FIRST TRUST First Trust Exchange-Traded Fund VIII -------------------------------------------------------------------------------- First Trust Multi-Manager Small Cap Opportunities ETF (MMSC) ---------------------------- Annual Report For the Period October 13, 2021 (Commencement of Operations) through August 31, 2022 ---------------------------- Driehaus Capital Management LLC Stephens Investment Management Group, LLC -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) ANNUAL REPORT AUGUST 31, 2022 Shareholder Letter........................................................... 1 Fund Performance Overview.................................................... 2 Portfolio Commentary......................................................... 4 Understanding Your Fund Expenses............................................. 6 Portfolio of Investments..................................................... 7 Statement of Assets and Liabilities.......................................... 11 Statement of Operations...................................................... 12 Statement of Changes in Net Assets........................................... 13 Financial Highlights......................................................... 14 Notes to Financial Statements................................................ 15 Report of Independent Registered Public Accounting Firm...................... 21 Additional Information....................................................... 22 Board of Trustees and Officers............................................... 26 Privacy Policy............................................................... 28 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or Driehaus Capital Management LLC and/or Stephens Investment Management Group, LLC (each, a "Sub-Advisor" and together, "Sub-Advisors") and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund VIII (the "Trust") described in this report (First Trust Multi-Manager Small Cap Opportunities ETF; hereinafter referred to as the "Fund") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisors and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in the Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund. 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 the Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund's performance and investment approach. By reading the portfolio commentary from the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund's performance. The statistical information that follows may help you understand the Fund's performance compared to that of a relevant market benchmark. It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisors 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 the Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings. -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) ANNUAL LETTER FROM THE CHAIRMAN AND CEO AUGUST 31, 2022 Dear Shareholders: First Trust is pleased to provide you with the annual report for the First Trust Multi-Manager Small Cap Opportunities ETF (the "Fund"), which contains detailed information about the Fund for the period from the Fund's inception on October 13, 2021 through August 31, 2022. Please note that information in this letter and the report prior to the Fund's inception date will not apply to the Fund. At their most recent meeting (September 20-21, 2022), the Federal Open Market Committee announced a 75 basis point interest rate hike, the third rate hike in as many meetings. Overall, the Federal Reserve (the "Fed") has raised its benchmark Federal Funds target rate (upper bound) from 0.25% this past March to 3.25% as of September 30, 2022, the fastest pace for rate hikes since 1994. The Fed is hiking interest rates aggressively to combat the surge in inflation that commenced in the second quarter of 2021. Perhaps the most common measure of inflation is the Consumer Price Index ("CPI"). The CPI has averaged 3.0% per year since 1926 but stood at an eye-popping 8.3% on a trailing 12-month basis in August 2022. Its recent high point was 9.1% in June 2022. For borrowers, these rate hikes will raise the cost of capital, making it tougher to secure loans for consumers and businesses. The goal is to raise interest rates high enough to cool some of the demand for goods and services so that inflation can begin to moderate. The Fed would eventually like to see the CPI back near the 2.0% level. It will take some time to play out. Guidance from Fed Chairman Jerome Powell indicates that more rate hikes are coming, perhaps as much as another 100 basis points by year-end. We'll see. One of the areas that has yet to cool off is the housing market, in my opinion. We have seen a substantial selloff this year in the stock and bond markets, but not housing. Prices appreciated markedly across the U.S. during the coronavirus ("COVID-19") pandemic. Demand was high and inventories were uncharacteristically low. Simply put, housing affordability has become a huge challenge for many prospective buyers. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which tracks the value of single-family homes, soared 45.2% from the end of 2019 through June 2022. Keep in mind, historically, home prices tend to rise with inflation over time. They are not supposed to increase 45% over 30 months. The rapid increase in short-term lending rates has caused the rate on a 30-year fixed-rate mortgage to nearly double from 3.27% at the end of 2021 to 6.43% as of September 21, 2022, according to Bankrate. The sharp rise in mortgage rates is just beginning to have a slight effect on demand. Redfin reported that close to 63,000 deals on existing homes fell through in July 2022, or around 16% of homes under contract that month, according to CNBC. Fed Chairman Powell is trying to engineer a soft landing for the economy via monetary policy. In other words, the Fed is trying to avoid a deep and lengthy recession. That is why the relative resilience of the real estate markets, both residential and commercial, is so critical at this juncture. One other plus going for the U.S. economy today is the strong labor market. As of this report, companies are still hiring. If these sources of strength eventually succumb to the economic headwinds and turn weaker, the odds of achieving a soft landing drop dramatically, in my opinion. For those investors who like to follow the news closely, in addition to monitoring the state of the economy, keep an eye on the war between Russia and Ukraine as well as the COVID-19-induced lockdowns of cities in China. Any good news on those two fronts could be a net positive for the markets moving forward. As I previously noted, it is going to take some time to remedy this situation. As always, we encourage investors to be diversified and stay the course. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund 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 1 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) The First Trust Multi-Manager Small Cap Opportunities ETF (the "Fund") seeks to provide long-term capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets (plus borrowing for investment purposes) in equity securities issued by small capitalization companies. The Fund considers small capitalization companies to be those companies with market capitalizations, at the time of investment, within the market capitalization range of the companies comprising the Russell 2000(R) Growth Index (as of the index's most recent reconstitution). The Fund's portfolio is principally composed of common stocks issued by companies domiciled in the United States and common stocks issued by non-U.S. companies that are principally traded in the United States. The Fund utilizes a multi-manager approach to provide exposure to the small capitalization growth segment of the equity market through the blending of multiple portfolio management teams. The Fund lists and principally trades its shares on the NYSE Arca, Inc. under the ticker symbol "MMSC." --------------------------------------------------------------------------------------------------------------------- PERFORMANCE --------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (10/13/21) to 8/31/22 FUND PERFORMANCE NAV -24.86% Market Price -24.81% INDEX PERFORMANCE Russell 2000(R) Growth Index -23.12% --------------------------------------------------------------------------------------------------------------------- Total returns for the period since inception are calculated from the inception date of the Fund. "Cumulative Total Returns" represent the total change in value of an investment over the period indicated. The 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. Since shares of the Fund did not trade in the secondary market until after its inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the 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 the Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. 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 index. 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 the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future performance. Page 2 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) (CONTINUED) ---------------------------------------------------------- % OF TOTAL LONG-TERM SECTOR CLASSIFICATION INVESTMENTS ---------------------------------------------------------- Health Care 24.3% Information Technology 22.7 Industrials 17.5 Consumer Discretionary 10.2 Consumer Staples 8.0 Financials 6.6 Energy 5.6 Materials 3.4 Communication Services 0.9 Utilities 0.4 Real Estate 0.4 -------- Total 100.0% ======== ---------------------------------------------------------- % OF TOTAL LONG-TERM TOP TEN HOLDINGS INVESTMENTS ---------------------------------------------------------- MGP Ingredients, Inc. 1.8% Celsius Holdings, Inc. 1.7 Chart Industries, Inc. 1.6 Halozyme Therapeutics, Inc. 1.4 CyberArk Software Ltd. 1.4 Wingstop, Inc. 1.2 Manhattan Associates, Inc. 1.2 Kinsale Capital Group, Inc. 1.1 Acadia Healthcare Co., Inc. 1.1 Cytokinetics, Inc. 1.1 -------- Total 13.6% ======== PERFORMANCE OF A $10,000 INITIAL INVESTMENT OCTOBER 13, 2021 - AUGUST 31, 2022 First Trust Multi-Manager Russell 2000(R) Small Cap Opportunities ETF Growth Index 10/13/21 $10,000 $10,000 2/28/22 8,653 8,604 8/31/22 7,514 7,688 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 3 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) ANNUAL REPORT AUGUST 31, 2022 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor) is the investment advisor to the First Trust Multi-Manager Small Cap Opportunities ETF ("MMSC" or the "Fund"). The following serve as investment sub-advisors (each, a "Sub-Advisor") to the Fund: Driehaus Capital Management LLC ("DCM") and Stephens Investment Management Group, LLC ("SIMG"). First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, selecting and overseeing the investment sub-advisors, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. PORTFOLIO MANAGEMENT TEAM THE ADVISOR'S INVESTMENT COMMITTEE, WHICH MANAGES THE FUND'S INVESTMENTS, CONSISTS OF: o Daniel J. Lindquist, Managing Director of First Trust o Jon C. Erickson, Senior Vice President of First Trust o David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust o Roger F. Testin, Senior Vice President of First Trust o Stan Ueland, Senior Vice President of First Trust o Chris A. Peterson, CFA, Senior Vice President of First Trust o Erik Russo, Vice President of First Trust SUB-ADVISOR PORTFOLIO MANAGERS DRIEHAUS CAPITAL MANAGEMENT LLC o Jeffrey James, Lead Portfolio Manager o Michael Buck, Portfolio Manager o Prakash Vijayan, CFA, Assistant Portfolio Manager STEPHENS INVESTMENT MANAGEMENT GROUP, LLC o Ryan E. Crane, Chief Investment Officer o Kelly Ranucci, Senior Portfolio Manager o John Keller, Portfolio Manager o John M. Thornton, Senior Portfolio Manager o Samuel M. Chase III, Senior Portfolio Manager The Investment Committee members are primarily and jointly responsible for the day-to-day management of the Fund, while each of the Sub-Advisor portfolio managers provides non-discretionary investment advice to the Investment Committee. Each portfolio manager has served as a part of the portfolio management team of the Fund since October 2021. COMMENTARY MARKET OVERVIEW The past twelve-month period ended August 31, 2022, has been a difficult period for U.S. equities. While the fourth quarter of 2021 exhibited heightened levels of volatility and a continued rotation from growth to value-oriented companies, initially beginning in February 2021, the majority of the market drawdown occurred during the first half of 2022. This six-month period was among the most extreme in terms of total percentage declines for small cap stocks, recording the worst percentage decline ever for a first half of a year for the Russell 2000(R) Index and the Russell 2000(R) Growth Index. It was also the worst first half of a year for the S&P 500(R) Index since 1970. While the market declines were severe across all market cap ranges and nearly every industry, the smallest market caps and growth declined more than larger caps and value. Following these declines, in July and August 2022 markets rebounded sharply from the lows and recovered a portion of losses incurred earlier in the year. Amid growing bearish sentiment and fear of a Federal Reserve (the "Fed") induced economic slowdown, equity multiples were under severe pressure. Inflation thus far has proven more persistent and stubborn than hoped. This has further pressured equities through the period as market participants concluded the Fed would have to further raise interest rates and tighten financial conditions more aggressively. This monetary stance by the Fed increases the risk of U.S. recession, in our opinion. Page 4 -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) ANNUAL REPORT AUGUST 31, 2022 (UNAUDITED) While inflation is the number one focus for the Fed, positively, there are multiple signs the underlying drivers of inflation in the U.S could be starting to peak/marginally ease; M2 (the widely used measure of the money supply) growth has slowed, average hourly wages also appear to have peaked as labor participation rates are improving, supply chains are improving (though issues remain), inventories in many industries are returning to more normal or in some cases are at elevated levels, most commodity prices have fallen and some sharply, core Consumer Price Index ("CPI") (ex-food and energy) and Personal Consumption Expenditures have eased from recent highs, and market-based measures of inflation expectations have eased meaningfully. While these are very encouraging secondary signs, market participants and the Fed want to see total CPI peak and improve materially to conclude inflation is convincingly on track for a decline to lower levels. CPI data released over the past several months has continued to show inflation at increased levels, albeit elevating at a slower pace. PERFORMANCE REVIEW Over the period since the Fund's inception on October 13, 2021 through August 31, 2022, the Fund returned -24.86% on a net asset value basis and -24.81% on a market price basis. The Russell 2000(R) Growth Index (the "Benchmark") returned -23.12% for the same period. The Fund underperformed the Benchmark over the period. On a relative basis, selection in the Industrials sector was the largest driver of underperformance as those stocks held in the Fund had worse returns than the Benchmark. Kornit Digital Ltd., an off-Benchmark holding, contributed the largest degree of underperformance, as it was down 79.30% for the period, and represented approximately 1% of the Fund. Selection within the Consumer Discretionary sector was also detrimental to the Fund's performance with companies from that sector held in the Fund returning worse than the Benchmark. Offsetting some of the losses on a relative basis were stock picks in the Healthcare sector, specifically within the Pharmaceuticals and Biotechnology & Life Sciences industries, where the Fund's stocks held in relatively better than the Benchmark. The top two contributors, Cytokinetics, Inc. (+42.2%) and Xenon Pharmaceuticals, Inc. (+30.6%), had strong positive returns in a down quarter. MARKET OUTLOOK & FUND POSITIONING The market's conditions remain challenging. Macro conditions have continued to dominate over bottom-up and industry trends. The market fears inflation will continue to drive the Fed to further tighten financial conditions and to raise interest rates which will put further pressure on the economy and on earnings. Positively, valuations have declined for small cap stocks. Looking at history, the current declines in price and in multiple are similar to past recessions. While the odds of a recession have increased materially, economic conditions remain mixed. Some economic variables are recessionary while several others are not, yet. A second key positive is that multiple inflation indicators in the US appear to be showing signs of easing. However, it is not clear how quickly the rate of inflation will come down, if at all, over the rest of the second half and fourth quarter. Several scenarios could play out in terms of the trajectory of inflation. Also, it is not clear how much the economy and earnings will slow. A bullish scenario that could unfold is inflation eases leading into the fourth quarter, the Fed's rhetoric in time adjusts to the improving inflation outlook and the economy and earnings continue to deteriorate, but only modestly so. In this scenario, we believe equity multiples are likely to stabilize in the coming months with severe economic and earnings declines already discounted. A bearish scenario would be inflation remains stubbornly high versus expectations, the Fed is forced to remain very hawkish and economic growth and earnings deteriorate. Suffice it to say, we expect continued volatility, in our opinion. In the short run, this is never pleasant. However, as long-term investors, we are excited. We believe this market could soon present investment opportunities, the likes of which we haven't seen in a decade. Page 5 FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) UNDERSTANDING YOUR FUND EXPENSES AUGUST 31, 2022 (UNAUDITED) As a shareholder of First Trust Multi-Manager Small Cap Opportunities ETF (the "Fund"), 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 Fund and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended August 31, 2022. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. ------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH MARCH 1, 2022 AUGUST 31, 2022 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) Actual $1,000.00 $ 868.30 0.95% $4.47 Hypothetical (5% return before expenses) $1,000.00 $1,020.42 0.95% $4.84 (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 1, 2022 through August 31, 2022), multiplied by 184/365 (to reflect the six-month period). Page 6 FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) PORTFOLIO OF INVESTMENTS AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS -- 97.9% AEROSPACE & DEFENSE -- 3.4% 159 AAR Corp. (a) $ 6,818 133 AeroVironment, Inc. (a) 11,790 115 Axon Enterprise, Inc. (a) 13,418 71 HEICO Corp., Class A 8,703 441 Kratos Defense & Security Solutions, Inc. (a) 5,530 365 RADA Electronic Industries Ltd. (a) 3,661 76 Spirit AeroSystems Holdings, Inc., Class A 2,288 ------------- 52,208 ------------- AIR FREIGHT & LOGISTICS -- 0.4% 82 Hub Group, Inc., Class A (a) 6,544 ------------- AUTO COMPONENTS -- 1.1% 30 Fox Factory Holding Corp. (a) 2,796 52 Gentherm, Inc. (a) 3,115 88 Visteon Corp. (a) 10,545 ------------- 16,456 ------------- BANKS -- 0.7% 93 Silvergate Capital Corp., Class A (a) 8,474 44 Triumph Bancorp, Inc. (a) 2,724 ------------- 11,198 ------------- BEVERAGES -- 4.0% 242 Celsius Holdings, Inc. (a) 25,045 460 Duckhorn Portfolio (The), Inc. (a) 8,390 250 MGP Ingredients, Inc. 27,365 ------------- 60,800 ------------- BIOTECHNOLOGY -- 7.2% 166 Apellis Pharmaceuticals, Inc. (a) 10,045 337 Crinetics Pharmaceuticals, Inc. (a) 6,363 313 Cytokinetics, Inc. (a) 16,576 530 Exelixis, Inc. (a) 9,402 67 Galapagos N.V., ADR (a) 3,354 526 Halozyme Therapeutics, Inc. (a) 21,424 18 Karuna Therapeutics, Inc. (a) 4,591 81 Ligand Pharmaceuticals, Inc. (a) 7,484 133 Merus N.V. (a) 3,149 217 Nuvalent, Inc., Class A (a) 3,663 332 Relay Therapeutics, Inc. (a) 7,626 391 Xenon Pharmaceuticals, Inc. (a) 15,175 ------------- 108,852 ------------- BUILDING PRODUCTS -- 0.7% 207 AZEK (The) Co., Inc. (a) 3,778 136 Trex Co., Inc. (a) 6,363 ------------- 10,141 ------------- CAPITAL MARKETS -- 0.8% 16 MarketAxess Holdings, Inc. 3,977 71 Piper Sandler Cos. 8,135 ------------- 12,112 ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- CHEMICALS -- 1.9% 183 Aspen Aerogels, Inc. (a) $ 2,381 64 Balchem Corp. 8,436 101 Cabot Corp. 7,269 321 Livent Corp. (a) 10,330 ------------- 28,416 ------------- COMMERCIAL SERVICES & SUPPLIES -- 1.8% 46 Casella Waste Systems, Inc., Class A (a) 3,769 71 Driven Brands Holdings, Inc. (a) 2,231 200 Montrose Environmental Group, Inc. (a) 8,042 100 Ritchie Bros Auctioneers, Inc. 6,934 48 Tetra Tech, Inc. 6,519 ------------- 27,495 ------------- COMMUNICATIONS EQUIPMENT -- 0.8% 201 Calix, Inc. (a) 11,829 ------------- CONSTRUCTION & ENGINEERING -- 2.7% 144 Ameresco, Inc., Class A (a) 9,914 50 Comfort Systems USA, Inc. 5,017 64 Dycom Industries, Inc. (a) 7,176 157 Fluor Corp. (a) 4,151 365 WillScot Mobile Mini Holdings Corp. (a) 14,651 ------------- 40,909 ------------- CONSUMER FINANCE -- 2.5% 96 Encore Capital Group, Inc. (a) 5,249 1,019 EZCORP, Inc., Class A (a) 8,916 166 FirstCash Holdings, Inc. 12,942 272 PRA Group, Inc. (a) 10,048 ------------- 37,155 ------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 79 Bright Horizons Family Solutions, Inc. (a) 5,388 72 Duolingo, Inc. (a) 6,769 242 European Wax Center, Inc., Class A 5,235 ------------- 17,392 ------------- ELECTRICAL EQUIPMENT -- 0.4% 240 Shoals Technologies Group, Inc., Class A (a) 6,329 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.1% 108 Cognex Corp. 4,548 177 National Instruments Corp. 7,037 393 nLight, Inc. (a) 4,909 ------------- 16,494 ------------- See Notes to Financial Statements Page 7 FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 1.0% 191 Cactus, Inc., Class A $ 7,631 232 Patterson-UTI Energy, Inc. 3,457 212 ProFrac Holding Corp., Class A (a) 4,174 ------------- 15,262 ------------- ENTERTAINMENT -- 0.3% 58 World Wrestling Entertainment, Inc., Class A 3,945 ------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.3% 63 Ryman Hospitality Properties, Inc. (a) 5,180 ------------- FOOD & STAPLES RETAILING -- 1.7% 333 Chefs' Warehouse (The), Inc. (a) 11,102 210 Grocery Outlet Holding Corp. (a) 8,425 112 Performance Food Group Co. (a) 5,598 ------------- 25,125 ------------- FOOD PRODUCTS -- 1.1% 249 Hostess Brands, Inc. (a) 5,772 694 Mission Produce, Inc. (a) 11,173 ------------- 16,945 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 8.0% 76 AtriCure, Inc. (a) 3,467 117 Axonics, Inc. (a) 8,453 180 BioLife Solutions, Inc. (a) 4,250 92 Inari Medical, Inc. (a) 6,380 57 Inspire Medical Systems, Inc. (a) 10,915 21 Insulet Corp. (a) 5,365 48 iRhythm Technologies, Inc. (a) 7,078 185 Lantheus Holdings, Inc. (a) 14,578 218 Neogen Corp. (a) 4,556 126 NuVasive, Inc. (a) 5,356 116 Omnicell, Inc. (a) 11,866 131 PROCEPT BioRobotics Corp. (a) 5,303 52 Shockwave Medical, Inc. (a) 15,437 73 STAAR Surgical Co. (a) 6,905 144 Tandem Diabetes Care, Inc. (a) 6,586 86 TransMedics Group, Inc. (a) 4,475 ------------- 120,970 ------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 204 Acadia Healthcare Co., Inc. (a) 16,714 59 AMN Healthcare Services, Inc. (a) 6,056 194 HealthEquity, Inc. (a) 12,819 ------------- 35,589 ------------- HEALTH CARE TECHNOLOGY -- 1.0% 317 Allscripts Healthcare Solutions, Inc. (a) 5,389 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- HEALTH CARE TECHNOLOGY (CONTINUED) 223 HealthStream, Inc. (a) $ 4,935 166 Schrodinger, Inc. (a) 4,555 ------------- 14,879 ------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 70 Dave & Buster's Entertainment, Inc. (a) 2,894 301 Everi Holdings, Inc. (a) 5,568 141 Papa John's International, Inc. 11,397 921 Playa Hotels & Resorts N.V. (a) 6,042 157 Wingstop, Inc. 17,876 330 Xponential Fitness, Inc., Class A (a) 6,049 ------------- 49,826 ------------- HOUSEHOLD DURABLES -- 0.3% 84 Skyline Champion Corp. (a) 4,760 ------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 213 Sunnova Energy International, Inc. (a) 5,372 ------------- INSURANCE -- 2.5% 67 Kinsale Capital Group, Inc. 16,990 161 Palomar Holdings, Inc. (a) 12,766 196 Ryan Specialty Holdings, Inc. (a) 8,302 ------------- 38,058 ------------- INTERNET & DIRECT MARKETING RETAIL -- 1.2% 937 aka Brands Holding Corp. (a) 1,949 360 Farfetch Ltd., Class A (a) 3,611 247 Revolve Group, Inc. (a) 5,802 150 Xometry, Inc., Class A (a) 7,351 ------------- 18,713 ------------- IT SERVICES -- 3.3% 61 DigitalOcean Holdings, Inc. (a) 2,568 63 Endava PLC, ADR (a) 6,363 23 ExlService Holdings, Inc. (a) 3,857 315 Flywire Corp. (a) 7,831 60 Globant S.A. (a) 12,646 115 Maximus, Inc. 6,968 137 Toast, Inc., Class A (a) 2,593 50 WEX, Inc. (a) 7,713 ------------- 50,539 ------------- LEISURE PRODUCTS -- 0.4% 268 Callaway Golf Co. (a) 5,931 ------------- LIFE SCIENCES TOOLS & SERVICES -- 3.4% 164 Alpha Teknova, Inc. (a) 740 139 Azenta, Inc. 7,327 26 Bio-Techne Corp. 8,627 49 ICON PLC (a) 10,282 37 Medpace Holdings, Inc. (a) 5,461 Page 8 See Notes to Financial Statements FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 71 Repligen Corp. (a) $ 15,575 59 Syneos Health, Inc. (a) 3,546 ------------- 51,558 ------------- MACHINERY -- 3.8% 122 Chart Industries, Inc. (a) 23,651 127 Evoqua Water Technologies Corp. (a) 4,455 150 Kornit Digital Ltd. (a) 4,662 48 Lindsay Corp. 7,697 56 RBC Bearings, Inc. (a) 13,478 165 Shyft Group (The), Inc. 3,952 ------------- 57,895 ------------- MARINE -- 0.2% 50 Kirby Corp. (a) 3,353 ------------- MEDIA -- 0.6% 51 Nexstar Media Group, Inc. 9,757 ------------- METALS & MINING -- 1.5% 369 ATI, Inc. (a) 11,044 335 MP Materials Corp. (a) 11,722 ------------- 22,766 ------------- MULTILINE RETAIL -- 0.5% 138 Ollie's Bargain Outlet Holdings, Inc. (a) 7,633 ------------- OIL, GAS & CONSUMABLE FUELS -- 4.4% 445 Cameco Corp. 12,972 127 Excelerate Energy, Inc., Class A 3,261 287 Golar LNG Ltd. (a) 7,827 385 Magnolia Oil & Gas Corp., Class A 9,190 198 Matador Resources Co. 11,801 954 Southwestern Energy Co. (a) 7,145 499 Viper Energy Partners, L.P. 15,229 ------------- 67,425 ------------- PERSONAL PRODUCTS -- 1.1% 346 Beauty Health (The) Co. (a) 4,014 350 BellRing Brands, Inc. (a) 8,291 111 elf Beauty, Inc. (a) 4,232 ------------- 16,537 ------------- PHARMACEUTICALS -- 1.9% 227 DICE Therapeutics, Inc. (a) 3,564 46 Intra-Cellular Therapies, Inc. (a) 2,312 253 Pacira BioSciences, Inc. (a) 13,278 280 Supernus Pharmaceuticals, Inc. (a) 9,584 ------------- 28,738 ------------- PROFESSIONAL SERVICES -- 2.3% 37 Exponent, Inc. 3,473 72 FTI Consulting, Inc. (a) 11,563 77 ICF International, Inc. 7,820 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- PROFESSIONAL SERVICES (CONTINUED) 259 KBR, Inc. $ 12,510 ------------- 35,366 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.4% 167 Ambarella, Inc. (a) 11,336 95 Axcelis Technologies, Inc. (a) 6,359 109 Impinj, Inc. (a) 9,732 67 Lattice Semiconductor Corp. (a) 3,611 109 MaxLinear, Inc. (a) 3,916 97 Onto Innovation, Inc. (a) 6,886 88 Power Integrations, Inc. 6,295 139 Semtech Corp. (a) 6,420 59 Silicon Laboratories, Inc. (a) 7,395 39 Synaptics, Inc. (a) 4,509 ------------- 66,459 ------------- SOFTWARE -- 12.6% 17 Aspen Technology, Inc. (a) 3,627 201 Box, Inc., Class A (a) 5,176 158 Braze, Inc., Class A (a) 6,506 226 Clear Secure, Inc., Class A (a) 5,184 147 CyberArk Software Ltd. (a) 21,209 80 Descartes Systems Group (The), Inc. (a) 5,632 81 Docebo, Inc. (a) 2,434 265 EngageSmart, Inc. (a) 5,292 186 Envestnet, Inc. (a) 9,741 139 Five9, Inc. (a) 13,637 132 Gitlab, Inc., Class A (a) 7,903 30 Guidewire Software, Inc. (a) 2,151 125 Manhattan Associates, Inc. (a) 17,658 148 nCino, Inc. (a) 4,668 55 Paylocity Holding Corp. (a) 13,255 360 Ping Identity Holding Corp. (a) 10,130 249 PROS Holdings, Inc. (a) 5,192 143 Q2 Holdings, Inc. (a) 5,680 71 Qualys, Inc. (a) 10,785 107 Rapid7, Inc. (a) 6,153 47 Sprout Social, Inc., Class A (a) 2,822 119 SPS Commerce, Inc. (a) 14,532 78 Tenable Holdings, Inc. (a) 3,090 8 Tyler Technologies, Inc. (a) 2,972 221 Varonis Systems, Inc. (a) 6,044 ------------- 191,473 ------------- SPECIALTY RETAIL -- 1.9% 31 Boot Barn Holdings, Inc. (a) 2,065 83 Floor & Decor Holdings, Inc., Class A (a) 6,753 531 Leslie's, Inc. (a) 7,529 33 Murphy USA, Inc. 9,576 357 Sportsman's Warehouse Holdings, Inc. (a) 2,842 ------------- 28,765 ------------- See Notes to Financial Statements Page 9 FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) PORTFOLIO OF INVESTMENTS (CONTINUED) AUGUST 31, 2022 SHARES DESCRIPTION VALUE --------------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 0.1% 26 Crocs, Inc. (a) $ 1,916 ------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% 47 Applied Industrial Technologies, Inc. 4,983 254 Core & Main, Inc., Class A (a) 5,987 70 SiteOne Landscape Supply, Inc. (a) 8,761 ------------- 19,731 ------------- TOTAL COMMON STOCKS -- 97.9% 1,484,796 (Cost $1,663,591) ------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------------- MONEY MARKET FUNDS -- 2.2% 33,119 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.06% (b) $ 33,119 (Cost $33,119) ------------- TOTAL INVESTMENTS -- 100.1% 1,517,915 (Cost $1,696,710) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (904) ------------- NET ASSETS -- 100.0% $ 1,517,011 ============= (a) Non-income producing security. (b) Rate shown reflects yield as of August 31, 2022. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of August 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 8/31/2022 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Common Stocks*.................................. $ 1,484,796 $ 1,484,796 $ -- $ -- Money Market Funds.............................. 33,119 33,119 -- -- -------------- -------------- -------------- -------------- Total Investments............................... $ 1,517,915 $ 1,517,915 $ -- $ -- ============== ============== ============== ============== * See Portfolio of Investments for industry breakout. Page 10 See Notes to Financial Statements FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) STATEMENT OF ASSETS AND LIABILITIES AUGUST 31, 2022 ASSETS: Investments, at value.................................................. $ 1,517,915 Dividends receivable................................................... 376 --------------- Total Assets........................................................ 1,518,291 --------------- LIABILITIES: Investment advisory fees payable....................................... 1,280 --------------- Total Liabilities................................................... 1,280 --------------- NET ASSETS............................................................. $ 1,517,011 =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 2,014,170 Par value.............................................................. 1,000 Accumulated distributable earnings (loss).............................. (498,159) --------------- NET ASSETS............................................................. $ 1,517,011 =============== NET ASSET VALUE, per share............................................. $ 15.17 =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 100,002 =============== Investments, at cost................................................... $ 1,696,710 =============== See Notes to Financial Statements Page 11 FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) STATEMENT OF OPERATIONS FOR THE PERIOD ENDED AUGUST 31, 2022 (a) INVESTMENT INCOME: Dividends.............................................................. $ 6,132 Foreign withholding tax................................................ (62) --------------- Total investment income............................................. 6,070 --------------- EXPENSES: Investment advisory fees............................................... 14,517 --------------- Total expenses...................................................... 14,517 --------------- NET INVESTMENT INCOME (LOSS)........................................... (8,447) =============== REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... (314,364) Foreign currency transactions....................................... (7) --------------- Net realized gain (loss)............................................... (314,371) --------------- Net change in unrealized appreciation (depreciation) on investments.... (178,795) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (493,166) --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ (501,613) =============== (a) Inception date is October 13, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 12 See Notes to Financial Statements FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) STATEMENT OF CHANGES IN NET ASSETS PERIOD ENDED 8/31/2022 (a) --------------- OPERATIONS: Net investment income (loss)......................................................... $ (8,447) Net realized gain (loss)............................................................. (314,371) Net change in unrealized appreciation (depreciation)................................. (178,795) --------------- Net increase (decrease) in net assets resulting from operations...................... (501,613) --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 2,018,624 Cost of shares redeemed.............................................................. -- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 2,018,624 --------------- Total increase (decrease) in net assets.............................................. 1,517,011 NET ASSETS: Beginning of period.................................................................. -- --------------- End of period........................................................................ $ 1,517,011 =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. -- Shares sold.......................................................................... 100,002 Shares redeemed...................................................................... -- --------------- Shares outstanding, end of period.................................................... 100,002 =============== (a) Inception date is October 13, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Financial Statements Page 13 FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD PERIOD ENDED 8/31/2022 (a) -------------- Net asset value, beginning of period........................... $ 20.19 -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.08) Net realized and unrealized gain (loss)........................ (4.94) -------- Total from investment operations............................... (5.02) -------- Net asset value, end of period................................. $ 15.17 ======== TOTAL RETURN (b)............................................... (24.86)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 1,517 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.95% (c) Ratio of net investment income (loss) to average net assets.... (0.55)% (c) Portfolio turnover rate (d).................................... 74% (a) Inception date is October 13, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 14 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 1. ORGANIZATION First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on February 22, 2016, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of fifty-six funds that are offering shares. This report covers the First Trust Multi-Manager Small Cap Opportunities ETF (the "Fund"), which trades under the ticker "MMSC" on the NYSE Arca, Inc. ("NYSE Arca"). The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the 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 Fund is an actively managed exchange-traded fund. The Fund seeks to provide long-term capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets (plus borrowing for investment purposes) in equity securities issued by small capitalization companies. The Fund considers small capitalization companies to be those companies with market capitalizations, at the time of investment, within the market capitalization range of the companies comprising the Russell 2000(R) Growth Index (as of the index's most recent reconstitution). The Fund's portfolio is principally composed of common stocks issued by companies domiciled in the United States and common stocks issued by non-U.S. companies that are principally traded in the United States. The Fund utilizes a multi-manager approach to provide exposure to the small capitalization growth segment of the equity market through the blending of multiple portfolio management teams. There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund is considered an investment company and follows 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 Fund 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 The 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. The Fund's NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. The Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Advisor's Pricing Committee in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Shares of open-end funds are valued at fair value which is based on NAV per share. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to Page 15 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 materially affect the value of the security after the market has closed but before the calculation of the Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of August 31, 2022, is included with the Fund's Portfolio of Investments. In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing requirements to determine fair value in good faith for purposes of the 1940 Act. The rule permits fund boards to designate a fund's investment adviser to perform fair value determinations, subject to board oversight and certain other conditions. The rule also defines when market quotations are "readily available" for purposes of the 1940 Act and requires a fund to fair value a portfolio investment when a market quotation is not readily available. The SEC also adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping requirements associated with fair value determinations. The compliance date for Rule 2a-5 and Rule 31a-4 is September 8, 2022. Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the Trust's Board of Trustees designated the Advisor as its valuation designee to perform fair value determinations and approved new Advisor Valuation Procedures for the Trust. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. C. FOREIGN CURRENCY The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates would be shown in "Net change in unrealized appreciation (depreciation) on foreign currency translation" on the Statement of Operations. Unrealized gains and losses on Page 16 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and are shown in "Net change in unrealized appreciation (depreciation) on investments" on the Statement of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and are included in "Net realized gain (loss) on foreign currency transactions" on the Statement of Operations. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in "Net realized gain (loss) on investments" on the Statement of Operations. D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income, if any, are declared and paid quarterly by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by the Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The Fund did not pay a distribution during its fiscal period ended August 31, 2022. As of August 31, 2022, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income................. $ (4,995) Accumulated capital and other gain (loss)..... (296,685) Net unrealized appreciation (depreciation).... (196,479) E. INCOME TAXES The Fund intends 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, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Fund is 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 period ended 2022 remains open to federal and state audit. As of August 31, 2022, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's financial statements for uncertain tax positions. The 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. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At August 31, 2022, for federal income tax purposes, the Fund had $296,685 capital loss carryforwards available, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to the Fund's shareholders. 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 period ended August 31, 2022, the Fund incurred and elected to defer net late year ordinary or capital losses as follows: Qualified Late Year Losses ----------------------------------------- Ordinary Losses Capital Losses ---------------- -------------- $ 4,995 $ -- 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 Statement 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 Page 17 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 difference between book and tax treatments of income and gains on various investment securities held by the Fund and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal period ended August 31, 2022, the adjustments for the Fund were as follows: Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital -------------- -------------- -------------- $ 3,452 $ 2 $ (3,454) As of August 31, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) -------------- -------------- -------------- -------------- $ 1,714,394 $ 106,194 $ (302,673) $ (196,479) F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Fund, 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 ongoing monitoring of the securities in the Fund's portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the Fund's portfolio based on recommendations provided by the Sub-Advisors (defined below) and is responsible for the expenses of the Fund including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services and license fees (if any), but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, which are paid by the Fund. The Fund has agreed to pay First Trust an annual management fee equal to 0.95% of its average daily net assets. The Fund utilizes a multi-manager structure. The Trust, on behalf of the Fund, and First Trust have retained Driehaus Capital Management LLC ("DCM") and Stephens Investment Management Group, LLC ("SIMG") (each, a "Sub-Advisor" and together, "Sub-Advisors"), to serve as non-discretionary investment sub-advisors to the Fund pursuant to sub-advisory agreements (the "Sub-Advisory Agreements"). In this capacity, DCM and SIMG are each responsible for providing recommendations to First Trust regarding the selection and allocation of the securities in the portion of the Fund's portfolio they have been allocated by First Trust. Pursuant to the Sub-Advisory Agreements, First Trust has agreed to pay for the services and facilities provided by the Sub-Advisors through sub-advisory fees equal in the aggregate to an annual rate of 0.35% of the average daily net assets of the Fund (i.e., for each sub-advisor, 0.35% of the average daily net assets of the portion of the Fund's assets allocated to that sub-advisor). Each Sub-Advisor's fees are paid by First Trust out of First Trust's management fee. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BNYM is responsible for custody of the Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for the Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or an index fund. Page 18 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 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 period ended August 31, 2022, the cost of purchases and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were $1,267,877 and $1,263,933, respectively. For the fiscal period ended August 31, 2022, the cost of in-kind purchases and proceeds from in-kind sales were $1,974,210 and $0, respectively. 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES The 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 the 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, the 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 the 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 the 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 the Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund's shares at or close to the NAV per share of the Fund. The 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 the 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. The 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 the 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 the 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 Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Fund, 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 Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before October 8, 2023. Page 19 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 7. INDEMNIFICATION The Trust, on behalf of the Fund, 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 Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 20 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND VIII: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statement of assets and liabilities of First Trust Multi-Manager Small Cap Opportunities ETF (the "Fund"), a series of the First Trust Exchange-Traded Fund VIII, including the portfolio of investments, as of August 31, 2022, the related statement of operations, the statement of changes in net assets, and the financial highlights for the period from October 13, 2021 (commencement of operations) through August 31, 2022, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2022, and the results of its operations, the changes in its net assets, and the financial highlights for the period from October 13, 2021 (commencement of operations) through August 31, 2022, 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 Fund's management. Our responsibility is to express an opinion on the Fund's 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 Fund 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 Fund is not required to have, nor were we engaged to perform, an audit of its 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 Fund's 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 August 31, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois October 25, 2022 We have served as the auditor of one or more First Trust investment companies since 2001. Page 21 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how the 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 the Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS The 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. The 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 the Fund is available to investors within 60 days after the period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION There were no distributions made by the Fund during the Fund's fiscal period ended August 31, 2022; therefore, no analysis for the corporate dividends received deduction and qualified dividend income was completed. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. Page 22 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 (UNAUDITED) DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the 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. Page 23 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 (UNAUDITED) MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Market risk is the risk that a particular security, or shares of a fund in general, may fall in value. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed "reasonably" normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. These events also adversely affect the prices and liquidity of 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. 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 LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Fund and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Page 24 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 (UNAUDITED) Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 18, 2022 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Fund primarily holds assets that are highly liquid investments, the Fund has not adopted any highly liquid investment minimum. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 25 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician, Edward-Elmhurst Medical 220 None (1951) Group; Physician and Officer, o Since Inception Wheaton Orthopedics (1990 to 2021) Thomas R. Kadlec, Trustee o Indefinite Term Retired; President, ADM Investors 220 Director, National Futures (1957) Services, Inc. (Futures Commission Association and ADMIS o Since Inception Merchant) (2010 to July 2022) Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMISHong Kong Ltd., and Futures Industry Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate 220 Director and Board Chair (1964) Aurora Health and President, of Advocate Home Health o Since 2021 Advocate Aurora Continuing Health Services, Advocate Home Division (Integrated Healthcare Care Products and System) Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises 220 Formerly, Director of (1956) (Financial and Management Trust Company of Illinois o Since Inception Consulting) Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (2018 to Present), 220 None (1954) Managing Director and Chief o Since Inception Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First 220 None Chairman of the Board Trust Advisors L.P. and First Trust (1955) o Since Inception Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 26 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 (UNAUDITED) POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer, First (1966) Executive Officer Trust Advisors L.P. and First Trust Portfolios L.P.; o Since Inception Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1972) Officer and Chief First Trust Portfolios L.P. Accounting Officer o Since Inception W. Scott Jardine Secretary and Chief Legal o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. and (1966) and Assistant Secretary First Trust Portfolios L.P. o Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 27 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST MULTI-MANAGER SMALL CAP OPPORTUNITIES ETF (MMSC) AUGUST 31, 2022 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2022 Page 28 FIRST TRUST First Trust Exchange-Traded Fund VIII INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISORS Driehaus Capital Management LLC 25 East Erie Street Chicago, IL 60611 Stephens Investment Management Group, LLC 111 Center Street Little Rock, Arkansas 72201 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]