FIRST TRUST

First Trust Exchange-Traded Fund
Book 2

First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)
First Trust S&P REIT Index Fund (FRI)
First Trust Water ETF (FIW)
First Trust Natural Gas ETF (FCG)
First Trust Chindia ETF (FNI)
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)

Annual Report
December 31, 2022





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TABLE OF CONTENTS
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                        FIRST TRUST EXCHANGE-TRADED FUND
                                 ANNUAL REPORT
                               DECEMBER 31, 2022

Shareholder Letter..........................................................   2
Market Overview.............................................................   3
Fund Performance Overview
   First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)..................   4
   First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)...............   6
   First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............   8
   First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN).......  10
   First Trust S&P REIT Index Fund (FRI)....................................  12
   First Trust Water ETF (FIW)..............................................  14
   First Trust Natural Gas ETF (FCG)........................................  16
   First Trust Chindia ETF (FNI)............................................  18
   First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)...............  20
Notes to Fund Performance Overview..........................................  22
Understanding Your Fund Expenses............................................  23
Portfolio of Investments
   First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)..................  25
   First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)...............  28
   First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............  30
   First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN).......  32
   First Trust S&P REIT Index Fund (FRI)....................................  34
   First Trust Water ETF (FIW)..............................................  36
   First Trust Natural Gas ETF (FCG)........................................  38
   First Trust Chindia ETF (FNI)............................................  40
   First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)...............  43
Statements of Assets and Liabilities........................................  46
Statements of Operations....................................................  48
Statements of Changes in Net Assets.........................................  50
Financial Highlights........................................................  54
Notes to Financial Statements...............................................  59
Report of Independent Registered Public Accounting Firm.....................  71
Additional Information......................................................  72
Board of Trustees and Officers..............................................  78
Privacy Policy..............................................................  80





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                  CAUTION REGARDING FORWARD-LOOKING STATEMENTS

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

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded Fund (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 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





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SHAREHOLDER LETTER
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                        FIRST TRUST EXCHANGE-TRADED FUND
                    ANNUAL LETTER FROM THE CHAIRMAN AND CEO
                               DECEMBER 31, 2022

Dear Shareholders:

First Trust is pleased to provide you with the annual report for certain funds
in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed
information about the Funds for the twelve months ended December 31, 2022.

The past year was filled with challenges, several of which surely tested the
resolve of even the most seasoned investors. The year began with the same
headwinds that existed at the end of 2021, namely: stubbornly high inflation and
rising interest rates. When Russia invaded Ukraine in late February 2022, we
added war, geopolitical tension, and potential food and energy shortages to the
list. Considering the bleak backdrop at the start of the year, it probably does
not surprise you to read that with a total return of -18.11%, 2022 was the worst
year for the S&P 500(R) Index since 2008. Even the bond market struggled to
provide a haven to weary investors. The Bloomberg U.S. Aggregate Bond Index
posted a total return of -13.01% for the year; its worst total return in 45
years.

A common topic of discussion in 2022 was whether central banks around the world
had tightened monetary policy enough to quell inflation without causing excess
damage to their economies. In the U.S., the Federal Reserve (the "Fed")
described this as a "soft landing," stating it was their intent to keep the
labor market strong but to increase interest rates enough to bring inflation
down to 2.0%. True to their word, over the course of seven interest rate hikes,
the Fed increased the Federal Funds target rate (upper bound) from 0.25% (where
it stood in March 2022) to 4.50% as of December 2022. This is the highest the
Federal Funds rate has been since 2008.

The economic impact of the Fed's tighter monetary policy quickly became evident.
Excluding the economic contraction from COVID-19 in 2020, the U.S. experienced
its first decline in the gross domestic product ("GDP") growth rate since March
2014. Data from the U.S. Bureau of Economic Analysis indicates that annualized
real GDP growth rates over the first three quarters of 2022 were -1.6%, -0.6%,
and 3.2%, respectively. Thankfully, inflation, as measured by the trailing
12-month rate on the Consumer Price Index ("CPI"), appears to be responding to
the Fed's tightening. After peaking at 9.1% in June 2022, the CPI rate fell to
6.5% at the end of December 2022. For comparative purposes, the CPI rate has
averaged 2.5% over the past 30 years. Job creation has provided a respite from
dreary economic data in recent months, but that could quickly change. Nearly
125,000 employees have lost their jobs since June 2022 as more than 120 U.S.
companies announced layoffs, according to Forbes. The jury is still out on
whether the Fed will be able to pull off a soft landing, but the job market will
tell the tale, in my opinion.

Since 1928, the S&P 500(R) Index has only fallen for two consecutive years on
four occasions: The Great Depression, World War II, the oil crisis of the 1970s
and the burst of the dot-com bubble in the early 2000s. As we enter 2023, the
U.S. economy has significant obstacles to overcome to avoid a recession and
another negative year. We will be watching and reporting on what transpires.

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

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.


Page 2





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MARKET OVERVIEW
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                        FIRST TRUST EXCHANGE-TRADED FUND
                                 ANNUAL REPORT
                               DECEMBER 31, 2022

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

The Federal Reserve (the "Fed") remained steadfast in its battle with stubbornly
high inflation in 2022. The Federal Funds target rate (upper bound), which stood
at a mere 0.25% in January 2022 closed the year at 4.50%, its highest level in
over a decade. Fortunately, it appears that inflation, as measured by the
Consumer Price Index ("CPI") is responding to the Fed's tightening. After
peaking at 9.1% on a trailing 12-month basis in June 2022, the CPI fell to 6.5%
in December 2022. While we were glad to see a decline in the CPI, it still
stands significantly higher than the Fed's stated goal of 2.0%, suggesting that
further action by the Fed may be warranted, in my opinion.

The global growth forecast from the International Monetary Fund ("IMF") released
in October 2022 projected a 2.7% real gross domestic product ("GDP") growth rate
for 2023, down from 3.2% in 2022. The IMF is calling for a 1.0% growth rate for
the U.S. GDP in 2023, down from its 1.6% estimate for 2022. As has been the case
for many years, Emerging Market and Developing Economies are expected to grow
faster than Advanced Economies. Their 2023 growth rate estimates are 3.7% and
1.1%, respectively.

Investors continued to funnel capital into exchange-traded funds ("ETFs") and
related exchange-traded products ("ETPs") in 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 $6.51 trillion as
of year-end, down 9.8% from $7.21 trillion at the end of 2021, according to its
own release. Net inflows to ETFs/ETPs listed in the U.S. stood at $607.23
billion in 2022, their second highest level on record, surpassed only by the
$919.78 billion of inflows in 2021.

U.S. STOCKS AND BONDS

In 2022, three of the major U.S. stock indices posted substantial double-digit
losses. The S&P 500(R) Index, the S&P MidCap 400(R) Index and the S&P SmallCap
600(R) Index posted total returns of -18.11%, -13.06%, and -16.10%,
respectively, according to Bloomberg. Of the 11 major sectors that comprise the
S&P 500(R) Index, only the Energy and Utilities sectors posted positive total
returns, up 65.72% and 1.57%, respectively. The two worst-performing sectors
were the Communication Services sector, down 39.89% and the Consumer
Discretionary sector, down 37.03%. Bloomberg's consensus year-over-year earnings
growth rate estimates for the S&P 500(R) Index for 2023 and 2024 were 1.97% and
9.87%, respectively, as of January 6, 2023.

The yield on the benchmark 10-Year Treasury Note ("T-Note") closed trading on
December 30, 2022, at 3.88%, according to Bloomberg. The 3.88% yield stood 173
basis points ("bps") above its 2.15% average for the 10-year period ended
December 30, 2022. Its yield rose 237 bps in 2022. Most bond investors likely
know that as yields increase, prices fall. As indicated by the sizeable increase
in the yield on the 10-Year T-Note, bond investors endured a challenging year of
declines in 2022. In the U.S. bond market, all the major bond groups posted
negative total returns in 2022. The top performing major debt group we track was
intermediate Treasuries. The Bloomberg U.S. Treasury Intermediate Index posted a
total return of -7.77%.

FOREIGN STOCKS AND BONDS

The U.S. dollar appreciated by 8.21% against a basket of major currencies in
2022, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The
DXY Index closed 2022 at a reading of 103.52, significantly above its 20-year
average of 88.53. The stronger U.S. dollar likely had a negative influence on
the returns of unhedged foreign securities held by U.S. investors.

The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a
total return of -16.60% (USD), while the Bloomberg Global Aggregate Index of
higher quality debt declined 16.25% (USD). With respect to equities, the MSCI
Emerging Markets Index of stocks posted a total return of -20.09% (USD), while
the MSCI World ex USA Index declined by 14.29% (USD) on a total return basis,
according to Bloomberg.


                                                                          Page 3





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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)

The First Trust NASDAQ-100 Equal Weighted 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 Nasdaq-100 Equal
Weighted Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is the equal-weighted version of the
Nasdaq-100 Index(R), which includes 100 of the largest U.S. and international
non-financial companies listed on The Nasdaq Stock Market LLC ("Nasdaq") based
on market capitalization. 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 Nasdaq. The first day of secondary market trading in shares of
the Fund was April 25, 2006.



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PERFORMANCE
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                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (4/19/06)      Ended       Ended       (4/19/06)
                                              12/31/22    12/31/22    12/31/22    to 12/31/22    12/31/22    12/31/22    to 12/31/22
                                                                                                        
FUND PERFORMANCE
NAV                                           -24.62%       9.43%      13.68%        9.87%        56.90%     260.55%       381.91%
Market Price                                  -24.63%       9.42%      13.68%        9.87%        56.83%     260.46%       381.96%

INDEX PERFORMANCE
Nasdaq-100 Equal Weighted Index(SM)           -24.31%      10.06%      14.38%       10.54%        61.49%     283.14%       433.52%
S&P 500(R) Index                              -18.11%       9.42%      12.56%        8.82%        56.88%     226.54%       310.58%
Nasdaq-100 Index(R)                           -32.38%      12.36%      16.45%       12.73%        79.07%     358.37%       639.93%
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(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a net asset value ("NAV") return of -24.62% during the
12-month period covered by this report. During the same period, the Nasdaq-100
Index(R) (the "Benchmark") generated a return of -32.38%. The Information
Technology sector was the largest sector allocation with an average weight of
41.0% and contributed -16.1% to the Fund's return. The second largest sector
allocation was to the Consumer Discretionary sector, at a weight of 14.9% and a
-3.9% contribution to the Fund's return. The most significant positive
contribution came from the investments in the Utilities sector, which at an
average weight of 4.0% contributed 0.7% to the Fund's return.

-----------------------------
Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Equal Weighted
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 4





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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) (CONTINUED)

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                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         38.4%
Consumer Discretionary                         15.7
Health Care                                    13.1
Communication Services                         10.2
Industrials                                     9.2
Consumer Staples                                7.2
Utilities                                       4.1
Energy                                          2.1
                                             -------
   Total                                      100.0%
                                             =======

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                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Charter Communications, Inc., Class A           1.1%
Align Technology, Inc.                          1.1
Exelon Corp.                                    1.1
Baker Hughes Co.                                1.1
O'Reilly Automotive, Inc.                       1.1
Cognizant Technology Solutions Corp.,
   Class A                                      1.1
PayPal Holdings, Inc.                           1.1
Booking Holdings, Inc.                          1.1
Fiserv, Inc.                                    1.0
Honeywell International, Inc.                   1.0
                                             -------
   Total                                       10.8%
                                             =======



                             PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                DECEMBER 31, 2012 - DECEMBER 31, 2022

               First Trust
             NASDAQ-100 Equal          Nasdaq-100 Equal        S&P 500(R)       Nasdaq-100
            Weighted Index Fund       Weighted Index(SM)         Index           Index(R)
                                                                     
12/12             $10,000                  $10,000              $10,000          $10,000
06/13              11,560                   11,612               11,382           11,009
12/13              13,995                   14,099               13,238           13,692
06/14              15,112                   15,271               14,183           14,770
12/14              16,673                   16,896               15,051           16,350
06/15              17,068                   17,347               15,236           17,073
12/15              17,044                   17,383               15,259           17,945
06/16              16,553                   16,926               15,845           17,376
12/16              18,240                   18,713               17,084           19,251
06/17              21,127                   21,739               18,680           22,481
12/17              22,984                   23,726               20,813           25,601
06/18              24,069                   24,915               21,365           28,328
12/18              21,799                   22,633               19,901           25,611
06/19              26,673                   27,784               23,591           31,207
12/19              29,599                   30,926               26,167           35,716
06/20              32,127                   33,669               25,361           41,748
12/20              40,654                   42,736               30,981           53,170
06/21              45,252                   47,728               35,706           60,263
12/21              47,833                   50,620               39,877           67,789
06/22              35,411                   37,565               31,918           47,981
12/22              36,055                   38,314               32,654           45,837


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)

The First Trust NASDAQ-100-Technology Sector 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 Nasdaq-100 Technology
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the Nasdaq-100 Index(R) that are classified as
"technology" according to the Industry Classification Benchmark classification
system. The Nasdaq-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. 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
Nasdaq. The first day of secondary market trading in shares of the Fund was
April 25, 2006.



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PERFORMANCE
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                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (4/19/06)      Ended       Ended       (4/19/06)
                                              12/31/22    12/31/22    12/31/22    to 12/31/22    12/31/22    12/31/22    to 12/31/22
                                                                                                        
FUND PERFORMANCE
NAV                                           -39.81%       8.44%      15.98%       11.08%        49.96%     340.39%       478.70%
Market Price                                  -39.84%       8.42%      15.98%       11.08%        49.82%     340.30%       478.57%

INDEX PERFORMANCE
Nasdaq-100 Technology Sector Index(SM)        -39.48%       9.10%      16.70%       11.78%        54.54%     368.57%       542.13%
S&P 500(R) Index                              -18.11%       9.42%      12.56%        8.82%        56.88%     226.54%       310.58%
S&P 500 Information Technology Index          -28.19%      15.81%      18.33%       12.98%       108.30%     437.99%       667.58%
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(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of -39.81% during the 12-month period covered by
this report. During the same period, the S&P 500 Information Technology Index
(the "Benchmark") generated a return of -28.19%. The largest industry
allocations over the period were to the Semiconductors & Semiconductor Equipment
industry at 40.1% and the Software industry at 41.1%. Each contributed -12.8%
and -17.0% toward the Fund's return, respectively, and were the largest
contributors to the Fund's return since the Fund is so concentrated in these two
industries. No industry allocation had a significantly positive contribution
toward the Fund's return.

-----------------------------
Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Technology Sector
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 6





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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION(1)              LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         91.6%
Communication Services                          5.7
Consumer Discretionary                          2.7
                                             -------
   Total                                      100.0%
                                             =======

(1)   The above sector classification is based on Standard & Poor's Global
      Industry Classification Standard ("GICS") and is different than the
      industry sector classification system used by the Index to select
      securities, which is the Industry Classification Benchmark ("ICB") system,
      the joint classification system of Dow Jones Indexes and FTSE Group.

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Cognizant Technology Solutions Corp.,
   Class A                                      3.0%
Intuit, Inc.                                    2.9
Broadcom, Inc.                                  2.9
Meta Platforms, Inc., Class A                   2.9
ANSYS, Inc.                                     2.9
Advanced Micro Devices, Inc.                    2.9
Intel Corp.                                     2.9
Analog Devices, Inc.                            2.8
Cadence Design Systems, Inc.                    2.8
Adobe, Inc.                                     2.8
                                             -------
   Total                                       28.8%
                                             =======



                                PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                   DECEMBER 31, 2012 - DECEMBER 31, 2022

First Trust NASDAQ-100- Nasdaq-100 Technology Sector Technology Sector S&P 500(R) S&P 500 Information Index Fund Index(SM) Index Technology Index 12/12 $10,000 $10,000 $10,000 $10,000 06/13 11,172 11,208 11,382 10,635 12/13 13,812 13,901 13,238 12,843 06/14 15,624 15,775 14,183 13,991 12/14 17,241 17,465 15,051 15,426 06/15 16,815 17,081 15,236 15,543 12/15 17,003 17,327 15,259 16,340 06/16 17,501 17,899 15,845 16,288 12/16 21,299 21,864 17,084 18,603 06/17 25,356 26,103 18,680 21,808 12/17 29,362 30,321 20,813 25,827 06/18 31,517 32,641 21,365 28,634 12/18 27,981 29,064 19,901 25,753 06/19 35,329 36,810 23,591 32,740 12/19 41,515 43,395 26,167 38,705 06/20 45,471 47,687 25,361 44,491 12/20 57,630 60,620 30,981 55,689 06/21 66,355 69,992 35,706 63,352 12/21 73,159 77,429 39,877 74,914 06/22 47,766 50,701 31,918 54,755 12/22 44,039 46,857 32,654 53,799 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 NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) The First Trust NASDAQ-100 Ex-Technology Sector 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 Nasdaq-100 Ex-Tech Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks and depositary receipts that comprise the Index. The Index is an equal-weighted index composed of the securities comprising the Nasdaq-100 Index(R) that are not classified as "technology" according to the Industry Classification Benchmark classification system. The Nasdaq-100 Index(R) includes 100 of the largest U.S. and international non-financial companies listed on the Nasdaq based on market capitalization. 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 Nasdaq. The first day of secondary market trading in shares of the Fund was February 15, 2007. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (2/8/07) Ended Ended (2/8/07) 12/31/22 12/31/22 12/31/22 to 12/31/22 12/31/22 12/31/22 to 12/31/22 FUND PERFORMANCE NAV -12.85% 10.01% 12.48% 9.31% 61.15% 224.09% 311.70% Market Price -12.82% 10.02% 12.47% 9.32% 61.19% 223.91% 311.98% INDEX PERFORMANCE Nasdaq-100 Ex-Tech Sector Index(SM) -12.52% 10.64% 13.15% 9.98% 65.79% 243.92% 353.21% Russell 1000(R) Index -19.13% 9.13% 12.37% 8.45% 54.80% 221.09% 263.02% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -12.85% during the 12-month period covered by this report. During the same period, the Russell 1000(R) Index (the "Benchmark") generated a return of -19.13%. The Fund allocated a significant portion of its assets to the Consumer Discretionary sector and the Health Care sector. These two sectors had an average weight of 24.7% and 21.3%, respectively. These sectors contributed -6.8% and -1.5% to the Fund's return, respectively. The largest contribution to the Fund's return by far came from the Consumer Discretionary sector. The second highest contribution came from the Information Technology sector at -2.11%, while the allocation to the Utilities sector had the greatest positive contribution to the Fund's return at 1.2%. ----------------------------- Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Ex-Tech Sector 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 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 22.9% Health Care 20.3 Industrials 14.2 Communication Services 12.7 Consumer Staples 11.0 Information Technology 9.3 Utilities 6.3 Energy 3.3 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Charter Communications, Inc., Class A 1.8% Align Technology, Inc. 1.7 Baker Hughes Co. 1.7 O'Reilly Automotive, Inc. 1.6 Booking Holdings, Inc. 1.6 Exelon Corp. 1.6 PayPal Holdings, Inc. 1.6 Fiserv, Inc. 1.6 Honeywell International, Inc. 1.6 Kraft Heinz (The) Co. 1.6 ------- Total 16.4% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2012 - DECEMBER 31, 2022

First Trust NASDAQ-100 Nasdaq-100 Ex-Technology Sector Ex-Tech Sector Russell 1000(R) Index Fund Index(SM) Index 12/12 $10,000 $10,000 $10,000 06/13 11,878 11,935 11,391 12/13 14,124 14,230 13,312 06/14 14,771 14,932 14,280 12/14 16,292 16,512 15,075 06/15 17,177 17,466 15,333 12/15 17,065 17,414 15,213 06/16 16,033 16,394 15,782 12/16 16,702 17,125 17,046 06/17 19,087 19,632 18,626 12/17 20,110 20,743 20,742 06/18 20,743 21,454 21,333 12/18 18,988 19,693 19,750 06/19 22,772 23,699 23,471 12/19 24,371 25,436 25,957 06/20 26,277 27,506 25,228 12/20 33,264 34,930 31,399 06/21 36,215 38,151 36,093 12/21 37,193 39,319 39,705 06/22 29,885 31,660 31,391 12/22 32,409 34,392 32,109 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 NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) The First Trust NASDAQ(R) Clean Edge(R) Green Energy 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 Nasdaq(R) Clean Edge(R) Green Energy Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks and depositary receipts that comprise the Index. The Index is designed to track the performance of small, mid and large capitalization clean-energy companies that are publicly traded in the United States. The Index is rebalanced quarterly and reconstituted semi-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 Nasdaq. The first day of secondary market trading in shares of the Fund was February 14, 2007. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (2/8/07) Ended Ended (2/8/07) 12/31/22 12/31/22 12/31/22 to 12/31/22 12/31/22 12/31/22 to 12/31/22 FUND PERFORMANCE NAV -30.37% 19.09% 18.19% 6.07% 139.52% 431.72% 155.28% Market Price -30.38% 19.03% 18.24% 6.07% 138.95% 434.32% 155.20% INDEX PERFORMANCE Nasdaq(R) Clean Edge(R) Green Energy Index(SM) -30.15% 19.42% 18.28% 6.30% 142.88% 436.10% 164.12% Russell 2000(R) Index -20.44% 4.13% 9.01% 6.39% 22.41% 136.96% 167.77% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -30.37% during the 12-month period covered by this report. During the same period, the Russell 2000(R) Index (the "Benchmark") generated a return of -20.44%. The largest average weight over the period was to the Information Technology sector. This sector's average weight was 37.0%, contributed 2.5% toward the Fund's return, and was the most significant positive contribution toward the Fund's overall return. Other sectors in the Fund were weighed relatively lighter, with the Consumer Discretionary sector at 19.1%, the Industrials sector at 18.3%, the Materials sector at 13.5%, and the Utilities sector at 10.5%. The most significantly negative contribution to the Fund's return was -20.2% from the Consumer Discretionary sector. ----------------------------- Nasdaq(R), Clean Edge(R), and Nasdaq(R) Clean Edge(R) Green Energy Index(SM) are registered trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc., respectively (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 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 37.7% Industrials 19.9 Consumer Discretionary 16.4 Materials 13.2 Utilities 11.8 Financials 1.0 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- ON Semiconductor Corp. 8.3% Enphase Energy, Inc. 8.3 Albemarle Corp. 7.8 Tesla, Inc. 6.4 Rivian Automotive, Inc., Class A 5.8 SolarEdge Technologies, Inc. 4.8 First Solar, Inc. 4.4 Lucid Group, Inc. 3.4 Wolfspeed, Inc. 3.4 Plug Power, Inc. 2.8 ------- Total 55.4% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2012 - DECEMBER 31, 2022

First Trust NASDAQ(R) Nasdaq(R) Clean Edge(R) Green Clean Edge(R) Russell 2000(R) Energy Index Fund Green Energy Index(SM) Index 12/12 $10,000 $10,000 $10,000 06/13 14,949 14,909 11,586 12/13 18,978 18,933 13,882 06/14 21,827 21,781 14,325 12/14 18,400 18,342 14,561 06/15 19,747 19,688 15,253 12/15 17,215 17,172 13,918 06/16 15,528 15,450 14,227 12/16 16,849 16,717 16,885 06/17 19,698 19,567 17,728 12/17 22,196 22,074 19,359 06/18 21,370 21,273 20,842 12/18 19,483 19,401 17,226 06/19 23,473 23,380 20,151 12/19 27,799 27,677 21,622 06/20 33,289 33,154 18,815 12/20 78,815 78,834 25,941 06/21 77,759 77,935 30,491 12/21 76,361 76,743 29,787 06/22 58,729 59,107 22,808 12/22 53,172 53,610 23,696 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 S&P REIT INDEX FUND (FRI) The First Trust S&P REIT 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 S&P United States REIT Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the real estate investment trusts ("REITs") that comprise the Index. The Index seeks to measure the performance of publicly traded REITs domiciled in the U.S. that meet certain eligibility requirements. The Index is rebalanced 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 May 10, 2007. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 12/31/22 12/31/22 12/31/22 to 12/31/22 12/31/22 12/31/22 to 12/31/22 FUND PERFORMANCE NAV -24.63% 3.18% 5.83% 3.85% 16.96% 76.30% 80.62% Market Price -24.68% 3.18% 5.83% 3.85% 16.92% 76.23% 80.56% INDEX PERFORMANCE S&P United States REIT Index* -24.36% 3.68% 6.37% N/A 19.80% 85.47% N/A FTSE EPRA/NAREIT North America Index -24.84% 2.97% 5.64% 3.95% 15.76% 73.02% 83.27% Russell 3000(R) Index -19.21% 8.79% 12.13% 8.15% 52.37% 214.28% 240.95% ------------------------------------------------------------------------------------------------------------------------------------ * On November 6, 2008, the Fund's underlying index changed from the S&P REIT Composite Index to the S&P United States REIT Index. Effective December 31, 2008, the S&P REIT Composite Index was discontinued. Therefore, the Fund's performance and historical returns shown for the periods prior to November 6, 2008 are not necessarily indicative of the performance that the Fund, based on its current Index, would have generated. The inception date of the Index was June 30, 2008. Returns for the Index are only disclosed for those periods in which the Index was in existence for the whole period. (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -24.63% during the 12-month period covered by this report. During the same period, the Russell 3000(R) Index (the "Benchmark") generated a return of -19.21%. Prologis, Inc. was the largest holding in the Fund during the period at a 9.4% average weight and also generated the largest contribution to the Fund's return at -2.8%. The largest positive contribution to the Fund's return came from VICI Properties Inc., which contributed 0.3% to the Fund's return. ----------------------------- S&P United States REIT Index ("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 S&P REIT INDEX FUND (FRI) (CONTINUED) ----------------------------------------------------------- % OF TOTAL REIT CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Specialized 25.0% Residential 17.6 Retail 17.0 Industrial 15.7 Health Care 10.1 Office 7.0 Diversified 4.1 Hotel & Resort 3.5 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Prologis, Inc. 10.8% Equinix, Inc. 6.3 Public Storage 4.6 Realty Income Corp. 4.1 Simon Property Group, Inc. 4.0 VICI Properties, Inc. 3.3 Welltower, Inc. 3.2 Digital Realty Trust, Inc. 3.0 AvalonBay Communities, Inc. 2.4 Alexandria Real Estate Equities, Inc. 2.3 ------- Total 44.0% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2012 - DECEMBER 31, 2022

First Trust S&P United States FTSE EPRA/NAREIT Russell 3000(R) S&P REIT Index Fund REIT Index North America Index Index 12/12 $10,000 $10,000 $10,000 $10,000 06/13 10,609 10,643 10,470 11,406 12/13 10,183 10,240 10,128 13,355 06/14 11,951 12,046 11,858 14,282 12/14 13,199 13,340 12,980 15,032 06/15 12,364 12,526 12,193 15,324 12/15 13,459 13,678 13,215 15,105 06/16 15,203 15,496 14,949 15,652 12/16 14,525 14,841 14,296 17,028 06/17 14,784 15,148 14,555 18,549 12/17 15,075 15,484 14,949 20,626 06/18 15,242 15,696 15,190 21,290 12/18 14,445 14,897 14,368 19,544 06/19 16,810 17,391 16,785 23,201 12/19 17,864 18,539 17,889 25,607 06/20 14,541 15,139 14,136 24,716 12/20 16,417 17,143 16,146 30,954 06/21 19,927 20,863 19,722 35,631 12/21 23,398 24,522 23,023 38,898 06/22 18,634 19,569 18,303 30,691 12/22 17,630 18,547 17,302 31,428 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 WATER ETF (FIW) The First Trust Water 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 ISE Clean Edge Water 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 designed to track the performance of small, mid and large capitalization companies that derive a substantial portion of their revenues from the potable water and wastewater industries. The Fund's shares are listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted semi-annually and the Fund will make corresponding changes to its portfolio shortly after the changes are made public. The first day of secondary market trading in shares of the Fund was May 11, 2007. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 12/31/22 12/31/22 12/31/22 to 12/31/22 12/31/22 12/31/22 to 12/31/22 FUND PERFORMANCE NAV -15.65% 10.99% 12.61% 10.03% 68.44% 227.86% 346.53% Market Price -15.69% 10.97% 12.59% 10.03% 68.27% 227.48% 346.34% INDEX PERFORMANCE ISE Clean Edge Water Index -15.17% 11.74% 13.32% 10.75% 74.17% 249.08% 394.00% Russell 3000(R) Index -19.21% 8.79% 12.13% 8.15% 52.37% 214.28% 240.95% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -15.65% during the 12-month period covered by this report. During the same period, the Russell 3000(R) Index (the "Benchmark") generated a return of -19.21%. The largest sector allocation was to the Industrials sector, with an average portfolio weight of 54.9%. This sector also contributed the most to the Fund's return, contributing -8.1%. Other significant contributors to the Fund's return were the Health Care sector and the Utilities sector. These sectors had an average weight of 11.5% and 21.1%, respectively, and contributed -2.1% and -2.7%, respectively, toward the Fund's return. No sector allocation contributed positively toward the Fund's return. ----------------------------- Nasdaq(R), Clean Edge(R), and ISE Clean Edge Water Index are registered trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc., respectively (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 WATER ETF (FIW) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 52.7% Utilities 19.8 Health Care 13.1 Information Technology 8.6 Materials 3.5 Consumer Staples 2.3 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Xylem, Inc. 4.8% IDEXX Laboratories, Inc. 4.6 Agilent Technologies, Inc. 4.6 IDEX Corp. 4.5 Roper Technologies, Inc. 4.2 American Water Works Co., Inc. 4.0 AECOM 4.0 Danaher Corp. 3.9 Essential Utilities, Inc. 3.8 Tetra Tech, Inc. 3.7 ------- Total 42.1% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2012 - DECEMBER 31, 2022

First Trust ISE Clean Edge Russell 3000(R) Water ETF Water Index Index 12/12 $10,000 $10,000 $10,000 06/13 10,709 10,754 11,406 12/13 13,092 13,190 13,355 06/14 13,465 13,603 14,282 12/14 13,139 13,317 15,032 06/15 12,269 12,473 15,324 12/15 11,849 12,085 15,105 06/16 13,910 14,236 15,652 12/16 15,665 16,075 17,028 06/17 17,103 17,559 18,549 12/17 19,463 20,040 20,626 06/18 19,307 19,896 21,290 12/18 17,732 18,318 19,544 06/19 22,167 22,971 23,201 12/19 24,313 25,266 25,607 06/20 22,679 23,682 24,716 12/20 29,467 30,865 30,954 06/21 34,170 35,890 35,631 12/21 38,862 41,141 38,898 06/22 29,652 31,473 30,691 12/22 32,786 34,908 31,428 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 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NATURAL GAS ETF (FCG) The First Trust Natural Gas 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 ISE-Revere Natural Gas(TM) Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts and master limited partnership ("MLP") units that comprise the Index. The Index is designed to track the performance of mid and large capitalization companies that derive a substantial portion of their revenue from mid-stream activities and/or the exploration and production of natural gas. The Fund's shares are listed for trading on the NYSE Arca. 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 first day of secondary market trading in shares of the Fund was May 11, 2007. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 12/31/22 12/31/22 12/31/22 to 12/31/22 12/31/22 12/31/22 to 12/31/22 FUND PERFORMANCE NAV 47.27% 4.28% -9.06% -7.18% 23.31% -61.32% -68.86% Market Price 47.36% 4.28% -9.07% -7.18% 23.32% -61.34% -68.86% INDEX PERFORMANCE ISE-Revere Natural Gas(TM) Index 48.06% 3.87% -9.24% -7.07% 20.89% -62.08% -68.24% S&P Composite 1500(R) Energy Index 63.77% 8.35% 5.16% 4.46% 49.36% 65.33% 97.83% Russell 3000(R) Index -19.21% 8.79% 12.13% 8.15% 52.37% 214.28% 240.95% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 47.27% during the 12-month period covered by this report. During the same period, the S&P Composite 1500(R) Energy Index (the "Benchmark") generated a return of 63.77%. The Oil & Gas Exploration & Production sub-industry was the largest allocation in the Fund at 81.4%. This sub-industry also produced the largest contribution to the Fund's return at 38.5%. The Oil & Gas Storage and Transportation sub-industry received the second highest allocation at an average weight of 12.8% and contributed 5.0% to the Fund's return. No industry or sub-industry allocation had a significantly negative contribution to the Fund's return. ----------------------------- Nasdaq(R) and ISE-Revere Natural Gas(TM) Index 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 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NATURAL GAS ETF (FCG) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SUB-INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Oil & Gas Exploration & Production 80.4% Oil & Gas Storage & Transportation 14.4 Integrated Oil & Gas 3.5 Gas Utilities 1.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- DCP Midstream, L.P. 4.9% Western Midstream Partners, L.P. 4.8 Hess Midstream, L.P., Class A 4.8 ConocoPhillips 3.7 Pioneer Natural Resources Co. 3.5 Occidental Petroleum Corp. 3.5 EOG Resources, Inc. 3.4 Hess Corp. 3.4 Diamondback Energy, Inc. 3.2 Devon Energy Corp. 3.2 ------- Total 38.4% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2012 - DECEMBER 31, 2022

First Trust ISE-Revere Natural Russell 3000(R) S&P Composite 1500(R) Natural Gas ETF Gas(TM) Index Index Energy Index 12/12 $10,000 $10,000 $10,000 $10,000 06/13 10,297 10,315 11,406 10,972 12/13 12,514 12,573 13,355 12,540 06/14 15,166 15,271 14,282 14,165 12/14 7,257 7,289 15,032 11,390 06/15 6,187 6,160 15,324 10,856 12/15 2,969 2,939 15,105 8,876 06/16 3,293 3,252 15,652 10,258 12/16 3,548 3,521 17,028 11,299 06/17 2,827 2,814 18,549 9,737 12/17 3,139 3,137 20,626 11,067 06/18 3,239 3,248 21,290 11,889 12/18 2,047 2,054 19,544 8,930 06/19 2,043 2,057 23,201 10,027 12/19 1,722 1,741 25,607 9,826 06/20 1,092 1,059 24,716 6,268 12/20 1,322 1,279 30,954 6,504 06/21 2,474 2,403 35,631 9,571 12/21 2,627 2,561 38,898 10,092 06/22 3,393 3,317 30,691 13,215 12/22 3,868 3,792 31,428 16,533 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CHINDIA ETF (FNI) The First Trust Chindia 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 ISE ChIndia(TM) Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks and depositary receipts that comprise the Index. The Index is a modified market capitalization weighted index designed to track the performance of U.S. listed securities issued by small, mid and large capitalization companies domiciled in China or India. The Fund's shares are listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted semi-annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The first day of secondary market trading in shares of the Fund was May 11, 2007. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 12/31/22 12/31/22 12/31/22 to 12/31/22 12/31/22 12/31/22 to 12/31/22 FUND PERFORMANCE NAV -19.75% -0.25% 7.03% 5.15% -1.24% 97.36% 119.48% Market Price -19.70% -0.26% 7.05% 5.15% -1.31% 97.65% 119.48% INDEX PERFORMANCE ISE ChIndia(TM) Index -19.17% 0.34% 7.60% 5.72% 1.72% 108.11% 138.93% Russell 3000(R) Index -19.21% 8.79% 12.13% 8.15% 52.37% 214.28% 240.95% MSCI Emerging Markets Index -20.09% -1.40% 1.44% 2.18% -6.79% 15.33% 40.07% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -19.75% during the 12-month period covered by this report. During the same period, the MSCI Emerging Markets Index (the "Benchmark") generated a return of -20.09%. During the same period, the Fund held Chinese securities at an average weight of 56.2% and Indian securities at an average weight of 43.5%. These countries contributed -11.9% and -7.07% toward the Fund's return, respectively. With regard to sector allocations by country, the Fund was widely dispersed, allocating 12.0% toward Chinese Communication Services companies, 32.4% toward Chinese Consumer Discretionary companies, 16.3% toward Indian Financial companies, and 15.0% toward Indian Information Technology companies. These were the largest sector allocations as a subset of countries, and thus, returns were largely contributed to these areas. Indian Financials contributed most positively toward the Fund's return, at 1.1%. ----------------------------- Nasdaq(R) and ISE ChIndia Index(TM) 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 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CHINDIA ETF (FNI) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 37.3% Information Technology 19.0 Financials 15.6 Communication Services 14.9 Health Care 6.0 Utilities 3.4 Real Estate 1.7 Industrials 1.4 Consumer Staples 0.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL COUNTRY ALLOCATION(1) LONG-TERM INVESTMENTS ----------------------------------------------------------- China 62.1% India 36.5 Hong Kong 1.4 ------- Total 100.0% ======= (1) Calculated based on country of risk. ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Alibaba Group Holding Ltd., ADR 7.2% Pinduoduo, Inc., ADR 7.1 JD.com, Inc., ADR 7.0 HDFC Bank Ltd., ADR 6.9 ICICI Bank Ltd., ADR 6.6 Infosys Ltd., ADR 6.3 Baidu, Inc., ADR 4.3 NetEase, Inc., ADR 4.2 WNS (Holdings) Ltd., ADR 3.9 Dr. Reddy's Laboratories Ltd., ADR 3.8 ------- Total 57.3% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2012 - DECEMBER 31, 2022

First Trust ISE ChIndia(TM) Russell 3000(R) MSCI Emerging Chindia ETF Index Index Markets Index 12/12 $10,000 $10,000 $10,000 $10,000 06/13 10,123 10,153 11,406 9,043 12/13 13,580 13,642 13,355 9,739 06/14 14,429 14,526 14,282 10,337 12/14 13,902 14,018 15,032 9,527 06/15 14,890 15,043 15,324 9,808 12/15 13,857 14,040 15,105 8,105 06/16 13,353 13,565 15,652 8,625 12/16 13,560 13,825 17,028 9,012 06/17 17,407 17,791 18,549 10,673 12/17 19,981 20,460 20,626 12,372 06/18 19,595 20,110 21,290 11,548 12/18 15,848 16,313 19,544 10,568 06/19 18,415 19,003 23,201 11,687 12/19 20,437 21,135 25,607 12,516 06/20 20,934 21,716 24,716 11,292 12/20 30,503 31,766 30,954 14,808 06/21 32,306 33,713 35,631 15,911 12/21 24,591 25,747 38,898 14,431 06/22 20,986 22,045 30,691 11,887 12/22 19,736 20,811 31,428 11,533 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 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) The First Trust NASDAQ(R) ABA Community Bank 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 Nasdaq OMX(R) ABA Community Bank 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 track the performance of small, mid and large capitalization companies that comprise the community banking industry. The Fund's shares are listed for trading on the Nasdaq. The Index is rebalanced quarterly and reconstituted semi-annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The first day of secondary market trading in shares of the Fund was July 1, 2009. ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (6/29/09) Ended Ended (6/29/09) 12/31/22 12/31/22 12/31/22 to 12/31/22 12/31/22 12/31/22 to 12/31/22 FUND PERFORMANCE NAV -8.70% 2.33% 9.41% 9.29% 12.19% 145.75% 231.88% Market Price -8.70% 2.28% 9.48% 9.29% 11.94% 147.35% 231.98% INDEX PERFORMANCE Nasdaq OMX(R) ABA Community Bank Index(SM) -8.19% 2.97% 10.10% 9.99% 15.78% 161.73% 261.69% S&P Composite 1500(R) Financials Index -10.15% 6.24% 12.03% 11.98% 35.34% 211.39% 361.08% Russell 3000(R) Index -19.21% 8.79% 12.13% 13.12% 52.37% 214.28% 428.33% ------------------------------------------------------------------------------------------------------------------------------------ (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -8.70% during the 12-month period covered by this report. During the same period, the S&P Composite 1500(R) Financials Index (the "Benchmark") generated a return of -10.15%. The Fund allocated 91.9% to regional banks over the same period, with 7.7% also being allocated to thrifts and mortgage finance companies. Regional banks contributed -7.3% toward the Fund's return while thrifts and mortgage finance companies contributed -0.9% toward the Fund's return. No other sub-industry contributed significantly toward the Fund's return. ----------------------------- Nasdaq(R), Nasdaq OMX(R), OMX(R), American Bankers Association(R), ABA(R) and the Nasdaq OMX(R) ABA(R) Community Bank Index(SM) are registered trademarks and service marks of Nasdaq, Inc. and American Bankers Association (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 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) (CONTINUED) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Banks 92.6% Thrifts & Mortgage Finance 7.1 IT Services 0.3 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Commerce Bancshares, Inc. 3.7% BOK Financial Corp. 3.0 SouthState Corp. 2.5 Pinnacle Financial Partners, Inc. 2.4 United Bankshares, Inc. 2.4 Old National Bancorp 2.3 Wintrust Financial Corp. 2.2 First Financial Bankshares, Inc. 2.1 Bank OZK 2.1 Hancock Whitney Corp. 1.8 ------- Total 24.5% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2012 - DECEMBER 31, 2022

First Trust NASDAQ(R) ABA Nasdaq OMX(R) Community Bank ABA Community S&P Composite 1500(R) Russell 3000(R) Index Fund Bank Index(SM) Financials Index Index 12/12 $10,000 $10,000 $10,000 $10,000 06/13 11,850 11,889 11,876 11,406 12/13 14,290 14,383 13,426 13,355 06/14 14,286 14,423 14,120 14,282 12/14 14,679 14,863 15,425 15,032 06/15 16,019 16,272 15,460 15,324 12/15 15,836 16,130 15,315 15,105 06/16 15,567 15,904 15,067 15,652 12/16 21,786 22,337 19,034 17,028 06/17 21,028 21,627 20,220 18,549 12/17 21,907 22,605 23,012 20,626 06/18 23,026 23,830 22,234 21,290 12/18 18,370 19,059 20,013 19,544 06/19 20,615 21,459 23,451 23,201 12/19 22,559 23,556 26,260 25,607 06/20 15,647 16,395 20,005 24,716 12/20 20,072 21,115 25,759 30,959 06/21 24,978 26,366 32,240 35,637 12/21 26,917 28,507 34,658 38,902 06/22 22,968 24,388 28,343 30,694 12/22 24,575 26,173 31,139 31,428 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 21 -------------------------------------------------------------------------------- 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 22 FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES DECEMBER 31, 2022 (UNAUDITED) As a shareholder of First Trust NASDAQ-100 Equal Weighted Index Fund, First Trust NASDAQ-100-Technology Sector Index Fund, First Trust NASDAQ-100 Ex-Technology Sector Index Fund, First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund, First Trust S&P REIT Index Fund, First Trust Water ETF, First Trust Natural Gas ETF, First Trust Chindia ETF or First Trust NASDAQ(R) ABA Community Bank 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 December 31, 2022. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the 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 JULY 1, 2022 DECEMBER 31, 2022 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) Actual $1,000.00 $1,018.30 0.58% $2.95 Hypothetical (5% return before expenses) $1,000.00 $1,022.28 0.58% $2.96 FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) Actual $1,000.00 $ 921.90 0.58% $2.81 Hypothetical (5% return before expenses) $1,000.00 $1,022.28 0.58% $2.96 FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) Actual $1,000.00 $1,084.60 0.60% $3.15 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) Actual $1,000.00 $ 905.30 0.58% $2.79 Hypothetical (5% return before expenses) $1,000.00 $1,022.28 0.58% $2.96 FIRST TRUST S&P REIT INDEX FUND (FRI) Actual $1,000.00 $ 946.40 0.50% $2.45 Hypothetical (5% return before expenses) $1,000.00 $1,022.68 0.50% $2.55 FIRST TRUST WATER ETF (FIW) Actual $1,000.00 $1,105.60 0.54% $2.87 Hypothetical (5% return before expenses) $1,000.00 $1,022.48 0.54% $2.75 Page 23 FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) DECEMBER 31, 2022 (UNAUDITED) ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2022 DECEMBER 31, 2022 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST NATURAL GAS ETF (FCG) Actual $1,000.00 $1,140.30 0.60% $3.24 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST CHINDIA ETF (FNI) Actual $1,000.00 $ 940.30 0.60% $2.93 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) Actual $1,000.00 $1,070.00 0.60% $3.13 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 (a) These expense ratios reflect an expense cap 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 (July 1, 2022 through December 31, 2022), multiplied by 184/365 (to reflect the six-month period). Page 24 FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTOMOBILES -- 2.6% 1,518,349 Lucid Group, Inc. (a) (b) $ 10,370,324 484,382 Rivian Automotive, Inc., Class A (b) 8,927,160 72,889 Tesla, Inc. (b) 8,978,467 --------------- 28,275,951 --------------- BEVERAGES -- 3.1% 308,855 Keurig Dr Pepper, Inc. 11,013,769 110,827 Monster Beverage Corp. (b) 11,252,266 61,520 PepsiCo, Inc. 11,114,203 --------------- 33,380,238 --------------- BIOTECHNOLOGY -- 6.9% 41,467 Amgen, Inc. 10,890,893 38,940 Biogen, Inc. (b) 10,783,265 127,666 Gilead Sciences, Inc. 10,960,126 57,290 Moderna, Inc. (b) 10,290,430 15,212 Regeneron Pharmaceuticals, Inc. (b) 10,975,306 85,136 Seagen, Inc. (b) 10,940,827 36,224 Vertex Pharmaceuticals, Inc. (b) 10,460,767 --------------- 75,301,614 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.1% 24,972 Cintas Corp. 11,277,855 183,086 Copart, Inc. (b) 11,148,106 --------------- 22,425,961 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 232,553 Cisco Systems, Inc. 11,078,825 --------------- ELECTRIC UTILITIES -- 4.1% 117,471 American Electric Power Co., Inc. 11,153,871 127,023 Constellation Energy Corp. 10,950,653 269,217 Exelon Corp. 11,638,251 158,772 Xcel Energy, Inc. 11,131,505 --------------- 44,874,280 --------------- ENERGY EQUIPMENT & SERVICES -- 1.1% 390,995 Baker Hughes Co. 11,546,082 --------------- ENTERTAINMENT -- 4.1% 144,558 Activision Blizzard, Inc. 11,065,915 91,665 Electronic Arts, Inc. 11,199,630 37,612 Netflix, Inc. (b) 11,091,026 1,122,568 Warner Bros Discovery, Inc. (b) 10,641,945 --------------- 43,998,516 --------------- FOOD & STAPLES RETAILING -- 2.0% 24,035 Costco Wholesale Corp. 10,971,977 284,660 Walgreens Boots Alliance, Inc. 10,634,898 --------------- 21,606,875 --------------- FOOD PRODUCTS -- 2.1% 278,720 Kraft Heinz (The) Co. 11,346,691 167,861 Mondelez International, Inc., Class A 11,187,936 --------------- 22,534,627 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.2% 56,599 Align Technology, Inc. (b) $ 11,936,729 96,497 Dexcom, Inc. (b) 10,927,321 27,095 IDEXX Laboratories, Inc. (b) 11,053,676 42,009 Intuitive Surgical, Inc. (b) 11,147,088 --------------- 45,064,814 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.0% 124,150 Airbnb, Inc., Class A (b) 10,614,825 5,669 Booking Holdings, Inc. (b) 11,424,622 72,003 Marriott International, Inc., Class A 10,720,527 112,241 Starbucks Corp. 11,134,307 --------------- 43,894,281 --------------- INDUSTRIAL CONGLOMERATES -- 1.0% 52,991 Honeywell International, Inc. 11,355,971 --------------- INTERACTIVE MEDIA & SERVICES -- 2.0% 61,169 Alphabet, Inc., Class A (b) 5,396,941 60,861 Alphabet, Inc., Class C (b) 5,400,196 92,009 Meta Platforms, Inc., Class A (b) 11,072,363 --------------- 21,869,500 --------------- INTERNET & DIRECT MARKETING RETAIL -- 5.0% 126,005 Amazon.com, Inc. (b) 10,584,420 268,392 eBay, Inc. 11,130,216 192,234 JD.com, Inc., ADR 10,790,095 13,159 MercadoLibre, Inc. (b) 11,135,672 126,296 Pinduoduo, Inc., ADR (b) 10,299,439 --------------- 53,939,842 --------------- IT SERVICES -- 5.2% 44,972 Automatic Data Processing, Inc. 10,742,012 200,114 Cognizant Technology Solutions Corp., Class A 11,444,520 112,644 Fiserv, Inc. (b) 11,384,929 95,370 Paychex, Inc. 11,020,957 160,583 PayPal Holdings, Inc. (b) 11,436,721 --------------- 56,029,139 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 55,220 Illumina, Inc. (b) 11,165,484 --------------- MACHINERY -- 1.0% 113,399 PACCAR, Inc. 11,223,099 --------------- MEDIA -- 3.2% 36,148 Charter Communications, Inc., Class A (b) 12,257,787 319,611 Comcast Corp., Class A 11,176,797 1,858,637 Sirius XM Holdings, Inc. (a) 10,854,440 --------------- 34,289,024 --------------- MULTILINE RETAIL -- 1.0% 77,275 Dollar Tree, Inc. (b) 10,929,776 --------------- See Notes to Financial Statements Page 25 FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS -- 1.0% 82,233 Diamondback Energy, Inc. $ 11,247,830 --------------- PHARMACEUTICALS -- 1.0% 162,374 AstraZeneca PLC, ADR 11,008,957 --------------- PROFESSIONAL SERVICES -- 2.0% 141,462 CoStar Group, Inc. (b) 10,932,183 62,445 Verisk Analytics, Inc. 11,016,547 --------------- 21,948,730 --------------- ROAD & RAIL -- 2.0% 351,716 CSX Corp. 10,896,162 37,275 Old Dominion Freight Line, Inc. 10,577,899 --------------- 21,474,061 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 16.5% 169,594 Advanced Micro Devices, Inc. (b) 10,984,603 66,404 Analog Devices, Inc. 10,892,248 105,320 Applied Materials, Inc. 10,256,062 19,417 ASML Holding N.V. 10,609,449 19,974 Broadcom, Inc. 11,168,063 36,364 Enphase Energy, Inc. (b) 9,635,005 182,184 GLOBALFOUNDRIES, Inc. (a) (b) 9,817,896 414,862 Intel Corp. 10,964,803 28,763 KLA Corp. 10,844,514 25,014 Lam Research Corp. 10,513,384 285,366 Marvell Technology, Inc. 10,569,957 152,356 Microchip Technology, Inc. 10,703,009 212,303 Micron Technology, Inc. 10,610,904 66,731 NVIDIA Corp. 9,752,068 67,645 NXP Semiconductors N.V. 10,689,939 96,927 QUALCOMM, Inc. 10,656,154 65,531 Texas Instruments, Inc. 10,827,032 --------------- 179,495,090 --------------- SOFTWARE -- 14.7% 32,428 Adobe, Inc. (b) 10,912,995 45,580 ANSYS, Inc. (b) 11,011,672 75,442 Atlassian Corp., Class A (b) 9,707,876 57,713 Autodesk, Inc. (b) 10,784,828 68,064 Cadence Design Systems, Inc. (b) 10,933,801 98,520 Crowdstrike Holdings, Inc., Class A (b) 10,373,171 143,598 Datadog, Inc., Class A (b) 10,554,453 212,229 Fortinet, Inc. (b) 10,375,876 28,781 Intuit, Inc. 11,202,141 45,113 Microsoft Corp. 10,819,000 73,028 Palo Alto Networks, Inc. (b) 10,190,327 33,683 Synopsys, Inc. (b) 10,754,645 63,342 Workday, Inc., Class A (b) 10,599,017 157,357 Zoom Video Communications, Inc., Class A (b) 10,659,363 97,148 Zscaler, Inc. (b) 10,870,861 --------------- 159,750,026 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- SPECIALTY RETAIL -- 2.1% 13,594 O'Reilly Automotive, Inc. (b) $ 11,473,744 97,461 Ross Stores, Inc. 11,312,298 --------------- 22,786,042 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 82,001 Apple, Inc. 10,654,390 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 34,326 Lululemon Athletica, Inc. (b) 10,997,364 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 231,357 Fastenal Co. 10,947,813 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 78,087 T-Mobile US, Inc. (b) 10,932,180 --------------- TOTAL COMMON STOCKS -- 100.0% 1,086,026,382 (Cost $1,111,728,657) MONEY MARKET FUNDS -- 2.7% 29,948,691 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 4.14% (c) (d) 29,948,691 (Cost $29,948,691) --------------- TOTAL INVESTMENTS -- 102.7% 1,115,975,073 (Cost $1,141,677,348) NET OTHER ASSETS AND LIABILITIES -- (2.7)% (29,482,011) --------------- NET ASSETS -- 100.0% $ 1,086,493,062 =============== (a) 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 $29,490,464 and the total value of the collateral held by the Fund is $29,948,691. (b) Non-income producing security. (c) Rate shown reflects yield as of December 31, 2022. (d) This security serves as collateral for securities on loan. ADR - American Depositary Receipt Page 26 See Notes to Financial Statements FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 --------------------------------- 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) $ 29,490,464 Non-cash Collateral(2) (29,490,464) --------------- 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 December 31, 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. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 1,086,026,382 $ 1,086,026,382 $ -- $ -- Money Market Funds............................ 29,948,691 29,948,691 -- -- ---------------------------------------------------------------- Total Investments............................. $ 1,115,975,073 $ 1,115,975,073 $ -- $ -- ================================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% INTERACTIVE MEDIA & SERVICES -- 5.7% 216,532 Alphabet, Inc., Class A (a) $ 19,104,618 215,403 Alphabet, Inc., Class C (a) 19,112,708 325,422 Meta Platforms, Inc., Class A (a) 39,161,284 --------------- 77,378,610 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.7% 445,697 Pinduoduo, Inc., ADR (a) 36,346,590 --------------- IT SERVICES -- 2.9% 706,269 Cognizant Technology Solutions Corp., Class A 40,391,524 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 44.3% 600,035 Advanced Micro Devices, Inc. (a) 38,864,267 235,499 Analog Devices, Inc. 38,628,901 374,315 Applied Materials, Inc. 36,450,795 68,646 ASML Holding N.V. 37,508,174 70,631 Broadcom, Inc. 39,491,911 646,033 GLOBALFOUNDRIES, Inc. (a) (b) 34,814,718 1,470,132 Intel Corp. 38,855,589 102,130 KLA Corp. 38,506,074 88,790 Lam Research Corp. 37,318,437 1,012,521 Marvell Technology, Inc. 37,503,778 540,637 Microchip Technology, Inc. 37,979,749 752,689 Micron Technology, Inc. 37,619,396 236,204 NVIDIA Corp. 34,518,853 239,523 NXP Semiconductors N.V. 37,851,820 342,149 QUALCOMM, Inc. 37,615,861 232,164 Texas Instruments, Inc. 38,358,136 --------------- 601,886,459 --------------- SOFTWARE -- 41.5% 114,636 Adobe, Inc. (a) 38,578,453 161,381 ANSYS, Inc. (a) 38,988,036 265,534 Atlassian Corp., Class A (a) 34,168,915 203,818 Autodesk, Inc. (a) 38,087,470 240,460 Cadence Design Systems, Inc. (a) 38,627,494 348,952 Crowdstrike Holdings, Inc., Class A (a) 36,741,156 506,917 Datadog, Inc., Class A (a) 37,258,400 749,572 Fortinet, Inc. (a) 36,646,575 101,615 Intuit, Inc. 39,550,590 159,734 Microsoft Corp. 38,307,408 257,755 Palo Alto Networks, Inc. (a) 35,967,133 119,245 Synopsys, Inc. (a) 38,073,736 223,249 Workday, Inc., Class A (a) 37,356,255 555,996 Zoom Video Communications, Inc., Class A (a) 37,663,169 342,087 Zscaler, Inc. (a) 38,279,535 --------------- 564,294,325 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.8% 290,572 Apple, Inc. 37,754,020 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $ 1,358,051,528 (Cost $1,682,634,795) --------------- MONEY MARKET FUNDS -- 2.6% 34,396,338 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 4.14% (c) (d) 34,396,338 (Cost $34,396,338) --------------- TOTAL INVESTMENTS -- 102.5% 1,392,447,866 (Cost $1,717,031,133) NET OTHER ASSETS AND LIABILITIES -- (2.5)% (33,310,383) --------------- NET ASSETS -- 100.0% $ 1,359,137,483 =============== (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 $33,714,931 and the total value of the collateral held by the Fund is $34,396,338. (c) Rate shown reflects yield as of December 31, 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) $ 33,714,931 Non-cash Collateral(2) (33,714,931) --------------- 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 December 31, 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. Page 28 See Notes to Financial Statements FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 1,358,051,528 $ 1,358,051,528 $ -- $ -- Money Market Funds............................ 34,396,338 34,396,338 -- -- ---------------------------------------------------------------- Total Investments............................. $ 1,392,447,866 $ 1,392,447,866 $ -- $ -- ================================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 29 FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (a) -- 100.0% AUTOMOBILES -- 4.0% 286,015 Lucid Group, Inc. (b) (c) $ 1,953,482 93,769 Rivian Automotive, Inc., Class A (c) 1,728,163 14,031 Tesla, Inc. (c) 1,728,339 --------------- 5,409,984 --------------- BEVERAGES -- 4.7% 58,440 Keurig Dr Pepper, Inc. 2,083,970 20,916 Monster Beverage Corp. (c) 2,123,602 11,689 PepsiCo, Inc. 2,111,735 --------------- 6,319,307 --------------- BIOTECHNOLOGY -- 10.7% 7,883 Amgen, Inc. 2,070,391 7,397 Biogen, Inc. (c) 2,048,377 24,296 Gilead Sciences, Inc. 2,085,812 10,906 Moderna, Inc. (c) 1,958,936 2,915 Regeneron Pharmaceuticals, Inc. (c) 2,103,143 16,264 Seagen, Inc. (c) 2,090,087 6,916 Vertex Pharmaceuticals, Inc. (c) 1,997,202 --------------- 14,353,948 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.2% 4,734 Cintas Corp. 2,137,969 34,905 Copart, Inc. (c) 2,125,366 --------------- 4,263,335 --------------- COMMUNICATIONS EQUIPMENT -- 1.6% 44,090 Cisco Systems, Inc. 2,100,448 --------------- ELECTRIC UTILITIES -- 6.3% 22,290 American Electric Power Co., Inc. 2,116,435 23,899 Constellation Energy Corp. 2,060,333 50,273 Exelon Corp. 2,173,302 30,148 Xcel Energy, Inc. 2,113,676 --------------- 8,463,746 --------------- ENERGY EQUIPMENT & SERVICES -- 1.6% 74,301 Baker Hughes Co. 2,194,108 --------------- ENTERTAINMENT -- 6.3% 27,707 Activision Blizzard, Inc. 2,120,971 17,315 Electronic Arts, Inc. 2,115,547 7,251 Netflix, Inc. (c) 2,138,175 212,707 Warner Bros Discovery, Inc. (c) 2,016,462 --------------- 8,391,155 --------------- FOOD & STAPLES RETAILING -- 3.1% 4,568 Costco Wholesale Corp. 2,085,292 53,980 Walgreens Boots Alliance, Inc. 2,016,693 --------------- 4,101,985 --------------- FOOD PRODUCTS -- 3.2% 52,804 Kraft Heinz (The) Co. 2,149,651 31,861 Mondelez International, Inc., Class A 2,123,535 --------------- 4,273,186 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.4% 10,635 Align Technology, Inc. (c) $ 2,242,922 18,389 Dexcom, Inc. (c) 2,082,370 5,170 IDEXX Laboratories, Inc. (c) 2,109,153 7,964 Intuitive Surgical, Inc. (c) 2,113,247 --------------- 8,547,692 --------------- HOTELS, RESTAURANTS & LEISURE -- 6.3% 23,534 Airbnb, Inc., Class A (c) 2,012,157 1,087 Booking Holdings, Inc. (c) 2,190,609 13,707 Marriott International, Inc., Class A 2,040,835 21,329 Starbucks Corp. 2,115,837 --------------- 8,359,438 --------------- INDUSTRIAL CONGLOMERATES -- 1.6% 10,050 Honeywell International, Inc. 2,153,715 --------------- INTERNET & DIRECT MARKETING RETAIL -- 6.2% 23,992 Amazon.com, Inc. (c) 2,015,328 51,413 eBay, Inc. 2,132,097 37,249 JD.com, Inc., ADR 2,090,786 2,498 MercadoLibre, Inc. (c) 2,113,908 --------------- 8,352,119 --------------- IT SERVICES -- 6.3% 8,532 Automatic Data Processing, Inc. 2,037,953 21,383 Fiserv, Inc. (c) 2,161,180 18,178 Paychex, Inc. 2,100,650 30,435 PayPal Holdings, Inc. (c) 2,167,581 --------------- 8,467,364 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.6% 10,564 Illumina, Inc. (c) 2,136,041 --------------- MACHINERY -- 1.6% 21,459 PACCAR, Inc. 2,123,797 --------------- MEDIA -- 4.9% 6,912 Charter Communications, Inc., Class A (c) 2,343,859 61,117 Comcast Corp., Class A 2,137,262 353,679 Sirius XM Holdings, Inc. (b) 2,065,485 --------------- 6,546,606 --------------- MULTILINE RETAIL -- 1.6% 14,777 Dollar Tree, Inc. (c) 2,090,059 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.6% 15,693 Diamondback Energy, Inc. 2,146,489 --------------- PHARMACEUTICALS -- 1.6% 31,026 AstraZeneca PLC, ADR 2,103,563 --------------- PROFESSIONAL SERVICES -- 3.2% 27,032 CoStar Group, Inc. (c) 2,089,033 12,044 Verisk Analytics, Inc. 2,124,802 --------------- 4,213,835 --------------- Page 30 See Notes to Financial Statements FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) ROAD & RAIL -- 3.1% 66,601 CSX Corp. $ 2,063,299 7,148 Old Dominion Freight Line, Inc. 2,028,459 --------------- 4,091,758 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.4% 6,948 Enphase Energy, Inc. (c) 1,840,942 --------------- SPECIALTY RETAIL -- 3.2% 2,597 O'Reilly Automotive, Inc. (c) 2,191,946 18,499 Ross Stores, Inc. 2,147,179 --------------- 4,339,125 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.6% 6,562 Lululemon Athletica, Inc. (c) 2,102,334 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 44,034 Fastenal Co. 2,083,689 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.5% 14,807 T-Mobile US, Inc. (c) 2,072,980 --------------- TOTAL COMMON STOCKS -- 100.0% 133,642,748 (Cost $122,915,523) --------------- MONEY MARKET FUNDS -- 2.9% 3,862,754 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 4.14% (d) (e) 3,862,754 28,831 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.10% (d) 28,831 --------------- TOTAL MONEY MARKET FUNDS -- 2.9% 3,891,585 (Cost $3,891,585) --------------- TOTAL INVESTMENTS -- 102.9% 137,534,333 (Cost $126,807,108) NET OTHER ASSETS AND LIABILITIES -- (2.9)% (3,851,983) --------------- NET ASSETS -- 100.0% $ 133,682,350 =============== (a) The industry allocation is based on Standard & Poor's Global Industry Classification Standard (GICS), and is different than the industry sector classification system used by the Index to select securities, which is the Industry Classification Benchmark (ICB) system, which is maintained by FTSE International Limited. (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 $3,809,872 and the total value of the collateral held by the Fund is $3,862,754. (c) Non-income producing security. (d) Rate shown reflects yield as of December 31, 2022. (e) 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) $ 3,809,872 Non-cash Collateral(2) (3,809,872) --------------- 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 December 31, 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. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 133,642,748 $ 133,642,748 $ -- $ -- Money Market Funds............................ 3,891,585 3,891,585 -- -- ---------------------------------------------------------------- Total Investments............................. $ 137,534,333 $ 137,534,333 $ -- $ -- ================================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 31 FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTOMOBILES -- 15.9% 1,509,605 Gogoro, Inc. (a) (b) $ 4,800,544 7,800,097 Lucid Group, Inc. (a) (b) 53,274,662 4,937,137 Rivian Automotive, Inc., Class A (b) 90,991,435 812,461 Tesla, Inc. (b) 100,078,946 1,014,333 Workhorse Group, Inc. (a) (b) 1,541,786 --------------- 250,687,373 --------------- CHEMICALS -- 11.5% 569,036 Albemarle Corp. 123,401,147 1,108,743 Livent Corp. (b) 22,030,723 441,415 Sociedad Quimica y Minera de Chile S.A., ADR 35,242,574 --------------- 180,674,444 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 1,043,951 Li-Cycle Holdings Corp. (a) (b) 4,969,207 --------------- CONSTRUCTION & ENGINEERING -- 0.8% 209,634 Ameresco, Inc., Class A (b) 11,978,487 --------------- ELECTRICAL EQUIPMENT -- 18.4% 198,777 Acuity Brands, Inc. 32,919,459 319,680 Advent Technologies Holdings, Inc. (a) (b) 578,621 180,735 American Superconductor Corp. (b) 665,105 930,201 Array Technologies, Inc. (b) 17,980,785 1,843,262 Ballard Power Systems, Inc. (a) (b) 8,829,225 314,410 Blink Charging Co. (a) (b) 3,449,078 1,108,776 Bloom Energy Corp., Class A (b) 21,199,797 2,082,817 ChargePoint Holdings, Inc. (a) (b) 19,849,246 252,380 EnerSys 18,635,739 947,322 ESS Tech, Inc. (a) (b) 2,301,992 712,402 Fluence Energy, Inc. (a) (b) 12,217,694 638,427 FTC Solar, Inc. (a) (b) 1,710,984 2,506,858 FuelCell Energy, Inc. (a) (b) 6,969,065 3,603,026 Plug Power, Inc. (a) (b) 44,569,432 791,221 Shoals Technologies Group, Inc., Class A (b) 19,519,422 954,916 Stem, Inc. (b) 8,536,949 1,076,653 SunPower Corp. (b) 19,412,054 1,317,227 Sunrun, Inc. (b) 31,639,793 259,304 TPI Composites, Inc. (b) 2,629,343 947,300 Tritium DCFC Ltd. (a) (b) 1,591,464 199,690 Vicor Corp. (b) 10,733,337 867,750 Wallbox N.V. (a) (b) 3,106,545 --------------- 289,045,129 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.1% 231,078 Advanced Energy Industries, Inc. 19,821,871 279,248 Itron, Inc. (b) 14,143,911 --------------- 33,965,782 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 11.8% 981,749 Altus Power, Inc. (b) $ 6,401,003 712,327 Atlantica Sustainable Infrastructure PLC 18,449,269 375,422 Azure Power Global Ltd. (a) (b) 1,618,069 1,701,594 Brookfield Renewable Partners, L.P. (c) 43,118,392 508,118 Clearway Energy, Inc., Class C 16,193,721 887,635 Montauk Renewables, Inc. (b) 9,790,614 534,888 NextEra Energy Partners, L.P. (c) (d) 37,490,300 346,670 Ormat Technologies, Inc. 29,980,021 1,745,984 ReNew Energy Global PLC, Class A (a) (b) 9,602,912 710,275 Sunnova Energy International, Inc. (b) 12,792,053 --------------- 185,436,354 --------------- MACHINERY -- 0.5% 1,174,435 Lion Electric (The) Co. (a) (b) 2,630,734 1,394,157 Proterra, Inc. (b) 5,255,972 --------------- 7,886,706 --------------- METALS & MINING -- 1.7% 1,097,427 MP Materials Corp. (b) 26,645,528 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.0% 549,985 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 15,938,565 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 35.5% 1,182,505 Allegro MicroSystems, Inc. (b) 35,498,800 493,418 Enphase Energy, Inc. (b) 130,736,033 458,435 First Solar, Inc. (b) 68,668,979 278,131 Maxeon Solar Technologies Ltd. (a) (b) 4,466,784 948,457 Navitas Semiconductor Corp. (a) (b) 3,329,084 2,103,531 ON Semiconductor Corp. (b) 131,197,229 353,550 Power Integrations, Inc. 25,356,606 264,645 SolarEdge Technologies, Inc. (b) 74,965,989 291,973 Universal Display Corp. 31,544,763 767,784 Wolfspeed, Inc. (b) 53,007,807 --------------- 558,772,074 --------------- SPECIALTY RETAIL -- 0.5% 1,651,468 Allego N.V. (a) (b) 5,185,610 428,716 EVgo, Inc. (a) (b) 1,916,360 1,072,109 Volta, Inc. (b) 381,028 --------------- 7,482,998 --------------- TOTAL COMMON STOCKS -- 100.0% 1,573,482,647 (Cost $2,077,793,606) --------------- Page 32 See Notes to Financial Statements FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MONEY MARKET FUNDS -- 8.3% 130,095,703 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 4.14% (e) (f) $ 130,095,703 (Cost $130,095,703) --------------- TOTAL INVESTMENTS -- 108.3% 1,703,578,350 (Cost $2,207,889,309) NET OTHER ASSETS AND LIABILITIES -- (8.3)% (130,074,454) --------------- NET ASSETS -- 100.0% $ 1,573,503,896 =============== (a) 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 $129,347,557 and the total value of the collateral held by the Fund is $130,095,703. (b) Non-income producing security. (c) Security is a Master Limited Partnership ("MLP"). (d) This security is taxed as a "C" corporation for federal income tax purposes. (e) Rate shown reflects yield as of December 31, 2022. (f) 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) $ 129,347,557 Non-cash Collateral(2) (129,347,557) --------------- 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 December 31, 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. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 1,573,482,647 $ 1,573,482,647 $ -- $ -- Money Market Funds............................ 130,095,703 130,095,703 -- -- ---------------------------------------------------------------- Total Investments............................. $ 1,703,578,350 $ 1,703,578,350 $ -- $ -- ================================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 33 FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.4% DIVERSIFIED REITS -- 4.1% 10,001 Alexander & Baldwin, Inc. $ 187,319 1,510 Alpine, Inc.ome Property Trust, Inc. 28,811 7,175 American Assets Trust, Inc. 190,137 9,338 Armada Hoffler Properties, Inc. 107,387 23,865 Broadstone Net Lease, Inc. 386,852 2,279 CTO Realty Growth, Inc. 41,660 18,137 Empire State Realty Trust, Inc., Class A 122,243 19,627 Essential Properties Realty Trust, Inc. 460,646 5,461 Gladstone Commercial Corp. 101,028 14,309 Global Net Lease, Inc. 179,864 11,951 iStar, Inc. 91,186 4,508 NexPoint Diversified Real Estate Trust 50,535 2,237 One Liberty Properties, Inc. 49,706 36,633 STORE Capital Corp. 1,174,454 28,680 WP Carey, Inc. 2,241,342 --------------- 5,413,170 --------------- HEALTH CARE REITS -- 10.0% 13,375 CareTrust REIT, Inc. 248,508 3,244 Community Healthcare Trust, Inc. 116,135 33,044 Diversified Healthcare Trust 21,373 8,492 Global Medical REIT, Inc. 80,504 52,464 Healthcare Realty Trust, Inc. 1,010,981 74,104 Healthpeak Properties, Inc. 1,857,787 5,585 LTC Properties, Inc. 198,435 82,439 Medical Properties Trust, Inc. 918,370 5,981 National Health Investors, Inc. 312,328 32,284 Omega Healthcare Investors, Inc. 902,338 31,469 Physicians Realty Trust 455,356 31,842 Sabra Health Care REIT, Inc. 395,796 1,750 Universal Health Realty Income Trust 83,528 55,106 Ventas, Inc. 2,482,525 65,141 Welltower, Inc. 4,269,993 --------------- 13,353,957 --------------- HOTEL & RESORT REITS -- 3.5% 29,329 Apple Hospitality REIT, Inc. 462,812 4,756 Ashford Hospitality Trust, Inc. (a) 21,259 7,979 Braemar Hotels & Resorts, Inc. 32,794 6,727 Chatham Lodging Trust 82,540 28,864 DiamondRock Hospitality Co. 236,396 4,536 Hersha Hospitality Trust, Class A 38,647 98,573 Host Hotels & Resorts, Inc. 1,582,097 30,997 Park Hotels & Resorts, Inc. 365,455 18,125 Pebblebrook Hotel Trust 242,694 22,341 RLJ Lodging Trust 236,591 7,603 Ryman Hospitality Properties, Inc. 621,773 22,811 Service Properties Trust 166,292 14,736 Summit Hotel Properties, Inc. 106,394 29,006 Sunstone Hotel Investors, Inc. 280,198 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOTEL & RESORT REITS (CONTINUED) 15,696 Xenia Hotels & Resorts, Inc. $ 206,873 --------------- 4,682,815 --------------- INDUSTRIAL REITS -- 15.6% 37,138 Americold Realty Trust, Inc. 1,051,377 6,007 EastGroup Properties, Inc. 889,396 18,216 First Industrial Realty Trust, Inc. 879,104 704 Indus Realty Trust, Inc. 44,697 9,041 Industrial Logistics Properties Trust 29,564 3,856 Innovative Industrial Properties, Inc. 390,806 38,012 LXP Industrial Trust 380,880 5,377 Plymouth Industrial REIT, Inc. 103,131 127,256 Prologis, Inc. 14,345,569 25,296 Rexford Industrial Realty, Inc. 1,382,173 24,705 STAG Industrial, Inc. 798,219 9,229 Terreno Realty Corp. 524,853 --------------- 20,819,769 --------------- OFFICE REITS -- 6.9% 20,586 Alexandria Real Estate Equities, Inc. 2,998,763 19,666 Boston Properties, Inc. 1,329,028 23,653 Brandywine Realty Trust 145,466 5,477 City Office REIT, Inc. 45,897 15,497 Corporate Office Properties Trust 401,992 20,877 Cousins Properties, Inc. 527,979 24,235 Douglas Emmett, Inc. 380,005 12,513 Easterly Government Properties, Inc. 178,561 15,085 Equity Commonwealth 376,672 12,667 Franklin Street Properties Corp. 34,581 14,501 Highwoods Properties, Inc. 405,738 17,680 Hudson Pacific Properties, Inc. 172,026 13,647 JBG SMITH Properties 259,020 14,500 Kilroy Realty Corp. 560,715 6,696 Office Properties Income Trust 89,392 7,809 Orion Office REIT, Inc. 66,689 22,728 Paramount Group, Inc. 135,004 17,012 Piedmont Office Realty Trust, Inc., Class A 156,000 2,438 Postal Realty Trust, Inc., Class A 35,424 8,867 SL Green Realty Corp. 298,983 10,926 Veris Residential, Inc. (a) 174,051 22,208 Vornado Realty Trust 462,149 --------------- 9,234,135 --------------- RESIDENTIAL REITS -- 17.5% 42,316 American Homes 4 Rent, Class A 1,275,404 20,670 Apartment Income REIT Corp. 709,188 20,905 Apartment Investment and Management Co., Class A 148,844 19,285 AvalonBay Communities, Inc. 3,114,913 528 Bluerock Homes Trust, Inc. (a) 11,252 1,644 BRT Apartments Corp. 32,288 14,687 Camden Property Trust 1,643,181 2,077 Centerspace 121,857 Page 34 See Notes to Financial Statements FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) RESIDENTIAL REITS (CONTINUED) 1,817 Clipper Realty, Inc. $ 11,629 12,064 Elme Communities 214,739 24,118 Equity LifeStyle Properties, Inc. 1,558,023 46,891 Equity Residential 2,766,569 8,928 Essex Property Trust, Inc. 1,892,022 30,859 Independence Realty Trust, Inc. 520,283 80,075 Invitation Homes, Inc. 2,373,423 15,921 Mid-America Apartment Communities, Inc. 2,499,438 3,135 NexPoint Residential Trust, Inc. 136,435 17,079 Sun Communities, Inc. 2,442,297 42,186 UDR, Inc. 1,633,864 7,147 UMH Properties, Inc. 115,067 --------------- 23,220,716 --------------- RETAIL REITS -- 16.9% 13,090 Acadia Realty Trust 187,842 12,211 Agree Realty Corp. 866,126 295 Alexander's, Inc. 64,918 41,347 Brixmor Property Group, Inc. 937,337 3,381 CBL & Associates Properties, Inc. 78,033 10,075 Federal Realty Investment Trust 1,017,978 5,862 Getty Realty Corp. 198,429 9,295 InvenTrust Properties Corp. 220,013 85,261 Kimco Realty Corp. 1,805,828 30,205 Kite Realty Group Trust 635,815 29,609 Macerich (The) Co. 333,397 24,640 National Retail Properties, Inc. 1,127,526 18,503 Necessity Retail REIT (The), Inc. 109,723 7,566 NETSTREIT Corp. 138,685 16,145 Phillips Edison & Co., Inc. 514,057 86,459 Realty Income Corp. 5,484,094 21,233 Regency Centers Corp. 1,327,063 17,168 Retail Opportunity Investments Corp. 258,035 11,752 RPT Realty 117,990 1,779 Saul Centers, Inc. 72,370 45,073 Simon Property Group, Inc. 5,295,176 25,487 SITE Centers Corp. 348,152 19,255 Spirit Realty Capital, Inc. 768,852 14,384 Tanger Factory Outlet Centers, Inc. 258,049 16,189 Urban Edge Properties 228,103 SHARES DESCRIPTION VALUE -------------------------------------------------------------- RETAIL REITS (CONTINUED) 4,116 Urstadt Biddle Properties, Inc., Class A $ 77,998 6,399 Whitestone REIT 61,686 --------------- 22,533,275 --------------- SPECIALIZED REITS -- 24.9% 30,959 CubeSmart 1,246,100 39,638 Digital Realty Trust, Inc. 3,974,502 10,343 EPR Properties 390,138 12,757 Equinix, Inc. 8,356,218 18,463 Extra Space Storage, Inc. 2,717,384 6,847 Farmland Partners, Inc. 85,314 11,565 Four Corners Property Trust, Inc. 299,880 35,501 Gaming and Leisure Properties, Inc. 1,849,247 4,450 Gladstone Land Corp. 81,658 40,078 Iron Mountain, Inc. 1,997,888 11,716 Life Storage, Inc. 1,154,026 11,650 National Storage Affiliates Trust 420,798 21,793 Public Storage 6,106,181 3,344 Safehold, Inc. 95,705 132,772 VICI Properties, Inc. 4,301,813 --------------- 33,076,852 --------------- TOTAL COMMON STOCKS -- 99.4% 132,334,689 (Cost $175,982,717) --------------- MONEY MARKET FUNDS -- 0.2% 242,944 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.10% (b) 242,944 (Cost $242,944) --------------- TOTAL INVESTMENTS -- 99.6% 132,577,633 (Cost $176,225,661) NET OTHER ASSETS AND LIABILITIES -- 0.4% 520,723 --------------- NET ASSETS -- 100.0% $ 133,098,356 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of December 31, 2022. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 132,334,689 $ 132,334,689 $ -- $ -- Money Market Funds............................ 242,944 242,944 -- -- ---------------------------------------------------------------- Total Investments............................. $ 132,577,633 $ 132,577,633 $ -- $ -- ================================================================ * See Portfolio of Investments for Sub-industry breakout. See Notes to Financial Statements Page 35 FIRST TRUST WATER ETF (FIW) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 2.3% 1,874,221 Primo Water Corp. $ 29,125,394 --------------- BUILDING PRODUCTS -- 8.2% 763,466 A.O. Smith Corp. 43,700,794 362,967 Advanced Drainage Systems, Inc. 29,752,405 1,339,409 Zurn Elkay Water Solutions Corp. 28,328,500 --------------- 101,781,699 --------------- CHEMICALS -- 3.5% 300,646 Ecolab, Inc. 43,762,032 --------------- COMMERCIAL SERVICES & SUPPLIES -- 5.1% 382,792 Montrose Environmental Group, Inc. (a) 16,992,137 317,340 Tetra Tech, Inc. 46,074,595 --------------- 63,066,732 --------------- CONSTRUCTION & ENGINEERING -- 10.5% 589,171 AECOM 50,038,293 778,687 Stantec, Inc. 37,330,255 133,446 Valmont Industries, Inc. 44,126,589 --------------- 131,495,137 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.4% 260,082 Badger Meter, Inc. 28,356,740 517,598 Itron, Inc. (a) 26,216,339 --------------- 54,573,079 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.6% 141,690 IDEXX Laboratories, Inc. (a) 57,803,852 --------------- LIFE SCIENCES TOOLS & SERVICES -- 8.5% 384,052 Agilent Technologies, Inc. 57,473,382 182,486 Danaher Corp. 48,435,434 --------------- 105,908,816 --------------- MACHINERY -- 27.3% 670,970 Energy Recovery, Inc. (a) 13,748,175 1,053,047 Evoqua Water Technologies Corp. (a) 41,700,661 808,246 Flowserve Corp. 24,796,987 283,562 Franklin Electric Co., Inc. 22,614,070 244,792 IDEX Corp. 55,893,357 95,983 Lindsay Corp. 15,630,832 389,856 Mueller Industries, Inc. 23,001,504 1,364,542 Mueller Water Products, Inc., Class A 14,682,472 968,486 Pentair PLC 43,562,500 177,790 Watts Water Technologies, Inc., Class A 25,998,232 540,666 Xylem, Inc. 59,781,440 --------------- 341,410,230 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES -- 1.6% 3,143,526 Algonquin Power & Utilities Corp. (b) $ 20,495,790 --------------- SOFTWARE -- 4.2% 122,349 Roper Technologies, Inc. 52,865,779 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 1,044,856 Core & Main, Inc., Class A (a) 20,176,169 --------------- WATER UTILITIES -- 18.1% 296,823 American States Water Co. 27,470,968 331,793 American Water Works Co., Inc. 50,571,889 420,762 California Water Service Group 25,515,008 3,946,677 Cia de Saneamento Basico do Estado de Sao Paulo, ADR 42,071,577 1,002,128 Essential Utilities, Inc. 47,831,569 173,394 Middlesex Water Co. 13,640,906 239,378 SJW Group 19,435,100 --------------- 226,537,017 --------------- TOTAL COMMON STOCKS -- 99.9% 1,249,001,726 (Cost $1,199,328,691) --------------- MONEY MARKET FUNDS -- 1.5% 17,779,500 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 4.14% (c) (d) 17,779,500 436,683 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.10% (c) 436,683 --------------- TOTAL MONEY MARKET FUNDS -- 1.5% 18,216,183 (Cost $18,216,183) --------------- TOTAL INVESTMENTS -- 101.4% 1,267,217,909 (Cost $1,217,544,874) NET OTHER ASSETS AND LIABILITIES -- (1.4)% (17,436,835) --------------- NET ASSETS -- 100.0% $ 1,249,781,074 =============== (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 $17,173,680 and the total value of the collateral held by the Fund is $17,779,500. (c) Rate shown reflects yield as of December 31, 2022. (d) This security serves as collateral for securities on loan. ADR - American Depositary Receipt Page 36 See Notes to Financial Statements FIRST TRUST WATER ETF (FIW) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 --------------------------------- 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) $ 17,173,680 Non-cash Collateral(2) (17,173,680) --------------- 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 December 31, 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. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 1,249,001,726 $ 1,249,001,726 $ -- $ -- Money Market Funds............................ 18,216,183 18,216,183 -- -- ---------------------------------------------------------------- Total Investments............................. $ 1,267,217,909 $ 1,267,217,909 $ -- $ -- ================================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 37 FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.8% GAS UTILITIES -- 1.7% 239,221 National Fuel Gas Co. $ 15,142,689 --------------- OIL, GAS & CONSUMABLE FUELS -- 98.1% 260,929 Amplify Energy Corp. (a) 2,293,566 729,033 Antero Resources Corp. (a) 22,592,733 599,495 APA Corp. 27,984,427 412,310 Callon Petroleum Co. (a) 15,292,578 243,534 Chesapeake Energy Corp. 22,982,304 132,196 Chord Energy Corp. 18,085,735 203,131 Civitas Resources, Inc. 11,767,379 829,205 CNX Resources Corp. (a) 13,963,812 902,654 Comstock Resources, Inc. 12,375,386 279,878 ConocoPhillips 33,025,604 980,508 Coterra Energy, Inc. 24,091,082 205,031 Crescent Energy, Inc., Class A (b) 2,458,322 2,687,868 Crescent Point Energy Corp. 19,218,256 1,119,954 DCP Midstream, L.P. (c) 43,443,016 462,452 Devon Energy Corp. 28,445,423 209,213 Diamondback Energy, Inc. 28,616,154 500,114 Earthstone Energy, Inc., Class A (a) (b) 7,116,622 658,922 Enerplus Corp. 11,629,973 233,407 EOG Resources, Inc. 30,230,875 679,239 EQT Corp. 22,978,655 199,217 Evolution Petroleum Corp. 1,504,088 88,816 Gulfport Energy Corp. (a) 6,540,410 210,180 Hess Corp. 29,807,728 1,410,788 Hess Midstream, L.P., Class A (b) (c) (d) 42,210,777 1,624,429 Kosmos Energy Ltd. (a) 10,331,368 146,669 Laredo Petroleum, Inc. (a) 7,541,720 579,886 Magnolia Oil & Gas Corp., Class A 13,598,327 963,981 Marathon Oil Corp. 26,094,966 358,128 Matador Resources Co. 20,499,247 411,954 Murphy Oil Corp. 17,718,142 277,059 Northern Oil and Gas, Inc. 8,538,958 474,410 Obsidian Energy Ltd. (a) 3,150,082 487,088 Occidental Petroleum Corp. 30,681,673 464,950 Ovintiv, Inc. 23,577,614 300,386 PDC Energy, Inc. 19,068,503 1,275,878 Permian Resources Corp. 11,993,253 137,320 Pioneer Natural Resources Co. 31,362,515 798,239 Range Resources Corp. 19,971,940 99,176 Ranger Oil Corp., Class A 4,009,686 22,157 Riley Exploration Permian, Inc. 652,081 247,116 SandRidge Energy, Inc. (a) 4,208,385 165,037 SilverBow Resources, Inc. (a) (b) 4,667,246 501,153 SM Energy Co. 17,455,159 3,538,371 Southwestern Energy Co. (a) 20,699,470 439,798 Talos Energy, Inc. (a) 8,303,386 4,283,496 Tellurian, Inc. (a) (b) 7,196,273 910,220 Vermilion Energy, Inc. 16,110,894 943,439 W&T Offshore, Inc. (a) 5,264,390 SHARES DESCRIPTION VALUE -------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 1,574,657 Western Midstream Partners, L.P. (c) $ 42,279,540 742,434 Woodside Energy Group Ltd., ADR (b) 17,974,327 --------------- 871,604,050 --------------- TOTAL COMMON STOCKS -- 99.8% 886,746,739 (Cost $849,721,341) --------------- MONEY MARKET FUNDS -- 6.8% 58,869,783 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 4.14% (e) (f) 58,869,783 1,437,529 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.10% (e) 1,437,529 --------------- TOTAL MONEY MARKET FUNDS -- 6.8% 60,307,312 (Cost $60,307,312) --------------- TOTAL INVESTMENTS -- 106.6% 947,054,051 (Cost $910,028,653) NET OTHER ASSETS AND LIABILITIES -- (6.6)% (58,910,353) --------------- NET ASSETS -- 100.0% $ 888,143,698 =============== (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 $57,517,216 and the total value of the collateral held by the Fund is $58,869,783. (c) Security is a Master Limited Partnership ("MLP"). (d) This security is taxed as a "C" corporation for federal income tax purposes. (e) Rate shown reflects yield as of December 31, 2022. (f) This security serves as collateral for securities on loan. ADR - American Depositary Receipt Page 38 See Notes to Financial Statements FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 --------------------------------- 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) $ 57,517,216 Non-cash Collateral(2) (57,517,216) --------------- 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 December 31, 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. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022, is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 886,746,739 $ 886,746,739 $ -- $ -- Money Market Funds............................ 60,307,312 60,307,312 -- -- ---------------------------------------------------------------- Total Investments............................. $ 947,054,051 $ 947,054,051 $ -- $ -- ================================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 39 FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AIR FREIGHT & LOGISTICS -- 0.8% 21,355 ZTO Express Cayman, Inc., ADR $ 573,809 --------------- AUTOMOBILES -- 5.6% 70,793 Li Auto, Inc., ADR (a) (b) 1,444,177 243,733 NIO, Inc., ADR (b) 2,376,397 49,526 XPeng, Inc., ADR (b) 492,288 --------------- 4,312,862 --------------- BANKS -- 13.5% 77,244 HDFC Bank Ltd., ADR 5,284,262 229,810 ICICI Bank Ltd., ADR 5,030,541 --------------- 10,314,803 --------------- BIOTECHNOLOGY -- 1.4% 2,794 BeiGene Ltd., ADR (b) 614,512 13,884 Zai Lab Ltd., ADR (b) 426,239 --------------- 1,040,751 --------------- CAPITAL MARKETS -- 0.5% 8,707 Futu Holdings Ltd., ADR (b) 353,939 --------------- CONSUMER FINANCE -- 1.6% 34,122 360 DigiTech, Inc., ADR 694,724 287,836 Lufax Holding Ltd., ADR 558,402 --------------- 1,253,126 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.7% 18,628 New Oriental Education & Technology Group, Inc., ADR (b) 648,627 89,678 TAL Education Group, ADR (b) 632,230 --------------- 1,280,857 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% 31,309 Hollysys Automation Technologies Ltd. 514,407 --------------- ENTERTAINMENT -- 7.2% 30,840 Bilibili, Inc., ADR (a) (b) 730,600 180,261 iQIYI, Inc., ADR (b) 955,383 43,798 NetEase, Inc., ADR 3,181,049 76,373 Tencent Music Entertainment Group, ADR (b) 632,368 --------------- 5,499,400 --------------- HOTELS, RESTAURANTS & LEISURE -- 6.4% 13,986 H World Group Ltd., ADR 593,286 52,457 MakeMyTrip Ltd. (b) 1,446,240 62,764 Melco Resorts & Entertainment Ltd., ADR (b) 721,786 16,757 Trip.com Group Ltd., ADR (b) 576,441 28,256 Yum China Holdings, Inc. 1,544,190 --------------- 4,881,943 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 3.4% 272,759 Azure Power Global Ltd. (a) (b) $ 1,175,591 256,583 ReNew Energy Global PLC, Class A (b) 1,411,207 --------------- 2,586,798 --------------- INTERACTIVE MEDIA & SERVICES -- 7.7% 17,906 Autohome, Inc., ADR 547,924 28,682 Baidu, Inc., ADR (b) 3,280,647 93,271 Hello Group, Inc., ADR 837,574 28,447 Kanzhun Ltd., ADR (b) 579,465 33,587 Weibo Corp., ADR (b) 642,183 --------------- 5,887,793 --------------- INTERNET & DIRECT MARKETING RETAIL -- 22.9% 62,256 Alibaba Group Holding Ltd., ADR (b) 5,484,131 85,935 Dada Nexus Ltd., ADR (b) 598,967 95,332 JD.com, Inc., ADR 5,350,985 66,444 Pinduoduo, Inc., ADR (b) 5,418,508 48,016 Vipshop Holdings Ltd., ADR (b) 654,939 --------------- 17,507,530 --------------- IT SERVICES -- 17.3% 74,773 Chindata Group Holdings Ltd., ADR (b) 595,941 33,671 GDS Holdings Ltd., ADR (a) (b) 694,296 267,867 Infosys Ltd., ADR 4,824,285 177,277 Kingsoft Cloud Holdings Ltd., ADR (b) 678,971 106,861 Vnet Group, Inc., ADR (b) 605,902 608,381 Wipro Ltd., ADR 2,835,055 36,942 WNS (Holdings) Ltd., ADR (b) 2,954,990 --------------- 13,189,440 --------------- MULTILINE RETAIL -- 0.6% 45,332 MINISO Group Holding Ltd., ADR 486,412 --------------- PHARMACEUTICALS -- 4.6% 55,317 Dr. Reddy's Laboratories Ltd., ADR 2,862,655 44,136 HUTCHMED China Ltd., ADR (b) 652,330 --------------- 3,514,985 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.7% 92,048 KE Holdings, Inc., ADR (b) 1,284,990 --------------- ROAD & RAIL -- 0.7% 62,764 Full Truck Alliance Co., Ltd., ADR (b) 502,112 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.0% 9,407 Daqo New Energy Corp., ADR (b) 363,204 10,440 JinkoSolar Holding Co., Ltd., ADR (b) 426,787 --------------- 789,991 --------------- Page 40 See Notes to Financial Statements FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TOBACCO -- 0.7% 232,772 RLX Technology, Inc., ADR (b) $ 535,376 --------------- TOTAL COMMON STOCKS -- 100.0% 76,311,324 (Cost $105,228,415) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 4.5% $ 107,325 Bank of America Corp., 4.25% (c), dated 12/30/22, due 01/03/23, with a maturity value of $107,338. Collateralized by U.S. Treasury Securities, interest rates of 0.75% to 4.50%, due 11/15/25 to 03/31/26. The value of the collateral including accrued interest is $109,472. (d) 107,325 1,681,943 Citigroup, Inc., 4.25% (c), dated 12/30/22, due 01/03/23, with a maturity value of $1,682,142. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 6.25%, due 06/01/23 to 02/15/52. The value of the collateral including accrued interest is $1,715,582. (d) 1,681,943 1,681,943 JPMorgan Chase & Co., 4.26% (c), dated 12/30/22, due 01/03/23, with a maturity value of $1,682,142. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 0.13%, due 05/15/23 to 12/28/23. The value of the collateral including accrued interest is $1,715,582. (d) 1,681,943 --------------- TOTAL REPURCHASE AGREEMENTS -- 4.5% 3,471,211 (Cost $3,471,211) --------------- TOTAL INVESTMENTS -- 104.5% 79,782,535 (Cost $108,699,626) NET OTHER ASSETS AND LIABILITIES -- (4.5)% (3,457,996) --------------- NET ASSETS -- 100.0% $ 76,324,539 =============== (a) 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 $3,384,088 and the total value of the collateral held by the Fund is $3,471,211. (b) Non-income producing security. (c) Rate shown reflects yield as of December 31, 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) $ 3,384,088 Non-cash Collateral(2) (3,384,088) --------------- 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 December 31, 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) $ 3,471,211 Non-cash Collateral(4) (3,471,211) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 41 FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 76,311,324 $ 76,311,324 $ -- $ -- Repurchase Agreements......................... 3,471,211 -- 3,471,211 -- ---------------------------------------------------------------- Total Investments............................. $ 79,782,535 $ 76,311,324 $ 3,471,211 $ -- ================================================================ * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 92.5% 20,120 1st Source Corp. $ 1,068,171 25,032 Amalgamated Financial Corp. 576,737 27,560 Amerant Bancorp, Inc. 739,710 56,593 Ameris Bancorp 2,667,794 13,488 Arrow Financial Corp. 457,243 60,969 Atlantic Union Bankshares Corp. 2,142,451 26,824 BancFirst Corp. 2,365,340 45,681 Bancorp (The), Inc. (a) 1,296,427 7,369 Bank First Corp. (b) 683,991 13,079 Bank of Marin Bancorp 430,038 96,545 Bank OZK 3,867,593 6,293 Bankwell Financial Group, Inc. 185,203 27,901 Banner Corp. 1,763,343 10,595 BayCom Corp. 201,093 13,784 BCB Bancorp, Inc. 247,974 54,882 BOK Financial Corp. 5,696,203 62,707 Brookline Bancorp, Inc. 887,304 20,489 Business First Bancshares, Inc. 453,626 6,363 Cambridge Bancorp 528,511 11,884 Camden National Corp. 495,444 13,842 Capital City Bank Group, Inc. 449,865 17,884 Capstar Financial Holdings, Inc. 315,831 19,674 Carter Bankshares, Inc. (a) 326,392 60,723 Cathay General Bancorp 2,476,891 12,124 City Holding Co. 1,128,623 12,835 Civista Bancshares, Inc. 282,498 17,236 CNB Financial Corp. 410,044 10,578 Coastal Financial Corp. (a) 502,667 7,798 Codorus Valley Bancorp, Inc. 185,592 14,397 Colony Bankcorp, Inc. (b) 182,698 64,179 Columbia Banking System, Inc. 1,933,713 102,265 Commerce Bancshares, Inc. 6,961,179 14,622 Community Trust Bancorp, Inc. 671,588 32,024 ConnectOne Bancorp, Inc. 775,301 39,675 CrossFirst Bankshares, Inc. (a) 492,367 114,089 CVB Financial Corp. 2,937,792 31,476 Dime Community Bancshares, Inc. 1,001,881 26,047 Eagle Bancorp, Inc. 1,147,891 30,376 Enterprise Financial Services Corp. 1,487,209 13,005 Equity Bancshares, Inc., Class A 424,873 6,652 Esquire Financial Holdings, Inc. 287,766 11,102 Farmers & Merchants Bancorp, Inc. (b) 301,752 27,792 Farmers National Banc Corp. 392,423 12,513 Financial Institutions, Inc. 304,817 29,140 First Bancorp 1,248,358 19,607 First Bancshares (The), Inc. 627,620 45,073 First Busey Corp. 1,114,205 6,881 First Business Financial Services, Inc. 251,501 13,239 First Community Bankshares, Inc. 448,802 77,393 First Financial Bancorp 1,875,232 116,399 First Financial Bankshares, Inc. 4,004,126 9,810 First Financial Corp. 452,045 46,014 First Foundation, Inc. 659,381 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 104,190 First Hawaiian, Inc. $ 2,713,108 7,540 First Internet Bancorp 183,071 85,231 First Interstate BancSystem, Inc., Class A 3,294,178 48,607 First Merchants Corp. 1,998,234 16,698 First Mid Bancshares, Inc. 535,672 18,489 First of Long Island (The) Corp. 332,802 14,072 Five Star Bancorp 383,321 24,324 Flushing Financial Corp. 471,399 136,681 Fulton Financial Corp. 2,300,341 24,061 German American Bancorp, Inc. 897,475 9,966 Great Southern Bancorp, Inc. 592,877 69,929 Hancock Whitney Corp. 3,383,864 24,876 Hanmi Financial Corp. 615,681 40,138 HarborOne Bancorp, Inc. 557,918 34,637 Heartland Financial USA, Inc. 1,614,777 49,550 Heritage Commerce Corp. 644,150 28,645 Heritage Financial Corp. 877,683 15,278 HomeStreet, Inc. 421,367 12,755 HomeTrust Bancshares, Inc. 308,288 97,501 Hope Bancorp, Inc. 1,248,988 35,853 Horizon Bancorp, Inc. 540,663 54,437 Independent Bank Corp. 3,555,949 33,616 Independent Bank Group, Inc. 2,019,649 50,688 International Bancshares Corp. 2,319,483 20,685 Lakeland Financial Corp. 1,509,384 12,946 Mercantile Bank Corp. 433,432 20,653 Metrocity Bankshares, Inc. 446,724 12,963 Mid Penn Bancorp, Inc. 388,501 18,077 Midland States Bancorp, Inc. 481,210 12,751 MidWestOne Financial Group, Inc. 404,844 10,290 MVB Financial Corp. 226,586 34,957 NBT Bancorp, Inc. 1,517,833 6,079 Northeast Bank 255,926 4,638 Northrim BanCorp, Inc. 253,096 103,629 Northwest Bancshares, Inc. 1,448,733 48,263 OceanFirst Financial Corp. 1,025,589 239,008 Old National Bancorp 4,297,364 36,373 Old Second Bancorp, Inc. 583,423 25,033 Origin Bancorp, Inc. 918,711 77,533 Pacific Premier Bancorp, Inc. 2,446,942 96,136 PacWest Bancorp 2,206,321 23,229 Pathward Financial, Inc. 1,000,008 12,077 PCB Bancorp 213,642 14,624 Peapack-Gladstone Financial Corp. 544,305 23,071 Peoples Bancorp, Inc. 651,756 62,391 Pinnacle Financial Partners, Inc. 4,579,499 11,716 Preferred Bank 874,248 29,024 Premier Financial Corp. 782,777 13,778 QCR Holdings, Inc. 683,940 15,523 RBB Bancorp 323,655 45,659 Renasant Corp. 1,716,322 14,351 Republic Bancorp, Inc., Class A 587,243 31,827 S&T Bancorp, Inc. 1,087,847 See Notes to Financial Statements Page 43 FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 36,431 Sandy Spring Bancorp, Inc. $ 1,283,464 50,169 Seacoast Banking Corp. of Florida 1,564,771 16,204 Shore Bancshares, Inc. 282,436 12,312 Sierra Bancorp 261,507 103,611 Simmons First National Corp., Class A 2,235,925 13,781 SmartFinancial, Inc. 378,978 13,871 South Plains Financial, Inc. 381,869 6,526 Southern First Bancshares, Inc. (a) 298,565 26,199 Southside Bancshares, Inc. 942,902 61,770 SouthState Corp. 4,716,757 42,677 Stellar Bancorp, Inc. 1,257,264 23,875 Stock Yards Bancorp, Inc. 1,551,398 40,722 Texas Capital Bancshares, Inc. (a) 2,455,944 11,044 Third Coast Bancshares, Inc. (a) (b) 203,541 59,439 TowneBank 1,833,099 27,196 TriCo Bancshares 1,386,724 19,974 Triumph Financial, Inc. (a) 976,129 49,742 Trustmark Corp. 1,736,493 39,424 UMB Financial Corp. 3,292,693 109,888 United Bankshares, Inc. 4,449,365 86,638 United Community Banks, Inc. 2,928,364 8,605 Unity Bancorp, Inc. 235,175 23,863 Univest Financial Corp. 623,540 44,071 Veritex Holdings, Inc. 1,237,514 53,297 Washington Federal, Inc. 1,788,114 14,018 Washington Trust Bancorp, Inc. 661,369 48,274 WesBanco, Inc. 1,785,173 13,578 West BanCorp, Inc. 346,918 21,960 Westamerica BanCorp 1,295,860 49,585 Wintrust Financial Corp. 4,190,924 --------------- 173,100,693 --------------- IT SERVICES -- 0.3% 11,148 Cass Information Systems, Inc. 510,801 --------------- THRIFTS & MORTGAGE FINANCE -- 7.1% 22,751 Blue Foundry Bancorp (a) 292,350 22,515 Bridgewater Bancshares, Inc. (a) 399,416 112,200 Capitol Federal Financial, Inc. 970,530 89,416 Columbia Financial, Inc. (a) 1,933,174 6,948 Greene County Bancorp, Inc. (b) 398,954 1,752 Hingham Institution for Savings 483,482 55,140 Kearny Financial Corp. 559,671 35,177 Merchants Bancorp 855,504 38,982 Northfield Bancorp, Inc. 613,187 7,531 Southern Missouri Bancorp, Inc. 345,146 228,824 TFS Financial Corp. 3,297,354 15,547 TrustCo Bank Corp. 584,412 18,108 Waterstone Financial, Inc. 312,182 50,258 WSFS Financial Corp. 2,278,698 --------------- 13,324,060 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $ 186,935,554 (Cost $199,794,611) --------------- MONEY MARKET FUNDS -- 0.6% 1,192,450 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 4.14% (c) (d) 1,192,450 (Cost $1,192,450) --------------- TOTAL INVESTMENTS -- 100.5% 188,128,004 (Cost $200,987,061) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (988,263) --------------- NET ASSETS -- 100.0% $ 187,139,741 =============== (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 $1,156,019 and the total value of the collateral held by the Fund is $1,192,450. (c) Rate shown reflects yield as of December 31, 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) $ 1,156,019 Non-cash Collateral(2) (1,156,019) --------------- 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 December 31, 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. Page 44 See Notes to Financial Statements FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2022 PRICES INPUTS INPUTS ---------------------------------------------------------------- Common Stocks*................................ $ 186,935,554 $ 186,935,554 $ -- $ -- Money Market Funds............................ 1,192,450 1,192,450 -- -- ---------------------------------------------------------------- Total Investments............................. $ 188,128,004 $ 188,128,004 $ -- $ -- ================================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 45 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2022 FIRST TRUST FIRST TRUST NASDAQ-100 FIRST TRUST NASDAQ-100 EQUAL NASDAQ-100- EX-TECHNOLOGY WEIGHTED TECHNOLOGY SECTOR SECTOR INDEX FUND INDEX FUND INDEX FUND (QQEW) (QTEC) (QQXT) ----------------- ------------------ ----------------- ASSETS: Investments, at value............................................... $ 1,115,975,073 $ 1,392,447,866 $ 137,534,333 Cash................................................................ 535,365 1,906,939 -- Receivables: Dividends..................................................... 788,018 414,052 125,890 Securities lending income..................................... 119,128 28,874 20,844 Capital shares sold........................................... -- -- -- Investment securities sold.................................... -- 15,816,477 -- Reclaims...................................................... -- -- -- Prepaid expenses.................................................... 8,414 7,900 922 --------------- ---------------- --------------- Total Assets.................................................. 1,117,425,998 1,410,622,108 137,681,989 --------------- ---------------- --------------- LIABILITIES: Payables: Collateral for securities on loan............................. 29,948,691 34,396,338 3,862,754 Investment advisory fees...................................... 395,563 494,421 43,135 Licensing fees................................................ 284,284 359,686 32,657 Shareholder reporting fees.................................... 84,640 131,886 9,190 Audit and tax fees............................................ 29,270 30,773 28,606 Investment securities purchased............................... -- -- -- Capital shares redeemed....................................... -- 15,827,752 -- Trustees' fees................................................ -- 90 31 Other liabilities................................................... 190,488 243,679 23,266 --------------- ---------------- --------------- Total Liabilities............................................. 30,932,936 51,484,625 3,999,639 --------------- ---------------- --------------- NET ASSETS.......................................................... $ 1,086,493,062 $ 1,359,137,483 $ 133,682,350 =============== ================ =============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,262,483,426 $ 2,112,338,576 $ 141,246,634 Par value........................................................... 122,500 129,000 17,500 Accumulated distributable earnings (loss)........................... (176,112,864) (753,330,093) (7,581,784) --------------- ---------------- --------------- NET ASSETS.......................................................... $ 1,086,493,062 $ 1,359,137,483 $ 133,682,350 =============== ================ =============== NET ASSET VALUE, per share.......................................... $ 88.69 $ 105.36 $ 76.39 =============== ================ =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 12,250,002 12,900,002 1,750,002 =============== ================ =============== Investments, at cost................................................ $ 1,141,677,348 $ 1,717,031,133 $ 126,807,108 =============== ================ =============== Securities on loan, at value........................................ $ 29,490,464 $ 33,714,931 $ 3,809,872 =============== ================ =============== Page 46 See Notes to Financial Statements FIRST TRUST FIRST TRUST NASDAQ(R) FIRST TRUST NASDAQ(R) ABA CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND (QCLN) (FRI) (FIW) (FCG) (FNI) (QABA) ---------------- ------------------ ----------------- ----------------- ------------------ ------------------ $1,703,578,350 $ 132,577,633 $ 1,267,217,909 $ 947,054,051 $ 79,782,535 $ 188,128,004 209,174 -- -- -- 12,929 38,977 459,220 649,948 1,106,060 641,770 5,393 315,632 540,837 -- 15,083 109,851 2,445 1,954 2,354,797 -- -- 10,963,708 -- 10,605,088 9,427,620 -- -- -- 2,022,268 -- 472,848 -- 169,819 -- -- -- 18,910 1,334 10,548 9,101 652 699 -------------- ---------------- --------------- --------------- ---------------- ---------------- 1,717,061,756 133,228,915 1,268,519,419 958,778,481 81,826,222 199,090,354 -------------- ---------------- --------------- --------------- ---------------- ---------------- 130,095,703 -- 17,779,500 58,869,783 3,471,211 1,192,450 613,176 25,425 434,418 308,425 21,705 65,552 483,322 16,861 156,686 242,774 17,449 32,508 259,223 23,036 128,915 72,883 12,051 9,561 30,147 34,573 29,351 30,755 30,560 28,564 2,354,717 -- -- 10,945,211 -- 10,595,168 9,427,756 -- -- -- 1,929,876 -- -- 50 3 47 32 29 293,816 30,614 209,472 164,905 18,799 26,781 -------------- ---------------- --------------- --------------- ---------------- ---------------- 143,557,860 130,559 18,738,345 70,634,783 5,501,683 11,950,613 -------------- ---------------- --------------- --------------- ---------------- ---------------- $1,573,503,896 $ 133,098,356 $ 1,249,781,074 $ 888,143,698 $ 76,324,539 $ 187,139,741 ============== ================ =============== =============== ================ ================ $2,477,093,361 $ 178,762,407 $ 1,229,292,994 $ 1,396,184,659 $ 201,252,148 $ 215,086,972 333,500 55,500 157,500 362,484 20,000 35,500 (903,922,965) (45,719,551) 20,330,580 (508,403,445) (124,947,609) (27,982,731) -------------- ---------------- --------------- --------------- ---------------- ---------------- $1,573,503,896 $ 133,098,356 $ 1,249,781,074 $ 888,143,698 $ 76,324,539 $ 187,139,741 ============== ================ =============== =============== ================ ================ $ 47.18 $ 23.98 $ 79.35 $ 24.50 $ 38.16 $ 52.72 ============== ================ =============== =============== ================ ================ 33,350,002 5,550,002 15,750,002 36,248,365 2,000,002 3,550,002 ============== ================ =============== =============== ================ ================ $2,207,889,309 $ 176,225,661 $ 1,217,544,874 $ 910,028,653 $ 108,699,626 $ 200,987,061 ============== ================ =============== =============== ================ ================ $ 129,347,557 $ -- $ 17,173,680 $ 57,517,216 $ 3,384,088 $ 1,156,019 ============== ================ =============== =============== ================ ================ See Notes to Financial Statements Page 47 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2022 FIRST TRUST FIRST TRUST NASDAQ-100 FIRST TRUST NASDAQ-100 EQUAL NASDAQ-100- EX-TECHNOLOGY WEIGHTED TECHNOLOGY SECTOR SECTOR INDEX FUND INDEX FUND INDEX FUND (QQEW) (QTEC) (QQXT) ----------------- ------------------ ----------------- INVESTMENT INCOME: Dividends........................................................... $ 12,134,696 $ 14,642,847 $ 1,575,232 Securities lending income (net of fees)............................. 1,403,197 28,875 243,508 Foreign withholding tax............................................. (51,808) (216,864) -- --------------- ---------------- --------------- Total investment income....................................... 13,486,085 14,454,858 1,818,740 --------------- ---------------- --------------- EXPENSES: Investment advisory fees............................................ 4,515,121 8,348,846 496,662 Licensing fees...................................................... 1,128,780 2,087,212 124,166 Accounting and administration fees.................................. 552,715 916,609 63,380 Shareholder reporting fees.......................................... 133,804 214,943 29,313 Custodian fees...................................................... 75,072 146,716 10,291 Transfer agent fees................................................. 53,172 77,180 6,208 Audit and tax fees.................................................. 29,471 32,458 28,117 Legal fees.......................................................... 25,864 38,727 2,867 Listing fees........................................................ 10,014 10,013 10,013 Trustees' fees and expenses......................................... 7,738 8,354 7,202 Registration and filing fees........................................ (217) -- -- Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... 19,819 45,298 3,092 --------------- ---------------- --------------- Total expenses................................................ 6,551,353 11,926,356 781,311 Less fees waived and expenses reimbursed by the investment advisor.................................................... -- -- (36,314) --------------- ---------------- --------------- Net expenses.................................................. 6,551,353 11,926,356 744,997 --------------- ---------------- --------------- NET INVESTMENT INCOME (LOSS)........................................ 6,934,732 2,528,502 1,073,743 --------------- ---------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (99,073,388) (335,757,605) (4,845,889) In-kind redemptions........................................... 67,239,083 366,217,007 4,903,732 Foreign currency transactions................................. -- -- -- --------------- ---------------- --------------- Net realized gain (loss)............................................ (31,834,305) 30,459,402 57,843 --------------- ---------------- --------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... (315,062,565) (1,355,869,794) (20,127,544) Foreign currency translation.................................. -- -- -- --------------- ---------------- --------------- Net change in unrealized appreciation (depreciation)................ (315,062,565) (1,355,869,794) (20,127,544) --------------- ---------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (346,896,870) (1,325,410,392) (20,069,701) --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (339,962,138) $ (1,322,881,890) $ (18,995,958) =============== ================ =============== Page 48 See Notes to Financial Statements FIRST TRUST FIRST TRUST NASDAQ(R) FIRST TRUST NASDAQ(R) ABA CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND (QCLN) (FRI) (FIW) (FCG) (FNI) (QABA) ---------------- ------------------ ----------------- ----------------- ------------------ ------------------ $ 8,367,374 $ 4,625,150 $ 15,584,285 $ 26,202,223 $ 709,711 $ 3,206,194 7,021,773 -- 94,744 640,655 66,685 10,149 (986,169) -- (470,711) (96,799) (48,799) -- -------------- ---------------- --------------- --------------- ---------------- ---------------- 14,402,978 4,625,150 15,208,318 26,746,079 727,597 3,216,343 -------------- ---------------- --------------- --------------- ---------------- ---------------- 8,486,416 592,245 5,087,181 3,123,097 391,245 474,566 2,121,604 157,936 635,897 780,774 78,249 106,778 949,454 100,832 610,076 391,403 50,729 62,480 339,031 50,914 206,805 116,105 28,695 27,476 124,159 25,406 95,773 48,734 7,595 16,138 78,040 9,871 56,795 38,920 4,891 5,932 31,208 34,126 29,635 30,433 30,052 28,060 48,611 4,502 29,801 21,716 2,063 (1,122) 10,013 9,812 12,342 12,418 12,358 10,021 8,286 7,258 7,822 7,637 7,185 7,199 (2,198) 24 1,499 (1,139) -- 94 -- -- -- 110,513 -- -- 35,963 3,417 20,458 9,392 2,657 2,192 -------------- ---------------- --------------- --------------- ---------------- ---------------- 12,230,587 996,343 6,794,084 4,690,003 615,719 739,814 -- (9,263) -- -- (28,836) (27,964) -------------- ---------------- --------------- --------------- ---------------- ---------------- 12,230,587 987,080 6,794,084 4,690,003 586,883 711,850 -------------- ---------------- --------------- --------------- ---------------- ---------------- 2,172,391 3,638,070 8,414,234 22,056,076 140,714 2,504,493 -------------- ---------------- --------------- --------------- ---------------- ---------------- (253,575,859) (3,197,596) (13,876,815) (28,004,604) (13,372,050) (3,447,713) 142,159,697 1,958,725 79,528,640 169,228,658 2,114,964 3,044,787 -- -- -- (2,032) -- -- -------------- ---------------- --------------- --------------- ---------------- ---------------- (111,416,162) (1,238,871) 65,651,825 141,222,022 (11,257,086) (402,926) -------------- ---------------- --------------- --------------- ---------------- ---------------- (703,458,148) (67,166,910) (333,862,573) (5,986,820) (15,786,295) (18,078,803) -- -- -- 131 -- -- -------------- ---------------- --------------- --------------- ---------------- ---------------- (703,458,148) (67,166,910) (333,862,573) (5,986,689) (15,786,295) (18,078,803) -------------- ---------------- --------------- --------------- ---------------- ---------------- (814,874,310) (68,405,781) (268,210,748) 135,235,333 (27,043,381) (18,481,729) -------------- ---------------- --------------- --------------- ---------------- ---------------- $ (812,701,919) $ (64,767,711) $ (259,796,514) $ 157,291,409 $ (26,902,667) $ (15,977,236) ============== ================ =============== =============== ================ ================ See Notes to Financial Statements Page 49 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS FIRST TRUST FIRST TRUST NASDAQ-100 NASDAQ-100- EQUAL WEIGHTED TECHNOLOGY SECTOR INDEX FUND INDEX FUND (QQEW) (QTEC) -------------------------------- -------------------------------- Year Ended Year Ended Year Ended Year Ended 12/31/2022 12/31/2021 12/31/2022 12/31/2021 --------------- --------------- --------------- --------------- OPERATIONS: Net investment income (loss)............................. $ 6,934,732 $ 3,239,829 $ 2,528,502 $ 496,531 Net realized gain (loss)................................. (31,834,305) 182,704,258 30,459,402 794,536,396 Net change in unrealized appreciation (depreciation)..... (315,062,565) 16,405,196 (1,355,869,794) 57,064,938 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations....................................... (339,962,138) 202,349,283 (1,322,881,890) 852,097,865 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations.................................... (6,866,581) (3,291,356) (2,234,346) (661,890) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................ 303,095,848 456,270,076 358,662,021 1,499,345,517 Cost of shares redeemed.................................. (261,188,326) (439,183,900) (1,724,215,364) (1,650,885,696) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions......................... 41,907,522 17,086,176 (1,365,553,343) (151,540,179) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets.................. (304,921,197) 216,144,103 (2,690,669,579) 699,895,796 NET ASSETS: Beginning of period...................................... 1,391,414,259 1,175,270,156 4,049,807,062 3,349,911,266 --------------- --------------- --------------- --------------- End of period............................................ $ 1,086,493,062 $ 1,391,414,259 $ 1,359,137,483 $ 4,049,807,062 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.................. 11,750,002 11,650,002 23,100,002 24,250,002 Shares sold.............................................. 3,250,000 4,100,000 2,600,000 9,500,000 Shares redeemed.......................................... (2,750,000) (4,000,000) (12,800,000) (10,650,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period........................ 12,250,002 11,750,002 12,900,002 23,100,002 =============== =============== =============== =============== Page 50 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST NASDAQ-100 NASDAQ(R) S&P FIRST TRUST EX-TECHNOLOGY SECTOR CLEAN EDGE(R) GREEN ENERGY REIT WATER INDEX FUND INDEX FUND INDEX FUND ETF (QQXT) (QCLN) (FRI) (FIW) ----------------------------- ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 12/31/2022 12/31/2021 12/31/2022 12/31/2021 12/31/2022 12/31/2021 12/31/2022 12/31/2021 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 1,073,743 $ 578,162 $ 2,172,391 $ (6,701,443) $ 3,638,070 $ 2,920,372 $ 8,414,234 $ 5,118,233 57,843 17,867,933 (111,416,162) 156,408,842 (1,238,871) 5,009,018 65,651,825 83,216,427 (20,127,544) (2,765,567) (703,458,148) (450,506,660) (67,166,910) 39,250,974 (333,862,573) 200,157,259 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (18,995,958) 15,680,528 (812,701,919) (300,799,261) (64,767,711) 47,180,364 (259,796,514) 288,491,919 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (1,136,087) (515,676) (5,415,781) (275,655) (4,101,541) (2,732,665) (8,373,346) (4,964,311) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 31,623,232 8,843,090 285,231,186 1,748,106,641 79,391,146 152,028,630 125,554,676 802,243,154 (14,943,882) (33,811,304) (717,271,062) (623,172,866) (113,732,649) (34,511,600) (213,394,672) (168,774,018) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 16,679,350 (24,968,214) (432,039,876) 1,124,933,775 (34,341,503) 117,517,030 (87,839,996) 633,469,136 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (3,452,695) (9,803,362) (1,250,157,576) 823,858,859 (103,210,755) 161,964,729 (356,009,856) 916,996,744 137,135,045 146,938,407 2,823,661,472 1,999,802,613 236,309,111 74,344,382 1,605,790,930 688,794,186 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 133,682,350 $ 137,135,045 $1,573,503,896 $2,823,661,472 $ 133,098,356 $ 236,309,111 $1,249,781,074 $1,605,790,930 ============= ============= ============== ============== ============== ============== ============== ============== 1,550,002 1,850,002 41,550,002 28,500,002 7,250,002 3,200,002 16,950,002 9,550,002 400,000 100,000 4,650,000 22,650,000 2,700,000 5,300,000 1,550,000 9,450,000 (200,000) (400,000) (12,850,000) (9,600,000) (4,400,000) (1,250,000) (2,750,000) (2,050,000) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 1,750,002 1,550,002 33,350,002 41,550,002 5,550,002 7,250,002 15,750,002 16,950,002 ============= ============= ============== ============== ============== ============== ============== ============== See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FIRST TRUST FIRST TRUST NATURAL GAS CHINDIA ETF ETF (FCG) (FNI) -------------------------------- -------------------------------- Year Ended Year Ended Year Ended Year Ended 12/31/2022 12/31/2021 12/31/2022 12/31/2021 --------------- --------------- --------------- --------------- OPERATIONS: Net investment income (loss)............................. $ 22,056,076 $ 3,905,504 $ 140,714 $ (73,066) Net realized gain (loss)................................. 141,222,022 80,321,337 (11,257,086) 53,141,145 Net change in unrealized appreciation (depreciation)..... (5,986,689) 30,765,415 (15,786,295) (93,625,547) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations....................................... 157,291,409 114,992,256 (26,902,667) (40,557,468) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations.................................... (25,396,449) (6,273,849) (169,765) -- --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................ 843,634,059 389,376,422 49,922,217 59,830,685 Cost of shares redeemed.................................. (510,610,575) (178,298,282) (53,671,930) (169,075,322) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions......................... 333,023,484 211,078,140 (3,749,713) (109,244,637) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets.................. 464,918,444 319,796,547 (30,822,145) (149,802,105) NET ASSETS: Beginning of period...................................... 423,225,254 103,428,707 107,146,684 256,948,789 --------------- --------------- --------------- --------------- End of period............................................ $ 888,143,698 $ 423,225,254 $ 76,324,539 $ 107,146,684 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.................. 24,648,365 11,748,365 2,250,002 4,350,002 Shares sold.............................................. 33,450,000 24,200,000 1,250,000 900,000 Shares redeemed.......................................... (21,850,000) (11,300,000) (1,500,000) (3,000,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period........................ 36,248,365 24,648,365 2,000,002 2,250,002 =============== =============== =============== =============== Page 52 See Notes to Financial Statements FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) ----------------------------- Year Ended Year Ended 12/31/2022 12/31/2021 ------------- ------------- $ 2,504,493 $ 2,254,086 (402,926) 8,564,425 (18,078,803) 18,576,945 ------------- ------------- (15,977,236) 29,395,456 ------------- ------------- (2,513,482) (2,215,667) ------------- ------------- 136,483,565 41,856,729 (48,799,730) (36,109,870) ------------- ------------- 87,683,835 5,746,859 ------------- ------------- 69,193,117 32,926,648 117,946,624 85,019,976 ------------- ------------- $ 187,139,741 $ 117,946,624 ============= ============= 2,000,002 1,900,002 2,450,000 750,000 (900,000) (650,000) ------------- ------------- 3,550,002 2,000,002 ============= ============= See Notes to Financial Statements Page 53 FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 118.42 $ 100.88 $ 73.78 $ 54.61 $ 57.88 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.60 0.28 0.34 0.36 0.32 Net realized and unrealized gain (loss) (29.74) 17.54 27.11 19.16 (3.29) (a) ------------ ------------ ------------ ------------ ------------ Total from investment operations (29.14) 17.82 27.45 19.52 (2.97) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.59) (0.28) (0.35) (0.35) (0.30) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 88.69 $ 118.42 $ 100.88 $ 73.78 $ 54.61 ============ ============ ============ ============ ============ TOTAL RETURN (b) (24.62)% 17.67% 37.35% 35.78% (5.16)% (a) RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,086,493 $ 1,391,414 $ 1,175,270 $ 907,438 $ 461,464 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% 0.57% 0.58% 0.59% 0.60% Ratio of net expenses to average net assets 0.58% 0.57% 0.58% 0.59% 0.60% Ratio of net investment income (loss) to average net assets 0.61% 0.25% 0.41% 0.56% 0.52% Portfolio turnover rate (c) 33% 23% 28% 29% 27% FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 175.32 $ 138.14 $ 100.08 $ 67.97 $ 71.92 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.18 0.02 0.58 0.70 0.65 Net realized and unrealized gain (loss) (69.98) 37.19 38.09 32.09 (3.98) ------------ ------------ ------------ ------------ ------------ Total from investment operations (69.80) 37.21 38.67 32.79 (3.33) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.03) (0.61) (0.68) (0.62) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 105.36 $ 175.32 $ 138.14 $ 100.08 $ 67.97 ============ ============ ============ ============ ============ TOTAL RETURN (b) (39.81)% 26.94% 38.82% 48.36% (4.70)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,359,137 $ 4,049,807 $ 3,349,911 $ 2,912,388 $ 1,950,669 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.57% 0.56% 0.57% 0.57% 0.57% Ratio of net expenses to average net assets 0.57% 0.56% 0.57% 0.57% 0.57% Ratio of net investment income (loss) to average net assets 0.12% 0.01% 0.50% 0.82% 0.84% Portfolio turnover rate (c) 28% 25% 31% 23% 21% (a) The Fund received a reimbursement from the Advisor in the amount of $22,098 in connection with a trade error, which represents less than $0.01 per share. Since the Advisor reimbursed the Fund, there was no effect on the Fund's total return. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (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 54 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 88.47 $ 79.43 $ 58.39 $ 45.66 $ 48.53 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.66 0.35 0.22 0.20 0.18 Net realized and unrealized gain (loss) (12.04) 9.00 21.04 12.73 (2.88) ------------ ------------ ------------ ------------ ------------ Total from investment operations (11.38) 9.35 21.26 12.93 (2.70) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.70) (0.31) (0.22) (0.20) (0.17) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 76.39 $ 88.47 $ 79.43 $ 58.39 $ 45.66 ============ ============ ============ ============ ============ TOTAL RETURN (a) (12.85)% 11.80% 36.48% 28.35% (5.58)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 133,682 $ 137,135 $ 146,938 $ 102,183 $ 77,618 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.62% 0.62% 0.64% 0.64% Ratio of net expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.86% 0.40% 0.34% 0.38% 0.34% Portfolio turnover rate (b) 35% 25% 35% 31% 26% FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 67.96 $ 70.17 $ 24.91 $ 17.63 $ 20.28 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.07 (0.13) 0.11 0.13 0.12 Net realized and unrealized gain (loss) (20.70) (2.07) 45.36 7.36 (2.59) ------------ ------------ ------------ ------------ ------------ Total from investment operations (20.63) (2.20) 45.47 7.49 (2.47) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.15) (0.01) (0.21) (0.21) (0.11) Return of capital -- -- -- -- (0.07) ------------ ------------ ------------ ------------ ------------ Total distributions (0.15) (0.01) (0.21) (0.21) (0.18) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 47.18 $ 67.96 $ 70.17 $ 24.91 $ 17.63 ============ ============ ============ ============ ============ TOTAL RETURN (a) (30.37)% (3.14)% 183.52% 42.69% (12.22)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,573,504 $ 2,823,661 $ 1,999,803 $ 144,467 $ 83,731 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% 0.58% 0.60% 0.63% 0.65% Ratio of net expenses to average net assets 0.58% 0.58% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.10% (0.24)% 0.04% 0.58% 0.59% Portfolio turnover rate (b) 36% 28% 43% 26% 45% (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) 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 55 FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST S&P REIT INDEX FUND (FRI) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 32.59 $ 23.23 $ 26.14 $ 21.63 $ 23.28 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.53 0.50 0.52 0.56 0.69 Net realized and unrealized gain (loss) (8.54) 9.33 (2.72) 4.55 (1.65) ------------ ------------ ------------ ------------ ------------ Total from investment operations (8.01) 9.83 (2.20) 5.11 (0.96) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.60) (0.47) (0.71) (0.60) (0.69) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 23.98 $ 32.59 $ 23.23 $ 26.14 $ 21.63 ============ ============ ============ ============ ============ TOTAL RETURN (a) (24.63)% 42.52% (8.10)% 23.67% (4.19)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 133,098 $ 236,309 $ 74,344 $ 198,642 $ 115,696 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.50% 0.51% 0.52% 0.51% 0.52% Ratio of net expenses to average net assets 0.50% 0.50% 0.50% 0.50% 0.50% Ratio of net investment income (loss) to average net assets 1.84% 2.04% 2.04% 2.40% 3.05% Portfolio turnover rate (b) 8% 6% 6% 10% 10% FIRST TRUST WATER ETF (FIW) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 94.74 $ 72.13 $ 59.91 $ 43.96 $ 48.58 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.53 0.36 0.38 0.32 0.35 Net realized and unrealized gain (loss) (15.39) 22.60 12.24 15.96 (4.65) ------------ ------------ ------------ ------------ ------------ Total from investment operations (14.86) 22.96 12.62 16.28 (4.30) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.53) (0.35) (0.40) (0.33) (0.32) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 79.35 $ 94.74 $ 72.13 $ 59.91 $ 43.96 ============ ============ ============ ============ ============ TOTAL RETURN (a) (15.65)% 31.89% 21.20% 37.11% (8.89)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,249,781 $ 1,605,791 $ 688,794 $ 536,168 $ 290,107 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.53% 0.53% 0.54% 0.55% 0.55% Ratio of net expenses to average net assets 0.53% 0.53% 0.54% 0.55% 0.55% Ratio of net investment income (loss) to average net assets 0.66% 0.47% 0.66% 0.61% 0.72% Portfolio turnover rate (b) 13% 15% 15% 12% 11% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) 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 56 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST NATURAL GAS ETF (FCG) YEAR ENDED DECEMBER 31, -------------------------------------------------------------------------- 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 17.17 $ 8.80 $ 12.05 $ 14.69 $ 22.75 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.69 0.20 0.10 0.10 0.02 Net realized and unrealized gain (loss) 7.38 8.47 (3.01) (2.39) (7.86) ------------ ------------ ------------ ------------ ------------ Total from investment operations 8.07 8.67 (2.91) (2.29) (7.84) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.74) (0.30) -- (0.11) -- Return of capital -- -- (0.34) (0.24) (0.22) ------------ ------------ ------------ ------------ ------------ Total distributions (0.74) (0.30) (0.34) (0.35) (0.22) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 24.50 $ 17.17 $ 8.80 $ 12.05 $ 14.69 ============ ============ ============ ============ ============ TOTAL RETURN (a) 47.27% 98.69% (23.22)% (15.87)% (34.77)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 888,144 $ 423,225 $ 103,429 $ 95,209 $ 88,874 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% 0.62% (b) 0.67% 0.65% 0.63% Ratio of net expenses to average net assets 0.60% 0.61% (b) 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 2.82% 1.41% 1.48% 0.65% 0.07% Portfolio turnover rate (c) 39% 42% 103% 61% 47% FIRST TRUST CHINDIA ETF (FNI) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 47.62 $ 59.07 $ 39.75 $ 30.93 $ 39.57 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.05 (0.12) 0.09 0.14 0.04 Net realized and unrealized gain (loss) (9.45) (11.33) 19.42 8.81 (8.16) ------------ ------------ ------------ ------------ ------------ Total from investment operations (9.40) (11.45) 19.51 8.95 (8.12) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.06) -- (0.19) (0.13) (0.52) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 38.16 $ 47.62 $ 59.07 $ 39.75 $ 30.93 ============ ============ ============ ============ ============ TOTAL RETURN (a) (19.75)% (19.38)% 49.25% 28.96% (20.68)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 76,325 $ 107,147 $ 256,949 $ 111,291 $ 133,007 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.59% 0.60% 0.60% 0.59% Ratio of net expenses to average net assets 0.60% 0.59% 0.60% 0.60% 0.59% Ratio of net investment income (loss) to average net assets 0.14% (0.03)% 0.20% 0.35% 1.06% Portfolio turnover rate (c) 29% 43% 46% 26% 22% (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) For the year ended December 31, 2021, ratio reflects excise tax of 0.01%, which is not included in the expense cap. (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 57 FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2022 2021 2020 2019 2018 ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 58.97 $ 44.75 $ 51.91 $ 43.16 $ 52.34 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.10 1.01 1.11 1.04 0.81 Net realized and unrealized gain (loss) (6.24) 14.20 (7.13) 8.72 (9.17) ------------ ------------ ------------ ------------ ------------ Total from investment operations (5.14) 15.21 (6.02) 9.76 (8.36) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.11) (0.99) (1.14) (1.01) (0.82) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 52.72 $ 58.97 $ 44.75 $ 51.91 $ 43.16 ============ ============ ============ ============ ============ TOTAL RETURN (a) (8.70)% 34.08% (11.00)% 22.80% (16.14)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 187,140 $ 117,947 $ 85,020 $ 142,752 $ 228,762 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.63% 0.64% 0.60% 0.60% Ratio of net expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 2.11% 1.82% 2.75% 1.98% 1.50% Portfolio turnover rate (b) 18% 23% 14% 15% 11% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) 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 58 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 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-three exchange-traded funds. This report covers the nine funds (each a "Fund" and collectively, the "Funds") listed below: First Trust NASDAQ-100 Equal Weighted Index Fund - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "QQEW") First Trust NASDAQ-100-Technology Sector Index Fund - (Nasdaq ticker "QTEC") First Trust NASDAQ-100 Ex-Technology Sector Index Fund - (Nasdaq ticker "QQXT") First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund - (Nasdaq ticker "QCLN") First Trust S&P REIT Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker "FRI") First Trust Water ETF - (NYSE Arca ticker "FIW") First Trust Natural Gas ETF - (NYSE Arca ticker "FCG") First Trust Chindia ETF - (NYSE Arca ticker "FNI") First Trust NASDAQ(R) ABA Community Bank Index Fund - (Nasdaq ticker "QABA") 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 NASDAQ-100 Equal Weighted Index Fund Nasdaq-100 Equal Weighted Index(SM) First Trust NASDAQ-100-Technology Sector Index Fund Nasdaq-100 Technology Sector Index(SM) First Trust NASDAQ-100 Ex-Technology Sector Index Fund Nasdaq-100 Ex-Tech Sector Index(SM) First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund Nasdaq(R) Clean Edge(R) Green Energy Index(SM) First Trust S&P REIT Index Fund S&P United States REIT Index First Trust Water ETF ISE Clean Edge Water Index First Trust Natural Gas ETF ISE-Revere Natural Gas(TM) Index First Trust Chindia ETF ISE ChIndia(TM) Index First Trust NASDAQ(R) ABA Community Bank Index Fund Nasdaq OMX(R) ABA Community Bank Index(SM) 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 the 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 readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures approved by the Trust's Board of Trustees, and in accordance with the 1940 Act and rules thereunder. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Page 59 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 Common stocks, real estate investment trusts ("REITs"), master limited partnerships ("MLPs") and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities. Shares of open-end funds are valued based on NAV per share. Securities traded in an over-the-counter market are valued at the mean of their most recent bid and asked price, if available, and otherwise at their last trade price. Overnight repurchase agreements are valued at amortized cost when it represents the most appropriate reflection of fair market value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor's Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; 2) the type of security; 3) the size of the holding; 4) the initial cost of the security; 5) transactions in comparable securities; 6) price quotes from dealers and/or third-party pricing services; 7) relationships among various securities; 8) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 9) an analysis of the issuer's financial statements; 10) the existence of merger proposals or tender offers that might affect the value of the security; and 11) other relevant factors. 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 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 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 December 31, 2022, is included with each Fund's Portfolio of Investments. In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing requirements to determine fair value in good faith for purposes of the 1940 Act. The rule permits fund boards to designate a fund's investment advisor to perform fair value determinations, subject to board oversight and certain other conditions. The rule also defines when market quotations are "readily available" for purposes of the 1940 Act and requires a fund to fair value a portfolio investment when a market quotation is not readily available. The SEC also adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping requirements associated with fair value determinations. The compliance date for Rule 2a-5 and Rule 31a-4 was September 8, 2022. Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the Trust's Board of Trustees designated the Advisor as its valuation designee to perform fair value determinations and approved new Advisor Valuation Procedures for the Trust. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. 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 MLPs generally are comprised of return of capital and investment income. A Fund records estimated return of capital and investment income based on historical information available from each MLP. These estimates may subsequently be revised based on information received from the MLPs after their tax reporting periods are concluded. Distributions received from a Fund's investments in REITs may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires 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. Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 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 FNI. The Bank of New York Mellon ("BNYM") acts as FNI'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. During the fiscal year ended December 31, 2022, QQEW, QTEC, QQXT, QCLN, FIW, FCG, FNI, and QABA participated in the securities lending program. 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 December 31, 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. A Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2022 was as follows: Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital ------------------ ---------------- ----------------- First Trust NASDAQ-100 Equal Weighted Index Fund $ 6,866,581 $ -- $ -- First Trust NASDAQ-100-Technology Sector Index Fund 2,234,346 -- -- First Trust NASDAQ-100 Ex-Technology Sector Index Fund 1,136,087 -- -- First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 5,415,781 -- -- First Trust S&P REIT Index Fund 4,101,541 -- -- First Trust Water ETF 8,373,346 -- -- First Trust Natural Gas ETF 25,396,449 -- -- First Trust Chindia ETF 169,765 -- -- First Trust NASDAQ(R) ABA Community Bank Index Fund 2,513,482 -- -- 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 NASDAQ-100 Equal Weighted Index Fund $ 3,291,356 $ -- $ -- First Trust NASDAQ-100-Technology Sector Index Fund 661,890 -- -- First Trust NASDAQ-100 Ex-Technology Sector Index Fund 515,676 -- -- First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 275,655 -- -- First Trust S&P REIT Index Fund 2,732,665 -- -- First Trust Water ETF 4,964,311 -- -- First Trust Natural Gas ETF 6,273,849 -- -- First Trust Chindia ETF -- -- -- First Trust NASDAQ(R) ABA Community Bank Index Fund 2,215,667 -- -- As of December 31, 2022, 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 NASDAQ-100 Equal Weighted Index Fund $ 68,151 $(129,411,693) $ (46,769,322) First Trust NASDAQ-100-Technology Sector Index Fund 294,156 (411,078,895) (342,545,354) First Trust NASDAQ-100 Ex-Technology Sector Index Fund 9,867 (15,846,180) 8,254,529 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund -- (341,292,950) (562,630,015) First Trust S&P REIT Index Fund 23,162 (225,432) (45,517,281) First Trust Water ETF 194,810 (14,566,866) 34,702,636 First Trust Natural Gas ETF -- (523,424,510) 15,021,065 First Trust Chindia ETF -- (94,187,209) (30,760,400) First Trust NASDAQ(R) ABA Community Bank Index Fund 29,430 (13,902,549) (14,109,612) 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. Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 Certain countries assess a capital gains tax on securities sold in their local markets. This tax is accrued as the securities in these foreign markets appreciate in value and is paid at the time of sale to the extent a capital gain is realized. Taxes accrued on securities in an unrealized appreciation position, if any, are included in "Net change in unrealized appreciation (depreciation) on deferred foreign capital gains tax" on the Statements of Operations. The capital gains tax paid on securities sold, if any, is included in "Net realized gain (loss) on foreign capital gains tax" on the Statements of Operations. India's Finance Bill, 2018 ("Finance Bill, 2018") was enacted into law on March 29, 2018 and amongst other provisions, it introduced a long-term capital gains tax beginning April 1, 2018. Long-term capital gains on the sale of listed shares in excess of INR 0.1 million are taxed at the rate of 10% (plus applicable surcharge and cess (which is a type of tax)) subject to satisfaction of certain conditions. Long-term capital gains accruing as of January 31, 2018 are considered exempt due to a grandfather clause in the provision. The aforesaid exemption from long-term capital gains tax is available with respect to shares acquired between October 1, 2004 and March 31, 2018 only if on such acquisitions Securities Transaction Tax ("STT") was chargeable. Certain exceptions in this regard, such as acquisition of shares in a public offer, bonus, rights issued, etc. for which the condition of chargeability of STT on acquisition is not applicable, have been notified. In the case of the sale of listed shares held by a Fund for one year or less, the income is classified as short-term capital gains and is taxable at 15% (plus applicable surcharge and cess) provided the shares are sold on the stock exchange and subjected to STT. For above purposes, the applicable rate of surcharge is 2% or 5% (depending on the level of income of the Fund). The Finance Bill, 2018 increases the cess imposed on the sum of tax and surcharge from 3% to 4%. The cess 4% rate is applied to the capital gains tax, resulting in a higher effective rate of capital gains tax. Where the sale of shares is outside the stock exchange and not subject to STT, the long-term capital gains are taxed at 10% (plus applicable surcharge and cess) and short-term capital gains are taxed at 30% (plus applicable surcharge and cess). The Finance Bill, 2018, approves the carry forward of long-term capital losses to be offset against long-term capital gains. Short-term losses can be netted against both short-term gains and long-term gains. Until March 31, 2020, dividends received by a Fund from Indian companies were exempt from tax in India because Indian companies were required to pay dividend distribution tax. The Indian Finance Act, 2020 has amended the dividend taxation framework effective April 1, 2020 and accordingly dividends would now be taxable in the hands of the shareholders at 20%, plus applicable surcharge and cess. Subsequent to the Indian Finance Act, 2020, "The Taxation and Other Laws (Relaxation and Amendment of Certain Provisions) Bill, 2020" (the "Bill") was enacted into law and is effective retroactively to April 1, 2020. The Bill caps the maximum surcharge at 15% of the tax on dividend income earned by the Fund. The highest effective tax rate proposed for non-corporate entities on dividends will be 23.92%. Note the Fund will not obtain relief under the US-India tax treaty as the treaty rate of 25% is higher than the domestic rate. Any excess taxes withheld can be off-set against capital gains tax liability during the year or claimed as a refund in the annual tax return. Please note that the above description is based on current provisions of Indian law, and any change or modification made by subsequent legislation, regulation, or administrative or judicial decision could increase the Indian tax liability of a Fund and thus reduce the return to a Fund's shareholders. There can be no assurance that the Indian tax authorities and/or regulators will not take a position contrary to the views expressed herein. If the Indian tax authorities and/or regulators take a position contrary to the views expressed herein, adverse unpredictable consequences may follow. 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 2019, 2020, 2021, and 2022 remain open to federal and state audit. As of December 31, 2022, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2022, 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. Page 64 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 Non-Expiring Capital Loss Carryforwards ------------------ First Trust NASDAQ-100 Equal Weighted Index Fund $ 129,411,693 First Trust NASDAQ-100-Technology Sector Index Fund 411,078,895 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 15,846,180 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 341,292,950 First Trust S&P REIT Index Fund 225,432 First Trust Water ETF 14,566,866 First Trust Natural Gas ETF 523,424,510 First Trust Chindia ETF 94,187,209 First Trust NASDAQ(R) ABA Community Bank Index Fund 13,902,549 During the taxable year ended December 31, 2022, the following Fund utilized non-expiring capital loss carryforwards in the following amount: Capital Loss Carryforward Utilized ------------------ First Trust S&P REIT Index Fund $ 460,089 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, 2022, the Funds had no net late year ordinary or capital losses. In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended December 31, 2022, the adjustments for each Fund were as follows: Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ------------------ ------------------ ------------------ First Trust NASDAQ-100 Equal Weighted Index Fund $ -- $ (62,374,936) $ 62,374,936 First Trust NASDAQ-100-Technology Sector Index Fund -- (327,320,439) 327,320,439 First Trust NASDAQ-100 Ex-Technology Sector Index Fund -- (4,718,610) 4,718,610 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 3,901,319 (107,151,779) 103,250,460 First Trust S&P REIT Index Fund 222,570 1,237,861 (1,460,431) First Trust Water ETF -- (77,486,762) 77,486,762 First Trust Natural Gas ETF 3,835,785 (162,337,536) 158,501,751 First Trust Chindia ETF 26,865 563,457 (590,322) First Trust NASDAQ(R) ABA Community Bank Index Fund -- (1,947,822) 1,947,822 Page 65 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 As of December 31, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ----------------- ----------------- ----------------- ----------------- First Trust NASDAQ-100 Equal Weighted Index Fund $ 1,162,744,395 $ 121,701,509 $ (168,470,831) $ (46,769,322) First Trust NASDAQ-100-Technology Sector Index Fund 1,734,993,220 84,537,366 (427,082,720) (342,545,354) First Trust NASDAQ-100 Ex-Technology Sector Index Fund 129,279,804 20,757,906 (12,503,377) 8,254,529 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 2,266,208,365 193,906,991 (756,537,006) 562,630,015 First Trust S&P REIT Index Fund 178,094,914 291,714 (45,808,995) (45,517,281) First Trust Water ETF 1,232,515,273 163,789,904 (129,087,268) 34,702,636 First Trust Natural Gas ETF 932,033,117 81,753,310 (66,732,376) 15,020,934 First Trust Chindia ETF 110,542,935 4,969,767 (35,730,167) (30,760,400) First Trust NASDAQ(R) ABA Community Bank Index Fund 202,237,616 3,296,071 (17,405,683) (14,109,612) 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 NASDAQ-100 Equal Weighted Index Fund Nasdaq, Inc. First Trust NASDAQ-100-Technology Sector Index Fund Nasdaq, Inc. First Trust NASDAQ-100 Ex-Technology Sector Index Fund Nasdaq, Inc. First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund Nasdaq, Inc. and Clean Edge(R) First Trust S&P REIT Index Fund S&P Dow Jones Indices LLC First Trust Water ETF International Securities Exchange, LLC First Trust Natural Gas ETF International Securities Exchange, LLC First Trust Chindia ETF International Securities Exchange, LLC First Trust NASDAQ(R) ABA Community Bank Index Fund Nasdaq, Inc. and American Bankers Association 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 66 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 Effective November 1, 2022, the management fee payable by each Fund to First Trust for these services will be reduced at certain levels of each Fund's net assets ("breakpoints") and calculated pursuant to the schedule below: Breakpoints QQEW QTEC QQXT QCLN FRI FIW FCG QABA --------------------------------------------------- ------------------------------------------------------------------------ Fund net assets up to and including $2.5 billion 0.40% 0.40% 0.40% 0.40% 0.3000% 0.40% 0.40% 0.40% Fund net assets greater than $2.5 billion up to and including $5 billion 0.39% 0.39% 0.39% 0.39% 0.2925% 0.39% 0.39% 0.39% Fund net assets greater than $5 billion up to and including $7.5 billion 0.38% 0.38% 0.38% 0.38% 0.2850% 0.38% 0.38% 0.38% Fund net assets greater than $7.5 billion up to and including $10 billion 0.37% 0.37% 0.37% 0.37% 0.2775% 0.37% 0.37% 0.37% Fund net assets greater than $10 billion up to and including $15 billion 0.36% 0.36% 0.36% 0.36% 0.2700% 0.36% 0.36% 0.36% Fund net assets greater than $15 billion 0.34% 0.34% 0.34% 0.34% 0.2550% 0.34% 0.34% 0.34% Breakpoints FNI --------------------------------------------------- ------- Fund net assets up to and including $2.5 billion 0.40% Fund net assets greater than $2.5 billion up to and including $5 billion 0.39% Fund net assets greater than $5 billion up to and including $7.5 billion 0.38% Fund net assets greater than $7.5 billion up to and including $10 billion 0.37% Fund net assets greater than $10 billion 0.36% Prior to November 1, 2022, First Trust was entitled to receive monthly fees from each Fund calculated at the following annual rates: % of Average Daily Net Assets ---------------- First Trust NASDAQ-100 Equal Weighted Index Fund 0.40% First Trust NASDAQ-100-Technology Sector Index Fund 0.40% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.40% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.40% First Trust S&P REIT Index Fund 0.30% First Trust Water ETF 0.40% First Trust Natural Gas ETF 0.40% First Trust Chindia ETF 0.40% First Trust NASDAQ(R) ABA Community Bank Index Fund 0.40% The Trust and the Advisor 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 NASDAQ-100 Equal Weighted Index Fund 0.60% First Trust NASDAQ-100-Technology Sector Index Fund 0.60% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.60% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.60% First Trust S&P REIT Index Fund 0.50% First Trust Water ETF 0.60% First Trust Natural Gas ETF 0.60% First Trust Chindia ETF 0.60% First Trust NASDAQ(R) ABA Community Bank Index Fund 0.60% Page 67 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 Prior to November 1, 2022, expenses reimbursed and fees waived by First Trust under the Recovery Agreement were subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment would be made by a Fund if it resulted 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. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. Prior to November 1, 2022, First Trust recovered fees that were previously waived from First Trust Natural Gas ETF of $110,513. Effective November 1, 2022, in connection with the introduction of breakpoints discussed above, First Trust has agreed to remove its ability to recover previous expenses borne and fees waived under the Recovery Agreement. 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 target outcome fund or an index fund. Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended December 31, 2022, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: Purchases Sales --------------- --------------- First Trust NASDAQ-100 Equal Weighted Index Fund $ 375,772,660 $ 376,416,371 First Trust NASDAQ-100-Technology Sector Index Fund 609,711,507 611,668,487 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 44,015,633 44,087,795 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 762,857,806 762,026,240 First Trust S&P REIT Index Fund 17,747,873 15,382,751 First Trust Water ETF 169,338,327 169,632,083 First Trust Natural Gas ETF 302,439,544 302,185,667 First Trust Chindia ETF 28,519,601 28,457,018 First Trust NASDAQ(R) ABA Community Bank Index Fund 21,448,739 21,554,697 Page 68 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 For the fiscal year ended December 31, 2022, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: Purchases Sales --------------- --------------- First Trust NASDAQ-100 Equal Weighted Index Fund $ 302,918,611 $ 260,864,505 First Trust NASDAQ-100-Technology Sector Index Fund 358,448,265 1,723,383,060 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 31,585,436 14,922,553 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 285,023,253 716,629,723 First Trust S&P REIT Index Fund 79,181,551 113,431,339 First Trust Water ETF 125,351,903 212,913,591 First Trust Natural Gas ETF 841,930,426 509,146,792 First Trust Chindia ETF 49,869,239 53,666,801 First Trust NASDAQ(R) ABA Community Bank Index Fund 136,350,914 48,718,671 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2024. Page 69 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 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 was the following subsequent event: On December 12, 2022, the Board of Trustees of the Trust (the "Board") voted to terminate and liquidate First Trust Chindia ETF ("FNI") pursuant to a Plan of Liquidation and Termination (the "Plan") approved by the Board. The Board has determined that the termination and liquidation of FNI is in the best interests of the Fund. FNI liquidated as a series of the Trust on January 20, 2023. Page 70 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities of First Trust NASDAQ-100 Equal Weighted Index Fund, First Trust NASDAQ-100-Technology Sector Index Fund, First Trust NASDAQ-100 Ex-Technology Sector Index Fund, First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund, First Trust S&P REIT Index Fund, First Trust Water ETF, First Trust Natural Gas ETF, First Trust Chindia ETF, and First Trust NASDAQ(R) ABA Community Bank Index Fund (the "Funds"), each a series of First Trust Exchange-Traded Fund, including the portfolios of investments, as of December 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois February 23, 2023 We have served as the auditor of one or more First Trust investment companies since 2001. Page 71 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended December 31, 2022, the following percentages of income dividends paid by the Funds qualify for the dividends received deduction available to corporations: Dividends Received Deduction ---------------------------- First Trust NASDAQ-100 Equal Weighted Index Fund 100.00% First Trust NASDAQ-100-Technology Sector Index Fund 100.00% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 100.00% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 58.14% First Trust S&P REIT Index Fund 0.00% First Trust Water ETF 100.00% First Trust Natural Gas ETF 91.06% First Trust Chindia ETF 3.26% First Trust NASDAQ(R) ABA Community Bank Index Fund 100.00% For the taxable year ended December 31, 2022, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income: Qualified Dividend Income ---------------------------- First Trust NASDAQ-100 Equal Weighted Index Fund 100.00% First Trust NASDAQ-100-Technology Sector Index Fund 100.00% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 100.00% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 100.00% First Trust S&P REIT Index Fund 0.00% First Trust Water ETF 100.00% First Trust Natural Gas ETF 92.74% First Trust Chindia ETF 100.00% First Trust NASDAQ(R) ABA Community Bank Index Fund 100.00% A portion of each of the Funds' 2022 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended December 31, 2022, may be eligible for the Qualified Business Income Deduction (QBI) under Internal Revenue Code Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. The following Fund meets the requirements of Section 853 of the Internal Revenue Code and elects to pass through to its shareholders credit for foreign taxes paid. For the taxable year ended December 31, 2022, the total amount of income received by the Fund from sources within foreign countries and possessions of the United States and of taxes paid to such countries is as follows: Gross Foreign Income Foreign Taxes Paid ---------------------- --------------------- Amount Per Share Amount Per Share ---------------------- --------------------- First Trust Chindia ETF $ 702,594 $ 0.35 $ 48,666 $ 0.02 Page 72 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) 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. 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 Page 73 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) (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. MARKET RISK. Market risk is the risk that a particular security, or shares of a fund in general, may fall in value. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments Page 74 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed "reasonably" normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. These events also adversely affect the prices and liquidity of a fund's portfolio securities or other instruments and could result in disruptions in the trading markets. Any of such circumstances could have a materially negative impact on the value of a fund's shares and result in increased market volatility. During any such events, a fund's shares may trade at increased premiums or discounts to their net asset value and the bid/ask spread on a fund's shares may widen. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. PREFERRED SECURITIES RISK. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt securities in a company's capital structure in terms of priority to corporate income, subjecting them to greater credit risk than those debt securities. Generally, holders of preferred securities have no voting rights with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred security holders may obtain limited rights. In certain circumstances, an issuer of preferred securities may defer payment on the securities and, in some cases, redeem the securities prior to a specified date. Preferred securities may also be substantially less liquid than other securities, including common stock. VALUATION RISK. The valuation of certain securities may carry more risk than that of common stock. Uncertainties in the conditions of the financial markets, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing. A fund may hold investments in sizes smaller than institutionally sized round lot positions (sometimes referred to as odd lots). However, third-party pricing services generally provide evaluations on the basis of institutionally-sized round lots. If a fund sells certain of its investments in an odd lot transaction, the sale price may be less than the value at which such securities have been held by the fund. Odd lots often trade at lower prices than institutional round lots. There is no assurance that the fund will be able to sell a portfolio security at the price established by the pricing service, which could result in a loss to the fund. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 75 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF AMENDMENTS TO THE INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, unanimously approved the amendment (the "Amendment") of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW) First Trust NASDAQ-100-Technology Sector Index Fund (QTEC) First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT) First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN) First Trust S&P REIT Index Fund (FRI) First Trust Chindia ETF (FNI) First Trust Natural Gas ETF (FCG) First Trust Water ETF (FIW) First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA) The Board approved the Amendment for each Fund at a meeting held on October 24, 2022. As part of the review process, the Board reviewed information and had preliminary discussions with the Advisor regarding the proposed Amendment at meetings held on April 18, 2022, June 12-13, 2022 and September 18-19, 2022. Following those preliminary discussions, the Board requested and received information from the Advisor regarding the proposed Amendment, and that information was considered at an executive session of the Independent Trustees and their counsel held prior to the October 24, 2022 meeting, as well as at the October meeting. In reviewing the Amendment for each Fund, the Board considered that the purpose of the Amendment is to modify the advisory fee rate for each Fund under the Agreement by introducing a breakpoint schedule pursuant to which the advisory fee rate paid by each Fund to the Advisor will be reduced as assets of such Fund meet certain thresholds. The Board noted the Advisor's representations that the quality and quantity of the services provided to each Fund by the Advisor under the Agreement will not be reduced or modified as a result of the Amendment, and that the obligations of the Advisor under the Agreement will remain the same in all respects. The Board noted that it, including the Independent Trustees, last 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 noted that in connection with such approval it had determined for each Fund, based upon the information provided, that the terms of the Agreement were fair and reasonable and that the continuation of the Agreement was in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. The Board noted that the Advisor had previously agreed to waive management fees and reimburse certain expenses for a specified period to prevent each Fund's expense ratio from exceeding a particular expense cap, that the expense cap for each Fund would continue following entry into the Amendment, and that under the current terms of the expense caps, 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 under certain conditions. The Board noted that in connection with the Amendment, the Advisor agreed to amend the terms of the expense caps to eliminate its ability to recover any fees waived or expenses reimbursed. Based on all of the information considered, the Board, including the Independent Trustees, unanimously determined that the terms of the Amendment are fair and reasonable and that the Amendment is in the best interests of each Fund. REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of certain First Trust Exchange-Traded Fund funds it manages (the "Funds") in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2022, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $3,841,314. This figure is comprised of $148,914 paid (or to be paid) in fixed compensation and $3,692,400 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $2,025,920 paid (or to be paid) to senior management of First Trust Advisors L.P. and $1,815,394 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Page 76 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. Page 77 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER TRUSTEESHIPS NAME, AND YEAR FIRST FUND COMPLEX OR DIRECTORSHIPS HELD YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY BY TRUSTEE DURING POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician, Edward-Elmhurst Medical Group, 222 None (1951) Physician & Officer, Wheaton Orthopedics o Since Inception (1990 to 2021) Thomas R. Kadlec, Trustee o Indefinite Term Retired; President, ADM Investors 222 Director, National Futures (1957) Services, Inc. (Futures Commission Association and ADMIS o Since Inception Merchant) (2010 to July 2022) Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 222 Director and Board Chair (1964) Health and President, Advocate Aurora of Advocate Home Health o Since 2021 Continuing Health Division (Integrated Services, Advocate Home Healthcare System) Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 222 Formerly, Director of (1956) and Management Consulting) Trust Company of Illinois o Since Inception Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 222 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 222 None Chairman of the Board Advisors L.P. and First Trust Portfolios (1955) o Since Inception L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 78 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer, (1966) Executive Officer First Trust Advisors L.P. and First Trust Portfolios o Since January 2016 L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1972) Officer and Chief First Trust Portfolios L.P. Accounting Officer o Since January 2016 W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 79 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2022 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2022 Page 80 FIRST TRUST First Trust Exchange-Traded Fund 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]