First Trust Exchange-Traded Fund III
First Trust Horizon Managed Volatility Domestic ETF (HUSV) 

First Trust Horizon Managed Volatility Developed International ETF (HDMV) 

First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)

Semi-Annual Report
For the Six Months Ended
January 31, 2022

Table of Contents
First Trust Exchange-Traded Fund III
Semi-Annual Report
January 31, 2022

2
Fund Performance Overview

3

5

7

9

10

11
Portfolio of Investments

12

14

18

22

23

24

26

29

36

Table of Contents
Caution Regarding Forward-Looking Statements
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and/or Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded Fund III (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, 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/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
Performance and Risk Disclosure
There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund performance on each Fund’s web page 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 a relevant market benchmark.
It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-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 the prospectus, the statement of additional information, and other Fund regulatory filings.
Page 1

Table of Contents
Shareholder Letter
First Trust Exchange-Traded Fund III
Semi-Annual Letter from the Chairman and CEO
January 31, 2022
Dear Shareholders,
First Trust is pleased to provide you with the semi-annual report for the Managed Volatility Funds of First Trust Exchange-Traded Fund III (the “Funds”), which contains detailed information about the Funds for the six-month period ended January 31, 2022.
It is times like these that really test the resolve of investors. Since the start of November 2021, we have seen the major U.S. stock indices decline markedly from their all-time highs. Many pundits and experts are calling for additional near-term selling pressure due to robust inflation and the prospects for multiple interest rate hikes from the Federal Reserve (the “Fed”), with anticipation that rate increases could begin as early as March 2022. For the record, Brian Wesbury, Chief Economist at First Trust, has been steadfast in his belief that the Fed is already behind the curve with respect to inflation and interest rates, which means the Fed may have a little chasing to do at some point to deliver on its mandate of price stability. In January 2022, the Consumer Price Index stood at 7.5% on a trailing 12-month basis, the highest it has been since 1982, according to the U.S. Bureau of Labor Statistics (“BLS”). The spike in inflation over the past year is primarily rooted in a massive increase in the U.S. money supply, in my opinion. It was brought to bear to mitigate the economic fallout from the coronavirus (“COVID-19”) pandemic. The disruption of the global supply chain and the overall lack of goods available for consumption are also contributing to the spike in inflation, and both happen to be collateral damage from the pandemic. Remember, the definition of inflation is “too many dollars chasing too few goods.” This is the climate we are in today.
It has been roughly two years since the onset of the COVID-19 pandemic and we are still battling this stubborn virus. There is, however, some good news to report. Despite the recommendation from the Centers for Disease Control and Prevention that masks continue to be worn indoors, as of mid-February 2022, many states had terminated their divisive mask mandates, and more could do so soon. Providing that the number of cases continues to shrink in the U.S., and we do not encounter any other significant variants like Omicron, we could attempt another run at fully reopening the U.S. economy (such an attempt was made in 2021 prior to the onset of the Omicron variant). Reopening the economy could prove to be a positive, and much needed, influence on getting more people back to work. This is especially relevant for those parents staying at home due to a shortage of daycare services or for those with children still e-learning. The U.S. finished 2021 with 10.9 million job openings, well above the 10-year average of 6.0 million, according to the BLS.
Lastly, we believe that politics, both domestic and foreign, could influence the markets in 2022. The most pressing issue currently is the conflict between Russia and Ukraine. The prevailing concern is that a Russian invasion could boost uncertainty and increase volatility in the markets, particularly the energy market. A war could conceivably push the price of oil higher, putting additional strain on inflation. On the domestic front, as it stands, the Biden Administration’s Build Back Better Act does not have the support of enough Democrats in the Senate to pass. It included substantial tax hikes primarily targeting the wealthy to pay for the nearly $2 trillion price tag. At best, the hope is to split it up into smaller bills to see if pieces of it can pass. That leads us to the second domestic political issue: the midterm elections in November 2022. If the Republicans can win back control of the House and the Senate, I would expect gridlock to persist throughout the last two years of President Joe Biden’s term. The good news is that gridlock is a normal byproduct of our system of checks and balances. The markets have experienced it, and investors have navigated it, plenty of times. The bottom line is that we need to reopen the economy and get people back to work. Stay the course!
Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months.
Sincerely,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
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Table of Contents
Fund Performance Overview (Unaudited)
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
The investment objective of First Trust Horizon Managed Volatility Domestic ETF (the “Fund”) is to provide capital appreciation. 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 common stocks of domestic companies listed and traded on U.S. national securities exchanges that Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) believes exhibit low future expected volatility. The goal of this strategy is to capture upside price movements in rising markets and reduce downside risk when markets decline. To implement this strategy, the Sub-Advisor employs volatility forecasting models to forecast future expected volatility. The strategy is largely quantitative and rules-based, but also includes multiple parameters over which the Sub-Advisor may exercise discretion (including, but not limited to, the number of holdings and the weightings of particular holdings) in connection with its active management of the Fund. Shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol “HUSV”. The first day of secondary market trading in shares of the Fund was August 25, 2016.
Performance  
      Average Annual Total Returns   Cumulative Total Returns
  6 Months
Ended
1/31/22
1 Year
Ended
1/31/22
5 Years
Ended
1/31/22
Inception
(8/24/16)
to 1/31/22
  5 Years
Ended
1/31/22
Inception
(8/24/16)
to 1/31/22
Fund Performance              
NAV 3.69% 24.31% 12.50% 11.85%   80.20% 83.83%
Market Price 3.63% 24.33% 12.49% 11.83%   80.10% 83.72%
Index Performance              
S&P 500® Index 3.44% 23.29% 16.78% 16.50%   117.21% 129.48%
(See Notes to Fund Performance Overview on page 9.)
Page 3

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Horizon Managed Volatility Domestic ETF (HUSV) (Continued)
Sector Allocation % of Total
Investments
Consumer Staples 17.5%
Information Technology 15.8
Industrials 13.7
Utilities 13.5
Health Care 11.1
Financials 10.1
Consumer Discretionary 6.9
Real Estate 4.4
Communication Services 3.6
Materials 3.4
Total 100.0%
Top Ten Holdings % of Total
Investments
McDonald’s Corp. 2.5%
PepsiCo, Inc. 2.5
Procter & Gamble (The) Co. 2.4
Johnson & Johnson 2.4
Coca-Cola (The) Co. 2.4
Mondelez International, Inc., Class A 2.3
Cisco Systems, Inc. 2.3
Verizon Communications, Inc. 2.3
Colgate-Palmolive Co. 2.2
Berkshire Hathaway, Inc., Class B 2.2
Total 23.5%

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.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
The investment objective of First Trust Horizon Managed Volatility Developed International ETF (the “Fund”) is to provide capital appreciation. 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 common stocks and depositary receipts of developed market companies listed and traded on non-U.S. exchanges that Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) believes exhibit low future expected volatility. The term “developed market companies” means those companies (i) whose securities are traded principally on a stock exchange in a developed market country, (ii) with a primary business office in a developed market country, or (iii) that have at least 50% of their assets in, or derive at least 50% of their revenues or profits from, a developed market country. The Sub-Advisor considers Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Luxembourg, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States to be developed market countries. However, this list may change in response to market and geopolitical events. Under normal market conditions, the Fund will invest in at least three countries and at least 40% of its net assets in countries other than the United States. Shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol “HDMV”. The first day of secondary market trading in shares of the Fund was August 25, 2016.
Performance  
      Average Annual Total Returns   Cumulative Total Returns
  6 Months
Ended
1/31/22
1 Year
Ended
1/31/22
5 Years
Ended
1/31/22
Inception
(8/24/16)
to 1/31/22
  5 Years
Ended
1/31/22
Inception
(8/24/16)
to 1/31/22
Fund Performance              
NAV -2.09% 5.73% 4.60% 3.50%   25.24% 20.60%
Market Price -2.08% 6.01% 4.50% 3.52%   24.59% 20.72%
Index Performance              
MSCI EAFE Index -3.43% 7.03% 7.85% 7.59%   45.92% 48.88%
(See Notes to Fund Performance Overview on page 9.)
Page 5

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Horizon Managed Volatility Developed International ETF (HDMV) (Continued)
Sector Allocation % of Total
Investments
Financials 21.4%
Consumer Staples 17.0
Utilities 15.0
Industrials 13.1
Communication Services 10.6
Health Care 5.7
Real Estate 5.7
Materials 4.5
Consumer Discretionary 4.1
Information Technology 1.9
Energy 1.0
Total 100.0%
Top Ten Holdings % of Total
Investments
CLP Holdings, Ltd. 2.0%
McDonald’s Holdings Co., Japan Ltd. 1.9
Nestle S.A. 1.9
Swisscom AG 1.8
Power Assets Holdings Ltd. 1.5
Novartis AG 1.5
Softbank Corp. 1.4
MTR Corp., Ltd. 1.4
National Grid PLC 1.4
Orange S.A. 1.4
Total 16.2%

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 6

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
The investment objective of First Trust Horizon Managed Volatility Small/Mid ETF (the “Fund”) is to seek to provide investors with capital appreciation. 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 small- and/or mid-capitalization common stocks listed and traded on U.S. national securities exchanges that Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) believes exhibit low future expected volatility. The goal of this strategy is to capture upside price movements in rising markets and reduce downside risk when markets decline. To implement this strategy, the Sub-Advisor employs volatility forecasting models to forecast future expected volatility. The strategy is largely quantitative and rules-based, but also includes multiple parameters over which the Sub-Advisor may exercise discretion (including, but not limited to, the number of holdings and the weightings of particular holdings) in connection with its active management of the Fund. Shares of the Fund are listed and trade on the NYSE Arca, Inc. under the ticker symbol “HSMV”. The first day of secondary market trading in shares of the Fund was April 7, 2020.
Performance
      Average Annual
Total Returns
Cumulative
Total Returns
  6 Months Ended
1/31/22
1 Year Ended
1/31/22
Inception (4/6/20)
to 1/31/22
Inception (4/6/20)
to 1/31/22
Fund Performance        
NAV -0.91% 16.74% 28.20% 57.24%
Market Price -0.75% 16.93% 28.29% 57.43%
Index Performance        
S&P 1000® Index -2.08% 12.98% 42.20% 89.92%
(See Notes to Fund Performance Overview on page 9.)
Page 7

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) (Continued)
Sector Allocation % of Total
Investments
Industrials 20.0%
Real Estate 17.4
Financials 15.5
Information Technology 10.0
Health Care 9.5
Consumer Discretionary 8.6
Consumer Staples 6.1
Materials 5.9
Utilities 5.7
Communication Services 1.3
Total 100.0%
Top Ten Holdings % of Total
Investments
Allscripts Healthcare Solutions, Inc. 0.8%
OGE Energy Corp. 0.7
Flowers Foods, Inc. 0.7
Silgan Holdings, Inc. 0.7
Medical Properties Trust, Inc. 0.7
IDACORP, Inc. 0.7
Viavi Solutions, Inc. 0.7
Rexford Industrial Realty, Inc. 0.7
Omega Healthcare Investors, Inc. 0.7
Life Storage, Inc. 0.6
Total 7.0%

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.
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Table of Contents
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 9

Table of Contents
Portfolio Management
First Trust Exchange-Traded Fund III
Semi-Annual Report
January 31, 2022 (Unaudited)
Advisor
First Trust Advisors L.P. (“First Trust” or the “Advisor”) serves as the investment advisor to the First Trust Horizon Managed Volatility Domestic ETF (“HUSV”), the First Trust Horizon Managed Volatility Developed International ETF (“HDMV”), and the First Trust Horizon Managed Volatility Small/Mid ETF (“HSMV”) (each a “Fund” and collectively, the “Funds”). First Trust is responsible for the ongoing monitoring of each Fund’s investment portfolio, managing each Fund’s business affairs and providing certain administrative services necessary for the management of each Fund.
Sub-Advisor
Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) serves as the investment sub-advisor to the Funds.
Portfolio Management Team
The following persons serve as portfolio managers of the Funds:
Michael Dickson, PhD, Portfolio Manager of Horizon
Scott Ladner, Portfolio Manager of Horizon
Steven Clark, PhD, Portfolio Manager of Horizon
The portfolio managers are primarily and jointly responsible for the day-to-day management of the Funds. Each portfolio manager has served as part of the portfolio management team of the Funds since each Fund’s inception.
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Table of Contents
First Trust Exchange-Traded Fund III
Understanding Your Fund Expenses
January 31, 2022 (Unaudited)
As a shareholder of First Trust Horizon Managed Volatility Domestic ETF, First Trust Horizon Managed Volatility Developed International ETF or First Trust Horizon Managed Volatility Small/Mid 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 (in U.S. dollars) 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 January 31, 2022.
Actual Expenses
The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this six-month period.
Hypothetical Example for Comparison Purposes
The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
  Beginning
Account Value
August 1, 2021
Ending
Account Value
January 31, 2022
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
Actual $1,000.00 $1,036.90 0.70% $3.59
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Actual $1,000.00 $979.10 0.80% $3.99
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Actual $1,000.00 $990.90 0.80% $4.01
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
    
(a) Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2021 through January 31, 2022), multiplied by 184/365 (to reflect the six-month period).
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Table of Contents
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
Portfolio of Investments
January 31, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS – 95.4%
    Aerospace & Defense – 4.1%    
8,630   General Dynamics Corp.   $1,830,423
4,970   Lockheed Martin Corp.   1,933,976
3,971   Northrop Grumman Corp.   1,468,873
        5,233,272
    Beverages – 4.9%    
50,522   Coca-Cola (The) Co.   3,082,347
18,239   PepsiCo, Inc.   3,164,832
        6,247,179
    Biotechnology – 2.2%    
5,747   Amgen, Inc.   1,305,374
22,324   Gilead Sciences, Inc.   1,533,212
        2,838,586
    Capital Markets – 2.4%    
13,434   Intercontinental Exchange, Inc.   1,701,551
7,659   Nasdaq, Inc.   1,372,569
        3,074,120
    Chemicals – 1.4%    
2,679   Linde PLC   853,744
3,404   Sherwin-Williams (The) Co.   975,280
        1,829,024
    Commercial Services &
Supplies – 3.7%
   
16,897   Republic Services, Inc.   2,157,071
16,602   Waste Management, Inc.   2,497,605
        4,654,676
    Communications Equipment – 4.0%    
52,351   Cisco Systems, Inc.   2,914,380
9,643   Motorola Solutions, Inc.   2,236,598
        5,150,978
    Containers & Packaging – 2.0%    
110,300   Amcor PLC   1,324,703
17,591   Sealed Air Corp.   1,194,781
        2,519,484
    Diversified Financial Services – 2.2%    
8,838   Berkshire Hathaway, Inc., Class B (a)   2,766,471
    Diversified Telecommunication
Services – 3.6%
   
68,315   AT&T, Inc.   1,742,032
54,224   Verizon Communications, Inc.   2,886,344
        4,628,376
    Electric Utilities – 6.8%    
14,610   Alliant Energy Corp.   874,555
Shares   Description   Value
    Electric Utilities (Continued)    
18,426   American Electric Power Co., Inc.   $1,665,710
16,924   Duke Energy Corp.   1,778,035
15,679   Evergy, Inc.   1,018,508
36,526   Southern (The) Co.   2,538,192
12,413   Xcel Energy, Inc.   864,690
        8,739,690
    Electrical Equipment – 1.0%    
9,672   AMETEK, Inc.   1,322,839
    Electronic Equipment,
Instruments & Components – 1.9%
   
29,976   Amphenol Corp., Class A   2,385,790
    Food & Staples Retailing – 1.9%    
1,926   Costco Wholesale Corp.   972,880
10,311   Walmart, Inc.   1,441,581
        2,414,461
    Food Products – 4.2%    
10,230   Hershey (The) Co.   2,016,026
5,033   Kellogg Co.   317,079
44,656   Mondelez International, Inc., Class A   2,993,292
        5,326,397
    Health Care Equipment &
Supplies – 2.3%
   
19,216   Baxter International, Inc.   1,641,815
5,258   Becton Dickinson and Co.   1,336,268
        2,978,083
    Health Care Providers &
Services – 2.0%
   
4,111   Laboratory Corp of America Holdings (a)   1,115,561
10,650   Quest Diagnostics, Inc.   1,437,963
        2,553,524
    Hotels, Restaurants &
Leisure – 3.8%
   
12,391   McDonald’s Corp.   3,214,845
12,947   Yum! Brands, Inc.   1,620,576
        4,835,421
    Household Products – 6.0%    
6,731   Church & Dwight Co., Inc.   690,937
34,636   Colgate-Palmolive Co.   2,855,738
6,911   Kimberly-Clark Corp.   951,299
19,291   Procter & Gamble (The) Co.   3,095,241
        7,593,215
 
Page 12
See Notes to Financial Statements

Table of Contents
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
Portfolio of Investments (Continued)
January 31, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS (Continued)
    Industrial Conglomerates – 2.5%    
8,420   3M Co.   $1,397,888
4,163   Roper Technologies, Inc.   1,819,897
        3,217,785
    Insurance – 5.5%    
8,607   Allstate (The) Corp.   1,038,607
10,084   Arthur J. Gallagher & Co.   1,592,667
6,687   Assurant, Inc.   1,019,834
15,168   Marsh & McLennan Cos., Inc.   2,330,412
9,837   Progressive (The) Corp.   1,068,888
        7,050,408
    IT Services – 9.9%    
7,461   Accenture PLC, Class A   2,638,061
11,414   Automatic Data Processing, Inc.   2,353,224
14,918   Broadridge Financial Solutions, Inc.   2,375,244
23,357   Paychex, Inc.   2,750,520
11,346   VeriSign, Inc. (a)   2,464,124
        12,581,173
    Life Sciences Tools &
Services – 0.8%
   
7,640   Agilent Technologies, Inc.   1,064,405
    Machinery – 1.5%    
8,309   Illinois Tool Works, Inc.   1,943,641
    Multiline Retail – 1.0%    
6,302   Dollar General Corp.   1,313,841
    Multi-Utilities – 6.6%    
16,590   Ameren Corp.   1,472,197
16,743   CMS Energy Corp.   1,077,914
12,773   Consolidated Edison, Inc.   1,104,226
10,971   Dominion Energy, Inc.   884,921
12,876   DTE Energy Co.   1,550,657
49,179   NiSource, Inc.   1,435,043
14,016   Public Service Enterprise Group, Inc.   932,484
        8,457,442
    Pharmaceuticals – 3.7%    
25,162   Bristol-Myers Squibb Co.   1,632,762
17,902   Johnson & Johnson   3,084,336
        4,717,098
    Specialty Retail – 2.0%    
3,704   Home Depot (The), Inc.   1,359,294
1,842   O’Reilly Automotive, Inc. (a)   1,200,523
        2,559,817
    Tobacco – 0.6%    
7,246   Philip Morris International, Inc.   745,251
Shares   Description   Value
    Trading Companies &
Distributors – 0.9%
   
19,632   Fastenal Co.   $1,112,742
    Total Common Stocks   121,855,189
    (Cost $108,197,359)    
REAL ESTATE INVESTMENT TRUSTS – 4.4%
    Equity Real Estate Investment
Trusts – 4.4%
   
6,607   Alexandria Real Estate Equities, Inc.   1,287,308
5,005   American Tower Corp.   1,258,757
6,592   AvalonBay Communities, Inc.   1,609,964
6,779   Mid-America Apartment Communities, Inc.   1,401,084
    Total Real Estate Investment Trusts   5,557,113
    (Cost $5,430,899)    
    Total Investments – 99.8%   127,412,302
    (Cost $113,628,258)    
    Net Other Assets and Liabilities – 0.2%   262,399
    Net Assets – 100.0%   $127,674,701
    
(a) Non-income producing security.

Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
1/31/2022
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Common Stocks* $121,855,189 $121,855,189 $ $
Real Estate Investment Trusts* 5,557,113 5,557,113
Total Investments $127,412,302 $127,412,302 $ $
    
* See Portfolio of Investments for industry breakout.
 
See Notes to Financial Statements
Page 13

Table of Contents
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Portfolio of Investments
January 31, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS (a) – 96.1%
    Australia – 4.6%    
5,868   ASX Ltd. (b)   $348,023
13,906   Australia & New Zealand Banking Group Ltd. (b)   262,808
38,812   Brambles Ltd. (b)   266,640
20,614   Coles Group Ltd. (b)   236,828
1,060   CSL Ltd. (b)   196,357
157,129   Medibank Pvt Ltd. (b)   344,312
10,479   National Australia Bank Ltd. (b)   202,197
5,083   Ramsay Health Care Ltd. (b)   226,783
8,955   Sonic Healthcare Ltd. (b)   241,161
106,856   Telstra Corp., Ltd. (b)   297,052
9,061   Wesfarmers Ltd. (b)   338,089
12,456   Westpac Banking Corp. (b)   179,652
11,738   Woolworths Group Ltd. (b)   286,342
        3,426,244
    Belgium – 1.6%    
7,077   Etablissements Franz Colruyt N.V. (b)   287,466
8,147   Groupe Bruxelles Lambert S.A. (b)   874,196
        1,161,662
    Bermuda – 0.6%    
67,083   CK Infrastructure Holdings Ltd. (b)   413,390
    Cayman Islands – 0.6%    
65,334   CK Hutchison Holdings Ltd. (b)   464,350
    Denmark – 0.9%    
1,534   Carlsberg A.S., Class B (b)   248,402
3,111   Novozymes A.S., Class B (b)   213,562
9,781   Tryg A.S. (b)   231,769
        693,733
    France – 10.9%    
5,404   Air Liquide S.A. (b)   924,405
3,696   Amundi S.A. (b) (c) (d)   287,313
2,671   Arkema S.A. (b)   394,956
11,481   AXA S.A. (b)   363,615
11,607   Bouygues S.A. (b)   409,345
34,950   Bureau Veritas S.A. (b)   1,000,001
3,475   Danone S.A. (b)   216,670
1,486   EssilorLuxottica S.A. (b)   281,130
6,601   La Francaise des Jeux SAEM (b) (c) (d)   273,305
4,548   Legrand S.A. (b)   462,864
719   L’Oreal S.A. (b)   307,118
86,075   Orange S.A. (b)   1,011,162
2,470   Pernod Ricard S.A. (b)   528,331
1,512   Remy Cointreau S.A. (b)   315,302
7,605   Sanofi (b)   795,194
697   Teleperformance (b)   262,483
Shares   Description   Value
    France (Continued)    
3,788   Thales S.A. (b)   $349,433
        8,182,627
    Germany – 8.4%    
1,523   Allianz SE (b)   391,034
5,905   Beiersdorf AG (b)   587,332
3,436   Brenntag SE (b)   294,383
2,720   Deutsche Boerse AG (b)   483,487
30,788   Deutsche Telekom AG (b)   581,246
47,085   E.ON SE (b)   649,419
12,225   Evonik Industries AG (b)   398,825
2,250   Hannover Rueck SE (b)   453,920
12,626   Henkel AG & Co., KGaA (b)   997,593
2,378   LEG Immobilien SE (b)   315,462
2,762   Symrise AG (b)   330,057
9,215   Uniper SE (b)   416,977
6,110   Vonovia SE (b)   348,000
        6,247,735
    Hong Kong – 7.4%    
162,666   BOC Hong Kong Holdings Ltd. (b)   628,109
150,035   CLP Holdings, Ltd. (b)   1,501,477
22,651   Hang Seng Bank Ltd. (b)   448,440
485,752   Hong Kong & China Gas Co., Ltd. (b)   748,669
192,649   MTR Corp., Ltd. (b)   1,042,776
185,546   Power Assets Holdings Ltd. (b)   1,140,108
        5,509,579
    Ireland – 0.3%    
1,804   Kerry Group PLC, Class A (b)   227,300
    Israel – 0.9%    
2,632   Check Point Software Technologies Ltd. (e)   318,498
8,567   Mizrahi Tefahot Bank Ltd. (b)   331,179
        649,677
    Italy – 2.9%    
30,070   Assicurazioni Generali S.p.A. (b)   632,816
4,291   Recordati Industria Chimica e Farmaceutica S.p.A. (b)   240,384
146,120   Snam S.p.A. (b)   818,810
61,659   Terna-Rete Elettrica Nazionale S.p.A. (b)   484,480
        2,176,490
    Japan – 19.7%    
29,600   Chubu Electric Power Co., Inc. (b)   296,471
41,200   Daiwa Securities Group, Inc. (b)   248,259
48,600   ENEOS Holdings, Inc. (b)   193,556
2,600   FUJIFILM Holdings Corp. (b)   174,294
5,900   Idemitsu Kosan Co., Ltd. (b)   151,168
10,600   ITOCHU Corp. (b)   340,540
 
Page 14
See Notes to Financial Statements

Table of Contents
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Portfolio of Investments (Continued)
January 31, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Japan (Continued)    
32,500   Japan Post Bank Co., Ltd. (b)   $319,727
23,000   Japan Post Holdings Co., Ltd. (b)   196,317
29,200   Japan Tobacco, Inc. (b)   582,975
24,300   Kansai Electric Power (The) Co., Inc. (b)   229,371
7,100   Kao Corp. (b)   354,798
10,300   KDDI Corp. (b)   329,072
19,200   Kirin Holdings Co., Ltd. (b)   307,740
2,400   Kobayashi Pharmaceutical Co., Ltd. (b)   186,895
5,200   Lawson, Inc. (b)   227,911
13,000   Lion Corp. (b)   169,857
32,600   McDonald’s Holdings Co., Japan Ltd. (b)   1,423,656
10,200   Medipal Holdings Corp. (b)   183,550
7,200   MEIJI Holdings Co., Ltd. (b)   449,148
9,200   Mitsubishi Corp. (b)   312,362
16,700   Mitsubishi Estate Co., Ltd. (b)   240,521
38,700   Mitsubishi HC Capital, Inc. (b)   199,873
32,100   Mitsubishi UFJ Financial Group, Inc. (b)   194,567
20,200   Mizuho Financial Group, Inc. (b)   273,629
9,600   MS&AD Insurance Group Holdings, Inc. (b)   329,276
6,000   NH Foods Ltd. (b)   231,385
12,700   Nippon Telegraph & Telephone Corp. (b)   363,445
16,800   Nisshin Seifun Group, Inc. (b)   235,909
3,700   Nissin Foods Holdings Co., Ltd. (b)   262,451
16,000   Osaka Gas Co., Ltd. (b)   272,102
6,300   Otsuka Holdings Co., Ltd. (b)   214,939
53,600   Resona Holdings, Inc. (b)   230,343
5,100   Secom Co., Ltd. (b)   359,112
8,500   Sekisui House Ltd. (b)   172,211
33,500   Shizuoka Bank (The), Ltd. (b)   263,225
83,800   Softbank Corp. (b)   1,050,506
3,800   Sohgo Security Services Co., Ltd. (b)   137,817
5,500   Sompo Holdings, Inc. (b)   257,364
13,400   Sumitomo Corp. (b)   207,103
6,000   Sumitomo Mitsui Financial Group, Inc. (b)   216,126
6,300   Sumitomo Mitsui Trust Holdings, Inc. (b)   217,862
4,200   Taisho Pharmaceutical Holdings Co., Ltd. (b)   206,271
12,300   Takeda Pharmaceutical Co., Ltd. (b)   356,493
31,100   Tohoku Electric Power Co., Inc. (b)   219,065
3,400   Tokio Marine Holdings, Inc. (b)   202,891
11,700   Tokyo Gas Co., Ltd. (b)   236,243
11,900   Toyota Motor Corp. (b)   235,182
Shares   Description   Value
    Japan (Continued)    
3,600   Trend Micro, Inc. (b)   $190,989
1,800   Tsuruha Holdings, Inc. (b)   144,980
9,200   USS Co., Ltd. (b)   150,150
48,200   Yamada Holdings Co., Ltd. (b)   162,668
        14,712,365
    Jersey – 0.5%    
2,225   Ferguson PLC (b)   349,972
    Netherlands – 5.6%    
3,240   Akzo Nobel N.V. (b)   335,365
30,948   Davide Campari-Milano N.V. (b)   388,561
4,352   Heineken Holding N.V. (b)   381,548
3,623   Heineken N.V. (b)   388,554
18,823   Koninklijke Ahold Delhaize N.V. (b)   610,329
2,239   Koninklijke DSM N.V. (b)   419,724
10,992   Koninklijke Vopak N.V. (b)   377,145
9,883   NN Group N.V. (b)   553,074
7,260   Wolters Kluwer N.V. (b)   738,913
        4,193,213
    New Zealand – 1.1%    
293,205   Spark New Zealand Ltd. (b)   838,019
    Norway – 1.1%    
43,466   Orkla ASA (b)   415,378
24,934   Telenor ASA (b)   412,073
        827,451
    Singapore – 6.1%    
14,400   DBS Group Holdings Ltd. (b)   378,243
63,800   Oversea-Chinese Banking Corp., Ltd. (b)   593,868
60,600   Singapore Exchange Ltd. (b)   419,459
285,200   Singapore Technologies Engineering Ltd. (b)   792,702
291,400   Singapore Telecommunications Ltd. (b)   528,374
43,300   United Overseas Bank Ltd. (b)   967,697
82,500   UOL Group Ltd. (b)   447,395
35,900   Venture Corp. Ltd. (b)   470,353
        4,598,091
    Spain – 2.0%    
27,580   Enagas S.A. (b)   596,336
17,600   Iberdrola S.A. (b)   201,785
8,254   Naturgy Energy Group S.A. (b)   261,341
23,415   Red Electrica Corp. S.A. (b)   472,005
        1,531,467
    Sweden – 3.3%    
12,695   Essity AB, Class B (b)   357,877
5,393   Industrivarden AB, Class A (b)   170,483
6,153   Industrivarden AB, Class C (b)   191,116
9,298   Investor AB, Class B (b)   201,878
 
See Notes to Financial Statements
Page 15

Table of Contents
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Portfolio of Investments (Continued)
January 31, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Sweden (Continued)    
21,433   Svenska Handelsbanken AB, Class A (b)   $228,424
28,056   Swedish Match AB (b)   217,077
23,314   Tele2 AB, Class B (b)   339,220
197,123   Telia Co., AB (b)   776,940
        2,483,015
    Switzerland – 11.1%    
4,099   Baloise Holding AG (b)   718,049
654   Geberit AG (b)   444,348
10,664   Nestle S.A. (b)   1,377,132
12,452   Novartis AG (b)   1,081,949
1,319   Roche Holding AG (b)   510,452
1,389   Schindler Holding AG (b)   348,617
724   Swiss Life Holding AG (b)   465,974
7,935   Swiss Prime Site AG (b)   784,585
4,213   Swiss Re AG (b)   459,039
2,272   Swisscom AG (b)   1,298,619
1,765   Zurich Insurance Group AG (b)   844,214
        8,332,978
    United Kingdom – 6.5%    
8,786   Bunzl PLC (b)   329,097
2,713   Croda International PLC (b)   292,999
70,098   National Grid PLC (b)   1,025,739
9,254   RELX PLC (b)   284,657
39,674   Rentokil Initial PLC (b)   277,827
27,881   Sage Group (The) PLC (b)   272,453
11,304   Severn Trent PLC (b)   438,870
1,148   Spirax-Sarco Engineering PLC (b)   206,934
88,399   Tesco PLC (b)   355,070
13,803   Unilever PLC (b)   707,844
46,292   United Utilities Group PLC (b)   667,803
        4,859,293
    Total Common Stocks   71,878,651
    (Cost $70,667,118)    
REAL ESTATE INVESTMENT TRUSTS (a) – 2.8%
    France – 0.5%    
3,061   Gecina S.A. (b)   415,354
    Hong Kong – 0.7%    
57,850   Link REIT (b)   496,672
    Singapore – 1.6%    
224,900   Ascendas Real Estate Investment Trust (b)   461,235
228,400   Mapletree Commercial Trust (b)   305,717
Shares   Description   Value
    Singapore (Continued)    
331,943   Mapletree Logistics Trust (b)   $417,758
        1,184,710
    Total Real Estate Investment Trusts   2,096,736
    (Cost $2,293,879)    
    Total Investments – 98.9%   73,975,387
    (Cost $72,960,997)    
    Net Other Assets and Liabilities – 1.1%   817,561
    Net Assets – 100.0%   $74,792,948
    
(a) Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940, as amended. At January 31, 2022, securities noted as such are valued at $73,656,889 or 98.5% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded.
(c) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(d) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(e) Non-income producing security.
    
 
Page 16
See Notes to Financial Statements

Table of Contents
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Portfolio of Investments (Continued)
January 31, 2022 (Unaudited)
Currency Exposure
Diversification
% of Total
Investments
Euro 32.6%
Japanese Yen 19.9
Swiss Franc 11.3
Hong Kong Dollar 9.3
Singapore Dollar 7.8
British Pound Sterling 7.1
Australian Dollar 4.6
Swedish Krona 3.4
New Zealand Dollar 1.1
Norwegian Krone 1.1
Danish Krone 0.9
Israeli Shekel 0.5
United States Dollar 0.4
Total 100.0%

Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
1/31/2022
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Common Stocks:        
Israel $649,677 $318,498 $331,179 $
Other Country Categories* 71,228,974 71,228,974
Real Estate Investment Trusts* 2,096,736 2,096,736
Total Investments $73,975,387 $318,498 $73,656,889 $
    
* See Portfolio of Investments for country breakout.
See Notes to Financial Statements
Page 17

Table of Contents
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Portfolio of Investments
January 31, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS – 80.6%
    Aerospace & Defense – 0.4%    
1,037   Mercury Systems, Inc. (a)   $59,026
    Air Freight & Logistics – 0.3%    
598   Atlas Air Worldwide Holdings, Inc. (a)   48,037
    Auto Components – 1.0%    
2,492   Gentex Corp.   78,249
364   Lear Corp.   60,904
        139,153
    Banks – 3.4%    
2,806   Associated Banc-Corp.   67,063
1,351   Bank OZK   63,294
1,316   Commerce Bancshares, Inc.   90,686
515   Cullen/Frost Bankers, Inc.   72,620
3,740   First Horizon Corp.   63,991
1,002   Prosperity Bancshares, Inc.   73,397
4,456   Valley National Bancorp   62,028
        493,079
    Biotechnology – 0.5%    
326   United Therapeutics Corp. (a)   65,810
    Building Products – 1.7%    
387   Carlisle Cos., Inc.   86,471
264   Lennox International, Inc.   74,876
616   Owens Corning   54,639
431   Trex Co., Inc. (a)   39,424
        255,410
    Capital Markets – 3.1%    
324   Affiliated Managers Group, Inc.   47,372
458   Evercore, Inc., Class A   57,168
204   FactSet Research Systems, Inc.   86,066
1,428   Janus Henderson Group PLC   52,693
1,716   Jefferies Financial Group, Inc.   62,874
1,413   SEI Investments Co.   82,816
885   Stifel Financial Corp.   66,286
        455,275
    Chemicals – 2.2%    
922   Ashland Global Holdings, Inc.   88,549
1,019   RPM International, Inc.   90,293
405   Scotts Miracle-Gro (The) Co.   61,236
2,722   Valvoline, Inc.   89,663
        329,741
    Commercial Services &
Supplies – 2.5%
   
1,289   ABM Industries, Inc.   53,739
620   Clean Harbors, Inc. (a)   57,381
1,054   IAA, Inc. (a)   48,410
592   MSA Safety, Inc.   81,341
1,303   Stericycle, Inc. (a)   76,538
Shares   Description   Value
    Commercial Services &
Supplies (Continued)
   
349   Tetra Tech, Inc.   $48,577
        365,986
    Communications Equipment – 1.3%    
1,293   Ciena Corp. (a)   85,739
5,934   Viavi Solutions, Inc. (a)   97,673
        183,412
    Construction & Engineering – 0.8%    
930   AECOM   64,291
476   EMCOR Group, Inc.   56,744
        121,035
    Construction Materials – 0.4%    
419   Eagle Materials, Inc.   61,111
    Consumer Finance – 0.4%    
3,559   SLM Corp.   65,272
    Containers & Packaging – 1.8%    
700   AptarGroup, Inc.   82,110
2,227   Silgan Holdings, Inc.   99,725
1,511   Sonoco Products Co.   85,583
        267,418
    Diversified Consumer
Services – 1.5%
   
758   Grand Canyon Education, Inc. (a)   63,429
2,917   H&R Block, Inc.   66,683
1,388   Service Corp. International   85,667
        215,779
    Electric Utilities – 1.9%    
891   IDACORP, Inc.   98,206
2,688   OGE Energy Corp.   101,929
1,866   PNM Resources, Inc.   83,615
        283,750
    Electrical Equipment – 1.3%    
440   Hubbell, Inc.   82,408
1,551   nVent Electric PLC   53,649
352   Regal Rexnord Corp.   55,785
        191,842
    Electronic Equipment,
Instruments & Components – 3.6%
   
755   Arrow Electronics, Inc. (a)   93,620
2,167   Avnet, Inc.   87,460
957   Cognex Corp.   63,602
1,155   Jabil, Inc.   71,021
234   Littelfuse, Inc.   63,173
 
Page 18
See Notes to Financial Statements

Table of Contents
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Portfolio of Investments (Continued)
January 31, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS (Continued)
    Electronic Equipment,
Instruments & Components (Continued)
   
648   TD SYNNEX Corp.   $67,762
6,409   TTM Technologies, Inc. (a)   86,265
        532,903
    Entertainment – 0.5%    
1,318   World Wrestling Entertainment, Inc., Class A   65,821
    Food & Staples Retailing – 2.0%    
1,055   BJ’s Wholesale Club Holdings, Inc. (a)   64,851
454   Casey’s General Stores, Inc.   85,266
2,645   Grocery Outlet Holding Corp. (a)   67,130
2,853   Sprouts Farmers Market, Inc. (a)   77,430
        294,677
    Food Products – 3.5%    
3,612   Flowers Foods, Inc.   101,606
1,966   Hain Celestial Group (The), Inc. (a)   71,818
923   Ingredion, Inc.   87,408
565   Lancaster Colony Corp.   89,705
877   Post Holdings, Inc. (a)   92,804
1,801   TreeHouse Foods, Inc. (a)   69,753
        513,094
    Gas Utilities – 0.6%    
2,059   UGI Corp.   93,376
    Health Care Equipment &
Supplies – 3.2%
   
486   CONMED Corp.   66,864
1,825   Envista Holdings Corp. (a)   78,913
1,179   Globus Medical, Inc., Class A (a)   78,675
251   ICU Medical, Inc. (a)   53,553
1,018   Integra LifeSciences Holdings Corp. (a)   65,905
318   Masimo Corp. (a)   69,919
1,205   NuVasive, Inc. (a)   62,672
        476,501
    Health Care Providers &
Services – 3.2%
   
1,041   Acadia Healthcare Co., Inc. (a)   54,809
607   AMN Healthcare Services, Inc. (a)   61,513
182   Chemed Corp.   85,342
1,363   Encompass Health Corp.   84,560
438   LHC Group, Inc. (a)   54,356
242   Molina Healthcare, Inc. (a)   70,296
1,990   Patterson Cos., Inc.   57,093
        467,969
Shares   Description   Value
    Health Care Technology – 0.8%    
5,934   Allscripts Healthcare Solutions, Inc. (a)   $119,986
    Hotels, Restaurants &
Leisure – 2.8%
   
603   Choice Hotels International, Inc.   86,470
466   Cracker Barrel Old Country Store, Inc.   55,519
722   Jack in the Box, Inc.   65,738
523   Papa John’s International, Inc.   64,565
706   Texas Roadhouse, Inc.   60,285
951   Wyndham Hotels & Resorts, Inc.   79,837
        412,414
    Household Durables – 0.4%    
312   Helen of Troy, Ltd. (a)   65,311
    Household Products – 0.6%    
2,158   Energizer Holdings, Inc.   81,162
    Insurance – 4.3%    
134   Alleghany Corp. (a)   88,976
526   American Financial Group, Inc.   68,527
1,226   First American Financial Corp.   91,349
1,253   Kemper Corp.   75,155
303   Kinsale Capital Group, Inc.   60,697
3,550   Old Republic International Corp.   90,987
582   Reinsurance Group of America, Inc.   66,831
576   RenaissanceRe Holdings Ltd.   90,530
        633,052
    Interactive Media & Services – 0.4%    
585   Ziff Davis, Inc. (a)   61,460
    IT Services – 1.5%    
1,807   Genpact Ltd.   89,898
1,067   Maximus, Inc.   82,501
440   Perficient, Inc. (a)   46,121
        218,520
    Leisure Products – 0.8%    
3,028   Mattel, Inc. (a)   63,346
529   Polaris, Inc.   59,560
        122,906
    Life Sciences Tools &
Services – 0.8%
   
286   Medpace Holdings Inc. (a)   50,754
806   Syneos Health, Inc. (a)   72,991
        123,745
    Machinery – 6.2%    
409   AGCO Corp.   47,935
1,133   Colfax Corp. (a)   46,589
 
See Notes to Financial Statements
Page 19

Table of Contents
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Portfolio of Investments (Continued)
January 31, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS (Continued)
    Machinery (Continued)    
489   Crane Co.   $50,616
1,489   Donaldson Co., Inc.   82,878
1,448