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]