FIRST TRUST
First Trust Exchange-Traded Fund VIII
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First Trust CEF Income Opportunity ETF (FCEF)
First Trust Municipal CEF Income Opportunity ETF (MCEF)
First Trust Low Duration Strategic Focus ETF (LDSF)
First Trust Active Factor Large Cap ETF (AFLG)
First Trust Active Factor Mid Cap ETF (AFMC)
First Trust Active Factor Small Cap ETF (AFSM)
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Semi-Annual Report
For the Six Months Ended
February 28, 2022
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2022
Shareholder Letter........................................................... 2
Fund Performance Overview
First Trust CEF Income Opportunity ETF (FCEF)............................. 3
First Trust Municipal CEF Income Opportunity ETF (MCEF)................... 5
First Trust Low Duration Strategic Focus ETF (LDSF)....................... 7
First Trust Active Factor Large Cap ETF (AFLG)............................ 9
First Trust Active Factor Mid Cap ETF (AFMC).............................. 11
First Trust Active Factor Small Cap ETF (AFSM)............................ 13
Notes to Fund Performance Overview........................................... 15
Portfolio Management......................................................... 16
Understanding Your Fund Expenses............................................. 19
Portfolio of Investments
First Trust CEF Income Opportunity ETF (FCEF)............................. 20
First Trust Municipal CEF Income Opportunity ETF (MCEF)................... 22
First Trust Low Duration Strategic Focus ETF (LDSF)....................... 24
First Trust Active Factor Large Cap ETF (AFLG)............................ 25
First Trust Active Factor Mid Cap ETF (AFMC).............................. 30
First Trust Active Factor Small Cap ETF (AFSM)............................ 35
Statements of Assets and Liabilities......................................... 40
Statements of Operations..................................................... 42
Statements of Changes in Net Assets.......................................... 44
Financial Highlights......................................................... 47
Notes to Financial Statements................................................ 50
Additional Information....................................................... 58
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TABLE OF CONTENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2022
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 VIII (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(s). 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 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.
The statistical information that follows may help you understand each Fund's
performance compared to that of relevant market benchmark(s).
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 VIII
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
FEBRUARY 28, 2022
Dear Shareholders:
First Trust is pleased to provide you with the semi-annual report for certain
series of the First Trust Exchange-Traded Fund VIII (the "Funds"), which
contains detailed information about the Funds for the six-month period ended
February 28, 2022.
Interest rates, bond yields and inflation are trending higher in the U.S., and
perhaps what matters most is that all three are moving in tandem, which has not
happened for quite some time. To start, let us focus on bond yields, which, like
interest rates and inflation, have traded at or near their historic lows for
many years. Over the past decade, we have seen the yield on the 10-Year Treasury
Note ("T-Note") climb from its artificial lows to the 3.00% level on two
occasions only to have it reverse course soon thereafter. In 2013, the yield on
the benchmark government bond rose from 1.75% at the start of the year to 3.03%
at the close of trading on December 31, 2013. One year later it stood at 2.17%.
In 2018, the yield rose from 2.41% at the start of the year to a 2018 high of
3.24% on November 8, 2018. At the end of 2019, it yielded 1.92%. In 2022, it has
reached as high as 2.78% (on April 11), representing a significant move from
1.51% at the start of the year. The point is that we have endured substantial
upward moves in the yield on the 10-Year T-Note, but they were not sustained.
Short-term interest rates, as controlled by the Federal Reserve (the "Fed") via
its Federal Funds target rate, only accompanied bond yields higher in one of
those two instances. In 2013, bond yields rose but the Fed did not raise
short-term interest rates at all. In 2017 and 2018, the Fed executed multiple
interest rate hikes, but reversed course in 2019, undoing the entirety of its
2017-2018 tightening phase. On March 16, 2022, the Fed initiated a 25-basis
point ("bps") hike in the Federal Funds target rate. The median member of the
Federal Open Market Committee is signaling another six hikes, totaling 150 bps,
through year-end, according to Brian Wesbury, Chief Economist at First Trust.
That would equate to 175 bps in aggregate in 2022. The Fed also signaled it
could raise interest rates an additional 75-100 bps in 2023. So, for all intents
and purposes, unless something dramatic happens, such as an escalation of the
war between Russia and Ukraine, we believe interest rates are heading much
higher. With respect to inflation, as measured by the Consumer Price Index
("CPI"), it was essentially a non-event when bond yields rose in 2013 and 2018.
The year-over-year changes in the CPI in 2013 and 2018 were 1.5% and 1.9%,
respectively, according to data from the U.S. Bureau of Labor Statistics. The
CPI has averaged 3.0% per year since 1926. In February 2022, the CPI stood at
7.9%. The last time it was this high was 1982.
The current climate for interest rates, bond yields and inflation, indicates
that this time around could be different than what we experienced in 2013 and
2018. By that I mean that higher levels of all three might be sustainable.
Having said that, I do not believe that investors need to shift into panic mode.
The Fed's guidance is reassuring to us in that, as of now, it intends to raise
short-term interest rates slowly and methodically. While we believe the bond
market may be in for a bumpy ride over the next year or so, higher rates and
yields are not necessarily death knells for the stock market. In general, I
believe that investors should be able to make better decisions about where to
position their money moving forward thanks to the in-depth guidance from the
Fed. It could not be more transparent, in my opinion.
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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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF)
The First Trust CEF Income Opportunity ETF (the "Fund") seeks to provide current
income with a secondary emphasis on total return. Under normal market
conditions, the Fund seeks to achieve its investment objectives by investing at
least 80% of its net assets (including investment borrowings) in a portfolio of
closed-end investment companies that are listed and traded in the United States
on registered exchanges. The Fund is classified as "diversified" under the
Investment Company Act of 1940, as amended. The shares of the Fund are listed
and traded on The Nasdaq Stock Market LLC under the ticker symbol "FCEF."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended 5 Years Ended Inception (9/27/16) 5 Years Ended Inception (9/27/16)
2/28/22 2/28/22 2/28/22 to 2/28/22 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -7.94% 4.68% 7.44% 8.19% 43.19% 53.19%
Market Price -7.65% 4.68% 7.49% 8.20% 43.53% 53.24%
INDEX PERFORMANCE
Russell 3000(R) Index -4.24% 12.29% 14.68% 15.59% 98.34% 119.34%
Blended Benchmark (1) -7.54% 4.59% 6.62% 7.41% 37.79% 47.34%
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(See Notes to Fund Performance Overview on page 15.)
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(1) A blended benchmark (the "Blended Benchmark") comprised 60% of the First
Trust Equity Closed-End Fund Total Return Index, a cap-weighted index
(based on NAV) designed to provide a broad representation of the equity
based closed-end fund universe, and 40% of the First Trust Taxable Fixed
Income Closed-End Fund Total Return Index, a cap-weighted index (based on
NAV) designed to provide a broad representation of the taxable fixed
income closed-end fund universe, has been selected as a secondary
benchmark to provide a more direct correlation to the Fund's underlying
portfolio. The indexes do not charge management fees or brokerage
expenses, and no such fees or expenses were deducted from the performance
shown. Indexes are unmanaged and an investor cannot invest directly in an
index. The Blended Index returns are calculated by using the monthly
return of the two indices during each period shown above. At the beginning
of each month the two indices are rebalanced to a 60-40 ratio to account
for divergence from that ratio that occurred during the course of each
month. The monthly returns are then compounded for each period shown
above, giving the performance for the Blended Index for each period shown
above.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF) (CONTINUED)
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% OF TOTAL
LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
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Eaton Vance Tax-Advantaged Global
Dividend Income Fund 4.7%
Cohen & Steers REIT and Preferred and
Income Fund, Inc. 4.1
Eaton Vance Tax-Advantaged Dividend
Income Fund 4.1
Eaton Vance Tax-Advantaged Global
Dividend Opportunities Fund 3.8
Tekla Healthcare Opportunities Fund 3.5
Ares Dynamic Credit Allocation Fund, Inc. 3.4
Gabelli Dividend & Income Trust (The) 3.3
John Hancock Tax-Advantaged Dividend
Income Fund 3.2
PGIM Global High Yield Fund, Inc. 3.2
Source Capital, Inc. 3.1
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Total 36.4%
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% OF TOTAL
LONG-TERM
WORLD REGIONS INVESTMENTS
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North America 80.3%
Europe 12.1
Asia 7.6
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Total 100.0%
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% OF TOTAL
LONG-TERM
MARKET CAPITALIZATION INVESTMENTS
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Mega 26.3%
Large 35.2
Mid 27.5
Small 7.4
Micro 3.6
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Total 100.0%
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% OF TOTAL
LONG-TERM
CREDIT QUALITY (2) INVESTMENTS
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AAA 4.7%
AA 0.3
A 0.7
BBB 13.4
BB 25.8
B 35.3
CCC-D 11.5
NR 8.3
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Total 100.0%
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PERFORMANCE OF A $10,000 INITIAL INVESTMENT
SEPTEMBER 27, 2016 - FEBRUARY 28, 2022
First Trust CEF Income Russell 3000(R) Blended
Opportunity ETF Index Benchmark
9/28/16 $10,000 $10,000 $10,000
2/28/17 10,698 11,058 10,693
8/31/17 11,348 11,637 11,267
2/28/18 11,572 12,853 11,410
8/31/18 12,267 13,993 12,041
2/28/19 12,044 13,502 11,833
8/31/19 12,658 14,177 12,452
2/29/20 12,451 14,434 12,117
8/31/20 12,401 17,216 12,258
2/28/21 14,636 19,532 14,085
8/31/21 16,638 22,903 15,935
2/28/22 15,317 21,932 14,733
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
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(2) The ratings are by Standard & Poor's except where otherwise indicated. A
credit rating is an assessment provided by a nationally recognized
statistical rating organization (NRSRO) of the creditworthiness of an
issuer with respect to debt obligations except for those debt obligations
that are only privately rated. Ratings are measured on a scale that
generally ranges from AAA (highest) to D (lowest). Investment grade is
defined as those issuers that have a long-term credit rating of BBB- or
higher. "NR" indicates no rating. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. Credit ratings are subject to change.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF)
The First Trust Municipal CEF Income Opportunity ETF (the "Fund") seeks to
provide current income. Under normal market conditions, the Fund seeks to
achieve its investment objective by investing at least 80% of its net assets
(including investment borrowings) in a portfolio of closed-end investment
companies that are listed and traded in the United States on registered
exchanges which invest primarily in municipal debt securities, some or all of
which pay interest that is exempt from regular federal income taxes. The Fund
may also invest in exchange-traded funds. The Fund is classified as
"diversified" under the Investment Company Act of 1940, as amended. The shares
of the Fund are listed and traded on The Nasdaq Stock Market LLC under the
ticker symbol "MCEF."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended 5 Years Ended Inception (9/27/16) 5 Years Ended Inception (9/27/16)
2/28/22 2/28/22 2/28/22 to 2/28/22 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -10.40% -1.64% 3.94% 2.52% 21.33% 14.46%
Market Price -10.32% -1.54% 3.92% 2.53% 21.19% 14.50%
INDEX PERFORMANCE
Bloomberg Municipal Bond
Index -3.09% -0.66% 3.24% 2.52% 17.29% 14.46%
First Trust Municipal
Closed-End Fund Total
Return Index (1) -10.68% -1.27% 4.78% 3.13% 26.28% 18.18%
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(See Notes to Fund Performance Overview on page 15.)
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% OF TOTAL
TOP TEN HOLDINGS INVESTMENTS
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Nuveen AMT-Free Municipal Credit Income
Fund 5.7%
BlackRock MuniHoldings Quality Fund II, Inc. 4.8
VanEck High Yield Muni ETF 4.7
Nuveen Enhanced Municipal Value Fund 4.2
Nuveen Municipal Credit Opportunities Fund 4.2
BlackRock MuniHoldings Investment Quality
Fund 3.9
Western Asset Municipal Partners Fund, Inc. 3.7
Invesco Trust for Investment Grade Municipals 3.7
Invesco Municipal Trust 3.6
PIMCO Intermediate Municipal Bond Active
Exchange-Traded Fund 3.6
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Total 42.1%
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% OF TOTAL
TOP STATE EXPOSURE INVESTMENTS
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Illinois 11.1%
California 10.1
New York 9.1
Texas 7.6
Florida 6.9
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Total 44.8%
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% OF TOTAL
CREDIT QUALITY (2) INVESTMENTS
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AAA 6.1%
AA 26.5
A 23.0
BBB 17.2
BB 6.8
B 1.5
CCC-D 1.0
NR 17.9
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Total 100.0%
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(1) The First Trust Municipal Closed-End Fund Total Return Index, a
cap-weighted index (based on NAV) designed to provide a broad
representation of the taxable fixed income closed-end fund universe, has
been selected as a secondary benchmark to provide a more direct
correlation to the Fund's underlying portfolio. The index does not charge
management fees or brokerage expenses, and no such fees or expenses were
deducted from the performance shown. Indexes are unmanaged and an investor
cannot invest directly in an index.
(2) The ratings are by Standard & Poor's except where otherwise indicated. A
credit rating is an assessment provided by a nationally recognized
statistical rating organization (NRSRO) of the creditworthiness of an
issuer with respect to debt obligations except for those debt obligations
that are only privately rated. Ratings are measured on a scale that
generally ranges from AAA (highest) to D (lowest). Investment grade is
defined as those issuers that have a long-term credit rating of BBB- or
higher. "NR" indicates no rating. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. Credit ratings are subject to change.
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
SEPTEMBER 27, 2016 - FEBRUARY 28, 2022
First Trust
Municipal CEF Income Bloomberg Municipal First Trust Municipal
Opportunity ETF Bond Index Closed-End Fund Index
9/28/16 $10,000 $10,000 $10,000
2/28/17 9,433 9,758 9,359
8/31/17 9,919 10,128 9,978
2/28/18 9,415 10,003 9,399
8/31/18 9,613 10,178 9,693
2/28/19 9,889 10,416 10,017
8/31/19 10,858 11,066 11,182
2/29/20 11,086 11,402 11,415
8/31/20 10,977 11,424 11,273
2/28/21 11,636 11,522 11,971
8/31/21 12,775 11,813 13,231
2/28/22 11,446 11,446 11,818
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 6
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF)
The First Trust Low Duration Strategic Focus ETF (the "Fund") seeks to generate
current income, with a secondary objective of preservation of capital. Under
normal market conditions, the Fund seeks to achieve its investment objectives by
investing at least 80% of its net assets (including investment borrowings) in a
portfolio of U.S.-listed exchange-traded funds ("ETFs") that principally invest
in income-generating securities that provide the Fund with an effective
portfolio duration of three years or less. The Fund is classified as
"non-diversified" under the Investment Company Act of 1940, as amended. The
shares of the Fund are listed and traded on The Nasdaq Stock Market LLC under
the ticker symbol "LDSF."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months Ended 1 Year Ended Inception (1/3/19) Inception (1/3/19)
2/28/22 2/28/22 to 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -1.69% -1.16% 2.03% 6.55%
Market Price -1.65% -1.06% 2.03% 6.55%
INDEX PERFORMANCE
Blended Benchmark(1) -2.62% -1.59% 3.11% 10.12%
Bloomberg 1-5 Year Government/Credit Index -2.54% -2.20% 2.12% 6.83%
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(See Notes to Fund Performance Overview on page 15.)
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(1) The Blended Benchmark consists of the following two indexes: 80% of the
Bloomberg 1-5 Year Government/Credit Index which measures the performance
of U.S. dollar-denominated U.S. Treasury bonds, government related bonds
and investment grade U.S. corporate bonds that have a maturity between one
and five years; and 20% of the ICE BofA US High Yield Constrained Index
which tracks the performance of U.S. dollar denominated below investment
grade corporate debt publicly issued in the U.S. domestic market but caps
issuer exposure at 2%. The indexes do not charge management fees or
brokerage expenses, and no such fees or expenses were deducted from the
performance shown. Indexes are unmanaged and an investor cannot invest
directly in an index. The Blended Index returns are calculated by using
the monthly return of the two indices during each period shown above. At
the beginning of each month the two indices are rebalanced to a 80-20
ratio to account for divergence from that ratio that occurred during the
course of each month. The monthly returns are then compounded for each
period shown above, giving the performance for the Blended Index for each
period shown above.
Page 7
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JANUARY 3, 2019 - FEBRUARY 28, 2022
First Trust Low Duration Blended Bloomberg 1-5 Year
Strategic Focus ETF Benchmark Government/Credit Index
1/3/19 $10,000 $10,000 $10,000
2/28/19 10,210 10,151 10,037
8/31/19 10,453 10,564 10,433
2/29/20 10,648 10,789 10,676
8/31/20 10,672 11,059 10,926
2/28/21 10,781 11,190 10,924
8/31/21 10,839 11,309 10,962
2/28/22 10,656 11,011 10,684
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 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 8
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
The First Trust Active Factor Large Cap ETF (the "Fund") seeks to provide
capital appreciation. Under normal market conditions, the Fund will invest at
least 80% of its net assets (including investment borrowings) in U.S.-listed
equity securities issued by large capitalization companies. The Fund defines
large capitalization companies as those that, at the time of investment, have a
minimum market capitalization equal to or greater than the minimum market
capitalization of a widely recognized index of large capitalization companies
based upon the composition of the index at the time of investment. The Fund is
actively managed primarily relying on a multi-factor quantitative methodology
with active risk management to construct a portfolio of securities exhibiting
exposures to one or more investing factors. The multi-factor quantitative
methodology currently used by the Fund may take into account the following
factors: (i) value; (ii) momentum; (iii) quality; and (iv) low volatility. The
Fund is classified as "non-diversified" under the Investment Company Act of
1940, as amended. The shares of the Fund are listed and traded on the NYSE Arca,
Inc., under the ticker symbol "AFLG."
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
Inception Inception
6 Months Ended 1 Year Ended (12/3/19) (12/3/19)
2/28/22 2/28/22 to 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -3.07% 13.99% 13.63% 33.12%
Market Price -2.96% 14.18% 13.67% 33.22%
INDEX PERFORMANCE
S&P 500(R) Index -2.62% 16.39% 18.65% 46.63%
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(See Notes to Fund Performance Overview on page 15.)
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% OF TOTAL
LONG-TERM
SECTOR CLASSIFICATION INVESTMENTS
----------------------------------------------------------
Information Technology 28.8%
Consumer Discretionary 11.9
Health Care 11.6
Industrials 10.1
Financials 9.1
Communication Services 8.0
Consumer Staples 5.7
Real Estate 4.5
Materials 3.7
Utilities 3.6
Energy 3.0
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Total 100.0%
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% OF TOTAL
LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Apple, Inc. 7.0%
Alphabet, Inc., Class A 4.2
Microsoft Corp. 4.1
Amazon.com, Inc. 1.9
Berkshire Hathaway, Inc., Class B 1.8
NVR, Inc. 1.2
Pfizer, Inc. 1.1
Exxon Mobil Corp. 1.1
HP, Inc. 1.1
AutoZone, Inc. 1.0
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Total 24.5%
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Page 9
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 3, 2019 - FEBRUARY 28, 2022
First Trust Active S&P 500(R)
Factor Large Cap ETF Index
12/3/19 $10,000 $10,000
2/29/20 9,344 9,595
8/31/20 10,667 11,479
2/28/21 11,677 12,597
8/31/21 13,733 15,058
2/28/22 13,311 14,663
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 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
The First Trust Active Factor Mid Cap ETF (the "Fund") seeks to provide capital
appreciation. Under normal market conditions, the Fund will invest at least 80%
of its net assets (including investment borrowings) in U.S.-listed equity
securities issued by mid capitalization companies. The Fund defines mid
capitalization companies as those that, at the time of investment, have a market
capitalization between the minimum and maximum market capitalization of a widely
recognized index of mid capitalization companies based upon the composition of
the index at the time of investment. The Fund is actively managed primarily
relying on a multi-factor quantitative methodology with active risk management
to construct a portfolio of securities exhibiting exposures to one or more
investing factors. The multi-factor quantitative methodology currently used by
the Fund may take into account the following factors: (i) value; (ii) momentum;
(iii) quality; and (iv) low volatility. The Fund is classified as
"non-diversified" under the Investment Company Act of 1940, as amended. The
shares of the Fund are listed and traded on the NYSE Arca, Inc., under the
ticker symbol "AFMC."
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
Inception Inception
6 Months Ended 1 Year Ended (12/3/19) (12/3/19)
2/28/22 2/28/22 to 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -4.95% 7.15% 11.29% 27.06%
Market Price -5.03% 7.12% 11.23% 26.91%
INDEX PERFORMANCE
S&P MidCap 400(R) Index -2.70% 7.98% 15.69% 38.57%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 15.)
----------------------------------------------------------
% OF TOTAL
LONG-TERM
SECTOR CLASSIFICATION INVESTMENTS
----------------------------------------------------------
Industrials 18.4%
Financials 14.5
Information Technology 14.0
Consumer Discretionary 13.3
Health Care 11.5
Real Estate 9.5
Materials 6.8
Consumer Staples 4.0
Communication Services 3.2
Utilities 2.6
Energy 2.2
--------
Total 100.0%
========
----------------------------------------------------------
% OF TOTAL
LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Molina Healthcare, Inc. 1.5%
Jones Lang LaSalle, Inc. 1.5
Builders FirstSource, Inc. 1.3
AutoNation, Inc. 1.3
Arrow Electronics, Inc. 1.2
Dick's Sporting Goods, Inc. 1.2
American Financial Group, Inc. 1.2
Reliance Steel & Aluminum Co. 1.2
Louisiana-Pacific Corp. 1.1
Ciena Corp. 1.1
--------
Total 12.6%
========
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 3, 2019 - FEBRUARY 28, 2022
First Trust Active S&P MidCap
Factor Mid Cap ETF 400(R) Index
12/3/19 $10,000 $10,000
2/29/20 9,126 9,181
8/31/20 9,314 9,838
2/28/21 11,858 12,834
8/31/21 13,367 14,242
2/28/22 12,705 13,857
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 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
The First Trust Active Factor Small Cap ETF (the "Fund") seeks to provide
capital appreciation. Under normal market conditions, the Fund will invest at
least 80% of its net assets (including investment borrowings) in U.S.-listed
equity securities issued by small capitalization companies. The Fund defines
small capitalization companies as those that, at the time of investment, have a
market capitalization between a minimum of $250 million and the maximum market
capitalization of a widely recognized index of small capitalization companies
based upon the composition of the index at the time of investment. The Fund is
actively managed primarily relying on a multi-factor quantitative methodology
with active risk management to construct a portfolio of securities exhibiting
exposures to one or more investing factors. The multi-factor quantitative
methodology currently used by the Fund may take into account the following
factors: (i) value; (ii) momentum; (iii) quality; and (iv) low volatility. The
Fund is classified as "non-diversified" under the Investment Company Act of
1940, as amended. The shares of the Fund are listed and traded on the NYSE Arca,
Inc., under the ticker symbol "AFSM."
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
Inception Inception
6 Months Ended 1 Year Ended (12/3/19) (12/3/19)
2/28/22 2/28/22 to 2/28/22 to 2/28/22
FUND PERFORMANCE
NAV -4.00% 4.15% 12.35% 29.77%
Market Price -3.93% 4.15% 12.33% 29.72%
INDEX PERFORMANCE
Russell 2000(R) Index -9.46% -6.01% 12.90% 31.19%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 15.)
----------------------------------------------------------
% OF TOTAL
LONG-TERM
SECTOR CLASSIFICATION INVESTMENTS
----------------------------------------------------------
Health Care 18.3%
Industrials 17.4
Financials 14.4
Information Technology 12.5
Consumer Discretionary 12.3
Real Estate 6.6
Materials 5.5
Energy 5.2
Consumer Staples 4.1
Communication Services 2.5
Utilities 1.2
--------
Total 100.0%
========
----------------------------------------------------------
% OF TOTAL
LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Boise Cascade Co. 1.2%
Louisiana-Pacific Corp. 1.2
Amphastar Pharmaceuticals, Inc. 1.0
Enstar Group Ltd. 0.9
ArcBest Corp. 0.9
Ingles Markets, Inc., Class A 0.9
Alcoa Corp. 0.9
Matson, Inc. 0.9
Popular, Inc. 0.8
Whiting Petroleum Corp. 0.8
--------
Total 9.5%
========
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 3, 2019 - FEBRUARY 28, 2022
First Trust Active Russell 2000(R)
Factor Small Cap ETF Index
12/3/19 $10,000 $10,000
2/29/20 8,981 9,244
8/31/20 9,297 9,851
2/28/21 12,461 13,958
8/31/21 13,518 14,489
2/28/22 12,977 13,118
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 14
--------------------------------------------------------------------------------
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.
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 15
--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2022 (UNAUDITED)
ADVISOR
First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment
advisor to the First Trust CEF Income Opportunity ETF ("FCEF") and the First
Trust Municipal CEF Income Opportunity ETF ("MCEF" and together with FCEF, the
"Funds"), each a series of the First Trust Exchange-Traded Fund VIII, and is
responsible for the selection and ongoing monitoring of the securities in the
Funds' portfolios and certain other services necessary for the management of the
portfolios.
PORTFOLIO MANAGEMENT
Ken Fincher, Senior Vice President of First Trust, and Jordan Ramsland, Vice
President of First Trust, are the Funds' portfolio managers and have
responsibility for the day-to-day management of each Fund's investment
portfolio. Mr. Fincher has nearly 30 years of experience in financial markets.
His current responsibilities include management of two First Trust
exchange-traded funds and separately managed accounts that invest primarily in
closed-end funds. He has also helped develop new product structures in the
closed-end fund space. Mr. Fincher has been named Outstanding Individual
Contributor to the Closed-End Fund Sector in 2007, 2006, 2005 and 2004 by
financial analysts and his peers in the closed-end fund community and served on
the Closed-End Fund committee of the Investment Company Institute. Mr. Fincher
received a B.A. in financial administration from Michigan State University and
an M.B.A. from Loyola University Graduate School of Business. Mr. Ramsland
joined First Trust in 2013, and his current responsibilities include research
and management of strategies that invest primarily in closed-end funds. He is
responsible for updating and maintaining First Trust's proprietary closed-end
fund models as part of the investment process for the First Trust closed-end
funds, exchange-traded funds and separately managed accounts. Mr. Ramsland
graduated from Palm Beach Atlantic University in 2011 with a B.S. in Finance.
Page 16
--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2022 (UNAUDITED)
ADVISOR
First Trust serves as the investment advisor to the First Trust Low Duration
Strategic Focus ETF (the "Fund"). First Trust is responsible for the ongoing
monitoring of the Fund's investment portfolio, managing the Fund's business
affairs and providing certain administrative services necessary for the
management of the Fund.
PORTFOLIO MANAGEMENT TEAM
The Fund's portfolio is managed by a team of portfolio managers consisting of:
DANIEL J. LINDQUIST, MANAGING DIRECTOR OF FIRST TRUST
DAVID G. MCGAREL, CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND
MANAGING DIRECTOR OF FIRST TRUST
CHRIS A. PETERSON, SENIOR VICE PRESIDENT OF FIRST TRUST
WILLIAM HOUSEY, SENIOR VICE PRESIDENT OF FIRST TRUST
STEVE COLLINS, VICE PRESIDENT OF FIRST TRUST
The portfolio managers are primarily and jointly responsible for the day-to-day
management of the Fund. Each portfolio manager has served as a part of the
portfolio management team of the Fund since 2019.
Page 17
--------------------------------------------------------------------------------
PORTFOLIO MANAGEMENT (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
SEMI-ANNUAL REPORT
FEBRUARY 28, 2022 (UNAUDITED)
ADVISOR
First Trust serves as the investment advisor to the First Trust Active Factor
Large Cap ETF ("AFLG"), the First Trust Active Factor Mid Cap ETF ("AFMC"), and
the First Trust Active Factor Small Cap ETF ("AFSM") (each a "Fund" and
collectively, the "Funds"). First Trust is responsible for the selection and
ongoing monitoring of the securities in the Funds' portfolios, managing the
Funds' business affairs and providing certain administrative services necessary
for the management of the Funds.
PORTFOLIO MANAGEMENT TEAM
Each Fund's portfolio is managed by a team (the "Investment Committee")
consisting of:
DANIEL J. LINDQUIST, CHAIRMAN OF THE INVESTMENT COMMITTEE AND MANAGING DIRECTOR
OF FIRST TRUST
JON C. ERICKSON, SENIOR VICE PRESIDENT OF FIRST TRUST
DAVID G. MCGAREL, CHIEF INVESTMENT OFFICER, CHIEF OPERATING OFFICER AND
MANAGING DIRECTOR OF FIRST TRUST
ROGER F. TESTIN, SENIOR VICE PRESIDENT OF FIRST TRUST
STAN UELAND, SENIOR VICE PRESIDENT OF FIRST TRUST
CHRIS A. PETERSON, SENIOR VICE PRESIDENT OF FIRST TRUST
CHRIS BUSH, VICE PRESIDENT OF FIRST TRUST
ERIK RUSSO, VICE PRESIDENT OF FIRST TRUST
The Investment Committee members are primarily and jointly responsible for the
day-to-day management of the Funds. Each Investment Committee member has served
as a part of the portfolio management team of the Funds since 2019, except for
Chris Bush, who has served as a part of the portfolio management team since
2021, and Erik Russo, who has served as a member of the portfolio management
team since 2022.
Page 18
FIRST TRUST EXCHANGE-TRADED FUND VIII
UNDERSTANDING YOUR FUND EXPENSES
FEBRUARY 28, 2022 (UNAUDITED)
As a shareholder of First Trust CEF Income Opportunity ETF, First Trust
Municipal CEF Income Opportunity ETF, First Trust Low Duration Strategic Focus
ETF, First Trust Active Factor Large Cap ETF, First Trust Active Factor Mid Cap
ETF, or First Trust Active Factor Small Cap 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 February 28, 2022.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
----------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
SEPTEMBER 1, 2021 FEBRUARY 28, 2022 PERIOD PERIOD (a)
----------------------------------------------------------------------------------------------------------------------------
FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF) (b)
Actual $1,000.00 $ 920.60 0.85% $4.05
Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26
FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF) (b)
Actual $1,000.00 $ 896.00 0.75% $3.53
Hypothetical (5% return before expenses) $1,000.00 $1,021.08 0.75% $3.76
FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF) (b)
Actual $1,000.00 $ 983.10 0.20% $0.98
Hypothetical (5% return before expenses) $1,000.00 $1,023.80 0.20% $1.00
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
Actual $1,000.00 $ 969.30 0.55% $2.69
Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
Actual $1,000.00 $ 950.50 0.65% $3.14
Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM) (b)
Actual $1,000.00 $ 960.00 0.75% $3.64
Hypothetical (5% return before expenses) $1,000.00 $1,021.08 0.75% $3.76
(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (September
1, 2021 through February 28, 2022), multiplied by 181/365 (to reflect the
six-month period).
(b) Annualized expense ratio and expenses paid during the six-month period do
not include fees and expenses of the underlying funds in which the Fund
invests, or the underlying securities in which the Fund invests.
Page 19
FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CLOSED-END FUNDS -- 95.3%
CAPITAL MARKETS -- 95.3%
23,723 Adams Natural Resources Fund,
Inc. $ 460,701
41,218 Advent Convertible and Income
Fund 646,711
9,401 Angel Oak Dynamic Financial
Strategies Income Term Trust 178,619
21,374 Apollo Tactical Income Fund, Inc. 313,770
79,684 Ares Dynamic Credit Allocation
Fund, Inc. 1,172,152
28,147 Barings Global Short Duration
High Yield Fund 443,034
40,645 BlackRock Corporate High Yield
Fund, Inc. 439,373
31,134 BlackRock Health Sciences
Trust II 630,464
15,637 BlackRock Multi-Sector Income
Trust 253,632
24,629 BlackRock Science & Technology
Trust 1,070,130
30,813 BlackRock Science & Technology
Trust II 880,327
63,260 Blackstone Strategic Credit Fund 836,297
17,314 Central Securities Corp. 719,050
28,786 Cohen & Steers Infrastructure
Fund, Inc. 776,358
57,582 Cohen & Steers REIT and
Preferred and Income Fund, Inc. 1,417,669
71,994 DoubleLine Income Solutions
Fund 1,048,953
11,239 Eaton Vance Enhanced Equity
Income Fund 208,146
44,173 Eaton Vance Short Duration
Diversified Income Fund 513,732
52,518 Eaton Vance Tax-Advantaged
Dividend Income Fund 1,393,303
81,927 Eaton Vance Tax-Advantaged
Global Dividend Income Fund 1,602,492
45,113 Eaton Vance Tax-Advantaged
Global Dividend Opportunities
Fund 1,285,721
47,066 Gabelli Dividend & Income Trust
(The) 1,133,820
18,440 General American Investors Co.,
Inc. 752,168
44,992 John Hancock Tax-Advantaged
Dividend Income Fund 1,100,954
13,357 Lazard Global Total Return and
Income Fund, Inc. 246,704
39,136 Macquarie Global Infrastructure
Total Return Fund, Inc. 949,439
148,545 Nuveen Credit Strategies Income
Fund 912,066
37,426 Nuveen Multi-Asset Income Fund 612,289
88,597 Nuveen Preferred & Income
Opportunities Fund 757,504
36,479 Nuveen Real Asset Income and
Growth Fund 538,065
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
77,135 PGIM Global High Yield Fund,
Inc. $ 1,082,975
39,915 Pimco Dynamic Income Fund 965,943
20,067 PIMCO Dynamic Income
Opportunities Fund 350,972
33,893 Principal Real Estate Income
Fund 497,888
17,173 Royce Micro-Cap Trust, Inc. 178,256
41,289 Royce Value Trust, Inc. 720,493
26,233 Source Capital, Inc. 1,073,454
53,331 Tekla Healthcare Investors 1,067,153
54,834 Tekla Healthcare Opportunities
Fund 1,182,769
20,330 Tekla Life Sciences Investors 334,835
23,093 Templeton Emerging Markets
Fund 342,931
32,495 Tri-Continental Corp. 996,297
16,116 Virtus AllianzGI Artificial
Intelligence & Technology
Opportunities Fund 352,940
26,190 Virtus AllianzGI Convertible &
Income 2024 Target Term Fund 248,019
14,096 Virtus AllianzGI Equity &
Convertible Income Fund 370,725
49,433 Western Asset Emerging Markets
Debt Fund, Inc. 538,820
54,546 Western Asset High Income
Opportunity Fund, Inc. 253,094
21,105 Western Asset Inflation-Linked
Opportunities & Income Fund 260,225
-------------
TOTAL CLOSED-END FUNDS
-- 95.3% 34,111,432
(Cost $34,330,681) -------------
EXCHANGE-TRADED FUNDS -- 0.2%
CAPITAL MARKETS -- 0.2%
2,353 Financial Select Sector SPDR
Fund 90,638
(Cost $91,366) -------------
MONEY MARKET FUNDS -- 4.4%
1,560,264 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class - 0.01% (a) 1,560,264
(Cost $1,560,264) -------------
TOTAL INVESTMENTS -- 99.9% 35,762,334
(Cost $35,982,311)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 47,512
-------------
NET ASSETS -- 100.0% $ 35,809,846
=============
(a) Rate shown reflects yield as of February 28, 2022.
SPDR - Standard & Poor's Depository Receipts
Page 20 See Notes to Financial Statements
FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------------------------------------------------------
Closed-End Funds*............................... $ 34,111,432 $ 34,111,432 $ -- $ --
Exchange-Traded Funds*.......................... 90,638 90,638 -- --
Money Market Funds.............................. 1,560,264 1,560,264 -- --
---------------------------------------------------------------
Total Investments............................... $ 35,762,334 $ 35,762,334 $ -- $ --
===============================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 21
FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CLOSED-END FUNDS -- 80.4%
CAPITAL MARKETS -- 80.4%
28,861 BlackRock MuniAssets Fund, Inc. $ 392,798
28,833 BlackRock Municipal Income
Quality Trust 395,300
36,989 BlackRock Municipal Income
Trust 495,653
36,422 BlackRock MuniHoldings Fund,
Inc. 539,774
52,289 BlackRock MuniHoldings
Investment Quality Fund 679,757
67,017 BlackRock MuniHoldings Quality
Fund II, Inc. 837,713
45,158 BlackRock MuniYield Quality
Fund II, Inc. 571,700
44,973 BlackRock MuniYield Quality
Fund III, Inc. 602,188
16,169 Eaton Vance Municipal Bond
Fund 198,394
36,579 Eaton Vance Municipal Income
Trust 467,845
53,258 Invesco Municipal Trust 628,977
19,957 Invesco Pennsylvania Value
Municipal Income Trust 246,469
49,868 Invesco Quality Municipal
Income Trust 589,938
52,788 Invesco Trust for Investment
Grade Municipals 641,902
40,086 Invesco Value Municipal Income
Trust 606,100
4,950 MainStay MacKay DefinedTerm
Municipal Opportunities Fund 96,872
10,219 Neuberger Berman Municipal
Fund, Inc. 142,248
62,896 Nuveen AMT-Free Municipal
Credit Income Fund 985,580
42,619 Nuveen AMT-Free Quality
Municipal Income Fund 603,059
42,763 Nuveen Dynamic Municipal
Opportunities Fund 603,814
53,683 Nuveen Enhanced Municipal
Value Fund 737,604
14,608 Nuveen Intermediate Duration
Municipal Term Fund 208,018
15,390 Nuveen Intermediate Duration
Quality Municipal Term Fund 214,537
39,895 Nuveen Municipal Credit Income
Fund 615,580
51,133 Nuveen Municipal Credit
Opportunities Fund 729,157
29,058 Nuveen Municipal High Income
Opportunity Fund 399,838
30,407 Nuveen Municipal Value Fund,
Inc. 300,421
41,711 Nuveen Quality Municipal
Income Fund 602,724
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
39,802 Nuveen Select Tax-Free Income
Portfolio $ 591,458
9,052 Pioneer Municipal High Income
Opportunities Fund, Inc. 143,927
50,279 Western Asset Intermediate Muni
Fund, Inc. 457,036
45,394 Western Asset Municipal Partners
Fund, Inc. 652,312
-------------
TOTAL CLOSED-END FUNDS
-- 80.4% 15,978,693
(Cost $17,321,435) -------------
EXCHANGE-TRADED FUNDS -- 7.3%
CAPITAL MARKETS -- 7.3%
11,504 PIMCO Intermediate Municipal
Bond Active Exchange-Traded
Fund 628,924
13,771 VanEck High Yield Muni ETF 819,374
-------------
TOTAL EXCHANGE-TRADED FUNDS
-- 7.3% 1,448,298
(Cost $1,515,413) -------------
TOTAL INVESTMENTS -- 87.7% 17,426,991
(Cost $18,836,848)
NET OTHER ASSETS AND
LIABILITIES -- 12.3% 2,451,435
-------------
NET ASSETS -- 100.0% $ 19,878,426
=============
Page 22 See Notes to Financial Statements
FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------------------------------------------------------
Closed-End Funds*............................... $ 15,978,693 $ 15,978,693 $ -- $ --
Exchange-Traded Funds*.......................... 1,448,298 1,448,298 -- --
---------------------------------------------------------------
Total Investments............................... $ 17,426,991 $ 17,426,991 $ -- $ --
===============================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 23
FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
EXCHANGE-TRADED FUNDS -- 99.8%
CAPITAL MARKETS -- 99.8%
215,307 First Trust Emerging Markets
Local Currency Bond ETF (a) $ 6,590,547
2,147,409 First Trust Low Duration
Opportunities ETF (a) 106,361,168
979,783 First Trust Senior Loan Fund (a) 46,402,523
280,804 First Trust Tactical High Yield
ETF (a) 12,964,720
2,031,832 First Trust TCW Unconstrained
Plus Bond ETF (a) 52,502,539
787,571 iShares 0-5 Year Investment
Grade Corporate Bond ETF 39,543,940
-------------
TOTAL EXCHANGE-TRADED FUNDS
-- 99.8% 264,365,437
(Cost $270,788,187) -------------
MONEY MARKET FUNDS -- 0.2%
594,463 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class - 0.01% (b) 594,463
(Cost $594,463) -------------
TOTAL INVESTMENTS -- 100.0% 264,959,900
(Cost $271,382,650)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (37,562)
-------------
NET ASSETS -- 100.0% $ 264,922,338
=============
(a) Investment in an affiliated fund.
(b) Rate shown reflects yield as of February 28, 2022.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------------------------------------------------------
Exchange-Traded Funds*.......................... $ 264,365,437 $ 264,365,437 $ -- $ --
Money Market Funds.............................. 594,463 594,463 -- --
---------------------------------------------------------------
Total Investments............................... $ 264,959,900 $ 264,959,900 $ -- $ --
===============================================================
* See Portfolio of Investments for industry breakout.
Page 24 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 3.0%
153 General Dynamics Corp. $ 35,871
42 Huntington Ingalls Industries, Inc. 8,585
21 L3Harris Technologies, Inc. 5,298
36 Lockheed Martin Corp. 15,617
66 Northrop Grumman Corp. 29,181
132 Raytheon Technologies Corp. 13,556
99 Textron, Inc. 7,240
-------------
115,348
-------------
AIR FREIGHT & LOGISTICS -- 0.4%
60 Expeditors International of
Washington, Inc. 6,202
36 United Parcel Service, Inc.,
Class B 7,575
-------------
13,777
-------------
AUTO COMPONENTS -- 0.2%
187 BorgWarner, Inc. 7,669
-------------
BANKS -- 1.0%
126 Citizens Financial Group, Inc. 6,605
144 Comerica, Inc. 13,750
258 Zions Bancorp N.A. 18,290
-------------
38,645
-------------
BIOTECHNOLOGY -- 1.5%
183 AbbVie, Inc. 27,042
15 Amgen, Inc. 3,397
18 Biogen, Inc. (a) 3,798
183 Gilead Sciences, Inc. 11,053
18 Regeneron Pharmaceuticals,
Inc. (a) 11,131
-------------
56,421
-------------
BUILDING PRODUCTS -- 1.3%
188 A.O. Smith Corp. 12,893
102 Carrier Global Corp. 4,578
298 Johnson Controls International
PLC 19,358
153 Masco Corp. 8,574
39 Trane Technologies PLC 6,003
-------------
51,406
-------------
CAPITAL MARKETS -- 1.6%
197 Bank of New York Mellon (The)
Corp. 10,470
6 BlackRock, Inc. 4,463
78 Blackstone, Inc. 9,943
18 FactSet Research Systems, Inc. 7,310
15 MSCI, Inc. 7,525
51 Nasdaq, Inc. 8,729
39 T. Rowe Price Group, Inc. 5,638
105 Tradeweb Markets, Inc., Class A 8,870
-------------
62,948
-------------
CHEMICALS -- 1.2%
312 Corteva, Inc. 16,233
210 Dow, Inc. 12,382
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CHEMICALS (CONTINUED)
24 DuPont de Nemours, Inc. $ 1,857
102 LyondellBasell Industries N.V.,
Class A 9,918
18 Sherwin-Williams (The) Co. 4,736
-------------
45,126
-------------
COMMUNICATIONS EQUIPMENT
-- 3.1%
81 Arista Networks, Inc. (a) 9,941
681 Cisco Systems, Inc. 37,980
126 F5, Inc. (a) 25,307
1,010 Juniper Networks, Inc. 34,128
45 Motorola Solutions, Inc. 9,919
9 Ubiquiti, Inc. 2,285
-------------
119,560
-------------
CONSTRUCTION & ENGINEERING
-- 0.6%
205 Quanta Services, Inc. 22,333
-------------
CONSUMER FINANCE -- 0.8%
60 Ally Financial, Inc. 2,994
63 American Express Co. 12,256
78 Capital One Financial Corp. 11,955
45 Synchrony Financial 1,925
-------------
29,130
-------------
CONTAINERS & PACKAGING -- 1.1%
33 Avery Dennison Corp. 5,815
367 International Paper Co. 15,975
327 Sealed Air Corp. 21,952
-------------
43,742
-------------
DISTRIBUTORS -- 1.1%
114 Genuine Parts Co. 13,926
366 LKQ Corp. 17,184
24 Pool Corp. 11,006
-------------
42,116
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.8%
219 Berkshire Hathaway, Inc.,
Class B (a) 70,398
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.6%
1,082 AT&T, Inc. 25,633
600 Lumen Technologies, Inc. 6,216
568 Verizon Communications, Inc. 30,484
-------------
62,333
-------------
ELECTRIC UTILITIES -- 2.8%
157 Constellation Energy Corp. 7,219
312 Evergy, Inc. 19,472
720 Exelon Corp. 30,643
476 FirstEnergy Corp. 19,920
231 NRG Energy, Inc. 8,741
105 Pinnacle West Capital Corp. 7,437
575 PPL Corp. 15,048
-------------
108,480
-------------
See Notes to Financial Statements Page 25
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT -- 0.8%
69 Eaton Corp. PLC $ 10,646
123 Emerson Electric Co. 11,429
33 Rockwell Automation, Inc. 8,797
-------------
30,872
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.3%
108 CDW Corp. 18,626
84 Keysight Technologies, Inc. (a) 13,219
93 TE Connectivity Ltd. 13,246
15 Zebra Technologies Corp.,
Class A (a) 6,200
-------------
51,291
-------------
ENERGY EQUIPMENT & SERVICES
-- 0.1%
72 Baker Hughes Co. 2,115
-------------
ENTERTAINMENT -- 0.1%
33 Liberty Media Corp.-Liberty
Formula One, Class C (a) 2,004
-------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.7%
18 AvalonBay Communities, Inc. 4,295
105 Camden Property Trust 17,337
72 Duke Realty Corp. 3,816
75 Equity Residential 6,398
99 Extra Space Storage, Inc. 18,627
162 Iron Mountain, Inc. 7,967
84 Mid-America Apartment
Communities, Inc. 17,187
45 Prologis, Inc. 6,563
60 Public Storage 21,301
141 Regency Centers Corp. 9,290
348 VICI Properties, Inc. 9,730
548 Weyerhaeuser Co. 21,306
-------------
143,817
-------------
FOOD & STAPLES RETAILING -- 2.7%
393 Albertsons Cos., Inc., Class A 11,456
60 Costco Wholesale Corp. 31,155
696 Kroger (The) Co. 32,573
45 Walgreens Boots Alliance, Inc. 2,074
205 Walmart, Inc. 27,708
-------------
104,966
-------------
FOOD PRODUCTS -- 1.4%
156 General Mills, Inc. 10,519
153 J.M. Smucker (The) Co. 20,617
246 Tyson Foods, Inc., Class A 22,794
-------------
53,930
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 0.7%
291 Hologic, Inc. (a) 20,711
9 IDEXX Laboratories, Inc. (a) 4,791
18 Masimo Corp. (a) 2,834
-------------
28,336
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
-- 4.7%
81 Anthem, Inc. $ 36,600
75 Cardinal Health, Inc. 4,051
96 Centene Corp. (a) 7,931
21 Cigna Corp. 4,993
298 CVS Health Corp. 30,888
48 HCA Healthcare, Inc. 12,015
159 Henry Schein, Inc. (a) 13,734
15 Humana, Inc. 6,515
69 Laboratory Corp. of America
Holdings (a) 18,717
12 McKesson Corp. 3,300
138 Quest Diagnostics, Inc. 18,115
36 UnitedHealth Group, Inc. 17,131
42 Universal Health Services, Inc.,
Class B 6,045
-------------
180,035
-------------
HOTELS, RESTAURANTS & LEISURE
-- 0.5%
3 Booking Holdings, Inc. (a) 6,517
15 Domino's Pizza, Inc. 6,483
33 Expedia Group, Inc. (a) 6,471
-------------
19,471
-------------
HOUSEHOLD DURABLES -- 2.0%
63 D.R. Horton, Inc. 5,380
42 Lennar Corp., Class A 3,775
57 Mohawk Industries, Inc. (a) 8,025
67 Newell Brands, Inc. 1,591
9 NVR, Inc. (a) 44,626
169 PulteGroup, Inc. 8,393
27 Whirlpool Corp. 5,434
-------------
77,224
-------------
HOUSEHOLD PRODUCTS -- 0.5%
117 Procter & Gamble (The) Co. 18,239
-------------
INDUSTRIAL CONGLOMERATES -- 0.5%
129 3M Co. 19,176
-------------
INSURANCE -- 3.9%
372 Aflac, Inc. 22,726
109 Allstate (The) Corp. 13,337
36 Aon PLC, Class A 10,517
144 Brown & Brown, Inc. 9,736
51 Chubb Ltd. 10,386
138 Cincinnati Financial Corp. 16,945
159 CNA Financial Corp. 7,266
24 Globe Life, Inc. 2,423
219 Loews Corp. 13,433
87 Marsh & McLennan Cos., Inc. 13,521
33 MetLife, Inc. 2,229
42 Progressive (The) Corp. 4,449
120 Prudential Financial, Inc. 13,399
27 Travelers (The) Cos., Inc. 4,639
205 Unum Group 5,724
-------------
150,730
-------------
Page 26 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERACTIVE MEDIA & SERVICES
-- 4.8%
60 Alphabet, Inc., Class A (a) $ 162,068
102 Meta Platforms, Inc., Class A (a) 21,525
-------------
183,593
-------------
INTERNET & DIRECT MARKETING
RETAIL -- 2.0%
24 Amazon.com, Inc. (a) 73,710
97 eBay, Inc. 5,295
-------------
79,005
-------------
IT SERVICES -- 3.7%
96 Accenture PLC, Class A 30,338
12 Automatic Data Processing, Inc. 2,453
299 Cognizant Technology Solutions
Corp., Class A 25,753
15 EPAM Systems, Inc. (a) 3,116
69 Gartner, Inc. (a) 19,349
192 International Business Machines
Corp. 23,522
90 Jack Henry & Associates, Inc. 15,912
27 Paychex, Inc. 3,215
995 Western Union (The) Co. 18,089
-------------
141,747
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.7%
66 Agilent Technologies, Inc. 8,604
39 Danaher Corp. 10,702
9 Mettler-Toledo International,
Inc. (a) 12,679
78 PerkinElmer, Inc. 14,010
24 Waters Corp. (a) 7,601
27 West Pharmaceutical Services, Inc. 10,451
-------------
64,047
-------------
MACHINERY -- 2.2%
87 Cummins, Inc. 17,758
96 Dover Corp. 15,059
102 Fortive Corp. 6,604
75 Ingersoll Rand, Inc. 3,789
27 Otis Worldwide Corp. 2,115
147 Pentair PLC 8,513
66 Snap-on, Inc. 13,872
57 Stanley Black & Decker, Inc. 9,274
99 Westinghouse Air Brake
Technologies Corp. 9,189
-------------
86,173
-------------
MEDIA -- 1.6%
235 Comcast Corp., Class A 10,989
363 DISH Network Corp., Class A (a) 11,601
304 Fox Corp., Class A 12,716
476 Interpublic Group of (The) Cos., Inc. 17,517
63 Omnicom Group, Inc. 5,285
123 Paramount Global, Class B 3,765
-------------
61,873
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
METALS & MINING -- 1.4%
57 Alcoa Corp. $ 4,294
141 Newmont Corp. 9,334
204 Nucor Corp. 26,851
210 Steel Dynamics, Inc. 14,822
-------------
55,301
-------------
MULTILINE RETAIL -- 1.3%
33 Dollar General Corp. 6,545
101 Dollar Tree, Inc. (a) 14,350
139 Target Corp. 27,768
-------------
48,663
-------------
MULTI-UTILITIES -- 0.8%
237 Consolidated Edison, Inc. 20,327
333 NiSource, Inc. 9,634
30 Public Service Enterprise Group,
Inc. 1,945
-------------
31,906
-------------
OIL, GAS & CONSUMABLE FUELS
-- 2.9%
138 Chevron Corp. 19,872
515 Coterra Energy, Inc. 12,015
258 Devon Energy Corp. 15,364
24 EOG Resources, Inc. 2,758
525 Exxon Mobil Corp. 41,171
530 Kinder Morgan, Inc. 9,222
372 Williams (The) Cos., Inc. 11,636
-------------
112,038
-------------
PHARMACEUTICALS -- 3.0%
219 Bristol-Myers Squibb Co. 15,039
108 Eli Lilly & Co. 26,995
129 Johnson & Johnson 21,229
938 Pfizer, Inc. 44,030
54 Zoetis, Inc. 10,457
-------------
117,750
-------------
PROFESSIONAL SERVICES -- 0.7%
108 Booz Allen Hamilton Holding
Corp. 8,714
165 Robert Half International, Inc. 19,848
-------------
28,562
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.7%
289 CBRE Group, Inc., Class A (a) 27,990
-------------
ROAD & RAIL -- 0.3%
42 Old Dominion Freight Line, Inc. 13,189
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.6%
33 Advanced Micro Devices, Inc. (a) 4,070
96 Applied Materials, Inc. 12,883
12 Broadcom, Inc. 7,049
531 Intel Corp. 25,329
30 KLA Corp. 10,455
9 Lam Research Corp. 5,052
132 NVIDIA Corp. 32,188
See Notes to Financial Statements Page 27
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
96 Qorvo, Inc. (a) $ 13,131
99 QUALCOMM, Inc. 17,027
99 Skyworks Solutions, Inc. 13,679
96 Teradyne, Inc. 11,320
147 Texas Instruments, Inc. 24,989
-------------
177,172
-------------
SOFTWARE -- 6.9%
15 Adobe, Inc. (a) 7,015
57 Cadence Design Systems, Inc. (a) 8,632
27 Datadog, Inc., Class A (a) 4,350
9 HubSpot, Inc. (a) 4,725
27 Intuit, Inc. 12,808
527 Microsoft Corp. 157,462
495 NortonLifeLock, Inc. 14,345
277 Oracle Corp. 21,044
6 Palo Alto Networks, Inc. (a) 3,565
147 SS&C Technologies Holdings,
Inc. 11,021
36 Synopsys, Inc. (a) 11,246
84 VMware, Inc., Class A 9,855
-------------
266,068
-------------
SPECIALTY RETAIL -- 4.0%
42 Advance Auto Parts, Inc. 8,588
21 AutoZone, Inc. (a) 39,131
153 Bath & Body Works, Inc. 8,166
141 Best Buy Co., Inc. 13,626
84 Gap (The), Inc. 1,222
78 Home Depot (The), Inc. 24,635
108 Lowe's Cos., Inc. 23,875
24 O'Reilly Automotive, Inc. (a) 15,582
75 Tractor Supply Co. 15,284
37 Victoria's Secret & Co. (a) 1,984
24 Williams-Sonoma, Inc. 3,477
-------------
155,570
-------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 9.2%
1,635 Apple, Inc. 269,971
1,181 HP, Inc. 40,579
119 NetApp, Inc. 9,328
201 Seagate Technology Holdings
PLC 20,735
728 Xerox Holdings Corp. 14,349
-------------
354,962
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.7%
57 NIKE, Inc., Class B 7,783
51 Ralph Lauren Corp. 6,734
276 Tapestry, Inc. 11,288
78 Under Armour, Inc., Class A (a) 1,396
-------------
27,201
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
TOBACCO -- 1.1%
274 Altria Group, Inc. $ 14,054
291 Philip Morris International, Inc. 29,411
-------------
43,465
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.2%
39 Fastenal Co. 2,007
12 W.W. Grainger, Inc. 5,725
-------------
7,732
-------------
TOTAL COMMON STOCKS
-- 99.8% 3,855,645
(Cost $3,709,371) -------------
MONEY MARKET FUNDS -- 0.1%
3,516 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class - 0.01% (b) 3,516
(Cost $3,516) -------------
TOTAL INVESTMENTS -- 99.9% 3,859,161
(Cost $3,712,887)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 5,112
-------------
NET ASSETS -- 100.0% $ 3,864,273
=============
(a) Non-income producing security.
(b) Rate shown reflects yield as of February 28, 2022.
Page 28 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------------------------------------------------------
Common Stocks*.................................. $ 3,855,645 $ 3,855,645 $ -- $ --
Money Market Funds.............................. 3,516 3,516 -- --
---------------------------------------------------------------
Total Investments............................... $ 3,859,161 $ 3,859,161 $ -- $ --
===============================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 29
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS -- 99.6%
AEROSPACE & DEFENSE -- 0.6%
20 Curtiss-Wright Corp. $ 2,950
62 Huntington Ingalls Industries, Inc. 12,673
-------------
15,623
-------------
AUTOMOBILES -- 0.3%
72 Thor Industries, Inc. 6,516
-------------
BANKS -- 3.1%
310 Associated Banc-Corp. 7,561
316 Cathay General Bancorp 14,861
142 Comerica, Inc. 13,560
60 Cullen/Frost Bankers, Inc. 8,444
643 F.N.B. Corp. 8,635
82 Popular, Inc. 7,532
420 Umpqua Holdings Corp. 8,967
90 Zions Bancorp N.A. 6,380
-------------
75,940
-------------
BIOTECHNOLOGY -- 1.3%
94 Emergent BioSolutions, Inc. (a) 3,890
457 Exelixis, Inc. (a) 9,382
38 Halozyme Therapeutics, Inc. (a) 1,348
112 United Therapeutics Corp. (a) 18,614
-------------
33,234
-------------
BUILDING PRODUCTS -- 3.7%
36 A.O. Smith Corp. 2,469
48 Advanced Drainage Systems, Inc. 5,603
426 Builders FirstSource, Inc. (a) 31,703
84 Carlisle Cos., Inc. 19,942
208 Owens Corning 19,383
12 Simpson Manufacturing Co., Inc. 1,422
138 UFP Industries, Inc. 11,833
-------------
92,355
-------------
CAPITAL MARKETS -- 2.3%
42 Affiliated Managers Group, Inc. 5,811
38 FactSet Research Systems, Inc. 15,431
128 Houlihan Lokey, Inc. 13,166
114 Janus Henderson Group PLC 3,827
246 Jefferies Financial Group, Inc. 8,743
32 Morningstar, Inc. 8,981
-------------
55,959
-------------
CHEMICALS -- 2.1%
40 Balchem Corp. 5,534
90 Cabot Corp. 6,584
428 Element Solutions, Inc. 10,520
138 Huntsman Corp. 5,581
236 Olin Corp. 12,156
48 Sensient Technologies Corp. 3,942
64 Westlake Corp. 7,060
-------------
51,377
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.2%
152 CoreCivic, Inc. (a) 1,385
1,221 GEO Group (The), Inc. (a) 7,277
294 HNI Corp. 11,963
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
50 Tetra Tech, Inc. $ 7,938
-------------
28,563
-------------
COMMUNICATIONS EQUIPMENT
-- 2.9%
384 Ciena Corp. (a) 26,274
52 F5, Inc. (a) 10,444
461 Juniper Networks, Inc. 15,577
52 Lumentum Holdings, Inc. (a) 5,141
447 NetScout Systems, Inc. (a) 13,915
-------------
71,351
-------------
CONSTRUCTION & ENGINEERING
-- 2.4%
114 AECOM 8,283
128 Dycom Industries, Inc. (a) 11,144
92 EMCOR Group, Inc. 10,630
82 MasTec, Inc. (a) 6,458
284 MDU Resources Group, Inc. 7,603
134 Quanta Services, Inc. 14,598
-------------
58,716
-------------
CONSUMER FINANCE -- 1.5%
8 Credit Acceptance Corp. (a) 4,401
663 Navient Corp. 11,675
28 OneMain Holdings, Inc. 1,428
939 SLM Corp. 18,498
-------------
36,002
-------------
CONTAINERS & PACKAGING -- 0.4%
88 Greif, Inc., Class A 5,059
82 Sealed Air Corp. 5,505
-------------
10,564
-------------
DISTRIBUTORS -- 0.4%
24 Pool Corp. 11,006
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.7%
172 Adtalem Global Education,
Inc. (a) 3,574
20 Graham Holdings Co., Class B 12,023
46 H&R Block, Inc. 1,141
-------------
16,738
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
190 Voya Financial, Inc. 12,797
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
455 EchoStar Corp., Class A (a) 11,075
443 Lumen Technologies, Inc. 4,589
-------------
15,664
-------------
ELECTRIC UTILITIES -- 1.1%
296 Hawaiian Electric Industries, Inc. 12,130
38 NRG Energy, Inc. 1,438
254 Portland General Electric Co. 12,896
-------------
26,464
-------------
Page 30 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT -- 1.7%
74 Acuity Brands, Inc. $ 13,495
136 Atkore, Inc. (a) 13,833
420 GrafTech International Ltd. 4,234
184 nVent Electric PLC 6,243
32 Regal Rexnord Corp. 5,131
-------------
42,936
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS -- 3.8%
250 Arrow Electronics, Inc. (a) 30,470
194 Avnet, Inc. 8,162
128 II-VI, Inc. (a) 8,891
178 TD SYNNEX Corp. 18,126
66 Trimble, Inc. (a) 4,603
625 Vishay Intertechnology, Inc. 11,994
30 Zebra Technologies Corp.,
Class A (a) 12,400
-------------
94,646
-------------
ENTERTAINMENT -- 0.2%
100 World Wrestling Entertainment,
Inc., Class A 5,926
-------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 8.0%
132 American Homes 4 Rent, Class A 5,017
282 Brixmor Property Group, Inc. 7,084
138 Camden Property Trust 22,785
268 Corporate Office Properties Trust 7,024
408 Cousins Properties, Inc. 15,761
268 CubeSmart 12,920
44 EastGroup Properties, Inc. 8,394
214 First Industrial Realty Trust, Inc. 12,322
332 Highwoods Properties, Inc. 14,475
232 Independence Realty Trust, Inc. 5,863
230 Iron Mountain, Inc. 11,311
234 Kilroy Realty Corp. 16,759
144 Life Storage, Inc. 18,229
106 National Storage Affiliates Trust 6,177
284 Omega Healthcare Investors, Inc. 8,000
322 PotlatchDeltic Corp. 17,678
406 Sabra Health Care REIT, Inc. 5,453
17 SL Green Realty Corp. 1,352
-------------
196,604
-------------
FOOD & STAPLES RETAILING -- 1.8%
356 Albertsons Cos., Inc., Class A 10,377
254 BJ's Wholesale Club Holdings,
Inc. (a) 15,969
597 Sprouts Farmers Market, Inc. (a) 17,003
-------------
43,349
-------------
FOOD PRODUCTS -- 1.4%
615 Flowers Foods, Inc. 16,857
62 J.M. Smucker (The) Co. 8,354
258 TreeHouse Foods, Inc. (a) 10,127
-------------
35,338
-------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
GAS UTILITIES -- 1.5%
260 National Fuel Gas Co. $ 16,182
551 UGI Corp. 21,181
-------------
37,363
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 2.5%
114 DENTSPLY SIRONA, Inc. 6,172
545 Envista Holdings Corp. (a) 26,160
66 Haemonetics Corp. (a) 3,809
34 ICU Medical, Inc. (a) 8,049
18 Masimo Corp. (a) 2,834
10 Penumbra, Inc. (a) 2,217
52 Quidel Corp. (a) 5,501
16 Shockwave Medical, Inc. (a) 2,836
36 STAAR Surgical Co. (a) 2,856
18 Tandem Diabetes Care, Inc. (a) 2,027
-------------
62,461
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 4.7%
28 Amedisys, Inc. (a) 4,487
124 AMN Healthcare Services, Inc. (a) 13,161
30 Apollo Medical Holdings, Inc. (a) 1,444
28 Cardinal Health, Inc. 1,512
10 Chemed Corp. 4,783
2 DaVita, Inc. (a) 226
26 Encompass Health Corp. 1,717
170 Henry Schein, Inc. (a) 14,685
38 LHC Group, Inc. (a) 5,174
122 Molina Healthcare, Inc. (a) 37,438
78 Patterson Cos., Inc. 2,332
334 Premier, Inc., Class A 12,004
78 Progyny, Inc. (a) 3,070
82 Tenet Healthcare Corp. (a) 7,051
50 Universal Health Services, Inc.,
Class B 7,196
-------------
116,280
-------------
HEALTH CARE TECHNOLOGY -- 0.5%
20 Inspire Medical Systems, Inc. (a) 4,881
48 Omnicell, Inc. (a) 6,206
-------------
11,087
-------------
HOTELS, RESTAURANTS & LEISURE
-- 1.3%
100 Choice Hotels International, Inc. 14,435
84 Papa John's International, Inc. 8,973
88 Wyndham Hotels & Resorts, Inc. 7,604
-------------
31,012
-------------
HOUSEHOLD DURABLES -- 2.0%
66 Meritage Homes Corp. (a) 6,507
58 Mohawk Industries, Inc. (a) 8,165
232 PulteGroup, Inc. 11,521
120 Toll Brothers, Inc. 6,511
314 Tri Pointe Homes, Inc. (a) 7,024
52 Whirlpool Corp. 10,466
-------------
50,194
-------------
See Notes to Financial Statements Page 31
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE -- 5.8%
222 American Financial Group, Inc. $ 30,057
52 Assurant, Inc. 8,825
272 CNA Financial Corp. 12,430
781 CNO Financial Group, Inc. 18,877
102 Fidelity National Financial, Inc. 4,859
150 First American Financial Corp. 10,056
20 Hanover Insurance Group (The),
Inc. 2,790
114 Loews Corp. 6,993
230 Mercury General Corp. 12,650
889 Old Republic International Corp. 23,425
469 Unum Group 13,095
-------------
144,057
-------------
INTERACTIVE MEDIA & SERVICES
-- 0.4%
98 Ziff Davis, Inc. (a) 9,859
-------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.3%
881 Qurate Retail, Inc., Series A 4,854
44 Revolve Group, Inc. (a) 2,087
-------------
6,941
-------------
IT SERVICES -- 1.0%
82 Alliance Data Systems Corp. 5,531
38 Concentrix Corp. 7,596
92 Genpact Ltd. 3,849
82 Maximus, Inc. 6,467
128 Western Union (The) Co. 2,327
-------------
25,770
-------------
LEISURE PRODUCTS -- 0.9%
80 Brunswick Corp. 7,641
316 Mattel, Inc. (a) 7,894
62 Polaris, Inc. 7,534
-------------
23,069
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.6%
18 Bio-Rad Laboratories, Inc.,
Class A (a) 11,267
18 Bio-Techne Corp. 7,549
18 Bruker Corp. 1,267
16 Charles River Laboratories
International, Inc. (a) 4,659
22 Medpace Holdings, Inc. (a) 3,365
28 Repligen Corp. (a) 5,508
18 West Pharmaceutical Services, Inc. 6,967
-------------
40,582
-------------
MACHINERY -- 3.2%
164 AGCO Corp. 19,706
74 Crane Co. 7,480
132 Evoqua Water Technologies
Corp. (a) 5,631
42 Flowserve Corp. 1,276
16 Lincoln Electric Holdings, Inc. 2,039
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
MACHINERY (CONTINUED)
136 Oshkosh Corp. $ 15,101
60 Snap-on, Inc. 12,611
156 Terex Corp. 6,440
60 Watts Water Technologies, Inc.,
Class A 8,637
-------------
78,921
-------------
MEDIA -- 1.9%
84 AMC Networks, Inc., Class A (a) 3,482
276 Interpublic Group of (The) Cos.,
Inc. 10,157
90 John Wiley & Sons, Inc., Class A 4,528
72 Nexstar Media Group, Inc.,
Class A 13,323
695 TEGNA, Inc. 15,929
-------------
47,419
-------------
METALS & MINING -- 3.2%
260 Alcoa Corp. 19,589
224 Commercial Metals Co. 8,635
152 Reliance Steel & Aluminum Co. 29,012
152 Steel Dynamics, Inc. 10,728
204 United States Steel Corp. 5,551
100 Worthington Industries, Inc. 5,702
-------------
79,217
-------------
MULTILINE RETAIL -- 0.8%
46 Dillard's, Inc., Class A 11,533
280 Macy's, Inc. 7,257
-------------
18,790
-------------
OIL, GAS & CONSUMABLE FUELS
-- 2.2%
18 Chesapeake Energy Corp. 1,390
589 Coterra Energy, Inc. 13,741
703 Marathon Oil Corp. 15,860
26 PDC Energy, Inc. 1,678
180 Targa Resources Corp. 11,767
338 World Fuel Services Corp. 9,579
-------------
54,015
-------------
PAPER & FOREST PRODUCTS -- 1.1%
378 Louisiana-Pacific Corp. 27,197
-------------
PERSONAL PRODUCTS -- 0.8%
150 Edgewell Personal Care Co. 5,352
292 Nu Skin Enterprises, Inc., Class A 13,546
-------------
18,898
-------------
PHARMACEUTICALS -- 0.8%
48 Jazz Pharmaceuticals PLC (a) 6,596
222 Prestige Consumer Healthcare,
Inc. (a) 13,216
-------------
19,812
-------------
PROFESSIONAL SERVICES -- 3.0%
110 ASGN, Inc. (a) 12,187
38 CACI International, Inc.,
Class A (a) 10,632
56 Exponent, Inc. 5,306
Page 32 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES (CONTINUED)
64 FTI Consulting, Inc. (a) $ 9,344
12 Insperity, Inc. 1,079
150 ManpowerGroup, Inc. 15,942
116 Robert Half International, Inc. 13,954
76 TriNet Group, Inc. (a) 6,636
-------------
75,080
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 1.5%
146 Jones Lang LaSalle, Inc. (a) 35,948
-------------
ROAD & RAIL -- 1.7%
312 Knight-Swift Transportation
Holdings, Inc. 16,997
176 Ryder System, Inc. 13,876
242 Schneider National, Inc., Class B 6,321
80 Werner Enterprises, Inc. 3,477
-------------
40,671
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.9%
236 Amkor Technology, Inc. 5,350
234 Cirrus Logic, Inc. (a) 20,328
224 Lattice Semiconductor Corp. (a) 14,027
126 MaxLinear, Inc. (a) 7,730
54 MKS Instruments, Inc. 8,132
12 Silicon Laboratories, Inc. (a) 1,844
60 Synaptics, Inc. (a) 13,706
-------------
71,117
-------------
SOFTWARE -- 2.6%
18 Altair Engineering, Inc.,
Class A (a) 1,196
32 CDK Global, Inc. 1,451
98 CommVault Systems, Inc. (a) 6,165
30 Consensus Cloud Solutions,
Inc. (a) 1,670
44 Dolby Laboratories, Inc., Class A 3,304
8 Fair Isaac Corp. (a) 3,770
84 InterDigital, Inc. 5,411
110 Manhattan Associates, Inc. (a) 14,705
164 NortonLifeLock, Inc. 4,753
26 Sprout Social, Inc., Class A (a) 1,693
46 SPS Commerce, Inc. (a) 5,973
158 Teradata Corp. (a) 7,898
48 Workiva, Inc. (a) 5,054
-------------
63,043
-------------
SPECIALTY RETAIL -- 5.2%
314 Aaron's (The) Co., Inc. 6,591
14 Advance Auto Parts, Inc. 2,863
268 AutoNation, Inc. (a) 30,729
156 Bath & Body Works, Inc. 8,326
290 Dick's Sporting Goods, Inc. 30,450
244 Foot Locker, Inc. 7,715
84 Murphy USA, Inc. 15,182
86 Penske Automotive Group, Inc. 8,453
76 Victoria's Secret & Co. (a) 4,076
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
88 Williams-Sonoma, Inc. $ 12,747
-------------
127,132
-------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.7%
60 NetApp, Inc. 4,703
675 Xerox Holdings Corp. 13,304
-------------
18,007
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.4%
104 Capri Holdings Ltd. (a) 7,045
70 Carter's, Inc. 6,768
74 Crocs, Inc. (a) 6,196
20 Deckers Outdoor Corp. (a) 5,773
182 Levi Strauss & Co., Class A 4,122
10 Ralph Lauren Corp. 1,320
96 Tapestry, Inc. 3,926
-------------
35,150
-------------
THRIFTS & MORTGAGE FINANCE
-- 1.3%
174 Essent Group Ltd. 7,687
527 MGIC Investment Corp. 8,000
122 New York Community Bancorp,
Inc. 1,408
22 PennyMac Financial Services, Inc. 1,270
304 Radian Group, Inc. 7,266
40 Walker & Dunlop, Inc. 5,534
-------------
31,165
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.8%
16 MSC Industrial Direct Co., Inc.,
Class A 1,240
26 SiteOne Landscape Supply,
Inc. (a) 4,483
236 Univar Solutions, Inc. (a) 7,247
26 Watsco, Inc. 7,100
-------------
20,070
-------------
TOTAL COMMON STOCKS -- 99.6% 2,457,995
(Cost $2,448,716) -------------
MONEY MARKET FUNDS -- 0.3%
7,243 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class - 0.01% (b) 7,243
(Cost $7,243) -------------
TOTAL INVESTMENTS -- 99.9% 2,465,238
(Cost $2,455,959)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 1,620
-------------
NET ASSETS -- 100.0% $ 2,466,858
=============
(a) Non-income producing security.
(b) Rate shown reflects yield as of February 28, 2022.
See Notes to Financial Statements Page 33
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------------------------------------------------------
Common Stocks*.................................. $ 2,457,995 $ 2,457,995 $ -- $ --
Money Market Funds.............................. 7,243 7,243 -- --
---------------------------------------------------------------
Total Investments............................... $ 2,465,238 $ 2,465,238 $ -- $ --
===============================================================
* See Portfolio of Investments for industry breakout.
Page 34 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS -- 99.6%
AUTO COMPONENTS -- 0.8%
78 Gentherm, Inc. (a) $ 6,617
146 Standard Motor Products, Inc. 6,382
98 XPEL, Inc. (a) (b) 7,115
-------------
20,114
-------------
BANKS -- 6.4%
218 Atlantic Union Bankshares Corp. 8,857
324 Berkshire Hills Bancorp, Inc. 10,076
130 Customers Bancorp, Inc. (a) 8,001
473 F.N.B. Corp. 6,352
58 First Financial Bancorp 1,426
114 Hancock Whitney Corp. 6,348
573 Hilltop Holdings, Inc. 17,717
150 HomeStreet, Inc. 7,719
1,221 Hope Bancorp, Inc. 20,708
485 Northwest Bancshares, Inc. 6,829
230 Popular, Inc. 21,126
80 Preferred Bank 6,278
210 ServisFirst Bancshares, Inc. 18,350
86 Triumph Bancorp, Inc. (a) 8,628
421 WesBanco, Inc. 15,383
-------------
163,798
-------------
BEVERAGES -- 0.2%
88 Celsius Holdings, Inc. (a) 5,622
-------------
BIOTECHNOLOGY -- 3.7%
272 Alkermes PLC (a) 6,762
184 AnaptysBio, Inc. (a) 5,625
68 Anika Therapeutics, Inc. (a) 2,210
226 Avid Bioservices, Inc. (a) 4,628
80 Blueprint Medicines Corp. (a) 4,844
190 Eagle Pharmaceuticals, Inc. (a) 9,004
120 Emergent BioSolutions, Inc. (a) 4,966
100 Enanta Pharmaceuticals, Inc. (a) 7,042
242 Halozyme Therapeutics, Inc. (a) 8,584
737 Ironwood Pharmaceuticals,
Inc. (a) 7,930
132 iTeos Therapeutics, Inc. (a) 4,769
256 Kezar Life Sciences, Inc. (a) 3,802
64 Natera, Inc. (a) 4,208
260 Sage Therapeutics, Inc. (a) 9,456
447 Vanda Pharmaceuticals, Inc. (a) 5,078
134 Vericel Corp. (a) 5,522
-------------
94,430
-------------
BUILDING PRODUCTS -- 0.8%
22 Advanced Drainage Systems, Inc. 2,568
178 Apogee Enterprises, Inc. 8,022
290 Resideo Technologies, Inc. (a) 7,465
16 UFP Industries, Inc. 1,372
-------------
19,427
-------------
CAPITAL MARKETS -- 1.9%
353 Donnelley Financial Solutions,
Inc. (a) 11,332
28 Evercore, Inc., Class A 3,556
458 Hercules Capital, Inc. 8,230
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
118 Houlihan Lokey, Inc. $ 12,138
30 Moelis & Co., Class A 1,446
24 Piper Sandler Cos. 3,552
176 Virtu Financial, Inc., Class A 6,174
6 Virtus Investment Partners, Inc. 1,444
-------------
47,872
-------------
CHEMICALS -- 1.0%
300 AdvanSix, Inc. 12,018
94 Aspen Aerogels, Inc. (a) 2,783
96 Cabot Corp. 7,023
56 Sensient Technologies Corp. 4,599
-------------
26,423
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.7%
278 ABM Industries, Inc. 12,463
882 GEO Group (The), Inc. (a) 5,257
30 HNI Corp. 1,220
-------------
18,940
-------------
COMMUNICATIONS EQUIPMENT
-- 2.0%
294 ADTRAN, Inc. 6,053
270 Calix, Inc. (a) 14,672
68 Clearfield, Inc. (a) 4,360
439 NETGEAR, Inc. (a) 11,682
495 NetScout Systems, Inc. (a) 15,409
-------------
52,176
-------------
CONSTRUCTION & ENGINEERING
-- 2.4%
156 Comfort Systems USA, Inc. 13,413
16 Dycom Industries, Inc. (a) 1,393
78 EMCOR Group, Inc. 9,012
218 MYR Group, Inc. (a) 19,565
555 Sterling Construction Co., Inc. (a) 16,389
52 WillScot Mobile Mini Holdings
Corp. (a) 1,848
-------------
61,620
-------------
CONSUMER FINANCE -- 0.9%
854 Navient Corp. 15,039
88 Nelnet, Inc., Class A 7,088
-------------
22,127
-------------
CONTAINERS & PACKAGING -- 0.3%
286 Ranpak Holdings Corp. (a) 6,921
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.1%
124 Carriage Services, Inc. 6,102
8 Graham Holdings Co., Class B 4,809
52 H&R Block, Inc. 1,290
541 Laureate Education, Inc. 5,864
904 Perdoceo Education Corp. (a) 9,465
-------------
27,530
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
455 Cannae Holdings, Inc. (a) 12,217
-------------
See Notes to Financial Statements Page 35
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
481 EchoStar Corp., Class A (a) $ 11,707
80 IDT Corp., Class B (a) 2,885
-------------
14,592
-------------
ELECTRIC UTILITIES -- 1.1%
180 Hawaiian Electric Industries, Inc. 7,376
204 Otter Tail Corp. 12,620
164 Portland General Electric Co. 8,326
-------------
28,322
-------------
ELECTRICAL EQUIPMENT -- 1.4%
16 Acuity Brands, Inc. 2,918
92 Atkore, Inc. (a) 9,357
132 Encore Wire Corp. 15,367
18 Generac Holdings, Inc. (a) 5,679
212 GrafTech International Ltd. 2,137
-------------
35,458
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS -- 2.6%
18 Badger Meter, Inc. 1,789
503 Benchmark Electronics, Inc. 13,148
36 CTS Corp. 1,366
14 Insight Enterprises, Inc. (a) 1,456
188 Knowles Corp. (a) 4,095
306 Methode Electronics, Inc. 13,966
14 OSI Systems, Inc. (a) 1,129
60 PC Connection, Inc. 2,927
134 Plexus Corp. (a) 10,917
70 Sanmina Corp. (a) 2,785
663 Vishay Intertechnology, Inc. 12,723
-------------
66,301
-------------
ENERGY EQUIPMENT & SERVICES
-- 0.4%
34 Nabors Industries Ltd. (a) 4,268
359 Patterson-UTI Energy, Inc. 5,181
-------------
9,449
-------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.0%
94 Brandywine Realty Trust 1,253
601 City Office REIT, Inc. 10,349
118 First Industrial Realty Trust, Inc. 6,794
92 Gladstone Land Corp. 2,750
579 Independence Realty Trust, Inc. 14,631
112 Industrial Logistics Properties
Trust 2,505
266 iStar, Inc. 6,682
475 LXP Industrial Trust 7,344
254 National Health Investors, Inc. 13,541
286 National Storage Affiliates Trust 16,665
70 NexPoint Residential Trust, Inc. 5,948
228 Office Properties Income Trust 5,711
72 Piedmont Office Realty Trust,
Inc., Class A 1,227
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
262 PotlatchDeltic Corp. $ 14,384
20 PS Business Parks, Inc. 3,186
425 Sabra Health Care REIT, Inc. 5,708
96 Tanger Factory Outlet Centers,
Inc. 1,601
282 UMH Properties, Inc. 6,503
-------------
126,782
-------------
FOOD & STAPLES RETAILING -- 2.8%
128 BJ's Wholesale Club Holdings,
Inc. (a) 8,047
276 Ingles Markets, Inc., Class A 22,693
679 SpartanNash Co. 19,107
58 Sprouts Farmers Market, Inc. (a) 1,652
134 United Natural Foods, Inc. (a) 5,391
240 Weis Markets, Inc. 14,801
-------------
71,691
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 5.3%
507 AngioDynamics, Inc. (a) 11,930
102 AtriCure, Inc. (a) 7,084
108 CryoPort, Inc. (a) 3,708
138 Cutera, Inc. (a) 5,294
22 Globus Medical, Inc., Class A (a) 1,547
24 Haemonetics Corp. (a) 1,385
60 ICU Medical, Inc. (a) 14,204
212 Inogen, Inc. (a) 7,397
82 Integer Holdings Corp. (a) 6,877
230 Lantheus Holdings, Inc. (a) 10,998
28 LeMaitre Vascular, Inc. 1,329
757 Meridian Bioscience, Inc. (a) 19,152
308 Natus Medical, Inc. (a) 8,568
403 Orthofix Medical, Inc. (a) 13,694
80 Quidel Corp. (a) 8,463
64 Shockwave Medical, Inc. (a) 11,343
24 STAAR Surgical Co. (a) 1,904
-------------
134,877
-------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.5%
28 Addus HomeCare Corp. (a) 2,381
10 Amedisys, Inc. (a) 1,602
158 AMN Healthcare Services,
Inc. (a) 16,770
128 Apollo Medical Holdings, Inc. (a) 6,159
80 CorVel Corp. (a) 12,725
88 Fulgent Genetics, Inc. (a) 5,482
208 Joint (The) Corp. (a) 8,528
50 LHC Group, Inc. (a) 6,809
10 ModivCare, Inc. (a) 1,180
132 Owens & Minor, Inc. 5,828
361 Premier, Inc., Class A 12,974
102 Tenet Healthcare Corp. (a) 8,771
12 US Physical Therapy, Inc. 1,104
-------------
90,313
-------------
Page 36 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE TECHNOLOGY -- 2.2%
335 Allscripts Healthcare Solutions,
Inc. (a) $ 6,519
70 Inspire Medical Systems, Inc. (a) 17,085
868 NextGen Healthcare, Inc. (a) 16,952
104 Omnicell, Inc. (a) 13,445
28 OptimizeRx Corp. (a) 1,268
-------------
55,269
-------------
HOTELS, RESTAURANTS & LEISURE
-- 0.6%
78 Papa John's International, Inc. 8,332
20 RCI Hospitality Holdings, Inc. 1,298
136 Red Rock Resorts, Inc., Class A 6,838
-------------
16,468
-------------
HOUSEHOLD DURABLES -- 3.0%
22 Cavco Industries, Inc. (a) 5,998
192 Century Communities, Inc. 12,234
635 Ethan Allen Interiors, Inc. 16,548
18 Lovesac (The) Co. (a) 765
102 M/I Homes, Inc. (a) 5,028
68 Meritage Homes Corp. (a) 6,703
194 Skyline Champion Corp. (a) 13,045
146 Taylor Morrison Home Corp. (a) 4,307
593 Tri Pointe Homes, Inc. (a) 13,265
-------------
77,893
-------------
HOUSEHOLD PRODUCTS -- 0.2%
68 Spectrum Brands Holdings, Inc. 6,309
-------------
INSURANCE -- 3.5%
78 Argo Group International
Holdings Ltd. 3,289
331 CNO Financial Group, Inc. 8,000
449 Employers Holdings, Inc. 17,448
84 Enstar Group Ltd. (a) 23,943
178 Horace Mann Educators Corp. 7,403
144 Mercury General Corp. 7,920
94 Safety Insurance Group, Inc. 7,843
92 Selective Insurance Group, Inc. 7,654
98 Stewart Information Services
Corp. 6,652
-------------
90,152
-------------
INTERACTIVE MEDIA & SERVICES
-- 0.2%
56 Ziff Davis, Inc. (a) 5,634
-------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.5%
186 Liquidity Services, Inc. (a) 3,205
90 Revolve Group, Inc. (a) 4,268
64 Shutterstock, Inc. 5,794
-------------
13,267
-------------
IT SERVICES -- 1.5%
92 Alliance Data Systems Corp. 6,206
100 CSG Systems International, Inc. 6,172
62 ExlService Holdings, Inc. (a) 7,489
16 Maximus, Inc. 1,262
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
IT SERVICES (CONTINUED)
166 Perficient, Inc. (a) $ 16,915
-------------
38,044
-------------
LEISURE PRODUCTS -- 1.8%
48 Acushnet Holdings Corp. 2,102
1,071 Nautilus, Inc. (a) 5,216
886 Smith & Wesson Brands, Inc. 15,620
124 Sturm Ruger & Co., Inc. 8,979
331 Vista Outdoor, Inc. (a) 12,065
20 YETI Holdings, Inc. (a) 1,231
-------------
45,213
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.1%
20 Medpace Holdings, Inc. (a) 3,059
-------------
MACHINERY -- 2.8%
60 EnPro Industries, Inc. 6,626
70 Franklin Electric Co., Inc. 5,919
68 Helios Technologies, Inc. 5,332
190 Hillenbrand, Inc. 9,065
20 Kadant, Inc. 3,947
355 Manitowoc (The) Co., Inc. (a) 5,868
248 Mueller Industries, Inc. 14,148
84 REV Group, Inc. 1,136
150 Shyft Group (The), Inc. 6,062
86 Watts Water Technologies, Inc.,
Class A 12,380
-------------
70,483
-------------
MARINE -- 1.2%
411 Genco Shipping & Trading Ltd. 7,924
200 Matson, Inc. 22,154
-------------
30,078
-------------
MEDIA -- 1.3%
110 AMC Networks, Inc., Class A (a) 4,560
314 Gray Television, Inc. 7,357
102 John Wiley & Sons, Inc., Class A 5,132
150 Scholastic Corp. 6,312
72 TechTarget, Inc. (a) 5,643
126 Thryv Holdings, Inc. (a) 3,830
-------------
32,834
-------------
METALS & MINING -- 3.0%
298 Alcoa Corp. 22,451
38 Alpha Metallurgical Resources,
Inc. (a) 3,602
236 Commercial Metals Co. 9,098
274 Schnitzer Steel Industries, Inc. ,
Class A 13,330
940 TimkenSteel Corp. (a) 16,948
274 Warrior Met Coal, Inc. 8,631
40 Worthington Industries, Inc. 2,281
-------------
76,341
-------------
MULTILINE RETAIL -- 0.5%
108 Big Lots, Inc. 3,754
36 Dillard's, Inc., Class A 9,026
-------------
12,780
-------------
See Notes to Financial Statements Page 37
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES -- 0.0%
30 Avista Corp. $ 1,339
-------------
OIL, GAS & CONSUMABLE FUELS
-- 4.9%
58 Arch Resources, Inc. 6,923
178 California Resources Corp. 7,339
26 Chesapeake Energy Corp. 2,008
124 Civitas Resources, Inc. 6,258
182 CONSOL Energy, Inc. (a) 5,595
122 Denbury, Inc. (a) 8,865
1,015 Dorian LPG Ltd. 13,987
415 Magnolia Oil & Gas Corp.,
Class A 9,275
114 Murphy Oil Corp. 3,952
78 Oasis Petroleum, Inc. 10,336
130 Ovintiv, Inc. 5,961
70 PDC Energy, Inc. 4,516
250 Scorpio Tankers, Inc. 4,348
282 Whiting Petroleum Corp. 20,826
497 World Fuel Services Corp. 14,085
-------------
124,274
-------------
PAPER & FOREST PRODUCTS -- 1.2%
421 Louisiana-Pacific Corp. 30,291
30 Schweitzer-Mauduit International,
Inc. 937
-------------
31,228
-------------
PERSONAL PRODUCTS -- 0.2%
52 Inter Parfums, Inc. 4,830
32 Nu Skin Enterprises, Inc., Class A 1,484
-------------
6,314
-------------
PHARMACEUTICALS -- 3.5%
943 Amphastar Pharmaceuticals,
Inc. (a) 26,131
435 Collegium Pharmaceutical,
Inc. (a) 8,469
316 Corcept Therapeutics, Inc. (a) 7,044
982 Innoviva, Inc. (a) 18,864
24 Pacira BioSciences, Inc. (a) 1,601
246 Prestige Consumer Healthcare,
Inc. (a) 14,644
365 Supernus Pharmaceuticals, Inc. (a) 11,662
-------------
88,415
-------------
PROFESSIONAL SERVICES -- 1.9%
34 CBIZ, Inc. (a) 1,323
355 Heidrick & Struggles
International, Inc. 15,176
188 Kforce, Inc. 14,134
208 Korn Ferry 13,782
160 Upwork, Inc. (a) 4,045
-------------
48,460
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 1.6%
136 Cushman & Wakefield PLC (a) 2,981
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT (CONTINUED)
44 Douglas Elliman, Inc. (a) $ 332
76 eXp World Holdings, Inc. 2,032
294 Kennedy-Wilson Holdings, Inc. 6,509
26 Marcus & Millichap, Inc. (a) 1,293
533 Realogy Holdings Corp. (a) 9,690
369 RMR Group (The), Inc., Class A 10,753
144 St Joe (The) Co. 7,780
-------------
41,370
-------------
ROAD & RAIL -- 2.8%
246 ArcBest Corp. 22,799
138 Daseke, Inc. (a) 1,732
459 Heartland Express, Inc. 6,591
399 Marten Transport Ltd. 6,883
150 Ryder System, Inc. 11,826
30 Saia, Inc. (a) 8,617
539 Schneider National, Inc., Class B 14,079
-------------
72,527
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.6%
148 Alpha & Omega Semiconductor
Ltd. (a) 7,958
347 Amkor Technology, Inc. 7,867
80 Axcelis Technologies, Inc. (a) 5,538
104 Cirrus Logic, Inc. (a) 9,034
202 Cohu, Inc. (a) 6,298
132 Kulicke & Soffa Industries, Inc. 6,896
252 Lattice Semiconductor Corp. (a) 15,780
1,021 Photronics, Inc. (a) 18,807
56 Synaptics, Inc. (a) 12,792
-------------
90,970
-------------
SOFTWARE -- 2.0%
22 Altair Engineering, Inc.,
Class A (a) 1,461
58 Asana, Inc., Class A (a) 3,178
50 Box, Inc., Class A (a) 1,280
120 CommVault Systems, Inc. (a) 7,549
250 Ebix, Inc. 7,378
60 InterDigital, Inc. 3,865
80 Mitek Systems, Inc. (a) 1,189
64 Sprout Social, Inc., Class A (a) 4,167
14 SPS Commerce, Inc. (a) 1,818
62 Workiva, Inc. (a) 6,529
725 Xperi Holding Corp. 12,557
-------------
50,971
-------------
SPECIALTY RETAIL -- 2.9%
240 Aaron's (The) Co., Inc. 5,038
162 Abercrombie & Fitch Co.,
Class A (a) 6,169
140 Big 5 Sporting Goods Corp. 2,319
56 Buckle (The), Inc. 2,016
72 Citi Trends, Inc. (a) 2,686
20 Genesco, Inc. (a) 1,283
84 Group 1 Automotive, Inc. 15,282
355 Haverty Furniture Cos., Inc. 10,086
Page 38 See Notes to Financial Statements
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2022 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL (CONTINUED)
104 Hibbett, Inc. $ 4,688
234 LL Flooring Holdings, Inc. (a) 3,758
254 MarineMax, Inc. (a) 11,623
44 Signet Jewelers Ltd. 3,102
162 Zumiez, Inc. (a) 7,207
-------------
75,257
-------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.7%
359 Avid Technology, Inc. (a) 11,294
371 Xerox Holdings Corp. 7,313
-------------
18,607
-------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.0%
54 Crocs, Inc. (a) 4,521
110 Fossil Group, Inc. (a) 1,487
224 G-III Apparel Group Ltd. (a) 6,214
52 Kontoor Brands, Inc. 2,576
210 Movado Group, Inc. 8,278
30 Steven Madden Ltd. 1,280
-------------
24,356
-------------
THRIFTS & MORTGAGE FINANCE
-- 1.2%
930 MGIC Investment Corp. 14,117
136 Mr. Cooper Group, Inc. (a) 6,913
373 Radian Group, Inc. 8,915
-------------
29,945
-------------
TOBACCO -- 0.6%
264 Universal Corp. 14,285
88 Vector Group Ltd. 986
-------------
15,271
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 3.3%
14 Applied Industrial Technologies,
Inc. 1,415
96 BlueLinx Holdings, Inc. (a) 8,581
SHARES DESCRIPTION VALUE
---------------------------------------------------------------------
TRADING COMPANIES &
DISTRIBUTORS (CONTINUED)
387 Boise Cascade Co. $ 30,937
310 Rush Enterprises, Inc., Class A 16,101
12 SiteOne Landscape Supply,
Inc. (a) 2,069
174 Veritiv Corp. (a) 18,648
62 WESCO International, Inc. (a) 7,547
-------------
85,298
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.4%
114 Gogo, Inc. (a) 1,623
180 Telephone and Data Systems, Inc. 3,123
170 United States Cellular Corp. (a) 4,677
-------------
9,423
-------------
TOTAL COMMON STOCKS -- 99.6% 2,544,851
(Cost $2,488,555) -------------
MONEY MARKET FUNDS -- 0.4%
10,683 Morgan Stanley Institutional Liquidity
Funds - Treasury Portfolio -
Institutional Class - 0.01% (c) 10,683
(Cost $10,683) -------------
TOTAL INVESTMENTS -- 100.0% 2,555,534
(Cost $2,499,238)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 300
-------------
NET ASSETS -- 100.0% $ 2,555,834
=============
(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) Rate shown reflects yield as of February 28, 2022.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------------------------------------------------------
Common Stocks*.................................. $ 2,544,851 $ 2,544,851 $ -- $ --
Money Market Funds.............................. 10,683 10,683 -- --
---------------------------------------------------------------
Total Investments............................... $ 2,555,534 $ 2,555,534 $ -- $ --
===============================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 39
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 2022 (UNAUDITED)
FIRST TRUST
FIRST TRUST MUNICIPAL FIRST TRUST
CEF INCOME CEF INCOME LOW DURATION
OPPORTUNITY OPPORTUNITY STRATEGIC FOCUS
ETF (FCEF) ETF (MCEF) ETF (LDSF)
---------------- ----------------- -----------------
ASSETS:
Investments, at value - Unaffiliated............................. $ 35,762,334 $ 17,426,991 $ 40,138,403
Investments, at value - Affiliated............................... -- -- 224,821,497
---------------- ----------------- -----------------
Total investments, at value................................... 35,762,334 17,426,991 264,959,900
Cash............................................................. -- 2,306,409 --
Receivables:
Dividends..................................................... 71,589 61,948 4
Capital shares sold........................................... -- -- 2,085
Investment securities sold.................................... -- 95,271 --
---------------- ----------------- -----------------
Total Assets.................................................. 35,833,923 19,890,619 264,961,989
---------------- ----------------- -----------------
LIABILITIES:
Payables:
Investment advisory fees...................................... 24,077 12,193 39,651
Investment securities purchased............................... -- -- --
---------------- ----------------- -----------------
Total Liabilities............................................. 24,077 12,193 39,651
---------------- ----------------- -----------------
NET ASSETS....................................................... $ 35,809,846 $ 19,878,426 $ 264,922,338
================ ================= =================
NET ASSETS CONSIST OF:
Paid-in capital.................................................. $ 35,254,242 $ 21,639,823 $ 273,472,292
Par value........................................................ 15,550 10,500 134,500
Accumulated distributable earnings (loss)........................ 540,054 (1,771,897) (8,684,454)
---------------- ----------------- -----------------
NET ASSETS....................................................... $ 35,809,846 $ 19,878,426 $ 264,922,338
================ ================= =================
NET ASSET VALUE, per share....................................... $ 23.03 $ 18.93 $ 19.70
================ ================= =================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................ 1,555,000 1,050,002 13,450,002
================ ================= =================
Investments, at cost - Unaffiliated.............................. $ 35,982,311 $ 18,836,848 $ 40,936,387
================ ================= =================
Investments, at cost - Affiliated................................ $ -- $ -- $ 230,446,263
================ ================= =================
Total investments, at cost....................................... $ 35,982,311 $ 18,836,848 $ 271,382,650
================ ================= =================
Page 40 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ACTIVE FACTOR ACTIVE FACTOR ACTIVE FACTOR
LARGE CAP ETF MID CAP ETF SMALL CAP ETF
(AFLG) (AFMC) (AFSM)
---------------- ----------------- -----------------
$ 3,859,161 $ 2,465,238 $ 2,555,534
-- -- --
---------------- ----------------- -----------------
3,859,161 2,465,238 2,555,534
-- 8,036 6,093
6,759 2,848 1,746
-- -- --
-- -- --
---------------- ----------------- -----------------
3,865,920 2,476,122 2,563,373
---------------- ----------------- -----------------
1,647 1,228 1,446
-- 8,036 6,093
---------------- ----------------- -----------------
1,647 9,264 7,539
---------------- ----------------- -----------------
$ 3,864,273 $ 2,466,858 $ 2,555,834
================ ================= =================
$ 3,985,011 $ 2,726,845 $ 2,865,541
1,500 1,000 1,000
(122,238) (260,987) (310,707)
---------------- ----------------- -----------------
$ 3,864,273 $ 2,466,858 $ 2,555,834
================ ================= =================
$ 25.76 $ 24.67 $ 25.56
================ ================= =================
150,002 100,002 100,002
================ ================= =================
$ 3,712,887 $ 2,455,959 $ 2,499,238
================ ================= =================
$ -- $ -- $ --
================ ================= =================
$ 3,712,887 $ 2,455,959 $ 2,499,238
================ ================= =================
See Notes to Financial Statements Page 41
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2022 (UNAUDITED)
FIRST TRUST
FIRST TRUST MUNICIPAL FIRST TRUST
CEF INCOME CEF INCOME LOW DURATION
OPPORTUNITY OPPORTUNITY STRATEGIC FOCUS
ETF (FCEF) ETF (MCEF) ETF (LDSF)
---------------- ----------------- -----------------
INVESTMENT INCOME:
Dividends - Unaffiliated......................................... $ 1,367,625 $ 435,980 $ 253,486
Dividends - Affiliated........................................... -- -- 2,287,300
Foreign withholding tax.......................................... -- -- --
---------------- ----------------- -----------------
Total investment income....................................... 1,367,625 435,980 2,540,786
---------------- ----------------- -----------------
EXPENSES:
Investment advisory fees......................................... 160,776 75,477 220,634
---------------- ----------------- -----------------
Total expenses................................................ 160,776 75,477 220,634
---------------- ----------------- -----------------
NET INVESTMENT INCOME (LOSS)..................................... 1,206,849 360,503 2,320,152
---------------- ----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments - Unaffiliated.................................... (80,062) (469,844) (195,718)
Investments - Affiliated...................................... -- -- (75,563)
In-kind redemptions - Unaffiliated............................ 159,477 78,039 (1,480)
In-kind redemptions - Affiliated.............................. -- -- 46,848
Distribution of capital gains from investment
companies - Unaffiliated................................... 501,623 13,681 60,471
Distribution of capital gains from investment
companies - Affiliated..................................... -- -- --
---------------- ----------------- -----------------
Net realized gain (loss)......................................... 581,038 (378,124) (165,442)
---------------- ----------------- -----------------
Net change in unrealized appreciation (depreciation) on :
Investments - Unaffiliated.................................... (4,851,947) (2,306,473) (1,046,880)
Investments - Affiliated...................................... -- -- (5,030,994)
---------------- ----------------- -----------------
Net change in unrealized appreciation (depreciation)............. (4,851,947) (2,306,473) (6,077,874)
---------------- ----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS).......................... (4,270,909) (2,684,597) (6,243,316)
---------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................................... $ (3,064,060) $ (2,324,094) $ (3,923,164)
================ ================= =================
Page 42 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ACTIVE FACTOR ACTIVE FACTOR ACTIVE FACTOR
LARGE CAP ETF MID CAP ETF SMALL CAP ETF
(AFLG) (AFMC) (AFSM)
---------------- ----------------- -----------------
$ 33,623 $ 15,600 $ 21,595
-- -- --
-- (8) (15)
---------------- ----------------- -----------------
33,623 15,592 21,580
---------------- ----------------- -----------------
10,923 5,342 9,902
---------------- ----------------- -----------------
10,923 5,342 9,902
---------------- ----------------- -----------------
22,700 10,250 11,678
---------------- ----------------- -----------------
(15,723) (30,523) (38,966)
-- -- --
-- -- --
-- -- --
-- -- --
-- -- --
---------------- ----------------- -----------------
(15,723) (30,523) (38,966)
---------------- ----------------- -----------------
(127,284) (116,921) (78,878)
-- -- --
---------------- ----------------- -----------------
(127,284) (116,921) (78,878)
---------------- ----------------- -----------------
(143,007) (147,444) (117,844)
---------------- ----------------- -----------------
$ (120,307) $ (137,194) $ (106,166)
================ ================= =================
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
CEF INCOME MUNICIPAL CEF INCOME
OPPORTUNITY ETF OPPORTUNITY ETF
(FCEF) (MCEF)
----------------------------------- -----------------------------------
Six Months Ended Six Months Ended
2/28/22 Year Ended 2/28/22 Year Ended
(Unaudited) 8/31/2021 (Unaudited) 8/31/2021
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)............................ $ 1,206,849 $ 951,920 $ 360,503 $ 389,967
Net realized gain (loss)................................ 581,038 1,993,017 (378,124) 115,287
Net change in unrealized appreciation (depreciation).... (4,851,947) 7,167,845 (2,306,473) 1,141,529
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
operations........................................... (3,064,060) 10,112,782 (2,324,094) 1,646,783
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (1,017,825) (1,686,588) (406,702) (395,501)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 2,433,703 6,988,057 11,292,212 8,430,208
Cost of shares redeemed................................. (1,217,341) (10,040,378) (7,010,837) --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................. 1,216,362 (3,052,321) 4,281,375 8,430,208
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................. (2,865,523) 5,373,873 1,550,579 9,681,490
NET ASSETS:
Beginning of period..................................... 38,675,369 33,301,496 18,327,847 8,646,357
---------------- ---------------- ---------------- ----------------
End of period........................................... $ 35,809,846 $ 38,675,369 $ 19,878,426 $ 18,327,847
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 1,505,000 1,655,000 850,002 450,002
Shares sold............................................. 100,000 300,000 550,000 400,000
Shares redeemed......................................... (50,000) (450,000) (350,000) --
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period....................... 1,555,000 1,505,000 1,050,002 850,002
================ ================ ================ ================
Page 44 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
LOW DURATION ACTIVE FACTOR
STRATEGIC FOCUS ETF LARGE CAP ETF
(LDSF) (AFLG)
----------------------------------- -----------------------------------
Six Months Ended Six Months Ended
2/28/22 Year Ended 2/28/22 Year Ended
(Unaudited) 8/31/2021 (Unaudited) 8/31/2021
---------------- ---------------- ---------------- ----------------
$ 2,320,152 $ 2,938,613 $ 22,700 $ 57,256
(165,442) 1,753,049 (15,723) 1,238,808
(6,077,874) (2,248,816) (127,284) 84,230
---------------- ---------------- ---------------- ----------------
(3,923,164) 2,442,846 (120,307) 1,380,294
---------------- ---------------- ---------------- ----------------
(2,140,925) (3,935,676) (22,875) (53,635)
---------------- ---------------- ---------------- ----------------
101,901,643 106,710,761 -- 8,097,356
(14,987,146) (51,846,837) -- (7,515,991)
---------------- ---------------- ---------------- ----------------
86,914,497 54,863,924 -- 581,365
---------------- ---------------- ---------------- ----------------
80,850,408 53,371,094 (143,182) 1,908,024
184,071,930 130,700,836 4,007,455 2,099,431
---------------- ---------------- ---------------- ----------------
$ 264,922,338 $ 184,071,930 $ 3,864,273 $ 4,007,455
================ ================ ================ ================
9,100,002 6,400,002 150,002 100,002
5,100,000 5,250,000 -- 350,000
(750,000) (2,550,000) -- (300,000)
---------------- ---------------- ---------------- ----------------
13,450,002 9,100,002 150,002 150,002
================ ================ ================ ================
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
ACTIVE FACTOR ACTIVE FACTOR
MID CAP ETF SMALL CAP ETF
(AFMC) (AFSM)
----------------------------------- -----------------------------------
Six Months Ended Six Months Ended
2/28/22 Year Ended 2/28/22 Year Ended
(Unaudited) 8/31/2021 (Unaudited) 8/31/2021
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)............................ $ 10,250 $ 14,929 $ 11,678 $ 5,393
Net realized gain (loss)................................ (30,523) 614,371 (38,966) 731,776
Net change in unrealized appreciation (depreciation).... (116,921) 138,549 (78,878) 89,504
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
operations........................................... (137,194) 767,849 (106,166) 826,673
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (8,415) (17,180) (9,830) (8,250)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 1,306,411 1,175,597 -- 2,572,524
Cost of shares redeemed................................. -- (2,457,585) -- (2,563,922)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from
shareholder transactions............................. 1,306,411 (1,281,988) -- 8,602
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................. 1,160,802 (531,319) (115,996) 827,025
NET ASSETS:
Beginning of period..................................... 1,306,056 1,837,375 2,671,830 1,844,805
---------------- ---------------- ---------------- ----------------
End of period........................................... $ 2,466,858 $ 1,306,056 $ 2,555,834 $ 2,671,830
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 50,002 100,002 100,002 100,002
Shares sold............................................. 50,000 50,000 -- 100,000
Shares redeemed......................................... -- (100,000) -- (100,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period....................... 100,002 50,002 100,002 100,002
================ ================ ================ ================
Page 46 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CEF INCOME OPPORTUNITY ETF (FCEF)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/22 ----------------------------------------------------- ENDED
(UNAUDITED) 2021 2020 2019 2018 8/31/2017 (a)
----------- ----------- ----------- ----------- ----------- -------------
Net asset value, beginning of period......... $ 25.70 $ 20.12 $ 21.75 $ 22.26 $ 21.66 $ 20.05
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)................. 0.79 0.65 0.82 0.82 0.78 1.02
Net realized and unrealized gain (loss)...... (2.79) 6.07 (1.29) (0.18) 0.93 1.61
--------- --------- --------- --------- --------- ---------
Total from investment operations............. (2.00) 6.72 (0.47) 0.64 1.71 2.63
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income........................ (0.67) (0.84) (1.10) (0.96) (1.01) (0.79)
Net realized gain............................ -- (0.30) (0.06) (0.19) (0.10) (0.12)
Return of capital............................ -- -- -- -- -- (0.11)
--------- --------- --------- --------- --------- ---------
Total distributions.......................... (0.67) (1.14) (1.16) (1.15) (1.11) (1.02)
--------- --------- --------- --------- --------- ---------
Net asset value, end of period............... $ 23.03 $ 25.70 $ 20.12 $ 21.75 $ 22.26 $ 21.66
========= ========= ========= ========= ========= =========
TOTAL RETURN (b)............................. (7.94)% 34.19% (2.04)% 3.18% 8.09% 13.49%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)......... $ 35,810 $ 38,675 $ 33,301 $ 37,085 $ 45,754 $ 31,517
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets (c)................................ 0.85% (d) 0.85% 0.85% 0.85% 0.85% 0.85% (d)
Ratio of net investment income (loss) to
average net assets........................ 6.38% (d) 2.79% 4.01% 3.92% 3.14% 5.99% (d)
Portfolio turnover rate (e).................. 3% 8% 6% 13% 15% 23%
FIRST TRUST MUNICIPAL CEF INCOME OPPORTUNITY ETF (MCEF)
SIX MONTHS
ENDED YEAR ENDED AUGUST 31, PERIOD
2/28/22 ----------------------------------------------------- ENDED
(UNAUDITED) 2021 2020 2019 2018 8/31/2017 (a)
----------- ----------- ----------- ----------- ----------- -------------
Net asset value, beginning of period......... $ 21.56 $ 19.21 $ 19.61 $ 17.94 $ 19.20 $ 20.05
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)................. 0.36 0.70 0.68 0.62 0.64 0.61
Net realized and unrealized gain (loss)...... (2.58) 2.39 (0.48) 1.65 (1.24) (0.80)
--------- --------- --------- --------- --------- ---------
Total from investment operations............. (2.22) 3.09 0.20 2.27 (0.60) (0.19)
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income........................ (0.38) (0.74) (0.60) (0.60) (0.64) (0.61)
Net realized gain............................ (0.03) (0.00) (f) -- -- -- --
Return of capital............................ -- -- -- -- (0.02) (0.05)
--------- --------- --------- --------- --------- ---------
Total distributions.......................... (0.41) (0.74) (0.60) (0.60) (0.66) (0.66)
--------- --------- --------- --------- --------- ---------
Net asset value, end of period............... $ 18.93 $ 21.56 $ 19.21 $ 19.61 $ 17.94 $ 19.20
========= ========= ========= ========= ========= =========
TOTAL RETURN (b)............................. (10.40)% 16.37% 1.10% 12.96% (3.09)% (0.81)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)......... $ 19,878 $ 18,328 $ 8,646 $ 10,785 $ 13,454 $ 13,441
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets (c)................................ 0.75% (d) 0.75% 0.75% 0.75% 0.75% 0.75% (d)
Ratio of net investment income (loss) to
average net assets........................ 3.58% (d) 3.57% 3.49% 3.49% 3.54% 3.59% (d)
Portfolio turnover rate (e).................. 21% 17% 7% 20% 11% 18%
(a) Inception date is September 27, 2016, which is consistent with the
commencement of investment operations and is the date the initial creation
units were established.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The 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) The Fund indirectly bears its proportionate share of fees and expenses
incurred by the underlying funds in which the Fund invests. This ratio
does not include these indirect fees and expenses.
(d) Annualized.
(e) 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.
(f) Amount is less than $0.01.
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LOW DURATION STRATEGIC FOCUS ETF (LDSF)
SIX MONTHS
ENDED YEAR ENDED PERIOD
2/28/2022 ------------------------- ENDED
(UNAUDITED) 2021 2020 8/31/2019 (a)
----------- ----------- ----------- -------------
Net asset value, beginning of period........................... $ 20.23 $ 20.42 $ 20.50 $ 20.03
--------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)................................... 0.20 0.38 0.49 0.43
Net realized and unrealized gain (loss)........................ (0.54) (0.06) (0.07) 0.47
--------- --------- --------- ---------
Total from investment operations............................... (0.34) 0.32 0.42 0.90
--------- --------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.......................................... (0.19) (0.51) (0.50) (0.43)
--------- --------- --------- ---------
Net asset value, end of period................................. $ 19.70 $ 20.23 $ 20.42 $ 20.50
========= ========= ========= =========
TOTAL RETURN (b)............................................... (1.69)% 1.57% 2.09% 4.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................... $ 264,922 $ 184,072 $ 130,701 $ 50,228
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets (c).............. 0.20% (d) 0.20% 0.20% 0.20% (d)
Ratio of net investment income (loss) to average net assets.... 2.10% (d) 1.85% 2.36% 3.16% (d)
Portfolio turnover rate (e).................................... 17% 54% 71% 14%
FIRST TRUST ACTIVE FACTOR LARGE CAP ETF (AFLG)
SIX MONTHS
ENDED YEAR PERIOD
2/28/2022 ENDED ENDED
(UNAUDITED) 8/31/2021 8/31/2020 (a)
----------- ----------- -------------
Net asset value, beginning of period........................... $ 26.72 $ 20.99 $ 19.87
--------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)................................... 0.15 0.27 0.23
Net realized and unrealized gain (loss)........................ (0.96) 5.72 1.07
--------- --------- ---------
Total from investment operations............................... (0.81) 5.99 1.30
--------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.......................................... (0.15) (0.26) (0.18)
--------- --------- ---------
Net asset value, end of period................................. $ 25.76 $ 26.72 $ 20.99
========= ========= =========
TOTAL RETURN (b)............................................... (3.07)% 28.74% 6.67%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................... $ 3,864 $ 4,007 $ 2,099
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets.................. 0.55% (d) 0.55% 0.55% (d)
Ratio of net investment income (loss) to average net assets.... 1.14% (d) 1.12% 1.62% (d)
Portfolio turnover rate (e).................................... 30% 70% 55%
(a) Inception dates for LDSF and AFLG are January 3, 2019 and December 3,
2019, 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) The Fund indirectly bears its proportionate share of fees and expenses
incurred by the underlying funds in which the Fund invests. This ratio
does not include these indirect fees and expenses.
(d) Annualized.
(e) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 48 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ACTIVE FACTOR MID CAP ETF (AFMC)
SIX MONTHS
ENDED YEAR PERIOD
2/28/2022 ENDED ENDED
(UNAUDITED) 8/31/2021 8/31/2020 (a)
----------- ----------- -------------
Net asset value, beginning of period........................... $ 26.12 $ 18.37 $ 19.88
--------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)................................... 0.17 0.19 0.18
Net realized and unrealized gain (loss)........................ (1.45) 7.76 (1.55)
--------- --------- ---------
Total from investment operations............................... (1.28) 7.95 (1.37)
--------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.......................................... (0.17) (0.20) (0.14)
--------- --------- ---------
Net asset value, end of period................................. $ 24.67 $ 26.12 $ 18.37
========= ========= =========
TOTAL RETURN (b)............................................... (4.95)% 43.52% (6.86)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................... $ 2,467 $ 1,306 $ 1,837
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets.................. 0.65% (c) 0.65% 0.65% (c)
Ratio of net investment income (loss) to average net assets.... 1.25% (c) 0.81% 1.34% (c)
Portfolio turnover rate (d).................................... 36% 80% 66%
FIRST TRUST ACTIVE FACTOR SMALL CAP ETF (AFSM)
SIX MONTHS
ENDED YEAR PERIOD
2/28/2022 ENDED ENDED
(UNAUDITED) 8/31/2021 8/31/2020 (a)
----------- ----------- -------------
Net asset value, beginning of period........................... $ 26.72 $ 18.45 $ 19.95
--------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)................................... 0.12 0.05 0.12
Net realized and unrealized gain (loss)........................ (1.18) 8.30 (1.52)
--------- --------- ---------
Total from investment operations............................... (1.06) 8.35 (1.40)
--------- --------- ---------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.......................................... (0.10) (0.08) (0.10)
--------- --------- ---------
Net asset value, end of period................................. $ 25.56 $ 26.72 $ 18.45
========= ========= =========
TOTAL RETURN (b)............................................... (4.00)% 45.40% (7.03)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................... $ 2,556 $ 2,672 $ 1,845
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets (e).............. 0.75% (c) 0.75% 0.75% (c)
Ratio of net investment income (loss) to average net assets.... 0.88% (c) 0.27% 0.91% (c)
Portfolio turnover rate (d).................................... 33% 86% 65%
(a) Inception date for AFMC and AFSM is December 3, 2019, which is consistent
with the commencement of investment operations and is the date the initial
creation units were established.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The 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.
(e) The Fund indirectly bears its proportionate share of fees and expenses
incurred by the underlying securities in which the Fund invests. This
ratio does not include these indirect fees and expenses.
See Notes to Financial Statements Page 49
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
1. ORGANIZATION
First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on February 22,
2016, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of fifty-five funds that are offering shares. This
report covers the six funds (each a "Fund" and collectively, the "Funds") listed
below:
First Trust CEF Income Opportunity ETF - (The Nasdaq Stock Market LLC
("Nasdaq") ticker "FCEF")
First Trust Municipal CEF Income Opportunity ETF - (Nasdaq ticker "MCEF")
First Trust Low Duration Strategic Focus ETF -
(Nasdaq ticker "LDSF")
First Trust Active Factor Large Cap ETF - (NYSE Arca, Inc. ("NYSE Arca")
ticker "AFLG")
First Trust Active Factor Mid Cap ETF - (NYSE Arca ticker "AFMC")
First Trust Active Factor Small Cap ETF - (NYSE Arca ticker "AFSM")
Each Fund represents a separate series of shares 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."
Each Fund is an actively managed exchange-traded fund. FCEF and MCEF principally
invest in a portfolio of closed-end investment companies that are listed and
traded in the United States on registered exchanges ("Closed-End Funds"). FCEF's
primary investment objective is to provide current income with a secondary
emphasis on total return. MCEF's investment objective is to provide current
income. AFLG, AFMC and AFSM's investment objective seeks to provide capital
appreciation. LDSF's primary investment objective seeks to generate current
income, with a secondary objective of preservation of capital.
Under normal market conditions, FCEF and MCEF will invest at least 80% of their
net assets (including investment borrowings) in Closed-End Funds. MCEF invests
in Closed-End Funds ("Municipal Closed-End Funds") which invest primarily in
municipal debt securities, some or all of which pay interest that is exempt from
regular federal income taxes ("Municipal Securities"). FCEF and MCEF may also
invest in exchange-traded funds. Closed-End Funds issue shares of common stock
that are traded on a securities exchange. Because the shares of Closed-End Funds
cannot be redeemed upon demand to the issuer like the shares of an open-end
investment company, investors seek to buy and sell shares of Closed-End Funds in
the secondary market.
Under normal market conditions, LDSF will invest at least 80% of its net assets
(including investment borrowings) in a portfolio of U.S.-listed exchange-traded
funds ("ETFs") that principally invest in income-generating securities that
provide the Fund with an effective portfolio duration of three years or less. A
significant portion of the ETFs in which the Fund invests may be advised by
First Trust Advisors L.P. ("First Trust" or the "Advisor"). The Fund may invest
in ETFs that invest principally in corporate bonds, floating rate loans and
fixed-to-floating rate loans, senior loans, mortgage-backed securities, hybrid
income securities (including convertible, contingent convertible and preferred
securities), government debt and other fixed income securities. The securities
to which the Fund may have exposure may be issued by both U.S. and non-U.S.
issuers, including both corporate and governmental issuers located in countries
considered to be emerging markets. The Fund may also invest up to 40% of its net
assets in ETFs that have exposure to U.S. corporate high yield securities (also
known as "junk bonds") and senior loans. The Fund may invest up to 20% of its
net assets in bonds issued by non-U.S. government and corporate issuers,
including up to 10% of its net assets in ETFs holding debt of issuers located in
countries considered to be emerging markets. The Fund may also invest up to 10%
of its net assets in ETFs holding preferred securities and up to 10% of its net
assets in ETFs holding convertible securities.
Under normal market conditions, AFLG will invest at least 80% of its net assets
(including investment borrowings) in U.S.-listed equity securities issued by
large capitalization companies.
Under normal market conditions, AFMC will invest at least 80% of its net assets
(including investment borrowings) in U.S.-listed equity securities issued by mid
capitalization companies.
Under normal market conditions, AFSM will invest at least 80% of its net assets
(including investment borrowings) in U.S.-listed equity securities issued by
small capitalization companies.
There can be no assurance that a Fund will achieve its investment objective(s).
The Funds may not be appropriate for all investors.
Page 50
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
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 the Fund (including accrued interest and dividends), less
all liabilities (including accrued expenses and dividends declared but unpaid),
by the total number of shares outstanding.
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 Advisor's Pricing Committee in
accordance with valuation procedures adopted by the Trust's Board of Trustees,
and in accordance with provisions of the 1940 Act. Investments valued by the
Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to
the Portfolio of Investments. 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.
Securities trading on foreign exchanges or over-the-counter markets that
close prior to the NYSE close may be valued using a systematic fair
valuation model provided by a third-party pricing service. If these
foreign securities meet certain criteria in relation to the valuation
model, their valuation is systematically adjusted to reflect the impact of
movement in the U.S. market after the close of the foreign markets.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
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.
Page 51
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
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 February 28, 2022, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from 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.
Page 52
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
C. AFFILIATED TRANSACTIONS
LDSF invests in securities of affiliated funds. The Fund's investment
performance and risks are directly related to the investment performance and
risks of the affiliated funds. Dividend income, realized gains and losses, and
change in appreciation (depreciation) from affiliated funds are presented on the
Statements of Operations.
Amounts related to these investments at February 28, 2022 and for the six months
then ended are as follows:
CHANGE IN
UNREALIZED REALIZED
SHARES AT VALUE AT APPRECIATION GAIN VALUE AT DIVIDEND
SECURITY NAME 2/28/2022 8/31/2021 PURCHASES SALES (DEPRECIATION) (LOSS) 2/28/2022 INCOME
------------------------------------------------------------------------------------------------------------------------------------
First Trust
Emerging Markets
Local Currency
Bond ETF 215,307 $ 4,515,997 $ 3,029,476 $ (370,413) $ (585,410) $ 897 $ 6,590,547 $ 155,267
First Trust
Enhanced Short
Maturity ETF -- 18,425,976 7,644,907 (26,016,248) 17,819 (72,454) -- 21,324
First Trust
Low Duration
Opportunities
ETF 2,147,409 73,503,407 41,023,471 (5,992,181) (2,164,565) (8,964) 106,361,168 841,116
First Trust
Senior Loan Fund 979,783 32,186,177 17,885,408 (3,162,602) (521,395) 14,935 46,402,523 681,422
First Trust
Tactical High
Yield ETF 280,804 9,186,126 5,080,737 (755,264) (587,758) 40,879 12,964,720 317,595
First Trust TCW
Unconstrained
Plus Bond ETF 2,031,832 18,399,566 37,846,403 (2,549,737) (1,189,685) (4,008) 52,502,539 270,576
--------------------------------------------------------------------------------------------------
$156,217,249 $112,510,402 $(38,846,445) $ (5,030,994) $ (28,715) $224,821,497 $2,287,300
==================================================================================================
D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, with the exception of FCEF, MCEF and LDSF which declare and pay
monthly, 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 August 31, 2021, was as follows:
Distributions Distributions Distributions Distributions
paid from paid from paid from paid from
Ordinary Capital Tax-Exempt Return of
Income Gains Income Capital
------------- ------------- -------------- --------------
First Trust CEF Income Opportunity ETF $ 1,243,133 $ 443,455 $ -- $ --
First Trust Municipal CEF Income Opportunity ETF 9,130 -- 386,371 --
First Trust Low Duration Strategic Focus ETF 3,935,676 -- -- --
First Trust Active Factor Large Cap ETF 53,635 -- -- --
First Trust Active Factor Mid Cap ETF 17,180 -- -- --
First Trust Active Factor Small Cap ETF 8,250 -- -- --
Page 53
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
As of August 31, 2021, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated Net
Undistributed Capital and Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------- ------------- --------------
First Trust CEF Income Opportunity ETF $ -- $ -- $ 4,621,939
First Trust Municipal CEF Income Opportunity ETF 35,215 29,267 894,417
First Trust Low Duration Strategic Focus ETF -- (2,126,627) (493,738)
First Trust Active Factor Large Cap ETF 8,978 (246,427) 258,393
First Trust Active Factor Mid Cap ETF 1,421 (237,064) 120,265
First Trust Active Factor Small Cap ETF -- (313,865) 119,154
E. 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.
In addition, MCEF intends to invest in such Municipal Closed-End Funds to allow
it to qualify to pass through "exempt dividends" as defined in the Internal
Revenue Code.
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. For FCEF and MCEF, the taxable
years ended 2018, 2019, 2020 and 2021 remain open to federal and state audit.
For LDSF, the taxable years ended 2019, 2020, and 2021 remain open to federal
and state audit. For AFLG, AFMC and AFSM, the taxable years ended 2020 and 2021
remain open to federal and state audit. As of February 28, 2022, management has
evaluated the application of these standards to the Funds, and has determined
that no provision for income tax is required in the Funds' financial statements
for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At August 31, 2021, for
federal income tax purposes, the Funds 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 the Funds' shareholders.
Non-Expiring
Capital Loss
Carryforwards
--------------
First Trust Low Duration Strategic Focus ETF $ 2,126,627
First Trust Active Factor Large Cap ETF 246,427
First Trust Active Factor Mid Cap ETF 237,064
First Trust Active Factor Small Cap ETF 313,865
During the taxable year ended August 31, 2021, the following Funds utilized
non-expiring capital loss carryforwards in the following amounts:
Capital Loss
Carryforwards
Utilized
--------------
First Trust Municipal CEF Income Opportunity ETF $ 83,418
First Trust Low Duration Strategic Focus ETF 350,288
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 August 31, 2021, the Funds had no
net late year ordinary or capital losses.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
As of February 28, 2022, the aggregate cost, gross unrealized appreciation,
gross unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
------------- ------------- -------------- --------------
First Trust CEF Income Opportunity ETF $ 35,982,311 $ 1,929,780 $ (2,149,757) $ (219,977)
First Trust Municipal CEF Income Opportunity ETF 18,836,848 -- (1,409,857) (1,409,857)
First Trust Low Duration Strategic Focus ETF 271,382,650 -- (6,422,750) (6,422,750)
First Trust Active Factor Large Cap ETF 3,712,887 312,319 (166,045) 146,274
First Trust Active Factor Mid Cap ETF 2,455,959 110,385 (101,106) 9,279
First Trust Active Factor Small Cap ETF 2,499,238 217,314 (161,018) 56,296
F. EXPENSES
Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the 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.
Pursuant to the Investment Management Agreement between the Trust and the
Advisor, First Trust manages the investment of each Fund's assets and is
responsible for the expenses of each Fund, including the cost of transfer
agency, custody, fund administration, legal, audit, license fees and other
services, but excluding fee payments under the Investment Management Agreement,
interest, taxes, pro rata share of fees and expenses attributable to investments
in other investment companies ("acquired fund fees and expenses"), brokerage
commissions and other expenses connected with the execution of portfolio
transactions, distribution and service fees payable pursuant to a Rule 12b-1
plan, if any, and extraordinary expenses. Each Fund has agreed to pay First
Trust an annual unitary management fee based on each Fund's average daily net
assets at a rate set forth below:
Rate
--------------
First Trust CEF Income Opportunity ETF 0.85%
First Trust Municipal CEF Income Opportunity ETF 0.75%
First Trust Low Duration Strategic Focus ETF 0.20%
First Trust Active Factor Large Cap ETF 0.55%
First Trust Active Factor Mid Cap ETF 0.65%
First Trust Active Factor Small Cap ETF 0.75%
In addition, FCEF, MCEF and LDSF incur acquired fund fees and expenses. The
total of the unitary management fee and acquired fund fees and expenses
represents each Fund's total annual operating expenses.
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 an index fund.
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
Additionally, the Lead Independent Trustee and the Chairs of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee Chairs
rotate every three years. The officers and "Interested" Trustee receive no
compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended February 28, 2022, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
Purchases Sales
-------------- --------------
First Trust CEF Income Opportunity ETF $ 1,682,680 $ 1,056,309
First Trust Municipal CEF Income Opportunity ETF 4,096,345 6,320,515
First Trust Low Duration Strategic Focus ETF 38,648,946 38,668,200
First Trust Active Factor Large Cap ETF 1,190,984 1,191,765
First Trust Active Factor Mid Cap ETF 581,509 583,352
First Trust Active Factor Small Cap ETF 877,535 881,272
For the six months ended February 28, 2022, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
-------------- --------------
First Trust CEF Income Opportunity ETF $ 1,231,396 $ 1,169,112
First Trust Municipal CEF Income Opportunity ETF 11,008,041 6,822,389
First Trust Low Duration Strategic Focus ETF 101,749,922 14,962,694
First Trust Active Factor Large Cap ETF -- --
First Trust Active Factor Mid Cap ETF 1,304,038 --
First Trust Active Factor Small Cap ETF -- --
5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
Authorized Participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an
Page 56
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
Authorized Participant to effect a redemption of a Creation Unit may also be
assessed an amount to cover the cost of such services. The redemption fee
charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits
redemption fees to no more than 2% of the value of the shares redeemed.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before December 31, 2022.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued and has determined that
there were the following subsequent events:
On April 8, 2022, First Trust CEF Income Opportunity ETF changed its name to
First Trust Income Opportunity ETF. This name change corresponds with the
removal of the Fund's non-fundamental investment policy to invest at least 80%
of its net assets (including investment borrowings) in a portfolio of closed-end
investment companies. First Trust Income Opportunity ETF seeks to provide
current income with a secondary emphasis on total return by investing in a
portfolio of closed-end investment companies and exchange-traded funds that are
listed and traded in the United States on registered exchanges. In addition, as
of April 14, 2022, Jordan Ramsland is no longer a portfolio manager of First
Trust Income Opportunity ETF. Ken Fincher will continue to serve as portfolio
manager of the Fund.
On April 14, 2022, pursuant to a vote of shareholders, First Trust Municipal CEF
Income Opportunity ETF changed its name to First Trust Flexible Municipal High
Income ETF ("MFLX"). MFLX seeks to provide current income by investing in
municipal debt securities. MFLX will have the ability to invest up to 10% of its
net assets in closed-end investment companies that invest primarily in municipal
debt securities. Jordan Ramsland is no longer a portfolio manager of MFLX. Ken
Fincher will continue to serve as portfolio manager of MFLX. In addition, the
following persons will serve as additional members of MFLX's portfolio
management team and will manage the non-closed-end fund investments: Tom
Futrell, CFA, Senior Vice President and Senior Portfolio Manager of First Trust,
Johnathan N. Wilhelm, Senior Vice President and Senior Portfolio Manager of
First Trust and Tom Byron, Senior Vice President and Senior Portfolio Manager of
First Trust.
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ADDITIONAL INFORMATION
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or
more indices or ETF models. As a result, such a fund may be included in one or
more index-tracking exchange-traded funds or mutual funds. Being a component
security of such a vehicle could greatly affect the trading activity involving a
fund, the size of the fund and the market volatility of the fund. Inclusion in
an index could increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods. In addition, index rebalances may potentially result in increased
trading activity in a fund's shares.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
FEBRUARY 28, 2022 (UNAUDITED)
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. In February 2022, Russia invaded Ukraine which has caused and could
continue to cause significant market disruptions and volatility within the
markets in Russia, Europe, and the United States. The hostilities and sanctions
resulting from those hostilities could have a significant impact on certain fund
investments as well as fund performance. The outbreak of the respiratory disease
designated as COVID-19 in December 2019 has caused significant volatility and
declines in global financial markets, which have caused losses for investors.
While the development of vaccines has slowed the spread of the virus and allowed
for the resumption of "reasonably" normal business activity in the United
States, many countries continue to impose lockdown measures in an attempt to
slow the spread. Additionally, there is no guarantee that vaccines will be
effective against emerging variants of the disease.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 60
FIRST TRUST
First Trust Exchange-Traded Fund VIII
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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