Book 2
First Trust SMID Cap Rising Dividend Achievers ETF (SDVY)
First Trust Dorsey Wright Momentum & Value ETF (DVLU)
First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL)
|
2 |
|
3 |
Fund Performance Overview | |
|
4 |
|
6 |
|
8 |
|
10 |
|
11 |
Portfolio of Investments | |
|
12 |
|
15 |
|
17 |
|
19 |
|
20 |
|
22 |
|
24 |
|
27 |
|
33 |
Performance | ||||
Average
Annual Total Returns |
Cumulative Total Returns | |||
6
Months Ended 3/31/22 |
1
Year Ended 3/31/22 |
Inception
(11/1/17) to 3/31/22 |
Inception
(11/1/17) to 3/31/22 | |
Fund Performance | ||||
NAV | -0.96% | -0.36% | 9.50% | 49.24% |
Market Price | -1.10% | -0.60% | 9.50% | 49.24% |
Index Performance | ||||
Nasdaq US Small Mid Cap Rising Dividend Achievers™ Index | -0.64% | 0.26% | 10.19% | 53.40% |
S&P 1000® Index | 1.79% | 3.55% | 10.75% | 56.91% |
Performance | ||||
Average
Annual Total Returns |
Cumulative Total Returns | |||
6
Months Ended 3/31/22 |
1
Year Ended 3/31/22 |
Inception
(9/5/18) to 3/31/22 |
Inception
(9/5/18) to 3/31/22 | |
Fund Performance | ||||
NAV | 9.67% | 16.41% | 8.89% | 35.50% |
Market Price | 9.72% | 16.35% | 8.90% | 35.55% |
Index Performance | ||||
Dorsey Wright Momentum Plus Value™ Index | 10.08% | 17.23% | 9.57% | 38.55% |
S&P 500® Index | 5.92% | 15.65% | 15.46% | 66.98% |
Performance | ||||
Average
Annual Total Returns |
Cumulative Total Returns | |||
6
Months Ended 3/31/22 |
1
Year Ended 3/31/22 |
Inception
(9/5/18) to 3/31/22 |
Inception
(9/5/18) to 3/31/22 | |
Fund Performance | ||||
NAV | 4.37% | 16.66% | 11.74% | 48.61% |
Market Price | 4.40% | 16.65% | 11.76% | 48.66% |
Index Performance | ||||
Dorsey Wright Momentum Plus Low Volatility™ Index | 4.73% | 17.43% | 12.48% | 52.11% |
S&P 500® Index | 5.92% | 15.65% | 15.46% | 66.98% |
Beginning Account Value October 1, 2021 |
Ending Account Value March 31, 2022 |
Annualized Expense Ratio Based on the Six-Month Period |
Expenses Paid During the Six-Month Period (a) | |
First Trust SMID Cap Rising Dividend Achievers ETF (SDVY) | ||||
Actual | $1,000.00 | $990.40 | 0.60% | $2.98 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.94 | 0.60% | $3.02 |
First Trust Dorsey Wright Momentum & Value ETF (DVLU) | ||||
Actual | $1,000.00 | $1,096.70 | 0.60% | $3.14 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.94 | 0.60% | $3.02 |
First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) | ||||
Actual | $1,000.00 | $1,043.70 | 0.60% | $3.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.94 | 0.60% | $3.02 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (October 1, 2021 through March 31, 2022), multiplied by 182/365 (to reflect the six-month period). |
Total Value at 3/31/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Common Stocks* | $ 883,952,017 | $ 883,952,017 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
(a) | Non-income producing security. |
Total Value at 3/31/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Common Stocks* | $ 28,118,209 | $ 28,118,209 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (Continued) | ||||
Equity
Real Estate Investment Trusts (Continued) |
||||
11,516 | Sun Communities, Inc. | $2,018,640 | ||
Total Real Estate Investment Trusts | 39,322,217 | |||
(Cost $37,505,111) | ||||
Total Investments – 99.7% | 111,341,803 | |||
(Cost $106,156,285) | ||||
Net Other Assets and Liabilities – 0.3% | 316,112 | |||
Net Assets – 100.0% | $111,657,915 |
(a) | Non-income producing security. |
Total Value at 3/31/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Common Stocks* | $ 72,019,586 | $ 72,019,586 | $ — | $ — |
Real Estate Investment Trusts* | 39,322,217 | 39,322,217 | — | — |
Total Investments | $ 111,341,803 | $ 111,341,803 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
First
Trust SMID Cap Rising Dividend Achievers ETF (SDVY) |
First
Trust Dorsey Wright Momentum & Value ETF (DVLU) |
First
Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) | |||
ASSETS: | |||||
Investments, at value
|
$ 883,952,017 | $ 28,118,209 | $ 111,341,803 | ||
Cash
|
20,144,507 | 6,456 | 238,438 | ||
Receivables: | |||||
Dividends
|
694,933 | 16,924 | 133,043 | ||
Dividend reclaims
|
87 | — | 1,767 | ||
Total Assets
|
904,791,544 | 28,141,589 | 111,715,051 | ||
LIABILITIES: | |||||
Payables: | |||||
Investment securities purchased
|
19,806,228 | — | — | ||
Investment advisory fees
|
412,096 | 12,904 | 57,136 | ||
Total Liabilities
|
20,218,324 | 12,904 | 57,136 | ||
NET ASSETS
|
$884,573,220 | $28,128,685 | $111,657,915 | ||
NET ASSETS consist of: | |||||
Paid-in capital
|
$ 929,123,452 | $ 36,310,688 | $ 112,657,767 | ||
Par value
|
318,000 | 11,000 | 39,000 | ||
Accumulated distributable earnings (loss)
|
(44,868,232) | (8,193,003) | (1,038,852) | ||
NET ASSETS
|
$884,573,220 | $28,128,685 | $111,657,915 | ||
NET ASSET VALUE, per share
|
$27.82 | $25.57 | $28.63 | ||
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)
|
31,800,002 | 1,100,002 | 3,900,002 | ||
Investments, at cost
|
$915,320,014 | $26,394,758 | $106,156,285 |
First
Trust SMID Cap Rising Dividend Achievers ETF (SDVY) |
First
Trust Dorsey Wright Momentum & Value ETF (DVLU) |
First
Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) | ||||
INVESTMENT INCOME: | ||||||
Dividends
|
$ 5,755,548 | $ 263,168 | $ 934,495 | |||
Interest
|
470 | 4 | 18 | |||
Foreign withholding tax
|
(8,122) | (389) | — | |||
Other
|
— | 44 | — | |||
Total investment income
|
5,747,896 | 262,827 | 934,513 | |||
EXPENSES: | ||||||
Investment advisory fees
|
1,486,761 | 75,725 | 371,681 | |||
Total expenses
|
1,486,761 | 75,725 | 371,681 | |||
NET INVESTMENT INCOME (LOSS)
|
4,261,135 | 187,102 | 562,832 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments
|
(16,375,573) | (280,878) | (3,539,491) | |||
In-kind redemptions
|
4,380,067 | 211,215 | 12,149,076 | |||
Net realized gain (loss)
|
(11,995,506) | (69,663) | 8,609,585 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments
|
(26,812,162) | 2,117,362 | (4,282,302) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(38,807,668) | 2,047,699 | 4,327,283 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
$(34,546,533) | $ 2,234,801 | $ 4,890,115 |
First Trust SMID Cap Rising Dividend Achievers ETF (SDVY) |
First Trust Dorsey Wright Momentum & Value ETF (DVLU) | ||||||
Six
Months Ended 3/31/2022 (Unaudited) |
Year Ended 9/30/2021 |
Six
Months Ended 3/31/2022 (Unaudited) |
Year Ended 9/30/2021 | ||||
OPERATIONS: | |||||||
Net investment income (loss)
|
$ 4,261,135 | $ 1,215,419 | $ 187,102 | $ 403,881 | |||
Net realized gain (loss)
|
(11,995,506) | 4,399,493 | (69,663) | 7,489,708 | |||
Net change in unrealized appreciation
(depreciation)
|
(26,812,162) | (4,309,095) | 2,117,362 | (1,439,711) | |||
Net increase (decrease) in net assets resulting
from operations
|
(34,546,533) | 1,305,817 | 2,234,801 | 6,453,878 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations
|
(4,006,525) | (1,005,851) | (219,390) | (376,450) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold
|
738,439,986 | 225,198,706 | 5,097,895 | 63,958,085 | |||
Cost of shares redeemed
|
(25,986,819) | (24,875,461) | (4,848,859) | (58,491,461) | |||
Net increase (decrease) in net assets resulting
from shareholder transactions
|
712,453,167 | 200,323,245 | 249,036 | 5,466,624 | |||
Total increase (decrease) in net assets
|
673,900,109 | 200,623,211 | 2,264,447 | 11,544,052 | |||
NET ASSETS: | |||||||
Beginning of period
|
210,673,111 | 10,049,900 | 25,864,238 | 14,320,186 | |||
End of period
|
$884,573,220 | $210,673,111 | $28,128,685 | $25,864,238 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period
|
7,450,002 | 550,002 | 1,100,002 | 950,002 | |||
Shares sold
|
25,250,000 | 7,800,000 | 200,000 | 2,900,000 | |||
Shares redeemed
|
(900,000) | (900,000) | (200,000) | (2,750,000) | |||
Shares outstanding, end of period
|
31,800,002 | 7,450,002 | 1,100,002 | 1,100,002 |
First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL) | ||
Six
Months Ended 3/31/2022 (Unaudited) |
Year Ended 9/30/2021 | |
$ 562,832 | $ 436,137 | |
8,609,585 | 24,241,948 | |
(4,282,302) | 750,009 | |
4,890,115 | 25,428,094 | |
(452,400) | (398,380) | |
76,808,881 | 173,667,860 | |
(90,703,043) | (202,257,238) | |
(13,894,162) | (28,589,378) | |
(9,456,447) | (3,559,664) | |
121,114,362 | 124,674,026 | |
$111,657,915 | $121,114,362 | |
4,400,002 | 5,550,002 | |
2,700,000 | 6,800,000 | |
(3,200,000) | (7,950,000) | |
3,900,002 | 4,400,002 |
Six Months Ended 3/31/2022 (Unaudited) |
Year Ended September 30, | Period Ended 9/30/2018 (a) | ||||||||
2021 | 2020 | 2019 | ||||||||
Net asset value, beginning of period
|
$ 28.28 | $ 18.27 | $ 20.37 | $ 21.28 | $ 19.94 | |||||
Income from investment operations: | ||||||||||
Net investment income (loss)
|
0.19 | 0.36 | 0.33 | 0.35 | 0.26 | |||||
Net realized and unrealized gain (loss)
|
(0.45) | 9.99 | (2.08) | (0.92) | 1.31 | |||||
Total from investment operations
|
(0.26) | 10.35 | (1.75) | (0.57) | 1.57 | |||||
Distributions paid to shareholders from: | ||||||||||
Net investment income
|
(0.20) | (0.34) | (0.35) | (0.34) | (0.23) | |||||
Net asset value, end of period
|
$27.82 | $28.28 | $18.27 | $20.37 | $21.28 | |||||
Total return
(b)
|
(0.96)% | 56.77% | (8.56)% | (2.59)% | 7.92% | |||||
Ratios to average net assets/supplemental data: | ||||||||||
Net assets, end of period (in 000’s)
|
$ 884,573 | $ 210,673 | $ 10,050 | $ 7,128 | $ 4,257 | |||||
Ratio of total expenses to average net
assets
|
0.60% (c) | 0.60% | 0.60% | 0.60% | 0.60% (c) | |||||
Ratio of net investment income (loss) to average
net assets
|
1.72% (c) | 1.77% | 1.83% | 1.95% | 1.49% (c) | |||||
Portfolio turnover rate (d)
|
96% | 36% | 76% | 78% | 72% |
(a) | Inception date is November 1, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 3/31/2022 (Unaudited) |
Year Ended September 30, | Period Ended 9/30/2018 (a) | ||||||||
2021 | 2020 | 2019 | ||||||||
Net asset value, beginning of period
|
$ 23.51 | $ 15.07 | $ 18.52 | $ 19.46 | $ 19.98 | |||||
Income from investment operations: | ||||||||||
Net investment income (loss)
|
0.18 | 0.29 | 0.25 | 0.33 | 0.02 | |||||
Net realized and unrealized gain (loss)
|
2.09 | 8.42 | (3.44) | (0.94) | (0.54) | |||||
Total from investment operations
|
2.27 | 8.71 | (3.19) | (0.61) | (0.52) | |||||
Distributions paid to shareholders from: | ||||||||||
Net investment income
|
(0.21) | (0.27) | (0.26) | (0.33) | — | |||||
Net asset value, end of period
|
$25.57 | $23.51 | $15.07 | $18.52 | $19.46 | |||||
Total return
(b)
|
9.67% | 57.98% | (17.19)% | (3.04)% | (2.60)% | |||||
Ratios to average net assets/supplemental data: | ||||||||||
Net assets, end of period (in 000’s)
|
$ 28,129 | $ 25,864 | $ 14,320 | $ 19,451 | $ 13,625 | |||||
Ratio of total expenses to average net
assets
|
0.60% (c) | 0.60% | 0.60% | 0.60% | 0.60% (c) | |||||
Ratio of net investment income (loss) to average
net assets
|
1.48% (c) | 1.68% | 1.56% | 2.01% | 3.61% (c) | |||||
Portfolio turnover rate (d)
|
106% | 195% | 205% | 152% | 0% |
(a) | Inception date is September 5, 2018, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 3/31/2022 (Unaudited) |
Year Ended September 30, | Period Ended 9/30/2018 (a) | ||||||||
2021 | 2020 | 2019 | ||||||||
Net asset value, beginning of period
|
$ 27.53 | $ 22.46 | $ 22.81 | $ 19.94 | $ 19.97 | |||||
Income from investment operations: | ||||||||||
Net investment income (loss)
|
0.14 | 0.10 | 0.28 | 0.29 | 0.03 | |||||
Net realized and unrealized gain (loss)
|
1.07 | 5.06 | (0.30) | 2.85 | (0.06) | |||||
Total from investment operations
|
1.21 | 5.16 | (0.02) | 3.14 | (0.03) | |||||
Distributions paid to shareholders from: | ||||||||||
Net investment income
|
(0.11) | (0.09) | (0.33) | (0.27) | — | |||||
Net asset value, end of period
|
$28.63 | $27.53 | $22.46 | $22.81 | $19.94 | |||||
Total return
(b)
|
4.37% | 22.98% | 0.03% | 15.93% | (0.15)% | |||||
Ratios to average net assets/supplemental data: | ||||||||||
Net assets, end of period (in 000’s)
|
$ 111,658 | $ 121,114 | $ 124,674 | $ 131,169 | $ 13,960 | |||||
Ratio of total expenses to average net
assets
|
0.60% (c) | 0.60% | 0.60% | 0.60% | 0.60% (c) | |||||
Ratio of net investment income (loss) to average
net assets
|
0.91% (c) | 0.36% | 1.21% | 2.37% | 3.81% (c) | |||||
Portfolio turnover rate (d)
|
82% | 136% | 187% | 81% | 0% |
(a) | Inception date is September 5, 2018, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Fund | Index |
First Trust SMID Cap Rising Dividend Achievers ETF | Nasdaq US Small Mid Cap Rising Dividend AchieversTM Index |
First Trust Dorsey Wright Momentum & Value ETF | Dorsey Wright Momentum Plus ValueTM Index |
First Trust Dorsey Wright Momentum & Low Volatility ETF | Dorsey Wright Momentum Plus Low Volatility TM Index |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
• | 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. |
Distributions paid from Ordinary Income |
Distributions paid from Capital Gains |
Distributions paid from Return of Capital | |||
First Trust SMID Cap Rising Dividend Achievers
ETF
|
$ 1,005,851 | $ — | $ — | ||
First Trust Dorsey Wright Momentum & Value
ETF
|
376,450 | — | — | ||
First Trust Dorsey Wright Momentum & Low
Volatility ETF
|
398,380 | — | — |
Undistributed Ordinary Income |
Accumulated Capital and Other Gain (Loss) |
Net Unrealized Appreciation (Depreciation) | |||
First Trust SMID Cap Rising Dividend Achievers
ETF
|
$ 190,695 | $ (1,024,748) | $ (5,481,121) | ||
First Trust Dorsey Wright Momentum & Value
ETF
|
42,373 | (9,847,184) | (403,603) | ||
First Trust Dorsey Wright Momentum & Low
Volatility ETF
|
76,645 | (14,942,639) | 9,389,427 |
Non-Expiring Capital Loss Carryforward | |
First Trust SMID Cap Rising Dividend Achievers
ETF
|
$ 1,024,748 |
First Trust Dorsey Wright Momentum & Value
ETF
|
9,847,184 |
First Trust Dorsey Wright Momentum & Low
Volatility ETF
|
14,942,639 |
Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net
Unrealized Appreciation (Depreciation) | ||||
First Trust SMID Cap Rising Dividend Achievers
ETF
|
$ 915,320,014 | $ 15,115,383 | $ (46,483,380) | $ (31,367,997) | |||
First Trust Dorsey Wright Momentum & Value
ETF
|
26,394,758 | 2,612,394 | (888,943) | 1,723,451 | |||
First Trust Dorsey Wright Momentum & Low
Volatility ETF
|
106,156,285 | 7,127,126 | (1,941,608) | 5,185,518 |
Purchases | Sales | ||
First Trust SMID Cap Rising Dividend Achievers ETF | $ 477,687,883 | $ 477,348,359 | |
First Trust Dorsey Wright Momentum & Value ETF | 26,952,420 | 26,960,425 | |
First Trust Dorsey Wright Momentum & Low Volatility ETF | 101,290,707 | 101,297,554 | |
Purchases | Sales | ||
First Trust SMID Cap Rising Dividend Achievers ETF | $ 737,933,826 | $ 25,872,113 | |
First Trust Dorsey Wright Momentum & Value ETF | 5,081,445 | 4,838,704 | |
First Trust Dorsey Wright Momentum & Low Volatility ETF | 76,673,934 | 90,650,881 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |