FIRST TRUST

First Trust Exchange-Traded Fund
Book 3

First Trust Total US Market AlphaDEX(R) ETF (TUSA)
First Trust Dorsey Wright People's Portfolio ETF (DWPP)
First Trust Dow 30 Equal Weight ETF (EDOW)
First Trust Lunt U.S. Factor Rotation ETF (FCTR)

Annual Report
December 31, 2021





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TABLE OF CONTENTS
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                        FIRST TRUST EXCHANGE-TRADED FUND
                                 ANNUAL REPORT
                               DECEMBER 31, 2021

Shareholder Letter..........................................................   2
Market Overview.............................................................   3
Fund Performance Overview
   First Trust Total US Market AlphaDEX(R) ETF (TUSA).......................   4
   First Trust Dorsey Wright People's Portfolio ETF (DWPP)..................   6
   First Trust Dow 30 Equal Weight ETF (EDOW)...............................   8
   First Trust Lunt U.S. Factor Rotation ETF (FCTR).........................  10
Notes to Fund Performance Overview..........................................  12
Understanding Your Fund Expenses............................................  13
Portfolio of Investments
   First Trust Total US Market AlphaDEX(R) ETF (TUSA).......................  14
   First Trust Dorsey Wright People's Portfolio ETF (DWPP)..................  29
   First Trust Dow 30 Equal Weight ETF (EDOW)...............................  36
   First Trust Lunt U.S. Factor Rotation ETF (FCTR).........................  37
Statements of Assets and Liabilities........................................  40
Statements of Operations....................................................  41
Statements of Changes in Net Assets.........................................  42
Financial Highlights........................................................  44
Notes to Financial Statements...............................................  46
Report of Independent Registered Public Accounting Firm.....................  55
Additional Information......................................................  56
Board of Trustees and Officers..............................................  59
Privacy Policy..............................................................  61





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                  CAUTION REGARDING FORWARD-LOOKING STATEMENTS

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

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

                        PERFORMANCE AND RISK DISCLOSURE

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

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

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

                            HOW TO READ THIS REPORT

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

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

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


                                                                          Page 1





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SHAREHOLDER LETTER
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                        FIRST TRUST EXCHANGE-TRADED FUND
                    ANNUAL LETTER FROM THE CHAIRMAN AND CEO
                               DECEMBER 31, 2021

Dear Shareholders:

First Trust is pleased to provide you with the annual report for certain funds
in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed
information about the Funds for the twelve months ended December 31, 2021.

Being that this is a year-end review, I would like to touch on the state of the
business climate and securities markets in the U.S. The two biggest stories in
2021 were clearly the ongoing fight against the coronavirus ("COVID-19")
pandemic and the surge in the rate of inflation, which I believe is a byproduct
of that fight. The COVID-19 pandemic is closing in on its second anniversary and
it continues to curb economic activity in the U.S. and abroad. It is nearly as
challenging today as it was at its peak in 2020.

The emergence of the Omicron variant in the latter half of 2021 was particularly
disappointing because we had been making some inroads into fully reopening the
U.S. economy until its arrival. Americans were dining out. Airline travel was
picking up and people were even taking cruises again. We have learned that the
Omicron variant, while seemingly not as dangerous as its predecessor, the Delta
variant, at least in terms of the number of deaths to date, is still extremely
contagious, especially for those individuals who have not been vaccinated. The
U.S. federal government has funneled trillions of dollars of stimulus and
subsidies into the financial system to mitigate the economic fallout from the
pandemic. That level of support is unprecedented and has likely fueled much of
the surge in inflation, as measured by the Consumer Price Index ("CPI"). The
standard definition for inflation is "too many dollars chasing too few goods."
The explosion of the U.S. money supply has easily overwhelmed the volume of
goods available to consumers. Global supply chain bottlenecks, including the
backlog of container ships at ports in Southern California, have also
contributed to the shortages of goods. In December 2021, the trailing 12-month
rate on the CPI was 7.0%, up from 1.4% last December, according to the U.S.
Bureau of Labor Statistics. The last time inflation was this elevated was in
1982.

Since the onset of COVID-19, companies and millions of employees have scrambled
to adapt to the new normal of working remotely, typically from home. What an
amazing thing to watch. While opinions may vary, it has become evident that the
workplace culture has probably changed forever. According to Barron's magazine,
we should look for more of a hybrid arrangement moving forward that would entail
workers being at the office for three days a week and home for two. I do not
believe that the stock and bond markets would have performed nearly as well over
the past two years had U.S. businesses not overcome the adversity brought their
way by COVID-19. Oh, and the trillions of dollars from the government. In 2021,
the S&P 500(R) Index posted a total return of 28.71%, and that came on the heels
of an 18.40% gain in 2020, according to Bloomberg. From 1926-2021 (a span of 96
years), the S&P 500(R) Index posted an average annual total return of 10.44%,
according to Morningstar/Ibbotson Associates. Investors should relish these
outsized returns. Bond investors have earned more modest total returns over the
past two years. Bond returns were higher for most bond categories in 2020 due to
the artificially depressed yield on the 10-Year Treasury Note ("T-Note"). The
10-Year T-Note yield trended higher in 2021, putting some pressure on bond
prices. Expect the Federal Reserve to tighten monetary policy by raising
short-term interest rates. It could begin as early as March 2022. While the
markets could experience some near-term pain, I believe normalizing interest
rates and bond yields will prove to be a healthy and necessary transition for
the markets long-term.

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

Sincerely,

/s/ James A. Bowen

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


Page 2





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MARKET OVERVIEW
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                        FIRST TRUST EXCHANGE-TRADED FUND
                                 ANNUAL REPORT
                               DECEMBER 31, 2021

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

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

STATE OF THE ECONOMY/INVESTING

Inflation surged in 2021 and it looks as though it is here to stay. Federal
Reserve (the "Fed") Chairman Jerome Powell has changed his expectations on
inflation from characterizing it as transitory to it being more persistent in
nature. In the hopes of keeping inflation from becoming entrenched, the Fed
announced it will expedite the tapering of its monthly bond buying program as of
December 2021. This program has been successful at pushing down intermediate and
longer maturity bond yields and keeping them artificially low to help stimulate
economic activity. The Fed will reduce its purchases of Treasuries and
mortgage-backed securities by $30 billion per month. At that pace, it should be
done buying bonds in the open market by the end of March 2022. They also foresee
hiking short-term interest rates three times in 2022. The Federal Funds target
rate (upper bound) is currently at 0.25%. The trailing 12-month Consumer Price
Index rate stood at 7.0% in December 2021, according to the U.S. Bureau of Labor
Statistics. That is up significantly from 1.4% in December 2020 and well above
its 2.3% average rate over the past 30 years.

The global growth forecast from the International Monetary Fund ("IMF") released
in October 2021 sees real gross domestic product growth rising by 4.9% worldwide
in 2022, down from its 5.9% projection for 2021. The IMF is calling for a 5.2%
growth rate for the U.S. in 2022, down from its 6.0% estimate for 2021. As has
been the case for many years, Emerging Market and Developing Economies are
expected to grow faster than Advanced Economies. Their 2022 growth rate
estimates are 5.1% and 4.5%, respectively.

The exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs")
industry grew significantly in 2021. ETFGI, an independent research and
consultancy firm, reported that total assets invested in ETFs/ETPs listed in the
U.S. stood at an all-time high of $7.21 trillion as of year-end, up 31.81% from
the $5.47 trillion at the end of 2020, according to its own release. Net inflows
to ETFs/ETPs listed in the U.S. hit a record high of $919.78 billion in 2021,
topping the prior record of $490.19 billion in 2020. U.S. ETF/ETP assets
represent approximately 72% of total global ETF/ETP assets.

U.S. STOCKS AND BONDS

In 2021, three of the major U.S. stock indices posted substantial double-digit
gains. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R)
Index posted total returns of 28.71%, 24.76%, and 26.82%, respectively,
according to Bloomberg. All 11 major sectors that comprise the S&P 500(R) Index
posted positive double-digit total returns. The top-performing sectors were
Energy, Real Estate, Financials and Information Technology, up 54.64%, 46.14%,
35.04% and 34.53%, respectively, while the worst-performing sector was
Utilities, up 17.67%. As we have noted often, we believe that when the major
stock indices are trading at or near their record highs in maturing bull
markets, corporate earnings need to continue to grow to drive the market higher.
Bloomberg's consensus year-over-year earnings growth rate estimates for the S&P
500(R) Index for 2022 and 2023 were 8.74% and 9.97%, respectively, as of
December 31, 2021. These projections, while positive, are more typical than
Bloomberg's 2021 growth estimate of 47.26%, which reflects a robust rebound from
the coronavirus-induced -12.44% earnings growth rate posted in 2020.

The yield on the benchmark 10-Year Treasury Note closed trading on December 31,
2021, at 1.51%, according to Bloomberg. The 1.51% yield stood 52 basis points
("bps") below its 2.03% average for the 10-year period ended December 31, 2021.
Its yield rose 59 bps in 2021. The more than half-point rise was enough of a
headwind to push the returns of taxable investment-grade bonds into negative
territory. It was risk-on for investors in 2021. The top performing fixed-income
bond category we track was high yield corporates. The Bloomberg U.S. Corporate
High Yield Index posted a total return of 5.28% for the year. Investors were
willing to accept more risk to garner a higher return. The good news is that the
default rate on speculative-grade (high yield) debt is low by historical
standards. Moody's reported that its global speculative-grade default rate stood
at 1.7% in December. Moody's puts the historical average default rate at 4.1%
(1983-2021). Its baseline scenario sees the default rate increasing to 2.4% by
December 2022 but staying well below its average.

FOREIGN STOCKS AND BONDS

The U.S. dollar appreciated by 6.37% against a basket of major currencies in
2021, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The
DXY closed 2021 at a reading of 95.67, above its 20-year average of 88.89. The
stronger U.S. dollar likely had a negative influence on the returns of unhedged
foreign securities held by U.S. investors.

The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a
total return of -2.57% (USD), while the Bloomberg Global Aggregate Index of
higher quality debt declined 4.71% (USD). With respect to equities, the MSCI
Emerging Markets Index of stocks posted a total return of -2.54% (USD), while
the MSCI World ex USA Index rose by 12.62% (USD) on a total return basis,
according to Bloomberg.


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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

The First Trust Total US Market AlphaDEX(R) ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the NASDAQ AlphaDEX(R) Total US Market
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The Index is a modified market capitalization index designed to
quantitatively identify and select U.S. exchange-listed securities issued by
small, mid and large cap U.S. companies that exhibit growth and value factors
and appear to have the greatest potential for capital appreciation. The Index is
rebalanced and reconstituted quarterly and the Fund will make corresponding
changes to its portfolio shortly after the Index changes are made public. The
Fund's shares are listed for trading on The Nasdaq Stock Market LLC. The first
day of secondary market trading in shares of the Fund was December 7, 2006.



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PERFORMANCE
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                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (12/5/06)      Ended       Ended       (12/5/06)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                            25.12%      13.86%      12.03%        7.62%        91.35%     211.33%       202.44%
Market Value                                   25.31%      13.87%      12.04%        7.63%        91.48%     211.72%       203.03%

INDEX PERFORMANCE
NASDAQ AlphaDEX(R) Total US Market Index*      26.08%      14.72%       N/A           N/A         98.68%       N/A           N/A
Russell 3000(R) Index                          25.66%      17.97%      16.30%       10.54%       128.45%     352.85%       352.91%
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*     On January 9, 2015, the Fund's underlying index changed from the Value
      Line(R) Equity Allocation Index to the NASDAQ AlphaDEX(R) Total US Market
      Index. Therefore, the Fund's performance and total returns shown for the
      periods prior to January 9, 2015, are not necessarily indicative of the
      performance the Fund, based on its current index, would have generated.
      Since the Fund's current underlying index had an inception date of
      September 8, 2014, it was not in existence for all of the periods
      disclosed. (See Notes to Fund Performance Overview on page 12.)

PERFORMANCE REVIEW

The Fund generated a net asset value ("NAV") return of 25.12% during the
12-month period covered by this report. During the same period, the Russell
3000(R) Index (the "Benchmark") generated a return of 25.66%. The sector with
the highest allocation in the Fund was the Financials sector, which received a
19.7% weighting. Investments in this sector returned 35.4% and contributed 6.4%
to the Fund's total overall performance. The worst performing sector were the
investments in the Communication Services sector, which returned 5.3%. These
investments received an allocation of 5.1% and contributed 0.7% to the Fund's
total return. On a relative basis, the Fund slightly underperformed the
Benchmark. The greatest area of underperformance was in the investments in
Information Technology stocks. Investments in this sector caused -2.3% of
underperformance. Meanwhile, investments in the Consumer Discretionary sector
caused 0.9% of outperformance for the Fund versus the Benchmark.

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Nasdaq(R) and NASDAQ AlphaDEX(R) Total US Market Index are registered trademarks
and service marks of Nasdaq, Inc. (together with its affiliates hereinafter
referred to as the "Corporations") and are licensed for use by First Trust.
AlphaDEX(R) is a registered trademark owned by First Trust that has been
licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been
passed on by the Corporations as to its legality or suitability. The Fund is not
issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.


Page 4





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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) (CONTINUED)

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                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials                                     20.8%
Information Technology                         15.2
Consumer Discretionary                         14.4
Health Care                                    12.5
Industrials                                    11.6
Materials                                       5.6
Utilities                                       5.1
Energy                                          3.8
Consumer Staples                                3.8
Real Estate                                     3.6
Communication Services                          3.6
                                             -------
   Total                                      100.0%
                                             =======

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                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Micron Technology, Inc.                         0.5%
D.R. Horton, Inc.                               0.5
Lennar Corp., Class A                           0.5
AutoZone, Inc.                                  0.5
Fortinet, Inc.                                  0.5
KKR & Co., Inc.                                 0.5
DuPont de Nemours, Inc.                         0.5
Tractor Supply Co.                              0.5
Palo Alto Networks, Inc.                        0.5
PerkinElmer, Inc.                               0.5
                                             -------
   Total                                        5.0%
                                             =======



     PERFORMANCE OF A $10,000 INITIAL INVESTMENT
        DECEMBER 31, 2011 - DECEMBER 31, 2021

             First Trust
           Total US Market            Russell 3000(R)
           AlphaDEX(R) ETF                 Index
                                    
12/11          $10,000                    $10,000
06/12           10,174                     10,932
12/12           10,874                     11,641
06/13           12,443                     13,278
12/13           14,642                     15,547
06/14           15,380                     16,626
12/14           14,988                     17,499
06/15           15,165                     17,838
12/15           14,091                     17,583
06/16           14,550                     18,220
12/16           16,271                     19,822
06/17           17,499                     21,592
12/17           19,433                     24,010
06/18           20,294                     24,783
12/18           17,465                     22,751
06/19           20,446                     27,008
12/19           21,893                     29,809
06/20           19,110                     28,772
12/20           24,884                     36,039
06/21           29,502                     41,484
12/21           31,133                     45,285


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 5





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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

The First Trust Dorsey Wright People's Portfolio ETF (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an index called the Nasdaq Dorsey Wright People's
Portfolio Index (the "Index"). The Fund will normally invest at least 80% of its
total assets (including investment borrowings) in the common stocks or an
exchange-traded fund ("ETF") that comprise the Index. The Index is a modified
market-capitalization weighted index designed to tactically allocate exposure to
one of three allocations: (i) Nasdaq US 500 Large Cap Index; (ii) Nasdaq US 500
Large Cap Equal Weight Index; or (iii) First Trust Enhanced Short Maturity ETF
("FTSM") (each, an "Underlying Allocation"), based on daily relative strength
readings. The Nasdaq US 500 Large Cap Index and the Nasdaq US 500 Large Cap
Equal Weight Index (each, an "Underlying Equity Index") are equity indices that
seek to provide exposure to the 500 securities with the highest float-adjusted
market capitalization comprising the Nasdaq US Benchmark Index. Therefore, each
Underlying Equity Index is composed of the same constituent securities. What
differs, however, is the methodology each Underlying Equity Index utilizes to
assign security weights. The Nasdaq US 500 Large Cap Index assigns security
weights based on market capitalization and the Nasdaq US 500 Large Cap Equal
Weight Index weights components equally. The third Underlying Allocation is
FTSM. FTSM is an actively-managed ETF that invests in short-duration securities,
which are primarily U.S. dollar-denominated, investment-grade securities. The
Index is rebalanced and reconstituted periodically and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the Nasdaq Stock Market LLC.
The first day of secondary market trading in shares of the Fund was August 30,
2012.



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PERFORMANCE
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                                                                                AVERAGE ANNUAL               CUMULATIVE
                                                                                 TOTAL RETURNS              TOTAL RETURNS
                                                                 1 Year     5 Years      Inception     5 Years      Inception
                                                                 Ended       Ended       (8/29/12)      Ended       (8/29/12)
                                                                12/31/21    12/31/21    to 12/31/21    12/31/21    to 12/31/21
                                                                                                    
FUND PERFORMANCE
NAV                                                              25.71%       9.36%        7.71%        56.43%       100.19%
Market Value                                                     25.77%       9.32%        7.71%        56.14%       100.07%

INDEX PERFORMANCE
Nasdaq Dorsey Wright People's Portfolio Index*                   26.48%       N/A           N/A          N/A           N/A
S&P 500(R) Index                                                 28.71%      18.47%       16.20%       133.41%       306.45%
Nasdaq US 500 Large Cap Index                                    26.48%      18.70%         N/A        135.62%         N/A
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*     On August 18, 2017, the Fund's underlying index changed from the CBOE(R)
      VIX(R) Tail Hedge Index to the Nasdaq Dorsey Wright People's Portfolio
      Index (the "Index"). Therefore, the Fund's performance and total returns
      shown for the periods prior to August 18, 2017, are not necessarily
      indicative of the performance the Fund, based on its current index, would
      have generated. Since the Index had an inception date of July 24, 2017, it
      was not in existence for all of the periods disclosed.

(See Notes to Fund Performance Overview on page 12.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 25.71% during the 12-month period covered by
this report. During the same period, the S&P 500(R) Index (the "Benchmark")
generated a return of 28.71%. The Information Technology sector received the
largest allocation in the Fund during the period with a weight of 29.9% and
generated the largest contribution to the Fund's return at 9.2%. Investments in
the Utilities sector generated the smallest contribution to the Fund's return
during the period at 0.4%. On a relative basis, the Fund underperformed the
Benchmark. The Fund's investments in the Communication Services sector were the
largest source of underperformance compared to the Benchmark where the Fund
underperformed by -1.0%. The Fund's relative underperformance was marginally
reduced by investments in the Financials sector where the Fund outperformed the
Benchmark by 0.1%.

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


Page 6





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

FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         31.3%
Health Care                                    13.7
Consumer Discretionary                         12.8
Financials                                     10.4
Communication Services                          8.5
Industrials                                     7.7
Consumer Staples                                6.0
Real Estate                                     2.8
Energy                                          2.6
Utilities                                       2.4
Materials                                       1.8
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Apple, Inc.                                     7.1%
Microsoft Corp.                                 6.4
Amazon.com, Inc.                                3.8
Tesla, Inc.                                     2.3
Alphabet, Inc., Class A                         2.2
Meta Platforms, Inc., Class A                   1.9
NVIDIA Corp.                                    1.7
UnitedHealth Group, Inc.                        1.2
JPMorgan Chase & Co.                            1.2
Johnson & Johnson                               1.1
                                             -------
   Total                                       28.9%
                                             =======



         PERFORMANCE OF A $10,000 INITIAL INVESTMENT
             AUGUST 29, 2012 - DECEMBER 31, 2021

                 First Trust
                Dorsey Wright             S&P 500(R)
            People's Portfolio ETF          Index
                                     
08/12              $10,000                 $10,000
12/12                9,863                  10,193
06/13               10,686                  11,602
12/13               11,738                  13,494
06/14               12,251                  14,457
12/14               13,525                  15,342
06/15               13,175                  15,531
12/15               12,730                  15,554
06/16               12,551                  16,151
12/16               12,800                  17,414
06/17               13,952                  19,040
12/17               15,579                  21,214
06/18               15,782                  21,776
12/18               14,292                  20,284
06/19               17,139                  24,045
12/19               18,609                  26,673
06/20               14,206                  25,851
12/20               15,925                  31,580
06/21               18,157                  36,396
12/21               20,019                  40,645


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the 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 7





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

FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)

The First Trust Dow 30 Equal Weight ETF (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Dow Jones Industrial Average(R) Equal
Weight Index (the "Index"). The Fund will normally invest at least 90% of its
net assets (including investment borrowings) in the common stocks that comprise
the Index. The Index is an equal weight version of the Dow Jones Industrial
Average(R) (the "DJIA"). The 30 securities comprising the DJIA are issued by
blue-chip U.S. companies covering all industries, with the exception of
transportation and utilities. Inclusion in the DJIA is not governed by
quantitative rules but rather is based on the following criteria: (i) the
company is not a utility or in the transportation business; (ii) the company has
a premier reputation in its field; (iii) the company has a history of successful
growth; (iv) there is wide interest in the company among individual and
institutional investors; and (v) the company should be incorporated and
headquartered in the U.S. Whenever one component is changed, the others are
reviewed. For the sake of historical continuity, composition changes are rarely
made. In the event that there is a change in the components of the DJIA, the
component removed from the DJIA will simultaneously be removed from the Index
and the component that replaces the removed component will be added to the Index
at the same weight as the component that was removed. The Index is rebalanced
quarterly and reconstituted as needed and the Fund will make corresponding
changes to its portfolio shortly after the Index changes are made public. The
Fund's shares are listed for trading on the NYSE Arca, Inc. The first day of
secondary market trading in shares of the Fund was August 9, 2017.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                                                      AVERAGE ANNUAL         CUMULATIVE
                                                                                       TOTAL RETURNS        TOTAL RETURNS
                                                                       1 Year            Inception            Inception
                                                                       Ended             (8/8/17)             (8/8/17)
                                                                      12/31/21          to 12/31/21          to 12/31/21
                                                                                                    
FUND PERFORMANCE
NAV                                                                    18.63%             13.22%               72.63%
Market Value                                                           18.59%             13.22%               72.63%

INDEX PERFORMANCE
Dow Jones Industrial Average(R) Equal Weight Index                     19.35%             13.94%               77.53%
Dow Jones Industrial Average(R)                                        20.95%             14.51%               81.46%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 12.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 18.63% during the 12-month period covered by
this report. During the same period, the Dow Jones Industrial Average(R) (the
"Benchmark") generated a return of 20.95%. The Information Technology sector
received the largest investment allocation during the period with an average
weight of 23.5%. This sector also generated the largest contribution to the
Fund's return at 5.6%. Investments in the Communication Services sector
generated the largest negative contribution to the Fund's return at -0.7%. On a
relative basis, the Fund underperformed the Benchmark. The largest source of
underperformance came from the Consumer Discretionary sector where the Fund
underperformed the Benchmark by -0.7%. The Industrials sector generated positive
relative performance for the Fund where the Fund outperformed by 0.9% versus the
Benchmark.

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


Page 8





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

FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         23.3%
Health Care                                    13.8
Consumer Staples                               13.7
Industrials                                    13.1
Financials                                     13.0
Consumer Discretionary                          9.8
Communication Services                          6.7
Materials                                       3.4
Energy                                          3.2
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
International Business Machines Corp.           3.5%
Cisco Systems, Inc.                             3.5
Amgen, Inc.                                     3.5
Merck & Co., Inc.                               3.5
Walgreens Boots Alliance, Inc.                  3.5
Procter & Gamble (The) Co.                      3.4
Coca-Cola (The) Co.                             3.4
UnitedHealth Group, Inc.                        3.4
Dow, Inc.                                       3.4
Verizon Communications, Inc.                    3.4
                                             -------
   Total                                       34.5%
                                             =======



                             PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                  AUGUST 8, 2017 - DECEMBER 31, 2021

                                        Dow Jones Industrial
            First Trust Dow 30            Average(R) Equal            Dow Jones Industrial
             Equal Weight ETF               Weight Index                   Average(R)
                                                                   
08/17            $10,000                      $10,000                       $10,000
12/17             11,102                       11,124                        11,302
06/18             11,024                       11,069                        11,219
12/18             11,004                       11,079                        10,908
06/19             12,615                       12,739                        12,588
12/19             13,676                       13,849                        13,674
06/20             12,342                       12,576                        12,521
12/20             14,552                       14,874                        15,004
06/21             16,500                       16,922                        17,072
12/21             17,263                       17,753                        18,146


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                          Page 9





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

FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)

The First Trust Lunt U.S. Factor Rotation ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Lunt Capital Large Cap Factor
Rotation Index (the "Index"). The Fund will normally invest at least 90% of its
net assets (including investment borrowings) in the common stocks that comprise
the Index. The Index is owned and was developed by Lunt Capital Management, Inc.
(the "Index Provider"). The Index is calculated and maintained by Nasdaq, Inc.
The Index is designed to track the performance of U.S. securities exhibiting
desirable factor exposure. The Index utilizes the Index Provider's risk-adjusted
relative strength methodology to allocate exposure to securities exhibiting
either high or low levels of the characteristics associated with one of four
primary investing factors: momentum, value, quality and volatility. The Index is
rebalanced and reconstituted periodically and the Fund will make corresponding
changes to its portfolio after the Index changes are made public. The Fund's
shares are listed for trading on CBOE BZX Exchange, Inc. The first day of
secondary market trading in shares of the Fund was July 26, 2018.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                                                      AVERAGE ANNUAL         CUMULATIVE
                                                                                      TOTAL RETURNS         TOTAL RETURNS
                                                                       1 Year           Inception             Inception
                                                                       Ended            (7/25/18)             (7/25/18)
                                                                      12/31/21         to 12/31/21           to 12/31/21
                                                                                                    
FUND PERFORMANCE
NAV                                                                    21.22%             18.77%               80.60%
Market Value                                                           21.21%             18.78%               80.65%

INDEX PERFORMANCE
Lunt Capital Large Cap Factor Rotation Index                           22.10%             19.68%               85.40%
Nasdaq US 500 Large Cap Index                                          26.48%             18.63%               79.85%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 12.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 21.22% during the 12-month period covered by
this report. During the same period, the Nasdaq US 500 Large Cap Index (the
"Benchmark") generated a return of 26.48%. The Health Care sector received the
largest allocation in the Fund during the period with an average weight of
19.8%. The Fund's investments in the Energy sector generated the largest
contribution to the Fund's return at 5.5% while investments in the Communication
Services sector generated the largest negative contribution at -0.7%. On a
relative basis, the Fund underperformed the Benchmark. The Information
Technology sector was the largest source of underperformance where the Fund
lagged the Benchmark by -7.0%. A portion of the Fund's relative underperformance
was reduced by investments in the Energy sector where the Fund outperformed the
Benchmark by 3.2%.

-----------------------------
Lunt Capital Management, Inc. ("Lunt") and the Lunt Capital Large Cap Factor
Rotation Index ("Lunt Index") are trademarks of Lunt and have been licensed for
use for certain purposes by First Trust. The First Trust Lunt U.S. Factor
Rotation ETF is based on the Lunt Index and is not sponsored, endorsed, sold or
promoted by Lunt, and Lunt makes no representation regarding the advisability of
trading in such fund. Lunt has contracted with Nasdaq, Inc. to calculate and
maintain the Lunt Index. The Fund is not sponsored, endorsed, sold or promoted
by Nasdaq, Inc. or its affiliates (Nasdaq, with its affiliates, hereinafter
referred to as the "Corporations"). The Corporations have not passed on the
legality or suitability of, or the accuracy or adequacy of descriptions and
disclosures relating to, the Fund. The Corporations make no representation or
warranty, express or implied to the owners of the Fund or any member of the
public regarding the advisability of investing in securities generally or in the
Fund particularly, or the ability of the Lunt Index to track general stock
performance.


Page 10





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

FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         32.5%
Health Care                                    19.2
Industrials                                    10.5
Consumer Discretionary                         10.4
Financials                                      9.7
Consumer Staples                                9.1
Communication Services                          4.1
Real Estate                                     2.2
Materials                                       1.8
Utilities                                       0.5
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Procter & Gamble (The) Co.                      1.8%
Quest Diagnostics, Inc.                         1.7
Cloudflare, Inc., Class A                       1.7
Moody's Corp.                                   1.6
Colgate-Palmolive Co.                           1.6
Costco Wholesale Corp.                          1.5
IDEXX Laboratories, Inc.                        1.5
Bill.com Holdings, Inc.                         1.4
Monster Beverage Corp.                          1.4
Zscaler, Inc.                                   1.3
                                             -------
   Total                                       15.5%
                                             =======



                          PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                               JULY 25, 2018 - DECEMBER 31, 2021

            First Trust Lunt U.S.       Lunt Capital Large Cap        Nasdaq US 500
             Factor Rotation ETF        Factor Rotation Index        Large Cap Index
                                                                
07/18              $10,000                     $10,000                   $10,000
12/18                8,791                       8,813                     8,869
06/19               10,828                      10,901                    10,567
12/19               11,459                      11,578                    11,711
06/20               11,988                      12,168                    11,509
12/20               14,899                      15,184                    14,220
06/21               17,627                      18,031                    16,261
12/21               18,060                      18,540                    17,985


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                         Page 11





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

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

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

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


Page 12





FIRST TRUST EXCHANGE-TRADED FUND

UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2021 (UNAUDITED)

As a shareholder of First Trust Total US Market AlphaDEX(R) ETF, First Trust
Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF or
First Trust Lunt U.S. Factor Rotation ETF (each a "Fund" and collectively, the
"Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing
costs, including management fees, distribution and/or service (12b-1) fees, if
any, and other Fund expenses. This Example is intended to help you understand
your ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended December 31, 2021.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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



-----------------------------------------------------------------------------------------------------------------------------
                                                                                              ANNUALIZED
                                                                                             EXPENSE RATIO      EXPENSES PAID
                                                     BEGINNING             ENDING            BASED ON THE        DURING THE
                                                   ACCOUNT VALUE        ACCOUNT VALUE          SIX-MONTH          SIX-MONTH
                                                   JULY 1, 2021       DECEMBER 31, 2021         PERIOD           PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------------
                                                                                                        
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
Actual                                               $1,000.00            $1,055.40              0.70% (a)          $3.63
Hypothetical (5% return before expenses)             $1,000.00            $1,021.68              0.70% (a)          $3.57

FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO
   ETF (DWPP)
Actual                                               $1,000.00            $1,102.50              0.60%              $3.18
Hypothetical (5% return before expenses)             $1,000.00            $1,022.18              0.60%              $3.06

FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
Actual                                               $1,000.00            $1,046.20              0.50%              $2.58
Hypothetical (5% return before expenses)             $1,000.00            $1,022.68              0.50%              $2.55

FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
Actual                                               $1,000.00            $1,024.60              0.65%              $3.32
Hypothetical (5% return before expenses)             $1,000.00            $1,021.93              0.65%              $3.31



(a)   These expense ratios reflect an expense cap. See Note 3 in Notes to
      Financial Statements.

(b)   Expenses are equal to the annualized expense ratio as indicated in the
      table multiplied by the average account value over the period (July 1,
      2021 through December 31, 2021), multiplied by 184/365 (to reflect the
      six-month period).


                                                                         Page 13





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AEROSPACE & DEFENSE -- 1.0%
         242 AAR Corp. (a)                     $        9,445
         101 Axon Enterprise, Inc. (a)                 15,857
         218 BWX Technologies, Inc.                    10,438
         140 Curtiss-Wright Corp.                      19,414
         200 General Dynamics Corp.                    41,694
         122 Huntington Ingalls Industries,
                Inc.                                   22,782
          89 L3Harris Technologies, Inc.               18,978
          57 Lockheed Martin Corp.                     20,258
         184 Maxar Technologies, Inc.                   5,434
          56 Mercury Systems, Inc. (a)                  3,083
         164 Northrop Grumman Corp.                    63,480
          78 Parsons Corp. (a)                          2,625
         169 Textron, Inc.                             13,047
         140 Triumph Group, Inc. (a)                    2,594
                                               --------------
                                                      249,129
                                               --------------
             AIR FREIGHT & LOGISTICS -- 0.7%
         404 Air Transport Services Group,
                Inc. (a)                               11,870
         160 Atlas Air Worldwide Holdings,
                Inc. (a)                               15,059
         136 C.H. Robinson Worldwide, Inc.             14,638
         329 Expeditors International of
                Washington, Inc.                       44,182
         360 FedEx Corp.                               93,110
          76 Hub Group, Inc., Class A (a)               6,402
                                               --------------
                                                      185,261
                                               --------------
             AIRLINES -- 0.0%
         287 American Airlines Group, Inc. (a)          5,154
         212 SkyWest, Inc. (a)                          8,332
                                               --------------
                                                       13,486
                                               --------------
             AUTO COMPONENTS -- 1.0%
         189 Adient PLC (a)                             9,049
       1,187 American Axle & Manufacturing
                Holdings, Inc. (a)                     11,075
         263 Aptiv PLC (a)                             43,382
         680 BorgWarner, Inc.                          30,648
         470 Dana, Inc.                                10,725
          28 Dorman Products, Inc. (a)                  3,164
         122 Fox Factory Holding Corp. (a)             20,752
         534 Gentex Corp.                              18,610
         161 Gentherm, Inc. (a)                        13,991
         442 Goodyear Tire & Rubber (The)
                Co. (a)                                 9,423
          58 LCI Industries                             9,040
         189 Lear Corp.                                34,578
          94 Patrick Industries, Inc.                   7,585
         239 Standard Motor Products, Inc.             12,521
         732 Tenneco, Inc., Class A (a)                 8,272
         103 XPEL, Inc. (a) (b)                         7,033
                                               --------------
                                                      249,848
                                               --------------
             AUTOMOBILES -- 1.4%
       4,179 Ford Motor Co.                            86,798
       1,871 General Motors Co. (a)                   109,697


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             AUTOMOBILES (CONTINUED)
         481 Harley-Davidson, Inc.             $       18,129
         102 Tesla, Inc. (a)                          107,792
         239 Thor Industries, Inc.                     24,801
         144 Winnebago Industries, Inc.                10,788
                                               --------------
                                                      358,005
                                               --------------
             BANKS -- 5.8%
         166 1st Source Corp.                           8,234
         151 Ameris Bancorp                             7,502
         366 Associated Banc-Corp.                      8,268
         212 Atlantic Union Bankshares Corp.            7,906
         282 Banc of California, Inc.                   5,533
          43 BancFirst Corp.                            3,034
         411 Bancorp (The), Inc. (a)                   10,402
         461 Bank of America Corp.                     20,510
         410 Bank OZK                                  19,077
         124 BankUnited, Inc.                           5,246
         142 Banner Corp.                               8,615
          97 Berkshire Hills Bancorp, Inc.              2,758
         262 BOK Financial Corp.                       27,638
         342 Brookline Bancorp, Inc.                    5,537
         426 Byline Bancorp, Inc.                      11,651
         263 Cadence Bank                               7,835
         127 Cathay General Bancorp                     5,460
       1,124 Citigroup, Inc.                           67,878
         500 Citizens Financial Group, Inc.            23,625
          33 City Holding Co.                           2,699
         138 Columbia Banking System, Inc.              4,515
         219 Comerica, Inc.                            19,053
         177 Commerce Bancshares, Inc.                 12,167
         261 ConnectOne Bancorp, Inc.                   8,537
          99 Cullen/Frost Bankers, Inc.                12,481
         303 Customers Bancorp, Inc. (a)               19,807
         257 CVB Financial Corp.                        5,502
          91 Eagle Bancorp, Inc.                        5,309
         151 East West Bancorp, Inc.                   11,881
          58 Enterprise Financial Services
                Corp.                                   2,731
         674 F.N.B. Corp.                               8,176
          61 FB Financial Corp.                         2,673
         923 Fifth Third Bancorp                       40,197
         121 First Bancorp                              5,532
         398 First BanCorp                              5,484
         318 First Busey Corp.                          8,624
          21 First Citizens BancShares, Inc.,
                Class A                                17,427
         383 First Commonwealth Financial
                Corp.                                   6,163
         334 First Financial Bancorp                    8,143
          99 First Foundation, Inc.                     2,461
          89 First Hawaiian, Inc.                       2,432
       1,443 First Horizon Corp.                       23,564
         130 First Interstate BancSystem, Inc.,
                Class A                                 5,287
         124 First Merchants Corp.                      5,194
         513 Fulton Financial Corp.                     8,721
          68 German American Bancorp, Inc.              2,651
         212 Glacier Bancorp, Inc.                     12,020
         111 Hancock Whitney Corp.                      5,552


Page 14                 See Notes to Financial Statements





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             BANKS (CONTINUED)
         163 Heartland Financial USA, Inc.     $        8,249
         400 Hilltop Holdings, Inc.                    14,056
         222 Home BancShares, Inc.                      5,406
         362 Hope Bancorp, Inc.                         5,325
       1,268 Huntington Bancshares, Inc.               19,553
          34 Independent Bank Corp.                     2,772
          73 Independent Bank Group, Inc.               5,267
         188 International Bancshares Corp.             7,969
         241 JPMorgan Chase & Co.                      38,162
       2,737 KeyCorp                                   63,307
         123 Live Oak Bancshares, Inc.                 10,737
         118 M&T Bank Corp.                            18,122
         199 Meta Financial Group, Inc.                11,872
         129 National Bank Holdings Corp.,
                Class A                                 5,668
         217 NBT Bancorp, Inc.                          8,359
         244 OceanFirst Financial Corp.                 5,417
         414 OFG Bancorp                               10,996
         617 Old National Bancorp                      11,180
          62 Origin Bancorp, Inc.                       2,661
         126 Pacific Premier Bancorp, Inc.              5,044
         173 PacWest Bancorp                            7,814
          21 Park National Corp.                        2,884
         188 Pinnacle Financial Partners, Inc.         17,954
         100 PNC Financial Services Group
                (The), Inc.                            20,052
         302 Popular, Inc.                             24,776
          39 Preferred Bank                             2,800
         248 Prosperity Bancshares, Inc.               17,930
       3,702 Regions Financial Corp.                   80,704
         218 Renasant Corp.                             8,273
         154 Republic Bancorp, Inc., Class A            7,829
         178 S&T Bancorp, Inc.                          5,611
         171 Sandy Spring Bancorp, Inc.                 8,222
          78 Seacoast Banking Corp. of Florida          2,760
         101 ServisFirst Bancshares, Inc.               8,579
          64 Signature Bank                            20,702
         266 Simmons First National Corp.,
                Class A                                 7,868
         137 Southside Bancshares, Inc.                 5,729
         237 SouthState Corp.                          18,986
         152 SVB Financial Group (a)                  103,093
         402 Synovus Financial Corp.                   19,244
         131 Texas Capital Bancshares,
                Inc. (a)                                7,893
          32 Tompkins Financial Corp.                   2,675
         252 TowneBank                                  7,961
         120 TriCo Bancshares                           5,155
         130 Triumph Bancorp, Inc. (a)                 15,480
         668 Truist Financial Corp.                    39,111
         243 Trustmark Corp.                            7,888
         330 U.S. Bancorp                              18,536
          54 UMB Financial Corp.                        5,730
         387 Umpqua Holdings Corp.                      7,446
         216 United Bankshares, Inc.                    7,837
         159 United Community Banks, Inc.               5,715
       1,324 Valley National Bancorp                   18,205


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             BANKS (CONTINUED)
         132 Veritex Holdings, Inc.            $        5,251
          48 Webster Financial Corp.                    2,680
       1,274 Wells Fargo & Co.                         61,127
         307 WesBanco, Inc.                            10,742
         216 Western Alliance Bancorp                  23,252
          98 Wintrust Financial Corp.                   8,900
         380 Zions Bancorp N.A.                        24,001
                                               --------------
                                                    1,469,209
                                               --------------
             BEVERAGES -- 0.2%
         327 Celsius Holdings, Inc. (a)                24,384
           7 Coca-Cola Consolidated, Inc.               4,334
          80 MGP Ingredients, Inc.                      6,799
         127 Molson Coors Beverage Co.,
                Class B                                 5,887
                                               --------------
                                                       41,404
                                               --------------
             BIOTECHNOLOGY -- 2.2%
         343 Alector, Inc. (a)                          7,083
         254 Alkermes PLC (a)                           5,908
         208 Alnylam Pharmaceuticals, Inc. (a)         35,273
         300 Arcus Biosciences, Inc. (a)               12,141
         242 Avid Bioservices, Inc. (a)                 7,062
         546 BioCryst Pharmaceuticals,
                Inc. (a)                                7,562
         211 Biohaven Pharmaceutical Holding
                Co., Ltd. (a)                          29,078
         171 Blueprint Medicines Corp. (a)             18,316
         242 Celldex Therapeutics, Inc. (a)             9,351
         292 Cytokinetics, Inc. (a)                    13,309
         680 Dynavax Technologies Corp. (a)             9,568
         261 Emergent BioSolutions, Inc. (a)           11,346
         561 Gilead Sciences, Inc.                     40,734
         144 Halozyme Therapeutics, Inc. (a)            5,790
         540 Horizon Therapeutics PLC (a)              58,190
         157 Inhibrx, Inc. (a)                          6,856
         800 Ironwood Pharmaceuticals,
                Inc. (a)                                9,328
         178 Kymera Therapeutics, Inc. (a)             11,301
          67 Mirati Therapeutics, Inc. (a)              9,828
         257 Moderna, Inc. (a)                         65,273
          47 Morphic Holding, Inc. (a)                  2,227
          81 Myriad Genetics, Inc. (a)                  2,236
         106 Natera, Inc. (a)                           9,899
         113 Novavax, Inc. (a)                         16,167
         716 OPKO Health, Inc. (a)                      3,444
         183 Prothena Corp. PLC (a)                     9,040
          98 Regeneron Pharmaceuticals,
                Inc. (a)                               61,889
         187 REGENXBIO, Inc. (a)                        6,115
         294 Sage Therapeutics, Inc. (a)               12,507
         127 Sarepta Therapeutics, Inc. (a)            11,436
         408 uniQure N.V. (a)                           8,462
         128 United Therapeutics Corp. (a)             27,658
                                               --------------
                                                      544,377
                                               --------------
             BUILDING PRODUCTS -- 1.0%
         109 Advanced Drainage Systems, Inc.           14,838
          44 Allegion PLC                               5,827
         160 American Woodmark Corp. (a)               10,432
          61 Armstrong World Industries, Inc.           7,083


                        See Notes to Financial Statements                Page 15





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             BUILDING PRODUCTS (CONTINUED)
         568 Builders FirstSource, Inc. (a)    $       48,683
          30 Carlisle Cos., Inc.                        7,444
         358 Cornerstone Building Brands,
                Inc. (a)                                6,244
          41 CSW Industrials, Inc.                      4,955
         197 Fortune Brands Home & Security,
                Inc.                                   21,059
         319 Griffon Corp.                              9,085
         313 JELD-WEN Holding, Inc. (a)                 8,251
         343 Owens Corning                             31,042
         273 PGT Innovations, Inc. (a)                  6,140
         317 Resideo Technologies, Inc. (a)             8,252
         164 Simpson Manufacturing Co., Inc.           22,807
         116 Trex Co., Inc. (a)                        15,663
         153 UFP Industries, Inc.                      14,078
         366 Zurn Water Solutions Corp.                13,322
                                               --------------
                                                      255,205
                                               --------------
             CAPITAL MARKETS -- 4.8%
          78 Affiliated Managers Group, Inc.           12,832
         287 Apollo Global Management, Inc.            20,787
         398 Ares Management Corp., Class A            32,345
         184 B. Riley Financial, Inc.                  16,350
       1,141 Bank of New York Mellon (The)
                Corp.                                  66,269
         848 Blackstone, Inc.                         109,723
         300 Brightsphere Investment Group,
                Inc.                                    7,680
         621 Carlyle Group (The), Inc.                 34,093
          48 Cboe Global Markets, Inc.                  6,259
          62 Cohen & Steers, Inc.                       5,736
         381 Cowen, Inc., Class A                      13,754
         378 Donnelley Financial Solutions,
                Inc. (a)                               17,819
         176 Evercore, Inc., Class A                   23,910
          30 FactSet Research Systems, Inc.            14,580
         241 Federated Hermes, Inc.                     9,057
         150 Focus Financial Partners, Inc.,
                Class A (a)                             8,958
         791 Franklin Resources, Inc.                  26,491
         227 GCM Grosvenor, Inc., Class A               2,383
         209 Goldman Sachs Group (The), Inc.           79,953
         827 Golub Capital BDC, Inc. (c)               12,769
         142 Houlihan Lokey, Inc.                      14,700
       1,219 Invesco Ltd.                              28,061
         791 Jefferies Financial Group, Inc.           30,691
       1,620 KKR & Co., Inc.                          120,690
         257 Lazard Ltd., Class A                      11,213
         188 LPL Financial Holdings, Inc.              30,097
         176 Moelis & Co., Class A                     11,002
         604 Morgan Stanley                            59,289
          68 Morningstar, Inc.                         23,255
          98 MSCI, Inc.                                60,044
         409 Nasdaq, Inc.                              85,894
          94 Piper Sandler Cos.                        16,780
         132 PJT Partners, Inc., Class A                9,780
         254 Raymond James Financial, Inc.             25,502


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             CAPITAL MARKETS (CONTINUED)
         469 Sculptor Capital Management, Inc. $       10,013
         298 SEI Investments Co.                       18,160
         464 State Street Corp.                        43,152
         307 StepStone Group, Inc., Class A            12,762
         346 Stifel Financial Corp.                    24,365
         119 StoneX Group, Inc. (a)                     7,289
         100 T. Rowe Price Group, Inc.                 19,664
          72 Tradeweb Markets, Inc., Class A            7,210
         299 Victory Capital Holdings, Inc.,
                Class A                                10,922
          42 Virtus Investment Partners, Inc.          12,478
                                               --------------
                                                    1,214,761
                                               --------------
             CHEMICALS -- 3.3%
         263 AdvanSix, Inc.                            12,427
         180 Albemarle Corp.                           42,079
         198 Ashland Global Holdings, Inc.             21,317
         112 Avient Corp.                               6,266
         402 Axalta Coating Systems Ltd. (a)           13,314
          36 Balchem Corp.                              6,070
         196 Celanese Corp.                            32,940
         211 CF Industries Holdings, Inc.              14,935
          51 Chase Corp.                                5,078
         404 Chemours (The) Co.                        13,558
       1,407 Corteva, Inc.                             66,523
       1,371 Dow, Inc.                                 77,763
       1,450 DuPont de Nemours, Inc.                  117,131
         117 Eastman Chemical Co.                      14,146
       1,084 Element Solutions, Inc.                   26,319
         129 FMC Corp.                                 14,176
         358 GCP Applied Technologies,
                Inc. (a)                               11,334
          40 H.B. Fuller Co.                            3,240
         993 Huntsman Corp.                            34,636
          73 Ingevity Corp. (a)                         5,234
          31 Innospec, Inc.                             2,800
         421 Kronos Worldwide, Inc.                     6,319
         339 Livent Corp. (a)                           8,265
       1,051 LyondellBasell Industries N.V.,
                Class A                                96,934
         112 Minerals Technologies, Inc.                8,193
         822 Mosaic (The) Co.                          32,296
          16 NewMarket Corp.                            5,483
         609 Olin Corp.                                35,030
         573 Orion Engineered Carbons S.A.             10,520
          11 Quaker Chemical Corp.                      2,539
         151 RPM International, Inc.                   15,251
          69 Stepan Co.                                 8,576
         754 Valvoline, Inc.                           28,117
         322 Westlake Chemical Corp.                   31,276
                                               --------------
                                                      830,085
                                               --------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 0.4%
          58 ABM Industries, Inc.                       2,369
       1,453 ADT, Inc.                                 12,220
          51 Brady Corp., Class A                       2,749
         354 BrightView Holdings, Inc. (a)              4,984


Page 16                 See Notes to Financial Statements





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             COMMERCIAL SERVICES & SUPPLIES
                (CONTINUED)
          69 Casella Waste Systems, Inc.,
                Class A (a)                    $        5,894
         113 Clean Harbors, Inc. (a)                   11,274
         141 Copart, Inc. (a)                          21,379
         146 Deluxe Corp.                               4,688
         154 Harsco Corp. (a)                           2,573
         104 Healthcare Services Group, Inc.            1,850
         142 HNI Corp.                                  5,971
         108 IAA, Inc. (a)                              5,467
         478 KAR Auction Services, Inc. (a)             7,466
         151 Matthews International Corp.,
                Class A                                 5,537
         211 Montrose Environmental Group,
                Inc. (a)                               14,878
          24 UniFirst Corp.                             5,050
                                               --------------
                                                      114,349
                                               --------------
             COMMUNICATIONS EQUIPMENT
                -- 0.6%
         264 Calix, Inc. (a)                           21,112
         458 Ciena Corp. (a)                           35,252
         530 Extreme Networks, Inc. (a)                 8,321
          30 F5, Inc. (a)                               7,341
         213 Juniper Networks, Inc.                     7,606
         281 Lumentum Holdings, Inc. (a)               29,721
          84 Motorola Solutions, Inc.                  22,823
         409 NETGEAR, Inc. (a)                         11,947
          97 NetScout Systems, Inc. (a)                 3,209
          94 Viasat, Inc. (a)                           4,187
                                               --------------
                                                      151,519
                                               --------------
             CONSTRUCTION & ENGINEERING
                -- 0.8%
          89 Ameresco, Inc., Class A (a)                7,248
         157 Arcosa, Inc.                               8,274
          73 Comfort Systems USA, Inc.                  7,223
         313 Construction Partners, Inc.,
                Class A (a)                             9,205
          37 Dycom Industries, Inc. (a)                 3,469
         153 EMCOR Group, Inc.                         19,491
         114 IES Holdings, Inc. (a)                     5,773
         272 MasTec, Inc. (a)                          25,100
         131 MYR Group, Inc. (a)                       14,482
          53 NV5 Global, Inc. (a)                       7,321
         533 Primoris Services Corp.                   12,781
         258 Quanta Services, Inc.                     29,582
          76 Valmont Industries, Inc.                  19,038
         556 WillScot Mobile Mini Holdings
                Corp. (a)                              22,707
                                               --------------
                                                      191,694
                                               --------------
             CONSTRUCTION MATERIALS -- 0.0%
          44 Eagle Materials, Inc.                      7,324
         163 Summit Materials, Inc.,
                Class A (a)                             6,543
                                               --------------
                                                       13,867
                                               --------------


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             CONSUMER FINANCE -- 1.6%
       1,546 Ally Financial, Inc.              $       73,605
         487 Capital One Financial Corp.               70,659
          40 Credit Acceptance Corp. (a)               27,507
         479 Discover Financial Services               55,353
         266 Encore Capital Group,
                Inc. (a) (c)                           16,521
         378 Enova International, Inc. (a)             15,483
         370 LendingClub Corp. (a)                      8,947
         530 Navient Corp.                             11,247
         132 Nelnet, Inc., Class A                     12,894
         107 OneMain Holdings, Inc.                     5,354
         248 PRA Group, Inc. (a)                       12,452
         249 PROG Holdings, Inc. (a)                   11,232
         334 SLM Corp.                                  6,570
       1,210 Synchrony Financial                       56,132
          56 World Acceptance Corp. (a)                13,744
                                               --------------
                                                      397,700
                                               --------------
             CONTAINERS & PACKAGING -- 0.8%
          99 AptarGroup, Inc.                          12,126
         113 Avery Dennison Corp.                      24,472
         387 Berry Global Group, Inc. (a)              28,553
          58 Crown Holdings, Inc.                       6,416
         618 Graphic Packaging Holding Co.             12,051
         162 Greif, Inc., Class A                       9,780
         701 International Paper Co.                   32,933
         183 O-I Glass, Inc. (a)                        2,202
         128 Packaging Corp. of America                17,427
         390 Ranpak Holdings Corp. (a)                 14,656
         322 Sealed Air Corp.                          21,725
         137 Silgan Holdings, Inc.                      5,869
         236 Westrock Co.                              10,469
                                               --------------
                                                      198,679
                                               --------------
             DISTRIBUTORS -- 0.2%
         468 LKQ Corp.                                 28,094
          46 Pool Corp.                                26,036
                                               --------------
                                                       54,130
                                               --------------
             DIVERSIFIED CONSUMER SERVICES
                -- 0.3%
         208 Adtalem Global Education,
                Inc. (a)                                6,149
          22 Graham Holdings Co., Class B              13,856
          89 Grand Canyon Education, Inc. (a)           7,628
         209 H&R Block, Inc.                            4,924
         972 Houghton Mifflin Harcourt Co. (a)         15,649
         196 Service Corp. International               13,914
         111 Strategic Education, Inc.                  6,420
         218 Stride, Inc. (a)                           7,266
         141 Terminix Global Holdings,
                Inc. (a)                                6,378
                                               --------------
                                                       82,184
                                               --------------
             DIVERSIFIED FINANCIAL SERVICES
                -- 0.6%
         361 Berkshire Hathaway, Inc.,
                Class B (a)                           107,939
         420 Cannae Holdings, Inc. (a)                 14,763
         383 Voya Financial, Inc.                      25,397
                                               --------------
                                                      148,099
                                               --------------


                        See Notes to Financial Statements                Page 17





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 0.8%
       1,451 AT&T, Inc.                        $       35,695
         512 EchoStar Corp., Class A (a)               13,491
       1,054 Frontier Communications Parent,
                Inc. (a)                               31,082
          62 IDT Corp., Class B (a)                     2,738
         148 Iridium Communications, Inc. (a)           6,111
         797 Liberty Latin America Ltd.,
                Class C (a)                             9,086
       1,898 Lumen Technologies, Inc.                  23,820
       1,461 Verizon Communications, Inc.              75,913
                                               --------------
                                                      197,936
                                               --------------
             ELECTRIC UTILITIES -- 2.8%
         176 ALLETE, Inc.                              11,678
         316 Alliant Energy Corp.                      19,424
         729 American Electric Power Co., Inc.         64,859
         401 Duke Energy Corp.                         42,065
       1,067 Edison International                      72,823
         592 Entergy Corp.                             66,689
         378 Evergy, Inc.                              25,935
         479 Eversource Energy                         43,579
       1,224 Exelon Corp.                              70,698
       1,100 FirstEnergy Corp.                         45,749
         128 Hawaiian Electric Industries,
                Inc.                                    5,312
         171 IDACORP, Inc.                             19,376
          36 MGE Energy, Inc.                           2,961
         576 NRG Energy, Inc.                          24,814
         713 OGE Energy Corp.                          27,365
          93 Otter Tail Corp.                           6,642
       2,449 PG&E Corp. (a)                            29,731
         324 Pinnacle West Capital Corp.               22,871
         167 Portland General Electric Co.              8,838
         702 PPL Corp.                                 21,102
         632 Southern (The) Co.                        43,342
         627 Xcel Energy, Inc.                         42,448
                                               --------------
                                                      718,301
                                               --------------
             ELECTRICAL EQUIPMENT -- 0.8%
         102 Acuity Brands, Inc.                       21,595
         150 Atkore, Inc. (a)                          16,679
          98 AZZ, Inc.                                  5,418
         208 Emerson Electric Co.                      19,338
         138 Encore Wire Corp.                         19,748
          70 EnerSys                                    5,534
         144 Generac Holdings, Inc. (a)                50,677
          32 Hubbell, Inc.                              6,665
         118 Regal Rexnord Corp.                       20,081
         732 Vertiv Holdings Co.                       18,278
          78 Vicor Corp. (a)                            9,904
                                               --------------
                                                      193,917
                                               --------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 2.0%
         536 Amphenol Corp., Class A                   46,879
         262 Arrow Electronics, Inc. (a)               35,179
         353 Avnet, Inc.                               14,554


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS (CONTINUED)
          51 Badger Meter, Inc.                $        5,435
         293 Benchmark Electronics, Inc.                7,940
         326 CDW Corp.                                 66,758
       1,621 Corning, Inc.                             60,350
         102 ePlus, Inc. (a)                            5,496
          29 Insight Enterprises, Inc. (a)              3,091
          74 IPG Photonics Corp. (a)                   12,738
         503 Jabil, Inc.                               35,386
         360 Keysight Technologies, Inc. (a)           74,344
         418 Knowles Corp. (a)                          9,760
          87 Littelfuse, Inc.                          27,377
         249 Methode Electronics, Inc.                 12,243
          28 OSI Systems, Inc. (a)                      2,610
         119 PC Connection, Inc.                        5,132
          59 Plexus Corp. (a)                           5,658
          14 Rogers Corp. (a)                           3,822
         339 Sanmina Corp. (a)                         14,055
          57 TD SYNNEX Corp.                            6,519
         623 TTM Technologies, Inc. (a)                 9,283
         520 Vishay Intertechnology, Inc.              11,372
         350 Vontier Corp.                             10,755
          38 Zebra Technologies Corp.,
                Class A (a)                            22,618
                                               --------------
                                                      509,354
                                               --------------
             ENERGY EQUIPMENT & SERVICES
                -- 0.1%
         950 Archrock, Inc.                             7,106
         170 Aspen Aerogels, Inc. (a)                   8,464
         238 Baker Hughes Co.                           5,726
         392 Oceaneering International,
                Inc. (a)                                4,434
         290 Patterson-UTI Energy, Inc.                 2,451
       2,757 Transocean Ltd. (a)                        7,609
                                               --------------
                                                       35,790
                                               --------------
             ENTERTAINMENT -- 0.1%
          32 Netflix, Inc. (a)                         19,278
         183 Warner Music Group Corp.,
                Class A                                 7,902
                                               --------------
                                                       27,180
                                               --------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 2.7%
         121 American Campus Communities,
                Inc.                                    6,932
         974 American Finance Trust, Inc.               8,893
         154 American Homes 4 Rent, Class A             6,716
         973 Brandywine Realty Trust                   13,058
         532 Brixmor Property Group, Inc.              13,518
          28 Centerspace                                3,105
          97 Corporate Office Properties Trust          2,713
         473 Cousins Properties, Inc.                  19,052
         242 CubeSmart                                 13,772
          76 CyrusOne, Inc.                             6,819
          36 EastGroup Properties, Inc.                 8,203
         260 Empire State Realty Trust, Inc.,
                Class A                                 2,314
         150 Equity LifeStyle Properties, Inc.         13,149


Page 18                 See Notes to Financial Statements





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS (CONTINUED)
          50 Federal Realty Investment Trust   $        6,816
         113 First Industrial Realty Trust,
                Inc.                                    7,481
          98 Four Corners Property Trust, Inc.          2,882
         178 Getty Realty Corp.                         5,712
         327 Global Net Lease, Inc.                     4,997
         198 Healthcare Trust of America,
                Inc., Class A                           6,611
         134 Highwoods Properties, Inc.                 5,975
         100 Hudson Pacific Properties, Inc.            2,471
         257 Independence Realty Trust, Inc.            6,638
         309 Industrial Logistics Properties
                Trust                                   7,740
         128 Innovative Industrial Properties,
                Inc.                                   33,652
         677 Iron Mountain, Inc.                       35,427
         312 iStar, Inc. (c)                            8,059
         443 Kilroy Realty Corp.                       29,442
         283 Kimco Realty Corp.                         6,976
         156 Lamar Advertising Co., Class A            18,923
         102 Life Storage, Inc.                        15,624
         248 LTC Properties, Inc.                       8,467
         879 Medical Properties Trust, Inc.            20,771
         106 Mid-America Apartment
                Communities, Inc.                      24,321
         147 National Health Investors, Inc.            8,448
         408 National Retail Properties, Inc.          19,613
          50 National Storage Affiliates Trust          3,460
         221 NETSTREIT Corp.                            5,061
          42 NexPoint Residential Trust, Inc.           3,521
         309 Office Properties Income Trust             7,676
         581 Paramount Group, Inc.                      4,846
         148 Physicians Realty Trust                    2,787
         253 PotlatchDeltic Corp.                      15,236
         174 Regency Centers Corp.                     13,111
         103 Rexford Industrial Realty, Inc.            8,354
         614 RPT Realty                                 8,215
         178 Sabra Health Care REIT, Inc.               2,410
          59 Saul Centers, Inc.                         3,128
         169 SITE Centers Corp.                         2,675
         332 SL Green Realty Corp.                     23,804
         150 STAG Industrial, Inc.                      7,194
         107 Sun Communities, Inc.                     22,467
         222 UDR, Inc.                                 13,318
         228 UMH Properties, Inc.                       6,231
         140 Vornado Realty Trust                       5,860
       2,772 Weyerhaeuser Co.                         114,151
         161 WP Carey, Inc.                            13,210
                                               --------------
                                                      692,005
                                               --------------
             FOOD & STAPLES RETAILING -- 0.9%
         944 Albertsons Cos., Inc., Class A            28,499
         423 Andersons (The), Inc.                     16,374
         536 BJ's Wholesale Club Holdings,
                Inc. (a)                               35,896
          93 Casey's General Stores, Inc.              18,354
         121 Grocery Outlet Holding Corp. (a)           3,422
         198 Ingles Markets, Inc., Class A             17,095


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             FOOD & STAPLES RETAILING
                (CONTINUED)
         484 Kroger (The) Co.                  $       21,906
          33 PriceSmart, Inc.                           2,415
         451 Sprouts Farmers Market, Inc. (a)          13,386
         162 United Natural Foods, Inc. (a)             7,951
         170 US Foods Holding Corp. (a)                 5,921
         833 Walgreens Boots Alliance, Inc.            43,449
         249 Weis Markets, Inc.                        16,404
                                               --------------
                                                      231,072
                                               --------------
             FOOD PRODUCTS -- 2.2%
       1,314 Archer-Daniels-Midland Co.                88,813
          88 B&G Foods, Inc. (c)                        2,704
         361 Bunge Ltd.                                33,703
         422 Campbell Soup Co.                         18,340
         694 Conagra Brands, Inc.                      23,700
         327 Darling Ingredients, Inc. (a)             22,658
         498 Flowers Foods, Inc.                       13,680
         406 Fresh Del Monte Produce, Inc.             11,206
         656 General Mills, Inc.                       44,201
         478 Hormel Foods Corp.                        23,331
         301 Hostess Brands, Inc. (a)                   6,146
         132 Ingredion, Inc.                           12,757
         196 J.M. Smucker (The) Co.                    26,621
          32 John B Sanfilippo & Son, Inc.              2,885
       1,064 Kraft Heinz (The) Co.                     38,198
          34 Lancaster Colony Corp.                     5,630
         142 Mission Produce, Inc. (a)                  2,229
         673 Mondelez International, Inc.,
                Class A                                44,627
         107 Post Holdings, Inc. (a)                   12,062
           3 Seaboard Corp.                            11,805
         151 Simply Good Foods (The) Co. (a)            6,277
         131 TreeHouse Foods, Inc. (a)                  5,310
       1,249 Tyson Foods, Inc., Class A               108,863
                                               --------------
                                                      565,746
                                               --------------
             GAS UTILITIES -- 0.5%
         267 Atmos Energy Corp.                        27,974
          22 Chesapeake Utilities Corp.                 3,208
          50 National Fuel Gas Co.                      3,197
          76 New Jersey Resources Corp.                 3,120
         227 Northwest Natural Holding Co.             11,073
         123 ONE Gas, Inc.                              9,543
         491 South Jersey Industries, Inc.             12,825
         157 Southwest Gas Holdings, Inc.              10,998
         171 Spire, Inc.                               11,153
         690 UGI Corp.                                 31,678
                                               --------------
                                                      124,769
                                               --------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 2.2%
          18 ABIOMED, Inc. (a)                          6,465
         119 Align Technology, Inc. (a)                78,204
         201 AngioDynamics, Inc. (a)                    5,544
          40 Axonics, Inc. (a)                          2,240
          62 BioLife Solutions, Inc. (a)                2,311
          20 CONMED Corp.                               2,835
         118 CryoPort, Inc. (a)                         6,982


                        See Notes to Financial Statements                Page 19





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             HEALTH CARE EQUIPMENT &
                SUPPLIES (CONTINUED)
         202 DENTSPLY SIRONA, Inc.             $       11,270
          72 Dexcom, Inc. (a)                          38,660
         347 Edwards Lifesciences Corp. (a)            44,954
         422 Envista Holdings Corp. (a)                19,015
         230 Globus Medical, Inc., Class A (a)         16,606
          50 Heska Corp. (a)                            9,124
       1,336 Hologic, Inc. (a)                        102,284
          29 Integer Holdings Corp. (a)                 2,482
          86 Integra LifeSciences Holdings
                Corp. (a)                               5,761
          60 Intuitive Surgical, Inc. (a)              21,558
         203 Lantheus Holdings, Inc. (a)                5,865
          43 Masimo Corp. (a)                          12,590
         109 Merit Medical Systems, Inc. (a)            6,791
           9 Mesa Laboratories, Inc.                    2,953
          80 OrthoPediatrics Corp. (a)                  4,789
          22 Penumbra, Inc. (a)                         6,321
         124 Quidel Corp. (a)                          16,739
         149 ResMed, Inc.                              38,812
         143 Shockwave Medical, Inc. (a)               25,501
          91 STAAR Surgical Co. (a)                     8,308
         148 Tandem Diabetes Care, Inc. (a)            22,277
         370 Varex Imaging Corp. (a)                   11,673
         362 ViewRay, Inc. (a)                          1,995
         133 Zimmer Biomet Holdings, Inc.              16,896
                                               --------------
                                                      557,805
                                               --------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 3.1%
         277 Acadia Healthcare Co., Inc. (a)           16,814
         549 Agiliti, Inc. (a)                         12,715
         113 AMN Healthcare Services, Inc. (a)         13,823
          53 Anthem, Inc.                              24,568
         258 Apollo Medical Holdings, Inc. (a)         18,958
         414 Brookdale Senior Living, Inc. (a)          2,136
         492 Cigna Corp.                              112,978
          57 CorVel Corp. (a)                          11,856
         698 CVS Health Corp.                          72,006
         152 DaVita, Inc. (a)                          17,292
         157 Encompass Health Corp.                    10,246
          87 Fulgent Genetics, Inc. (a)                 8,751
         407 HCA Healthcare, Inc.                     104,566
         231 Henry Schein, Inc. (a)                    17,909
          51 Humana, Inc.                              23,657
         133 Joint (The) Corp. (a)                      8,737
         350 Laboratory Corp. of America
                Holdings (a)                          109,973
          38 LHC Group, Inc. (a)                        5,215
          72 ModivCare, Inc. (a)                       10,677
          22 Molina Healthcare, Inc. (a)                6,998
         187 National HealthCare Corp.                 12,705
         539 Option Care Health, Inc. (a)              15,329
          87 Patterson Cos., Inc.                       2,553
          68 Premier, Inc., Class A                     2,800
         420 Progyny, Inc. (a)                         21,147


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             HEALTH CARE PROVIDERS & SERVICES
                (CONTINUED)
         202 Quest Diagnostics, Inc.           $       34,948
         357 RadNet, Inc. (a)                          10,749
         488 Select Medical Holdings Corp.             14,347
         442 Tenet Healthcare Corp. (a)                36,107
         212 Universal Health Services, Inc.,
                Class B                                27,488
                                               --------------
                                                      788,048
                                               --------------
             HEALTH CARE TECHNOLOGY -- 0.4%
         278 Cerner Corp.                              25,818
         421 Evolent Health, Inc., Class A (a)         11,649
         101 Inspire Medical Systems, Inc. (a)         23,236
          80 Omnicell, Inc. (a)                        14,435
         152 OptimizeRx Corp. (a)                       9,440
          42 Phreesia, Inc. (a)                         1,750
         114 Vocera Communications, Inc. (a)            7,392
                                               --------------
                                                       93,720
                                               --------------
             HOTELS, RESTAURANTS & LEISURE
                -- 1.4%
         372 Boyd Gaming Corp. (a)                     24,392
         878 Caesars Entertainment, Inc. (a)           82,119
          43 Chipotle Mexican Grill, Inc. (a)          75,175
          47 Choice Hotels International, Inc.          7,331
          98 Churchill Downs, Inc.                     23,608
          38 Cracker Barrel Old Country Store,
                Inc.                                    4,888
          41 Domino's Pizza, Inc.                      23,137
         432 Everi Holdings, Inc. (a)                   9,223
         266 Golden Entertainment, Inc. (a)            13,441
         110 Hilton Grand Vacations, Inc. (a)           5,732
         117 Monarch Casino & Resort, Inc. (a)          8,652
          81 Penn National Gaming, Inc. (a)             4,200
         256 Red Rock Resorts, Inc., Class A           14,083
         283 Scientific Games Corp. (a)                18,913
          94 SeaWorld Entertainment, Inc. (a)           6,097
          64 Texas Roadhouse, Inc.                      5,714
          72 Wingstop, Inc.                            12,442
         160 Yum! Brands, Inc.                         22,218
                                               --------------
                                                      361,365
                                               --------------
             HOUSEHOLD DURABLES -- 3.3%
          11 Cavco Industries, Inc. (a)                 3,494
         212 Century Communities, Inc.                 17,340
       1,174 D.R. Horton, Inc.                        127,320
         508 Garmin Ltd.                               69,174
         128 Green Brick Partners, Inc. (a)             3,882
          52 Helen of Troy Ltd. (a)                    12,712
          33 iRobot Corp. (a)                           2,174
         336 KB Home                                   15,029
         324 La-Z-Boy, Inc.                            11,765
         393 Leggett & Platt, Inc.                     16,176
       1,052 Lennar Corp., Class A                    122,200
          19 LGI Homes, Inc. (a)                        2,935
         119 Lovesac (The) Co. (a)                      7,885
         280 M.D.C. Holdings, Inc.                     15,632
         226 M/I Homes, Inc. (a)                       14,053


Page 20                 See Notes to Financial Statements





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             HOUSEHOLD DURABLES (CONTINUED)
         134 Meritage Homes Corp. (a)          $       16,356
         167 Mohawk Industries, Inc. (a)               30,424
       1,062 Newell Brands, Inc.                       23,194
          17 NVR, Inc. (a)                            100,451
         640 PulteGroup, Inc.                          36,582
         218 Skyline Champion Corp. (a)                17,218
          81 Sonos, Inc. (a)                            2,414
         507 Taylor Morrison Home Corp. (a)            17,725
         633 Tempur Sealy International, Inc.          29,770
         531 Toll Brothers, Inc.                       38,439
          58 TopBuild Corp. (a)                        16,003
         621 Tri Pointe Homes, Inc. (a)                17,320
         123 Tupperware Brands Corp. (a)                1,881
         144 Whirlpool Corp.                           33,791
                                               --------------
                                                      823,339
                                               --------------
             HOUSEHOLD PRODUCTS -- 0.1%
         182 Central Garden & Pet Co.,
                Class A (a)                             8,709
         644 Reynolds Consumer Products, Inc.          20,222
          28 Spectrum Brands Holdings, Inc.             2,848
                                               --------------
                                                       31,779
                                               --------------
             INDEPENDENT POWER AND RENEWABLE
                ELECTRICITY PRODUCERS -- 0.0%
         343 Vistra Corp.                               7,810
                                               --------------
             INDUSTRIAL CONGLOMERATES -- 0.2%
         224 3M Co.                                    39,789
                                               --------------
             INSURANCE -- 6.5%
       1,892 Aflac, Inc.                              110,474
          48 Alleghany Corp. (a)                       32,044
         774 Allstate (The) Corp.                      91,061
         442 American Equity Investment Life
                Holding Co.                            17,203
         192 American Financial Group, Inc.            26,365
       1,438 American International Group,
                Inc.                                   81,765
         100 AMERISAFE, Inc.                            5,383
         138 Aon PLC, Class A                          41,477
         770 Arch Capital Group Ltd. (a)               34,226
          50 Argo Group International Holdings
                Ltd.                                    2,905
          74 Assurant, Inc.                            11,534
         223 Assured Guaranty Ltd.                     11,195
         170 Axis Capital Holdings Ltd.                 9,260
         106 Brown & Brown, Inc.                        7,450
         236 BRP Group, Inc., Class A (a)               8,522
         454 Chubb Ltd.                                87,763
         863 Cincinnati Financial Corp.                98,322
         560 CNA Financial Corp.                       24,685
         554 CNO Financial Group, Inc.                 13,207
          64 eHealth, Inc. (a)                          1,632
         331 Employers Holdings, Inc.                  13,697
          56 Enstar Group Ltd. (a)                     13,865
          33 Erie Indemnity Co., Class A                6,358
         118 Everest Re Group Ltd.                     32,323
         648 Fidelity National Financial, Inc.         33,813


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             INSURANCE (CONTINUED)
         438 First American Financial Corp.    $       34,265
       3,483 Genworth Financial, Inc.,
                Class A (a)                            14,106
         264 Globe Life, Inc.                          24,742
          69 Goosehead Insurance, Inc.,
                Class A                                 8,975
         181 Hanover Insurance Group (The),
                Inc.                                   23,722
       1,123 Hartford Financial Services Group
                (The), Inc.                            77,532
         118 HCI Group, Inc.                            9,858
         262 Horace Mann Educators Corp.               10,139
         118 Kemper Corp.                               6,937
         257 Lincoln National Corp.                    17,543
         436 Loews Corp.                               25,183
          24 Markel Corp. (a)                          29,616
         234 Mercury General Corp.                     12,416
         634 MetLife, Inc.                             39,619
       1,271 Old Republic International Corp.          31,241
          77 Primerica, Inc.                           11,802
         273 Principal Financial Group, Inc.           19,746
         873 Progressive (The) Corp.                   89,613
         750 Prudential Financial, Inc.                81,180
         211 Reinsurance Group of America,
                Inc.                                   23,102
          84 RenaissanceRe Holdings Ltd.               14,224
          59 RLI Corp.                                  6,614
         164 Safety Insurance Group, Inc.              13,945
         311 Selective Insurance Group, Inc.           25,483
       1,411 SiriusPoint Ltd. (a)                      11,471
         207 Stewart Information Services
                Corp.                                  16,504
         519 Travelers (The) Cos., Inc.                81,187
         938 Unum Group                                23,047
         241 W.R. Berkley Corp.                        19,856
          12 White Mountains Insurance Group
                Ltd.                                   12,167
                                               --------------
                                                    1,632,364
                                               --------------
             INTERACTIVE MEDIA & SERVICES
                -- 1.0%
          37 Alphabet, Inc., Class A (a)              107,191
         332 Cargurus, Inc. (a)                        11,168
         218 fuboTV, Inc. (a) (c)                       3,383
         226 IAC/InterActiveCorp (a)                   29,540
       1,068 Snap, Inc., Class A (a)                   50,228
         203 Ziff Davis, Inc. (a)                      22,505
         288 ZoomInfo Technologies, Inc. (a)           18,490
                                               --------------
                                                      242,505
                                               --------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 0.6%
          86 1-800-Flowers.com, Inc.,
                Class A (a)                             2,010
       1,416 eBay, Inc.                                94,164
          94 Etsy, Inc. (a)                            20,581
          33 Overstock.com, Inc. (a)                    1,947
       1,470 Qurate Retail, Inc., Series A             11,172
         127 Revolve Group, Inc. (a)                    7,117
          92 Shutterstock, Inc.                        10,201
                                               --------------
                                                      147,192
                                               --------------


                        See Notes to Financial Statements                Page 21





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             IT SERVICES -- 2.9%
         184 Accenture PLC, Class A            $       76,277
          91 Alliance Data Systems Corp.                6,058
         118 Broadridge Financial Solutions,
                Inc.                                   21,573
         700 Cloudflare, Inc., Class A (a)             92,050
         528 Cognizant Technology Solutions
                Corp., Class A                         46,844
       1,189 Conduent, Inc. (a)                         6,349
          54 CSG Systems International, Inc.            3,111
         700 DXC Technology Co. (a)                    22,533
         138 EPAM Systems, Inc. (a)                    92,246
         114 EVERTEC, Inc.                              5,698
          84 ExlService Holdings, Inc. (a)             12,161
         324 Gartner, Inc. (a)                        108,320
         123 Genpact Ltd.                               6,529
         447 Grid Dynamics Holdings, Inc. (a)          16,973
          36 Jack Henry & Associates, Inc.              6,012
         282 Maximus, Inc.                             22,467
         168 MongoDB, Inc. (a)                         88,931
         113 Perficient, Inc. (a)                      14,610
         130 Snowflake, Inc., Class A (a)              44,037
         782 SolarWinds Corp.                          11,096
         103 Switch, Inc., Class A                      2,950
         126 TTEC Holdings, Inc.                       11,409
         208 Unisys Corp. (a)                           4,278
         581 Western Union (The) Co.                   10,365
                                               --------------
                                                      732,877
                                               --------------
             LEISURE PRODUCTS -- 0.7%
         112 Acushnet Holdings Corp.                    5,945
         247 Brunswick Corp.                           24,880
       1,063 Callaway Golf Co. (a)                     29,169
         132 Hasbro, Inc.                              13,435
          99 Johnson Outdoors, Inc., Class A            9,275
          38 Malibu Boats, Inc., Class A (a)            2,612
         633 Mattel, Inc. (a)                          13,648
         197 Polaris, Inc.                             21,652
         629 Smith & Wesson Brands, Inc.               11,196
         107 Sturm Ruger & Co., Inc.                    7,278
         259 Vista Outdoor, Inc. (a)                   11,932
         206 YETI Holdings, Inc. (a)                   17,063
                                               --------------
                                                      168,085
                                               --------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 3.5%
         376 Agilent Technologies, Inc.                60,028
       2,411 Avantor, Inc. (a)                        101,599
         132 Bio-Rad Laboratories, Inc.,
                Class A (a)                            99,735
          81 Bio-Techne Corp.                          41,904
         301 Bruker Corp.                              25,257
         191 Charles River Laboratories
                International, Inc. (a)                71,965
         112 Codexis, Inc. (a)                          3,502
         259 Danaher Corp.                             85,214
          93 Medpace Holdings, Inc. (a)                20,240
         122 NeoGenomics, Inc. (a)                      4,163
         569 PerkinElmer, Inc.                        114,403


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             LIFE SCIENCES TOOLS & SERVICES
                (CONTINUED)
         102 Repligen Corp. (a)                $       27,014
         201 Syneos Health, Inc. (a)                   20,639
         103 Thermo Fisher Scientific, Inc.            68,726
         166 Waters Corp. (a)                          61,852
         186 West Pharmaceutical Services,
                Inc.                                   87,236
                                               --------------
                                                      893,477
                                               --------------
             MACHINERY -- 3.0%
          96 AGCO Corp.                                11,138
          19 Alamo Group, Inc.                          2,796
         148 Allison Transmission Holdings,
                Inc.                                    5,380
          94 Altra Industrial Motion Corp.              4,848
          49 Astec Industries, Inc.                     3,394
         126 Barnes Group, Inc.                         5,870
         123 Chart Industries, Inc. (a)                19,617
         257 Colfax Corp. (a)                          11,814
         186 Crane Co.                                 18,922
         262 Cummins, Inc.                             57,153
         204 Donaldson Co., Inc.                       12,089
         209 Evoqua Water Technologies
                Corp. (a)                               9,771
          68 Federal Signal Corp.                       2,947
         339 Flowserve Corp.                           10,373
       1,118 Fortive Corp.                             85,292
       1,083 Gates Industrial Corp. PLC (a)            17,231
          73 Gorman-Rupp (The) Co.                      3,252
          61 Greenbrier (The) Cos., Inc.                2,799
         128 Helios Technologies, Inc.                 13,462
         122 Hillenbrand, Inc.                          6,343
          39 Kadant, Inc.                               8,989
         152 Kennametal, Inc.                           5,458
          46 Lincoln Electric Holdings, Inc.            6,416
         368 Meritor, Inc. (a)                          9,119
         103 Middleby (The) Corp. (a)                  20,266
         254 Mueller Industries, Inc.                  15,077
          24 Nordson Corp.                              6,127
         230 Oshkosh Corp.                             25,923
         238 Otis Worldwide Corp.                      20,723
         750 PACCAR, Inc.                              66,195
         211 Parker-Hannifin Corp.                     67,123
          39 Proto Labs, Inc. (a)                       2,003
          28 RBC Bearings, Inc. (a)                     5,655
         207 Shyft Group (The), Inc.                   10,170
         113 Snap-on, Inc.                             24,338
          49 SPX Corp. (a)                              2,924
          27 Standex International Corp.                2,988
         450 Stanley Black & Decker, Inc.              84,879
          62 Terex Corp.                                2,725
         359 Timken (The) Co.                          24,875
          62 Watts Water Technologies, Inc.,
                Class A                                12,039
         137 Westinghouse Air Brake
                Technologies Corp.                     12,619
          52 Woodward, Inc.                             5,692
                                               --------------
                                                      746,814
                                               --------------


Page 22                 See Notes to Financial Statements





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             MARINE -- 0.1%
         163 Kirby Corp. (a)                   $        9,685
         130 Matson, Inc.                              11,704
                                               --------------
                                                       21,389
                                               --------------
             MEDIA -- 1.5%
         283 Altice USA, Inc., Class A (a)              4,579
         224 AMC Networks, Inc., Class A (a)            7,715
         202 Boston Omaha Corp., Class A (a)            5,803
       3,856 Clear Channel Outdoor Holdings,
                Inc. (a)                               12,763
         701 Comcast Corp., Class A                    35,281
       1,158 Discovery, Inc., Class A (a) (c)          27,259
         677 DISH Network Corp., Class A (a)           21,962
         723 E.W. Scripps (The) Co.,
                Class A (a)                            13,990
         489 Fox Corp., Class A                        18,044
       1,956 Gannett Co., Inc. (a)                     10,426
         572 Gray Television, Inc.                     11,532
         209 iHeartMedia, Inc., Class A (a)             4,397
         160 Interpublic Group of (The) Cos.,
                Inc.                                    5,992
         100 John Wiley & Sons, Inc., Class A           5,727
         119 New York Times (The) Co.,
                Class A                                 5,748
         250 News Corp., Class A                        5,578
         193 Nexstar Media Group, Inc.,
                Class A                                29,139
         162 Omnicom Group, Inc.                       11,870
          73 Scholastic Corp.                           2,917
         330 Sinclair Broadcast Group, Inc.,
                Class A                                 8,722
         127 TechTarget, Inc. (a)                      12,149
         530 TEGNA, Inc.                                9,837
         348 Thryv Holdings, Inc. (a)                  14,313
       2,496 ViacomCBS, Inc., Class B                  75,329
         399 WideOpenWest, Inc. (a)                     8,586
                                               --------------
                                                      369,658
                                               --------------
             METALS & MINING -- 1.3%
         600 Alcoa Corp.                               35,748
       1,187 Cleveland-Cliffs, Inc. (a)                25,841
       1,693 Coeur Mining, Inc. (a)                     8,533
         343 Commercial Metals Co.                     12,447
          38 Materion Corp.                             3,494
       1,001 Nucor Corp.                              114,264
         207 Reliance Steel & Aluminum Co.             33,579
         298 Schnitzer Steel Industries, Inc.,
                Class A                                15,472
         502 Steel Dynamics, Inc.                      31,159
       1,338 United States Steel Corp.                 31,858
         198 Worthington Industries, Inc.              10,823
                                               --------------
                                                      323,218
                                               --------------
             MORTGAGE REAL ESTATE INVESTMENT
                TRUSTS -- 0.8%
       1,863 AGNC Investment Corp.                     28,020
       3,490 Annaly Capital Management, Inc.           27,292
         704 Apollo Commercial Real Estate
                Finance, Inc.                           9,265


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             MORTGAGE REAL ESTATE INVESTMENT
                TRUSTS (CONTINUED)
         564 Arbor Realty Trust, Inc.          $       10,332
         172 Blackstone Mortgage Trust, Inc.,
                Class A                                 5,267
         880 Chimera Investment Corp.                  13,270
         496 KKR Real Estate Finance Trust,
                Inc.                                   10,332
         237 Ladder Capital Corp.                       2,842
       2,858 MFA Financial, Inc.                       13,032
         950 New Residential Investment Corp.          10,175
       3,067 New York Mortgage Trust, Inc.             11,409
         531 PennyMac Mortgage Investment
                Trust                                   9,202
         724 Ready Capital Corp.                       11,316
       1,013 Redwood Trust, Inc.                       13,361
         844 TPG RE Finance Trust, Inc.                10,398
       2,060 Two Harbors Investment Corp.              11,886
                                               --------------
                                                      197,399
                                               --------------
             MULTILINE RETAIL -- 1.0%
         301 Big Lots, Inc.                            13,560
          76 Dillard's, Inc., Class A                  18,622
         614 Dollar Tree, Inc. (a)                     86,279
         296 Franchise Group, Inc.                     15,439
         624 Kohl's Corp.                              30,819
       1,040 Macy's, Inc.                              27,227
         292 Ollie's Bargain Outlet Holdings,
                Inc. (a)                               14,948
         172 Target Corp.                              39,808
                                               --------------
                                                      246,702
                                               --------------
             MULTI-UTILITIES -- 1.6%
         483 Ameren Corp.                              42,992
         267 Avista Corp.                              11,345
         124 Black Hills Corp.                          8,751
         717 CenterPoint Energy, Inc.                  20,012
         197 CMS Energy Corp.                          12,815
         816 Consolidated Edison, Inc.                 69,621
         268 Dominion Energy, Inc.                     21,054
         707 DTE Energy Co.                            84,515
         792 MDU Resources Group, Inc.                 24,425
         486 NiSource, Inc.                            13,418
         182 NorthWestern Corp.                        10,403
         643 Public Service Enterprise Group,
                Inc.                                   42,907
         444 WEC Energy Group, Inc.                    43,099
                                               --------------
                                                      405,357
                                               --------------
             OIL, GAS & CONSUMABLE FUELS
                -- 3.6%
          76 Altus Midstream Co., Class A               4,660
         251 Antero Midstream Corp.                     2,430
         694 Antero Resources Corp. (a)                12,145
         274 APA Corp.                                  7,368
         254 California Resources Corp.                10,848
         213 Callon Petroleum Co. (a)                  10,064
       1,010 Cheniere Energy, Inc.                    102,434
         477 Chesapeake Energy Corp.                   30,776
         387 Chevron Corp.                             45,414


                        See Notes to Financial Statements                Page 23





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             OIL, GAS & CONSUMABLE FUELS
                (CONTINUED)
         163 Civitas Resources, Inc.           $        7,982
         207 CNX Resources Corp. (a)                    2,846
       1,262 Comstock Resources, Inc. (a)              10,210
         578 ConocoPhillips                            41,720
         382 Continental Resources, Inc.               17,098
         557 Coterra Energy, Inc.                      10,583
         800 Crescent Energy, Inc.,
                Class A (a)                            10,144
         149 Denbury, Inc. (a)                         11,412
         662 Devon Energy Corp.                        29,161
         249 Diamondback Energy, Inc.                  26,855
         983 EOG Resources, Inc.                       87,320
       1,030 Equitrans Midstream Corp.                 10,650
         316 HollyFrontier Corp.                       10,358
       3,537 Kinder Morgan, Inc.                       56,097
         882 Kosmos Energy Ltd. (a)                     3,052
         129 Laredo Petroleum, Inc. (a)                 7,757
         588 Magnolia Oil & Gas Corp., Class A         11,096
       1,290 Marathon Oil Corp.                        21,182
         343 Matador Resources Co.                     12,664
         367 Northern Oil And Gas, Inc.                 7,553
         131 Oasis Petroleum, Inc.                     16,505
       1,700 ONEOK, Inc.                               99,892
         893 Ovintiv, Inc.                             30,094
         499 Par Pacific Holdings, Inc. (a)             8,228
         276 PDC Energy, Inc.                          13,463
         577 Range Resources Corp. (a)                 10,288
         208 Renewable Energy Group, Inc. (a)           8,828
         496 SM Energy Co.                             14,622
       1,887 Southwestern Energy Co. (a)                8,793
         379 Talos Energy, Inc. (a)                     3,714
         597 Targa Resources Corp.                     31,187
       1,337 Tellurian, Inc. (a)                        4,118
         223 Whiting Petroleum Corp. (a)               14,424
         756 Williams (The) Cos., Inc.                 19,686
         233 World Fuel Services Corp.                  6,167
                                               --------------
                                                      911,888
                                               --------------
             PAPER & FOREST PRODUCTS -- 0.2%
         479 Louisiana-Pacific Corp.                   37,530
         227 Schweitzer-Mauduit International,
                Inc.                                    6,787
                                               --------------
                                                       44,317
                                               --------------
             PERSONAL PRODUCTS -- 0.2%
         340 BellRing Brands, Inc.,
                Class A (a)                             9,700
         216 Edgewell Personal Care Co.                 9,873
         139 Herbalife Nutrition Ltd. (a)               5,689
         140 Inter Parfums, Inc.                       14,966
         322 Nu Skin Enterprises, Inc.,
                Class A                                16,342
          57 USANA Health Sciences, Inc. (a)            5,769
                                               --------------
                                                       62,339
                                               --------------
             PHARMACEUTICALS -- 1.1%
         979 Amneal Pharmaceuticals, Inc. (a)           4,689
         143 Arvinas, Inc. (a)                         11,746
         593 Catalent, Inc. (a)                        75,922


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             PHARMACEUTICALS (CONTINUED)
          86 Eli Lilly & Co.                   $       23,755
         463 Fulcrum Therapeutics, Inc. (a)             8,190
         204 Harmony Biosciences Holdings,
                Inc. (a)                                8,699
         626 Innoviva, Inc. (a)                        10,799
          46 Jazz Pharmaceuticals PLC (a)               5,860
          93 Pacira BioSciences, Inc. (a)               5,596
       1,376 Pfizer, Inc.                              81,253
          93 Prestige Consumer Healthcare,
                Inc. (a)                                5,640
         293 Supernus Pharmaceuticals,
                Inc. (a)                                8,544
       1,301 Viatris, Inc.                             17,603
                                               --------------
                                                      268,296
                                               --------------
             PROFESSIONAL SERVICES -- 1.2%
         104 ASGN, Inc. (a)                            12,834
          74 Booz Allen Hamilton Holding
                Corp.                                   6,274
          90 CACI International, Inc.,
                Class A (a)                            24,229
          81 CBIZ, Inc. (a)                             3,169
         350 Dun & Bradstreet Holdings,
                Inc. (a)                                7,171
         311 Equifax, Inc.                             91,058
         156 Exponent, Inc.                            18,210
         131 FTI Consulting, Inc. (a)                  20,098
          29 ICF International, Inc.                    2,974
         118 Insperity, Inc.                           13,937
          44 Jacobs Engineering Group, Inc.             6,126
         144 Korn Ferry                                10,905
         122 Leidos Holdings, Inc.                     10,846
          54 ManpowerGroup, Inc.                        5,256
          69 ManTech International Corp.,
                Class A                                 5,032
         234 Robert Half International, Inc.           26,096
         206 Science Applications International
                Corp.                                  17,219
          62 TriNet Group, Inc. (a)                     5,906
         193 TrueBlue, Inc. (a)                         5,340
         130 Upwork, Inc. (a)                           4,441
                                               --------------
                                                      297,121
                                               --------------
             REAL ESTATE MANAGEMENT &
                DEVELOPMENT -- 0.9%
       1,013 CBRE Group, Inc., Class A (a)            109,920
         102 Douglas Elliman, Inc. (a)                  1,173
         591 eXp World Holdings, Inc.                  19,911
         561 Forestar Group, Inc. (a)                  12,202
         133 Howard Hughes (The) Corp. (a)             13,537
          71 Jones Lang LaSalle, Inc. (a)              19,123
         500 Kennedy-Wilson Holdings, Inc.             11,940
         129 Marcus & Millichap, Inc. (a)               6,638
         913 Newmark Group, Inc., Class A              17,073
         744 Realogy Holdings Corp. (a)                12,507
          62 St. Joe (The) Co.                          3,227
                                               --------------
                                                      227,251
                                               --------------


Page 24                 See Notes to Financial Statements





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             ROAD & RAIL -- 1.5%
          37 AMERCO                            $       26,870
          96 ArcBest Corp.                             11,506
         254 Avis Budget Group, Inc. (a)               52,672
         659 CSX Corp.                                 24,778
         652 Heartland Express, Inc.                   10,967
          70 J.B. Hunt Transport Services,
                Inc.                                   14,308
         574 Knight-Swift Transportation
                Holdings, Inc.                         34,979
          74 Landstar System, Inc.                     13,247
         666 Marten Transport Ltd.                     11,429
          82 Norfolk Southern Corp.                    24,412
         207 Old Dominion Freight Line, Inc.           74,185
         127 Ryder System, Inc.                        10,469
          99 Saia, Inc. (a)                            33,366
         460 Schneider National, Inc., Class B         12,379
         236 Werner Enterprises, Inc.                  11,248
         221 XPO Logistics, Inc. (a)                   17,112
                                               --------------
                                                      383,927
                                               --------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 3.3%
          94 ACM Research, Inc., Class A (a)            8,015
         576 Advanced Micro Devices, Inc. (a)          82,886
          68 Ambarella, Inc. (a)                       13,797
       1,178 Amkor Technology, Inc.                    29,203
          56 Axcelis Technologies, Inc. (a)             4,175
         287 Azenta, Inc.                              29,593
          32 Cirrus Logic, Inc. (a)                     2,945
         144 Diodes, Inc. (a)                          15,813
         140 Entegris, Inc.                            19,401
         247 First Solar, Inc. (a)                     21,529
         127 Ichor Holdings Ltd. (a)                    5,846
          46 Impinj, Inc. (a)                           4,080
       1,851 Intel Corp.                               95,326
         363 Lattice Semiconductor Corp. (a)           27,973
         121 MACOM Technology Solutions
                Holdings, Inc. (a)                      9,474
         266 MaxLinear, Inc. (a)                       20,054
       1,389 Micron Technology, Inc.                  129,385
         117 MKS Instruments, Inc.                     20,378
         162 Monolithic Power Systems, Inc.            79,919
         286 NVIDIA Corp.                              84,115
         129 ON Semiconductor Corp. (a)                 8,762
         144 Onto Innovation, Inc. (a)                 14,577
         297 Power Integrations, Inc.                  27,588
         118 Rambus, Inc. (a)                           3,468
         100 Semtech Corp. (a)                          8,893
          64 SiTime Corp. (a)                          18,723
         131 Synaptics, Inc. (a)                       37,926
         353 Veeco Instruments, Inc. (a)               10,050
                                               --------------
                                                      833,894
                                               --------------
             SOFTWARE -- 5.3%
         776 A10 Networks, Inc.                        12,866
          38 Altair Engineering, Inc.,
                Class A (a)                             2,938
         193 Anaplan, Inc. (a)                          8,849
         283 Asana, Inc., Class A (a)                  21,098


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             SOFTWARE (CONTINUED)
         101 Avalara, Inc. (a)                 $       13,040
          97 Bentley Systems, Inc., Class B             4,688
         369 Bill.com Holdings, Inc. (a)               91,936
          81 Black Knight, Inc. (a)                     6,714
         100 Blackline, Inc. (a)                       10,354
         130 Cadence Design Systems, Inc. (a)          24,225
         138 CDK Global, Inc.                           5,760
         104 Ceridian HCM Holding, Inc. (a)            10,864
          69 CommVault Systems, Inc. (a)                4,755
         160 Crowdstrike Holdings, Inc.,
                Class A (a)                            32,760
         558 Datadog, Inc., Class A (a)                99,385
          86 Digital Turbine, Inc. (a)                  5,245
          93 Domo, Inc., Class B (a)                    4,613
         402 Dropbox, Inc., Class A (a)                 9,865
         331 Dynatrace, Inc. (a)                       19,976
         119 Elastic N.V. (a)                          14,648
          78 Everbridge, Inc. (a)                       5,252
         338 Fortinet, Inc. (a)                       121,477
          50 Guidewire Software, Inc. (a)               5,676
         146 HubSpot, Inc. (a)                         96,236
         110 Intuit, Inc.                              70,754
          68 Jamf Holding Corp. (a)                     2,585
          77 Manhattan Associates, Inc. (a)            11,973
          82 Marathon Digital Holdings,
                Inc. (a)                                2,694
         123 Mimecast Ltd. (a)                          9,787
          82 nCino, Inc. (a)                            4,499
          37 New Relic, Inc. (a)                        4,069
         312 Nutanix, Inc., Class A (a)                 9,940
         679 Oracle Corp.                              59,216
         206 Palo Alto Networks, Inc. (a)             114,693
         119 Paycom Software, Inc. (a)                 49,408
          84 Paylocity Holding Corp. (a)               19,837
         107 Progress Software Corp.                    5,165
         208 Rapid7, Inc. (a)                          24,480
         394 SecureWorks Corp., Class A (a)             6,292
          32 ServiceNow, Inc. (a)                      20,772
          86 Smartsheet, Inc., Class A (a)              6,661
         107 Sprout Social, Inc., Class A (a)           9,704
          64 SPS Commerce, Inc. (a)                     9,110
          66 Synopsys, Inc. (a)                        24,321
         113 Tenable Holdings, Inc. (a)                 6,223
         512 Teradata Corp. (a)                        21,745
         469 Unity Software, Inc. (a)                  67,062
         290 Varonis Systems, Inc. (a)                 14,146
         648 Vonage Holdings Corp. (a)                 13,472
         167 Workiva, Inc. (a)                         21,792
         139 Xperi Holding Corp.                        2,628
         301 Zscaler, Inc. (a)                         96,720
                                               --------------
                                                    1,342,968
                                               --------------
             SPECIALTY RETAIL -- 3.9%
         278 Abercrombie & Fitch Co.,
                Class A (a)                             9,683
         261 Academy Sports & Outdoors,
                Inc. (a)                               11,458
          28 Advance Auto Parts, Inc.                   6,717
         228 American Eagle Outfitters, Inc.            5,773


                        See Notes to Financial Statements                Page 25





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             SPECIALTY RETAIL (CONTINUED)
          40 Asbury Automotive Group, Inc. (a) $        6,909
         241 AutoNation, Inc. (a)                      28,161
          58 AutoZone, Inc. (a)                       121,591
       1,564 Bath & Body Works, Inc.                  109,152
         453 Bed Bath & Beyond, Inc. (a) (c)            6,605
         747 Best Buy Co., Inc.                        75,895
         147 Boot Barn Holdings, Inc. (a)              18,088
         132 Buckle (The), Inc.                         5,585
          66 Carvana Co. (a)                           15,298
         104 Children's Place (The), Inc. (a)           8,246
         246 Dick's Sporting Goods, Inc.               28,288
          33 Five Below, Inc. (a)                       6,827
         243 Floor & Decor Holdings, Inc.,
                Class A (a)                            31,592
         643 Foot Locker, Inc.                         28,054
       1,036 Gap (The), Inc.                           18,285
          70 Group 1 Automotive, Inc.                  13,665
         124 Guess?, Inc.                               2,936
         111 Hibbett, Inc.                              7,984
          93 Lithia Motors, Inc.                       27,616
         269 MarineMax, Inc. (a)                       15,882
          16 Murphy USA, Inc.                           3,188
         184 National Vision Holdings,
                Inc. (a)                                8,830
         129 O'Reilly Automotive, Inc. (a)             91,104
         130 ODP (The) Corp. (a)                        5,106
         292 Penske Automotive Group, Inc.             31,308
         186 Rent-A-Center, Inc.                        8,936
          27 RH (a)                                    14,470
         310 Sally Beauty Holdings, Inc. (a)            5,723
         132 Signet Jewelers Ltd.                      11,488
          28 Sleep Number Corp. (a)                     2,145
         199 Sonic Automotive, Inc., Class A            9,841
         487 Tractor Supply Co.                       116,198
         440 Urban Outfitters, Inc. (a)                12,918
         167 Williams-Sonoma, Inc.                     28,245
         329 Zumiez, Inc. (a)                          15,789
                                               --------------
                                                      975,579
                                               --------------
             TECHNOLOGY HARDWARE, STORAGE &
                PERIPHERALS -- 1.0%
         139 Apple, Inc.                               24,682
          90 Avid Technology, Inc. (a)                  2,931
       5,537 Hewlett Packard Enterprise Co.            87,319
         262 NetApp, Inc.                              24,101
         701 Pure Storage, Inc., Class A (a)           22,818
         143 Super Micro Computer, Inc. (a)             6,285
       1,049 Western Digital Corp. (a)                 68,405
         648 Xerox Holdings Corp.                      14,671
                                               --------------
                                                      251,212
                                               --------------
             TEXTILES, APPAREL & LUXURY GOODS
                -- 0.6%
          53 Carter's, Inc.                             5,365
         184 Columbia Sportswear Co.                   17,929
         204 Crocs, Inc. (a)                           26,157
          49 Deckers Outdoor Corp. (a)                 17,949
         461 G-III Apparel Group Ltd. (a)              12,742


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             TEXTILES, APPAREL & LUXURY GOODS
                (CONTINUED)
         104 Kontoor Brands, Inc.              $        5,330
         171 PVH Corp.                                 18,237
          53 Ralph Lauren Corp.                         6,299
         419 Skechers U.S.A., Inc.,
                Class A (a)                            18,185
         318 Tapestry, Inc.                            12,911
         582 Under Armour, Inc., Class A (a)           12,332
                                               --------------
                                                      153,436
                                               --------------
             THRIFTS & MORTGAGE FINANCE
                -- 0.8%
         152 Axos Financial, Inc. (a)                   8,498
         141 Columbia Financial, Inc. (a)               2,941
         668 Essent Group Ltd.                         30,414
          24 Federal Agricultural Mortgage
                Corp., Class C                          2,974
         420 Kearny Financial Corp.                     5,565
         199 Merchants Bancorp                          9,419
         873 MGIC Investment Corp.                     12,589
         318 Mr. Cooper Group, Inc. (a)                13,232
       1,370 New York Community Bancorp, Inc.          16,728
         578 NMI Holdings, Inc., Class A (a)           12,629
         590 Northwest Bancshares, Inc.                 8,354
         213 PennyMac Financial Services, Inc.         14,863
         328 Premier Financial Corp.                   10,139
         334 Provident Financial Services,
                Inc.                                    8,089
         574 Radian Group, Inc.                        12,129
          92 Walker & Dunlop, Inc.                     13,881
         152 Washington Federal, Inc.                   5,074
         152 WSFS Financial Corp.                       7,618
                                               --------------
                                                      195,136
                                               --------------
             TOBACCO -- 0.1%
         217 Universal Corp.                           11,918
         204 Vector Group Ltd.                          2,342
                                               --------------
                                                       14,260
                                               --------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 1.0%
         747 Air Lease Corp.                           33,040
          58 Applied Industrial Technologies,
                Inc.                                    5,957
         164 Beacon Roofing Supply, Inc. (a)            9,405
         242 Boise Cascade Co.                         17,230
          58 GATX Corp.                                 6,043
         179 GMS, Inc. (a)                             10,760
          80 Herc Holdings, Inc.                       12,524
         109 McGrath RentCorp                           8,748
          32 MSC Industrial Direct Co., Inc.,
                Class A                                 2,690
         231 Rush Enterprises, Inc., Class A           12,853
         148 SiteOne Landscape Supply,
                Inc. (a)                               35,857
         201 Triton International Ltd.                 12,106
          57 United Rentals, Inc. (a)                  18,941
         219 Univar Solutions, Inc. (a)                 6,209
          88 Veritiv Corp. (a)                         10,786
          22 Watsco, Inc.                               6,883
         254 WESCO International, Inc. (a)             33,424
                                               --------------
                                                      243,456
                                               --------------


Page 26                 See Notes to Financial Statements





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             WATER UTILITIES -- 0.1%
          89 California Water Service Group    $        6,395
         256 Essential Utilities, Inc.                 13,745
          77 Middlesex Water Co.                        9,263
          40 SJW Group                                  2,928
                                               --------------
                                                       32,331
                                               --------------
             WIRELESS TELECOMMUNICATION
                SERVICES -- 0.3%
         302 Gogo, Inc. (a)                             4,086
         331 Shenandoah Telecommunications
                Co.                                     8,440
         670 Telephone and Data Systems, Inc.          13,501
         307 T-Mobile US, Inc. (a)                     35,606
         410 United States Cellular Corp. (a)          12,923
                                               --------------
                                                       74,556
                                               --------------
             TOTAL COMMON STOCKS -- 99.9%          25,201,720
             (Cost $21,723,060)                --------------

             MONEY MARKET FUNDS -- 0.4%
      46,775 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                0.01% (d) (e)                          46,775
      57,234 Morgan Stanley Institutional
                Liquidity Funds - Treasury
                Portfolio - Institutional
                Class - 0.01% (d)                      57,234
                                               --------------
             TOTAL MONEY MARKET FUNDS
                -- 0.4%                               104,009
             (Cost $104,009)                   --------------


 PRINCIPAL
   VALUE     DESCRIPTION                           VALUE
-------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 0.1%
$     20,769 BNP Paribas S.A., 0.03% (d),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $20,769. Collateralized by
                U.S. Treasury Note interest
                rate of 1.50%, due 11/30/28.
                The value of the collateral
                including accrued interest
                is $21,175. (e)                        20,769
             (Cost $20,769)                    --------------

             TOTAL INVESTMENTS -- 100.4%           25,326,498
             (Cost $21,847,838) (f)
             NET OTHER ASSETS AND
                LIABILITIES -- (0.4)%                (103,230)
                                               --------------
             NET ASSETS -- 100.0%              $   25,223,268
                                               ==============

(a)   Non-income producing security.

(b)   This security may be resold to qualified foreign investors and foreign
      institutional buyers under Regulation S of the Securities Act of 1933, as
      amended.

(c)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $65,395 and the
      total value of the collateral held by the Fund is $67,544.

(d)   Rate shown reflects yield as of December 31, 2021.

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

(f)   Aggregate cost for federal income tax purposes is $21,957,413. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $4,018,858 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $649,773. The net unrealized appreciation was $3,369,085.

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                             LEVEL 2       LEVEL 3
                  TOTAL        LEVEL 1     SIGNIFICANT   SIGNIFICANT
                 VALUE AT       QUOTED      OBSERVABLE   UNOBSERVABLE
                12/31/2021      PRICES        INPUTS        INPUTS
Common         ------------------------------------------------------
  Stocks*      $ 25,201,720  $ 25,201,720  $         --  $         --
Money Market
  Funds             104,009       104,009            --            --
Repurchase
  Agreements         20,769            --        20,769            --
               ------------------------------------------------------
Total
  Investments  $ 25,326,498  $ 25,305,729  $     20,769  $         --
               ======================================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 27





FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

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

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

SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $       65,395
Non-cash Collateral(2)                                (65,395)
                                               --------------
Net Amount                                     $           --
                                               ==============

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

(2)   At December 31, 2021, the value of the collateral received from each
      borrower exceeded the value of the related securities loaned. This amount
      is disclosed on the Portfolio of Investments.

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

REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $       20,769
Non-cash Collateral(4)                                (20,769)
                                               --------------
Net Amount                                     $           --
                                               ==============

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

(4)   At December 31, 2021, the value of the collateral received from each
      seller exceeded the value of the repurchase agreements.


Page 28                 See Notes to Financial Statements





FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AEROSPACE & DEFENSE -- 1.4%
         186 Boeing (The) Co. (a)              $       37,446
          74 General Dynamics Corp.                    15,427
          14 HEICO Corp.                                2,019
          58 L3Harris Technologies, Inc.               12,368
          87 Lockheed Martin Corp.                     30,921
          46 Northrop Grumman Corp.                    17,805
         474 Raytheon Technologies Corp.               40,792
          55 Textron, Inc.                              4,246
          15 TransDigm Group, Inc. (a)                  9,544
                                               --------------
                                                      170,568
                                               --------------
             AIR FREIGHT & LOGISTICS -- 0.6%
          49 Expeditors International of
                Washington, Inc.                        6,580
          74 FedEx Corp.                               19,139
         231 United Parcel Service, Inc.,
                Class B                                49,513
                                               --------------
                                                       75,232
                                               --------------
             AIRLINES -- 0.2%
         203 Delta Air Lines, Inc. (a)                  7,933
         159 Southwest Airlines Co. (a)                 6,812
          94 United Airlines Holdings,
                Inc. (a)                                4,115
                                               --------------
                                                       18,860
                                               --------------
             AUTO COMPONENTS -- 0.1%
          86 Aptiv PLC (a)                             14,186
                                               --------------
             AUTOMOBILES -- 2.6%
       1,242 Ford Motor Co.                            25,796
         404 General Motors Co. (a)                    23,687
         264 Tesla, Inc. (a)                          278,990
                                               --------------
                                                      328,473
                                               --------------
             BANKS -- 3.9%
       2,279 Bank of America Corp.                    101,393
         628 Citigroup, Inc.                           37,925
         119 Citizens Financial Group, Inc.             5,623
         188 Fifth Third Bancorp                        8,187
          57 First Republic Bank                       11,771
         430 Huntington Bancshares, Inc.                6,631
         935 JPMorgan Chase & Co.                     148,057
         253 KeyCorp                                    5,852
          38 M&T Bank Corp.                             5,836
         134 PNC Financial Services Group
                (The), Inc.                            26,870
         284 Regions Financial Corp.                    6,191
          18 SVB Financial Group (a)                   12,208
         422 Truist Financial Corp.                    24,708
         427 U.S. Bancorp                              23,984
       1,262 Wells Fargo & Co.                         60,551
                                               --------------
                                                      485,787
                                               --------------
             BEVERAGES -- 1.5%
          98 Brown-Forman Corp., Class B                7,140
       1,244 Coca-Cola (The) Co.                       73,657
          52 Constellation Brands, Inc.,
                Class A                                13,051
         278 Keurig Dr Pepper, Inc.                    10,247
         111 Monster Beverage Corp. (a)                10,660


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             BEVERAGES (CONTINUED)
         438 PepsiCo, Inc.                     $       76,085
                                               --------------
                                                      190,840
                                               --------------
             BIOTECHNOLOGY -- 1.9%
         559 AbbVie, Inc.                              75,689
          29 Alnylam Pharmaceuticals, Inc. (a)          4,918
         168 Amgen, Inc.                               37,795
          39 Biogen, Inc. (a)                           9,357
          45 Exact Sciences Corp. (a)                   3,502
         337 Gilead Sciences, Inc.                     24,469
          67 Horizon Therapeutics PLC (a)               7,220
          60 Incyte Corp. (a)                           4,404
         115 Moderna, Inc. (a)                         29,208
          26 Regeneron Pharmaceuticals,
                Inc. (a)                               16,419
          54 Seagen, Inc. (a)                           8,348
          76 Vertex Pharmaceuticals, Inc. (a)          16,690
                                               --------------
                                                      238,019
                                               --------------
             BUILDING PRODUCTS -- 0.4%
         219 Carrier Global Corp.                      11,879
         223 Johnson Controls International
                PLC                                    18,132
          73 Masco Corp.                                5,126
          68 Trane Technologies PLC                    13,738
                                               --------------
                                                       48,875
                                               --------------
             CAPITAL MARKETS -- 3.4%
          33 Ameriprise Financial, Inc.                 9,955
         238 Bank of New York Mellon (The)
                Corp.                                  13,823
          43 BlackRock, Inc.                           39,369
         217 Blackstone, Inc.                          28,078
          77 Carlyle Group (The), Inc.                  4,227
         453 Charles Schwab (The) Corp.                38,097
         103 CME Group, Inc.                           23,531
          49 Coinbase Global, Inc.,
                Class A (a)                            12,366
          94 Franklin Resources, Inc.                   3,148
         106 Goldman Sachs Group (The), Inc.           40,550
         178 Intercontinental Exchange, Inc.           24,345
         185 KKR & Co., Inc.                           13,782
          10 MarketAxess Holdings, Inc.                 4,113
          51 Moody's Corp.                             19,920
         449 Morgan Stanley                            44,074
          26 MSCI, Inc.                                15,930
          34 Nasdaq, Inc.                               7,140
          66 Northern Trust Corp.                       7,894
          59 Raymond James Financial, Inc.              5,924
          76 S&P Global, Inc.                          35,867
         116 State Street Corp.                        10,788
          67 T. Rowe Price Group, Inc.                 13,175
                                               --------------
                                                      416,096
                                               --------------
             CHEMICALS -- 1.2%
          66 Air Products and Chemicals, Inc.          20,081
          37 Albemarle Corp.                            8,649
          33 Celanese Corp.                             5,546
         231 Corteva, Inc.                             10,922
         220 Dow, Inc.                                 12,478


                        See Notes to Financial Statements                Page 29





FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             CHEMICALS (CONTINUED)
         164 DuPont de Nemours, Inc.           $       13,248
          37 Eastman Chemical Co.                       4,474
          81 Ecolab, Inc.                              19,002
          72 International Flavors &
                Fragrances, Inc.                       10,847
          65 LyondellBasell Industries N.V.,
                Class A                                 5,995
          71 PPG Industries, Inc.                      12,243
          76 Sherwin-Williams (The) Co.                26,764
                                               --------------
                                                      150,249
                                               --------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 0.5%
          28 Cintas Corp.                              12,409
          70 Copart, Inc. (a)                          10,613
          66 Republic Services, Inc.                    9,204
          86 Rollins, Inc.                              2,942
         132 Waste Management, Inc.                    22,031
                                               --------------
                                                       57,199
                                               --------------
             COMMUNICATIONS EQUIPMENT
                -- 0.9%
          76 Arista Networks, Inc. (a)                 10,925
       1,335 Cisco Systems, Inc.                       84,599
          47 Motorola Solutions, Inc.                  12,770
           2 Ubiquiti, Inc.                               613
                                               --------------
                                                      108,907
                                               --------------
             CONSTRUCTION MATERIALS -- 0.1%
          17 Martin Marietta Materials, Inc.            7,489
          39 Vulcan Materials Co.                       8,095
                                               --------------
                                                       15,584
                                               --------------
             CONSUMER FINANCE -- 0.6%
         110 Ally Financial, Inc.                       5,237
         199 American Express Co.                      32,557
         128 Capital One Financial Corp.               18,572
          86 Discover Financial Services                9,938
         147 Synchrony Financial                        6,819
                                               --------------
                                                       73,123
                                               --------------
             CONTAINERS & PACKAGING -- 0.2%
          23 Avery Dennison Corp.                       4,981
          94 Ball Corp.                                 9,050
         100 International Paper Co.                    4,698
                                               --------------
                                                       18,729
                                               --------------
             DISTRIBUTORS -- 0.1%
          42 Genuine Parts Co.                          5,888
          92 LKQ Corp.                                  5,523
          12 Pool Corp.                                 6,792
                                               --------------
                                                       18,203
                                               --------------
             DIVERSIFIED FINANCIAL SERVICES
                -- 0.9%
         388 Berkshire Hathaway, Inc.,
                Class B (a)                           116,012
                                               --------------


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 1.0%
       2,147 AT&T, Inc.                        $       52,816
       1,328 Verizon Communications, Inc.              69,003
                                               --------------
                                                      121,819
                                               --------------
             ELECTRIC UTILITIES -- 1.6%
          73 Alliant Energy Corp.                       4,487
         151 American Electric Power Co., Inc.         13,435
         231 Duke Energy Corp.                         24,232
         113 Edison International                       7,712
          57 Entergy Corp.                              6,421
          69 Evergy, Inc.                               4,734
          96 Eversource Energy                          8,734
         276 Exelon Corp.                              15,942
         162 FirstEnergy Corp.                          6,738
         621 NextEra Energy, Inc.                      57,977
         389 PG&E Corp. (a)                             4,722
         221 PPL Corp.                                  6,643
         335 Southern (The) Co.                        22,974
         138 Xcel Energy, Inc.                          9,343
                                               --------------
                                                      194,094
                                               --------------
             ELECTRICAL EQUIPMENT -- 0.6%
          73 AMETEK, Inc.                              10,734
         126 Eaton Corp. PLC                           21,775
         188 Emerson Electric Co.                      17,478
          19 Generac Holdings, Inc. (a)                 6,686
         155 Plug Power, Inc. (a)                       4,376
          35 Rockwell Automation, Inc.                 12,210
                                               --------------
                                                       73,259
                                               --------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 0.7%
         165 Amphenol Corp., Class A                   14,431
          43 CDW Corp.                                  8,805
          51 Cognex Corp.                               3,966
         246 Corning, Inc.                              9,159
          55 Keysight Technologies, Inc. (a)           11,358
          98 TE Connectivity Ltd.                      15,811
          13 Teledyne Technologies, Inc. (a)            5,680
          71 Trimble, Inc. (a)                          6,190
          16 Zebra Technologies Corp.,
                Class A (a)                             9,523
                                               --------------
                                                       84,923
                                               --------------
             ENERGY EQUIPMENT & SERVICES
                -- 0.2%
         190 Baker Hughes Co.                           4,571
         263 Halliburton Co.                            6,015
         444 Schlumberger N.V.                         13,298
                                               --------------
                                                       23,884
                                               --------------
             ENTERTAINMENT -- 1.9%
         246 Activision Blizzard, Inc.                 16,366
         153 AMC Entertainment Holdings,
                Inc., Class A (a)                       4,162
          81 Electronic Arts, Inc.                     10,684
          55 Liberty Media Corp.-Liberty
                Formula One, Class C (a)                3,478


Page 30                 See Notes to Financial Statements





FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             ENTERTAINMENT (CONTINUED)
          45 Live Nation Entertainment,
                Inc. (a)                       $        5,386
         130 Netflix, Inc. (a)                         78,317
          95 ROBLOX Corp., Class A (a)                  9,800
          34 Roku, Inc. (a)                             7,759
          34 Take-Two Interactive Software,
                Inc. (a)                                6,043
         575 Walt Disney (The) Co. (a)                 89,062
                                               --------------
                                                      231,057
                                               --------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 2.7%
          42 Alexandria Real Estate Equities,
                Inc.                                    9,364
         144 American Tower Corp.                      42,120
          41 AvalonBay Communities, Inc.               10,356
          40 Boston Properties, Inc.                    4,607
          27 Camden Property Trust                      4,824
         130 Crown Castle International Corp.          27,136
          79 Digital Realty Trust, Inc.                13,973
         112 Duke Realty Corp.                          7,352
          27 Equinix, Inc.                             22,838
          49 Equity LifeStyle Properties, Inc.          4,295
          94 Equity Residential                         8,507
          19 Essex Property Trust, Inc.                 6,692
          39 Extra Space Storage, Inc.                  8,842
         159 Healthpeak Properties, Inc.                5,738
         179 Invitation Homes, Inc.                     8,116
          34 Mid-America Apartment
                Communities, Inc.                       7,801
         220 Prologis, Inc.                            37,039
          46 Public Storage                            17,230
         179 Realty Income Corp.                       12,815
          32 SBA Communications Corp.                  12,449
          97 Simon Property Group, Inc.                15,498
          36 Sun Communities, Inc.                      7,559
          92 UDR, Inc.                                  5,519
         117 Ventas, Inc.                               5,981
         169 VICI Properties, Inc.                      5,089
         128 Welltower, Inc.                           10,979
         211 Weyerhaeuser Co.                           8,689
          59 WP Carey, Inc.                             4,841
                                               --------------
                                                      336,249
                                               --------------
             FOOD & STAPLES RETAILING -- 1.4%
         140 Costco Wholesale Corp.                    79,478
         200 Kroger (The) Co.                           9,052
         162 Sysco Corp.                               12,725
         227 Walgreens Boots Alliance, Inc.            11,840
         450 Walmart, Inc.                             65,111
                                               --------------
                                                      178,206
                                               --------------
             FOOD PRODUCTS -- 0.8%
         150 Archer-Daniels-Midland Co.                10,138
         134 Conagra Brands, Inc.                       4,576
         192 General Mills, Inc.                       12,937
          43 Hershey (The) Co.                          8,319
          91 Hormel Foods Corp.                         4,442


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             FOOD PRODUCTS (CONTINUED)
          82 Kellogg Co.                       $        5,282
         225 Kraft Heinz (The) Co.                      8,078
          63 McCormick & Co., Inc.                      6,086
         441 Mondelez International, Inc.,
                Class A                                29,243
          93 Tyson Foods, Inc., Class A                 8,106
                                               --------------
                                                       97,207
                                               --------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 3.0%
         560 Abbott Laboratories                       78,814
          12 ABIOMED, Inc. (a)                          4,310
          23 Align Technology, Inc. (a)                15,115
         143 Baxter International, Inc.                12,275
          85 Becton, Dickinson and Co.                 21,376
         419 Boston Scientific Corp. (a)               17,799
          14 Cooper (The) Cos., Inc.                    5,865
          59 DENTSPLY SIRONA, Inc.                      3,292
          27 Dexcom, Inc. (a)                          14,498
         198 Edwards Lifesciences Corp. (a)            25,651
          62 Hologic, Inc. (a)                          4,747
          24 IDEXX Laboratories, Inc. (a)              15,803
          14 Insulet Corp. (a)                          3,725
         105 Intuitive Surgical, Inc. (a)              37,726
          15 Masimo Corp. (a)                           4,392
         426 Medtronic PLC                             44,070
          17 Novocure Ltd. (a)                          1,276
          41 ResMed, Inc.                              10,680
          28 STERIS PLC                                 6,815
         106 Stryker Corp.                             28,346
          12 Teleflex, Inc.                             3,942
          63 Zimmer Biomet Holdings, Inc.               8,004
                                               --------------
                                                      368,521
                                               --------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 2.8%
          47 AmerisourceBergen Corp.                    6,246
          77 Anthem, Inc.                              35,693
          80 Cardinal Health, Inc.                      4,119
         172 Centene Corp. (a)                         14,173
         100 Cigna Corp.                               22,963
         418 CVS Health Corp.                          43,121
          70 HCA Healthcare, Inc.                      17,985
          35 Humana, Inc.                              16,235
          30 Laboratory Corp. of America
                Holdings (a)                            9,426
          46 McKesson Corp.                            11,434
          14 Molina Healthcare, Inc. (a)                4,453
          30 Oak Street Health, Inc. (a)                  994
          37 Quest Diagnostics, Inc.                    6,401
         298 UnitedHealth Group, Inc.                 149,638
                                               --------------
                                                      342,881
                                               --------------
             HEALTH CARE TECHNOLOGY -- 0.2%
          88 Cerner Corp.                               8,173
          43 Teladoc Health, Inc. (a)                   3,948
          38 Veeva Systems, Inc., Class A (a)           9,708
                                               --------------
                                                       21,829
                                               --------------


                        See Notes to Financial Statements                Page 31





FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             HOTELS, RESTAURANTS & LEISURE
                -- 2.0%
         103 Airbnb, Inc., Class A (a)         $       17,149
          13 Booking Holdings, Inc. (a)                31,190
          53 Caesars Entertainment, Inc. (a)            4,957
         267 Carnival Corp. (a)                         5,372
           8 Chipotle Mexican Grill, Inc. (a)          13,986
          31 Darden Restaurants, Inc.                   4,670
          10 Domino's Pizza, Inc.                       5,643
         129 DraftKings, Inc., Class A (a)              3,544
          46 Expedia Group, Inc. (a)                    8,313
          77 Hilton Worldwide Holdings,
                Inc. (a)                               12,011
         104 Las Vegas Sands Corp. (a)                  3,915
          92 Marriott International, Inc.,
                Class A (a)                            15,202
         236 McDonald's Corp.                          63,265
         122 MGM Resorts International                  5,475
          56 Royal Caribbean Cruises Ltd. (a)           4,306
         371 Starbucks Corp.                           43,396
          76 Yum! Brands, Inc.                         10,553
                                               --------------
                                                      252,947
                                               --------------
             HOUSEHOLD DURABLES -- 0.3%
          98 D.R. Horton, Inc.                         10,628
          48 Garmin Ltd.                                6,536
          71 Lennar Corp., Class A                      8,247
           1 NVR, Inc. (a)                              5,909
                                               --------------
                                                       31,320
                                               --------------
             HOUSEHOLD PRODUCTS -- 1.4%
          73 Church & Dwight Co., Inc.                  7,483
          37 Clorox (The) Co.                           6,451
         267 Colgate-Palmolive Co.                     22,786
         101 Kimberly-Clark Corp.                      14,435
         766 Procter & Gamble (The) Co.               125,302
                                               --------------
                                                      176,457
                                               --------------
             INDEPENDENT POWER AND RENEWABLE
                ELECTRICITY PRODUCERS -- 0.0%
         175 AES (The) Corp.                            4,253
                                               --------------
             INDUSTRIAL CONGLOMERATES -- 1.0%
         182 3M Co.                                    32,329
         292 General Electric Co.                      27,585
         218 Honeywell International, Inc.             45,455
          30 Roper Technologies, Inc.                  14,756
                                               --------------
                                                      120,125
                                               --------------
             INSURANCE -- 1.6%
         193 Aflac, Inc.                               11,269
          91 Allstate (The) Corp.                      10,706
         239 American International Group,
                Inc.                                   13,589
          66 Aon PLC, Class A                          19,837
          93 Arch Capital Group Ltd. (a)                4,134
          62 Arthur J. Gallagher & Co.                 10,520
          71 Brown & Brown, Inc.                        4,990
         129 Chubb Ltd.                                24,937
          43 Cincinnati Financial Corp.                 4,899


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             INSURANCE (CONTINUED)
          96 Hartford Financial Services Group
                (The), Inc.                    $        6,628
           4 Markel Corp. (a)                           4,936
         150 Marsh & McLennan Cos., Inc.               26,073
         226 MetLife, Inc.                             14,123
          68 Principal Financial Group, Inc.            4,918
         176 Progressive (The) Corp.                   18,066
         112 Prudential Financial, Inc.                12,123
          69 Travelers (The) Cos., Inc.                10,794
                                               --------------
                                                      202,542
                                               --------------
             INTERACTIVE MEDIA & SERVICES
                -- 4.5%
          95 Alphabet, Inc., Class A (a)              275,219
          84 Match Group, Inc. (a)                     11,109
         711 Meta Platforms, Inc., Class A (a)        239,145
         162 Pinterest, Inc., Class A (a)               5,889
         360 Snap, Inc., Class A (a)                   16,931
         253 Twitter, Inc. (a)                         10,934
                                               --------------
                                                      559,227
                                               --------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 4.0%
         140 Amazon.com, Inc. (a)                     466,808
          59 DoorDash, Inc., Class A (a)                8,785
         186 eBay, Inc.                                12,369
          36 Etsy, Inc. (a)                             7,882
          18 Wayfair, Inc., Class A (a)                 3,419
                                               --------------
                                                      499,263
                                               --------------
             IT SERVICES -- 5.2%
         200 Accenture PLC, Class A                    82,910
          48 Akamai Technologies, Inc. (a)              5,618
         133 Automatic Data Processing, Inc.           32,795
         126 Block, Inc. (a)                           20,350
          35 Broadridge Financial Solutions,
                Inc.                                    6,399
          62 Cloudflare, Inc., Class A (a)              8,153
         166 Cognizant Technology Solutions
                Corp., Class A                         14,728
          17 EPAM Systems, Inc. (a)                    11,364
         183 Fidelity National Information
                Services, Inc.                         19,974
         175 Fiserv, Inc. (a)                          18,163
          23 FleetCor Technologies, Inc. (a)            5,148
          26 Gartner, Inc. (a)                          8,692
          82 Global Payments, Inc.                     11,085
         284 International Business Machines
                Corp.                                  37,959
         274 Mastercard, Inc., Class A                 98,454
          15 MongoDB, Inc. (a)                          7,940
          43 Okta, Inc. (a)                             9,639
          96 Paychex, Inc.                             13,104
         372 PayPal Holdings, Inc. (a)                 70,152
          86 Snowflake, Inc., Class A (a)              29,133
          53 Twilio, Inc., Class A (a)                 13,957
          29 VeriSign, Inc. (a)                         7,361
         528 Visa, Inc., Class A                      114,423
                                               --------------
                                                      647,501
                                               --------------


Page 32                 See Notes to Financial Statements





FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             LEISURE PRODUCTS -- 0.0%
          87 Peloton Interactive, Inc.,
                Class A (a)                    $        3,111
                                               --------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 2.1%
          22 10X Genomics, Inc., Class A (a)            3,277
          83 Agilent Technologies, Inc.                13,251
         170 Avantor, Inc. (a)                          7,164
           6 Bio-Rad Laboratories, Inc.,
                Class A (a)                             4,534
          12 Bio-Techne Corp.                           6,208
          14 Charles River Laboratories
                International, Inc. (a)                 5,275
         213 Danaher Corp.                             70,079
          43 Illumina, Inc. (a)                        16,359
          57 IQVIA Holdings, Inc. (a)                  16,082
           6 Mettler-Toledo International,
                Inc. (a)                               10,183
          34 PerkinElmer, Inc.                          6,836
         125 Thermo Fisher Scientific, Inc.            83,405
          17 Waters Corp. (a)                           6,334
          20 West Pharmaceutical Services, Inc.         9,380
                                               --------------
                                                      258,367
                                               --------------
             MACHINERY -- 1.4%
         171 Caterpillar, Inc.                         35,353
          43 Cummins, Inc.                              9,380
          89 Deere & Co.                               30,517
          43 Dover Corp.                                7,809
         107 Fortive Corp.                              8,163
          23 IDEX Corp.                                 5,435
          84 Illinois Tool Works, Inc.                 20,731
         103 Ingersoll Rand, Inc.                       6,373
         134 Otis Worldwide Corp.                      11,667
         110 PACCAR, Inc.                               9,709
          41 Parker-Hannifin Corp.                     13,043
          49 Stanley Black & Decker, Inc.               9,242
          59 Westinghouse Air Brake
                Technologies Corp.                      5,434
          51 Xylem, Inc.                                6,116
                                               --------------
                                                      178,972
                                               --------------
             MEDIA -- 1.0%
          36 Charter Communications, Inc.,
                Class A (a)                            23,471
       1,443 Comcast Corp., Class A                    72,626
          89 Fox Corp., Class A                         3,284
          44 Liberty Broadband Corp.,
                Class C (a)                             7,088
          63 Omnicom Group, Inc.                        4,616
         253 Sirius XM Holdings, Inc.                   1,607
         182 ViacomCBS, Inc., Class B                   5,493
                                               --------------
                                                      118,185
                                               --------------
             METALS & MINING -- 0.3%
         441 Freeport-McMoRan, Inc.                    18,403
         237 Newmont Corp.                             14,699


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             METALS & MINING (CONTINUED)
          77 Nucor Corp.                       $        8,789
                                               --------------
                                                       41,891
                                               --------------
             MULTILINE RETAIL -- 0.5%
          63 Dollar General Corp.                      14,857
          71 Dollar Tree, Inc. (a)                      9,977
         143 Target Corp.                              33,096
                                               --------------
                                                       57,930
                                               --------------
             MULTI-UTILITIES -- 0.6%
          72 Ameren Corp.                               6,409
         173 CenterPoint Energy, Inc.                   4,829
          81 CMS Energy Corp.                           5,269
         104 Consolidated Edison, Inc.                  8,873
         256 Dominion Energy, Inc.                     20,111
          50 DTE Energy Co.                             5,977
         150 Public Service Enterprise Group,
                Inc.                                   10,010
          80 Sempra Energy                             10,582
          87 WEC Energy Group, Inc.                     8,445
                                               --------------
                                                       80,505
                                               --------------
             OIL, GAS & CONSUMABLE FUELS
                -- 2.4%
          80 Cheniere Energy, Inc.                      8,114
         610 Chevron Corp.                             71,583
         417 ConocoPhillips                            30,099
         204 Devon Energy Corp.                         8,986
         148 EOG Resources, Inc.                       13,147
       1,340 Exxon Mobil Corp.                         81,995
          77 Hess Corp.                                 5,700
         639 Kinder Morgan, Inc.                       10,135
         183 Marathon Petroleum Corp.                  11,710
         296 Occidental Petroleum Corp.                 8,581
         131 ONEOK, Inc.                                7,698
         139 Phillips 66                               10,072
          73 Pioneer Natural Resources Co.             13,277
         122 Valero Energy Corp.                        9,163
         365 Williams (The) Cos., Inc.                  9,505
                                               --------------
                                                      299,765
                                               --------------
             PERSONAL PRODUCTS -- 0.2%
          73 Estee Lauder (The) Cos., Inc.,
                Class A                                27,025
                                               --------------
             PHARMACEUTICALS -- 3.8%
         702 Bristol-Myers Squibb Co.                  43,770
          45 Catalent, Inc. (a)                         5,761
         117 Elanco Animal Health, Inc. (a)             3,320
         251 Eli Lilly & Co.                           69,331
         833 Johnson & Johnson                        142,501
         759 Merck & Co., Inc.                         58,170
       1,776 Pfizer, Inc.                             104,873
         383 Viatris, Inc.                              5,182
         150 Zoetis, Inc.                              36,605
                                               --------------
                                                      469,513
                                               --------------


                        See Notes to Financial Statements                Page 33





FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             PROFESSIONAL SERVICES -- 0.4%
         112 CoStar Group, Inc. (a)            $        8,851
          36 Equifax, Inc.                             10,541
          36 Jacobs Engineering Group, Inc.             5,012
          41 Leidos Holdings, Inc.                      3,645
          53 TransUnion                                 6,285
          51 Verisk Analytics, Inc.                    11,665
                                               --------------
                                                       45,999
                                               --------------
             REAL ESTATE MANAGEMENT &
                DEVELOPMENT -- 0.1%
         100 CBRE Group, Inc., Class A (a)             10,851
          44 Zillow Group, Inc., Class C (a)            2,809
                                               --------------
                                                       13,660
                                               --------------
             ROAD & RAIL -- 1.2%
         604 CSX Corp.                                 22,710
          25 J.B. Hunt Transport Services,
                Inc.                                    5,110
          81 Lyft, Inc., Class A (a)                    3,461
          73 Norfolk Southern Corp.                    21,733
          30 Old Dominion Freight Line, Inc.           10,751
         614 Uber Technologies, Inc. (a)               25,745
         203 Union Pacific Corp.                       51,142
          29 XPO Logistics, Inc. (a)                    2,246
                                               --------------
                                                      142,898
                                               --------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 6.2%
         382 Advanced Micro Devices, Inc. (a)          54,970
         170 Analog Devices, Inc.                      29,881
         271 Applied Materials, Inc.                   42,644
          99 Broadcom, Inc.                            65,876
          40 Enphase Energy, Inc. (a)                   7,318
          38 Entegris, Inc.                             5,266
       1,223 Intel Corp.                               62,984
          43 KLA Corp.                                 18,495
          42 Lam Research Corp.                        30,204
         224 Marvell Technology, Inc.                  19,598
         156 Microchip Technology, Inc.                13,581
         336 Micron Technology, Inc.                   31,298
          14 Monolithic Power Systems, Inc.             6,907
         736 NVIDIA Corp.                             216,465
          74 NXP Semiconductors N.V.                   16,856
         124 ON Semiconductor Corp. (a)                 8,422
          33 Qorvo, Inc. (a)                            5,161
         354 QUALCOMM, Inc.                            64,736
          49 Skyworks Solutions, Inc.                   7,602
          48 Teradyne, Inc.                             7,849
         278 Texas Instruments, Inc.                   52,395
                                               --------------
                                                      768,508
                                               --------------
             SOFTWARE -- 10.9%
         143 Adobe, Inc. (a)                           81,090
          26 ANSYS, Inc. (a)                           10,429
          70 Autodesk, Inc. (a)                        19,683
          69 Bentley Systems, Inc., Class B             3,335
          27 Bill.com Holdings, Inc. (a)                6,727
          83 Cadence Design Systems, Inc. (a)          15,467
          31 Ceridian HCM Holding, Inc. (a)             3,238


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             SOFTWARE (CONTINUED)
          20 Coupa Software, Inc. (a)          $        3,161
          65 Crowdstrike Holdings, Inc.,
                Class A (a)                            13,309
          69 Datadog, Inc., Class A (a)                12,290
          59 DocuSign, Inc. (a)                         8,986
          63 Dynatrace, Inc. (a)                        3,802
           8 Fair Isaac Corp. (a)                       3,469
          39 Fortinet, Inc. (a)                        14,017
          13 HubSpot, Inc. (a)                          8,569
          83 Intuit, Inc.                              53,387
       2,376 Microsoft Corp.                          799,096
         153 NortonLifeLock, Inc.                       3,975
         502 Oracle Corp.                              43,779
         531 Palantir Technologies, Inc.,
                Class A (a)                             9,670
          31 Palo Alto Networks, Inc. (a)              17,260
          16 Paycom Software, Inc. (a)                  6,643
          34 PTC, Inc. (a)                              4,119
          21 RingCentral, Inc., Class A (a)             3,934
         288 salesforce.com, Inc. (a)                  73,189
          59 ServiceNow, Inc. (a)                      38,298
          48 Splunk, Inc. (a)                           5,555
          71 SS&C Technologies Holdings, Inc.           5,821
          43 Synopsys, Inc. (a)                        15,846
         121 Trade Desk (The), Inc.,
                Class A (a)                            11,088
          12 Tyler Technologies, Inc. (a)               6,455
          63 UiPath, Inc., Class A (a)                  2,717
          56 Unity Software, Inc. (a)                   8,007
          18 VMware, Inc., Class A                      2,086
          61 Workday, Inc., Class A (a)                16,664
          34 Zendesk, Inc. (a)                          3,546
          63 Zoom Video Communications,
                Inc., Class A (a)                      11,586
          27 Zscaler, Inc. (a)                          8,676
                                               --------------
                                                    1,358,969
                                               --------------
             SPECIALTY RETAIL -- 2.4%
           6 AutoZone, Inc. (a)                        12,578
          84 Bath & Body Works, Inc.                    5,862
          66 Best Buy Co., Inc.                         6,706
          17 Burlington Stores, Inc. (a)                4,956
          49 CarMax, Inc. (a)                           6,381
          18 Carvana Co. (a)                            4,172
         330 Home Depot (The), Inc.                   136,953
         213 Lowe's Cos., Inc.                         55,056
          21 O'Reilly Automotive, Inc. (a)             14,831
          97 Ross Stores, Inc.                         11,085
         377 TJX (The) Cos., Inc.                      28,622
          34 Tractor Supply Co.                         8,113
          17 Ulta Beauty, Inc. (a)                      7,010
                                               --------------
                                                      302,325
                                               --------------
             TECHNOLOGY HARDWARE, STORAGE &
                PERIPHERALS -- 7.3%
       4,932 Apple, Inc.                              875,775
          92 Dell Technologies, Inc.,
                Class C (a)                             5,168
         389 Hewlett Packard Enterprise Co.             6,134
         343 HP, Inc.                                  12,921


Page 34                 See Notes to Financial Statements





FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             TECHNOLOGY HARDWARE, STORAGE &
                PERIPHERALS (CONTINUED)
          52 NetApp, Inc.                      $        4,783
          94 Western Digital Corp. (a)                  6,130
                                               --------------
                                                      910,911
                                               --------------
             TEXTILES, APPAREL & LUXURY GOODS
                -- 0.6%
         404 NIKE, Inc., Class B                       67,335
         104 VF Corp.                                   7,615
                                               --------------
                                                       74,950
                                               --------------
             TOBACCO -- 0.6%
         541 Altria Group, Inc.                        25,638
         468 Philip Morris International, Inc.         44,460
                                               --------------
                                                       70,098
                                               --------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 0.2%
         173 Fastenal Co.                              11,082
          22 United Rentals, Inc. (a)                   7,310
          15 W.W. Grainger, Inc.                        7,774
                                               --------------
                                                       26,166
                                               --------------
             WATER UTILITIES -- 0.1%
          57 American Water Works Co., Inc.            10,765
                                               --------------
             WIRELESS TELECOMMUNICATION
                SERVICES -- 0.2%
         209 T-Mobile US, Inc. (a)                     24,240
                                               --------------

             TOTAL INVESTMENTS -- 99.9%            12,397,259
             (Cost $9,414,766) (b)
             NET OTHER ASSETS AND
                LIABILITIES -- 0.1%                    18,050
                                               --------------
             NET ASSETS -- 100.0%              $   12,415,309
                                               ==============

(a)   Non-income producing security.

(b)   Aggregate cost for federal income tax purposes is $9,418,663. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $3,122,341 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $143,745. The net unrealized appreciation was $2,978,596.

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                     LEVEL 2         LEVEL 3
                      LEVEL 1      SIGNIFICANT     SIGNIFICANT
                      QUOTED        OBSERVABLE     UNOBSERVABLE
                      PRICES          INPUTS          INPUTS
                   ---------------------------------------------
Common Stocks*     $  12,397,259  $           --  $           --
                   =============================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 35





FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             AEROSPACE & DEFENSE -- 3.2%
      22,042 Boeing (The) Co. (a)              $    4,437,495
                                               --------------
             BANKS -- 3.3%
      28,282 JPMorgan Chase & Co.                   4,478,455
                                               --------------
             BEVERAGES -- 3.5%
      80,314 Coca-Cola (The) Co.                    4,755,392
                                               --------------
             BIOTECHNOLOGY -- 3.5%
      21,432 Amgen, Inc.                            4,821,557
                                               --------------
             CAPITAL MARKETS -- 3.2%
      11,559 Goldman Sachs Group (The), Inc.        4,421,896
                                               --------------
             CHEMICALS -- 3.4%
      82,665 Dow, Inc.                              4,688,759
                                               --------------
             COMMUNICATIONS EQUIPMENT
                -- 3.5%
      76,287 Cisco Systems, Inc.                    4,834,307
                                               --------------
             CONSUMER FINANCE -- 3.2%
      27,061 American Express Co.                   4,427,180
                                               --------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 3.4%
      90,060 Verizon Communications, Inc.           4,679,518
                                               --------------
             ENTERTAINMENT -- 3.3%
      29,598 Walt Disney (The) Co. (a)              4,584,434
                                               --------------
             FOOD & STAPLES RETAILING -- 6.8%
      91,314 Walgreens Boots Alliance, Inc.         4,762,938
      32,051 Walmart, Inc.                          4,637,459
                                               --------------
                                                    9,400,397
                                               --------------
             HEALTH CARE PROVIDERS & SERVICES
                -- 3.4%
       9,452 UnitedHealth Group, Inc.               4,746,227
                                               --------------
             HOTELS, RESTAURANTS & LEISURE
                -- 3.3%
      17,058 McDonald's Corp.                       4,572,738
                                               --------------
             HOUSEHOLD PRODUCTS -- 3.5%
      29,075 Procter & Gamble (The) Co.             4,756,089
                                               --------------
             INDUSTRIAL CONGLOMERATES -- 6.5%
      25,524 3M Co.                                 4,533,828
      21,544 Honeywell International, Inc.          4,492,140
                                               --------------
                                                    9,025,968
                                               --------------
             INSURANCE -- 3.3%
      29,303 Travelers (The) Cos., Inc.             4,583,868
                                               --------------
             IT SERVICES -- 6.9%
      36,426 International Business Machines
                Corp.                               4,868,699
      21,182 Visa, Inc., Class A                    4,590,351
                                               --------------
                                                    9,459,050
                                               --------------
             MACHINERY -- 3.3%
      22,215 Caterpillar, Inc.                      4,592,729
                                               --------------
             OIL, GAS & CONSUMABLE FUELS
                -- 3.3%
      38,195 Chevron Corp.                          4,482,183
                                               --------------


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             PHARMACEUTICALS -- 6.8%
      27,313 Johnson & Johnson                 $    4,672,435
      62,243 Merck & Co., Inc.                      4,770,303
                                               --------------
                                                    9,442,738
                                               --------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 3.3%
      89,348 Intel Corp.                            4,601,422
                                               --------------
             SOFTWARE -- 6.4%
      13,196 Microsoft Corp.                        4,438,079
      16,990 salesforce.com, Inc. (a)               4,317,668
                                               --------------
                                                    8,755,747
                                               --------------
             SPECIALTY RETAIL -- 3.3%
      10,881 Home Depot (The), Inc.                 4,515,724
                                               --------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 3.2%
      25,189 Apple, Inc.                            4,472,811
                                               --------------
             TEXTILES, APPAREL & LUXURY GOODS
                -- 3.2%
      26,735 NIKE, Inc., Class B                    4,455,923
                                               --------------
             TOTAL INVESTMENTS -- 100.0%          137,992,607
             (Cost $125,419,881) (b)
             NET OTHER ASSETS AND
                LIABILITIES -- 0.0%                    49,631
                                               --------------
             NET ASSETS -- 100.0%              $  138,042,238
                                               ==============

(a)   Non-income producing security.

(b)   Aggregate cost for federal income tax purposes is $126,494,485. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $15,357,189 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $3,859,067. The net unrealized appreciation was $11,498,122.

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                     LEVEL 2         LEVEL 3
                      LEVEL 1      SIGNIFICANT     SIGNIFICANT
                      QUOTED        OBSERVABLE     UNOBSERVABLE
                      PRICES          INPUTS          INPUTS
                   ---------------------------------------------
Common Stocks*     $ 137,992,607  $           --  $           --
                   =============================================

* See Portfolio of Investments for industry breakout.


Page 36                 See Notes to Financial Statements





FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             AEROSPACE & DEFENSE -- 1.6%
      13,409 Lockheed Martin Corp.             $    4,765,693
       8,603 Northrop Grumman Corp.                 3,329,963
       3,992 TransDigm Group, Inc. (a)              2,540,030
                                               --------------
                                                   10,635,686
                                               --------------
             AIR FREIGHT & LOGISTICS -- 0.3%
      14,189 Expeditors International of
                Washington, Inc.                    1,905,441
                                               --------------
             AUTOMOBILES -- 0.5%
       3,297 Tesla, Inc. (a)                        3,484,204
                                               --------------
             BEVERAGES -- 1.4%
      93,658 Monster Beverage Corp. (a)             8,994,914
                                               --------------
             BIOTECHNOLOGY -- 1.0%
      17,786 Alnylam Pharmaceuticals, Inc. (a)      3,016,150
      21,389 Horizon Therapeutics PLC (a)           2,304,879
       6,852 Vertex Pharmaceuticals, Inc. (a)       1,504,699
                                               --------------
                                                    6,825,728
                                               --------------
             CAPITAL MARKETS -- 6.1%
      46,758 Blackstone, Inc.                       6,050,018
      29,089 Intercontinental Exchange, Inc.        3,978,503
      12,772 MarketAxess Holdings, Inc.             5,252,740
      27,634 Moody's Corp.                         10,793,288
      10,079 MSCI, Inc.                             6,175,302
      15,846 Nasdaq, Inc.                           3,327,818
       6,507 S&P Global, Inc.                       3,070,849
       8,647 T. Rowe Price Group, Inc.              1,700,346
                                               --------------
                                                   40,348,864
                                               --------------
             CHEMICALS -- 1.8%
      10,427 Air Products and Chemicals, Inc.       3,172,519
      12,840 Ecolab, Inc.                           3,012,135
      16,504 Sherwin-Williams (The) Co.             5,812,049
                                               --------------
                                                   11,996,703
                                               --------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 1.5%
      12,183 Copart, Inc. (a)                       1,847,186
      28,715 Republic Services, Inc.                4,004,307
      25,059 Waste Management, Inc.                 4,182,347
                                               --------------
                                                   10,033,840
                                               --------------
             COMMUNICATIONS EQUIPMENT
                -- 1.0%
      53,545 Cisco Systems, Inc.                    3,393,147
      12,210 Motorola Solutions, Inc.               3,317,457
                                               --------------
                                                    6,710,604
                                               --------------
             DISTRIBUTORS -- 0.7%
       7,935 Pool Corp.                             4,491,210
                                               --------------
             DIVERSIFIED FINANCIAL SERVICES
                -- 0.6%
      12,773 Berkshire Hathaway, Inc.,
                Class B (a)                         3,819,127
                                               --------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES -- 1.1%
     115,645 AT&T, Inc.                             2,844,867


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             DIVERSIFIED TELECOMMUNICATION
                SERVICES (CONTINUED)
      85,102 Verizon Communications, Inc.      $    4,421,900
                                               --------------
                                                    7,266,767
                                               --------------
             ELECTRIC UTILITIES -- 0.5%
      61,750 Exelon Corp.                           3,566,680
                                               --------------
             ELECTRICAL EQUIPMENT -- 1.5%
      22,721 AMETEK, Inc.                           3,340,896
      10,929 Generac Holdings, Inc. (a)             3,846,133
     108,460 Plug Power, Inc. (a)                   3,061,826
                                               --------------
                                                   10,248,855
                                               --------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 1.6%
      22,789 Amphenol Corp., Class A                1,993,126
      11,856 CDW Corp.                              2,427,872
      15,637 Keysight Technologies, Inc. (a)        3,229,197
       5,592 Zebra Technologies Corp.,
                Class A (a)                         3,328,358
                                               --------------
                                                   10,978,553
                                               --------------
             ENTERTAINMENT -- 1.0%
     169,573 AMC Entertainment Holdings,
                Inc., Class A (a)                   4,612,386
       8,311 Roku, Inc. (a)                         1,896,570
                                               --------------
                                                    6,508,956
                                               --------------
             EQUITY REAL ESTATE INVESTMENT
                TRUSTS -- 2.2%
       8,266 American Tower Corp.                   2,417,805
      11,888 AvalonBay Communities, Inc.            3,002,790
      20,516 Equity LifeStyle Properties, Inc.      1,798,433
      15,299 Extra Space Storage, Inc.              3,468,742
       9,600 SBA Communications Corp.               3,734,592
                                               --------------
                                                   14,422,362
                                               --------------
             FOOD & STAPLES RETAILING -- 2.1%
      17,603 Costco Wholesale Corp.                 9,993,223
      25,703 Walmart, Inc.                          3,718,967
                                               --------------
                                                   13,712,190
                                               --------------
             FOOD PRODUCTS -- 1.3%
      81,881 Conagra Brands, Inc.                   2,796,236
      57,742 General Mills, Inc.                    3,890,656
       9,228 Hershey (The) Co.                      1,785,341
                                               --------------
                                                    8,472,233
                                               --------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 5.8%
      22,250 Abbott Laboratories                    3,131,465
      11,871 Becton, Dickinson and Co.              2,985,319
      10,504 Dexcom, Inc. (a)                       5,640,123
      21,703 Edwards Lifesciences Corp. (a)         2,811,624
      14,921 IDEXX Laboratories, Inc. (a)           9,824,882
       9,022 Insulet Corp. (a)                      2,400,484
       6,517 Intuitive Surgical, Inc. (a)           2,341,558
      25,404 Novocure Ltd. (a)                      1,907,332
      17,609 ResMed, Inc.                           4,586,792
       9,617 Stryker Corp.                          2,571,778
                                               --------------
                                                   38,201,357
                                               --------------


                        See Notes to Financial Statements                Page 37





FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             HEALTH CARE PROVIDERS & SERVICES
                -- 2.4%
       9,288 Laboratory Corp. of America
                Holdings (a)                   $    2,918,383
      50,482 Oak Street Health, Inc. (a)            1,672,973
      65,414 Quest Diagnostics, Inc.               11,317,276
                                               --------------
                                                   15,908,632
                                               --------------
             HEALTH CARE TECHNOLOGY -- 1.3%
      66,469 Cerner Corp.                           6,172,976
       9,659 Veeva Systems, Inc., Class A (a)       2,467,681
                                               --------------
                                                    8,640,657
                                               --------------
             HOTELS, RESTAURANTS & LEISURE
                -- 3.0%
      32,166 Caesars Entertainment, Inc. (a)        3,008,486
       1,449 Chipotle Mexican Grill, Inc. (a)       2,533,214
      59,603 DraftKings, Inc., Class A (a)          1,637,295
      14,937 McDonald's Corp.                       4,004,162
      67,565 MGM Resorts International              3,032,317
      42,456 Yum! Brands, Inc.                      5,895,440
                                               --------------
                                                   20,110,914
                                               --------------
             HOUSEHOLD DURABLES -- 0.2%
      11,446 Garmin Ltd.                            1,558,602
                                               --------------
             HOUSEHOLD PRODUCTS -- 4.4%
      17,153 Church & Dwight Co., Inc.              1,758,183
      30,662 Clorox (The) Co.                       5,346,226
     122,498 Colgate-Palmolive Co.                 10,453,979
      71,725 Procter & Gamble (The) Co.            11,732,776
                                               --------------
                                                   29,291,164
                                               --------------
             INDUSTRIAL CONGLOMERATES -- 1.1%
       7,602 3M Co.                                 1,350,343
      12,059 Honeywell International, Inc.          2,514,422
       6,666 Roper Technologies, Inc.               3,278,739
                                               --------------
                                                    7,143,504
                                               --------------
             INSURANCE -- 3.0%
      15,025 Aon PLC, Class A                       4,515,914
      11,674 Arthur J. Gallagher & Co.              1,980,727
      50,269 Marsh & McLennan Cos., Inc.            8,737,758
      46,677 Progressive (The) Corp.                4,791,394
                                               --------------
                                                   20,025,793
                                               --------------
             INTERACTIVE MEDIA & SERVICES
                -- 2.0%
       1,259 Alphabet, Inc., Class A (a)            3,647,373
      17,117 Match Group, Inc. (a)                  2,263,723
      47,528 Pinterest, Inc., Class A (a)           1,727,643
     115,299 Snap, Inc., Class A (a)                5,422,512
                                               --------------
                                                   13,061,251
                                               --------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 0.6%
      25,160 eBay, Inc.                             1,673,140
      10,029 Etsy, Inc. (a)                         2,195,749
                                               --------------
                                                    3,868,889
                                               --------------


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             IT SERVICES -- 8.5%
      20,755 Accenture PLC, Class A            $    8,603,985
       7,608 Block, Inc. (a)                        1,228,768
      22,737 Broadridge Financial Solutions,
                Inc.                                4,156,778
      84,161 Cloudflare, Inc., Class A (a)         11,067,172
       7,043 EPAM Systems, Inc. (a)                 4,707,893
      19,973 International Business Machines
                Corp.                               2,669,591
       7,319 Mastercard, Inc., Class A              2,629,863
       6,743 MongoDB, Inc. (a)                      3,569,407
      12,891 Okta, Inc. (a)                         2,889,775
      28,969 Paychex, Inc.                          3,954,269
      10,941 Snowflake, Inc., Class A (a)           3,706,264
       7,129 Twilio, Inc., Class A (a)              1,877,351
      12,967 VeriSign, Inc. (a)                     3,291,284
      10,448 Visa, Inc., Class A                    2,264,186
                                               --------------
                                                   56,616,586
                                               --------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 7.6%
      23,639 10X Genomics, Inc., Class A (a)        3,521,265
       3,389 Bio-Rad Laboratories, Inc.,
                Class A (a)                         2,560,627
      15,397 Charles River Laboratories
                International, Inc. (a)             5,801,282
      15,350 Danaher Corp.                          5,050,304
      10,271 IQVIA Holdings, Inc. (a)               2,897,860
       4,681 Mettler-Toledo International,
                Inc. (a)                            7,944,640
      27,028 PerkinElmer, Inc.                      5,434,250
      11,402 Thermo Fisher Scientific, Inc.         7,607,870
      15,064 Waters Corp. (a)                       5,612,846
       8,318 West Pharmaceutical Services,
                Inc.                                3,901,225
                                               --------------
                                                   50,332,169
                                               --------------
             MACHINERY -- 0.4%
      20,240 Xylem, Inc.                            2,427,181
                                               --------------
             MULTILINE RETAIL -- 1.7%
      29,442 Dollar General Corp.                   6,943,307
      18,901 Target Corp.                           4,374,447
                                               --------------
                                                   11,317,754
                                               --------------
             PHARMACEUTICALS -- 1.1%
      51,767 Bristol-Myers Squibb Co.               3,227,673
      21,572 Catalent, Inc. (a)                     2,761,863
       8,959 Johnson & Johnson                      1,532,616
                                               --------------
                                                    7,522,152
                                               --------------
             PROFESSIONAL SERVICES -- 1.6%
      10,565 Equifax, Inc.                          3,093,326
      32,075 Verisk Analytics, Inc.                 7,336,515
                                               --------------
                                                   10,429,841
                                               --------------
             ROAD & RAIL -- 1.3%
      45,484 Lyft, Inc., Class A (a)                1,943,531
       9,518 Old Dominion Freight Line, Inc.        3,411,061
      13,181 Union Pacific Corp.                    3,320,689
                                               --------------
                                                    8,675,281
                                               --------------


Page 38                 See Notes to Financial Statements





FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 4.8%
      26,161 Applied Materials, Inc.           $    4,116,695
      17,425 Enphase Energy, Inc. (a)               3,187,730
      21,335 Entegris, Inc.                         2,956,604
      37,722 Marvell Technology, Inc.               3,300,298
       7,389 Monolithic Power Systems, Inc.         3,645,215
      29,426 NVIDIA Corp.                           8,654,481
      84,447 ON Semiconductor Corp. (a)             5,735,640
                                               --------------
                                                   31,596,663
                                               --------------
             SOFTWARE -- 16.2%
      11,260 Adobe, Inc. (a)                        6,385,096
      38,383 Bill.com Holdings, Inc. (a)            9,563,124
      12,784 Coupa Software, Inc. (a)               2,020,511
      24,605 Crowdstrike Holdings, Inc.,
                Class A (a)                         5,037,874
      22,757 Datadog, Inc., Class A (a)             4,053,249
      11,939 DocuSign, Inc. (a)                     1,818,429
      34,538 Dynatrace, Inc. (a)                    2,084,368
      20,713 Fortinet, Inc. (a)                     7,444,252
      11,846 HubSpot, Inc. (a)                      7,808,291
       6,131 Intuit, Inc.                           3,943,582
      22,330 Microsoft Corp.                        7,510,026
      86,825 Oracle Corp.                           7,572,008
      10,688 Paycom Software, Inc. (a)              4,437,551
      12,595 RingCentral, Inc., Class A (a)         2,359,673
       7,144 ServiceNow, Inc. (a)                   4,637,242
      38,715 SS&C Technologies Holdings, Inc.       3,173,856
      21,212 Synopsys, Inc. (a)                     7,816,622
      40,946 Trade Desk (The), Inc.,
                Class A (a)                         3,752,291
      22,130 Unity Software, Inc. (a)               3,164,369
      20,201 Zendesk, Inc. (a)                      2,106,762
      10,914 Zoom Video Communications,
                Inc., Class A (a)                   2,007,194
      27,462 Zscaler, Inc. (a)                      8,824,365
                                               --------------
                                                  107,520,735
                                               --------------
             SPECIALTY RETAIL -- 3.7%
      13,693 Home Depot (The), Inc.                 5,682,732
       8,035 Lowe's Cos., Inc.                      2,076,887
      11,871 O'Reilly Automotive, Inc. (a)          8,383,656
      34,321 Tractor Supply Co.                     8,188,991
                                               --------------
                                                   24,332,266
                                               --------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 0.3%
      12,074 Apple, Inc.                            2,143,980
                                               --------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 1.2%
      70,176 Fastenal Co.                           4,495,475
       6,502 W.W. Grainger, Inc.                    3,369,596
                                               --------------
                                                    7,865,071
                                               --------------
             TOTAL COMMON STOCKS -- 100.0%        663,013,359
             (Cost $644,091,052)               --------------


SHARES       DESCRIPTION                           VALUE
-------------------------------------------------------------
             MONEY MARKET FUNDS -- 0.0%
     182,154 Morgan Stanley Institutional
                Liquidity Funds - Treasury
                Portfolio - Institutional
                Class - 0.01% (b)              $      182,154
             (Cost $182,154)                   --------------

             TOTAL INVESTMENTS -- 100.0%          663,195,513
             (Cost $644,273,206) (c)
             NET OTHER ASSETS AND
                LIABILITIES -- (0.0)%                (190,321)
                                               --------------
             NET ASSETS -- 100.0%              $  663,005,192
                                               ==============

(a)   Non-income producing security.

(b)   Rate shown reflects yield as of December 31, 2021.

(c)   Aggregate cost for federal income tax purposes is $657,591,562. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $46,022,174 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $40,418,223. The net unrealized appreciation was $5,603,951.

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

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                     LEVEL 2         LEVEL 3
                      LEVEL 1      SIGNIFICANT     SIGNIFICANT
                      QUOTED        OBSERVABLE     UNOBSERVABLE
                      PRICES          INPUTS          INPUTS
                   ---------------------------------------------
Common Stocks*     $ 663,013,359  $           --  $           --
Money Market
   Funds                 182,154              --              --
                   ---------------------------------------------
Total Investments  $ 663,195,513  $           --  $           --
                   =============================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 39





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2021



                                                       FIRST TRUST       FIRST TRUST       FIRST TRUST       FIRST TRUST
                                                     TOTAL US MARKET    DORSEY WRIGHT         DOW 30          LUNT U.S.
                                                       ALPHADEX(R)         PEOPLE'S        EQUAL WEIGHT    FACTOR ROTATION
                                                           ETF          PORTFOLIO ETF          ETF               ETF
                                                          (TUSA)            (DWPP)            (EDOW)            (FCTR)
                                                     ----------------  ----------------  ----------------  ----------------

                                                                                                
ASSETS:
Investments, at value...............................  $   25,326,498    $   12,397,259    $  137,992,607    $  663,195,513
Cash................................................             340            17,046            48,479             7,387
Receivables:
   Dividends........................................          22,845             7,068            56,356           148,108
   Securities lending income........................              41                --                --                --
Capital shares sold.................................              --                --         1,589,992         3,564,027
Prepaid expenses....................................           5,396                --                --                --
                                                      --------------    --------------    --------------    --------------
   Total Assets.....................................      25,355,120        12,421,373       139,687,434       666,915,035
                                                      --------------    --------------    --------------    --------------

LIABILITIES:
Payables:
   Collateral for securities on loan................          67,544                --                --                --
   Audit and tax fees...............................          30,319                --                --                --
   Investment advisory fees.........................           2,308             6,064            55,935           346,868
   Licensing fees...................................             577                --                --                --
   Shareholder reporting fees.......................           4,795                --                --                --
   Investment securities purchased..................              --                --         1,589,261         3,562,975
Other liabilities...................................          26,309                --                --                --
                                                      --------------    --------------    --------------    --------------
   Total Liabilities................................         131,852             6,064         1,645,196         3,909,843
                                                      --------------    --------------    --------------    --------------
NET ASSETS..........................................  $   25,223,268    $   12,415,309    $  138,042,238    $  663,005,192
                                                      ==============    ==============    ==============    ==============

NET ASSETS CONSIST OF:
Paid-in capital.....................................  $   24,899,845    $   19,780,071    $  130,585,624    $  689,598,217
Par value...........................................           5,000             3,500            43,478           186,500
Accumulated distributable earnings (loss)...........         318,423        (7,368,262)        7,413,136       (26,779,525)
                                                      --------------    --------------    --------------    --------------
NET ASSETS..........................................  $   25,223,268    $   12,415,309    $  138,042,238    $  663,005,192
                                                      ==============    ==============    ==============    ==============
NET ASSET VALUE, per share..........................  $        50.45    $        35.47    $        31.75    $        35.55
                                                      ==============    ==============    ==============    ==============
Number of shares outstanding (unlimited number of
   shares authorized, par value $0.01 per share)....         500,002           350,002         4,347,756        18,650,002
                                                      ==============    ==============    ==============    ==============
Investments, at cost................................  $   21,847,838    $    9,414,766    $  125,419,881    $  644,273,206
                                                      ==============    ==============    ==============    ==============
Securities on loan, at value........................  $       65,395    $           --    $           --    $           --
                                                      ==============    ==============    ==============    ==============



Page 40                 See Notes to Financial Statements





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2021



                                                       FIRST TRUST       FIRST TRUST       FIRST TRUST       FIRST TRUST
                                                     TOTAL US MARKET    DORSEY WRIGHT         DOW 30          LUNT U.S.
                                                        ALPHADEX(R)        PEOPLE'S        EQUAL WEIGHT    FACTOR ROTATION
                                                           ETF          PORTFOLIO ETF          ETF               ETF
                                                         (TUSA)             (DWPP)            (EDOW)            (FCTR)
                                                     ----------------  ----------------  ----------------  ----------------

                                                                                                
INVESTMENT INCOME:
Dividends...........................................  $      321,410    $      152,275    $    2,228,152    $    4,155,767
Securities lending income (net of fees).............           1,684                --                --                --
Foreign withholding tax.............................             (76)              (26)               --                --
                                                      --------------    --------------    --------------    --------------
   Total investment income..........................         323,018           152,249         2,228,152         4,155,767
                                                      --------------    --------------    --------------    --------------

EXPENSES:
Investment advisory fees............................         104,695            66,818 (a)       505,747 (a)     2,306,828 (a)
Custodian fees......................................          32,168                --                --                --
Audit and tax fees..................................          31,607                --                --                --
Accounting and administration fees..................          17,191                --                --                --
Licensing fees......................................          11,854                --                --                --
Shareholder reporting fees..........................          15,568                --                --                --
Trustees' fees and expenses.........................           6,308                --                --                --
Listing fees........................................           2,541                --                --                --
Transfer agent fees.................................           1,047                --                --                --
Legal fees..........................................             393                --                --                --
Registration and filing fees........................              82                --                --                --
Other expenses......................................           2,257                --                --                --
                                                      --------------    --------------    --------------    --------------
   Total expenses...................................         225,711            66,818           505,747         2,306,828
   Less fees waived and expenses reimbursed by the
      investment advisor............................         (78,956)               --                --                --
                                                      --------------    --------------    --------------    --------------
   Net expenses.....................................         146,755            66,818           505,747         2,306,828
                                                      --------------    --------------    --------------    --------------
NET INVESTMENT INCOME (LOSS)........................         176,263            85,431         1,722,405         1,848,939
                                                      --------------    --------------    --------------    --------------

REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
   Investments......................................          28,181            71,171          (383,603)      (37,600,426)
   In-kind redemptions..............................       4,356,123           606,896         4,768,981        70,226,527
                                                      --------------    --------------    --------------    --------------
Net realized gain (loss)............................       4,384,304           678,067         4,385,378        32,626,101
                                                      --------------    --------------    --------------    --------------
Net change in unrealized appreciation (depreciation)
   on investments...................................        (272,120)        1,815,679         8,652,152         2,900,642
                                                      --------------    --------------    --------------    --------------
NET REALIZED AND UNREALIZED
   GAIN (LOSS)......................................       4,112,184         2,493,746        13,037,530        35,526,743
                                                      --------------    --------------    --------------    --------------
NET INCREASE (DECREASE) IN NET ASSETS
   RESULTING FROM OPERATIONS........................  $    4,288,447    $    2,579,177    $   14,759,935    $   37,375,682
                                                      ==============    ==============    ==============    ==============



(a)   Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
      Statements).


                        See Notes to Financial Statements                Page 41





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF CHANGES IN NET ASSETS



                                                                        FIRST TRUST                         FIRST TRUST
                                                                      TOTAL US MARKET                      DORSEY WRIGHT
                                                                        ALPHADEX(R)                          PEOPLE'S
                                                                            ETF                            PORTFOLIO ETF
                                                                          (TUSA)                              (DWPP)
                                                              -------------------------------     -------------------------------
                                                                Year Ended       Year Ended         Year Ended       Year Ended
                                                                12/31/2021       12/31/2020         12/31/2021       12/31/2020
                                                              --------------   --------------     --------------   --------------
                                                                                                       
OPERATIONS:
Net investment income (loss)................................  $      176,263   $      146,002     $       85,431   $      211,578
Net realized gain (loss)....................................       4,384,304         (102,951)           678,067       (7,244,534)
Net change in unrealized appreciation (depreciation)........        (272,120)       1,663,834          1,815,679       (8,269,108)
                                                              --------------   --------------     --------------   --------------
Net increase (decrease) in net assets resulting
    from operations.........................................       4,288,447        1,706,885          2,579,177      (15,302,064)
                                                              --------------   --------------     --------------   --------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations.......................................        (162,991)        (165,965)           (81,660)        (240,000)
                                                              --------------   --------------     --------------   --------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold...................................      18,455,594        5,412,788          1,693,588        6,707,616
Proceeds from shares acquired through reorganization........              --               --                 --               --
Cost of shares redeemed.....................................     (13,606,364)      (8,804,718)        (3,150,430)     (43,298,218)
                                                              --------------   --------------     --------------   --------------
Net increase (decrease) in net assets resulting
   from shareholder transactions............................       4,849,230       (3,391,930)        (1,456,842)     (36,590,602)
                                                              --------------   --------------     --------------   --------------
Total increase (decrease) in net assets....................        8,974,686       (1,851,010)         1,040,675      (52,132,666)

NET ASSETS:
Beginning of period.........................................      16,248,582       18,099,592         11,374,634       63,507,300
                                                              --------------   --------------     --------------   --------------
End of period...............................................  $   25,223,268   $   16,248,582     $   12,415,309   $   11,374,634
                                                              ==============   ==============     ==============   ==============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.....................         400,002          500,002            400,002        1,900,002
Shares sold.................................................         400,000          150,000             50,000          200,000
Shares issued through reorganization........................              --               --                 --               --
Shares redeemed.............................................        (300,000)        (250,000)          (100,000)      (1,700,000)
                                                              --------------   --------------     --------------   --------------
Shares outstanding, end of period...........................         500,002          400,002            350,002          400,002
                                                              ==============   ==============     ==============   ==============



Page 42                 See Notes to Financial Statements







             FIRST TRUST                         FIRST TRUST
               DOW 30                             LUNT U.S.
            EQUAL WEIGHT                       FACTOR ROTATION
                 ETF                                 ETF
               (EDOW)                              (FCTR)
   -------------------------------     -------------------------------
     Year Ended       Year Ended         Year Ended       Year Ended
     12/31/2021       12/31/2020         12/31/2021       12/31/2020
   --------------   --------------     --------------   --------------

                                            
   $    1,722,405   $      788,789     $    1,848,939   $      356,145
        4,385,378        2,725,877         32,626,101       17,001,136
        8,652,152        1,847,818          2,900,642       12,191,167
   --------------   --------------     --------------   --------------

       14,759,935        5,362,484         37,375,682       29,548,448
   --------------   --------------     --------------   --------------


       (1,719,752)        (796,961)        (1,580,945)        (405,400)
   --------------   --------------     --------------   --------------


       75,916,321       82,844,105      1,095,761,531      229,904,890
               --       21,476,818                 --               --
      (22,908,579)     (79,969,157)      (599,707,580)    (190,587,189)
   --------------   --------------     --------------   --------------

       53,007,742       24,351,766        496,053,951       39,317,701
   --------------   --------------     --------------   --------------
       66,047,925       28,917,289        531,848,688       68,460,749


       71,994,313       43,077,024        131,156,504       62,695,755
   --------------   --------------     --------------   --------------
   $  138,042,238   $   71,994,313     $  663,005,192    $ 131,156,504
   ==============   ==============     ==============   ==============


        2,647,756        1,650,002          4,450,002        2,750,002
        2,500,000        3,650,000         31,600,000        9,500,000
               --          797,754                 --               --
         (800,000)      (3,450,000)       (17,400,000)      (7,800,000)
   --------------   --------------     --------------   --------------
        4,347,756        2,647,756         18,650,002        4,450,002
   ==============   ==============     ==============   ==============



                        See Notes to Financial Statements                Page 43





FIRST TRUST EXCHANGE-TRADED FUND

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD



FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019          2018            2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $      40.62   $      36.20   $      29.22   $      32.85   $      27.74
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.39           0.35           0.40           0.34           0.25
Net realized and unrealized gain (loss)               9.80           4.47           6.99          (3.64)          5.12
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                     10.19           4.82           7.39          (3.30)          5.37
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.36)         (0.40)         (0.41)         (0.33)         (0.26)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      50.45   $      40.62   $      36.20   $      29.22   $      32.85
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                     25.12%         13.65%         25.36%        (10.13)%        19.44%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $     25,223   $     16,249   $     18,100   $     13,151   $     14,783
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         1.08%          1.16%          1.02%          1.57%          1.69%
Ratio of net expenses to average net assets           0.70%          0.70%          0.70%          0.70%          0.70%
Ratio of net investment income (loss) to
   average net assets                                 0.84%          1.04%          1.20%          1.03%          0.88%
Portfolio turnover rate (b)                             98%           125%           119%           110%           112%


FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019          2018            2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $      28.44   $      33.42   $      25.96   $      28.64   $      23.80
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.25           0.11           0.37           0.33           0.30
Net realized and unrealized gain (loss)               7.02          (4.94)          7.45          (2.67)          4.84
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                      7.27          (4.83)          7.82          (2.34)          5.14
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.24)         (0.15)         (0.36)         (0.34)         (0.30)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      35.47   $      28.44   $      33.42   $      25.96   $      28.64
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                     25.71%        (14.42)%        30.24%         (8.26)%        21.71%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $     12,415   $     11,375   $     63,507   $     35,042   $     30,072
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.60%          0.60%          0.60%          0.60%          0.60%
Ratio of net expenses to average net assets           0.60%          0.60%          0.60%          0.60%          0.60%
Ratio of net investment income (loss) to
   average net assets                                 0.77%          0.69%          1.28%          1.19%          1.29%
Portfolio turnover rate (b)                              7%           114%            30%            32%            30% (c)


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

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

(c)   The variation in the portfolio turnover rate is due to the change in the
      Fund's underlying index effective August 18, 2017, which resulted in a
      complete rebalance of the Fund's portfolio.


Page 44                 See Notes to Financial Statements





FIRST TRUST EXCHANGE-TRADED FUND

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



FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)

                                                               YEAR ENDED DECEMBER 31,
                                              ---------------------------------------------------------   PERIOD ENDED
                                                  2021           2020           2019           2018      12/31/2017 (a)
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $      27.19   $      26.11   $      21.43   $      22.00   $      19.97
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.48           0.50           0.47           0.40           0.17
Net realized and unrealized gain (loss)               4.56           1.08           4.70          (0.58)          2.03
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                      5.04           1.58           5.17          (0.18)          2.20
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.48)         (0.50)         (0.49)         (0.39)         (0.17)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      31.75   $      27.19   $      26.11   $      21.43   $      22.00
                                              ============   ============   ============   ============   ============
TOTAL RETURN (b)                                     18.63%          6.41%         24.27%         (0.88)%        11.02%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $    138,042   $     71,994   $     43,077   $     12,859   $      2,200
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.50%          0.50%          0.50%          0.50%          0.50% (c)
Ratio of net expenses to average net assets           0.50%          0.50%          0.50%          0.50%          0.50% (c)
Ratio of net investment income (loss) to
   average net assets                                 1.70%          2.11%          1.99%          2.33%          1.99% (c)
Portfolio turnover rate (d)                             14%            31%            13%            16%            20%


FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)

                                                       YEAR ENDED DECEMBER 31,
                                              ------------------------------------------   PERIOD ENDED
                                                  2021           2020           2019      12/31/2018 (a)
                                              ------------   ------------   ------------   ------------
                                                                               
Net asset value, beginning of period          $      29.47   $      22.80   $      17.67   $      20.23
                                              ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.17           0.12           0.23           0.12
Net realized and unrealized gain (loss)               6.07           6.68           5.12          (2.56)
                                              ------------   ------------   ------------   ------------
Total from investment operations                      6.24           6.80           5.35          (2.44)
                                              ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.16)         (0.13)         (0.22)         (0.12)
                                              ------------   ------------   ------------   ------------
Net asset value, end of period                $      35.55   $      29.47   $      22.80   $      17.67
                                              ============   ============   ============   ============
TOTAL RETURN (b)                                     21.22%         30.02%         30.35%        (12.09)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $    663,005   $    131,157   $     62,696   $     28,269
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.65%          0.65%          0.65%          0.65% (c)
Ratio of net expenses to average net assets           0.65%          0.65%          0.65%          0.65% (c)
Ratio of net investment income (loss) to
   average net assets                                 0.52%          0.42%          1.17%          1.48% (c)
Portfolio turnover rate (d)                            307%           460%           246%           183%



(a)   Inception dates for EDOW and FCTR are August 8, 2017 and July 25, 2018,
      respectively, which are consistent with the respective Fund's commencement
      of investment operations and are the dates the initial creation units were
      established.

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

(c)   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.


                        See Notes to Financial Statements                Page 45





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

                                1. ORGANIZATION

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

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

      First Trust Total US Market AlphaDEX(R) ETF - (The Nasdaq Stock Market LLC
         ("Nasdaq") ticker "TUSA")
      First Trust Dorsey Wright People's Portfolio ETF - (Nasdaq ticker "DWPP")
      First Trust Dow 30 Equal Weight ETF - (NYSE Arca, Inc. ("NYSE Arca")
         ticker "EDOW")
      First Trust Lunt U.S. Factor Rotation ETF - (Cboe BZX Exchange, Inc.
          ("Cboe BZX") ticker "FCTR")

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



FUND                                                      INDEX
                                                       
First Trust Total US Market AlphaDEX(R) ETF               NASDAQ AlphaDEX(R) Total US Market Index
First Trust Dorsey Wright People's Portfolio ETF          Nasdaq Dorsey Wright People's Portfolio Index
First Trust Dow 30 Equal Weight ETF                       Dow Jones Industrial Average(R) Equal Weight Index
First Trust Lunt U.S. Factor Rotation ETF                 Lunt Capital Large Cap Factor Rotation Index


                       2. SIGNIFICANT ACCOUNTING POLICIES

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

A. PORTFOLIO VALUATION

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

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

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

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

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


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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

      U.S. Treasuries are fair valued on the basis of valuations provided by a
      third-party pricing service approved by the Trust's Board of Trustees.

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

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

      1)    the type of security;

      2)    the size of the holding;

      3)    the initial cost of the security;

      4)    transactions in comparable securities;

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

      6)    relationships among various securities;

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

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

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

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

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

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

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

            o     Quoted prices for similar investments in active markets.

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

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

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

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

The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of December 31, 2021, is
included with each Fund's Portfolio of Investments.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

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

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


                                                                         Page 47





--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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

C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES

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

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

D. SECURITIES LENDING

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

Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At December 31, 2021, only
TUSA had securities in the securities lending program.

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

E. REPURCHASE AGREEMENTS

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

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


Page 48





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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

While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended December 31, 2021 were received
as collateral for lending securities.

F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

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

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

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



                                                                                            Distributions        Distributions
                                                                     Distributions paid          paid                paid
                                                                       from Ordinary         from Capital         from Return
                                                                           Income               Gains             of Capital
                                                                     ------------------    ----------------    -----------------
                                                                                                        
First Trust Total US Market AlphaDEX(R) ETF                            $      162,991        $         --        $         --
First Trust Dorsey Wright People's Portfolio ETF                               81,660                  --                  --
First Trust Dow 30 Equal Weight ETF                                         1,719,752                  --                  --
First Trust Lunt U.S. Factor Rotation ETF                                   1,580,945                  --                  --


The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2020 was as follows:



                                                                                            Distributions        Distributions
                                                                     Distributions paid          paid                paid
                                                                       from Ordinary         from Capital         from Return
                                                                           Income               Gains             of Capital
                                                                     ------------------    ----------------    -----------------
                                                                                                        
First Trust Total US Market AlphaDEX(R) ETF                            $      165,965        $         --        $          --
First Trust Dorsey Wright People's Portfolio ETF                              240,000                  --                   --
First Trust Dow 30 Equal Weight ETF                                           796,961                  --                   --
First Trust Lunt U.S. Factor Rotation ETF                                     405,400                  --                   --


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



                                                                                             Accumulated
                                                                       Undistributed         Capital and        Net Unrealized
                                                                          Ordinary              Other            Appreciation
                                                                           Income            Gain (Loss)        (Depreciation)
                                                                     ------------------    ----------------    -----------------
                                                                                                        
First Trust Total US Market AlphaDEX(R) ETF                            $       15,478        $ (3,066,140)       $   3,369,085
First Trust Dorsey Wright People's Portfolio ETF                                3,829         (10,350,687)           2,978,596
First Trust Dow 30 Equal Weight ETF                                             2,653          (4,087,639)          11,498,122
First Trust Lunt U.S. Factor Rotation ETF                                     268,020         (32,651,496)           5,603,951



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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

G. INCOME TAXES

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

The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. The taxable years ended 2018,
2019, 2020, and 2021 remain open to federal and state audit. As of December 31,
2021, management has evaluated the application of these standards to the Funds,
and has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.

Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At December 31, 2021, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.



                                                                Non-Expiring
                                                                Capital Loss
                                                               Carryforwards
                                                             ------------------
                                                            
First Trust Total US Market AlphaDEX(R) ETF                    $    3,066,140
First Trust Dorsey Wright People's Portfolio ETF                   10,350,687
First Trust Dow 30 Equal Weight ETF*                                4,087,639
First Trust Lunt U.S. Factor Rotation ETF                          32,651,496


* $3,196,583 of First Trust Dow 30 Equal Weight ETF's non-expiring net capital
losses is subject to loss limitation resulting from reorganization activity.
This limitation generally reduces the utilization of these losses to a maximum
of $212,620 per year.

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



                                                                Capital Loss
                                                                Carryforward
                                                                  Utilized
                                                             ------------------
                                                            
First Trust Total US Market AlphaDEX(R) ETF                    $      147,994
First Trust Dorsey Wright People's Portfolio ETF                       75,189
First Trust Dow 30 Equal Weight ETF                                    73,031


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

In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended December 31, 2021, the adjustments for each Fund were as follows:


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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021



                                                                                     Accumulated
                                                                Accumulated          Net Realized
                                                               Net Investment        Gain (Loss)            Paid-in
                                                               Income (Loss)        on Investments          Capital
                                                             ------------------    ----------------    -----------------
                                                                                                
First Trust Total US Market AlphaDEX(R) ETF                    $       14,092        $ (4,268,686)       $   4,254,594
First Trust Dorsey Wright People's Portfolio ETF                           58            (606,560)             606,502
First Trust Dow 30 Equal Weight ETF                                        --          (4,240,706)           4,240,706
First Trust Lunt U.S. Factor Rotation ETF                                  26         (64,248,631)          64,248,605


H. EXPENSES

Expenses that are directly related to First Trust Total US Market AlphaDEX(R)
ETF are charged directly to the Fund. Expenses for First Trust Dorsey Wright
People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF and First Trust Lunt
U.S. Factor Rotation ETF (the "Unitary Fee Funds"), other than excluded expenses
(discussed in Note 3), are paid by the Advisor. General expenses of the Trust
are allocated to all the Funds based upon the net assets of each Fund.

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



FUND                                                      LICENSOR
                                                       
First Trust Total US Market AlphaDEX(R) ETF               Nasdaq, Inc.
First Trust Dorsey Wright People's Portfolio ETF          Nasdaq, Inc.
First Trust Dow 30 Equal Weight ETF                       S&P Dow Jones Indices LLC
First Trust Lunt U.S. Factor Rotation ETF                 Lunt Capital Management, Inc.


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

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

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

For the First Trust Total US Market AlphaDEX(R) ETF, First Trust is paid an
annual management fee of 0.50% of the Fund's average daily net assets. For such
Fund, the Trust and the Advisor have entered into an Expense Reimbursement, Fee
Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has
agreed to waive fees and/or reimburse Fund expenses to the extent that the
operating expenses of the Fund (excluding interest expense, brokerage
commissions and other trading expenses, acquired fund fees and expenses, taxes
and extraordinary expenses) exceed 0.70% of average daily net assets per year
(the "Expense Cap"). The Expense Cap will be in effect until at least April 30,
2023.

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

The advisory fee waivers and expense reimbursements for the fiscal year ended
December 31, 2021 and fees waived or expenses borne by First Trust subject to
recovery from the Fund for the periods indicated were as follows:




                                                                                    Fees Waived and Expenses Borne by
                                                                                     First Trust Subject to Recovery
                                                                             ------------------------------------------------
                                                 Advisory                       Year         Year         Year
                                                    Fee         Expense        Ended        Ended        Ended
                                                  Waivers    Reimbursement   12/31/2019   12/31/2020   12/31/2021     Total
                                                 ---------   -------------   ----------   ----------   ----------   ---------
                                                                                                  
Total US Market AlphaDEX(R) ETF                  $  78,956   $          --   $   54,452   $   63,952   $   78,956   $ 197,360



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--------------------------------------------------------------------------------
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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

For the First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30
Equal Weight ETF, and First Trust Lunt U.S. Factor Rotation ETF, First Trust is
paid an annual unitary management fee of 0.60%, 0.50%, and 0.65%, respectively,
of such Fund's average daily net assets and is responsible for the expenses of
such Fund including the cost of transfer agency, custody, fund administration,
legal, audit, licensing and other services, but excluding fee payments under the
Investment Management Agreement, distribution and service fees pursuant to a
Rule 12b-1 plan, if any, brokerage commissions and other expenses connected with
the execution of portfolio transactions, acquired fund fees and expenses, taxes,
interest, and extraordinary expenses. Pursuant to a contractual agreement
between the Trust, on behalf of DWPP, and First Trust, the management fees paid
to First Trust will be reduced by the proportional amount of the acquired fund
fees and expenses of the shares of investment companies held by DWPP so that the
Fund would not bear the indirect costs of holding them, provided that the
investment companies are advised by First Trust. This contractual agreement
shall continue until the earlier of (i) its termination at the direction of the
Trust's Board of Trustees or (ii) upon the termination of the Fund's management
agreement with First Trust. First Trust does not have the right to recover the
fees waived that are attributable to acquired fund fees and expenses of the
shares of investment companies advised by First Trust.

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

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

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. REORGANIZATION

On January 30, 2020, the Board of Trustees of First Trust Mega Cap AlphaDEX(R)
Fund ("FMK") and EDOW approved a reorganization of EDOW with FMK. The
reorganization was completed on December 14, 2020. EDOW was the surviving fund.

Under the terms of the reorganization, which was tax-free, the assets of FMK
were transferred to, and the liabilities of FMK were assumed by, EDOW in
exchange for shares of EDOW. The cost of the investments received from FMK was
carried forward to EDOW for U.S. GAAP and tax purposes. The EDOW shares were
then distributed to FMK shareholders and the separate existence of FMK ceased.
The reorganization was subject to certain conditions, including that the
reorganization was approved on November 9, 2020, by the shareholders of EDOW.
When the reorganization occurred, the transactions were based on the relative
NAVs of FMK and EDOW.

The following table summarizes the asset transfers and conversion ratios for the
reorganization.



                        Net Assets on    Unrealized     Accumulated      Shares      Acquiring               Net Assets on
Acquired     Shares     December 11,    Appreciation   Net Realized    Conversion   (Surviving)    Shares    December 11,
  Fund      Redeemed        2020       (Depreciation)   Gain (Loss)      Ratio         Fund        Issued        2020*
--------------------------------------------------------------------------------------------------------------------------
                                                                                          
  FMK       500,002      $21,476,818      $628,735     $(2,594,062)     1.595502       EDOW       797,754     $51,151,076


* Amount reflects net assets of EDOW prior to the reorganization.

The following table summarizes the operations of the Acquired Fund for the
period August 1, 2020 to December 11, 2020, and the operations of EDOW, the
Acquiring (Surviving) Fund, for the fiscal year ended December 31, 2020, as
presented in the Statements of Operations and the combined Acquired and
Acquiring (Surviving) Funds' pro-forma results of operations for the fiscal year
ended December 31, 2020, assuming the acquisition had been completed on January
1, 2020.

Because the combined investment portfolios have been managed as a single
integrated portfolio since the reorganization was completed, it is not
practicable to separate the amounts of revenue and earnings of FMK that have
been included in EDOW's Statement of Operations since December 11, 2020.


Page 52





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021



                                                                                        Net Realized and
                                                                                           Change in
                                                                                           Unrealized           Net Increase
                                                                   Net Investment         Gain (Loss)         (Decrease) from
                                                                       Income            on Investments          Operations
                                                                 ------------------    ------------------    ------------------
                                                                                                      
Acquired Fund for the period August 1, 2020 to December 11, 2020
   FMK                                                             $      109,271        $    3,543,108        $    3,652,379
Acquiring Fund for the fiscal year ended December 31, 2020
   EDOW                                                                   788,789             5,202,430             5,991,219
                                                                   --------------        --------------        --------------
Combined Total                                                     $      898,060        $    8,745,538        $    9,643,598
                                                                   ==============        ==============        ==============


                      5. PURCHASES AND SALES OF SECURITIES

For the fiscal year ended December 31, 2021, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:



                                                                     Purchases           Sales
                                                                  ---------------   ---------------
                                                                              
First Trust Total US Market AlphaDEX(R) ETF                       $    20,251,911   $    20,157,403
First Trust Dorsey Wright People's Portfolio ETF                          780,471           766,798
First Trust Dow 30 Equal Weight ETF                                    13,842,233        13,673,530
First Trust Lunt U.S. Factor Rotation ETF                           1,081,130,695     1,081,111,414


For the fiscal year ended December 31, 2021, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:



                                                                     Purchases           Sales
                                                                  ---------------   ---------------
                                                                              
First Trust Total US Market AlphaDEX(R) ETF                       $    18,411,937   $    13,629,362
First Trust Dorsey Wright People's Portfolio ETF                        1,684,481         3,139,856
First Trust Dow 30 Equal Weight ETF                                    75,743,450        22,846,233
First Trust Lunt U.S. Factor Rotation ETF                           1,093,777,118       597,273,092


                  6. CREATION, REDEMPTION AND TRANSACTION FEES

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

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

Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and


                                                                         Page 53





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.

                              7. DISTRIBUTION PLAN

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.

No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2023.

                               8. INDEMNIFICATION

The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.

                              9. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued and has determined that
there was the following subsequent event:

On January 28, 2022, TUSA announced that the Fund will seek investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an index called The Dividend Strength Index (the "New Index"). The
Fund expects to begin tracking the New Index prior to the end of April 2022. The
New Index will be composed of approximately 50 U.S. equity securities selected
based on factors designed to measure financial strength and dividend yield.
Additionally, at the time of the Fund's change to the New Index, the Fund's name
is expected to be changed to "First Trust Dividend Strength ETF" and its new
ticker symbol is expected to be "DVST". The Fund's shares will continue to be
listed for trading on The Nasdaq Stock Market LLC and Nasdaq, Inc. will serve as
the Fund's index provider.

                               10. OTHER MATTERS

By operation of law, EDOW and FCTR now operate each as a diversified open-end
management investment company as defined in Section 5(b) of the 1940 Act.


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--------------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------

TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
FUND:

OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS

We have audited the accompanying statements of assets and liabilities of First
Trust Total US Market AlphaDEX(R) ETF, First Trust Dorsey Wright People's
Portfolio ETF, First Trust Dow 30 Equal Weight ETF, and First Trust Lunt U.S.
Factor Rotation ETF (the "Funds"), each a series of First Trust Exchange-Traded
Fund, including the portfolios of investments, as of December 31, 2021, the
related statements of operations for the year then ended, the statements of the
changes in net assets for each of the two years in the period then ended, the
financial highlights for the periods indicated in the table below for the Funds,
and the related notes. In our opinion, the financial statements and financial
highlights present fairly, in all material respects, the financial position of
each of the Funds as of December 31, 2021, and the results of their operations
for the year then ended, the changes in their net assets for each of the two
years in the period then ended, and the financial highlights for the periods
listed in the table below in conformity with accounting principles generally
accepted in the United States of America.



--------------------------------------------------------------------------------------------------------
                             
INDIVIDUAL FUNDS
INCLUDED IN THE TRUST           FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------------------------------
First Trust Total US Market     For the years ended December 31, 2021, 2020, 2019, 2018, and 2017
AlphaDEX(R) ETF

First Trust Dorsey Wright
People's Portfolio ETF
--------------------------------------------------------------------------------------------------------
First Trust Dow 30              For the years ended December 31, 2021, 2020, 2019, 2018, and the
Equal Weight ETF                period from August 8, 2017 (commencement of operations) through
                                December 31, 2017

First Trust Lunt U.S. Factor    For the year ended December 31, 2021, 2020, 2019, and the period from
Rotation ETF                    July 25, 2018 (commencement of operations) through December 31, 2018
--------------------------------------------------------------------------------------------------------


BASIS FOR OPINION

These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of their internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 2021, by correspondence with
the custodian and brokers; when replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Chicago, Illinois
February 23, 2022

We have served as the auditor of one or more First Trust investment companies
since 2001.


                                                                         Page 55





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                         DECEMBER 31, 2021 (UNAUDITED)

                      PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.

                               PORTFOLIO HOLDINGS

Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.

                            FEDERAL TAX INFORMATION

For the taxable year ended December 31, 2021, the following percentages of
income dividends paid by the Funds qualify for the dividends received deduction
available to corporations:



                                                                Dividends Received Deduction
                                                                ----------------------------
                                                                       
First Trust Total US Market AlphaDEX(R) ETF                               100.00%
First Trust Dorsey Wright People's Portfolio ETF                          100.00%
First Trust Dow 30 Equal Weight ETF                                       100.00%
First Trust Lunt U.S. Factor Rotation ETF                                 100.00%


For the taxable year ended December 31, 2021, the following percentages of
income dividends paid by the Funds are hereby designated as qualified dividend
income:



                                                                  Qualified Dividend Income
                                                                ----------------------------
                                                                       
First Trust Total US Market AlphaDEX(R) ETF                               100.00%
First Trust Dorsey Wright People's Portfolio ETF                          100.00%
First Trust Dow 30 Equal Weight ETF                                       100.00%
First Trust Lunt U.S. Factor Rotation ETF                                 100.00%


A portion of each of the Funds' 2021 ordinary dividends (including short-term
capital gains) paid to its shareholders during the fiscal year ended December
31, 2021, may be eligible for the Qualified Business Income Deduction (QBI)
under Internal Revenue Code Section 199A for the aggregate dividends each Fund
received from the underlying Real Estate Investment Trusts (REITs) these Funds
invest in.

                              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.


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

                        FIRST TRUST EXCHANGE-TRADED FUND
                         DECEMBER 31, 2021 (UNAUDITED)

CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.

DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.

DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.

EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.

ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (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.


                                                                         Page 57





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                         DECEMBER 31, 2021 (UNAUDITED)

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, will cease making LIBOR available as a
reference rate over a phase-out period that will begin immediately after
December 31, 2021. The unavailability or replacement of LIBOR may affect the
value, liquidity or return on certain fund investments and may result in costs
incurred in connection with closing out positions and entering into new trades.
Any potential effects of the transition away from LIBOR on the fund or on
certain instruments in which the fund invests can be difficult to ascertain, and
they may vary depending on a variety of factors, and they could result in losses
to the fund.

MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.

MARKET RISK. 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. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. While the development of
vaccines has slowed the spread of the virus and allowed for the resumption of
"reasonably" normal business activity in the United States, many countries
continue to impose lockdown measures in an attempt to slow the spread.
Additionally, there is no guarantee that vaccines will be effective against
emerging variants of the disease.

NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.

OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.

PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.

          NOT FDIC INSURED     NOT BANK GUARANTEED     MAY LOSE VALUE


Page 58





--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                         DECEMBER 31, 2021 (UNAUDITED)

The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.

The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.



                                                                                              NUMBER OF
                                                                                            PORTFOLIOS IN
                               TERM OF OFFICE                                              THE FIRST TRUST     OTHER TRUSTEESHIPS
           NAME,               AND YEAR FIRST                                               FUND COMPLEX     OR DIRECTORSHIPS HELD
     YEAR OF BIRTH AND           ELECTED OR               PRINCIPAL OCCUPATIONS              OVERSEEN BY       BY TRUSTEE DURING
  POSITION WITH THE TRUST         APPOINTED                DURING PAST 5 YEARS                 TRUSTEE            PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
                                                        INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
                                                                                                
Richard E. Erickson, Trustee  o Indefinite Term  Physician, Officer, Wheaton Orthopedics;        216        None
(1951)                                           Limited Partner, Gundersen Real Estate
                              o Since Inception  Limited Partnership (June 1992 to
                                                 December 2016)

Thomas R. Kadlec, Trustee     o Indefinite Term  President, ADM Investors Services, Inc.         216        Director of ADM Investor
(1957)                                           (Futures Commission Merchant)                              Services, Inc., ADM
                              o Since Inception                                                             Investor Services
                                                                                                            International, Futures
                                                                                                            Industry Association,
                                                                                                            and National Futures
                                                                                                            Association

Denise M. Keefe, Trustee      o Indefinite Term  Executive Vice President, Advocate Aurora       216        Director and Board Chair
(1964)                                           Health and President, Advocate Aurora                      of Advocate Home Health
                                                                                                            Services, Advocate Home
                              o Since 2021       Continuing Health Division (Integrated                     Care Products and
                                                 Healthcare 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 (Financial          216        Director of Trust
(1956)                                           and Management Consulting)                                 Company of Illinois
                              o Since Inception

Niel B. Nielson, Trustee      o Indefinite Term  Senior Advisor (August 2018 to Present),        216        None
(1954)                                           Managing Director and Chief Operating
                              o Since Inception  Officer (January 2015 to August 2018),
                                                 Pelita Harapan Educational Foundation
                                                 (Educational Product and Services)

------------------------------------------------------------------------------------------------------------------------------------
                                                         INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee,   o Indefinite Term  Chief Executive Officer, First Trust
Chairman of the Board                            Advisors L.P. and First Trust Portfolios        216        None
(1955)                                           L.P., Chairman of the Board of
                              o Since Inception  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 59





--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                         DECEMBER 31, 2021 (UNAUDITED)



                             POSITION AND             TERM OF OFFICE
     NAME AND                  OFFICES                 AND LENGTH OF                         PRINCIPAL OCCUPATIONS
   YEAR OF BIRTH              WITH TRUST                  SERVICE                             DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
                                                            OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
                                                                  
James M. Dykas        President and Chief          o Indefinite Term       Managing Director and Chief Financial Officer
(1966)                Executive Officer                                    (January 2016 to Present), Controller (January 2011
                                                   o Since January 2016    to January 2016), Senior Vice President (April 2007
                                                                           to January 2016), First Trust Advisors L.P. and First
                                                                           Trust Portfolios L.P.; Chief Financial Officer (January
                                                                           2016 to Present), BondWave LLC (Software
                                                                           Development Company) and Stonebridge Advisors
                                                                           LLC (Investment Advisor)


Donald P. Swade       Treasurer, Chief Financial   o Indefinite Term       Senior Vice President (July 2016 to Present), Vice
(1972)                Officer and Chief                                    President (April 2012 to July 2016), First Trust
                      Accounting Officer           o Since January 2016    Advisors L.P. and First Trust Portfolios L.P.


W. Scott Jardine      Secretary and Chief          o Indefinite Term       General Counsel, First Trust Advisors L.P. and First
(1960)                Legal Officer                                        Trust Portfolios L.P.; Secretary and General Counsel,
                                                   o Since Inception       BondWave LLC; Secretary, Stonebridge Advisors LLC


Daniel J. Lindquist   Vice President               o Indefinite Term       Managing Director, First Trust Advisors L.P. and First
(1970)                                                                     Trust Portfolios L.P.
                                                   o Since Inception


Kristi A. Maher       Chief Compliance Officer     o Indefinite Term       Deputy General Counsel, First Trust Advisors L.P.
(1966)                and Assistant Secretary                              and First Trust Portfolios L.P.
                                                   o Chief Compliance
                                                     Officer Since
                                                     January 2011

                                                   o Assistant Secretary
                                                     Since Inception


Roger F. Testin       Vice President               o Indefinite Term       Senior Vice President, First Trust Advisors L.P. and
(1966)                                                                     First Trust Portfolios L.P.
                                                   o Since Inception


Stan Ueland           Vice President               o Indefinite Term       Senior Vice President, First Trust Advisors L.P. and
(1970)                                                                     First Trust Portfolios L.P.
                                                   o Since Inception


-----------------------------
(2)   The term "officer" means the president, vice president, secretary,
      treasurer, controller or any other officer who performs a policy making
      function.


Page 60





--------------------------------------------------------------------------------
PRIVACY POLICY
--------------------------------------------------------------------------------

                        FIRST TRUST EXCHANGE-TRADED FUND
                         DECEMBER 31, 2021 (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 2021


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FIRST TRUST

First Trust Exchange-Traded Fund

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

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

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

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





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