods (The) Co. (a)          4,649,298
                                               ----------------
                                                      6,807,585
                                               ----------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 5.6%
     210,365 Alcon, Inc. (b)                         14,702,410
      57,726 Axonics, Inc. (a)                        3,271,332
     429,242 Bausch + Lomb Corp. (a) (b)              6,541,648
     299,153 Envista Holdings Corp. (a)              11,529,357
      14,837 Establishment Labs Holdings,
                Inc. (a)                                806,836
      13,031 Inari Medical, Inc. (a)                    885,978
      54,175 PROCEPT BioRobotics Corp. (a)            1,770,981
      87,791 Shockwave Medical, Inc. (a)             16,783,005
                                               ----------------
                                                     56,291,547
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 1.3%
     155,204 HealthEquity, Inc. (a)                   9,527,974
     133,208 Privia Health Group, Inc. (a)            3,879,017
                                               ----------------
                                                     13,406,991
                                               ----------------
             HEALTH CARE TECHNOLOGY -- 1.1%
     390,666 Change Healthcare, Inc. (a)              9,008,758
      47,367 Doximity, Inc., Class A (a) (b)          1,649,319
                                               ----------------
                                                     10,658,077
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 2.8%
     316,738 Airbnb, Inc., Class A (a)               28,215,021
                                               ----------------


Page 28                 See Notes to Financial Statements





FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             INSURANCE -- 3.5%
      21,632 Markel Corp. (a)                  $     27,975,584
     190,729 Ryan Specialty Holdings, Inc. (a)        7,474,670
                                               ----------------
                                                     35,450,254
                                               ----------------
             INTERACTIVE MEDIA & SERVICES
                -- 2.0%
     577,209 Bumble, Inc., Class A (a) (b)           16,248,433
      98,944 ZoomInfo Technologies, Inc. (a)          3,288,899
                                               ----------------
                                                     19,537,332
                                               ----------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 0.6%
      97,493 DoorDash, Inc., Class A (a)              6,256,126
                                               ----------------
             IT SERVICES -- 5.5%
     213,580 Block, Inc. (a)                         13,126,627
      26,015 DigitalOcean Holdings,
                Inc. (a) (b)                          1,075,980
     424,368 DXC Technology Co. (a)                  12,862,594
     267,083 Marqeta, Inc., Class A (a)               2,166,043
      45,944 MongoDB, Inc. (a)                       11,922,468
     420,004 Switch, Inc., Class A                   14,070,134
                                               ----------------
                                                     55,223,846
                                               ----------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 1.0%
     206,421 Avantor, Inc. (a)                        6,419,693
     173,424 Sotera Health Co. (a)                    3,397,376
                                               ----------------
                                                      9,817,069
                                               ----------------
             MACHINERY -- 1.9%
      51,913 Cummins, Inc.                           10,046,723
      35,179 Hillenbrand, Inc.                        1,440,932
     103,704 Otis Worldwide Corp.                     7,328,761
                                               ----------------
                                                     18,816,416
                                               ----------------
             MEDIA -- 0.3%
      70,414 Gray Television, Inc.                    1,189,293
     107,678 WideOpenWest, Inc. (a)                   1,960,816
                                               ----------------
                                                      3,150,109
                                               ----------------
             MULTI-UTILITIES -- 1.7%
     115,640 Sempra Energy                           17,377,223
                                               ----------------
             OIL, GAS & CONSUMABLE FUELS
                -- 6.6%
     124,671 Cheniere Energy, Inc.                   16,584,983
     132,790 Excelerate Energy, Inc.,
                Class A (a) (b)                       2,645,177
      64,205 HighPeak Energy, Inc. (b)                1,644,932
     269,936 Magnolia Oil & Gas Corp.,
                Class A                               5,665,956
      50,909 New Fortress Energy, Inc.                2,014,469
     118,697 Pioneer Natural Resources Co.           26,478,927
     463,233 Range Resources Corp. (a)               11,465,017
                                               ----------------
                                                     66,499,461
                                               ----------------
             PERSONAL PRODUCTS -- 0.6%
     250,853 BellRing Brands, Inc. (a)                6,243,731
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             PHARMACEUTICALS -- 4.9%
      69,918 Eli Lilly & Co.                   $     22,669,513
      72,416 Harmony Biosciences Holdings,
                Inc. (a)                              3,531,729
     497,700 Organon & Co.                           16,797,375
     148,929 Royalty Pharma PLC, Class A              6,260,975
                                               ----------------
                                                     49,259,592
                                               ----------------
             PROFESSIONAL SERVICES -- 1.2%
      94,650 Jacobs Engineering Group, Inc.          12,032,854
                                               ----------------
             ROAD & RAIL -- 2.0%
     963,297 Uber Technologies, Inc. (a)             19,709,057
                                               ----------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 5.4%
     178,203 Credo Technology Group Holding
                Ltd. (a) (b)                          2,081,411
     625,393 Marvell Technology, Inc.                27,223,357
     479,591 ON Semiconductor Corp. (a)              24,128,223
       5,161 SiTime Corp. (a)                           841,398
                                               ----------------
                                                     54,274,389
                                               ----------------
             SOFTWARE -- 9.9%
      25,576 Bill.com Holdings, Inc. (a)              2,811,826
     313,075 Crowdstrike Holdings, Inc.,
                Class A (a)                          52,771,922
      77,269 Datadog, Inc., Class A (a)               7,359,100
      72,456 Gitlab, Inc., Class A (a)                3,850,312
     122,028 Salesforce, Inc. (a)                    20,139,501
      13,353 Sprout Social, Inc., Class A (a)           775,409
      40,686 Tenable Holdings, Inc. (a)               1,847,551
      47,592 Verint Systems, Inc. (a)                 2,015,521
      73,186 Zoom Video Communications,
                Inc., Class A (a)                     7,901,892
                                               ----------------
                                                     99,473,034
                                               ----------------
             SPECIALTY RETAIL -- 0.3%
      62,617 Academy Sports & Outdoors, Inc.          2,225,408
     194,855 EVgo, Inc. (a) (b)                       1,171,079
                                               ----------------
                                                      3,396,487
                                               ----------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 1.7%
     362,779 Dell Technologies, Inc., Class C        16,764,018
                                               ----------------
             THRIFTS & MORTGAGE FINANCE
                -- 0.6%
     299,565 Enact Holdings, Inc. (b)                 6,434,656
                                               ----------------
             WIRELESS TELECOMMUNICATION
                SERVICES -- 2.9%
     215,236 T-Mobile US, Inc. (a)                   28,957,851
                                               ----------------
             TOTAL COMMON STOCKS
                -- 100.0%                         1,005,319,731
             (Cost $1,088,840,406)             ----------------


                        See Notes to Financial Statements                Page 29





FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
---------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 2.7%
$ 13,000,000 Citigroup, Inc., 1.50% (c), dated
                06/30/22, due 07/01/22, with a
                maturity value of $13,000,542.
                Collateralized by U.S.
                Treasury Securities, interest
                rates of 0.75% to 3.88%, due
                11/15/24 to 04/15/29. The
                value of the collateral
                including accrued interest
                is $13,260,000. (d)            $     13,000,000
  13,000,000 Daiwa Capital Markets America,
                Inc., 1.49% (c), dated
                06/30/22, due 07/01/22, with
                a maturity value of
                $13,000,538. Collateralized by
                U.S. Treasury Securities,
                interest rates of 0.00% to
                7.63%, due 07/26/22 to
                02/15/50. The value of the
                collateral including accrued
                interest is $13,260,002. (d)         13,000,000
   1,242,110 JPMorgan Chase & Co., 1.48% (c),
                dated 06/30/22, due 07/01/22,
                with a maturity value of
                $1,242,161. Collateralized by
                U.S. Treasury Securities,
                interest rates of 2.88% to
                3.38%, due 05/15/44 to
                05/15/49. The value of the
                collateral including accrued
                interest is $1,266,952. (d)           1,242,110
                                               ----------------
             TOTAL REPURCHASE AGREEMENTS
                -- 2.7%                              27,242,110
             (Cost $27,242,110)                ----------------

             TOTAL INVESTMENTS -- 102.7%          1,032,561,841
             (Cost $1,116,082,516)
             NET OTHER ASSETS AND
                LIABILITIES -- (2.7)%               (26,760,481)
                                               ----------------
             NET ASSETS -- 100.0%              $  1,005,801,360
                                               ================

(a)   Non-income producing security.

(b)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $26,009,137 and the
      total value of the collateral held by the Fund is $27,242,110.

(c)   Rate shown reflects yield as of June 30, 2022.

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

ADR   - American Depositary Receipt

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

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

SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $     26,009,137
Non-cash Collateral(2)                              (26,009,137)
                                               ----------------
Net Amount                                     $             --
                                               ================

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

(2)   At June 30, 2022, the value of the collateral received from each borrower
      exceeded the value of the related securities loaned. This amount is
      disclosed on the Portfolio of Investments.

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

REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $     27,242,110
Non-cash Collateral(4)                              (27,242,110)
                                               ----------------
Net Amount                                     $             --
                                               ================

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

(4)   At June 30, 2022, the value of the collateral received from each seller
      exceeded the value of the repurchase agreements.


Page 30                 See Notes to Financial Statements





FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 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
                                                     6/30/2022           PRICES           INPUTS           INPUTS
                                                  --------------------------------------------------------------------
                                                                                           
Common Stocks*..................................  $  1,005,319,731  $  1,005,319,731  $            --  $            --
Repurchase Agreements...........................        27,242,110                --       27,242,110               --
                                                  --------------------------------------------------------------------
Total Investments...............................  $  1,032,561,841  $  1,005,319,731  $    27,242,110  $            --
                                                  ====================================================================


* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 31





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

PORTFOLIO OF INVESTMENTS
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             BIOTECHNOLOGY -- 79.1%
   2,044,434 ACADIA Pharmaceuticals,
                Inc. (a)                       $     28,806,075
   1,719,603 Agios Pharmaceuticals, Inc. (a)         38,123,598
   1,634,163 Alkermes PLC (a)                        48,681,716
     286,729 Alnylam Pharmaceuticals, Inc. (a)       41,819,425
     188,972 Amgen, Inc.                             45,976,888
     225,918 Biogen, Inc. (a)                        46,073,717
     578,461 BioMarin Pharmaceutical, Inc. (a)       47,937,063
     277,267 BioNTech SE, ADR                        41,340,510
     689,303 Exact Sciences Corp. (a)                27,151,645
   2,077,918 Exelixis, Inc. (a)                      43,262,253
   4,059,234 FibroGen, Inc. (a)                      42,865,511
     776,285 Gilead Sciences, Inc.                   47,982,176
   4,459,115 Grifols S.A., ADR                       52,974,286
     586,928 Incyte Corp. (a)                        44,588,920
   1,171,161 Ionis Pharmaceuticals, Inc. (a)         43,356,380
     289,806 Moderna, Inc. (a)                       41,398,787
     483,399 Neurocrine Biosciences, Inc. (a)        47,121,735
      65,428 Regeneron Pharmaceuticals,
                Inc. (a)                             38,676,454
     589,238 Sarepta Therapeutics, Inc. (a)          44,169,280
     320,598 Seagen, Inc. (a)                        56,726,610
     561,911 Ultragenyx Pharmaceutical,
                Inc. (a)                             33,523,610
     250,165 United Therapeutics Corp. (a)           58,948,881
     166,650 Vertex Pharmaceuticals, Inc. (a)        46,960,303
                                               ----------------
                                                  1,008,465,823
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 18.5%
     114,692 Bio-Techne Corp., ADR             $     39,756,835
     168,573 Charles River Laboratories
                International, Inc. (a)              36,069,565
     142,404 Illumina, Inc. (a)                      26,253,601
     201,287 IQVIA Holdings, Inc. (a)                43,677,266
      36,564 Mettler-Toledo International,
                Inc. (a)                             42,003,626
   1,022,988 QIAGEN N.V. (a)                         48,285,034
                                               ----------------
                                                    236,045,927
                                               ----------------
             PHARMACEUTICALS -- 2.4%
   7,789,020 Nektar Therapeutics (a)                 29,598,276
                                               ----------------
             TOTAL INVESTMENTS -- 100.0%          1,274,110,026
             (Cost $1,434,808,259)
             NET OTHER ASSETS AND
                LIABILITIES -- 0.0%                     624,657
                                               ----------------
             NET ASSETS -- 100.0%              $  1,274,734,683
                                               ================

(a)   Non-income producing security.

ADR   - American Depositary Receipt

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 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
                                                     6/30/2022           PRICES           INPUTS           INPUTS
                                                  --------------------------------------------------------------------
                                                                                           
Common Stocks*..................................  $  1,274,110,026  $  1,274,110,026  $            --  $            --
                                                  ====================================================================



* See Portfolio of Investments for industry breakout.


Page 32                 See Notes to Financial Statements





FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             COMMUNICATIONS EQUIPMENT
                -- 11.2%
     996,100 Arista Networks, Inc. (a)         $     93,374,414
   1,294,594 Ciena Corp. (a)                         59,162,946
   5,169,789 Cisco Systems, Inc.                    220,439,803
   4,035,149 CommScope Holding Co., Inc. (a)         24,695,112
   2,340,261 Juniper Networks, Inc.                  66,697,438
                                               ----------------
                                                    464,369,713
                                               ----------------
             ENTERTAINMENT -- 3.7%
     866,305 Netflix, Inc. (a)                      151,490,756
                                               ----------------
             HEALTH CARE TECHNOLOGY -- 4.0%
   1,587,327 Teladoc Health, Inc. (a)                52,715,130
     570,990 Veeva Systems, Inc., Class A (a)       113,078,859
                                               ----------------
                                                    165,793,989
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 4.1%
   1,118,636 Airbnb, Inc., Class A (a)               99,648,095
     738,416 Expedia Group, Inc. (a)                 70,023,989
                                               ----------------
                                                    169,672,084
                                               ----------------
             INTERACTIVE MEDIA & SERVICES
                -- 26.6%
     104,341 Alphabet, Inc., Class A (a)            227,386,168
      95,645 Alphabet, Inc., Class C (a)            209,218,655
   1,235,185 Match Group, Inc. (a)                   86,080,043
   1,601,865 Meta Platforms, Inc., Class A (a)      258,300,731
   3,715,393 Pinterest, Inc., Class A (a)            67,471,537
   5,852,900 Snap, Inc., Class A (a)                 76,848,577
   2,875,379 Twitter, Inc. (a)                      107,510,421
   1,930,277 ZoomInfo Technologies, Inc. (a)         64,162,407
                                               ----------------
                                                  1,096,978,539
                                               ----------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 12.9%
   3,496,341 Amazon.com, Inc. (a)                   371,346,377
   2,289,958 eBay, Inc.                              95,422,550
     870,647 Etsy, Inc. (a)                          63,740,067
                                               ----------------
                                                    530,508,994
                                               ----------------
             IT SERVICES -- 14.4%
     871,442 Akamai Technologies, Inc. (a)           79,588,798
   1,565,387 Cloudflare, Inc., Class A (a)           68,485,681
   2,405,492 Fastly, Inc., Class A (a)               27,927,762
   1,045,452 GoDaddy, Inc., Class A (a)              72,721,641
     841,455 Okta, Inc. (a)                          76,067,532
   2,112,386 PayPal Holdings, Inc. (a)              147,529,038
     881,828 Snowflake, Inc., Class A (a)           122,627,002
                                               ----------------
                                                    594,947,454
                                               ----------------
             REAL ESTATE MANAGEMENT &
                DEVELOPMENT -- 1.9%
   5,728,705 Opendoor Technologies,
                Inc. (a) (b)                         26,982,201
     289,143 Zillow Group, Inc., Class A (a)          9,197,639
   1,312,804 Zillow Group, Inc., Class C (a)         41,681,527
                                               ----------------
                                                     77,861,367
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             SOFTWARE -- 21.2%
   1,774,348 Box, Inc., Class A (a)            $     44,607,109
     792,874 Citrix Systems, Inc.                    77,043,567
     765,079 Coupa Software, Inc. (a)                43,686,011
   1,033,041 Datadog, Inc., Class A (a)              98,386,825
   1,022,144 DocuSign, Inc. (a)                      58,650,623
   2,530,378 Dropbox, Inc., Class A (a)              53,112,634
   2,867,323 Nutanix, Inc., Class A (a)              41,948,935
   1,231,456 Salesforce, Inc. (a)                   203,239,498
   2,727,707 Vonage Holdings Corp. (a)               51,390,000
     736,350 Workday, Inc., Class A (a)             102,779,733
     938,462 Zoom Video Communications,
                Inc., Class A (a)                   101,325,742
                                               ----------------
                                                    876,170,677
                                               ----------------
             TOTAL COMMON STOCKS
                -- 100.0%                         4,127,793,573
             (Cost $6,365,171,800)             ----------------

             MONEY MARKET FUNDS -- 0.2%
   4,528,131 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                1.39% (c) (d)                         4,528,131
   3,687,219 Morgan Stanley Institutional
                Liquidity Funds - Treasury
                Portfolio - Institutional
                Class - 1.34% (c)                     3,687,219
                                               ----------------
             TOTAL MONEY MARKET FUNDS
                -- 0.2%                               8,215,350
             (Cost $8,215,350)                 ----------------


 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
---------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 0.1%
$  4,258,625 BNP Paribas S.A., 1.44% (c),
                dated 06/30/22, due 07/01/22,
                with a maturity value of
                $4,258,795. Collateralized by
                U.S. Treasury Note, interest
                rate of 1.25%, due 05/31/28.
                The value of the collateral
                including accrued interest
                is $4,352,744. (d)                    4,258,625
             (Cost $4,258,625)                 ----------------

             TOTAL INVESTMENTS -- 100.3%          4,140,267,548
             (Cost $6,377,645,775)
             NET OTHER ASSETS AND
                LIABILITIES -- (0.3)%               (11,817,441)
                                               ----------------
             NET ASSETS -- 100.0%              $  4,128,450,107
                                               ================


                        See Notes to Financial Statements                Page 33





FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

(a)   Non-income producing security.

(b)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $7,160,142 and the
      total value of the collateral held by the Fund is $8,786,756.

(c)   Rate shown reflects yield as of June 30, 2022.

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

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

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

SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $      7,160,142
Non-cash Collateral(2)                               (7,160,142)
                                               ----------------
Net Amount                                     $             --
                                               ================

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

(2)   At June 30, 2022, the value of the collateral received from each borrower
      exceeded the value of the related securities loaned. This amount is
      disclosed on the Portfolio of Investments.

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

REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $      4,258,625
Non-cash Collateral(4)                               (4,258,625)
                                               ----------------
Net Amount                                     $             --
                                               ================

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

(4)   At June 30, 2022, the value of the collateral received from each seller
      exceeded the value of the repurchase agreements.


Page 34                 See Notes to Financial Statements





FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 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
                                                     6/30/2022           PRICES           INPUTS           INPUTS
                                                  --------------------------------------------------------------------
                                                                                           
Common Stocks*..................................  $  4,127,793,573  $  4,127,793,573  $            --  $            --
Money Market Funds..............................         8,215,350         8,215,350               --               --
Repurchase Agreements...........................         4,258,625                --        4,258,625               --
                                                  --------------------------------------------------------------------
Total Investments...............................  $  4,140,267,548  $  4,136,008,923  $     4,258,625  $            --
                                                  ====================================================================


* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 35





FIRST TRUST CAPITAL STRENGTH ETF (FTCS)

PORTFOLIO OF INVESTMENTS
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AEROSPACE & DEFENSE -- 4.0%
     703,038 General Dynamics Corp.            $    155,547,158
     366,426 Lockheed Martin Corp.                  157,548,523
                                               ----------------
                                                    313,095,681
                                               ----------------
             AIR FREIGHT & LOGISTICS -- 2.2%
   1,772,250 Expeditors International of
                Washington, Inc.                    172,723,485
                                               ----------------
             BEVERAGES -- 4.3%
   2,635,486 Coca-Cola (The) Co.                    165,798,424
     996,866 PepsiCo, Inc.                          166,137,688
                                               ----------------
                                                    331,936,112
                                               ----------------
             BIOTECHNOLOGY -- 10.2%
   1,055,750 AbbVie, Inc.                           161,698,670
     674,592 Amgen, Inc.                            164,128,233
   2,096,401 Incyte Corp. (a)                       159,263,584
     233,784 Regeneron Pharmaceuticals,
                Inc. (a)                            138,196,736
     595,067 Vertex Pharmaceuticals, Inc. (a)       167,683,930
                                               ----------------
                                                    790,971,153
                                               ----------------
             CAPITAL MARKETS -- 7.3%
   1,376,053 Intercontinental Exchange, Inc.        129,404,024
     521,807 Moody's Corp.                          141,915,850
     959,717 Nasdaq, Inc.                           146,395,231
     442,125 S&P Global, Inc.                       149,022,653
                                               ----------------
                                                    566,737,758
                                               ----------------
             CHEMICALS -- 2.2%
     694,208 Air Products and Chemicals, Inc.       166,943,140
                                               ----------------
             COMMUNICATIONS EQUIPMENT
                -- 1.8%
   3,348,837 Cisco Systems, Inc.                    142,794,410
                                               ----------------
             DIVERSIFIED FINANCIAL SERVICES
                -- 1.8%
     497,669 Berkshire Hathaway, Inc.,
                Class B (a)                         135,873,590
                                               ----------------
             ELECTRICAL EQUIPMENT -- 1.9%
   1,845,346 Emerson Electric Co.                   146,778,821
                                               ----------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 2.0%
   2,434,763 Amphenol Corp., Class A                156,750,042
                                               ----------------
             FOOD & STAPLES RETAILING -- 3.5%
     290,242 Costco Wholesale Corp.                 139,107,186
   1,090,895 Walmart, Inc.                          132,631,014
                                               ----------------
                                                    271,738,200
                                               ----------------
             FOOD PRODUCTS -- 2.2%
   2,689,260 Mondelez International, Inc.,
                Class A                             166,976,153
                                               ----------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 4.0%
   1,456,027 Abbott Laboratories                    158,197,333
   2,244,986 Hologic, Inc. (a)                      155,577,530
                                               ----------------
                                                    313,774,863
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 8.1%
   1,062,963 AmerisourceBergen Corp.           $    150,388,005
     331,643 Elevance Health, Inc.                  160,044,279
     636,931 Laboratory Corp. of America
                Holdings                            149,271,149
     320,417 UnitedHealth Group, Inc.               164,575,784
                                               ----------------
                                                    624,279,217
                                               ----------------
             HOUSEHOLD PRODUCTS -- 2.0%
   1,080,656 Procter & Gamble (The) Co.             155,387,526
                                               ----------------
             INDUSTRIAL CONGLOMERATES -- 3.9%
   1,162,704 3M Co.                                 150,465,525
     877,902 Honeywell International, Inc.          152,588,146
                                               ----------------
                                                    303,053,671
                                               ----------------
             INSURANCE -- 12.5%
   1,213,948 Allstate (The) Corp.                   153,843,630
   3,498,575 Arch Capital Group Ltd. (a)            159,150,177
     116,186 Markel Corp. (a)                       150,257,544
   1,009,423 Marsh & McLennan Cos., Inc.            156,712,921
   1,528,498 Progressive (The) Corp.                177,718,462
   2,511,880 W.R. Berkley Corp.                     171,460,929
                                               ----------------
                                                    969,143,663
                                               ----------------
             IT SERVICES -- 5.6%
     747,637 Automatic Data Processing, Inc.        157,033,676
   2,022,187 Cognizant Technology Solutions
                Corp., Class A                      136,477,401
   1,253,636 Paychex, Inc.                          142,751,531
                                               ----------------
                                                    436,262,608
                                               ----------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 2.1%
     301,206 Thermo Fisher Scientific, Inc.         163,639,196
                                               ----------------
             MACHINERY -- 4.2%
     873,092 Illinois Tool Works, Inc.              159,121,017
   2,047,059 PACCAR, Inc.                           168,554,838
                                               ----------------
                                                    327,675,855
                                               ----------------
             PHARMACEUTICALS -- 8.7%
   2,210,825 Bristol-Myers Squibb Co.               170,233,525
     952,534 Johnson & Johnson                      169,084,310
   1,971,687 Merck & Co., Inc.                      179,758,704
     914,903 Zoetis, Inc.                           157,262,677
                                               ----------------
                                                    676,339,216
                                               ----------------
             ROAD & RAIL -- 3.7%
   4,887,612 CSX Corp.                              142,034,005
     695,980 Union Pacific Corp.                    148,438,614
                                               ----------------
                                                    290,472,619
                                               ----------------
             TOBACCO -- 1.7%
   3,116,760 Altria Group, Inc.                     130,187,065
                                               ----------------
             TOTAL INVESTMENTS -- 99.9%           7,753,534,044
             (Cost $7,934,676,249)
             NET OTHER ASSETS AND
                LIABILITIES -- 0.1%                   8,539,663
                                               ----------------
             NET ASSETS -- 100.0%              $  7,762,073,707
                                               ================


Page 36                 See Notes to Financial Statements





FIRST TRUST CAPITAL STRENGTH ETF (FTCS)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

(a)   Non-income producing security.

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 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
                                                     6/30/2022           PRICES           INPUTS           INPUTS
                                                  --------------------------------------------------------------------
                                                                                           
Common Stocks*..................................  $  7,753,534,044  $  7,753,534,044  $            --  $            --
                                                  ====================================================================


* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 37





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

PORTFOLIO OF INVESTMENTS
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AEROSPACE & DEFENSE -- 2.1%
     277,414 General Dynamics Corp.            $     61,377,848
     262,652 L3Harris Technologies, Inc.             63,482,988
     144,047 Lockheed Martin Corp.                   61,934,448
     654,769 Raytheon Technologies Corp.             62,929,849
                                               ----------------
                                                    249,725,133
                                               ----------------
             AIR FREIGHT & LOGISTICS -- 1.5%
     587,835 C.H. Robinson Worldwide, Inc.           59,588,834
     253,135 FedEx Corp.                             57,388,236
     340,186 United Parcel Service, Inc.,
                Class B                              62,097,552
                                               ----------------
                                                    179,074,622
                                               ----------------
             AUTO COMPONENTS -- 0.5%
   2,177,170 Gentex Corp.                            60,895,445
                                               ----------------
             AUTOMOBILES -- 0.5%
     378,014 Toyota Motor Corp., ADR                 58,278,418
                                               ----------------
             BANKS -- 4.0%
     604,947 Bank of Montreal                        58,177,753
     956,224 Bank of Nova Scotia (The)               56,618,023
   1,183,560 Canadian Imperial Bank of
                Commerce                             57,450,003
     911,016 Commerce Bancshares, Inc.               59,808,200
     514,874 JPMorgan Chase & Co.                    57,979,961
     608,805 Royal Bank of Canada                    58,944,500
     877,107 Toronto-Dominion (The) Bank             57,520,677
   1,281,562 U.S. Bancorp                            58,977,483
                                               ----------------
                                                    465,476,600
                                               ----------------
             BEVERAGES -- 2.1%
     979,231 Coca-Cola (The) Co.                     61,603,423
     338,760 Diageo PLC, ADR                         58,984,891
   1,694,195 Keurig Dr Pepper, Inc.                  59,957,561
     370,529 PepsiCo, Inc.                           61,752,363
                                               ----------------
                                                    242,298,238
                                               ----------------
             BIOTECHNOLOGY -- 1.0%
     247,941 Amgen, Inc.                             60,324,045
     994,291 Gilead Sciences, Inc.                   61,457,127
                                               ----------------
                                                    121,781,172
                                               ----------------
             BUILDING PRODUCTS -- 1.0%
   1,095,763 A.O. Smith Corp.                        59,916,321
   1,232,177 Johnson Controls International
                PLC                                  58,996,635
                                               ----------------
                                                    118,912,956
                                               ----------------
             CAPITAL MARKETS -- 4.1%
   1,414,923 Bank of New York Mellon (The)
                Corp.                                59,016,438
      99,947 BlackRock, Inc.                         60,871,721
     533,175 Cboe Global Markets, Inc.               60,350,078
     290,213 CME Group, Inc.                         59,406,601
     207,997 Goldman Sachs Group (The), Inc.         61,779,269
     760,429 Houlihan Lokey, Inc.                    60,020,661
     644,256 Intercontinental Exchange, Inc.         60,585,834
     545,519 T. Rowe Price Group, Inc.               61,976,414
                                               ----------------
                                                    484,007,016
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             CHEMICALS -- 2.6%
     246,628 Air Products and Chemicals, Inc.  $     59,309,102
     537,310 International Flavors &
                Fragrances, Inc.                     64,004,367
     201,166 NewMarket Corp.                         60,542,919
     528,953 PPG Industries, Inc.                    60,480,486
     796,875 Sensient Technologies Corp.             64,196,250
                                               ----------------
                                                    308,533,124
                                               ----------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 0.5%
     413,763 Waste Management, Inc.                  63,297,464
                                               ----------------
             COMMUNICATIONS EQUIPMENT
                -- 1.0%
   1,341,227 Cisco Systems, Inc.                     57,189,919
   2,106,251 Juniper Networks, Inc.                  60,028,154
                                               ----------------
                                                    117,218,073
                                               ----------------
             CONTAINERS & PACKAGING -- 1.6%
     375,675 Avery Dennison Corp.                    60,810,512
     416,640 Packaging Corp. of America              57,288,000
   1,116,145 Sonoco Products Co.                     63,664,911
                                               ----------------
                                                    181,763,423
                                               ----------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 1.5%
   1,223,374 BCE, Inc.                               60,165,533
   2,641,657 TELUS Corp.                             58,856,118
   1,186,945 Verizon Communications, Inc.            60,237,459
                                               ----------------
                                                    179,259,110
                                               ----------------
             ELECTRIC UTILITIES -- 10.7%
   1,015,985 ALLETE, Inc.                            59,719,598
   1,062,932 Alliant Energy Corp.                    62,298,444
     658,243 American Electric Power Co., Inc.       63,151,833
   1,331,400 Avangrid, Inc.                          61,404,168
     594,926 Duke Energy Corp.                       63,782,016
     567,989 Entergy Corp.                           63,978,281
     967,670 Evergy, Inc.                            63,140,467
     746,291 Eversource Energy                       63,039,201
   1,422,527 Exelon Corp.                            64,468,924
   1,307,764 Fortis, Inc.                            61,818,004
   1,515,121 Hawaiian Electric Industries,
                Inc.                                 61,968,449
     592,991 IDACORP, Inc.                           62,809,607
     821,856 NextEra Energy, Inc.                    63,660,966
   1,662,264 OGE Energy Corp.                        64,096,900
     941,981 Otter Tail Corp.                        63,235,185
     882,818 Pinnacle West Capital Corp.             64,551,652
   1,298,431 PNM Resources, Inc.                     62,039,033
   1,275,384 Portland General Electric Co.           61,639,309
     889,981 Southern (The) Co.                      63,464,545
     910,589 Xcel Energy, Inc.                       64,433,278
                                               ----------------
                                                  1,258,699,860
                                               ----------------
             ELECTRICAL EQUIPMENT -- 2.0%
   2,183,704 ABB Ltd., ADR                           58,370,408
     739,935 Emerson Electric Co.                    58,854,430
     339,673 Hubbell, Inc.                           60,658,804


Page 38                 See Notes to Financial Statements





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

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             ELECTRICAL EQUIPMENT (CONTINUED)
     304,545 Rockwell Automation, Inc.         $     60,698,864
                                               ----------------
                                                    238,582,506
                                               ----------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 1.5%
   1,391,573 Avnet, Inc.                             59,670,650
   1,825,466 Corning, Inc.                           57,520,434
     503,728 TE Connectivity Ltd.                    56,996,823
                                               ----------------
                                                    174,187,907
                                               ----------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 4.8%
     441,616 Alexandria Real Estate Equities,
                Inc.                                 64,047,569
     246,417 American Tower Corp.                    62,981,721
     452,604 Camden Property Trust                   60,866,186
     372,690 Crown Castle International Corp.        62,753,542
   1,131,331 Duke Realty Corp.                       62,166,638
     358,039 Mid-America Apartment
                Communities, Inc.                    62,538,672
     527,327 Prologis, Inc.                          62,040,022
     194,934 Public Storage                          60,950,014
     897,116 Realty Income Corp.                     61,237,138
                                               ----------------
                                                    559,581,502
                                               ----------------
             FOOD & STAPLES RETAILING -- 0.5%
     491,972 Walmart, Inc.                           59,813,956
                                               ----------------
             FOOD PRODUCTS -- 6.8%
     752,760 Archer-Daniels-Midland Co.              58,414,176
   1,282,123 Campbell Soup Co.                       61,606,010
   2,358,970 Flowers Foods, Inc.                     62,088,091
     878,696 General Mills, Inc.                     66,297,613
     282,468 Hershey (The) Co.                       60,775,815
   1,302,210 Hormel Foods Corp.                      61,672,666
     687,727 Ingredion, Inc.                         60,630,012
     439,609 J & J Snack Foods Corp.                 61,395,793
     476,151 J.M. Smucker (The) Co.                  60,952,090
     861,648 Kellogg Co.                             61,469,968
     468,790 Lancaster Colony Corp.                  60,370,776
     705,061 McCormick & Co., Inc.                   58,696,328
     989,723 Mondelez International, Inc.,
                Class A                              61,451,901
                                               ----------------
                                                    795,821,239
                                               ----------------
             GAS UTILITIES -- 3.2%
     562,227 Atmos Energy Corp.                      63,025,647
     489,044 Chesapeake Utilities Corp.              63,355,650
   1,408,075 New Jersey Resources Corp.              62,701,580
     751,496 ONE Gas, Inc.                           61,013,960
     823,490 Spire, Inc.                             61,242,951
   1,545,707 UGI Corp.                               59,679,747
                                               ----------------
                                                    371,019,535
                                               ----------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 1.5%
     567,600 Abbott Laboratories                     61,669,740
     911,729 Baxter International, Inc.              58,560,354


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES (CONTINUED)
     659,667 Medtronic PLC                     $     59,205,113
                                               ----------------
                                                    179,435,207
                                               ----------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 2.0%
     656,390 CVS Health Corp.                        60,821,097
   2,255,650 Fresenius Medical Care AG & Co.
                KGaA, ADR                            56,255,911
   1,680,500 Premier, Inc., Class A                  59,960,240
     445,462 Quest Diagnostics, Inc.                 59,237,537
                                               ----------------
                                                    236,274,785
                                               ----------------
             HOTELS, RESTAURANTS & LEISURE
                -- 1.6%
     248,297 McDonald's Corp.                        61,299,563
     809,733 Starbucks Corp.                         61,855,504
     531,473 Yum! Brands, Inc.                       60,327,500
                                               ----------------
                                                    183,482,567
                                               ----------------
             HOUSEHOLD DURABLES -- 0.5%
     622,616 Garmin Ltd.                             61,172,022
                                               ----------------
             HOUSEHOLD PRODUCTS -- 2.7%
     474,217 Clorox (The) Co.                        66,855,113
     786,007 Colgate-Palmolive Co.                   62,990,601
     477,839 Kimberly-Clark Corp.                    64,579,941
     439,673 Procter & Gamble (The) Co.              63,220,581
     319,918 WD-40 Co.                               64,418,688
                                               ----------------
                                                    322,064,924
                                               ----------------
             INDUSTRIAL CONGLOMERATES -- 1.0%
     448,215 3M Co.                                  58,003,503
     323,846 Honeywell International, Inc.           56,287,673
                                               ----------------
                                                    114,291,176
                                               ----------------
             INSURANCE -- 6.2%
   1,097,001 Aflac, Inc.                             60,697,065
     482,715 Allstate (The) Corp.                    61,174,472
   1,064,099 Axis Capital Holdings Ltd.              60,749,412
     307,363 Chubb Ltd.                              60,421,419
   1,375,787 CNA Financial Corp.                     61,772,836
     336,542 Erie Indemnity Co., Class A             64,680,007
     216,247 Everest Re Group Ltd.                   60,609,709
     423,212 Hanover Insurance Group (The),
                Inc.                                 61,894,755
     904,363 Hartford Financial Services Group
                (The), Inc.                          59,172,471
   1,302,502 Sun Life Financial, Inc.                59,667,617
     359,497 Travelers (The) Cos., Inc.              60,801,728
     300,080 Willis Towers Watson PLC                59,232,791
                                               ----------------
                                                    730,874,282
                                               ----------------
             IT SERVICES -- 4.1%
     743,144 Amdocs Ltd.                             61,911,327
     290,575 Automatic Data Processing, Inc.         61,032,373
     436,216 Broadridge Financial Solutions,
                Inc.                                 62,182,591
     633,662 Fidelity National Information
                Services, Inc.                       58,087,795


                        See Notes to Financial Statements                Page 39





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

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             IT SERVICES (CONTINUED)
   3,276,785 Infosys Ltd., ADR                 $     60,653,290
     431,016 International Business Machines
                Corp.                                60,855,149
     981,714 Maximus, Inc.                           61,366,942
     515,009 Paychex, Inc.                           58,644,075
                                               ----------------
                                                    484,733,542
                                               ----------------
             MACHINERY -- 4.5%
     302,098 Caterpillar, Inc.                       54,003,039
     303,816 Cummins, Inc.                           58,797,510
   1,257,742 Donaldson Co., Inc.                     60,547,700
     496,173 Dover Corp.                             60,195,708
     326,485 Illinois Tool Works, Inc.               59,501,891
     475,762 Lincoln Electric Holdings, Inc.         58,690,000
     710,396 PACCAR, Inc.                            58,494,007
     297,325 Snap-on, Inc.                           58,581,945
     798,190 Xylem, Inc.                             62,402,494
                                               ----------------
                                                    531,214,294
                                               ----------------
             MEDIA -- 0.5%
   1,503,381 Comcast Corp., Class A                  58,992,670
                                               ----------------
             MULTILINE RETAIL -- 0.5%
     417,774 Target Corp.                            59,002,222
                                               ----------------
             MULTI-UTILITIES -- 6.0%
     715,024 Ameren Corp.                            64,609,569
   1,458,902 Avista Corp.                            63,476,826
     871,065 Black Hills Corp.                       63,387,400
     951,532 CMS Energy Corp.                        64,228,410
     669,837 Consolidated Edison, Inc.               63,701,499
     792,752 Dominion Energy, Inc.                   63,269,537
     502,902 DTE Energy Co.                          63,742,828
   1,066,247 NorthWestern Corp.                      62,833,936
     983,702 Public Service Enterprise Group,
                Inc.                                 62,248,662
     417,207 Sempra Energy                           62,693,696
     643,970 WEC Energy Group, Inc.                  64,809,141
                                               ----------------
                                                    699,001,504
                                               ----------------
             OIL, GAS & CONSUMABLE FUELS
                -- 0.5%
   1,437,289 Enbridge, Inc.                          60,739,833
                                               ----------------
             PERSONAL PRODUCTS -- 0.5%
   1,331,097 Unilever PLC, ADR                       61,004,176
                                               ----------------
             PHARMACEUTICALS -- 4.2%
     952,624 AstraZeneca PLC, ADR                    62,939,868
     788,881 Bristol-Myers Squibb Co.                60,743,837
   1,410,117 GSK PLC, ADR                            61,382,393
     343,425 Johnson & Johnson                       60,961,372
     687,727 Merck & Co., Inc.                       62,700,070
     717,930 Novartis AG, ADR                        60,686,623
   1,250,716 Pfizer, Inc.                            65,575,040
   1,182,841 Sanofi, ADR                             59,177,535
                                               ----------------
                                                    494,166,738
                                               ----------------


SHARES       DESCRIPTION                            VALUE
---------------------------------------------------------------
             PROFESSIONAL SERVICES -- 1.0%
     757,366 Robert Half International, Inc.   $     56,719,140
     590,520 Thomson Reuters Corp.                   61,538,089
                                               ----------------
                                                    118,257,229
                                               ----------------
             ROAD & RAIL -- 1.5%
     538,304 Canadian National Railway Co.           60,543,051
     262,771 Norfolk Southern Corp.                  59,725,220
     281,882 Union Pacific Corp.                     60,119,793
                                               ----------------
                                                    180,388,064
                                               ----------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 2.0%
     402,374 Analog Devices, Inc.                    58,782,818
   1,574,130 Intel Corp.                             58,888,203
     684,659 Taiwan Semiconductor
                Manufacturing Co., Ltd., ADR         55,970,873
     387,458 Texas Instruments, Inc.                 59,532,922
                                               ----------------
                                                    233,174,816
                                               ----------------
             SOFTWARE -- 1.5%
   1,583,130 Open Text Corp.                         59,905,639
     859,363 Oracle Corp.                            60,043,693
     625,760 SAP SE, ADR                             56,768,947
                                               ----------------
                                                    176,718,279
                                               ----------------
             SPECIALTY RETAIL -- 1.5%
     214,953 Home Depot (The), Inc.                  58,955,159
     337,431 Lowe's Cos., Inc.                       58,939,073
     308,357 Tractor Supply Co.                      59,775,005
                                               ----------------
                                                    177,669,237
                                               ----------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 0.5%
   2,440,070 Canon, Inc., ADR                        55,413,990
                                               ----------------
             TRADING COMPANIES &
                DISTRIBUTORS -- 1.0%
   1,200,408 Fastenal Co.                            59,924,367
     256,209 Watsco, Inc.                            61,187,834
                                               ----------------
                                                    121,112,201
                                               ----------------
             WATER UTILITIES -- 0.6%
     801,486 American States Water Co.               65,329,124
                                               ----------------
             WIRELESS TELECOMMUNICATION
                SERVICES -- 0.5%
   1,285,243 Rogers Communications, Inc.,
                Class B                              61,563,140
                                               ----------------
             TOTAL INVESTMENTS -- 99.9%          11,754,303,321
             (Cost $10,853,286,454)
             NET OTHER ASSETS AND
                LIABILITIES -- 0.1%                  17,612,540
                                               ----------------
             NET ASSETS -- 100.0%              $ 11,771,915,861
                                               ================

ADR   - American Depositary Receipt


Page 40                 See Notes to Financial Statements





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

PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2022 (UNAUDITED)

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 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
                                                     6/30/2022           PRICES           INPUTS           INPUTS
                                                  --------------------------------------------------------------------
                                                                                           
Common Stocks*..................................  $ 11,754,303,321  $ 11,754,303,321  $            --  $            --
                                                  ====================================================================


* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 41





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2022 (UNAUDITED)



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

                                                                                                         
ASSETS:
Investments, at value...............................................       $   145,077,027    $  2,907,745,623    $ 1,032,561,841
Cash................................................................                91,619           6,964,303            606,860
Receivables:
      Dividends.....................................................               255,751           8,639,254            637,835
      Securities lending income.....................................                 8,001                  --             67,856
      Capital shares sold...........................................                    --          45,882,149                 --
      Investment securities sold....................................                    --                  --          4,103,204
      Reclaims......................................................                    --                  --             10,993
Prepaid expenses....................................................                 3,367               8,187              7,737
                                                                           ---------------    ----------------    ---------------
      Total Assets..................................................           145,435,765       2,969,239,516      1,037,996,326
                                                                           ---------------    ----------------    ---------------
LIABILITIES:
Due to custodian....................................................                    --                  --                 --
Payables:
      Collateral for securities on loan.............................             5,710,874                  --         27,242,110
      Licensing fees................................................                63,263             548,594            285,559
      Investment advisory fees......................................                48,322             732,251            352,951
      Audit and tax fees............................................                20,518              19,634             19,551
      Shareholder reporting fees....................................                 5,786              37,722             57,003
      Capital shares redeemed.......................................                    --                  --          4,105,311
      Investment securities purchased...............................                    --          45,678,032                 --
      Trustees' fees................................................                    --                  --                 --
Other liabilities...................................................                19,783             263,681            132,481
                                                                           ---------------    ----------------    ---------------
      Total Liabilities.............................................             5,868,546          47,279,914         32,194,966
                                                                           ---------------    ----------------    ---------------
NET ASSETS..........................................................       $   139,567,219    $  2,921,959,602    $ 1,005,801,360
                                                                           ===============    ================    ===============
NET ASSETS CONSIST OF:
Paid-in capital.....................................................       $   188,176,699    $  3,156,135,823    $ 1,558,592,935
Par value...........................................................                26,550             830,500            122,500
Accumulated distributable earnings (loss)...........................           (48,636,030)       (235,006,721)      (552,914,075)
                                                                           ---------------    ----------------    ---------------
NET ASSETS..........................................................       $   139,567,219    $  2,921,959,602    $ 1,005,801,360
                                                                           ===============    ================    ===============
NET ASSET VALUE, per share..........................................       $         52.57    $          35.18    $         82.11
                                                                           ===============    ================    ===============
Number of shares outstanding (unlimited number of shares
   authorized, par value $0.01 per share)...........................             2,655,000          83,050,002         12,250,002
                                                                           ===============    ================    ===============
Investments, at cost................................................       $   156,070,812    $  2,840,083,653    $ 1,116,082,516
                                                                           ===============    ================    ===============
Securities on loan, at value........................................       $     5,549,225    $             --    $    26,009,137
                                                                           ===============    ================    ===============



Page 42                 See Notes to Financial Statements







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

                                                  

 $ 1,274,110,026    $  4,140,267,548    $ 7,753,534,044    $11,754,303,321
       1,473,860                  --                 --          7,540,432

              --               1,707         14,472,459         20,677,294
             565               1,656                 --                 --
              --                  --                 --          5,824,114
              --          12,863,556          6,995,500                 --
          69,294                  --                 --          2,692,275
           6,396              24,917             26,092             40,839
 ---------------    ----------------    ---------------    ---------------
   1,275,660,141       4,153,159,384      7,775,028,095     11,791,078,275
 ---------------    ----------------    ---------------    ---------------

              --                  --          1,918,122                 --

              --           8,786,756                 --                 --
         266,486             813,774                 --          7,258,264
         410,552           1,413,268          3,227,776          4,906,490
          19,750              15,051             15,545             13,738
          73,976             297,998            168,769            256,787
              --          12,864,083          7,002,060                 --
              --                  --                 --          5,816,952
              --                 547                 --                 --
         154,694             517,800            622,116            910,183
 ---------------    ----------------    ---------------    ---------------
         925,458          24,709,277         12,954,388         19,162,414
 ---------------    ----------------    ---------------    ---------------
 $ 1,274,734,683    $  4,128,450,107    $ 7,762,073,707    $11,771,915,861
 ===============    ================    ===============    ===============

 $ 1,959,281,033    $  6,463,929,386    $ 8,232,266,694    $11,191,123,508
          94,000             325,000          1,109,500          3,034,409
    (684,640,350)     (2,335,804,279)      (471,302,487)       577,757,944
 ---------------    ----------------    ---------------    ---------------
 $ 1,274,734,683    $  4,128,450,107    $ 7,762,073,707    $11,771,915,861
 ===============    ================    ===============    ===============
 $        135.61    $         127.03    $         69.96    $         38.79
 ===============    ================    ===============    ===============

       9,400,002          32,500,002        110,950,002        303,440,884
 ===============    ================    ===============    ===============
 $ 1,434,808,259    $  6,377,645,775    $ 7,934,676,249    $10,853,286,454
 ===============    ================    ===============    ===============
 $            --    $      7,160,142    $            --    $            --
 ===============    ================    ===============    ===============



                        See Notes to Financial Statements                Page 43





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2022 (UNAUDITED)



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

                                                                                                         
INVESTMENT INCOME:
Dividends...........................................................       $     1,754,889    $     48,435,748    $     6,527,987
Securities lending income (net of fees).............................                68,153                  --            528,276
Foreign withholding tax.............................................                    --                  --             (7,393)
                                                                           ---------------    ----------------    ---------------
      Total investment income.......................................             1,823,042          48,435,748          7,048,870
                                                                           ---------------    ----------------    ---------------
EXPENSES:
Investment advisory fees............................................               406,441           3,349,184          2,680,495
Licensing fees......................................................                48,773           1,012,823            670,124
Accounting and administration fees..................................                42,741             491,988            318,503
Custodian fees......................................................                17,820              86,026             49,744
Audit and tax fees..................................................                14,672              14,647             14,644
Shareholder reporting fees..........................................                12,522              48,553             62,050
Transfer agent fees.................................................                 4,064              40,307             29,147
Listing fees........................................................                 3,874               4,835              3,874
Trustees' fees and expenses.........................................                 3,470               3,918              3,881
Legal fees..........................................................                 1,369              13,786             16,131
Other expenses......................................................                 2,816              13,006             15,094
                                                                           ---------------    ----------------    ---------------
      Total expenses................................................               558,562           5,079,073          3,863,687
      Less fees waived and expenses reimbursed by the investment
         advisor....................................................               (70,833)            (55,297)                --
                                                                           ---------------    ----------------    ---------------
      Net expenses..................................................               487,729           5,023,776          3,863,687
                                                                           ---------------    ----------------    ---------------
NET INVESTMENT INCOME (LOSS)........................................             1,335,313          43,411,972          3,185,183
                                                                           ---------------    ----------------    ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
      Investments...................................................               777,523         (58,411,273)      (180,701,568)
      In-kind redemptions...........................................             3,001,348         104,234,607         53,522,814
      Foreign currency transactions.................................                    --                  --                 --
                                                                           ---------------    ----------------    ---------------
Net realized gain (loss)............................................             3,778,871          45,823,334       (127,178,754)
                                                                           ---------------    ----------------    ---------------
Net change in unrealized appreciation (depreciation) on:
      Investments...................................................           (35,634,408)       (162,400,969)      (430,140,905)
      Foreign currency translation..................................                    --                  --                 --
                                                                           ---------------    ----------------    ---------------
Net change in unrealized appreciation (depreciation)................           (35,634,408)       (162,400,969)      (430,140,905)
                                                                           ---------------    ----------------    ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................           (31,855,537)       (116,577,635)      (557,319,659)
                                                                           ---------------    ----------------    ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
   FROM OPERATIONS..................................................       $   (30,520,224)   $    (73,165,663)   $  (554,134,476)
                                                                           ===============    ================    ===============



Page 44                 See Notes to Financial Statements







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

                                                  

 $     2,550,331    $      7,602,024    $    74,149,777    $   172,690,242
           1,014              11,218                 --                 --
         (88,964)                 --                 --         (4,333,295)
 ---------------    ----------------    ---------------    ---------------
       2,462,381           7,613,242         74,149,777        168,356,947
 ---------------    ----------------    ---------------    ---------------

       2,838,631          12,608,498         21,199,845         31,007,918
         567,726           1,891,275             88,869          7,809,209
         334,127           1,062,024          1,314,138          1,755,944
          53,291             249,910            314,420            455,803
          14,746              14,720             14,648             14,787
          74,971             321,885            219,587            307,625
          30,139              91,200            118,396            167,437
           3,874               6,757              2,260             43,111
           3,874               5,744              5,718              6,775
          14,982              85,677             69,572             99,343
          12,063              61,753             70,074             81,502
 ---------------    ----------------    ---------------    ---------------
       3,948,424          16,399,443         23,417,527         41,749,454

              --                  --                 --                 --
 ---------------    ----------------    ---------------    ---------------
       3,948,424          16,399,443         23,417,527         41,749,454
 ---------------    ----------------    ---------------    ---------------
      (1,486,043)         (8,786,201)        50,732,250        126,607,493
 ---------------    ----------------    ---------------    ---------------


    (177,906,246)       (219,745,201)      (344,096,752)       (14,998,831)
      29,325,459         689,890,968        395,452,137        416,675,027
              --                  --                 --              7,487
 ---------------    ----------------    ---------------    ---------------
    (148,580,787)        470,145,767         51,355,385        401,683,683
 ---------------    ----------------    ---------------    ---------------

    (120,544,940)     (4,134,318,351)    (1,729,953,405)    (1,711,653,930)
              --                  --                 --               (279)
 ---------------    ----------------    ---------------    ---------------
    (120,544,940)     (4,134,318,351)    (1,729,953,405)    (1,711,654,209)
 ---------------    ----------------    ---------------    ---------------
    (269,125,727)     (3,664,172,584)    (1,678,598,020)    (1,309,970,526)
 ---------------    ----------------    ---------------    ---------------

 $  (270,611,770)   $ (3,672,958,785)   $(1,627,865,770)   $(1,183,363,033)
 ===============    ================    ===============    ===============



                        See Notes to Financial Statements                Page 45





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF CHANGES IN NET ASSETS



                                                                         FIRST TRUST                         FIRST TRUST
                                                                      DOW JONES SELECT                       MORNINGSTAR
                                                                          MICROCAP                        DIVIDEND LEADERS
                                                                         INDEX FUND                          INDEX FUND
                                                                            (FDM)                               (FDL)
                                                              ---------------------------------   ---------------------------------
                                                                Six Months                          Six Months
                                                                   Ended                               Ended
                                                                 6/30/2022        Year Ended         6/30/2022        Year Ended
                                                                (Unaudited)       12/31/2021        (Unaudited)       12/31/2021
                                                              ---------------   ---------------   ---------------   ---------------

                                                                                                        
OPERATIONS:
Net investment income (loss)............................      $     1,335,313   $     1,782,779   $    43,411,972   $    63,417,589
Net realized gain (loss)................................            3,778,871        33,159,253        45,823,334       191,507,868
Net change in unrealized appreciation (depreciation)....          (35,634,408)        8,369,281      (162,400,969)       87,772,838
                                                              ---------------   ---------------   ---------------   ---------------
Net increase (decrease) in net assets resulting
   from operations......................................          (30,520,224)       43,311,313       (73,165,663)      342,698,295
                                                              ---------------   ---------------   ---------------   ---------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations...................................           (1,094,930)       (1,928,374)      (34,326,146)      (63,399,697)
                                                              ---------------   ---------------   ---------------   ---------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold...............................            2,857,275        86,724,692     1,962,078,780       644,763,236
Cost of shares redeemed.................................          (20,411,504)      (61,853,301)     (695,536,983)     (560,634,737)
                                                              ---------------   ---------------   ---------------   ---------------
Net increase (decrease) in net assets resulting
   from shareholder transactions........................          (17,554,229)       24,871,391     1,266,541,797        84,128,499
                                                              ---------------   ---------------   ---------------   ---------------
Total increase (decrease) in net assets.................          (49,169,383)       66,254,330     1,159,049,988       363,427,097

NET ASSETS:
Beginning of period.....................................          188,736,602       122,482,272     1,762,909,614     1,399,482,517
                                                              ---------------   ---------------   ---------------   ---------------
End of period...........................................      $   139,567,219   $   188,736,602   $ 2,921,959,602   $ 1,762,909,614
                                                              ===============   ===============   ===============   ===============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.................            2,955,000         2,555,000        49,600,002        47,300,002
Shares sold.............................................               50,000         1,450,000        53,500,000        19,250,000
Shares redeemed.........................................             (350,000)       (1,050,000)      (20,050,000)      (16,950,000)
                                                              ---------------   ---------------   ---------------   ---------------
Shares outstanding, end of period.......................            2,655,000         2,955,000        83,050,002        49,600,002
                                                              ===============   ===============   ===============   ===============



Page 46                 See Notes to Financial Statements







          FIRST TRUST                         FIRST TRUST                           FIRST TRUST
           US EQUITY                        NYSE(R) ARCA(R)                          DOW JONES
         OPPORTUNITIES                       BIOTECHNOLOGY                           INTERNET
              ETF                              INDEX FUND                           INDEX FUND
             (FPX)                               (FBT)                                 (FDN)
-------------------------------     --------------------------------     ---------------------------------
  Six Months                          Six Months                           Six Months
    Ended                               Ended                                 Ended
  6/30/2022        Year Ended         6/30/2022        Year Ended           6/30/2022        Year Ended
 (Unaudited)       12/31/2021        (Unaudited)       12/31/2021          (Unaudited)       12/31/2021
--------------   --------------     --------------   ---------------     ---------------   ---------------


                                                                            
$    3,185,183   $    1,412,875     $   (1,486,043)  $    (4,455,580)    $    (8,786,201)  $   (32,149,322)
  (127,178,754)     298,792,377       (148,580,787)       (8,792,422)        470,145,767     2,146,301,949
  (430,140,905)    (231,648,485)      (120,544,940)      (58,114,526)     (4,134,318,351)   (1,439,319,817)
--------------   --------------     --------------   ---------------     ---------------   ---------------

  (554,134,476)      68,556,767       (270,611,770)      (71,362,528)     (3,672,958,785)      674,832,810
--------------   --------------     --------------   ---------------     ---------------   ---------------


    (2,760,605)      (2,739,625)                --                --                  --                --
--------------   --------------     --------------   ---------------     ---------------   ---------------


    35,906,813      991,605,700         22,526,352        52,174,778         936,893,604     3,348,838,868
  (328,915,390)  (1,148,090,496)      (185,936,447)     (314,229,031)     (3,103,057,967)   (5,131,127,308)
--------------   --------------     --------------   ---------------     ---------------   ---------------

  (293,008,577)    (156,484,796)      (163,410,095)     (262,054,253)     (2,166,164,363)   (1,782,288,440)
--------------   --------------     --------------   ---------------     ---------------   ---------------
  (849,903,658)     (90,667,654)      (434,021,865)     (333,416,781)     (5,839,123,148)   (1,107,455,630)


 1,855,705,018    1,946,372,672      1,708,756,548     2,042,173,329       9,967,573,255    11,075,028,885
--------------   --------------     --------------   ---------------     ---------------   ---------------
$1,005,801,360   $1,855,705,018     $1,274,734,683   $ 1,708,756,548     $ 4,128,450,107   $ 9,967,573,255
==============   ==============     ==============   ===============     ===============   ===============


    15,150,002       16,450,002         10,550,002        12,150,002          44,100,002        52,150,002
       350,000        8,000,000            150,000           300,000           6,300,000        14,450,000
    (3,250,000)      (9,300,000)        (1,300,000)       (1,900,000)        (17,900,000)      (22,500,000)
--------------   --------------     --------------   ---------------     ---------------   ---------------
    12,250,002       15,150,002          9,400,002        10,550,002          32,500,002        44,100,002
==============   ==============     ==============   ===============     ===============   ===============



                        See Notes to Financial Statements                Page 47





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)



                                                                         FIRST TRUST                         FIRST TRUST
                                                                      CAPITAL STRENGTH                 VALUE LINE(R) DIVIDEND
                                                                             ETF                             INDEX FUND
                                                                           (FTCS)                               (FVD)
                                                              ---------------------------------   ---------------------------------
                                                                Six Months                          Six Months
                                                                   Ended                               Ended
                                                                 6/30/2022        Year Ended         6/30/2022        Year Ended
                                                                (Unaudited)       12/31/2021        (Unaudited)       12/31/2021
                                                              ---------------   ---------------   ---------------   ---------------

                                                                                                        
OPERATIONS:
Net investment income (loss)............................      $    50,732,250   $    99,342,131   $   126,607,493   $   221,888,137
Net realized gain (loss)................................           51,355,385     1,078,138,583       401,683,683       841,450,993
Net change in unrealized appreciation (depreciation)....       (1,729,953,405)      761,114,952    (1,711,654,209)    1,485,603,970
                                                              ---------------   ---------------   ---------------   ---------------
Net increase (decrease) in net assets resulting
   from operations......................................       (1,627,865,770)    1,938,595,666    (1,183,363,033)    2,548,943,100
                                                              ---------------   ---------------   ---------------   ---------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations...................................          (41,787,211)      (96,596,007)     (107,682,672)     (223,826,833)
                                                              ---------------   ---------------   ---------------   ---------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold...............................        2,573,994,192     7,347,607,864     1,801,079,561     2,745,034,380
Cost of shares redeemed.................................       (2,634,199,702)   (6,719,583,961)   (1,692,304,716)   (2,265,168,318)
                                                              ---------------   ---------------   ---------------   ---------------
Net increase (decrease) in net assets resulting
   from shareholder transactions........................          (60,205,510)      628,023,903       108,774,845       479,866,062
                                                              ---------------   ---------------   ---------------   ---------------
Total increase (decrease) in net assets.................       (1,729,858,491)    2,470,023,562    (1,182,270,860)    2,804,982,329

NET ASSETS:
Beginning of period.....................................        9,491,932,198     7,021,908,636    12,954,186,721    10,149,204,392
                                                              ---------------   ---------------   ---------------   ---------------
End of period...........................................      $ 7,762,073,707   $ 9,491,932,198   $11,771,915,861   $12,954,186,721
                                                              ===============   ===============   ===============   ===============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.................          112,300,002       103,950,002       301,240,884       289,190,884
Shares sold.............................................           32,750,000        98,850,000        43,800,000        68,500,000
Shares redeemed.........................................          (34,100,000)      (90,500,000)      (41,600,000)      (56,450,000)
                                                              ---------------   ---------------   ---------------   ---------------
Shares outstanding, end of period.......................          110,950,002       112,300,002       303,440,884       301,240,884
                                                              ===============   ===============   ===============   ===============



Page 48                 See Notes to Financial Statements





FIRST TRUST EXCHANGE-TRADED FUND

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD



FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2022      -------------------------------------------------------------------------
                                         (UNAUDITED)        2021           2020            2019            2018           2017
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $     63.87     $     47.94    $     51.09     $     40.76     $     47.21    $     43.98
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.49            0.64           0.80            0.66            0.56           0.42
Net realized and unrealized gain (loss)       (11.39)          15.98          (3.15)          10.37           (6.50)          3.27
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations              (10.90)          16.62          (2.35)          11.03           (5.94)          3.69
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.40)          (0.69)         (0.80)          (0.70)          (0.51)         (0.46)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     52.57     $     63.87    $     47.94     $     51.09     $     40.76    $     47.21
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                              (17.09)%         34.71%         (4.25)%         27.25%         (12.68)%         8.44%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $   139,567     $   188,737    $   122,482     $   156,067     $   138,777    $    97,012
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
   net assets                                   0.69% (b)       0.69%          0.71%           0.70%           0.73%          0.71%
Ratio of net expenses to average
   net assets                                   0.60% (b)       0.60%          0.60%           0.60%           0.60%          0.60%
Ratio of net investment income (loss) to
   average net assets                           1.64% (b)       1.10%          1.88%           1.42%           1.29%          0.89%
Portfolio turnover rate (c)                        6%             95%            95%             64%             75%            55%


FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2022      -------------------------------------------------------------------------
                                         (UNAUDITED)        2021           2020            2019            2018           2017
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, beginning of period     $     35.54     $     29.59    $     32.58     $     27.24     $     30.06    $     27.75
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.63            1.29           1.32            1.22            1.09           0.93
Net realized and unrealized gain (loss)        (0.47)           5.95          (2.98)           5.34           (2.83)          2.34
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations                0.16            7.24          (1.66)           6.56           (1.74)          3.27
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.52)          (1.29)         (1.33)          (1.22)          (1.08)         (0.96)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     35.18     $     35.54    $     29.59     $     32.58     $     27.24    $     30.06
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                                0.40%          24.76%         (4.42)%         24.36%          (5.87)%        11.93%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 2,921,960     $ 1,762,910    $ 1,399,483     $ 1,841,000     $ 1,386,483    $ 1,719,299
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
   net assets                                   0.45% (b)       0.46%          0.46%           0.46%           0.47%          0.47%
Ratio of net expenses to average
   net assets                                   0.45% (b)       0.45%          0.45%           0.45%           0.45%          0.45%
Ratio of net investment income (loss) to
   average net assets                           3.89% (b)       3.90%          4.73%           4.06%           3.70%          3.18%
Portfolio turnover rate (c)                       60%             59%            63%             39%             39%            43%


(a)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The returns presented do not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return is
      calculated for the time period presented and is not annualized for periods
      of less than a year. The total returns would have been lower if certain
      fees had not been waived and expenses reimbursed by the investment
      advisor.

(b)   Annualized.

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


                        See Notes to Financial Statements                Page 49





FIRST TRUST EXCHANGE-TRADED FUND

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



FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2022      -------------------------------------------------------------------------
                                         (UNAUDITED)        2021           2020            2019            2018           2017
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $    122.49     $    118.32    $     80.41     $     62.07     $     68.18    $     54.10
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.25            0.08           0.24            0.58            0.52           0.43
Net realized and unrealized gain (loss)       (40.41)           4.26          38.01           18.30           (6.08)         14.12
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations              (40.16)           4.34          38.25           18.88           (5.56)         14.55
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.22)          (0.17)         (0.34)          (0.54)          (0.55)         (0.47)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     82.11     $    122.49    $    118.32     $     80.41     $     62.07    $     68.18
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                              (32.80)%          3.67%         47.76%          30.45%          (8.22)%        26.96%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 1,005,801     $ 1,855,705    $ 1,946,373     $ 1,330,835     $   912,479    $   981,732
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
   net assets                                   0.58% (b)       0.57%          0.57%           0.58%           0.59%          0.59%
Ratio of net expenses to average
   net assets                                   0.58% (b)       0.57%          0.57%           0.58%           0.59%          0.59%
Ratio of net investment income (loss) to
   average net assets                           0.48% (b)       0.07%          0.26%           0.79%           0.74%          0.71%
Portfolio turnover rate (c)                       53%             85%            75%             81%             57%            31%


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

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2022      -------------------------------------------------------------------------
                                         (UNAUDITED)        2021           2020            2019            2018           2017
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, beginning of period     $    161.97     $    168.08    $    148.84     $    124.26     $    124.52    $     90.89
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                   (0.16)          (0.42)         (0.45)          (0.51)          (0.22)         (0.08)
Net realized and unrealized gain (loss)       (26.20)          (5.69)         19.69           25.09           (0.04)         33.71
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations              (26.36)          (6.11)         19.24           24.58           (0.26)         33.63
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                             --              --             --              --              --             --
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $    135.61     $    161.97    $    168.08     $    148.84     $    124.26    $    124.52
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                              (16.27)%         (3.64)%        12.93%          19.78%          (0.21)%        36.99%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 1,274,735     $ 1,708,757    $ 2,042,173     $ 1,800,927     $ 2,342,213    $ 1,207,811
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
   net assets                                   0.56% (b)       0.55%          0.55%           0.55%           0.57%          0.56%
Ratio of net expenses to average
   net assets                                   0.56% (b)       0.55%          0.55%           0.55%           0.57%          0.56%
Ratio of net investment income (loss) to
   average net assets                          (0.21)% (b)     (0.23)%        (0.28)%         (0.25)%         (0.21)%        (0.08)%
Portfolio turnover rate (c)                       21%             39%            26%             31%             37%            36%


(a)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The returns presented do not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return is
      calculated for the time period presented and is not annualized for periods
      of less than a year.

(b)   Annualized.

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


Page 50                 See Notes to Financial Statements





FIRST TRUST EXCHANGE-TRADED FUND

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



FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2022      -------------------------------------------------------------------------
                                         (UNAUDITED)        2021           2020            2019            2018           2017
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $    226.02     $    212.37    $    139.12     $    116.66     $    109.82    $     79.79
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                   (0.27)          (0.73)         (0.34)          (0.14)          (0.35)         (0.28)
Net realized and unrealized gain (loss)       (98.72)          14.38          73.59           22.60            7.19          30.31
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations              (98.99)          13.65          73.25           22.46            6.84          30.03
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                             --              --             --              --              --             --
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $    127.03     $    226.02    $    212.37     $    139.12     $    116.66    $    109.82
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                              (43.80)%          6.43%         52.65%          19.26%           6.23%         37.62%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 4,128,450     $ 9,967,573    $11,075,029     $ 7,853,367     $ 7,016,807    $ 5,490,820
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
   net assets                                   0.52% (b)       0.51%          0.51%           0.52%           0.52%          0.53%
Ratio of net expenses to average
   net assets                                   0.52% (b)       0.51%          0.51%           0.52%           0.52%          0.53%
Ratio of net investment income (loss) to
   average net assets                          (0.28)% (b)     (0.30)%        (0.20)%         (0.10)%         (0.27)%        (0.32)%
Portfolio turnover rate (c)                       10%             19%            39%             28%             21%            22%


FIRST TRUST CAPITAL STRENGTH ETF (FTCS)

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2022      -------------------------------------------------------------------------
                                         (UNAUDITED)        2021           2020            2019            2018           2017
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, beginning of period     $     84.52     $     67.55    $     60.37     $     48.29     $     50.95    $     40.79
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.46            0.91           0.63            0.76            0.60           0.59
Net realized and unrealized gain (loss)       (14.64)          16.95           7.18           12.08           (2.65)         10.16
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations              (14.18)          17.86           7.81           12.84           (2.05)         10.75
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.38)          (0.89)         (0.63)          (0.76)          (0.61)         (0.59)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     69.96     $     84.52    $     67.55     $     60.37     $     48.29    $     50.95
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                              (16.81)%         26.61%         13.07%           26.72%         (4.09)%        26.49%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $ 7,762,074     $ 9,491,932    $ 7,021,909     $ 3,392,623     $ 1,376,131    $   624,099
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
   net assets                                   0.55% (b)       0.55%          0.56%           0.58%           0.60%          0.61%
Ratio of net expenses to average
   net assets                                   0.55% (b)       0.55%          0.56%           0.58%           0.60%          0.61%
Ratio of net investment income (loss) to
   average net assets                           1.20% (b)       1.23%          1.10%           1.46%           1.30%          1.33%
Portfolio turnover rate (c)                       75%            117%           133%            125%            117%            85%


(a)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The returns presented do not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return is
      calculated for the time period presented and is not annualized for periods
      of less than a year.

(b)   Annualized.

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


                        See Notes to Financial Statements                Page 51





FIRST TRUST EXCHANGE-TRADED FUND

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



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

                                         SIX MONTHS
                                            ENDED                                 YEAR ENDED DECEMBER 31,
                                          6/30/2022      -------------------------------------------------------------------------
                                         (UNAUDITED)        2021           2020            2019            2018           2017
                                         -----------     -----------    -----------     -----------     -----------    -----------
                                                                                                     
Net asset value, beginning of period     $     43.00     $     35.10    $     36.03     $     29.07     $     30.84    $     28.02
                                         -----------     -----------    -----------     -----------     -----------    -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                    0.42            0.74           0.79            0.73            0.73           0.63
Net realized and unrealized gain (loss)        (4.27)           7.91          (0.91)           6.96           (1.77)          2.84
                                         -----------     -----------    -----------     -----------     -----------    -----------
Total from investment operations               (3.85)           8.65          (0.12)           7.69           (1.04)          3.47
                                         -----------     -----------    -----------     -----------     -----------    -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                          (0.36)          (0.75)         (0.81)          (0.73)          (0.73)         (0.65)
                                         -----------     -----------    -----------     -----------     -----------    -----------
Net asset value, end of period           $     38.79     $     43.00    $     35.10     $     36.03     $     29.07    $     30.84
                                         ===========     ===========    ===========     ===========     ===========    ===========
TOTAL RETURN (a)                               (9.00)%         24.86%         (0.04)%         26.60%          (3.44)%        12.48%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)     $11,771,916     $12,954,187    $10,149,204     $ 9,665,219     $ 4,374,483    $ 4,194,830
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
   net assets                                   0.67% (b)       0.67%          0.70%           0.71%           0.72%          0.72%
Ratio of net expenses to average
   net assets                                   0.67% (b)       0.67%          0.70%           0.70%           0.70%          0.70%
Ratio of net investment income (loss) to
   average net assets                           2.04% (b)       1.91%          2.47%           2.36%           2.40%          2.19%
Portfolio turnover rate (c)                       25%             47%            86%             53%             58%            50%


(a)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The returns presented do not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return is
      calculated for the time period presented and is not annualized for periods
      of less than a year. The total returns would have been lower if certain
      fees had not been waived and expenses reimbursed by the investment
      advisor.

(b)   Annualized.

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


Page 52                 See Notes to Financial Statements





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

                                1. ORGANIZATION

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

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

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

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



FUND                                                            INDEX
                                                             
First Trust Dow Jones Select MicroCap Index Fund                Dow Jones Select MicroCap Index(SM)
First Trust Morningstar Dividend Leaders Index Fund             Morningstar(R) Dividend Leaders Index(SM)
First Trust US Equity Opportunities ETF                         IPOX(R)-100 U.S. Index
First Trust NYSE(R) Arca(R) Biotechnology Index Fund            NYSE(R) Arca Biotechnology Index
First Trust Dow Jones Internet Index Fund                       Dow Jones Internet Composite Index(SM)
First Trust Capital Strength ETF                                The Capital Strength Index(SM)
First Trust Value Line(R) Dividend Index Fund                   Value Line(R) Dividend Index


                       2. SIGNIFICANT ACCOUNTING POLICIES

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

A. PORTFOLIO VALUATION

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

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


                                                                         Page 53





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

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

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

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

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

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

      1)    the type of security;

      2)    the size of the holding;

      3)    the initial cost of the security;

      4)    transactions in comparable securities;

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

      6)    relationships among various securities;

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

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

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

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

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

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

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

            o     Quoted prices for similar investments in active markets.

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

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

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

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


Page 54





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of June 30, 2022, is
included with each Fund's Portfolio of Investments.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

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

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

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

C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES

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

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

D. SECURITIES LENDING

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

Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers with the exception of FPX.
The Bank of New York Mellon ("BNYM") acts as FPX's securities lending agent and
is responsible for executing the lending of the portfolio securities to
creditworthy borrowers. The Funds, however, will be responsible for the risks
associated with the investment of cash collateral. A Fund may lose money on its
investment of cash collateral, which may affect its ability to repay the
collateral to the borrower without the use of other Fund assets. Each Fund that
engages in securities lending receives compensation (net of any rebate and
securities lending agent fees) for lending its securities. Compensation can be
in the form of fees received from the securities lending agent or dividends or
interest earned from the investment of cash collateral. The fees received from
the securities lending agent are accrued daily. The dividend and interest earned
on the securities loaned is accounted for in the same manner as other dividend
and interest income. At June 30, 2022, only FDM, FPX and FDN had securities in
the securities lending program. During the six months ended June 30, 2022, FDM,
FPX, FBT and FDN participated in the securities lending program.


                                                                         Page 55





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

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

E. REPURCHASE AGREEMENTS

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

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

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

While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended June 30, 2022, were received as
collateral for lending securities.

F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

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

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

The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2021 was as follows:



                                                                       Distributions        Distributions        Distributions
                                                                         paid from            paid from            paid from
                                                                      Ordinary Income       Capital Gains      Return of Capital
                                                                     ------------------    ----------------    -----------------
                                                                                                       
First Trust Dow Jones Select MicroCap Index Fund                      $      1,928,374      $           --      $            --
First Trust Morningstar Dividend Leaders Index Fund                         63,399,697                  --                   --
First Trust US Equity Opportunities ETF                                      2,739,625                  --                   --
First Trust NYSE(R) Arca(R) Biotechnology Index Fund                                --                  --                   --
First Trust Dow Jones Internet Index Fund                                           --                  --                   --
First Trust Capital Strength ETF                                            96,596,007                  --                   --
First Trust Value Line(R) Dividend Index Fund                              223,826,833                  --                   --



Page 56





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

As of December 31, 2021, the components of distributable earnings on a tax basis
for each Fund were as follows:



                                                                                             Accumulated
                                                                       Undistributed         Capital and        Net Unrealized
                                                                          Ordinary              Other            Appreciation
                                                                           Income            Gain (Loss)        (Depreciation)
                                                                     ------------------    ----------------    -----------------
                                                                                                       
First Trust Dow Jones Select MicroCap Index Fund                      $             --      $  (40,305,948)     $    23,285,072
First Trust Morningstar Dividend Leaders Index Fund                            443,847        (318,003,250)         190,044,491
First Trust US Equity Opportunities ETF                                             --        (339,367,710)         343,348,716
First Trust NYSE(R) Arca(R) Biotechnology Index Fund                                --        (325,213,864)         (88,814,716)
First Trust Dow Jones Internet Index Fund                                           --        (441,487,423)       1,778,641,929
First Trust Capital Strength ETF                                             2,812,383        (326,660,331)       1,522,198,442
First Trust Value Line(R) Dividend Index Fund                                       --        (436,542,343)       2,305,345,992


G. INCOME TAXES

Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.

The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. The taxable years ended 2018,
2019, 2020, and 2021 remain open to federal and state audit. As of June 30,
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 December 31, 2021, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.



                                                          Non-Expiring Capital
                                                            Loss Carryforwards
                                                          --------------------
                                                           
First Trust Dow Jones Select MicroCap Index Fund              $ 40,305,948
First Trust Morningstar Dividend Leaders Index Fund            318,003,250
First Trust US Equity Opportunities ETF                        339,367,710
First Trust NYSE(R) Arca(R) Biotechnology Index Fund           325,213,864
First Trust Dow Jones Internet Index Fund                      441,487,423
First Trust Capital Strength ETF                               326,660,331
First Trust Value Line(R) Dividend Index Fund*                 436,542,343


* $11,007,161 of First Trust Value Line(R) Dividend Index Fund's non-expiring
net capital losses is subject to loss limitation resulting from reorganization
activity. This limitation generally reduces the utilization of these losses to a
maximum of $364,521 per year.

During the taxable year ended December 31, 2021, the following Funds utilized
non-expiring capital loss carryforwards in the following amount:



                                                              Capital Loss
                                                              Carryforward
                                                                Utilized
                                                          --------------------
                                                           
First Trust Dow Jones Select MicroCap Index Fund              $    5,893,625
First Trust Morningstar Dividend Leaders Index Fund               44,628,469
First Trust Value Line(R) Dividend Index Fund                    262,677,258



                                                                         Page 57





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended December 31, 2021, the Funds had
no net late year ordinary or capital losses.

As of June 30, 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 Dow Jones Select MicroCap Index
   Fund                                            $    156,070,812   $     12,121,057   $    (23,114,842)  $    (10,993,785)
First Trust Morningstar Dividend Leaders Index
   Fund                                               2,840,083,653        130,310,591        (62,648,621)        67,661,970
First Trust US Equity Opportunities ETF               1,116,082,516         62,792,560       (146,313,235)       (83,520,675)
First Trust NYSE(R) Arca(R) Biotechnology Index
   Fund                                               1,434,808,259        162,972,524       (323,670,757)      (160,698,233)
First Trust Dow Jones Internet Index
   Fund                                               6,377,645,775        161,252,840     (2,398,631,067)    (2,237,378,227)
First Trust Capital Strength ETF                      7,934,676,249        423,166,928       (604,309,133)      (181,142,205)
First Trust Value Line(R) Dividend Index
   Fund                                              10,853,286,454      1,327,704,951       (426,688,084)       901,016,867


H. EXPENSES

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

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



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


The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The respective Funds are
required to pay licensing fees, which are shown on the Statements of Operations.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.


Page 58





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

For these services, First Trust is entitled to receive monthly fees from each
Fund calculated at the following annual rates:



                                                                  % of Average
                                                                Daily Net Assets
                                                                ----------------
                                                                  
First Trust Dow Jones Select MicroCap Index Fund                     0.50%
First Trust Morningstar Dividend Leaders Index Fund                  0.30%
First Trust US Equity Opportunities ETF                              0.40%
First Trust NYSE(R) Arca(R) Biotechnology Index Fund                 0.40%
First Trust Dow Jones Internet Index Fund                            0.40%
First Trust Capital Strength ETF                                     0.50%
First Trust Value Line(R) Dividend Index Fund                        0.50%


The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2024.



                                                                  Expense Cap
                                                                ----------------
                                                                  
First Trust Dow Jones Select MicroCap Index Fund                     0.60%
First Trust Morningstar Dividend Leaders Index Fund                  0.45%
First Trust US Equity Opportunities ETF                              0.60%
First Trust NYSE(R) Arca(R) Biotechnology Index Fund                 0.60%
First Trust Dow Jones Internet Index Fund                            0.60%
First Trust Capital Strength ETF                                     0.65%
First Trust Value Line(R) Dividend Index Fund                        0.70%


Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund's expenses exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived or expenses were reimbursed, or (iii) the current
expense limitation. These amounts would be included in "Expenses previously
waived or reimbursed" on the Statements of Operations.

The advisory fee waivers and expense reimbursements for the six months ended
June 30, 2022 and the fees waived or expenses borne by First Trust subject to
recovery from the applicable Fund for the periods indicated were as follows:



                                                                               Fees Waived or Expenses Borne by First Trust
                                                                                           Subject to Recovery
                                                                      --------------------------------------------------------------
                                          Advisory                    Six Months      Year         Year      Six Months
                                             Fee         Expense        Ended        Ended        Ended        Ended
                                           Waivers    Reimbursement   12/31/2019   12/31/2020   12/31/2021   6/30/2022      Total
                                          ---------   -------------   ----------   ----------   ----------   ----------   ----------
                                                                                                     
First Trust Dow Jones Select MicroCap
   Index Fund                             $  70,833   $          --   $   72,599   $  127,387   $  139,062   $   70,833   $  409,881
First Trust Morningstar Dividend
   Leaders Index Fund                        55,297              --      119,786      162,827      131,819       55,297      469,729


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

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


                                                                         Page 59





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

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

                      4. PURCHASES AND SALES OF SECURITIES

For the six months ended June 30, 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 Dow Jones Select MicroCap Index Fund                  $    10,138,316   $     9,915,085
First Trust Morningstar Dividend Leaders Index Fund                 1,341,017,707     1,344,384,869
First Trust US Equity Opportunities ETF                               730,072,973       727,696,609
First Trust NYSE(R) Arca(R) Biotechnology Index Fund                  304,867,085       307,338,512
First Trust Dow Jones Internet Index Fund                             632,522,553       642,417,967
First Trust Capital Strength ETF                                    6,402,511,188     6,394,341,429
First Trust Value Line(R) Dividend Index Fund                       3,182,849,732     3,162,436,726


For the six months ended June 30, 2022, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:



                                                                     Purchases           Sales
                                                                  ---------------   ---------------
                                                                              
First Trust Dow Jones Select MicroCap Index Fund                  $     2,855,577   $    20,371,790
First Trust Morningstar Dividend Leaders Index Fund                 1,953,185,997       683,492,240
First Trust US Equity Opportunities ETF                                35,888,674       328,686,159
First Trust NYSE(R) Arca(R) Biotechnology Index Fund                   22,512,484       185,723,422
First Trust Dow Jones Internet Index Fund                             937,130,630     3,103,281,904
First Trust Capital Strength ETF                                    2,571,787,216     2,633,311,891
First Trust Value Line(R) Dividend Index Fund                       1,792,851,590     1,685,028,117


                  5. CREATION, REDEMPTION AND TRANSACTION FEES

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

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

Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized


Page 60





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

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 April 30, 2024.

                               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. 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 61





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 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.

                              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.

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.


Page 62





--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

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
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.


                                                                         Page 63





--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

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

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.

          NOT FDIC INSURED     NOT BANK GUARANTEED     MAY LOSE VALUE

                              ADVISORY AGREEMENTS

BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT
AGREEMENTS

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

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

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.


Page 64





--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

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
advisory fee rate payable by each Fund as compared to fees charged to a peer
group of funds (the "Expense Group") and a broad peer universe of funds (the
"Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios of
the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; the nature of expenses incurred in
providing services to each Fund and the potential for the Advisor to realize
economies of scale, if any; profitability and other financial data for the
Advisor; any 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 advisory fee.

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

The Board considered the advisory fee rate payable by each Fund under the
Agreement for the services provided. The Board considered that the Advisor
agreed to extend the current expense cap for each Fund through April 30, 2024.
For each Fund, the Board noted that expenses reimbursed and fees waived are
subject to recovery by the Advisor for up to three years from the date the fee
was waived or expense was incurred, but no reimbursement payment would be made
by the Fund if it results in the Fund exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived, or (iii) the current expense limitation. The Board
received and reviewed information showing the fee rates and expense ratios of
the peer funds in the Expense Groups, as well as advisory and unitary fee rates
charged by the Advisor to other fund (including ETFs) and non-fund clients, as
applicable. Because each Fund's Expense Group included peer funds that pay a
unitary fee, the Board determined that expense ratios were the most relevant
comparative data point. Based on the information provided, the Board noted that
the total (net) expense ratio of each Fund was above the median total (net)
expense ratio of the peer funds in its respective Expense Group. With respect to
the Expense Groups, the Board, at the April 18, 2022 meeting, discussed with
Broadridge its methodology for assembling peer groups and discussed with the
Advisor limitations in creating peer groups for index ETFs, including
differences in underlying indexes and index-tracking methodologies that can
result in greater management complexities across seemingly comparable ETFs, and
different business models that may affect the pricing of services among ETF
sponsors. The Board took these limitations and differences into account in
considering the peer data. With respect to fees charged to other non-ETF
clients, the Board considered differences between the Funds and other non-ETF


                                                                         Page 65





--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

clients that limited their comparability. In considering the advisory fee rates
overall, the Board also considered the Advisor's statement that it seeks to meet
investor needs through innovative and value-added investment solutions and the
Advisor's demonstrated long-term commitment to each Fund and the other funds in
the First Trust Fund Complex.

The Board considered performance information for each Fund. The Board noted the
process it has established for monitoring each Fund's performance and portfolio
risk on an ongoing basis, which includes quarterly performance reporting from
the Advisor for the Funds. The Board determined that this process continues to
be effective for reviewing each Fund's performance. The Board received and
reviewed information for periods ended December 31, 2021 regarding the
performance of each Fund's underlying index, the correlation between each Fund's
performance and that of its underlying index, each Fund's tracking difference
and each Fund's excess return as compared to its benchmark index. With respect
to FTCS, the Board noted that during 2013, the Fund changed its underlying index
to The Capital Strength Index(SM), and that the performance information included
a blend of the old and new indexes. Based on the information provided and its
ongoing review of performance, the Board concluded that each Fund was correlated
to its underlying index and that the tracking difference for each Fund was
within a reasonable range. In addition, the Board reviewed data prepared by
Broadridge comparing each Fund's performance to that of its respective
Performance Universe and to that of a broad-based benchmark index and noted the
Advisor's discussion of FPX's, FBT's and FDN's performance at the April 18, 2022
meeting, but given each Fund's objective of seeking investment results that
correspond generally to the performance of its underlying index, the Board
placed more emphasis on its review of correlation and tracking difference.

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

The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes 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 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.

                       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


Page 66





--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                           JUNE 30, 2022 (UNAUDITED)

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 67





                      This page intentionally left blank.





FIRST TRUST

First Trust Exchange-Traded Fund

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

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

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

LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606





[BLANK BACK COVER]