Caution Regarding Forward-Looking Statements

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

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

Performance and Risk Disclosure

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

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

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

How to Read This Report

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

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

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

Page 1

Shareholder Letter

First Trust Exchange-Traded Fund
Annual Letter from the Chairman and CEO
December 31, 2023

Dear Shareholders,

First Trust is pleased to provide you with the annual report for certain series of the First Trust Exchange-Traded Fund (the “Funds”), which contains detailed information about the Funds for the twelve months ended December 31, 2023. Please note that the First Trust S&P 500 Diversified Free Cash Flow ETF was incepted on August 23, 2023 and therefore, any information in this letter or the annual report prior to that Fund’s inception date does not apply to that Fund.

As 2023 comes to a close, it strikes me that many of the critical themes investors have been navigating over the past year remain unresolved. High inflation, the direction of central bank policy, and the risk of an economic recession in the U.S. are just a few examples, but another is war. The war between Russia and Ukraine rages on and will enter its third full year in just a few short months. In addition, geopolitical tensions across the Middle East are rising. Israel is at war with Hamas, and the Houthi rebels have been attacking global shipping lanes in the Red Sea, threatening the global supply chain, and prompting a military response from the U.S. and Britain.

Despite these headwinds, the broader U.S. equity and fixed income markets surged during the year. In the U.S., the S&P 500® Index rose by 26.29% on a total return basis between December 31, 2022, and December 31, 2023, according to data from Bloomberg. The Bloomberg U.S. Aggregate Bond Index also enjoyed a positive total return, rising by 5.53% over the same period. These returns can be explained, in part, by expectations that the Federal Reserve (the “Fed”) could cut interest rates in 2024. In its December 2023 statement, the Fed indicated that it expects to reduce the Federal Funds target rate by as much as 75 basis points (“bps”) over three cuts throughout 2024. It appears investors expect even steeper cuts than the Fed announced. As of December 31, 2023, the Fed Funds Futures market was pricing in nearly six rate cuts totaling more than 150 bps by the end of 2024.

In some regards, the past year serves as a stark warning against taking an overly myopic view when it comes to investing. Data from the Investment Company Institute revealed that total net assets in money market accounts stood at a record $5.9 trillion on December 6, 2023, up from $4.8 trillion at the start of the year. While the figure may be sizable, it is not surprising, in my view, especially considering the impediments to growth mentioned above. While money market assets likely earned higher interest payments than they would have before the Fed began interest rate hikes, they certainly underperformed the S&P 500® Index’s staggering total return for the year.

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.

Page 2

Market Overview

First Trust Exchange-Traded Fund
Annual Report
December 31, 2023

Robert F. Carey, CFA
Senior Vice President and Chief Market Strategist
First Trust Advisors L.P.

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

State of the Economy/Investing

The direction of central bank policy, inflation, and the threat that an economic recession might befall the U.S. economy dominated global headlines throughout much of 2023. In the U.S., the Federal Reserve (the “Fed”) increased the Federal Funds target rate (upper bound) from 4.50% to 5.50% over the first three quarters of the year before pausing in September. As a result, inflation, as measured by the trailing 12-month change in the rate of the Consumer Price Index, moderated from 6.5% on December 31, 2022 to 3.4% as of December 31, 2023. While the correlation between higher interest rates and declining inflation is welcome news, the metric remains elevated well-above the Fed’s stated goal of 2.0%, fueling continued debate regarding the Fed’s ability to orchestrate a “soft landing” in the U.S. economy.

Higher interest rates appear to be hindering global growth. In their October 2023 “World Economic Outlook”, the International Monetary Fund (“IMF”) projected that real gross domestic product (“GDP”) would decline from 3.5%, where it stood in 2022, to 2.9% in 2024. For comparison, global growth averaged 3.8% from 2000-2019. On a percentage basis, advanced economies are expected to fare worse than emerging markets and developing economies. The IMF is projecting a 1.4% growth rate for advanced economies in 2024, down from 2.6% in 2022. For comparison, GDP among emerging markets and developing economies is expected to fall to 4.0% in 2024, down from 4.1% in 2022.

U.S. Stocks and Bonds

All three of the major U.S. stock indices posted substantial gains in 2023. The S&P 500® Index (the “Index”), the S&P MidCap 400® Index and the S&P SmallCap 600® Index posted total returns of 26.29%, 16.44%, and 16.05%, respectively, according to Bloomberg. Nine of the eleven major sectors that comprise the Index posted positive total returns for the year. The Index’s top performing sector was the Information Technology sector, up 57.84%, while the worst performing sector was the Utilities sector, which fell by 7.08% on a total return basis during the year. After a forecasted contraction in 2023, earnings estimates are expected to recover in 2024. Bloomberg’s consensus year-over-year earnings growth rate estimates for the Index for 2023 and 2024 stood at -3.11% and 10.73%, respectively, as of January 12, 2024.

The yield on the benchmark 10-Year Treasury Note (“T-Note”) closed trading on December 29, 2023, at 3.88%, unchanged from where it stood on December 30, 2022, according to data from Bloomberg. The 3.88% yield stood 157 basis points (“bps”) above its 2.31% average for the 10-year period ended December 29, 2023. Despite ending the year unchanged, the yield on the 10-Year T-Note was quite volatile in 2023, falling to an intra-year low of 3.31% on April 6, peaking at 4.99% on October 19, then retreating again to 3.88% at year-end. Most bond investors likely know that bond prices and yields typically move in opposite directions. Between October 19, 2023 (the peak on the yield of the 10-Year T-Note), and December 29, 2023, the total return of the Bloomberg U.S. Aggregate Bond Index stood at 9.28%, reflecting a decline of 111 bps in the yield of the 10-Year T-Note over the period. All the major U.S. bond indices we track posted positive total returns in 2023. The top performing major debt group was corporate high yield bonds. The Bloomberg U.S. Corporate High Yield Index posted a total return of 13.44% over the period. The worst performing debt group that we track was intermediate U.S. Treasuries. The Bloomberg U.S. Intermediate Treasury Index posted a total return of 4.28% over the period.

Foreign Stocks and Bonds

The U.S. Dollar depreciated by 2.11% against a basket of major currencies in 2023, as measured by the U.S. Dollar Index (“DXY”), according to Bloomberg. The DXY closed 2023 at a reading of 101.33, significantly above its 20-year average of 88.91. The weaker U.S. Dollar likely had a positive influence on the returns of unhedged foreign securities held by U.S. investors.

The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of 9.63% (USD), while the Bloomberg Global Aggregate Index of higher quality debt rose 5.72% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of 9.83% (USD), while the MSCI World ex USA Index rose by 17.94% (USD) on a total return basis, according to Bloomberg.

Page 3

Fund Performance Overview (Unaudited)

First Trust Dividend Strength ETF (FTDS)

The First Trust Dividend Strength ETF (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an index called The Dividend StrengthTM Index (the “Index”). The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The Index is designed to provide exposure to well-capitalized companies with a history of increasing their dividends. The term “well-capitalized” reflects companies that have strong balance sheets with durable cash flow and a record of profitability. The Index screens companies for strong balance sheets, a high degree of liquidity, the ability to increase dividends and a record of dividend growth. According to the Index Provider, to be included in the Index, a security’s issuer must have: (i) a long-term debt to market cap ratio of less than 40%; (ii) a return on equity of greater than 10%; (iii) a 5-year compounded dividend growth rate greater than 5%; and (iv) a dividend payout ratio of less than 50%. Securities within each of the 11 industries used by the Industry Classification Benchmark are ranked by dividend yield relative to their industry peers, with the highest indicated dividend yielding security receiving a rank of 1. The top 15 securities per industry are selected and combined for the final evaluation universe. For the final selection, each remaining security from the combined evaluation universe is reranked based on indicated dividend yield with a rank of 1 representing the highest indicated dividend yield. The top 50 securities are selected for inclusion in the final portfolio and are then equally-weighted. The Index is rebalanced and reconstituted quarterly based on the Index’s rules-based methodology, and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund’s shares are listed for trading on Nasdaq, Inc.. The first day of secondary market trading in shares of the Fund was December 7, 2006.

Performance
		Average Annual Total Returns			Cumulative Total Returns
	1 Year Ended 12/31/23	5 Years Ended 12/31/23	10 Years Ended 12/31/23	Inception (12/5/06) to 12/31/23	5 Years Ended 12/31/23	10 Years Ended 12/31/23	Inception (12/5/06) to 12/31/23
Fund Performance
NAV	11.84%	11.45%	7.45%	6.47%	71.96%	105.12%	191.75%
Market Price	11.66%	11.45%	7.45%	6.47%	71.97%	105.06%	191.72%
Index Performance
The Dividend StrengthTM Index(1)(2)	12.63%	N/A	N/A	N/A	N/A	N/A	N/A
S&P 500® Index(3)	26.29%	15.69%	12.03%	9.54%	107.21%	211.49%	374.24%
Dow Jones U.S. Select Dividend Index	1.53%	10.05%	9.26%	7.41%	61.40%	142.54%	238.68%
Russell 1000® Value Index	11.46%	10.91%	8.40%	6.84%	67.79%	123.99%	209.16%

(1)	On April 29, 2022, the Fund’s underlying index changed from the Nasdaq AlphaDEX® Total US Market Index to The Dividend StrengthTM Index. Therefore, the Fund’s performance and total returns shown are not necessarily indicative of the performance the Fund, based on its current index, would have generated.
(2)	Because the Fund’s underlying index has an inception date of March 7, 2022, performance data for the Index is not available for all periods shown in the table because performance data does not exist for some of the entire periods.
(3)	The S&P 500® Index will serve as the Fund’s new primary benchmark index. The Fund’s portfolio managers believe that the S&P 500® Index provides a more appropriate comparison to Fund returns.

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

Performance Review

The Fund generated a net asset value (“NAV”) return of 11.84% during the 12-month period covered by this report. During the same period, the S&P 500® Index (the “Benchmark”) generated a return of 26.29%. The Industrials sector was the largest sector allocation by average weight at 24.9%. The largest contribution to the Fund’s return was also the Industrials sector, which contributed 4.8%. The largest negative contributors to the Fund’s return were the Consumer Staples sector and the Materials sector, each contributing -0.4% to the Fund’s return.

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

Page 4

Fund Performance Overview (Unaudited) (Continued)

First Trust Dividend Strength ETF (FTDS) (Continued)

Sector Allocation	% of Total Long-Term Investments
Financials	27.9%
Industrials	22.3
Energy	13.6
Information Technology	10.9
Consumer Discretionary	10.3
Materials	5.6
Consumer Staples	5.2
Real Estate	2.2
Health Care	2.0
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Zions Bancorp N.A.	2.6%
East West Bancorp, Inc.	2.5
Regions Financial Corp.	2.4
QUALCOMM, Inc.	2.4
SouthState Corp.	2.3
Williams-Sonoma, Inc.	2.3
Texas Roadhouse, Inc.	2.3
Cullen/Frost Bankers, Inc.	2.2
Commerce Bancshares, Inc.	2.2
PACCAR, Inc.	2.2
Total	23.4%

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 5

Fund Performance Overview (Unaudited) (Continued)

First Trust Dow 30 Equal Weight ETF (EDOW)

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

Performance
		Average Annual Total Returns		Cumulative Total Returns
	1 Year Ended 12/31/23	5 Years Ended 12/31/23	Inception (8/8/17) to 12/31/23	5 Years Ended 12/31/23	Inception (8/8/17) to 12/31/23
Fund Performance
NAV	15.74%	10.92%	10.07%	67.91%	84.79%
Market Price	15.81%	10.95%	10.08%	68.12%	84.84%
Index Performance
Dow Jones Industrial Average® Equal Weight Index	16.37%	11.61%	10.72%	73.17%	91.86%
Dow Jones Industrial AverageTM	16.18%	12.47%	11.12%	80.00%	96.36%
S&P 500® Index	26.29%	15.69%	12.78%	107.21%	115.79%

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

Performance Review

The Fund generated a NAV return of 15.74% during the 12-month period covered by this report. During the same period, the Dow Jones Industrial AverageTM (the “Benchmark”) generated a return of 16.18%. The largest sector allocation by weight was the Information Technology sector, with an average portfolio weight of 21.3%. This sector also contributed the most to the Fund’s return, contributing 10.1%. The largest negative contributions to the Fund’s return came from the Energy sector and the Consumer Staples sector, each contributing -0.5% to the Fund’s return.

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

Page 6

Fund Performance Overview (Unaudited) (Continued)

First Trust Dow 30 Equal Weight ETF (EDOW) (Continued)

Sector Allocation	% of Total Long-Term Investments
Information Technology	20.0%
Financials	17.1
Industrials	13.8
Consumer Staples	13.4
Health Care	13.1
Consumer Discretionary	9.7
Communication Services	6.2
Materials	3.4
Energy	3.3
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Intel Corp.	3.8%
Caterpillar, Inc.	3.6
Walgreens Boots Alliance, Inc.	3.6
American Express Co.	3.5
Goldman Sachs Group (The), Inc.	3.5
Honeywell International, Inc.	3.4
Dow, Inc.	3.4
JPMorgan Chase & Co.	3.4
Amgen, Inc.	3.4
Boeing (The) Co.	3.4
Total	35.0%

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 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

Page 7

Fund Performance Overview (Unaudited) (Continued)

First Trust Lunt U.S. Factor Rotation ETF (FCTR)

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

Performance
		Average Annual Total Returns		Cumulative Total Returns
	1 Year Ended 12/31/23	5 Years Ended 12/31/23	Inception (7/25/18) to 12/31/23	5 Years Ended 12/31/23	Inception (7/25/18) to 12/31/23
Fund Performance
NAV	0.68%	10.49%	7.05%	64.70%	44.78%
Market Price	0.61%	10.49%	7.04%	64.64%	44.73%
Index Performance
Lunt Capital Large Cap Factor Rotation Index	1.45%	11.34%	7.85%	71.09%	50.77%
Nasdaq US 500 Large CapTM Index	27.14%	15.74%	11.89%	107.67%	84.20%
S&P 500® Index	26.29%	15.69%	11.89%	107.21%	84.16%

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

Performance Review

The Fund generated a NAV return of 0.68% during the 12-month period covered by this report. During the same period, the Nasdaq US 500 Large CapTM Index (the “Benchmark”) generated a return of 27.14%. The largest sector allocation by weight was the Information Technology sector, with an average portfolio weight of 24.5%. The Financials sector was also highly weighted at 17.8%. The Information Technology sector contributed the most to the Fund’s return, contributing 5.4%. The largest negative contribution to the Fund’s return came from the Financials sector, contributing -2.9% during the period.

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

Page 8

Fund Performance Overview (Unaudited) (Continued)

First Trust Lunt U.S. Factor Rotation ETF (FCTR) (Continued)

Sector Allocation	% of Total Long-Term Investments
Information Technology	36.3%
Consumer Discretionary	14.2
Financials	12.8
Industrials	10.1
Health Care	9.8
Communication Services	8.6
Materials	3.1
Consumer Staples	1.8
Real Estate	1.4
Energy	1.4
Utilities	0.5
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
NVIDIA Corp.	2.7%
Royal Caribbean Cruises Ltd.	2.3
Apollo Global Management, Inc.	2.1
Builders FirstSource, Inc.	1.8
Broadcom, Inc.	1.7
DraftKings, Inc., Class A	1.7
ROBLOX Corp., Class A	1.7
Fair Isaac Corp.	1.5
Insulet Corp.	1.5
Alnylam Pharmaceuticals, Inc.	1.5
Total	18.5%

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 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

Page 9

Fund Performance Overview (Unaudited) (Continued)

First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)

The First Trust S&P 500 Diversified Free Cash Flow ETF (the “Fund”) seeks investment results that correspond generally to the price and yield, before fees and expenses, of an equity index called the S&P 500® Sector-Neutral FCF Index (the “Index”). Under normal conditions, the Fund will invest at least 80% of its net assets (plus any borrowings for investment purposes) in the securities that comprise the Index. The Fund, using an indexing investment approach, attempts to replicate, before fees and expenses, the total return performance of the Index, which includes dividends paid by the common stocks in the Index. The Fund will generally employ a full replication strategy, meaning that it will normally invest in all of the securities comprising the Index in proportion to their weightings in the Index. The Index is owned and was developed by S&P Dow Jones Indices, LLC a division of S&P Global (“SPDJI” or the “Index Provider”). The Index Provider reserves the right to make exceptions when applying the methodology if the need arises to ensure that the Index continues to achieve its objective. In addition, the Index Provider may revise Index policy covering rules for selecting companies, treatment of dividends, share counts or other matters. The Fund’s shares are listed for trading on the NYSE Arca, Inc. The first day of secondary market trading in shares of the Fund was August 24, 2023.

Performance
	Cumulative Total Returns
	Inception (8/23/23) to 12/31/23
Fund Performance
NAV	10.23%
Market Price	10.23%
Index Performance
S&P 500® Sector-Neutral FCF Index	10.48%
S&P 500® Index	8.15%

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

Performance Review

The Fund generated a NAV return of 10.23% during period from the Fund’s inception date of August 23, 2023 through December 31, 2023. During the same period, the S&P 500® Index (the “Benchmark”) generated a return of 8.15%. The greatest allocation in the Fund during period were to investments in the Information Technology sector. These allocations were 27.3% and contributed 3.2% to the Fund’s overall return. A similar contribution to return came from the allocations to the Financials sector, which also had a contribution to return of 3.2%. The most negative contributor to the Fund’s return were the allocations to the Health Care sector. Investments in this sector received an allocation of 13.2% and caused a -0.3% drag on overall Fund return.

S&P 500® Sector-Neutral FCF Index (“Index”) is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and has been licensed for use by First Trust. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Index.

Page 10

Fund Performance Overview (Unaudited) (Continued)

First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY) (Continued)

Sector Allocation	% of Total Long-Term Investments
Information Technology	27.4%
Financials	14.4
Consumer Discretionary	12.5
Health Care	12.3
Industrials	8.2
Communication Services	8.0
Consumer Staples	6.1
Energy	4.0
Real Estate	2.6
Materials	2.3
Utilities	2.2
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Skyworks Solutions, Inc.	2.8%
HP, Inc.	2.6
Cisco Systems, Inc.	2.5
Live Nation Entertainment, Inc.	2.3
NetApp, Inc.	2.2
Fox Corp., Class A	2.2
F5, Inc.	2.2
Humana, Inc.	2.1
Microchip Technology, Inc.	2.1
Cognizant Technology Solutions Corp., Class A	2.0
Total	23.0%

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 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

Page 11

Notes to Fund Performance Overview (Unaudited)

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

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

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

Page 12

First Trust Exchange-Traded Fund

Understanding Your Fund Expenses

December 31, 2023 (Unaudited)

As a shareholder of First Trust Dividend Strength ETF, First Trust Dow 30 Equal Weight ETF, First Trust Lunt U.S. Factor Rotation ETF or First Trust S&P 500 Diversified Free Cash Flow 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 (or since inception) and held through the six-month (or shorter) period ended December 31, 2023.

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 Period” to estimate the expenses you paid on your account during this six-month (or shorter) 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 July 1, 2023	Ending Account Value December 31, 2023	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust Dividend Strength ETF (FTDS)
Actual	$1,000.00	$1,114.90	0.70% (b)	$3.73
Hypothetical (5% return before expenses)	$1,000.00	$1,021.68	0.70% (b)	$3.57
First Trust Dow 30 Equal Weight ETF (EDOW)
Actual	$1,000.00	$1,095.70	0.50%	$2.64
Hypothetical (5% return before expenses)	$1,000.00	$1,022.68	0.50%	$2.55
First Trust Lunt U.S. Factor Rotation ETF (FCTR)
Actual	$1,000.00	$1,061.30	0.65%	$3.38
Hypothetical (5% return before expenses)	$1,000.00	$1,021.93	0.65%	$3.31

	Beginning Account Value August 23, 2023 (c)	Ending Account Value December 31, 2023	Annualized Expense Ratio Based on the Number of Days in the Period	Expenses Paid During the Period August 23, 2023 (c) to December 31, 2023 (d)
First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)
Actual	$1,000.00	$1,102.30	0.60%	$2.26
Hypothetical (5% return before expenses)	$1,000.00	$1,022.18	0.60%	$3.06

(a)	Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 1, 2023 through December 31, 2023), multiplied by 184/365 (to reflect the six-month period).
(b)	These expense ratios reflect an expense cap. See Note 3 in the Notes to Financial Statements.
(c)	Inception date.
(d)	Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 23, 2023 through December 31, 2023), multiplied by 131/365. Hypothetical expenses are assumed for the most recent six-month period.

Page 13

First Trust Dividend Strength ETF (FTDS)

Portfolio of Investments

December 31, 2023

Shares	Description	Value
COMMON STOCKS — 99.9%
	Aerospace & Defense — 5.9%
1,576	General Dynamics Corp.	$409,240
1,690	Huntington Ingalls Industries, Inc.	438,792
834	Lockheed Martin Corp.	378,002
		1,226,034
	Banks — 16.3%
8,579	Commerce Bancshares, Inc.	458,204
4,300	Cullen/Frost Bankers, Inc.	466,507
7,191	East West Bancorp, Inc.	517,393
3,254	M&T Bank Corp.	446,058
25,638	Regions Financial Corp.	496,864
5,647	SouthState Corp.	476,889
12,357	Zions Bancorp N.A.	542,102
		3,404,017
	Building Products — 2.1%
7,600	Johnson Controls International PLC	438,064
	Capital Markets — 2.1%
6,416	Stifel Financial Corp.	443,666
	Chemicals — 5.6%
5,530	FMC Corp.	348,667
10,455	Mosaic (The) Co.	373,557
2,968	PPG Industries, Inc.	443,864
		1,166,088
	Distributors — 1.9%
2,878	Genuine Parts Co.	398,603
	Food Products — 5.2%
5,082	Archer-Daniels-Midland Co.	367,022
3,644	Bunge Global S.A.	367,862
1,939	Hershey (The) Co.	361,507
		1,096,391
	Ground Transportation — 4.1%
1,835	Norfolk Southern Corp.	433,758
1,752	Union Pacific Corp.	430,326
		864,084
	Health Care Providers & Services — 2.0%
2,992	Quest Diagnostics, Inc.	412,537
	Hotels, Restaurants & Leisure — 4.2%
3,849	Texas Roadhouse, Inc.	470,463
5,026	Wyndham Hotels & Resorts, Inc.	404,141
		874,604
	Insurance — 9.5%
4,772	Aflac, Inc.	393,690
3,754	Cincinnati Financial Corp.	388,389

Shares	Description	Value

	Insurance (Continued)
5,260	Hartford Financial Services Group (The), Inc.	$422,799
2,291	Travelers (The) Cos., Inc.	436,412
7,565	Unum Group	342,089
		1,983,379
	Machinery — 8.0%
3,270	AGCO Corp.	397,010
1,689	Cummins, Inc.	404,634
4,691	PACCAR, Inc.	458,076
1,464	Snap-on, Inc.	422,862
		1,682,582
	Oil, Gas & Consumable Fuels — 13.6%
2,219	Chevron Corp.	330,986
2,984	ConocoPhillips	346,353
12,797	Coterra Energy, Inc.	326,579
7,662	Devon Energy Corp.	347,089
2,224	Diamondback Energy, Inc.	344,898
2,798	EOG Resources, Inc.	338,418
6,592	HF Sinclair Corp.	366,317
3,261	Phillips 66	434,170
		2,834,810
	Professional Services — 2.1%
5,026	Robert Half, Inc.	441,886
	Semiconductors & Semiconductor Equipment — 10.9%
2,223	Analog Devices, Inc.	441,399
4,913	Microchip Technology, Inc.	443,054
1,993	NXP Semiconductors N.V.	457,752
3,408	QUALCOMM, Inc.	492,899
4,016	Skyworks Solutions, Inc.	451,479
		2,286,583
	Specialized REITs — 2.2%
1,474	Public Storage	449,570
	Specialty Retail — 4.2%
1,896	Tractor Supply Co.	407,697
2,356	Williams-Sonoma, Inc.	475,394
		883,091
	Total Common Stocks	20,885,989
	(Cost $19,386,809)

See Notes to Financial Statements

Page 14

First Trust Dow 30 Equal Weight ETF (EDOW)

Portfolio of Investments

December 31, 2023

Shares	Description	Value
COMMON STOCKS — 100.0%
	Aerospace & Defense — 3.4%
32,524	Boeing (The) Co. (a)	$8,477,706
	Banks — 3.4%
50,210	JPMorgan Chase & Co.	8,540,721
	Beverages — 3.2%
135,796	Coca-Cola (The) Co.	8,002,458
	Biotechnology — 3.4%
29,576	Amgen, Inc.	8,518,480
	Capital Markets — 3.5%
22,688	Goldman Sachs Group (The), Inc.	8,752,350
	Chemicals — 3.4%
156,305	Dow, Inc.	8,571,766
	Communications Equipment — 3.3%
164,510	Cisco Systems, Inc.	8,311,045
	Consumer Finance — 3.6%
47,254	American Express Co.	8,852,564
	Consumer Staples Distribution & Retail — 6.9%
343,655	Walgreens Boots Alliance, Inc.	8,972,832
52,758	Walmart, Inc.	8,317,299
		17,290,131
	Diversified Telecommunication Services — 3.1%
208,083	Verizon Communications, Inc.	7,844,729
	Entertainment — 3.1%
85,746	Walt Disney (The) Co.	7,742,006
	Financial Services — 3.3%
31,124	Visa, Inc., Class A	8,103,133
	Health Care Providers & Services — 3.1%
14,475	UnitedHealth Group, Inc.	7,620,653
	Hotels, Restaurants & Leisure — 3.3%
27,876	McDonald’s Corp.	8,265,513
	Household Products — 3.2%
54,836	Procter & Gamble (The) Co.	8,035,667
	Industrial Conglomerates — 6.8%
76,998	3M Co.	8,417,421
40,900	Honeywell International, Inc.	8,577,139
		16,994,560
	Insurance — 3.4%
43,910	Travelers (The) Cos., Inc.	8,364,416
	IT Services — 3.2%
49,144	International Business Machines Corp.	8,037,501

Shares	Description	Value

	Machinery — 3.6%
30,668	Caterpillar, Inc.	$9,067,608
	Oil, Gas & Consumable Fuels — 3.3%
55,151	Chevron Corp.	8,226,323
	Pharmaceuticals — 6.6%
51,542	Johnson & Johnson	8,078,693
76,712	Merck & Co., Inc.	8,363,142
		16,441,835
	Semiconductors & Semiconductor Equipment — 3.8%
186,393	Intel Corp.	9,366,248
	Software — 6.6%
21,268	Microsoft Corp.	7,997,619
31,736	Salesforce, Inc. (a)	8,351,011
		16,348,630
	Specialty Retail — 3.4%
24,381	Home Depot (The), Inc.	8,449,236
	Technology Hardware, Storage & Peripherals — 3.1%
40,667	Apple, Inc.	7,829,618
	Textiles, Apparel & Luxury Goods — 3.0%
68,666	NIKE, Inc., Class B	7,455,068


	Total Investments — 100.0%	249,509,965
	(Cost $226,431,875)
	Net Other Assets and Liabilities — 0.0%	92,789
	Net Assets — 100.0%	$249,602,754

(a)	Non-income producing security.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 12/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$ 249,509,965	$ 249,509,965	$ —	$ —

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 16

First Trust Lunt U.S. Factor Rotation ETF (FCTR)

Portfolio of Investments

December 31, 2023

Shares	Description	Value
COMMON STOCKS — 99.9%
	Aerospace & Defense — 2.7%
1,387	Axon Enterprise, Inc. (a)	$358,304
3,357	Boeing (The) Co. (a)	875,035
3,822	Howmet Aerospace, Inc.	206,847
768	TransDigm Group, Inc.	776,909
		2,217,095
	Automobiles — 3.2%
33,611	Ford Motor Co.	409,718
132,216	Lucid Group, Inc. (a)	556,630
48,692	Rivian Automotive, Inc., Class A (a)	1,142,314
2,171	Tesla, Inc. (a)	539,450
		2,648,112
	Banks — 1.4%
13,302	Citizens Financial Group, Inc.	440,828
29,130	Huntington Bancshares, Inc.	370,533
2,420	M&T Bank Corp.	331,734
		1,143,095
	Biotechnology — 2.0%
6,606	Alnylam Pharmaceuticals, Inc. (a)	1,264,455
4,378	Moderna, Inc. (a)	435,392
		1,699,847
	Broadline Retail — 0.9%
4,124	Amazon.com, Inc. (a)	626,600
1,554	Etsy, Inc. (a)	125,952
		752,552
	Building Products — 2.9%
8,778	Builders FirstSource, Inc. (a)	1,465,399
1,241	Carlisle Cos., Inc.	387,726
5,303	Carrier Global Corp.	304,657
1,045	Trane Technologies PLC	254,876
		2,412,658
	Capital Markets — 5.2%
4,624	Ares Management Corp., Class A	549,886
3,743	Blackstone, Inc.	490,034
10,836	Carlyle Group (The), Inc.	440,917
6,535	Charles Schwab (The) Corp.	449,608
13,250	KKR & Co., Inc.	1,097,762
719	LPL Financial Holdings, Inc.	163,659
911	Moody’s Corp.	355,800
727	MSCI, Inc.	411,227
4,671	Northern Trust Corp.	394,139
		4,353,032
	Chemicals — 1.3%
3,781	CF Industries Holdings, Inc.	300,590

Shares	Description	Value

	Chemicals (Continued)
5,490	International Flavors & Fragrances, Inc.	$444,525
10,028	Mosaic (The) Co.	358,300
		1,103,415
	Commercial Services & Supplies — 0.7%
305	Cintas Corp.	183,811
7,822	Copart, Inc. (a)	383,278
		567,089
	Communications Equipment — 0.6%
2,125	Arista Networks, Inc. (a)	500,459
	Construction & Engineering — 0.3%
1,268	Quanta Services, Inc.	273,634
	Consumer Staples Distribution & Retail — 1.8%
330	Costco Wholesale Corp.	217,826
3,366	Dollar General Corp.	457,608
3,171	Dollar Tree, Inc. (a)	450,441
14,026	Walgreens Boots Alliance, Inc.	366,219
		1,492,094
	Containers & Packaging — 0.4%
5,980	Ball Corp.	343,970
	Electric Utilities — 0.5%
3,533	Constellation Energy Corp.	412,972
	Electrical Equipment — 0.3%
796	Hubbell, Inc.	261,828
	Electronic Equipment, Instruments & Components — 0.7%
4,512	Jabil, Inc.	574,829
	Energy Equipment & Services — 0.6%
14,317	Baker Hughes Co.	489,355
	Entertainment — 4.1%
945	Netflix, Inc. (a)	460,102
30,143	ROBLOX Corp., Class A (a)	1,378,138
3,275	Take-Two Interactive Software, Inc. (a)	527,111
90,200	Warner Bros. Discovery, Inc. (a)	1,026,476
		3,391,827
	Financial Services — 4.2%
18,514	Apollo Global Management, Inc.	1,725,320
6,376	Block, Inc. (a)	493,184
3,336	Fidelity National Information Services, Inc.	200,393

See Notes to Financial Statements

Page 17

First Trust Lunt U.S. Factor Rotation ETF (FCTR)

Portfolio of Investments (Continued)

December 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Financial Services (Continued)
1,354	Mastercard, Inc., Class A	$577,495
1,867	Visa, Inc., Class A	486,073
		3,482,465
	Ground Transportation — 0.8%
931	Old Dominion Freight Line, Inc.	377,362
5,392	Uber Technologies, Inc. (a)	331,986
		709,348
	Health Care Equipment & Supplies — 4.4%
8,200	Dexcom, Inc. (a)	1,017,538
706	IDEXX Laboratories, Inc. (a)	391,865
5,831	Insulet Corp. (a)	1,265,211
1,645	Intuitive Surgical, Inc. (a)	554,957
2,340	ResMed, Inc.	402,527
		3,632,098
	Health Care REITs — 0.5%
9,131	Ventas, Inc.	455,089
	Health Care Technology — 0.7%
3,041	Veeva Systems, Inc., Class A (a)	585,453
	Hotels, Restaurants & Leisure — 8.1%
2,893	Airbnb, Inc., Class A (a)	393,853
90	Chipotle Mexican Grill, Inc. (a)	205,826
864	Domino’s Pizza, Inc.	356,167
10,931	DoorDash, Inc., Class A (a)	1,080,967
39,343	DraftKings, Inc., Class A (a)	1,386,841
12,203	Las Vegas Sands Corp.	600,510
1,096	McDonald’s Corp.	324,975
4,033	MGM Resorts International (a)	180,194
14,507	Royal Caribbean Cruises Ltd. (a)	1,878,511
2,864	Yum! Brands, Inc.	374,210
		6,782,054
	Household Durables — 0.8%
36	NVR, Inc. (a)	252,016
4,105	PulteGroup, Inc.	423,718
		675,734
	Industrial Conglomerates — 0.6%
4,234	General Electric Co.	540,385
	Insurance — 2.0%
1,570	Allstate (The) Corp.	219,769
1,162	Arthur J. Gallagher & Co.	261,311
3,193	Brown & Brown, Inc.	227,054
3,630	Cincinnati Financial Corp.	375,560
137	Markel Group, Inc. (a)	194,526

Shares	Description	Value

	Insurance (Continued)
1,101	Marsh & McLennan Cos., Inc.	$208,606
2,137	Prudential Financial, Inc.	221,628
		1,708,454
	Interactive Media & Services — 3.4%
2,724	Alphabet, Inc., Class A (a)	380,516
4,124	Match Group, Inc. (a)	150,526
3,212	Meta Platforms, Inc., Class A (a)	1,136,920
6,035	Pinterest, Inc., Class A (a)	223,536
57,369	Snap, Inc., Class A (a)	971,257
		2,862,755
	IT Services — 3.3%
9,660	Cloudflare, Inc., Class A (a)	804,292
1,955	MongoDB, Inc. (a)	799,302
3,804	Snowflake, Inc., Class A (a)	756,996
1,893	VeriSign, Inc. (a)	389,882
		2,750,472
	Life Sciences Tools & Services — 1.1%
14,130	Avantor, Inc. (a)	322,588
4,250	Illumina, Inc. (a)	591,770
		914,358
	Media — 1.1%
669	Charter Communications, Inc., Class A (a)	260,027
8,195	Paramount Global, Class B	121,204
7,675	Trade Desk (The), Inc., Class A (a)	552,293
		933,524
	Metals & Mining — 1.3%
3,415	Newmont Corp.	141,347
1,993	Nucor Corp.	346,862
837	Reliance Steel & Aluminum Co.	234,092
3,283	Steel Dynamics, Inc.	387,722
		1,110,023
	Office REITs — 0.2%
1,383	Alexandria Real Estate Equities, Inc.	175,323
	Oil, Gas & Consumable Fuels — 0.8%
2,747	Marathon Petroleum Corp.	407,545
2,917	Targa Resources Corp.	253,400
		660,945
	Passenger Airlines — 0.2%
5,596	Southwest Airlines Co.	161,612
	Pharmaceuticals — 1.6%
1,713	Eli Lilly & Co.	998,542
1,517	Zoetis, Inc.	299,410
		1,297,952

See Notes to Financial Statements

Page 18

First Trust Lunt U.S. Factor Rotation ETF (FCTR)

Portfolio of Investments (Continued)

December 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Professional Services — 0.7%
1,072	Paycom Software, Inc.	$221,604
1,361	Verisk Analytics, Inc.	325,088
		546,692
	Semiconductors & Semiconductor Equipment — 11.0%
6,152	Advanced Micro Devices, Inc. (a)	906,866
2,259	Applied Materials, Inc.	366,116
1,255	Broadcom, Inc.	1,400,894
3,142	First Solar, Inc. (a)	541,304
23,708	Intel Corp.	1,191,327
1,175	KLA Corp.	683,028
665	Monolithic Power Systems, Inc.	419,469
4,474	NVIDIA Corp.	2,215,614
3,526	ON Semiconductor Corp. (a)	294,527
3,027	QUALCOMM, Inc.	437,795
3,184	Skyworks Solutions, Inc.	357,945
3,212	Teradyne, Inc.	348,566
		9,163,451
	Software — 17.1%
1,159	Adobe, Inc. (a)	691,459
831	Aspen Technology, Inc. (a)	182,945
1,332	Autodesk, Inc. (a)	324,315
7,058	Bentley Systems, Inc., Class B	368,286
5,587	BILL Holdings, Inc. (a)	455,843
2,661	Cadence Design Systems, Inc. (a)	724,777
4,655	Crowdstrike Holdings, Inc., Class A (a)	1,188,515
6,472	Datadog, Inc., Class A (a)	785,571
5,808	Dynatrace, Inc. (a)	317,639
1,087	Fair Isaac Corp. (a)	1,265,279
12,185	Fortinet, Inc. (a)	713,188
1,117	HubSpot, Inc. (a)	648,463
490	Intuit, Inc.	306,265
1,501	Microsoft Corp.	564,436
8,649	Oracle Corp.	911,864
67,227	Palantir Technologies, Inc., Class A (a)	1,154,288
3,091	Palo Alto Networks, Inc. (a)	911,474
569	ServiceNow, Inc. (a)	401,993
1,358	Synopsys, Inc. (a)	699,248
9,219	Unity Software, Inc. (a)	376,965
2,153	Workday, Inc., Class A (a)	594,357
2,401	Zoom Video Communications, Inc., Class A (a)	172,656
2,332	Zscaler, Inc. (a)	516,678
		14,276,504

Shares	Description	Value

	Specialized REITs — 0.7%
2,187	SBA Communications Corp.	$554,820
	Specialty Retail — 0.7%
826	Burlington Stores, Inc. (a)	160,641
165	O’Reilly Automotive, Inc. (a)	156,763
2,484	TJX (The) Cos., Inc.	233,024
		550,428
	Technology Hardware, Storage & Peripherals — 3.6%
896	Apple, Inc.	172,507
6,486	Dell Technologies, Inc., Class C	496,179
5,848	Seagate Technology Holdings PLC	499,244
2,935	Super Micro Computer, Inc. (a)	834,303
18,948	Western Digital Corp. (a)	992,307
		2,994,540
	Textiles, Apparel & Luxury Goods — 0.5%
593	Deckers Outdoor Corp. (a)	396,379
	Trading Companies & Distributors — 0.9%
1,324	United Rentals, Inc.	759,208
	Total Common Stocks	83,317,929
	(Cost $74,382,350)
MONEY MARKET FUNDS — 0.1%
102,106	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.22% (b)	102,106
	(Cost $102,106)


	Total Investments — 100.0%	83,420,035
	(Cost $74,484,456)
	Net Other Assets and Liabilities — (0.0)%	(453 )
	Net Assets — 100.0%	$83,419,582

(a)	Non-income producing security.
(b)	Rate shown reflects yield as of December 31, 2023.

See Notes to Financial Statements

Page 19

First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)

Portfolio of Investments

December 31, 2023

Shares	Description	Value
COMMON STOCKS — 99.9%
	Aerospace & Defense — 1.3%
21	Boeing (The) Co. (a)	$5,474
10	Lockheed Martin Corp.	4,532
56	Textron, Inc.	4,504
		14,510
	Air Freight & Logistics — 2.0%
141	C.H. Robinson Worldwide, Inc.	12,181
81	Expeditors International of Washington, Inc.	10,303
		22,484
	Banks — 6.8%
139	Citigroup, Inc.	7,150
283	Citizens Financial Group, Inc.	9,379
184	Comerica, Inc.	10,269
707	Huntington Bancshares, Inc.	8,993
583	KeyCorp	8,395
227	Truist Financial Corp.	8,381
171	U.S. Bancorp	7,401
147	Wells Fargo & Co.	7,235
169	Zions Bancorp N.A.	7,414
		74,617
	Beverages — 0.7%
121	Molson Coors Beverage Co., Class B	7,406
	Biotechnology — 1.9%
45	AbbVie, Inc.	6,974
90	Gilead Sciences, Inc.	7,291
107	Incyte Corp. (a)	6,718
		20,983
	Broadline Retail — 1.7%
219	eBay, Inc.	9,553
106	Etsy, Inc. (a)	8,591
		18,144
	Building Products — 1.4%
63	A.O. Smith Corp.	5,194
35	Allegion PLC	4,434
85	Masco Corp.	5,693
		15,321
	Capital Markets — 0.9%
131	State Street Corp.	10,147
	Chemicals — 1.2%
57	CF Industries Holdings, Inc.	4,532
50	Dow, Inc.	2,742
27	LyondellBasell Industries N.V., Class A	2,567
107	Mosaic (The) Co.	3,823
		13,664

Shares	Description	Value

	Communications Equipment — 6.5%
542	Cisco Systems, Inc.	$27,382
133	F5, Inc. (a)	23,804
705	Juniper Networks, Inc.	20,784
		71,970
	Consumer Finance — 4.7%
135	Capital One Financial Corp.	17,701
114	Discover Financial Services	12,814
569	Synchrony Financial	21,730
		52,245
	Consumer Staples Distribution & Retail — 1.5%
209	Kroger (The) Co.	9,554
101	Sysco Corp.	7,386
		16,940
	Electronic Equipment, Instruments & Components — 1.8%
123	Keysight Technologies, Inc. (a)	19,568
	Entertainment — 4.1%
148	Electronic Arts, Inc.	20,248
268	Live Nation Entertainment, Inc. (a)	25,085
		45,333
	Food Products — 1.7%
154	Archer-Daniels-Midland Co.	11,122
62	J.M. Smucker (The) Co.	7,835
		18,957
	Gas Utilities — 1.3%
119	Atmos Energy Corp.	13,792
	Health Care Providers & Services — 9.8%
95	Cardinal Health, Inc.	9,576
31	Cencora, Inc.	6,367
232	Centene Corp. (a)	17,217
31	Cigna Group (The)	9,283
135	CVS Health Corp.	10,659
22	Elevance Health, Inc.	10,374
51	Humana, Inc.	23,348
14	McKesson Corp.	6,482
24	Molina Healthcare, Inc. (a)	8,671
12	UnitedHealth Group, Inc.	6,318
		108,295
	Health Care REITs — 0.3%
154	Healthpeak Properties, Inc.	3,049
	Hotel & Resort REITs — 0.4%
195	Host Hotels & Resorts, Inc.	3,797

See Notes to Financial Statements

Page 21

First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)

Portfolio of Investments (Continued)

December 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Hotels, Restaurants & Leisure — 1.8%
130	Expedia Group, Inc. (a)	$19,733
	Household Durables — 5.6%
75	D.R. Horton, Inc.	11,398
142	Lennar Corp., Class A	21,164
2	NVR, Inc. (a)	14,001
150	PulteGroup, Inc.	15,483
		62,046
	Household Products — 1.2%
51	Clorox (The) Co.	7,272
52	Kimberly-Clark Corp.	6,319
		13,591
	Industrial Conglomerates — 0.7%
65	3M Co.	7,106
	Insurance — 1.9%
135	American International Group, Inc.	9,146
152	Principal Financial Group, Inc.	11,958
		21,104
	Interactive Media & Services — 1.7%
499	Match Group, Inc. (a)	18,213
	IT Services — 3.9%
292	Cognizant Technology Solutions Corp., Class A	22,055
128	International Business Machines Corp.	20,934
		42,989
	Machinery — 1.3%
16	Nordson Corp.	4,227
45	PACCAR, Inc.	4,394
18	Snap-on, Inc.	5,199
		13,820
	Media — 2.2%
826	Fox Corp., Class A	24,507
	Metals & Mining — 1.0%
33	Nucor Corp.	5,743
48	Steel Dynamics, Inc.	5,669
		11,412
	Multi-Utilities — 1.0%
133	Public Service Enterprise Group, Inc.	8,133
30	WEC Energy Group, Inc.	2,525
		10,658

Shares	Description	Value

	Office REITs — 0.9%
34	Alexandria Real Estate Equities, Inc.	$4,310
75	Boston Properties, Inc.	5,263
		9,573
	Oil, Gas & Consumable Fuels — 4.0%
348	Coterra Energy, Inc.	8,881
214	EQT Corp.	8,273
303	Marathon Oil Corp.	7,321
64	Marathon Petroleum Corp.	9,495
76	Valero Energy Corp.	9,880
		43,850
	Passenger Airlines — 0.4%
108	United Airlines Holdings, Inc. (a)	4,456
	Pharmaceuticals — 0.5%
107	Bristol-Myers Squibb Co.	5,490
	Professional Services — 1.2%
31	Paychex, Inc.	3,692
105	Robert Half, Inc.	9,232
		12,924
	Retail REITs — 1.1%
195	Kimco Realty Corp.	4,155
57	Realty Income Corp.	3,273
32	Simon Property Group, Inc.	4,565
		11,993
	Semiconductors & Semiconductor Equipment — 10.4%
132	Applied Materials, Inc.	21,393
137	Enphase Energy, Inc. (a)	18,103
27	Lam Research Corp.	21,148
253	Microchip Technology, Inc.	22,816
272	Skyworks Solutions, Inc.	30,578
		114,038
	Specialty Retail — 2.4%
194	Bath & Body Works, Inc.	8,373
142	Best Buy Co., Inc.	11,116
15	Ulta Beauty, Inc. (a)	7,350
		26,839
	Technology Hardware, Storage & Peripherals — 4.8%
947	HP, Inc.	28,495
278	NetApp, Inc.	24,509
		53,004
	Textiles, Apparel & Luxury Goods — 1.0%
301	Tapestry, Inc.	11,080

See Notes to Financial Statements

Page 22

First Trust Exchange-Traded Fund

Statements of Assets and Liabilities

December 31, 2023

	First Trust Dividend Strength ETF (FTDS)	First Trust Dow 30 Equal Weight ETF (EDOW)	First Trust Lunt U.S. Factor Rotation ETF (FCTR)	First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)
ASSETS:
Investments, at value	$20,915,222	$249,509,965	$83,420,035	$1,099,975
Cash	—	60,036	—	299
Receivables:
Dividends	36,852	146,379	47,246	1,811
From investment advisor	3,321	—	—	—
Investment securities sold	—	8,154,636	1,390,610	—
Prepaid expenses	126	—	—	—
Total Assets	20,955,521	257,871,016	84,857,891	1,102,085

LIABILITIES:
Payables:
Audit and tax fees	25,724	—	—	—
Shareholder reporting fees	13,123	—	—	—
Licensing fees	1,711	—	—	—
Trustees’ fees	56	—	—	—
Investment advisory fees	—	109,031	48,009	551
Capital shares redeemed	—	8,159,231	1,390,300	—
Other liabilities	6,750	—	—	—
Total Liabilities	47,364	8,268,262	1,438,309	551
NET ASSETS	$20,908,157	$249,602,754	$83,419,582	$1,101,534

NET ASSETS consist of:
Paid-in capital	$23,427,897	$239,001,038	$247,420,175	$1,021,563
Par value	4,500	76,478	30,000	500
Accumulated distributable earnings (loss)	(2,524,240 )	10,525,238	(164,030,593 )	79,471
NET ASSETS	$20,908,157	$249,602,754	$83,419,582	$1,101,534
NET ASSET VALUE, per share	$46.46	$32.64	$27.81	$22.03
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)	450,002	7,647,756	3,000,002	50,002
Investments, at cost	$19,416,042	$226,431,875	$74,484,456	$990,498

See Notes to Financial Statements

Page 24

First Trust Exchange-Traded Fund

Statements of Operations

For the Period Ended December 31, 2023

	First Trust Dividend Strength ETF (FTDS)	First Trust Dow 30 Equal Weight ETF (EDOW)	First Trust Lunt U.S. Factor Rotation ETF (FCTR)	First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY) (a)
INVESTMENT INCOME:
Dividends	$593,069	$5,320,421	$2,671,806	$9,996
Foreign withholding tax	(305 )	—	—	—
Total investment income	592,764	5,320,421	2,671,806	9,996

EXPENSES:
Investment advisory fees	101,400	1,023,020 (b)	1,074,561 (b)	2,391 (b)
Audit and tax fees	31,433	—	—	—
Shareholder reporting fees	27,787	—	—	—
Accounting and administration fees	13,537	—	—	—
Licensing fees	12,856	—	—	—
Trustees’ fees and expenses	7,102	—	—	—
Listing fees	6,601	—	—	—
Transfer agent fees	1,014	—	—	—
Legal fees	545	—	—	—
Custodian fees	(1,715 )	—	—	—
Other expenses	435	—	—	—
Total expenses	200,995	1,023,020	1,074,561	2,391
Less fees waived by the investment advisor	(59,035 )	—	—	—
Net expenses	141,960	1,023,020	1,074,561	2,391
NET INVESTMENT INCOME (LOSS)	450,804	4,297,401	1,597,245	7,605

NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments	(93,680 )	(4,596,677 )	(28,011,148 )	(30,161 )
In-kind redemptions	154,841	6,260,141	5,731,209	9,168
Net realized gain (loss)	61,161	1,663,464	(22,279,939 )	(20,993 )
Net increase from payment by the advisor	—	—	25,082	—
Net change in unrealized appreciation (depreciation) on investments	1,537,299	26,849,311	8,371,862	109,477
NET REALIZED AND UNREALIZED GAIN (LOSS)	1,598,460	28,512,775	(13,882,995 )	88,484
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$2,049,264	$32,810,176	$(12,285,750 )	$96,089

(a)	Inception date is August 23, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established.
(b)	Fund is subject to a unitary fee (see Note 3 in the Notes to Financial Statements).

See Notes to Financial Statements

Page 25

First Trust Exchange-Traded Fund

Statements of Changes in Net Assets

	First Trust Dividend Strength ETF (FTDS)		First Trust Dow 30 Equal Weight ETF (EDOW)
	Year Ended 12/31/2023	Year Ended 12/31/2022	Year Ended 12/31/2023	Year Ended 12/31/2022
OPERATIONS:
Net investment income (loss)	$450,804	$383,157	$4,297,401	$2,623,645
Net realized gain (loss)	61,161	65,172	1,663,464	2,627,895
Net increase from payment by the advisor	—	—	—	—
Net change in unrealized appreciation (depreciation)	1,537,299	(3,516,779 )	26,849,311	(16,343,947 )
Net increase (decrease) in net assets resulting from operations	2,049,264	(3,068,450 )	32,810,176	(11,092,407 )

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations	(471,657 )	(419,147 )	(4,442,650 )	(2,633,200 )

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold	4,423,244	2,147,136	91,112,400	72,258,682
Cost of shares redeemed	(4,219,995 )	(4,755,506 )	(28,151,210 )	(38,301,275 )
Net increase (decrease) in net assets resulting from shareholder transactions	203,249	(2,608,370 )	62,961,190	33,957,407
Total increase (decrease) in net assets	1,780,856	(6,095,967 )	91,328,716	20,231,800

NET ASSETS:
Beginning of period	19,127,301	25,223,268	158,274,038	138,042,238
End of period	$20,908,157	$19,127,301	$249,602,754	$158,274,038

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period	450,002	500,002	5,497,756	4,347,756
Shares sold	100,000	50,000	3,050,000	2,450,000
Shares redeemed	(100,000 )	(100,000 )	(900,000 )	(1,300,000 )
Shares outstanding, end of period	450,002	450,002	7,647,756	5,497,756

(a)	Inception date is August 23, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established.

See Notes to Financial Statements

Page 26

First Trust Exchange-Traded Fund

Financial Highlights

For a share outstanding throughout each period

First Trust Dividend Strength ETF (FTDS)

	Year Ended December 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$42.50	$50.45	$40.62	$36.20	$29.22
Income from investment operations:
Net investment income (loss)	0.95 (a)	0.90	0.39	0.35	0.40
Net realized and unrealized gain (loss)	4.01	(7.87 )	9.80	4.47	6.99
Total from investment operations	4.96	(6.97 )	10.19	4.82	7.39
Distributions paid to shareholders from:
Net investment income	(1.00 )	(0.98 )	(0.36 )	(0.40 )	(0.41 )
Net asset value, end of period	$46.46	$42.50	$50.45	$40.62	$36.20
Total return (b)	11.84 %	(13.75 )%	25.12 %	13.65 %	25.36 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$20,908	$19,127	$25,223	$16,249	$18,100
Ratio of total expenses to average net assets	0.99 %	1.04 %	1.08 %	1.16 %	1.02 %
Ratio of net expenses to average net assets	0.70 %	0.70 %	0.70 %	0.70 %	0.70 %
Ratio of net investment income (loss) to average net assets	2.22 %	2.00 %	0.84 %	1.04 %	1.20 %
Portfolio turnover rate (c)	104 %	225 % (d)	98 %	125 %	119 %

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
(d)	The variation in the portfolio turnover rate is due to the change in the Fund’s underlying index effective April 29, 2022, which resulted in a complete rebalance of the Fund’s portfolio.

See Notes to Financial Statements

Page 28

First Trust Exchange-Traded Fund

Financial Highlights (Continued)

For a share outstanding throughout each period

First Trust Dow 30 Equal Weight ETF (EDOW)

	Year Ended December 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$28.79	$31.75	$27.19	$26.11	$21.43
Income from investment operations:
Net investment income (loss)	0.63 (a)	0.55	0.48	0.50	0.47
Net realized and unrealized gain (loss)	3.85	(2.96 )	4.56	1.08	4.70
Total from investment operations	4.48	(2.41 )	5.04	1.58	5.17
Distributions paid to shareholders from:
Net investment income	(0.63 )	(0.55 )	(0.48 )	(0.50 )	(0.49 )
Net asset value, end of period	$32.64	$28.79	$31.75	$27.19	$26.11
Total return (b)	15.74 %	(7.52 )%	18.63 %	6.41 %	24.27 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$249,603	$158,274	$138,042	$71,994	$43,077
Ratio of total expenses to average net assets	0.50 %	0.50 %	0.50 %	0.50 %	0.50 %
Ratio of net investment income (loss) to average net assets	2.10 %	1.95 %	1.70 %	2.11 %	1.99 %
Portfolio turnover rate (c)	16 %	17 %	14 %	31 %	13 %

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

See Notes to Financial Statements

Page 29

First Trust Exchange-Traded Fund

Financial Highlights (Continued)

For a share outstanding throughout each period

First Trust Lunt U.S. Factor Rotation ETF (FCTR)

	Year Ended December 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$27.92	$35.55	$29.47	$22.80	$17.67
Income from investment operations:
Net investment income (loss)	0.26 (a)	0.38	0.17	0.12	0.23
Net realized and unrealized gain (loss)	(0.08 ) (b)	(7.62 )	6.07	6.68	5.12
Total from investment operations	0.18	(7.24 )	6.24	6.80	5.35
Distributions paid to shareholders from:
Net investment income	(0.29 )	(0.39 )	(0.16 )	(0.13 )	(0.22 )
Net asset value, end of period	$27.81	$27.92	$35.55	$29.47	$22.80
Total return (c)	0.68 % (b)	(20.37 )%	21.22 %	30.02 %	30.35 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$83,420	$268,025	$663,005	$131,157	$62,696
Ratio of total expenses to average net assets	0.65 %	0.65 %	0.65 %	0.65 %	0.65 %
Ratio of net investment income (loss) to average net assets	0.97 %	1.13 %	0.52 %	0.42 %	1.17 %
Portfolio turnover rate (d)	562 %	379 %	307 %	460 %	246 %

(a)	Based on average shares outstanding.
(b)	The Fund received a payment from the advisor in the amount of $25,082, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return.
(c)	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.
(d)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 30

First Trust Exchange-Traded Fund

Financial Highlights (Continued)

For a share outstanding throughout the period

First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)

	Period Ended 12/31/2023 (a)
	Period Ended 12/31/2023 (a)
Net asset value, beginning of period	$20.13
Income from investment operations:
Net investment income (loss) (b)	0.14
Net realized and unrealized gain (loss)	1.92
Total from investment operations	2.06
Distributions paid to shareholders from:
Net investment income	(0.16 )
Net asset value, end of period	$22.03
Total return (c)	10.23 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$1,102
Ratio of total expenses to average net assets	0.60 % (d)
Ratio of net investment income (loss) to average net assets	1.91 % (d)
Portfolio turnover rate (e)	37 %

(a)	Inception date is August 23, 2023, which is consistent with the commencement of investment operations and is the date the initial creation units were established.
(b)	Based on average shares outstanding.
(c)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(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.

See Notes to Financial Statements

Page 31

Notes to Financial Statements

First Trust Exchange-Traded Fund

December 31, 2023

1. Organization

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

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

First Trust Dividend Strength ETF – (Nasdaq, Inc. (“Nasdaq”) ticker “FTDS”)

First Trust Dow 30 Equal Weight ETF – (NYSE Arca, Inc. (“NYSE Arca”) ticker “EDOW”)

First Trust Lunt U.S. Factor Rotation ETF – (Cboe BZX Exchange, Inc. ticker “FCTR”)

First Trust S&P 500 Diversified Free Cash Flow ETF – (NYSE Arca ticker “FCFY”)(1)

(1)	Commenced investment operations on August 23, 2023.

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.” The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of the following indices:

Fund	Index
First Trust Dividend Strength ETF	The Dividend StrengthTM Index
First Trust Dow 30 Equal Weight ETF	Dow Jones Industrial Average® Equal Weight Index
First Trust Lunt U.S. Factor Rotation ETF	Lunt Capital Large Cap Factor Rotation Index
First Trust S&P 500 Diversified Free Cash Flow ETF	S&P 500® Sector-Neutral FCF Index

2. Significant Accounting Policies

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

A. Portfolio Valuation

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

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

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 primary exchange for such securities.

Page 32

Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund

December 31, 2023

Shares of open-end funds are valued based on NAV per share.

Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.

Overnight repurchase agreements are valued at amortized cost when it represents the most appropriate reflection of fair market value.

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

the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;

the type of security;

the size of the holding;

the initial cost of the security;

transactions in comparable securities;

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

relationships among various securities;

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

an analysis of the issuer’s financial statements;

10)

the existence of merger proposals or tender offers that might affect the value of the security; and

11)

other relevant factors.

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

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

• 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.

• 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.

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

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of December 31, 2023, is included with each Fund’s Portfolio of Investments.

Page 33

Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund

December 31, 2023

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.

C. Offsetting on the Statements of Assets and Liabilities

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

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

D. Securities Lending

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

Under the Funds’ Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. (“BBH”) acts as the Funds’ securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At December 31, 2023, none of the Funds had securities in the securities lending program. During the fiscal period ended December 31, 2023, none of the Funds participated in the securities lending program.

In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise

Page 34

Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund

December 31, 2023

these remedies, a Fund sustains losses as a result of a borrower’s default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH.

E. Repurchase Agreements

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

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

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

While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal period ended December 31, 2023, were received as collateral for lending securities. There were no repurchase agreements held by the Funds as of December 31, 2023.

F. Dividends and Distributions to Shareholders

Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Each Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.

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

The tax character of distributions paid by each Fund during the fiscal period ended December 31, 2023 was as follows:

	Distributions paid from Ordinary Income	Distributions paid from Capital Gains	Distributions paid from Return of Capital
First Trust Dividend Strength ETF	$471,657	$—	$—
First Trust Dow 30 Equal Weight ETF	4,442,650	—	—
First Trust Lunt U.S. Factor Rotation ETF	1,619,341	—	—
First Trust S&P 500 Diversified Free Cash Flow ETF	8,001	—	—

The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2022 was as follows:

	Distributions paid from Ordinary Income	Distributions paid from Capital Gains	Distributions paid from Return of Capital
First Trust Dividend Strength ETF	$419,147	$—	$—

Page 35

Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund

December 31, 2023

	Distributions paid from Ordinary Income	Distributions paid from Capital Gains	Distributions paid from Return of Capital
First Trust Dow 30 Equal Weight ETF	$2,633,200	$—	$—
First Trust Lunt U.S. Factor Rotation ETF	4,905,611	—	—

As of December 31, 2023, the components of distributable earnings on a tax basis for each Fund were as follows:

	Undistributed Ordinary Income	Accumulated Capital and Other Gain (Loss)	Net Unrealized Appreciation (Depreciation)
First Trust Dividend Strength ETF	$—	$(4,005,838 )	$1,481,598
First Trust Dow 30 Equal Weight ETF	—	(7,178,441 )	17,703,679
First Trust Lunt U.S. Factor Rotation ETF	—	(171,622,503 )	7,591,910
First Trust S&P 500 Diversified Free Cash Flow ETF	—	(29,489 )	108,960

G. Income Taxes

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

The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. For FTDS, EDOW, and FCTR, the taxable years ended 2020, 2021, 2022, and 2023 remain open to federal and state audit. For FCFY, the taxable period ended 2023 remains open to federal and state audit. As of December 31, 2023, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds’ financial statements for uncertain tax positions.

Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2023, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund’s shareholders.

	Non-Expiring Capital Loss Carryforwards
First Trust Dividend Strength ETF	$4,005,838
First Trust Dow 30 Equal Weight ETF*	7,178,441
First Trust Lunt U.S. Factor Rotation ETF	171,622,503
First Trust S&P 500 Diversified Free Cash Flow ETF	29,489

*	$3,196,504 of First Trust Dow 30 Equal Weight ETF’s non-expiring net capital losses is subject to loss limitation resulting from reorganization activity. This limitation generally reduces the utilization of these losses to a maximum of $212,620 per year.

Certain losses realized during the current fiscal period may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal period ended December 31, 2023, the Funds had no net late year ordinary or capital losses.

In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the

Page 36

Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund

December 31, 2023

Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal period ended December 31, 2023, the adjustments for each Fund were as follows:

	Accumulated Net Investment Income (Loss)	Accumulated Net Realized Gain (Loss) on Investments	Paid-In Capital
First Trust Dividend Strength ETF	$20,869	$(131,843 )	$110,974
First Trust Dow 30 Equal Weight ETF	145,249	(6,103,711 )	5,958,462
First Trust Lunt U.S. Factor Rotation ETF	12,503	(701,285 )	688,782
First Trust S&P 500 Diversified Free Cash Flow ETF	396	(9,013 )	8,617

As of December 31, 2023, 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:

	Tax Cost	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
First Trust Dividend Strength ETF	$19,433,624	$2,290,770	$(809,172 )	$1,481,598
First Trust Dow 30 Equal Weight ETF	231,806,286	30,369,180	(12,665,501 )	17,703,679
First Trust Lunt U.S. Factor Rotation ETF	75,828,125	8,422,041	(830,131 )	7,591,910
First Trust S&P 500 Diversified Free Cash Flow ETF	991,015	125,514	(16,554 )	108,960

H. Expenses

Expenses that are directly related to First Trust Dividend Strength ETF are charged directly to the Fund. Expenses for First Trust Dow 30 Equal Weight ETF, First Trust Lunt U.S. Factor Rotation ETF, and First Trust S&P 500 Diversified Free Cash Flow ETF (the “Unitary Fee Funds”), other than excluded expenses (discussed in Note 3), are paid by the Advisor. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund.

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

Fund	Licensor
First Trust Dividend Strength ETF	Nasdaq, Inc.
First Trust Dow 30 Equal Weight ETF	S&P Dow Jones Indices LLC
First Trust Lunt U.S. Factor Rotation ETF	Lunt Capital Management, Inc.
First Trust S&P 500 Diversified Free Cash Flow ETF	S&P Dow Jones Indices LLC

The respective license agreements allow for the use by First Trust of each Fund’s respective index and of certain trademarks and trade names of the respective Licensors. The Funds are sub-licensees to the applicable license agreements. The Funds, except for the Unitary Fee Funds, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the Unitary Fee Funds are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds.

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.

The management fee payable by First Trust Dividend Strength ETF to First Trust for these services will be reduced at certain levels of First Trust Dividend Strength ETF’s net assets (“breakpoints”) and calculated pursuant to the following schedule:

Page 37

Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund

December 31, 2023

Breakpoints
Fund net assets up to and including $2.5 billion	0.5000 %
Fund net assets greater than $2.5 billion up to and including $5 billion	0.4875 %
Fund net assets greater than $5 billion up to and including $7.5 billion	0.4750 %
Fund net assets greater than $7.5 billion up to and including $10 billion	0.4625 %
Fund net assets greater than $10 billion up to and including $15 billion	0.4500 %
Fund net assets greater than $15 billion	0.4250 %

For the First Trust Dividend Strength ETF, the Trust and the Advisor have entered into an Expense Reimbursement and Fee Waiver Agreement (“Agreement”) in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of the Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the “Expense Cap”). The Expense Cap will be in effect until at least April 30, 2025.

For First Trust Dow 30 Equal Weight ETF, First Trust Lunt U.S. Factor Rotation ETF, and First Trust S&P 500 Diversified Free Cash Flow ETF, First Trust is paid an annual unitary management fee of such Fund’s average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding fee payments under the Investment Management Agreement, distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. The annual unitary management fee payable by each Fund to First Trust for these services will be reduced at certain levels of each Fund’s net assets (“breakpoints”) and calculated pursuant to the following schedule:

Breakpoints	EDOW	FCTR	FCFY
Fund net assets up to and including $2.5 billion	0.5000 %	0.65000 %	0.600 %
Fund net assets greater than $2.5 billion up to and including $5 billion	0.4875 %	0.63375 %	0.585 %
Fund net assets greater than $5 billion up to and including $7.5 billion	0.4750 %	0.61750 %	0.570 %
Fund net assets greater than $7.5 billion up to and including $10 billion	0.4625 %	0.60125 %	0.555 %
Fund net assets greater than $10 billion up to and including $15 billion	0.4500 %	0.58500 %	0.540 %
Fund net assets greater than $15 billion	0.4250 %	0.55250 %	0.510 %

For the fiscal year ended December 31, 2023, FCTR received a payment from the Advisor in the amount of $25,082 in connection with a trade error.

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 target outcome fund or an index fund.

Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.

Page 38

Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund

December 31, 2023

4. Purchases and Sales of Securities

For the fiscal period ended December 31, 2023, 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 Dividend Strength ETF	$21,192,944	$21,219,818
First Trust Dow 30 Equal Weight ETF	33,009,168	33,066,764
First Trust Lunt U.S. Factor Rotation ETF	936,960,954	937,120,542
First Trust S&P 500 Diversified Free Cash Flow ETF	437,330	437,844

For the fiscal period ended December 31, 2023, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:

	Purchases	Sales
First Trust Dividend Strength ETF	$4,419,728	$4,215,998
First Trust Dow 30 Equal Weight ETF	90,911,082	28,104,523
First Trust Lunt U.S. Factor Rotation ETF	1,217,061	171,579,077
First Trust S&P 500 Diversified Free Cash Flow ETF	2,021,430	1,009,314

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 Creation Units. Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.

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

Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.

6. Distribution Plan

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. (“FTP”), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in

Page 39

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of First Trust Exchange-Traded Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of First Trust Dividend Strength ETF, First Trust Dow 30 Equal Weight ETF, First Trust Lunt U.S. Factor Rotation ETF, and First Trust S&P 500 Diversified Free Cash Flow ETF (the “Funds”), each a series of First Trust Exchange-Traded Fund, including the portfolios of investments, as of December 31, 2023, the related statements of operations, the statements of the changes in net assets, and the financial highlights for the periods indicated in the table below; and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2023, and the results of their operations, the changes in their net assets, and the financial highlights for the periods listed in the table below in conformity with accounting principles generally accepted in the United States of America.

Individual Funds Included in the Trust	Statements of Operations	Statements of Changes in Net Assets	Financial Highlights
First Trust Dividend Strength ETF	For the year ended December 31, 2023	For the years ended December 31, 2023 and 2022	For the years ended December 31, 2023, 2022, 2021, 2020, and 2019
First Trust Dow 30 Equal Weight ETF
First Trust Lunt U.S. Factor Rotation ETF
First Trust S&P 500 Diversified Free Cash Flow ETF	For the period from August 23, 2023 (commencement of investment operations) through December 31, 2023

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche, LLP

Chicago, Illinois
February 23, 2024

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

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Additional Information

First Trust Exchange-Traded Fund

December 31, 2023 (Unaudited)

Proxy Voting Policies and Procedures

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

Portfolio Holdings

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

Federal Tax Information

For the taxable period ended December 31, 2023, the following percentages of income dividends paid by the Funds qualify for the dividends received deduction available to corporations:

	Dividends Received Deduction
First Trust Dividend Strength ETF	100.00 %
First Trust Dow 30 Equal Weight ETF	100.00 %
First Trust Lunt U.S. Factor Rotation ETF	100.00 %
First Trust S&P 500 Diversified Free Cash Flow ETF	100.00 %

For the taxable period ended December 31, 2023, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income:

	Qualified Dividend Income
First Trust Dividend Strength ETF	100.00 %
First Trust Dow 30 Equal Weight ETF	100.00 %
First Trust Lunt U.S. Factor Rotation ETF	100.00 %
First Trust S&P 500 Diversified Free Cash Flow ETF	100.00 %

A portion of each of the Funds’ 2023 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal period ended December 31, 2023, may be eligible for the Qualified Business Income Deduction (QBI) under the Internal Revenue Code of 1986, as amended, Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in.

Risk Considerations

Risks are inherent in all investing. Certain general risks that may be applicable to a Fund are identified below, but not all of the material risks relevant to each Fund are included in this report and not all of the risks below apply to each Fund. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information and other regulatory filings. Before investing, you should consider each Fund’s investment objective, risks, charges and expenses, and read each Fund’s prospectus and statement of additional information carefully. You can download each Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund.

Concentration Risk. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund’s investments more than if the fund were more broadly diversified. A fund that tracks an index will be

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Additional Information (Continued)

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December 31, 2023 (Unaudited)

concentrated to the extent the fund’s corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified.

Credit Risk. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer’s ability to make such payments.

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

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

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

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

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

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prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or “junk” bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities.

Index or Model Constituent Risk. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund’s net asset value could be negatively impacted and the fund’s market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund’s shares.

Index Provider Risk. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund’s costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders.

Investment Companies Risk. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund’s investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests.

LIBOR Risk. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate (“LIBOR”) as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate (“SOFR”) will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund.

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

Market Risk. Market risk is the risk that a particular security, or shares of a fund in general, may fall in value. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed “reasonably” normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. These events also adversely affect the prices and liquidity of a fund’s portfolio securities or other instruments and could result in disruptions in the trading markets. Any of such circumstances could

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have a materially negative impact on the value of a fund’s shares and result in increased market volatility. During any such events, a fund’s shares may trade at increased premiums or discounts to their net asset value and the bid/ask spread on a fund’s shares may widen.

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

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

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

Preferred Securities Risk. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt securities in a company’s capital structure in terms of priority to corporate income, subjecting them to greater credit risk than those debt securities. Generally, holders of preferred securities have no voting rights with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred security holders may obtain limited rights. In certain circumstances, an issuer of preferred securities may defer payment on the securities and, in some cases, redeem the securities prior to a specified date. Preferred securities may also be substantially less liquid than other securities, including common stock.

Valuation Risk. The valuation of certain securities may carry more risk than that of common stock. Uncertainties in the conditions of the financial markets, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing. A fund may hold investments in sizes smaller than institutionally sized round lot positions (sometimes referred to as odd lots). However, third-party pricing services generally provide evaluations on the basis of institutionally-sized round lots. If a fund sells certain of its investments in an odd lot transaction, the sale price may be less than the value at which such securities have been held by the fund. Odd lots often trade at lower prices than institutional round lots. There is no assurance that the fund will be able to sell a portfolio security at the price established by the pricing service, which could result in a loss to the fund.

NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE

Advisory Agreements

Board Considerations Regarding Approval of the Investment Management Agreement

First Trust S&P 500 Diversified Free Cash Flow ETF

The Board of Trustees of First Trust Exchange-Traded Fund (the “Trust”), including the Independent Trustees, approved the Investment Management Agreement (the “Agreement”) with First Trust Advisors L.P. (the “Advisor”), on behalf of First Trust S&P 500 Diversified Free Cash Flow ETF (the “Fund”), for an initial two-year term at a meeting held on June 5, 2023. The Board determined that the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940

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Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreement for the Fund, the Independent Trustees received a report from the Advisor in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate schedule payable by the Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other exchange-traded funds (“ETFs”) managed by the Advisor; the estimated expense ratio of the Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to the Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor is a reasonable business arrangement from the Fund’s perspective.

In evaluating whether to approve the Agreement for the Fund, the Board considered the nature, extent and quality of the services to be provided by the Advisor under the Agreement and considered that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. The Board considered that the Advisor will be responsible for the overall management and administration of the Fund and reviewed all of the services to be provided by the Advisor to the Fund. The Board also considered the background and experience of the persons who will be responsible for the day-to-day management of the Fund’s investments. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and the Fund’s compliance with the 1940 Act, as well as the Fund’s compliance with its investment objective, policies and restrictions. Because the Fund had yet to commence investment operations, the Board could not consider the historical investment performance of the Fund. Because the Fund is an index ETF that is designed to track the performance of an underlying index, the Board considered reports it receives on a quarterly basis showing the correlation and tracking error between other ETFs for which the Advisor serves as investment advisor and their applicable underlying indexes. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Fund by the Advisor under the Agreement are expected to be satisfactory.

The Board considered the proposed unitary fee rate schedule payable by the Fund under the Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, the Fund would pay the Advisor a unitary fee starting at an annual rate of 0.60% of its average daily net assets, subject to a breakpoint schedule pursuant to which the unitary fee rate would be reduced as assets of the Fund meet certain thresholds. The Board noted that the Advisor would be responsible for the Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor to other ETFs. Because the Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio for the Fund was above the median total (net) expense ratio of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with representatives of the Advisor how the Expense Group was assembled and how the Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other ETFs managed by the Advisor, the Board considered the Advisor’s statement that the Fund will be unique to the market and in the First Trust product line but will be most similar to two other index ETFs managed by the Advisor, each of which has an advisory fee rate schedule starting at an annual rate of 0.50% of its average daily net assets and is subject to an expense cap of 0.70% of its average daily net assets, given that each strategy seeks to enhance total return while investing in an equity portfolio. In light of the information considered and the nature, extent and quality of the services expected to be provided to the Fund under the Agreement, the Board determined that the proposed unitary fee was fair and reasonable.

The Board considered whether there are any potential economies of scale to be achieved in connection with the Advisor providing investment advisory services to the Fund and whether the Fund may benefit from any economies of scale. The Board noted that the proposed unitary fee rate schedule for the Fund includes breakpoints pursuant to which the unitary fee rate would be reduced as assets of the Fund meet certain thresholds. The Board considered that the Advisor has continued to build infrastructure and add new staff to

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improve the services to the funds in the First Trust Fund Complex. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Fund generally would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Fund. The Board concluded that the proposed unitary fee rate schedule for the Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at reasonably foreseeable future asset levels. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for the Fund under the Agreement. The Board considered the Advisor’s estimate of the asset level for the Fund at which the Advisor expects the Agreement to be profitable to the Advisor and the Advisor’s estimate of the profitability of the Agreement if the Fund’s assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s estimated profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP, and noted that the Advisor will not utilize soft dollars in connection with the Fund. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreement are fair and reasonable and that the approval of the Agreement is in the best interests of the Fund. No single factor was determinative in the Board’s analysis.

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Board of Trustees and Officers

First Trust Exchange-Traded Fund

December 31, 2023 (Unaudited)

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

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

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee (1951)	• Indefinite Term • Since Inception	Retired; Physician, Edward-Elmhurst Medical Group (2021 to September 2023); Physician and Officer, Wheaton Orthopedics (1990 to 2021)	257	None
Thomas R. Kadlec, Trustee (1957)	• Indefinite Term • Since Inception	Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022)	257	Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association
Denise M. Keefe, Trustee (1964)	• Indefinite Term • Since 2021	Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System)	257	Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022)
Robert F. Keith, Trustee (1956)	• Indefinite Term • Since Inception	President, Hibs Enterprises (Financial and Management Consulting)	257	Formerly, Director of Trust Company of Illinois
Niel B. Nielson, Trustee (1954)	• Indefinite Term • Since Inception	Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services)	257	None

INTERESTED TRUSTEE
James A. Bowen(1), Trustee, Chairman of the Board (1955)	• Indefinite Term • Since Inception	Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)	257	None

(1)

Mr. Bowen is deemed an “interested person” of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust.

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Name and Year of Birth	Position and Offices with Trust	Term of Year First Elected or Appointed	Principal Occupations During Past 5 Years
ADVISORY BOARD OF THE TRUST
Bronwyn Wright (1971)	Advisory Board Member	• Indefinite term • Since 2023	Independent Director to a number of Irish collective investment funds (2009 to Present); Various roles at international affiliates of Citibank (1994 to 2009), including Managing Director, Citibank Europe plc and Head of Securities and Fund Services, Citi Ireland (2007 to 2009)

Name and Year of Birth	Position and Offices with Trust	Term of Office and Length of Service	Principal Occupations During Past 5 Years
OFFICERS(2)
James M. Dykas (1966)	President and Chief Executive Officer	• Indefinite Term • Since 2016	Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
Derek D. Maltbie (1972)	Treasurer, Chief Financial Officer and Chief Accounting Officer	• Indefinite Term • Since 2023	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021.
W. Scott Jardine (1960)	Secretary and Chief Legal Officer	• Indefinite Term • Since Inception	General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist (1970)	Vice President	• Indefinite Term • Since Inception	Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P.
Kristi A. Maher (1966)	Chief Compliance Officer and Assistant Secretary	• Indefinite Term • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Inception	Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.
Roger F. Testin (1966)	Vice President	• Indefinite Term • Since Inception	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.
Stan Ueland (1970)	Vice President	• Indefinite Term • Since Inception	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.

(2)

The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.

Page 49

First Trust Exchange-Traded Fund

December 31, 2023 (Unaudited)

First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.

Sources of Information

We collect nonpublic personal information about you from the following sources:

• Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;

• Information about your transactions with us, our affiliates or others;

• Information we receive from your inquiries by mail, e-mail or telephone; and

• Information we collect on our website through the use of “cookies.” For example, we may identify the pages on our website that your browser requests or visits.

Information Collected

The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.

Disclosure of Information

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:

• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.

• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).

In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.

Use of Website Analytics

We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust’s website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust’s website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis.

Confidentiality and Security

With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.

Policy Updates and Inquiries

As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).

March 2023

Page 50

Shares	Description	Value
COMMON STOCKS (Continued)
	Tobacco — 0.9%
256	Altria Group, Inc.	$10,327


	Total Investments — 99.9%	1,099,975
	(Cost $990,498)
	Net Other Assets and Liabilities — 0.1%	1,559
	Net Assets — 100.0%	$1,101,534

First Trust Lunt U.S. Factor Rotation ETF (FCTR)		First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)
Year Ended 12/31/2023	Year Ended 12/31/2022	Period Ended 12/31/2023 (a)

$1,597,245	$4,647,184	$7,605
(22,279,939 )	(116,272,618 )	(20,993 )
25,082	—	—
8,371,862	(18,358,590 )	109,477
(12,285,750 )	(129,984,024 )	96,089


(1,619,341 )	(4,905,611 )	(8,001 )


1,226,028	197,817,866	2,026,277
(171,925,855 )	(457,908,923 )	(1,012,831 )
(170,699,827 )	(260,091,057 )	1,013,446
(184,604,918 )	(394,980,692 )	1,101,534


268,024,500	663,005,192	—
$83,419,582	$268,024,500	$1,101,534


9,600,002	18,650,002	—
50,000	6,050,000	100,002
(6,650,000 )	(15,100,000 )	(50,000 )
3,000,002	9,600,002	50,002

Shareholder Letter	2
Market Overview	3
Fund Performance Overview
First Trust Dividend Strength ETF (FTDS)	4
First Trust Dow 30 Equal Weight ETF (EDOW)	6
First Trust Lunt U.S. Factor Rotation ETF (FCTR)	8
First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)	10
Notes to Fund Performance Overview	12
Understanding Your Fund Expenses	13
Portfolio of Investments
First Trust Dividend Strength ETF (FTDS)	14
First Trust Dow 30 Equal Weight ETF (EDOW)	16
First Trust Lunt U.S. Factor Rotation ETF (FCTR)	17
First Trust S&P 500 Diversified Free Cash Flow ETF (FCFY)	21
Statements of Assets and Liabilities	24
Statements of Operations	25
Statements of Changes in Net Assets	26
Financial Highlights	28
Notes to Financial Statements	32
Report of Independent Registered Public Accounting Firm	41
Additional Information	42
Board of Trustees and Officers	48
Privacy Policy	50