FIRST TRUST

First Trust Exchange-Traded Fund
Book 2

First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)
First Trust S&P REIT Index Fund (FRI)
First Trust Water ETF (FIW)
First Trust Natural Gas ETF (FCG)
First Trust Chindia ETF (FNI)
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)

Annual Report
December 31, 2021





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

Shareholder Letter..........................................................   2
Market Overview.............................................................   3
Fund Performance Overview
   First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)..................   4
   First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)...............   6
   First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............   8
   First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN).......  10
   First Trust S&P REIT Index Fund (FRI)....................................  12
   First Trust Water ETF (FIW)..............................................  14
   First Trust Natural Gas ETF (FCG)........................................  16
   First Trust Chindia ETF (FNI)............................................  18
   First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)...............  20
Notes to Fund Performance Overview..........................................  22
Understanding Your Fund Expenses............................................  23
Portfolio of Investments
   First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)..................  25
   First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)...............  28
   First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............  29
   First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN).......  32
   First Trust S&P REIT Index Fund (FRI)....................................  35
   First Trust Water ETF (FIW)..............................................  37
   First Trust Natural Gas ETF (FCG)........................................  39
   First Trust Chindia ETF (FNI)............................................  41
   First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)...............  44
Statements of Assets and Liabilities........................................  48
Statements of Operations....................................................  50
Statements of Changes in Net Assets.........................................  52
Financial Highlights........................................................  56
Notes to Financial Statements...............................................  61
Report of Independent Registered Public Accounting Firm.....................  72
Additional Information......................................................  73
Board of Trustees and Officers..............................................  78
Privacy Policy..............................................................  80





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                  CAUTION REGARDING FORWARD-LOOKING STATEMENTS

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

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

                        PERFORMANCE AND RISK DISCLOSURE

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

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

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

                            HOW TO READ THIS REPORT

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

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

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


                                                                          Page 1





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

Dear Shareholders:

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

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

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

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

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

Sincerely,

/s/ James A. Bowen

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


Page 2





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

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

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

STATE OF THE ECONOMY/INVESTING

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

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

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

U.S. STOCKS AND BONDS

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

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

FOREIGN STOCKS AND BONDS

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

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


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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)

The First Trust NASDAQ-100 Equal Weighted Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Equal
Weighted Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is the equal-weighted version of the
NASDAQ-100 Index(R), which includes 100 of the largest U.S. and international
non-financial companies listed on The Nasdaq Stock Market LLC ("Nasdaq") based
on market capitalization. The Index is rebalanced quarterly and reconstituted
annually and the Fund will make corresponding changes to its portfolio shortly
after the Index changes are made public. The Fund's shares are listed for
trading on the Nasdaq. The first day of secondary market trading in shares of
the Fund was April 25, 2006.



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PERFORMANCE
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                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (4/19/06)      Ended       Ended       (4/19/06)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                            17.67%      21.27%      18.57%       12.54%       162.27%     449.39%       539.32%
Market Value                                   17.75%      21.26%      18.58%       12.54%       162.22%     449.76%       539.48%

INDEX PERFORMANCE
NASDAQ-100 Equal Weighted Index(SM)            18.45%      22.02%      19.31%       13.24%       170.49%     484.43%       604.89%
S&P 500(R) Index                               28.71%      18.47%      16.55%       10.81%       133.41%     362.57%       401.38%
NASDAQ-100 Index(R)                            27.51%      28.63%      23.15%       16.46%       252.19%     702.29%       994.29%
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(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a net asset value ("NAV") return of 17.67% during the
12-month period covered by this report. During the same period, the NASDAQ-100
Index(R) (the "Benchmark") generated a return of 27.51%. The Information
Technology sector received the greatest allocation in the Fund over the period
with an average weight of 41.4%. This sector returned 28.6% as the strongest
performing allocated sector, contributing 11.3% to the Fund's total return. All
invested sectors experienced positive returns during the period except for the
Consumer Discretionary investments, which contributed -0.5% to the Fund's
return. On a relative basis, the Fund underperformed the Benchmark. Investments
in the Information Technology sector were the greatest drivers of this
underperformance. The Fund slightly underweighted this sector in comparison to
the Benchmark and the investments in the Fund slightly underperformed those in
the Benchmark. Thus, due to both allocation effect and selection effect,
investments in the Information Technology sector caused -4.2% underperformance
versus the Benchmark. The only sector which contributed outperformance for the
Fund versus the Benchmark were the investments in the Health Care sector, which
contributed 0.2% of outperformance for the Fund.

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Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Equal Weighted
Index(SM) 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





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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) (CONTINUED)

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                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         43.3%
Consumer Discretionary                         16.0
Communication Services                         12.0
Health Care                                    11.7
Industrials                                     7.0
Consumer Staples                                7.0
Utilities                                       3.0
                                             -------
   Total                                      100.0%
                                             =======

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                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
MercadoLibre, Inc.                              1.1%
Tesla, Inc.                                     1.1
Micron Technology, Inc.                         1.1
Paychex, Inc.                                   1.1
Marriott International, Inc., Class A           1.1
KLA Corp.                                       1.1
Atlassian Corp. PLC, Class A                    1.1
NetEase, Inc., ADR                              1.1
Booking Holdings, Inc.                          1.0
Activision Blizzard, Inc.                       1.0
                                             -------
   Total                                       10.8%
                                             =======



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

                 First Trust
              NASDAQ-100 Equal          NASDAQ-100 Equal        S&P 500(R)       NASDAQ-100
             Weighted Index Fund       Weighted Index(SM)         Index           Index(R)
                                                                      
12/11              $10,000                  $10,000              $10,000          $10,000
06/12               10,918                   10,945               10,949           11,544
12/12               11,486                   11,545               11,600           11,835
06/13               13,278                   13,406               13,203           13,029
12/13               16,074                   16,278               15,356           16,204
06/14               17,357                   17,631               16,452           17,479
12/14               19,150                   19,507               17,459           19,349
06/15               19,604                   20,028               17,674           20,204
12/15               19,577                   20,070               17,701           21,236
06/16               19,013                   19,542               18,381           20,563
12/16               20,950                   21,606               19,818           22,782
06/17               24,266                   25,100               21,669           26,605
12/17               26,399                   27,394               24,144           30,298
06/18               27,645                   28,766               24,784           33,525
12/18               25,038                   26,131               23,086           30,310
06/19               30,636                   32,078               27,366           36,933
12/19               33,997                   35,706               30,354           42,270
06/20               36,900                   38,873               29,419           49,409
12/20               46,693                   49,341               35,938           62,927
06/21               51,974                   55,104               41,419           71,321
12/21               54,939                   58,443               46,257           80,229


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)

The First Trust NASDAQ-100-Technology Sector Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Technology
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the NASDAQ-100 Index(R) that are classified as
"technology" according to the Industry Classification Benchmark classification
system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. The Index is rebalanced quarterly and reconstituted annually and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was
April 25, 2006.




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PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (4/19/06)      Ended       Ended       (4/19/06)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                      
FUND PERFORMANCE
NAV                                            26.94%      27.99%      22.96%       15.51%       243.47%     690.33%       861.46%
Market Value                                   27.03%      27.98%      22.97%       15.51%       243.31%     690.87%       861.71%

INDEX PERFORMANCE
NASDAQ-100 Technology Sector Index(SM)         27.71%      28.78%      23.74%       16.23%       254.15%     741.60%       961.04%
S&P 500(R) Index                               28.71%      18.47%      16.55%       10.81%       133.41%     362.57%       401.38%
S&P 500 Information Technology Index           34.53%      32.13%      24.01%       16.29%       302.73%     760.29%       968.96%
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(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 26.94% during the 12-month period covered by
this report. During the same period, the S&P 500 Information Technology Index
(the "Benchmark") generated a return of 34.53%. Semiconductors & Semiconductor
Equipment received an allocation of 44.7%, a greater allocation than any other
industry for the Fund during this reporting period. Investments in this industry
returned 48.5% and contributed 19.7% to the Fund's total return. All industries
yielded positive returns for the Fund. On a relative basis, the Fund
underperformed the Benchmark. The industry that caused the most underperformance
for the Fund was Software, which caused -10.4% of underperformance versus the
Benchmark. The IT Services industry caused 3.4% of outperformance versus the
Benchmark, the greatest degree of outperformance by an industry in the Fund.

-----------------------------
Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Technology Sector
Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together
with its affiliates hereinafter referred to as the "Corporations") and are
licensed for use by First Trust. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.


Page 6





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

FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION(1)              LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         90.6%
Communication Services                          9.4
                                             -------
   Total                                      100.0%
                                             =======

(1)   The above sector classification is based on Standard & Poor's Global
      Industry Classification Standard ("GICS"), and is different than the
      industry sector classification system used by the Index to select
      securities, which is the Industry Classification Benchmark ("ICB") system,
      the joint classification system of Dow Jones Indexes and FTSE Group.

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Micron Technology, Inc.                         2.6%
KLA Corp.                                       2.5
Atlassian Corp. PLC, Class A                    2.5
Applied Materials, Inc.                         2.5
Fortinet, Inc.                                  2.5
Lam Research Corp.                              2.5
ASML Holding N.V.                               2.4
Xilinx, Inc.                                    2.4
Synopsys, Inc.                                  2.4
NVIDIA Corp.                                    2.4
                                             -------
   Total                                       24.7%
                                             =======



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

               First Trust
               NASDAQ-100-             NASDAQ-100
            Technology Sector       Technology Sector       S&P 500(R)       S&P 500 Information
               Index Fund               Index(SM)             Index           Technology Index
                                                                       
12/11            $10,000                 $10,000             $10,000               $10,000
06/12             10,456                  10,489              10,949                11,334
12/12             10,802                  10,870              11,600                11,482
06/13             12,068                  12,183              13,203                12,211
12/13             14,920                  15,111              15,356                14,746
06/14             16,878                  17,148              16,452                16,064
12/14             18,625                  18,985              17,459                17,712
06/15             18,165                  18,567              17,674                17,847
12/15             18,368                  18,834              17,701                18,763
06/16             18,906                  19,456              18,381                18,703
12/16             23,009                  23,766              19,818                21,361
06/17             27,392                  28,374              21,669                25,042
12/17             31,720                  32,959              24,144                29,657
06/18             34,048                  35,480              24,784                32,881
12/18             30,228                  31,591              23,086                29,573
06/19             38,166                  40,010              27,366                37,596
12/19             44,849                  47,168              30,354                44,446
06/20             49,123                  51,833              29,419                51,091
12/20             62,258                  65,890              35,938                63,951
06/21             71,684                  76,077              41,419                72,751
12/21             79,033                  84,160              46,257                86,029


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 7





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

FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)

The First Trust NASDAQ-100 Ex-Technology Sector Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Ex-Tech
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the NASDAQ-100 Index(R) that are not classified as
"technology" according to the Industry Classification Benchmark classification
system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. The Index is rebalanced quarterly and reconstituted annually and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was
February 15, 2007.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (2/8/07)       Ended       Ended       (2/8/07)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                            11.80%      17.36%      16.16%       10.99%       122.66%     347.44%       372.43%
Market Value                                   11.84%      17.38%      16.17%       10.99%       122.82%     347.77%       372.55%

INDEX PERFORMANCE
NASDAQ-100 Ex-Tech Sector Index(SM)            12.53%      18.08%      16.87%       11.68%       129.58%     375.35%       418.07%
Russell 1000(R) Index                          26.45%      18.43%      16.54%       10.61%       132.93%     362.24%       348.88%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 11.80% during the 12-month period covered by
this report. During the same period, the Russell 1000(R) Index (the "Benchmark")
generated a return of 26.45%. The Consumer Discretionary sector was the Fund's
largest allocation during the period at 24.9% and generated the largest negative
contribution to the Fund's return at -0.9%. The largest positive contribution to
the Fund's return came from investments in the Health Care sector, which
returned 5.9% during the period. On a relative basis, the Fund underperformed
the Benchmark. The Consumer Discretionary sector's -7.5% drag on return compared
to the Benchmark's performance for the same sector was the largest source of
relative underperformance during the period. The Health Care sector's 0.3% of
outperformance marginally reduced the Fund's relative underperformance versus
the Benchmark.

-----------------------------
Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Ex-Tech Sector
Index(SM) 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 8





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

FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Consumer Discretionary                         27.7%
Health Care                                    20.3
Communication Services                         13.8
Industrials                                    12.1
Consumer Staples                               12.1
Information Technology                          8.8
Utilities                                       5.2
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
MercadoLibre, Inc.                              1.9%
Tesla, Inc.                                     1.9
Paychex, Inc.                                   1.8
Marriott International, Inc., Class A           1.8
NetEase, Inc., ADR                              1.8
Booking Holdings, Inc.                          1.8
Activision Blizzard, Inc.                       1.8
Exelon Corp.                                    1.8
Align Technology, Inc.                          1.8
Starbucks Corp.                                 1.8
                                             -------
   Total                                       18.2%
                                             =======



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

                First Trust
                 NASDAQ-100               NASDAQ-100
            Ex-Technology Sector        Ex-Tech Sector        Russell 1000(R)
                 Index Fund               Index(SM)                Index
                                                         
12/11             $10,000                  $10,000                $10,000
06/12              11,277                   11,306                 10,938
12/12              12,031                   12,091                 11,642
06/13              14,290                   14,431                 13,261
12/13              16,992                   17,206                 15,497
06/14              17,770                   18,054                 16,624
12/14              19,600                   19,964                 17,550
06/15              20,664                   21,118                 17,850
12/15              20,530                   21,055                 17,711
06/16              19,288                   19,821                 18,373
12/16              20,092                   20,705                 19,845
06/17              22,961                   23,736                 21,685
12/17              24,192                   25,079                 24,148
06/18              24,954                   25,939                 24,836
12/18              22,843                   23,809                 22,993
06/19              27,396                   28,652                 27,325
12/19              29,319                   30,752                 30,219
06/20              31,612                   33,255                 29,370
12/20              40,018                   42,231                 36,554
06/21              43,568                   46,125                 42,019
12/21              44,744                   47,535                 46,224


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                          Page 9





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

FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)

The First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the NASDAQ(R)
Clean Edge(R) Green Energy Index(SM) (the "Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in
common stocks and depositary receipts that comprise the Index. The Index is
designed to track the performance of small, mid and large capitalization
clean-energy companies that are publicly traded in the United States. The Index
is rebalanced quarterly and reconstituted semi-annually and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the Nasdaq. The first day of
secondary market trading in shares of the Fund was February 14, 2007.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (2/8/07)       Ended       Ended       (2/8/07)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                            -3.14%      35.28%      22.48%        9.11%       353.12%     659.78%       266.59%
Market Value                                   -3.18%      35.26%      22.52%        9.11%       352.76%     662.12%       266.58%

INDEX PERFORMANCE
NASDAQ(R) Clean Edge(R) Green Energy
   Index(SM)                                   -2.64%      35.64%      22.44%        9.34%       359.13%     657.36%       278.11%
Russell 2000(R) Index                          14.82%      12.02%      13.23%        8.49%        76.39%     246.52%       236.55%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of -3.14% during the 12-month period covered by
this report. During the same period, the Russell 2000(R) Index (the "Benchmark")
generated a return of 14.82%. The Fund's 36.7% weight in the Information
Technology sector was the largest allocation. The largest positive contribution
to the Fund of 3.9% came from investments in the Materials sector. The largest
negative contribution to the Fund during the period was the -6.2% contribution
from the Industrials sector. On a relative basis, the Fund underperformed the
Benchmark. The Fund's allocation in the Industrials sector caused -11.1% of
underperformance for the Fund versus the Benchmark, which was the largest source
of underperformance from any sector during the period. The Fund did not have an
allocation to the Health Care sector, and this resulted in 6.9% of
outperformance for the Fund versus the Benchmark during the period.

-----------------------------
Nasdaq(R), Clean Edge(R), and NASDAQ(R) Clean Edge(R) Green Energy Index(SM) are
registered trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc.,
respectively (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 10





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

FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology                         36.5%
Consumer Discretionary                         20.2
Industrials                                    19.3
Materials                                      12.2
Utilities                                       9.7
Financials                                      1.4
Energy                                          0.7
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Tesla, Inc.                                     8.3%
ON Semiconductor Corp.                          8.2
Albemarle Corp.                                 7.6
NIO, Inc., ADR                                  7.3
Enphase Energy, Inc.                            6.6
XPeng, Inc., ADR                                4.1
Wolfspeed, Inc.                                 3.9
SolarEdge Technologies, Inc.                    3.9
Plug Power, Inc.                                3.2
Brookfield Renewable Partners, L.P.             3.0
                                             -------
   Total                                       56.1%
                                             =======



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

                First Trust
                 NASDAQ(R)                 NASDAQ(R)
            Clean Edge(R) Green          Clean Edge(R)           Russell 2000(R)
             Energy Index Fund       Green Energy Index(SM)           Index
                                                            
12/11             $10,000                   $10,000                  $10,000
06/12               9,679                     9,659                   10,853
12/12               9,950                     9,869                   11,634
06/13              14,874                    14,714                   13,479
12/13              18,883                    18,685                   16,151
06/14              21,717                    21,495                   16,666
12/14              18,307                    18,101                   16,941
06/15              19,647                    19,430                   17,746
12/15              17,128                    16,947                   16,193
06/16              15,449                    15,247                   16,552
12/16              16,764                    16,497                   19,644
06/17              19,599                    19,310                   20,624
12/17              22,084                    21,784                   22,521
06/18              21,262                    20,993                   24,246
12/18              19,385                    19,146                   20,039
06/19              23,355                    23,073                   23,442
12/19              27,659                    27,314                   25,153
06/20              33,122                    32,719                   21,888
12/20              78,420                    77,799                   30,178
06/21              77,369                    76,912                   35,471
12/21              75,978                    75,736                   34,652


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

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

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


                                                                         Page 11





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

FIRST TRUST S&P REIT INDEX FUND (FRI)

The First Trust S&P REIT Index Fund (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 S&P United States REIT Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the real estate investment trusts ("REITs")
that comprise the Index. The Index seeks to measure the performance of publicly
traded REITs domiciled in the U.S. that meet certain eligibility requirements.
The Index is rebalanced quarterly and the Fund will make corresponding changes
to its portfolio shortly after the Index changes are made public. The Fund's
shares are listed for trading on the NYSE Arca. The first day of secondary
market trading in shares of the Fund was May 10, 2007.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (5/8/07)       Ended       Ended       (5/8/07)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                            42.52%      10.00%      10.63%        6.15%        61.06%     174.58%       139.64%
Market Value                                   42.56%      10.00%      10.63%        6.15%        61.05%     174.67%       139.73%

INDEX PERFORMANCE
S&P United States REIT Index*                  43.05%      10.57%      11.21%         N/A         65.24%     189.31%         N/A
FTSE EPRA/NAREIT North America Index           42.60%      10.00%      10.52%        6.27%        61.05%     171.96%       143.83%
Russell 3000(R) Index                          25.66%      17.97%      16.30%       10.33%       128.45%     352.85%       322.00%
------------------------------------------------------------------------------------------------------------------------------------


*     On November 6, 2008, the Fund's underlying index changed from the S&P REIT
      Composite Index to the S&P United States REIT Index. Effective December
      31, 2008, the S&P REIT Composite Index was discontinued. Therefore, the
      Fund's performance and historical returns shown for the periods prior to
      November 6, 2008 are not necessarily indicative of the performance that
      the Fund, based on its current Index, would have generated. The inception
      date of the Index was June 30, 2008. Returns for the Index are only
      disclosed for those periods in which the Index was in existence for the
      whole period.

(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 42.52% during the 12-month period covered by
this report. During the same period, the Benchmark Russell 3000(R) Index (the
"Benchmark") generated a return of 25.66%. Prologis, Inc. was the largest
holding in the Fund during the period at an 8.3% weight and generated the
largest contribution to the Fund's return at 5.5%. The largest drag on the
Fund's return came from Americold Realty Trust with a -0.1% contribution to the
Fund's return during the period. On a relative basis, the Fund outperformed the
Benchmark. The largest outperformance was the allocation to Prologis, Inc. which
generated 3.6% of relative outperformance during the period. The Benchmark had
an allocation to Microsoft Corp. while the Fund did not, resulting in a -1.3%
drag on the Fund's performance versus the Benchmark.

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


Page 12





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

FIRST TRUST S&P REIT INDEX FUND (FRI) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
REIT CLASSIFICATION                   LONG-TERM INVESTMENTS
-----------------------------------------------------------
Specialized                                    23.8%
Residential                                    19.8
Industrial                                     16.9
Retail                                         14.2
Health Care                                     9.8
Office                                          8.4
Diversified                                     3.9
Hotel & Resort                                  3.2
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Prologis, Inc.                                  9.6%
Equinix, Inc.                                   5.9
Public Storage                                  4.4
Simon Property Group, Inc.                      4.0
Digital Realty Trust, Inc.                      3.9
Realty Income Corp.                             3.1
Welltower, Inc.                                 2.9
AvalonBay Communities, Inc.                     2.7
Alexandria Real Estate Equities, Inc.           2.4
Equity Residential                              2.4
                                             -------
   Total                                       41.3%
                                             =======



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

                First Trust          S&P United States       FTSE EPRA/NAREIT        Russell 3000(R)
            S&P REIT Index Fund         REIT Index          North America Index           Index
                                                                             
12/11             $10,000                 $10,000                 $10,000                $10,000
06/12              11,464                  11,493                  11,462                 10,932
12/12              11,739                  11,799                  11,815                 11,641
06/13              12,454                  12,558                  12,370                 13,278
12/13              11,953                  12,082                  11,966                 15,547
06/14              14,028                  14,213                  14,010                 16,626
12/14              15,493                  15,739                  15,335                 17,499
06/15              14,512                  14,779                  14,406                 17,838
12/15              15,798                  16,139                  15,613                 17,583
06/16              17,845                  18,284                  17,661                 18,220
12/16              17,049                  17,511                  16,889                 19,822
06/17              17,352                  17,873                  17,195                 21,592
12/17              17,694                  18,270                  17,661                 24,010
06/18              17,890                  18,520                  17,945                 24,783
12/18              16,948                  17,576                  16,970                 22,756
06/19              19,722                  20,518                  19,824                 27,014
12/19              20,959                  21,872                  21,128                 29,815
06/20              17,061                  17,861                  16,695                 28,777
12/20              19,266                  20,225                  19,069                 36,036
06/21              23,385                  24,614                  23,293                 41,481
12/21              27,458                  28,931                  27,196                 45,285


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the 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 13





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

FIRST TRUST WATER ETF (FIW)

The First Trust Water 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 ISE Clean Edge Water Index (the "Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in the common stocks and depositary receipts that comprise the Index. The Index
is designed to track the performance of small, mid and large capitalization
companies that derive a substantial portion of their revenues from the potable
water and wastewater industries. The Fund's shares are listed for trading on the
NYSE Arca. The Index is rebalanced and reconstituted semi-annually and the Fund
will make corresponding changes to its portfolio shortly after the changes are
made public. The first day of secondary market trading in shares of the Fund was
May 11, 2007.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (5/8/07)       Ended       Ended       (5/8/07)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                            31.89%      19.93%      17.30%       12.05%       148.10%     392.95%       429.36%
Market Value                                   31.87%      19.92%      17.32%       12.05%       148.00%     394.16%       429.39%

INDEX PERFORMANCE
ISE Clean Edge Water Index                     33.30%      20.68%      18.05%       12.78%       155.96%     425.78%       482.35%
Russell 3000(R) Index                          25.66%      17.97%      16.30%       10.33%       128.45%     352.85%       322.00%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 31.89% during the 12-month period covered by
this report. During the same period, the Russell 3000(R) Index (the "Benchmark")
generated a return of 25.66%. The Industrials sector received the largest
allocation to the Fund during the period covered by this report with a 57.2%
weight and generated the largest contribution to the Fund's return at 23.5%.
Investments in the Information Technology sector caused a small drag on the
Fund's performance with a -0.5% contribution to the Fund's return during the
period. On a relative basis, the Fund outperformed the Benchmark. The
Industrials sector was where the Fund outperformed the Benchmark by the largest
amount, with 10.1% of relative outperformance during the period. A portion of
the Fund's outperformance compared to the Benchmark was reduced by the -2.9% of
relative underperformance in the Information Technology sector.

-----------------------------
Nasdaq(R), Clean Edge(R), and ISE Clean Edge Water Index are registered
trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc., respectively
(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 14





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

FIRST TRUST WATER ETF (FIW) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Industrials                                    59.8%
Utilities                                      20.0
Health Care                                    11.0
Materials                                       3.9
Information Technology                          3.4
Consumer Staples                                1.9
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Essential Utilities, Inc.                       4.1%
IDEX Corp.                                      4.0
Advanced Drainage Systems, Inc.                 4.0
Ecolab, Inc.                                    3.9
American Water Works Co., Inc.                  3.9
A.O. Smith Corp.                                3.9
Tetra Tech, Inc.                                3.9
AECOM                                           3.9
Roper Technologies, Inc.                        3.9
Danaher Corp.                                   3.9
                                             -------
   Total                                       39.4%
                                             =======



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

             First Trust     ISE Clean Edge     Russell 3000(R)
              Water ETF       Water Index            Index
                                           
12/11          $10,000          $10,000             $10,000
06/12           10,992           11,037              10,932
12/12           12,684           12,778              11,641
06/13           13,583           13,741              13,278
12/13           16,605           16,853              15,547
06/14           17,078           17,380              16,626
12/14           16,665           17,015              17,499
06/15           15,562           15,936              17,838
12/15           15,030           15,440              17,583
06/16           17,644           18,188              18,220
12/16           19,871           20,538              19,822
06/17           21,695           22,434              21,592
12/17           24,689           25,604              24,010
06/18           24,491           25,420              24,783
12/18           22,493           23,404              22,751
06/19           28,118           29,349              27,008
12/19           30,840           32,281              29,809
06/20           28,768           30,257              28,772
12/20           37,378           39,434              36,034
06/21           43,344           45,854              41,485
12/21           49,295           52,578              45,285


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the 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 15





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

FIRST TRUST NATURAL GAS ETF (FCG)

The First Trust Natural Gas 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 ISE-Revere Natural Gas(TM) Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks, depositary receipts and
master limited partnership ("MLP") units that comprise the Index. The Index is
designed to track the performance of mid and large capitalization companies that
derive a substantial portion of their revenue from mid-stream activities and/or
the exploration and production of natural gas. The Fund's shares are listed for
trading on the NYSE Arca. The Index is rebalanced and reconstituted quarterly
and the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The first day of secondary market trading in
shares of the Fund was May 11, 2007.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (5/8/07)       Ended       Ended       (5/8/07)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                            98.69%      -5.82%     -13.77%       -10.06%      -25.92%     -77.28%       -78.86%
Market Value                                   98.57%      -5.84%     -13.77%       -10.07%      -25.99%     -77.28%       -78.87%

INDEX PERFORMANCE
ISE-Revere Natural Gas(TM) Index              100.25%      -6.16%     -13.94%        -9.97%      -27.24%     -77.70%       -78.55%
S&P Composite 1500(R) Energy Index             55.15%      -2.23%       0.52%         1.30%      -10.66%       5.33%        20.80%
Russell 3000(R) Index                          25.66%      17.97%      16.30%        10.33%      128.45%     352.85%       322.00%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 98.69% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Energy Index (the
"Benchmark") generated a return of 55.15%. The Oil & Gas Exploration &
Production sub-industry was the largest weight for the Fund during the period at
83.9% and generated the largest contribution to the Fund's return at 88.3%. The
smallest contribution to the Fund's return came from investments in the
Integrated Oil & Gas sub-industry which was also the Fund's smallest allocation
during the period. On a relative basis, the Fund outperformed the Benchmark. The
largest source of outperformance came from the Fund's substantial weighting to
the Oil & Gas Exploration & Production sub-industry where the Fund outperformed
the Benchmark by 35.1% on a relative basis. The Fund did not have any
investments in the Coal & Consumable Fuels sub-industry which generated a
minimal drag of -0.1% on the Fund's performance compared to the Benchmark.

-----------------------------
Nasdaq(R) and ISE-Revere Natural Gas(TM) 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 16





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

FIRST TRUST NATURAL GAS ETF (FCG) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SUB-INDUSTRY CLASSIFICATION           LONG-TERM INVESTMENTS
-----------------------------------------------------------
Oil & Gas Exploration & Production             82.8%
Oil & Gas Storage & Transportation             13.1
Integrated Oil & Gas                            4.1
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Western Midstream Partners, L.P.                5.1%
DCP Midstream, L.P.                             4.6
ConocoPhillips                                  4.4
Pioneer Natural Resources Co.                   4.1
Occidental Petroleum Corp.                      4.1
EOG Resources, Inc.                             4.0
Devon Energy Corp.                              4.0
Marathon Oil Corp.                              3.8
Diamondback Energy, Inc.                        3.8
EQT Corp.                                       3.6
                                             -------
   Total                                       41.5%
                                             =======



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

              First Trust             ISE-Revere Natural           Russell 3000(R)           S&P Composite 1500(R)
            Natural Gas ETF             Gas(TM) Index                   Index                    Energy Index
                                                                                        
12/11           $10,000                    $10,000                     $10,000                      $10,000
06/12             9,052                      9,080                      10,932                        9,706
12/12             8,649                      8,706                      11,641                       10,434
06/13             8,906                      8,980                      13,278                       11,448
12/13           110,823                     10,946                      15,547                       13,084
06/14           113,116                     13,295                      16,626                       14,780
12/14             6,276                      6,346                      17,499                       11,885
06/15             5,350                      5,363                      17,838                       11,328
12/15             2,567                      2,559                      17,583                        9,262
06/16             2,847                      2,831                      18,220                       10,704
12/16             3,067                      3,065                      19,822                       11,790
06/17             2,443                      2,450                      21,592                       10,161
12/17             2,713                      2,732                      24,010                       11,549
06/18             2,800                      2,828                      24,783                       12,407
12/18             1,770                      1,788                      22,751                        9,319
06/19             1,767                      1,791                      27,008                       10,464
12/19             1,490                      1,516                      29,809                       10,255
06/20               945                        922                      28,772                        6,542
12/20             1,144                      1,114                      36,034                        6,789
06/21             2,141                      2,093                      41,485                        9,990
12/21             2,272                      2,230                      45,285                       10,533


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 17





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

FIRST TRUST CHINDIA ETF (FNI)

The First Trust Chindia 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 ISE ChIndia(TM) Index (the "Index"). The
Fund will normally invest at least 90% of its net assets (including investment
borrowings) in common stocks and depositary receipts that comprise the Index.
The Index is a modified market capitalization weighted index designed to track
the performance of U.S. listed securities issued by small, mid and large
capitalization companies domiciled in China or India. The Fund's shares are
listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted
semi-annually and the Fund will make corresponding changes to its portfolio
shortly after the Index changes are made public. The first day of secondary
market trading in shares of the Fund was May 11, 2007.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (5/8/07)       Ended       Ended       (5/8/07)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                           -19.38%      12.64%      11.16%        7.11%        81.37%     188.01%       173.51%
Market Value                                  -19.41%      12.66%      11.18%        7.10%        81.45%     188.46%       173.33%

INDEX PERFORMANCE
ISE ChIndia(TM) Index                         -18.94%      13.25%      11.71%        7.68%        86.26%     202.58%       195.60%
Russell 3000(R) Index                          25.66%      17.97%      16.30%       10.33%       128.45%     352.85%       322.00%
MSCI Emerging Markets Index                    -2.54%       9.87%       5.49%        3.91%        60.14%      70.62%        75.29%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of -19.38% during the 12-month period covered by
this report. During the same period, the MSCI Emerging Markets Index (the
"Benchmark") generated a return of -2.54%. The Consumer Discretionary sector had
the largest allocation in the Fund during the period at 38.6%. The Fund's
investments in the Information Technology Sector generated a 3.9% contribution
to the Fund's return, the largest for the period. Investments in the Consumer
Discretionary sector generated the largest negative contribution to the Fund's
return at -15.3%. On a relative basis, the Fund underperformed the Benchmark.
The largest source of underperformance came from investments in the Consumer
Discretionary sector where the Fund underperformed the Benchmark by -10.5% on a
relative basis. The Fund's investments in the Information Technology sector
generated a small relative outperformance of 1.9% when compared to the
Benchmark.

-----------------------------
Nasdaq(R) and ISE ChIndia Index(TM) 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 18





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

FIRST TRUST CHINDIA ETF (FNI) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
SECTOR CLASSIFICATION                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
Consumer Discretionary                         37.5%
Information Technology                         20.4
Financials                                     17.3
Communication Services                         13.4
Health Care                                     4.0
Utilities                                       2.8
Industrials                                     2.5
Energy                                          0.7
Real Estate                                     0.7
Consumer Staples                                0.7
                                             -------
   Total                                      100.0%
                                             =======

-----------------------------------------------------------
                                           % OF TOTAL
COUNTRY ALLOCATION(1)                 LONG-TERM INVESTMENTS
-----------------------------------------------------------
China                                          54.6%
India                                          44.6
Hong Kong                                       0.8
                                             -------
   Total                                      100.0%
                                             =======

(1) Calculated based on country of risk.


-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Infosys Ltd., ADR                               8.3%
ICICI Bank Ltd., ADR                            7.9
HDFC Bank Ltd., ADR                             7.3
Alibaba Group Holding Ltd., ADR                 6.9
Pinduoduo, Inc., ADR                            6.5
JD.com, Inc., ADR                               6.1
Wipro Ltd., ADR                                 4.8
Tata Motors Ltd., ADR                           4.4
WNS (Holdings) Ltd., ADR                        4.4
Baidu, Inc., ADR                                4.2
                                             -------
   Total                                       60.8%
                                             =======



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

            First Trust            ISE ChIndia(TM)            Russell 3000(R)            MSCI Emerging
            Chindia ETF                 Index                      Index                 Markets Index
                                                                                
12/11         $10,000                  $10,000                    $10,000                   $10,000
06/12          10,602                   10,618                     10,932                    10,393
12/12          11,710                   11,752                     11,641                    11,822
06/13          11,854                   11,932                     13,278                    10,691
12/13          15,902                   16,032                     15,547                    11,514
06/14          16,896                   17,071                     16,626                    12,221
12/14          16,279                   16,474                     17,499                    11,263
06/15          17,436                   17,678                     17,838                    11,595
12/15          16,226                   16,499                     17,583                     9,582
06/16          15,635                   15,941                     18,220                    10,196
12/16          15,877                   16,247                     19,822                    10,654
06/17          20,381                   20,908                     21,592                    12,618
12/17          23,395                   24,044                     24,010                    14,627
06/18          22,943                   23,633                     24,783                    13,653
12/18          18,556                   19,171                     22,751                    12,494
06/19          21,562                   22,332                     27,008                    13,818
12/19          23,930                   24,838                     29,809                    14,798
06/20          24,511                   25,521                     28,772                    13,351
12/20          35,715                   37,332                     36,034                    17,509
06/21          37,826                   39,620                     41,485                    18,813
12/21          28,801                   30,258                     45,285                    17,062


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 19





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

FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)

The First Trust NASDAQ(R) ABA Community Bank Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ OMX(R) ABA
Community Bank Index(SM) (the "Index"). The Fund will normally invest at least
90% of its net assets (including investment borrowings) in the common stocks
that comprise the Index. The Index is designed to track the performance of
small, mid and large capitalization companies that comprise the community
banking industry. The Fund's shares are listed for trading on the Nasdaq. The
Index is rebalanced quarterly and reconstituted semi-annually and the Fund will
make corresponding changes to its portfolio shortly after the Index changes are
made public. The first day of secondary market trading in shares of the Fund was
July 1, 2009.



------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
                                                             AVERAGE ANNUAL TOTAL RETURNS             CUMULATIVE TOTAL RETURNS
                                               1 Year     5 Years     10 Years     Inception     5 Years     10 Years     Inception
                                               Ended       Ended       Ended       (6/29/09)      Ended       Ended       (6/29/09)
                                              12/31/21    12/31/21    12/31/21    to 12/31/21    12/31/21    12/31/21    to 12/31/21
                                                                                                        
FUND PERFORMANCE
NAV                                            34.08%       4.32%      11.82%       10.87%        23.56%     205.56%       263.51%
Market Value                                   34.02%       4.29%      11.89%       10.87%        23.40%     207.65%       263.61%

INDEX PERFORMANCE
NASDAQ OMX(R) ABA Community Bank
   Index(SM)                                   35.01%       5.00%      12.53%       11.59%        27.61%     225.68%       293.94%
S&P Composite 1500(R) Financials Index         34.55%      12.73%      15.97%       13.97%        82.09%     340.01%       413.14%
Russell 3000(R) Index                          25.66%      17.97%      16.30%       16.20%       128.45%     352.85%       533.94%
------------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

PERFORMANCE REVIEW

The Fund generated a NAV return of 34.08% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Financials Index
(the "Benchmark") generated a return of 34.55%. The Fund allocated 90.2% to the
Banks industry group within the Financials Sector and 9.0% to the Thrifts and
Mortgage Finance industry, within the same sector. The Benchmark allocated 99.9%
to the Financials sector but spread more evenly across seven industries with
39.5% in Banks and only 0.9% in Thrifts and Mortgage Finance. The Banks
industry, by far the greatest allocation in the Fund, accounted for 32.2% of the
Fund's overall return. No industry in the Fund had a negative contribution to
the Fund's return during the period covered by this report. On a relative basis,
the Fund underperformed the Benchmark. The greatest source of underperformance
came from the Fund's lack of allocation to the Capital Markets industry. The
Benchmark allocated 24.9% to this industry, which caused -1.2% of relative
underperformance for the Fund versus the Benchmark. The allocation to Banks, to
which the Fund allocated 90.2% and the Benchmark allocated only 39.5%, earned
0.8% of relative outperformance for the Fund versus the Benchmark.

-----------------------------
Nasdaq(R), NASDAQ OMX(R), OMX(R), American Bankers Association(R), ABA(R) and
the NASDAQ OMX(R) ABA(R) Community Bank Index(SM) are registered trademarks and
service marks of Nasdaq, Inc. and American Bankers Association (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 20





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

FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) (CONTINUED)

-----------------------------------------------------------
                                           % OF TOTAL
INDUSTRY CLASSIFICATION               LONG-TERM INVESTMENTS
-----------------------------------------------------------
Banks                                          90.6%
Thrifts & Mortgage Finance                      9.2
IT Services                                     0.2
                                             -------
   Total                                      100.0%
                                             =======

(1) Calculated based on country of risk.


-----------------------------------------------------------
                                           % OF TOTAL
TOP TEN HOLDINGS                      LONG-TERM INVESTMENTS
-----------------------------------------------------------
Commerce Bancshares, Inc.                       3.3%
Pinnacle Financial Partners, Inc.               2.9
First Financial Bankshares, Inc.                2.9
BOK Financial Corp.                             2.8
Bank OZK                                        2.4
Valley National Bancorp                         2.2
SouthState Corp.                                2.2
PacWest Bancorp                                 2.1
Wintrust Financial Corp.                        2.0
UMB Financial Corp.                             2.0
                                             -------
   Total                                       24.8%
                                             =======



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

             First Trust
            NASDAQ(R) ABA          NASDAQ OMX(R)
            Community Bank         ABA Community          S&P Composite 1500(R)         Russell 3000(R)
              Index Fund           Bank Index(SM)           Financials Index                 Index
                                                                                
12/11          $10,000                $10,000                    $10,000                    $10,000
06/12           10,994                 11,032                     11,342                     10,932
12/12           11,352                 11,424                     12,696                     11,641
06/13           13,452                 13,582                     15,078                     13,278
12/13           16,222                 16,432                     17,046                     15,547
06/14           16,217                 16,478                     17,927                     16,626
12/14           16,663                 16,981                     19,583                     17,499
06/15           18,184                 18,591                     19,628                     17,838
12/15           17,977                 18,429                     19,443                     17,583
06/16           17,671                 18,171                     19,128                     18,220
12/16           24,731                 25,521                     24,164                     19,822
06/17           23,870                 24,709                     25,669                     21,592
12/17           24,868                 25,826                     29,214                     24,010
06/18           26,139                 27,226                     28,227                     24,783
12/18           20,854                 21,775                     25,407                     22,751
06/19           23,402                 24,516                     29,772                     27,008
12/19           25,609                 26,911                     33,339                     29,809
06/20           17,762                 18,730                     25,398                     28,772
12/20           22,786                 24,123                     32,703                     36,039
06/21           28,355                 30,122                     40,931                     41,484
12/21           30,556                 32,568                     44,001                     45,285


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the 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 21





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

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

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

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


Page 22





FIRST TRUST EXCHANGE-TRADED FUND

UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2021 (UNAUDITED)

As a shareholder of First Trust NASDAQ-100 Equal Weighted Index Fund, First
Trust NASDAQ-100-Technology Sector Index Fund, First Trust NASDAQ-100
Ex-Technology Sector Index Fund, First Trust NASDAQ(R) Clean Edge(R) Green
Energy Index Fund, First Trust S&P REIT Index Fund, First Trust Water ETF, First
Trust Natural Gas ETF, First Trust Chindia ETF or First Trust NASDAQ(R) ABA
Community Bank Index Fund (each a "Fund" and collectively, the "Funds"), you
incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service (12b-1) fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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



-----------------------------------------------------------------------------------------------------------------------
                                                                                          ANNUALIZED
                                                                                         EXPENSE RATIO    EXPENSES PAID
                                                     BEGINNING           ENDING          BASED ON THE      DURING THE
                                                   ACCOUNT VALUE      ACCOUNT VALUE        SIX-MONTH        SIX-MONTH
                                                   JULY 1, 2021     DECEMBER 31, 2021     PERIOD (a)       PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
                                                                                                  
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX
   FUND (QQEW)
Actual                                               $1,000.00          $1,057.10            0.57%            $2.96
Hypothetical (5% return before expenses)             $1,000.00          $1,022.33            0.57%            $2.91

FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX
   FUND (QTEC)
Actual                                               $1,000.00          $1,102.40            0.56%            $2.97
Hypothetical (5% return before expenses)             $1,000.00          $1,022.38            0.56%            $2.85

FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR
   INDEX FUND (QQXT)
Actual                                               $1,000.00          $1,026.90            0.60%            $3.07
Hypothetical (5% return before expenses)             $1,000.00          $1,022.18            0.60%            $3.06

FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY
   INDEX FUND (QCLN)
Actual                                               $1,000.00          $  982.20            0.58%            $2.90
Hypothetical (5% return before expenses)             $1,000.00          $1,022.28            0.58%            $2.96

FIRST TRUST S&P REIT INDEX FUND (FRI)
Actual                                               $1,000.00          $1,174.20            0.50%            $2.74
Hypothetical (5% return before expenses)             $1,000.00          $1,022.68            0.50%            $2.55

FIRST TRUST WATER ETF (FIW)
Actual                                               $1,000.00          $1,137.30            0.53%            $2.86
Hypothetical (5% return before expenses)             $1,000.00          $1,022.53            0.53%            $2.70



                                                                         Page 23





FIRST TRUST EXCHANGE-TRADED FUND

UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
DECEMBER 31, 2021 (UNAUDITED)



-----------------------------------------------------------------------------------------------------------------------
                                                                                          ANNUALIZED
                                                                                         EXPENSE RATIO    EXPENSES PAID
                                                     BEGINNING           ENDING          BASED ON THE      DURING THE
                                                   ACCOUNT VALUE      ACCOUNT VALUE        SIX-MONTH        SIX-MONTH
                                                   JULY 1, 2021     DECEMBER 31, 2021     PERIOD (a)       PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
                                                                                                  
FIRST TRUST NATURAL GAS ETF (FCG)
Actual                                               $1,000.00          $1,061.80            0.60%            $3.12
Hypothetical (5% return before expenses)             $1,000.00          $1,022.18            0.60%            $3.06

FIRST TRUST CHINDIA ETF (FNI)
Actual                                               $1,000.00          $ 761.20             0.61%            $2.71
Hypothetical (5% return before expenses)             $1,000.00          $1,022.13            0.61%            $3.11

FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK
   INDEX FUND (QABA)
Actual                                               $1,000.00          $1,077.50            0.60%            $3.14
Hypothetical (5% return before expenses)             $1,000.00          $1,022.18            0.60%            $3.06



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

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


Page 24





FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             AUTOMOBILES -- 2.0%
     336,380 Lucid Group, Inc. (a)             $    12,799,259
      14,434 Tesla, Inc. (a)                        15,253,563
                                               ---------------
                                                    28,052,822
                                               ---------------
             BEVERAGES -- 3.0%
     377,253 Keurig Dr Pepper, Inc.                 13,905,546
     146,919 Monster Beverage Corp. (a)             14,110,101
      79,981 PepsiCo, Inc.                          13,893,499
                                               ---------------
                                                    41,909,146
                                               ---------------
             BIOTECHNOLOGY -- 6.7%
      60,492 Amgen, Inc.                            13,608,885
      56,691 Biogen, Inc. (a)                       13,601,305
     186,402 Gilead Sciences, Inc.                  13,534,649
      45,655 Moderna, Inc. (a)                      11,595,457
      21,735 Regeneron Pharmaceuticals,
                Inc. (a)                            13,726,087
      89,646 Seagen, Inc. (a)                       13,859,272
      62,742 Vertex Pharmaceuticals, Inc. (a)       13,778,143
                                               ---------------
                                                    93,703,798
                                               ---------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 2.0%
      30,698 Cintas Corp.                           13,604,432
      94,048 Copart, Inc. (a)                       14,259,558
                                               ---------------
                                                    27,863,990
                                               ---------------
             COMMUNICATIONS EQUIPMENT
                -- 1.0%
     222,621 Cisco Systems, Inc.                    14,107,493
                                               ---------------
             ELECTRIC UTILITIES -- 3.0%
     155,540 American Electric Power Co., Inc.      13,838,394
     251,505 Exelon Corp.                           14,526,929
     200,906 Xcel Energy, Inc.                      13,601,336
                                               ---------------
                                                    41,966,659
                                               ---------------
             ENTERTAINMENT -- 4.1%
     219,369 Activision Blizzard, Inc.              14,594,620
     105,559 Electronic Arts, Inc.                  13,923,232
     143,572 NetEase, Inc., ADR                     14,612,758
      22,942 Netflix, Inc. (a)                      13,821,178
                                               ---------------
                                                    56,951,788
                                               ---------------
             FOOD & STAPLES RETAILING -- 2.0%
      24,580 Costco Wholesale Corp.                 13,954,066
     275,539 Walgreens Boots Alliance, Inc.         14,372,114
                                               ---------------
                                                    28,326,180
                                               ---------------
             FOOD PRODUCTS -- 2.0%
     379,068 Kraft Heinz (The) Co.                  13,608,541
     207,212 Mondelez International, Inc.,
                Class A                             13,740,228
                                               ---------------
                                                    27,348,769
                                               ---------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 4.1%
      22,101 Align Technology, Inc. (a)             14,524,335
      24,238 Dexcom, Inc. (a)                       13,014,594
      21,821 IDEXX Laboratories, Inc. (a)           14,368,256


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES (CONTINUED)
      39,895 Intuitive Surgical, Inc. (a)      $    14,334,273
                                               ---------------
                                                    56,241,458
                                               ---------------
             HOTELS, RESTAURANTS & LEISURE
                -- 4.2%
      85,235 Airbnb, Inc., Class A (a)              14,190,775
       6,089 Booking Holdings, Inc. (a)             14,608,911
      89,621 Marriott International, Inc.,
                Class A (a)                         14,808,974
     123,908 Starbucks Corp.                        14,493,519
                                               ---------------
                                                    58,102,179
                                               ---------------
             INDUSTRIAL CONGLOMERATES -- 1.0%
      65,607 Honeywell International, Inc.          13,679,716
                                               ---------------
             INTERACTIVE MEDIA & SERVICES
                -- 4.0%
       2,374 Alphabet, Inc., Class A (a)             6,877,573
       2,356 Alphabet, Inc., Class C (a)             6,817,298
      94,726 Baidu, Inc., ADR (a)                   14,094,281
     106,279 Match Group, Inc. (a)                  14,055,398
      40,326 Meta Platforms, Inc., Class A (a)      13,563,650
                                               ---------------
                                                    55,408,200
                                               ---------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 5.0%
       3,958 Amazon.com, Inc. (a)                   13,197,318
     210,211 eBay, Inc.                             13,979,032
     189,478 JD.com, Inc., ADR (a)                  13,276,723
      11,335 MercadoLibre, Inc. (a)                 15,284,114
     231,824 Pinduoduo, Inc., ADR (a)               13,515,339
                                               ---------------
                                                    69,252,526
                                               ---------------
             IT SERVICES -- 7.1%
      58,675 Automatic Data Processing, Inc.        14,468,082
     158,696 Cognizant Technology Solutions
                Corp., Class A                      14,079,509
     129,865 Fiserv, Inc. (a)                       13,478,688
      61,765 Okta, Inc. (a)                         13,845,860
     108,649 Paychex, Inc.                          14,830,589
      72,288 PayPal Holdings, Inc. (a)              13,632,071
      55,594 VeriSign, Inc. (a)                     14,110,869
                                               ---------------
                                                    98,445,668
                                               ---------------
             LEISURE PRODUCTS -- 0.8%
     317,056 Peloton Interactive, Inc.,
                Class A (a)                         11,337,923
                                               ---------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 1.0%
      34,969 Illumina, Inc. (a)                     13,303,606
                                               ---------------
             MACHINERY -- 1.0%
     161,202 PACCAR, Inc.                           14,227,689
                                               ---------------
             MEDIA -- 2.9%
      20,707 Charter Communications, Inc.,
                Class A (a)                         13,500,343
     276,112 Comcast Corp., Class A                 13,896,717
   2,109,759 Sirius XM Holdings, Inc. (b)           13,396,969
                                               ---------------
                                                    40,794,029
                                               ---------------


                        See Notes to Financial Statements                Page 25





FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             MULTILINE RETAIL -- 1.0%
      98,738 Dollar Tree, Inc. (a)             $    13,874,664
                                               ---------------
             PROFESSIONAL SERVICES -- 1.0%
      60,597 Verisk Analytics, Inc.                 13,860,352
                                               ---------------
             ROAD & RAIL -- 1.0%
     376,831 CSX Corp.                              14,168,846
                                               ---------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 17.3%
      97,712 Advanced Micro Devices, Inc. (a)       14,060,757
      79,127 Analog Devices, Inc.                   13,908,153
      92,099 Applied Materials, Inc.                14,492,698
      17,949 ASML Holding N.V.                      14,289,917
      21,198 Broadcom, Inc.                         14,105,361
     265,906 Intel Corp.                            13,694,159
      34,377 KLA Corp.                              14,785,891
      20,114 Lam Research Corp.                     14,464,983
     160,181 Marvell Technology, Inc.               14,014,236
     159,562 Microchip Technology, Inc.             13,891,468
     162,162 Micron Technology, Inc.                15,105,390
      48,418 NVIDIA Corp.                           14,240,218
      61,542 NXP Semiconductors N.V.                14,018,037
      76,132 QUALCOMM, Inc.                         13,922,259
      88,728 Skyworks Solutions, Inc.               13,765,262
      72,251 Texas Instruments, Inc.                13,617,146
      67,256 Xilinx, Inc.                           14,260,290
                                               ---------------
                                                   240,636,225
                                               ---------------
             SOFTWARE -- 16.9%
      24,180 Adobe, Inc. (a)                        13,711,511
      33,917 ANSYS, Inc. (a)                        13,604,787
      38,352 Atlassian Corp. PLC, Class A (a)       14,623,234
      48,477 Autodesk, Inc. (a)                     13,631,248
      75,135 Cadence Design Systems, Inc. (a)       14,001,407
      65,620 Crowdstrike Holdings, Inc.,
                Class A (a)                         13,435,695
      79,097 Datadog, Inc., Class A (a)             14,087,967
      86,626 DocuSign, Inc. (a)                     13,194,006
      40,320 Fortinet, Inc. (a)                     14,491,008
      21,701 Intuit, Inc.                           13,958,517
      41,568 Microsoft Corp.                        13,980,150
      25,389 Palo Alto Networks, Inc. (a)           14,135,580
     120,891 Splunk, Inc. (a)                       13,989,506
      38,675 Synopsys, Inc. (a)                     14,251,737
      49,145 Workday, Inc., Class A (a)             13,425,431
      67,383 Zoom Video Communications,
                Inc., Class A (a)                   12,392,408
      44,149 Zscaler, Inc. (a)                      14,186,398
                                               ---------------
                                                   235,100,590
                                               ---------------
             SPECIALTY RETAIL -- 2.0%
      19,910 O'Reilly Automotive, Inc. (a)          14,061,039
     124,554 Ross Stores, Inc.                      14,234,031
                                               ---------------
                                                    28,295,070
                                               ---------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 1.0%
      78,648 Apple, Inc.                            13,965,525
                                               ---------------


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             TEXTILES, APPAREL & LUXURY
                GOODS -- 1.0%
      34,991 Lululemon Athletica, Inc. (a)     $    13,697,227
                                               ---------------
             TRADING COMPANIES & DISTRIBUTORS
                -- 1.0%
     216,931 Fastenal Co.                           13,896,600
                                               ---------------
             WIRELESS TELECOMMUNICATION
                SERVICES -- 0.9%
     112,347 T-Mobile US, Inc. (a)                  13,030,005
                                               ---------------
             TOTAL COMMON STOCKS
                -- 100.0%                        1,391,548,743
             (Cost $1,102,188,453)             ---------------

             MONEY MARKET FUNDS -- 0.6%
   8,451,460 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                0.01% (c) (d)                        8,451,460
             (Cost $8,451,460)                 ---------------


 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
--------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 0.3%
$  3,752,594 BNP Paribas S.A., 0.03% (c),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $3,752,604. Collateralized by
                U.S. Treasury Note, interest
                rate of 1.50%, due 11/30/28.
                The value of the collateral
                including accrued interest
                is $3,825,998. (d)                   3,752,594
             (Cost $3,752,594)                 ---------------

             TOTAL INVESTMENTS -- 100.9%         1,403,752,797
             (Cost $1,114,392,507) (e)
             NET OTHER ASSETS AND
                LIABILITIES -- (0.9)%              (12,338,538)
                                               ---------------
             NET ASSETS -- 100.0%              $ 1,391,414,259
                                               ===============

(a)   Non-income producing security.

(b)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $11,592,002 and the
      total value of the collateral held by the Fund is $12,204,054.

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

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

(e)   Aggregate cost for federal income tax purposes is $1,129,004,495. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $334,073,224 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $59,324,922. The net unrealized appreciation was $274,748,302.

ADR   - American Depositary Receipt


Page 26                 See Notes to Financial Statements





FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

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

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

                                                   LEVEL 2        LEVEL 3
                   TOTAL           LEVEL 1       SIGNIFICANT   SIGNIFICANT
                 VALUE AT          QUOTED        OBSERVABLE    UNOBSERVABLE
                12/31/2021         PRICES          INPUTS          INPUTS
              --------------------------------------------------------------
Common
  Stocks*     $ 1,391,548,743  $ 1,391,548,743  $          --  $          --
Money Market
  Funds             8,451,460        8,451,460             --             --
Repurchase
  Agreements        3,752,594               --      3,752,594             --
              --------------------------------------------------------------
Total
  Investments $ 1,403,752,797  $ 1,400,000,203  $   3,752,594  $          --
              ==============================================================

* See Portfolio of Investments for industry breakout.

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

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

SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $    11,592,002
Non-cash Collateral(2)                             (11,592,002)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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

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

REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $     3,752,594
Non-cash Collateral(4)                              (3,752,594)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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


                        See Notes to Financial Statements                Page 27





FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             INTERACTIVE MEDIA & SERVICES
                -- 9.4%
      16,379 Alphabet, Inc., Class A (a)       $    47,450,618
      16,256 Alphabet, Inc., Class C (a)            47,038,199
     653,461 Baidu, Inc., ADR (a)                   97,228,462
     733,135 Match Group, Inc. (a)                  96,957,104
     278,176 Meta Platforms, Inc., Class A (a)      93,564,498
                                               ---------------
                                                   382,238,881
                                               ---------------
             IT SERVICES -- 7.2%
   1,094,707 Cognizant Technology Solutions
                Corp., Class A                      97,122,405
     426,086 Okta, Inc. (a)                         95,515,698
     383,507 VeriSign, Inc. (a)                     97,341,747
                                               ---------------
                                                   289,979,850
                                               ---------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 41.0%
     674,056 Advanced Micro Devices, Inc. (a)       96,996,659
     545,841 Analog Devices, Inc.                   95,942,473
     635,323 Applied Materials, Inc.                99,974,427
     123,823 ASML Holding N.V.                      98,580,443
     146,230 Broadcom, Inc.                         97,302,904
   1,834,302 Intel Corp.                            94,466,553
     237,140 KLA Corp.                             101,996,286
     138,756 Lam Research Corp.                     99,786,377
   1,104,984 Marvell Technology, Inc.               96,675,050
   1,100,683 Microchip Technology, Inc.             95,825,462
   1,118,672 Micron Technology, Inc.               104,204,297
     333,995 NVIDIA Corp.                           98,231,270
     424,541 NXP Semiconductors N.V.                96,701,949
     525,179 QUALCOMM, Inc.                         96,039,484
     612,073 Skyworks Solutions, Inc.               94,957,005
     498,407 Texas Instruments, Inc.                93,934,767
     463,946 Xilinx, Inc.                           98,370,470
                                               ---------------
                                                 1,659,985,876
                                               ---------------
             SOFTWARE -- 40.0%
     166,804 Adobe, Inc. (a)                        94,587,876
     233,967 ANSYS, Inc. (a)                        93,848,843
     264,562 Atlassian Corp. PLC, Class A (a)      100,874,845
     334,416 Autodesk, Inc. (a)                     94,034,435
     518,295 Cadence Design Systems, Inc. (a)       96,584,273
     452,692 Crowdstrike Holdings, Inc.,
                Class A (a)                         92,688,687
     545,646 Datadog, Inc., Class A (a)             97,185,009
     597,601 DocuSign, Inc. (a)                     91,020,608
     278,137 Fortinet, Inc. (a)                     99,962,438
     149,696 Intuit, Inc.                           96,287,461
     286,752 Microsoft Corp.                        96,440,433
     175,143 Palo Alto Networks, Inc. (a)           97,512,617
     833,942 Splunk, Inc. (a)                       96,503,768
     266,787 Synopsys, Inc. (a)                     98,311,009
     339,020 Workday, Inc., Class A (a)             92,613,484
     464,846 Zoom Video Communications,
                Inc., Class A (a)                   85,489,828
     304,558 Zscaler, Inc. (a)                      97,863,622
                                               ---------------
                                                 1,621,809,236
                                               ---------------


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 2.4%
     542,546 Apple, Inc.                       $    96,339,893
                                               ---------------
             TOTAL INVESTMENTS -- 100.0%         4,050,353,736
             (Cost $3,019,067,209) (b)
             NET OTHER ASSETS AND
                LIABILITIES -- (0.0)%                 (546,674)
                                               ---------------
             NET ASSETS -- 100.0%              $ 4,049,807,062
                                               ===============

(a)   Non-income producing security.

(b)   Aggregate cost for federal income tax purposes is $3,064,214,172. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $1,171,671,085 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $185,531,521. The net unrealized appreciation was $986,139,564.

ADR   - American Depositary Receipt

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

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

                                       LEVEL 2        LEVEL 3
                       LEVEL 1       SIGNIFICANT    SIGNIFICANT
                       QUOTED        OBSERVABLE    UNOBSERVABLE
                       PRICES          INPUTS         INPUTS
                   ---------------------------------------------
Common Stocks*     $ 4,050,353,736  $          --  $          --
                   =============================================

* See Portfolio of Investments for industry breakout.


Page 28                 See Notes to Financial Statements





FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS (a) -- 100.0%
             AUTOMOBILES -- 3.5%
      57,357 Lucid Group, Inc. (b)             $     2,182,434
       2,461 Tesla, Inc. (b)                         2,600,735
                                               ---------------
                                                     4,783,169
                                               ---------------
             BEVERAGES -- 5.2%
      64,318 Keurig Dr Pepper, Inc.                  2,370,761
      25,047 Monster Beverage Corp. (b)              2,405,514
      13,635 PepsiCo, Inc.                           2,368,536
                                               ---------------
                                                     7,144,811
                                               ---------------
             BIOTECHNOLOGY -- 11.6%
      10,314 Amgen, Inc.                             2,320,341
       9,665 Biogen, Inc. (b)                        2,318,827
      31,780 Gilead Sciences, Inc.                   2,307,546
       7,784 Moderna, Inc. (b)                       1,976,980
       3,706 Regeneron Pharmaceuticals,
                Inc. (b)                             2,340,413
      15,284 Seagen, Inc. (b)                        2,362,906
      10,697 Vertex Pharmaceuticals, Inc. (b)        2,349,061
                                               ---------------
                                                    15,976,074
                                               ---------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 3.5%
       5,233 Cintas Corp.                            2,319,109
      16,034 Copart, Inc. (b)                        2,431,075
                                               ---------------
                                                     4,750,184
                                               ---------------
             COMMUNICATIONS EQUIPMENT
                -- 1.8%
      37,956 Cisco Systems, Inc.                     2,405,272
                                               ---------------
             ELECTRIC UTILITIES -- 5.2%
      26,518 American Electric Power Co., Inc.       2,359,306
      42,878 Exelon Corp.                            2,476,633
      34,251 Xcel Energy, Inc.                       2,318,793
                                               ---------------
                                                     7,154,732
                                               ---------------
             ENTERTAINMENT -- 7.1%
      37,400 Activision Blizzard, Inc.               2,488,222
      17,996 Electronic Arts, Inc.                   2,373,672
      24,478 NetEase, Inc., ADR                      2,491,371
       3,911 Netflix, Inc. (b)                       2,356,143
                                               ---------------
                                                     9,709,408
                                               ---------------
             FOOD & STAPLES RETAILING -- 3.5%
       4,191 Costco Wholesale Corp.                  2,379,231
      46,977 Walgreens Boots Alliance, Inc.          2,450,320
                                               ---------------
                                                     4,829,551
                                               ---------------
             FOOD PRODUCTS -- 3.4%
      64,625 Kraft Heinz (The) Co.                   2,320,038
      35,327 Mondelez International, Inc.,
                Class A                              2,342,533
                                               ---------------
                                                     4,662,571
                                               ---------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 7.0%
       3,768 Align Technology, Inc. (b)              2,476,254
       4,132 Dexcom, Inc. (b)                        2,218,678
       3,720 IDEXX Laboratories, Inc. (b)            2,449,471


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES (CONTINUED)
       6,802 Intuitive Surgical, Inc. (b)      $     2,443,959
                                               ---------------
                                                     9,588,362
                                               ---------------
             HOTELS, RESTAURANTS & LEISURE
                -- 7.2%
      14,533 Airbnb, Inc., Class A (b)               2,419,599
       1,038 Booking Holdings, Inc. (b)              2,490,401
      15,280 Marriott International, Inc.,
                Class A (b)                          2,524,867
      21,125 Starbucks Corp.                         2,470,991
                                               ---------------
                                                     9,905,858
                                               ---------------
             INDUSTRIAL CONGLOMERATES -- 1.7%
      11,185 Honeywell International, Inc.           2,332,184
                                               ---------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 8.6%
         675 Amazon.com, Inc. (b)                    2,250,679
      35,840 eBay, Inc.                              2,383,360
      32,304 JD.com, Inc., ADR (b)                   2,263,541
       1,932 MercadoLibre, Inc. (b)                  2,605,109
      39,525 Pinduoduo, Inc., ADR (b)                2,304,308
                                               ---------------
                                                    11,806,997
                                               ---------------
             IT SERVICES -- 7.0%
      10,003 Automatic Data Processing, Inc.         2,466,540
      22,140 Fiserv, Inc. (b)                        2,297,911
      18,523 Paychex, Inc.                           2,528,389
      12,325 PayPal Holdings, Inc. (b)               2,324,248
                                               ---------------
                                                     9,617,088
                                               ---------------
             LEISURE PRODUCTS -- 1.4%
      54,060 Peloton Interactive, Inc.,
                Class A (b)                          1,933,186
                                               ---------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 1.7%
       5,962 Illumina, Inc. (b)                      2,268,183
                                               ---------------
             MACHINERY -- 1.8%
      27,483 PACCAR, Inc.                            2,425,650
                                               ---------------
             MEDIA -- 5.1%
       3,531 Charter Communications, Inc.,
                Class A (b)                          2,302,106
      47,074 Comcast Corp., Class A                  2,369,234
     359,694 Sirius XM Holdings, Inc. (c)            2,284,057
                                               ---------------
                                                     6,955,397
                                               ---------------
             MULTILINE RETAIL -- 1.7%
      16,834 Dollar Tree, Inc. (b)                   2,365,514
                                               ---------------
             PROFESSIONAL SERVICES -- 1.7%
      10,331 Verisk Analytics, Inc.                  2,363,010
                                               ---------------
             ROAD & RAIL -- 1.8%
      64,246 CSX Corp.                               2,415,650
                                               ---------------
             SPECIALTY RETAIL -- 3.5%
       3,394 O'Reilly Automotive, Inc. (b)           2,396,944
      21,235 Ross Stores, Inc.                       2,426,736
                                               ---------------
                                                     4,823,680
                                               ---------------


                        See Notes to Financial Statements                Page 29





FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS (a) (CONTINUED)
             TEXTILES, APPAREL & LUXURY GOODS
                -- 1.7%
       5,966 Lululemon Athletica, Inc. (b)     $     2,335,391
                                               ---------------
             TRADING COMPANIES &
                DISTRIBUTORS -- 1.7%
      36,984 Fastenal Co.                            2,369,195
                                               ---------------
             WIRELESS TELECOMMUNICATION
                SERVICES -- 1.6%
      19,154 T-Mobile US, Inc. (b)                   2,221,481
                                               ---------------
             TOTAL COMMON STOCKS
                -- 100.0%                          137,142,598
             (Cost $106,287,829)               ---------------

             MONEY MARKET FUNDS -- 1.1%
   1,450,062 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                0.01% (d) (e)                        1,450,062
      38,640 Morgan Stanley Institutional
                Liquidity Funds - Treasury
                Portfolio - Institutional
                Class - 0.01% (d)                       38,640
                                               ---------------
             TOTAL MONEY MARKET FUNDS
                -- 1.1%                              1,488,702
             (Cost $1,488,702)                 ---------------


 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
--------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 0.5%
$    643,852 BNP Paribas S.A., 0.03% (d),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $643,854. Collateralized by
                U.S. Treasury Note, interest
                rate of 1.50%, due 11/30/28.
                The value of the collateral
                including accrued interest
                is $656,447. (e)                       643,852
             (Cost $643,852)                   ---------------

             TOTAL INVESTMENTS -- 101.6%           139,275,152
             (Cost $108,420,383) (f)
             NET OTHER ASSETS AND
                LIABILITIES -- (1.6)%               (2,140,107)
                                               ---------------
             NET ASSETS -- 100.0%              $   137,135,045
                                               ===============

(a)   The industry allocation is based on Standard & Poor's Global Industry
      Classification Standard (GICS), and is different than the industry sector
      classification system used by the Index to select securities, which is the
      Industry Classification Benchmark (ICB) system, which is maintained by
      FTSE International Limited.

(b)   Non-income producing security.

(c)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $2,011,782 and the
      total value of the collateral held by the Fund is $2,093,914.

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

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

(f)   Aggregate cost for federal income tax purposes is $109,616,772. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $35,157,146 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $5,498,766. The net unrealized appreciation was $29,658,380.

ADR   - American Depositary Receipt

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

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

                                                   LEVEL 2        LEVEL 3
                   TOTAL           LEVEL 1       SIGNIFICANT    SIGNIFICANT
                 VALUE AT          QUOTED        OBSERVABLE    UNOBSERVABLE
                12/31/2021         PRICES          INPUTS         INPUTS
              --------------------------------------------------------------
Common
  Stocks*     $   137,142,598  $   137,142,598  $          --  $          --
Money Market
  Funds             1,488,702        1,488,702             --             --
Repurchase
  Agreements          643,852               --        643,852             --
              --------------------------------------------------------------
Total
  Investments $   139,275,152  $   138,631,300  $     643,852  $          --
              ==============================================================

* See Portfolio of Investments for industry breakout.


Page 30                 See Notes to Financial Statements





FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

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

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

SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $     2,011,782
Non-cash Collateral(2)                              (2,011,782)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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

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

REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $       643,852
Non-cash Collateral(4)                                (643,852)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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


                        See Notes to Financial Statements                Page 31





FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             AUTOMOBILES -- 20.2%
   6,518,662 NIO, Inc., ADR (a)                $   206,511,212
     426,670 Niu Technologies, ADR (a) (b)           6,873,654
     222,822 Tesla, Inc. (a)                       235,473,833
   1,321,213 Workhorse Group, Inc. (a) (b)           5,760,488
   2,318,872 XPeng, Inc., ADR (a)                  116,708,828
                                               ---------------
                                                   571,328,015
                                               ---------------
             CHEMICALS -- 9.8%
     921,617 Albemarle Corp.                       215,446,406
   1,368,550 Livent Corp. (a)                       33,365,249
     550,117 Sociedad Quimica y Minera de
                Chile S.A., ADR                     27,742,400
                                               ---------------
                                                   276,554,055
                                               ---------------
             CONSTRUCTION & ENGINEERING
                -- 1.0%
     284,252 Ameresco, Inc., Class A (a)            23,149,483
     406,350 Infrastructure and Energy
                Alternatives, Inc. (a) (b)           3,738,420
     404,127 ReneSola Ltd., ADR (a) (b)              2,408,597
                                               ---------------
                                                    29,296,500
                                               ---------------
             ELECTRICAL EQUIPMENT -- 17.7%
     296,335 Acuity Brands, Inc.                    62,740,046
     434,131 Advent Technologies Holdings,
                Inc. (a) (b)                         3,043,258
     240,521 American Superconductor
                Corp. (a)                            2,616,868
   1,143,695 Array Technologies, Inc. (a)           17,944,575
   2,520,854 Ballard Power Systems,
                Inc. (a) (b)                        31,661,926
     357,440 Blink Charging Co. (a) (b)              9,475,734
   1,251,286 Bloom Energy Corp., Class A (a)        27,440,702
     751,341 CBAK Energy Technology,
                Inc. (a) (b)                         1,172,092
   2,751,960 ChargePoint Holdings,
                Inc. (a) (b)                        52,424,838
     354,822 EnerSys                                28,052,227
     719,832 FTC Solar, Inc. (a)                     5,441,930
   3,105,243 FuelCell Energy, Inc. (a) (b)          16,147,264
     228,024 LSI Industries, Inc.                    1,564,245
   3,200,446 Plug Power, Inc. (a)                   90,348,591
   1,136,164 Romeo Power, Inc. (a) (b)               4,146,999
     882,410 Shoals Technologies Group, Inc.,
                Class A (a)                         21,442,563
   1,223,829 Stem, Inc. (a)                         23,216,036
   1,753,347 Sunrun, Inc. (a)                       60,139,802
     246,350 Sunworks, Inc. (a) (b)                    756,295
     313,989 TPI Composites, Inc. (a)                4,697,275
     271,135 Vicor Corp. (a)                        34,428,722
                                               ---------------
                                                   498,901,988
                                               ---------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 2.0%
     319,064 Advanced Energy Industries, Inc.       29,053,968
     383,469 Itron, Inc. (a)                        26,275,296
                                               ---------------
                                                    55,329,264
                                               ---------------


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             INDEPENDENT POWER AND RENEWABLE
                ELECTRICITY PRODUCERS -- 9.7%
     944,227 Atlantica Sustainable
                Infrastructure PLC             $    33,765,558
     408,228 Azure Power Global Ltd. (a) (b)         7,409,338
   2,329,351 Brookfield Renewable Partners,
                L.P. (c)                            83,367,472
     692,655 Clearway Energy, Inc., Class C         24,956,360
     710,408 NextEra Energy Partners,
                L.P. (c) (d)                        59,958,435
     474,333 Ormat Technologies, Inc. (b)           37,614,607
     950,912 Sunnova Energy International,
                Inc. (a)                            26,549,463
                                               ---------------
                                                   273,621,233
                                               ---------------
             MACHINERY -- 0.6%
     188,153 GreenPower Motor Co.,
                Inc. (a) (b)                         1,783,691
   1,604,810 Lion Electric (The) Co. (a) (b)        15,951,811
                                               ---------------
                                                    17,735,502
                                               ---------------
             METALS & MINING -- 2.4%
   1,505,530 MP Materials Corp. (a) (b)             68,381,173
                                               ---------------
             MORTGAGE REAL ESTATE INVESTMENT
                TRUSTS -- 1.4%
     717,369 Hannon Armstrong Sustainable
                Infrastructure Capital, Inc.        38,106,641
                                               ---------------
             OIL, GAS & CONSUMABLE FUELS
                -- 0.6%
     425,804 Renewable Energy Group, Inc. (a)       18,071,122
                                               ---------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 34.6%
   1,606,787 Allegro MicroSystems, Inc. (a)         58,133,554
     539,008 Canadian Solar, Inc. (a)               16,865,560
     495,615 Daqo New Energy Corp., ADR (a)         19,983,197
   1,020,295 Enphase Energy, Inc. (a)              186,652,767
     900,590 First Solar, Inc. (a)                  78,495,425
     337,494 JinkoSolar Holding Co., Ltd.,
                ADR (a) (b)                         15,511,224
     374,649 Maxeon Solar Technologies
                Ltd. (a) (b)                         5,207,621
     282,688 O2Micro International Ltd.,
                ADR (a)                              1,280,577
   3,394,386 ON Semiconductor Corp. (a)            230,546,697
     511,013 Power Integrations, Inc.               47,467,998
     389,123 SolarEdge Technologies,Inc. (a)       109,176,240
   1,465,229 SunPower Corp. (a) (b)                 30,579,329
     399,165 Universal Display Corp.                65,874,200
     984,360 Wolfspeed, Inc. (a)                   110,021,917
                                               ---------------
                                                   975,796,306
                                               ---------------
             TOTAL COMMON STOCKS
                -- 100.0%                        2,823,121,799
             (Cost $2,623,974,610)             ---------------


Page 32                 See Notes to Financial Statements





FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             MONEY MARKET FUNDS -- 2.4%
  68,705,243 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                0.01% (e) (f)                  $    68,705,243
             (Cost $68,705,243)                ---------------


 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
--------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 1.1%
$ 30,506,314 BNP Paribas S.A, 0.03% (e),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $30,506,390. Collateralized by
                U.S. Treasury Note, interest
                rate of 1.50%, due 11/30/28.
                The value of the collateral
                including accrued interest
                is $31,103,044. (f)                 30,506,314
             (Cost $30,506,314)                ---------------

             TOTAL INVESTMENTS -- 103.5%         2,922,333,356
             (Cost $2,723,186,167) (g)
             NET OTHER ASSETS AND
                LIABILITIES -- (3.5)%              (98,671,884)
                                               ---------------
             NET ASSETS -- 100.0%               $2,823,661,472
                                               ===============

(a)   Non-income producing security.

(b)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $95,587,796 and the
      total value of the collateral held by the Fund is $99,211,557.

(c)   Security is a Master Limited Partnership ("MLP").

(d)   This security is taxed as a "C" corporation for federal income tax
      purposes.

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

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

(g)   Aggregate cost for federal income tax purposes is $2,802,336,970. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $531,885,558 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $411,889,172. The net unrealized appreciation was $119,996,386.

ADR   - American Depositary Receipt

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

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

                                                   LEVEL 2        LEVEL 3
                   TOTAL           LEVEL 1       SIGNIFICANT    SIGNIFICANT
                 VALUE AT          QUOTED        OBSERVABLE    UNOBSERVABLE
                12/31/2021         PRICES          INPUTS         INPUTS
              --------------------------------------------------------------
Common
  Stocks*     $ 2,823,121,799  $ 2,823,121,799  $          --  $          --
Money Market
  Funds            68,705,243       68,705,243             --             --
Repurchase
  Agreements       30,506,314               --     30,506,314             --
              --------------------------------------------------------------
Total
  Investments $ 2,922,333,356  $ 2,891,827,042  $  30,506,314  $          --
              ==============================================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 33





FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

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

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

SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $    95,587,796
Non-cash Collateral(2)                             (95,587,796)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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

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

REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $    30,506,314
Non-cash Collateral(4)                             (30,506,314)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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


Page 34                 See Notes to Financial Statements





FIRST TRUST S&P REIT INDEX FUND (FRI)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS -- 99.6%
             DIVERSIFIED REITS -- 3.9%
      13,117 Alexander & Baldwin, Inc.         $       329,106
       1,881 Alpine Income Property Trust,
                Inc.                                    37,695
       9,519 American Assets Trust, Inc.               357,248
      11,127 Armada Hoffler Properties, Inc.           169,353
      29,169 Broadstone Net Lease, Inc.                723,975
       1,076 CTO Realty Growth, Inc.                    66,088
      92,883 DigitalBridge Group, Inc. (a)             773,715
      25,579 Empire State Realty Trust, Inc.,
                Class A                                227,653
      21,993 Essential Properties Realty
                Trust, Inc.                            634,058
       6,738 Gladstone Commercial Corp.                173,638
      18,739 Global Net Lease, Inc.                    286,332
       2,912 One Liberty Properties, Inc.              102,735
       3,637 PS Business Parks, Inc.                   669,826
      44,389 STORE Capital Corp.                     1,526,982
      15,312 Washington Real Estate
                Investment Trust                       395,815
      33,693 WP Carey, Inc.                          2,764,511
                                               ---------------
                                                     9,238,730
                                               ---------------
             HEALTH CARE REITS -- 9.8%
      17,551 CareTrust REIT, Inc.                      400,689
       4,246 Community Healthcare Trust, Inc.          200,708
      43,229 Diversified Healthcare Trust              133,578
      10,916 Global Medical REIT, Inc.                 193,759
      26,687 Healthcare Realty Trust, Inc.             844,377
      39,943 Healthcare Trust of America,
                Inc., Class A                        1,333,697
      97,506 Healthpeak Properties, Inc.             3,518,992
       7,121 LTC Properties, Inc.                      243,111
     107,861 Medical Properties Trust, Inc.          2,548,755
       8,292 National Health Investors, Inc.           476,541
      43,226 Omega Healthcare Investors, Inc.        1,279,057
      39,848 Physicians Realty Trust                   750,338
      41,362 Sabra Health Care REIT, Inc.              560,042
       2,319 Universal Health Realty Income
                Trust                                  137,911
      72,203 Ventas, Inc.                            3,691,017
      78,734 Welltower, Inc.                         6,753,015
                                               ---------------
                                                    23,065,587
                                               ---------------
             HOTEL & RESORT REITS -- 3.2%
      38,414 Apple Hospitality REIT, Inc.              620,386
       5,891 Ashford Hospitality Trust,
                Inc. (a)                                56,554
      10,269 Braemar Hotels & Resorts,
                Inc. (a)                                52,372
       8,822 Chatham Lodging Trust (a)                 121,038
       7,191 CorePoint Lodging, Inc. (a)               112,899
      38,099 DiamondRock Hospitality Co. (a)           366,131
       5,973 Hersha Hospitality Trust (a)               54,772
     129,158 Host Hotels & Resorts, Inc. (a)         2,246,058
      42,775 Park Hotels & Resorts, Inc. (a)           807,592
      23,766 Pebblebrook Hotel Trust                   531,645
      30,133 RLJ Lodging Trust                         419,753
       9,963 Ryman Hospitality Properties,
                Inc. (a)                               916,197
      29,863 Service Properties Trust                  262,496


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             HOTEL & RESORT REITS (CONTINUED)
      19,256 Summit Hotel Properties, Inc. (a) $       187,939
      39,676 Sunstone Hotel Investors,
                Inc. (a)                               465,399
      20,656 Xenia Hotels & Resorts, Inc. (a)          374,080
                                               ---------------
                                                     7,595,311
                                               ---------------
             INDUSTRIAL REITS -- 16.8%
      48,255 Americold Realty Trust                  1,582,281
      68,889 Duke Realty Corp.                       4,521,874
       7,361 EastGroup Properties, Inc.              1,677,204
      23,570 First Industrial Realty Trust,
                Inc.                                 1,560,334
       1,162 Indus Realty Trust, Inc.                   94,192
      11,833 Industrial Logistics Properties
                Trust                                  296,417
       4,329 Innovative Industrial Properties,
                Inc.                                 1,138,137
      51,158 LXP Industrial Trust                      799,088
      17,790 Monmouth Real Estate
                Investment Corp.                       373,768
       6,258 Plymouth Industrial REIT, Inc.            200,256
     133,730 Prologis, Inc.                         22,514,783
      27,402 Rexford Industrial Realty, Inc.         2,222,576
      31,656 STAG Industrial, Inc.                   1,518,222
      13,531 Terreno Realty Corp.                    1,154,059
                                               ---------------
                                                    39,653,191
                                               ---------------
             OFFICE REITS -- 8.4%
      25,508 Alexandria Real Estate Equities,
                Inc.                                 5,687,264
      25,710 Boston Properties, Inc.                 2,961,278
      30,951 Brandywine Realty Trust                   415,362
       2,748 CIM Commercial Trust Corp.                 20,198
       7,876 City Office REIT, Inc.                    155,315
      20,317 Corporate Office Properties Trust         568,266
      26,892 Cousins Properties, Inc.                1,083,210
      31,743 Douglas Emmett, Inc.                    1,063,390
      15,578 Easterly Government Properties,
                Inc.                                   357,048
      21,871 Equity Commonwealth (a)                   566,459
      17,199 Franklin Street Properties Corp.          102,334
      18,880 Highwoods Properties, Inc.                841,859
      27,579 Hudson Pacific Properties, Inc.           681,477
      20,647 JBG SMITH Properties                      592,775
      18,961 Kilroy Realty Corp.                     1,260,148
       8,757 Office Properties Income Trust            217,524
       9,801 Orion Office REIT, Inc. (a)               182,985
      29,705 Paramount Group, Inc.                     247,740
      22,455 Piedmont Office Realty Trust,
                Inc., Class A                          412,723
       2,279 Postal Realty Trust, Inc.,
                Class A                                 45,124
      12,068 SL Green Realty Corp.                     865,276
      14,477 Veris Residential, Inc. (a)               266,087
      28,758 Vornado Realty Trust                    1,203,810
                                               ---------------
                                                    19,797,652
                                               ---------------
             RESIDENTIAL REITS -- 19.7%
      25,174 American Campus Communities,
                Inc.                                 1,442,218
      51,316 American Homes 4 Rent, Class A          2,237,891
      28,397 Apartment Income REIT Corp.             1,552,464


                        See Notes to Financial Statements                Page 35





FIRST TRUST S&P REIT INDEX FUND (FRI)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             RESIDENTIAL REITS (CONTINUED)
      27,538 Apartment Investment and
                Management Co., Class A (a)    $       212,593
      25,275 AvalonBay Communities, Inc.             6,384,212
       4,753 Bluerock Residential Growth
                REIT, Inc.                             125,432
       2,076 BRT Apartments Corp.                       49,803
      18,483 Camden Property Trust                   3,302,542
       2,584 Centerspace                               286,566
       2,442 Clipper Realty, Inc.                       24,273
      30,922 Equity LifeStyle Properties, Inc.       2,710,623
      61,731 Equity Residential                      5,586,656
      11,772 Essex Property Trust, Inc.              4,146,452
      18,910 Independence Realty Trust, Inc.           488,445
     107,943 Invitation Homes, Inc.                  4,894,136
      20,829 Mid-America Apartment
                Communities, Inc.                    4,779,006
       4,109 NexPoint Residential Trust, Inc.          344,457
       9,577 Preferred Apartment Communities,
                Inc.                                   172,961
      20,979 Sun Communities, Inc.                   4,404,961
      52,573 UDR, Inc.                               3,153,854
       8,246 UMH Properties, Inc.                      225,363
                                               ---------------
                                                    46,524,908
                                               ---------------
             RETAIL REITS -- 14.1%
      15,998 Acadia Realty Trust                       349,236
      12,622 Agree Realty Corp.                        900,706
         390 Alexander's, Inc.                         101,517
      22,340 American Finance Trust, Inc.              203,964
      53,717 Brixmor Property Group, Inc.            1,364,949
       2,222 Cedar Realty Trust, Inc.                   55,794
      12,662 Federal Realty Investment Trust         1,726,084
       7,134 Getty Realty Corp.                        228,930
     111,501 Kimco Realty Corp.                      2,748,500
      39,615 Kite Realty Group Trust                   862,815
      38,536 Macerich (The) Co.                        665,902
      31,766 National Retail Properties, Inc.        1,526,992
       7,165 NETSTREIT Corp.                           164,079
      11,315 Pennsylvania Real Estate
                Investment Trust (a)                    11,541
       3,543 Phillips Edison & Co., Inc.               117,061
     102,339 Realty Income Corp.                     7,326,449
      27,871 Regency Centers Corp.                   2,100,080
      21,961 Retail Opportunity Investments
                Corp.                                  430,436
       3,135 Retail Value, Inc.                         20,127
      15,246 RPT Realty                                203,991
       2,356 Saul Centers, Inc.                        124,915
       6,549 Seritage Growth Properties,
                Class A (a)                             86,905
      59,440 Simon Property Group, Inc.              9,496,729
      32,475 SITE Centers Corp.                        514,079
      22,307 Spirit Realty Capital, Inc.             1,074,974
      18,811 Tanger Factory Outlet Centers,
                Inc.                                   362,676
      19,915 Urban Edge Properties                     378,385


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             RETAIL REITS (CONTINUED)
       5,444 Urstadt Biddle Properties, Inc.,
                Class A                        $       115,957
       8,353 Whitestone REIT                            84,616
                                               ---------------
                                                    33,348,389
                                               ---------------
             SPECIALIZED REITS -- 23.7%
      39,210 CubeSmart                               2,231,441
      22,954 CyrusOne, Inc.                          2,059,433
      51,332 Digital Realty Trust, Inc.              9,079,091
      13,529 EPR Properties                            642,492
      16,285 Equinix, Inc.                          13,774,504
      24,219 Extra Space Storage, Inc.               5,491,174
       5,133 Farmland Partners, Inc.                    61,339
      13,989 Four Corners Property Trust, Inc.         411,417
      40,955 Gaming and Leisure Properties,
                Inc.                                 1,992,870
      22,165 GEO Group (The), Inc.                     171,779
       5,632 Gladstone Land Corp.                      190,136
      52,373 Iron Mountain, Inc.                     2,740,679
      14,834 Life Storage, Inc.                      2,272,272
      14,821 National Storage Affiliates Trust       1,025,613
      27,593 Public Storage                         10,335,234
       2,560 Safehold, Inc.                            204,416
     113,768 VICI Properties, Inc.                   3,425,555
                                               ---------------
                                                    56,109,445
                                               ---------------

             TOTAL INVESTMENTS -- 99.6%            235,333,213
             (Cost $211,814,331) (b)
             NET OTHER ASSETS AND
                LIABILITIES -- 0.4%                    975,898
                                               ---------------
             NET ASSETS -- 100.0%              $   236,309,111
                                               ===============

(a)   Non-income producing security.

(b)   Aggregate cost for federal income tax purposes is $212,990,282. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $33,884,150 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $11,541,219. The net unrealized appreciation was $22,342,931.

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

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

                                       LEVEL 2        LEVEL 3
                       LEVEL 1       SIGNIFICANT    SIGNIFICANT
                       QUOTED        OBSERVABLE    UNOBSERVABLE
                       PRICES          INPUTS         INPUTS
                   ---------------------------------------------
Common Stocks*     $   235,333,213  $          --  $          --
                   =============================================

* See Portfolio of Investments for subindustry breakout.


Page 36                 See Notes to Financial Statements





FIRST TRUST WATER ETF (FIW)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS -- 100.0%
             BEVERAGES -- 1.9%
   1,714,419 Primo Water Corp.                 $    30,225,207
                                               ---------------
             BUILDING PRODUCTS -- 11.4%
     732,729 A.O. Smith Corp.                       62,904,785
     466,791 Advanced Drainage Systems, Inc.        63,544,259
   1,560,653 Zurn Water Solutions Corp.             56,807,769
                                               ---------------
                                                   183,256,813
                                               ---------------
             CHEMICALS -- 3.9%
     270,217 Ecolab, Inc.                           63,390,206
                                               ---------------
             COMMERCIAL SERVICES & SUPPLIES
                -- 5.6%
     380,602 Montrose Environmental Group,
                Inc. (a)                            26,836,247
     370,442 Tetra Tech, Inc.                       62,901,052
                                               ---------------
                                                    89,737,299
                                               ---------------
             CONSTRUCTION & ENGINEERING
                -- 6.8%
     812,756 AECOM (a)                              62,866,677
     183,524 Valmont Industries, Inc.               45,972,762
                                               ---------------
                                                   108,839,439
                                               ---------------
             ELECTRONIC EQUIPMENT, INSTRUMENTS
                & COMPONENTS -- 3.4%
     284,324 Badger Meter, Inc.                     30,297,565
     362,434 Itron, Inc. (a)                        24,833,978
                                               ---------------
                                                    55,131,543
                                               ---------------
             HEALTH CARE EQUIPMENT &
                SUPPLIES -- 3.7%
      90,384 IDEXX Laboratories, Inc. (a)           59,514,249
                                               ---------------
             INDUSTRIAL CONGLOMERATES
                -- 3.9%
     126,007 Roper Technologies, Inc.               61,977,803
                                               ---------------
             LIFE SCIENCES TOOLS & SERVICES
                -- 7.3%
     347,047 Agilent Technologies, Inc.             55,406,053
     187,858 Danaher Corp.                          61,807,161
                                               ---------------
                                                   117,213,214
                                               ---------------
             MACHINERY -- 28.8%
     931,478 Energy Recovery, Inc. (a)              20,017,462
     782,326 Evoqua Water Technologies
                Corp. (a)                           36,573,740
   1,174,997 Flowserve Corp.                        35,954,908
     358,298 Franklin Electric Co., Inc.            33,880,659
     542,632 Gorman-Rupp (The) Co.                  24,174,256
     271,858 IDEX Corp.                             64,245,482
     115,510 Lindsay Corp.                          17,557,520
     682,538 Mueller Industries, Inc.               40,515,456
   1,832,015 Mueller Water Products, Inc.,
                Class A                             26,381,016
     789,220 Pentair PLC                            57,636,737
     266,200 Watts Water Technologies, Inc.,
                Class A                             51,688,054
     446,748 Xylem, Inc.                            53,574,020
                                               ---------------
                                                   462,199,310
                                               ---------------


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             MULTI-UTILITIES -- 3.1%
   3,431,047 Algonquin Power & Utilities
                Corp.                          $    49,578,629
                                               ---------------
             PROFESSIONAL SERVICES -- 3.3%
     945,398 Stantec, Inc.                          53,178,637
                                               ---------------
             WATER UTILITIES -- 16.9%
     330,203 American States Water Co.              34,156,198
     334,137 American Water Works Co., Inc.         63,105,114
     479,119 California Water Service Group         34,429,491
   2,750,008 Cia de Saneamento Basico do
                Estado de Sao Paulo, ADR            20,185,059
   1,227,002 Essential Utilities, Inc.              65,877,737
     173,933 Middlesex Water Co.                    20,924,140
     439,178 SJW Group                              32,147,830
                                               ---------------
                                                   270,825,569
                                               ---------------
             TOTAL COMMON STOCKS
                -- 100.0%                        1,605,067,918
             (Cost $1,221,532,310)             ---------------

             MONEY MARKET FUNDS -- 0.0%
     537,861 Morgan Stanley Institutional
                Liquidity Funds - Treasury
                Portfolio - Institutional
                Class - 0.01% (b)                      537,861
             (Cost $537,861)                   ---------------

             TOTAL INVESTMENTS -- 100.0%         1,605,605,779
             (Cost $1,222,070,171) (c)
             NET OTHER ASSETS AND
                LIABILITIES -- 0.0%                    185,151
                                               ---------------
             NET ASSETS -- 100.0%              $ 1,605,790,930
                                               ===============

(a)   Non-income producing security.

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

(c)   Aggregate cost for federal income tax purposes is $1,232,686,598. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $396,664,027 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $23,744,846. The net unrealized appreciation was $372,919,181.

ADR   - American Depositary Receipt


                        See Notes to Financial Statements                Page 37





FIRST TRUST WATER ETF (FIW)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

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

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

                                       LEVEL 2        LEVEL 3
                       LEVEL 1       SIGNIFICANT    SIGNIFICANT
                       QUOTED        OBSERVABLE    UNOBSERVABLE
                       PRICES          INPUTS         INPUTS
                   ---------------------------------------------
Common Stocks*     $ 1,605,067,918  $          --  $          --
Money Market
   Funds                   537,861             --             --
                   ---------------------------------------------
Total Investments  $ 1,605,605,779  $          --  $          --
                   =============================================

* See Portfolio of Investments for industry breakout.


Page 38                 See Notes to Financial Statements





FIRST TRUST NATURAL GAS ETF (FCG)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS -- 99.8%
             OIL, GAS & CONSUMABLE FUELS
                -- 99.8%
     716,520 Antero Resources Corp. (a)        $    12,539,100
     540,550 APA Corp.                              14,535,389
     194,457 Callon Petroleum Co. (a)                9,188,093
   4,531,619 Camber Energy, Inc. (a) (b)             3,851,876
     937,669 Centennial Resource
                Development, Inc., Class A (a)       5,607,261
     196,227 Chesapeake Energy Corp.                12,660,566
      79,127 Civitas Resources, Inc.                 3,874,849
     592,995 CNX Resources Corp. (a)                 8,153,681
     444,356 Comstock Resources, Inc. (a)            3,594,840
     256,301 ConocoPhillips                         18,499,806
     738,489 Coterra Energy, Inc.                   14,031,291
      77,474 Crescent Energy, Inc.,
                Class A (a)                            982,370
     710,197 DCP Midstream, L.P. (c)                19,516,214
     384,616 Devon Energy Corp.                     16,942,335
     147,357 Diamondback Energy, Inc.               15,892,452
      43,970 Earthstone Energy, Inc.,
                Class A (a)                            481,032
     571,212 Enerplus Corp.                          6,043,423
     191,101 EOG Resources, Inc.                    16,975,502
     693,809 EQT Corp. (a)                          15,131,974
      43,099 Gulfport Energy Corp. (a)               3,104,421
     192,966 Hess Corp.                             14,285,273
     517,614 Hess Midstream, L.P.,
                Class A (c) (d)                     14,301,675
     106,806 Laredo Petroleum, Inc. (a)              6,422,245
     402,694 Magnolia Oil & Gas Corp.,
                Class A                              7,598,836
     986,325 Marathon Oil Corp.                     16,195,457
     274,625 Matador Resources Co.                  10,139,155
     338,115 Murphy Oil Corp.                        8,828,183
      37,476 Oasis Petroleum, Inc.                   4,721,601
     591,062 Occidental Petroleum Corp.             17,134,887
     374,900 Ovintiv, Inc.                          12,634,130
     187,123 PDC Energy, Inc.                        9,127,860
      95,761 Pioneer Natural Resources Co.          17,417,011
     620,281 Range Resources Corp. (a)              11,059,610
     169,086 SandRidge Energy, Inc. (a)              1,768,640
      38,132 SilverBow Resources, Inc. (a)             830,134
     356,390 SM Energy Co.                          10,506,377
   2,507,579 Southwestern Energy Co. (a)            11,685,318
     270,426 Talos Energy, Inc. (a)                  2,650,175
   2,205,439 Tellurian, Inc. (a)                     6,792,752
     495,282 Vermilion Energy, Inc. (a)              6,235,600
     653,139 W&T Offshore, Inc. (a)                  2,109,639
     972,405 Western Midstream Partners,
                L.P. (c)                            21,655,459
     104,201 Whiting Petroleum Corp. (a)             6,739,721
                                               ---------------
             TOTAL COMMON STOCKS -- 99.8%          422,446,213
             (Cost $379,433,995)               ---------------


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             MONEY MARKET FUNDS -- 0.8%
   2,363,081 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                0.01% (e) (f)                  $     2,363,081
   1,023,795 Morgan Stanley Institutional
                Liquidity Funds - Treasury
                Portfolio - Institutional
                Class - 0.01% (e)                    1,023,795
                                               ---------------
             TOTAL MONEY MARKET FUNDS
                -- 0.8%                              3,386,876
              (Cost $3,386,876)                ---------------


 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
--------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 0.3%
$  1,049,249 BNP Paribas S.A., 0.03% (e),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $1,049,251. Collateralized by
                U.S. Treasury Note, interest
                rate of 1.50%, due 11/30/28.
                The value of the collateral
                including accrued interest
                is $1,069,773. (f)                   1,049,249
             (Cost $1,049,249)                 ---------------

             TOTAL INVESTMENTS -- 100.9%           426,882,338
             (Cost $383,870,120) (g)
             NET OTHER ASSETS AND
                LIABILITIES -- (0.9)%               (3,657,084)
                                               ---------------
             NET ASSETS -- 100.0%              $   423,225,254
                                               ===============

(a)   Non-income producing security.

(b)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $2,944,570 and the
      total value of the collateral held by the Fund is $3,412,330.

(c)   Security is a Master Limited Partnership ("MLP").

(d)   This security is taxed as a "C" corporation for federal income tax
      purposes.

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

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

(g)   Aggregate cost for federal income tax purposes is $394,482,486. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $50,129,300 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $17,729,448. The net unrealized appreciation was $32,399,852.


                        See Notes to Financial Statements                Page 39





FIRST TRUST NATURAL GAS ETF (FCG)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

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

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

                                                   LEVEL 2        LEVEL 3
                   TOTAL           LEVEL 1       SIGNIFICANT    SIGNIFICANT
                 VALUE AT          QUOTED        OBSERVABLE    UNOBSERVABLE
                12/31/2021         PRICES          INPUTS         INPUTS
              --------------------------------------------------------------
Common
  Stocks*     $   422,446,213  $   422,446,213  $          --  $          --
Money Market
  Funds             3,386,876        3,386,876             --             --
Repurchase
  Agreements        1,049,249               --      1,049,249             --
              --------------------------------------------------------------
Total
  Investments $   426,882,338  $   425,833,089  $   1,049,249  $          --
              ==============================================================

* See Portfolio of Investments for industry breakout.

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

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

SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $     2,944,570
Non-cash Collateral(2)                              (2,944,570)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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

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

REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $     1,049,249
Non-cash Collateral(4)                              (1,049,249)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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


Page 40                 See Notes to Financial Statements





FIRST TRUST CHINDIA ETF (FNI)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             AIR FREIGHT & LOGISTICS -- 0.7%
      24,560 ZTO Express Cayman, Inc., ADR     $       693,083
                                               ---------------
             AUTOMOBILES -- 10.4%
      21,906 Li Auto, Inc., ADR (a)                    703,183
     115,434 NIO, Inc., ADR (a)                      3,656,949
     147,903 Tata Motors Ltd., ADR (a) (b)           4,746,207
      41,063 XPeng, Inc., ADR (a)                    2,066,701
                                               ---------------
                                                    11,173,040
                                               ---------------
             BANKS -- 15.2%
     120,737 HDFC Bank Ltd., ADR                     7,856,357
     428,205 ICICI Bank Ltd., ADR                    8,474,177
                                               ---------------
                                                    16,330,534
                                               ---------------
             BIOTECHNOLOGY -- 1.8%
       2,234 BeiGene Ltd., ADR (a)                     605,258
      12,841 I-Mab, ADR (a)                            608,535
      11,211 Zai Lab Ltd., ADR (a)                     704,611
                                               ---------------
                                                     1,918,404
                                               ---------------
             CAPITAL MARKETS -- 0.7%
      16,348 Futu Holdings Ltd., ADR (a)               707,868
                                               ---------------
             CONSUMER FINANCE -- 1.4%
      33,348 360 DigiTech, Inc., ADR                   764,670
     121,685 Lufax Holding Ltd., ADR (a)               685,086
                                               ---------------
                                                     1,449,756
                                               ---------------
             DIVERSIFIED CONSUMER SERVICES
                -- 1.2%
     351,290 New Oriental Education &
                Technology Group, Inc.,
                ADR (a)                                737,709
     149,875 TAL Education Group, ADR (a)              589,009
                                               ---------------
                                                     1,326,718
                                               ---------------
             ENTERTAINMENT -- 6.7%
      34,214 Bilibili, Inc., ADR (a)                 1,587,529
     124,415 iQIYI, Inc., ADR (a)                      567,332
      41,928 NetEase, Inc., ADR                      4,267,432
     107,976 Tencent Music Entertainment
                Group, ADR (a)                         739,636
                                               ---------------
                                                     7,161,929
                                               ---------------
             HOTELS, RESTAURANTS & LEISURE
                -- 5.2%
      19,644 Huazhu Group Ltd., ADR (a)                733,507
      92,750 MakeMyTrip Ltd. (a)                     2,570,102
      79,544 Melco Resorts & Entertainment
                Ltd., ADR (a)                          809,758
      28,231 Trip.com Group Ltd., ADR (a)              695,047
      15,496 Yum China Holdings, Inc.                  772,321
                                               ---------------
                                                     5,580,735
                                               ---------------
             INDEPENDENT POWER AND RENEWABLE
                ELECTRICITY PRODUCERS -- 2.8%
      37,687 Azure Power Global Ltd. (a) (b)           684,019
     293,690 ReNew Energy Global PLC,
                Class A (a) (b)                      2,284,908
                                               ---------------
                                                     2,968,927
                                               ---------------


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             INTERACTIVE MEDIA & SERVICES
                -- 6.7%
      22,720 Autohome, Inc., ADR               $       669,786
      30,145 Baidu, Inc., ADR (a)                    4,485,274
      24,276 Kanzhun Ltd., ADR (a)                     846,747
      19,501 Weibo Corp., ADR (a)                      604,141
     106,204 Zhihu, Inc., ADR (a)                      588,370
                                               ---------------
                                                     7,194,318
                                               ---------------
             INTERNET & DIRECT MARKETING
                RETAIL -- 20.6%
      61,983 Alibaba Group Holding Ltd.,
                ADR (a)                              7,362,961
      42,963 Dada Nexus Ltd., ADR (a)                  565,393
      93,980 JD.com, Inc., ADR (a)                   6,585,179
     118,867 Pinduoduo, Inc., ADR (a)                6,929,946
      79,463 Vipshop Holdings Ltd., ADR (a)            667,489
                                               ---------------
                                                    22,110,968
                                               ---------------
             IT SERVICES -- 18.8%
      13,854 GDS Holdings Ltd., ADR (a)                653,355
     350,073 Infosys Ltd., ADR                       8,860,348
      44,928 Kingsoft Cloud Holdings Ltd.,
                ADR (a) (b)                            707,616
     528,916 Wipro Ltd., ADR                         5,162,220
      53,728 WNS (Holdings) Ltd., ADR (a)            4,739,884
                                               ---------------
                                                    20,123,423
                                               ---------------
             OIL, GAS & CONSUMABLE FUELS
                -- 0.7%
      17,872 PetroChina Co., Ltd., ADR                 790,121
                                               ---------------
             PHARMACEUTICALS -- 2.2%
      36,170 Dr. Reddy's Laboratories Ltd.,
                ADR                                  2,365,880
                                               ---------------
             REAL ESTATE MANAGEMENT &
                DEVELOPMENT -- 0.7%
      38,798 KE Holdings, Inc., ADR (a)                780,616
                                               ---------------
             ROAD & RAIL -- 1.9%
     295,999 DiDi Global, Inc., ADR (a) (b)          1,474,075
      62,058 Full Truck Alliance Co. Ltd.,
                ADR (a)                                519,426
                                               ---------------
                                                     1,993,501
                                               ---------------
             SEMICONDUCTORS & SEMICONDUCTOR
                EQUIPMENT -- 1.1%
      13,539 Daqo New Energy Corp., ADR (a)            545,892
      14,850 JinkoSolar Holding Co., Ltd.,
                ADR (a)                                682,506
                                               ---------------
                                                     1,228,398
                                               ---------------
             TECHNOLOGY HARDWARE, STORAGE
                & PERIPHERALS -- 0.4%
      88,322 Canaan, Inc., ADR (a) (b)                 454,858
                                               ---------------
             TOBACCO -- 0.7%
     188,893 RLX Technology, Inc.,
                ADR (a) (b)                            736,683
                                               ---------------
             TOTAL COMMON STOCKS -- 99.9%          107,089,760
             (Cost $120,220,556)               ---------------


                        See Notes to Financial Statements                Page 41





FIRST TRUST CHINDIA ETF (FNI)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
--------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 5.6%
$    205,766 Bank of America Corp., 0.05% (c),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $205,766. Collateralized by
                U.S. Treasury Securities,
                interest rates of 0.00% to
                0.88%, due 07/15/27 to
                11/15/45. The value of the
                collateral including accrued
                interest is $209,881. (d)              205,766
   2,923,695 Citigroup, Inc., 0.05% (c),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $2,923,699. Collateralized by
                U.S. Treasury Securities,
                interest rates of 0.00% to
                2.38%, due 01/04/22 to
                11/15/51. The value of the
                collateral including accrued
                interest is $2,982,169.(d)           2,923,695
   2,904,988 JPMorgan Chase & Co., 0.05% (c),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $2,904,992. Collateralized by
                U.S. Treasury Securities,
                interest rates of 0.00% to
                4.38%, due 01/18/22 to
                05/15/40. The value of the
                collateral including accrued
                interest is $2,963,088.(d)           2,904,988
                                               ---------------
             TOTAL REPURCHASE AGREEMENTS
                -- 5.6%                              6,034,449
             (Cost $6,034,449)                 ---------------

             TOTAL INVESTMENTS -- 105.5%           113,124,209
             (Cost $126,255,005) (e)
             NET OTHER ASSETS AND
                LIABILITIES -- (5.5)%               (5,977,525)
                                               ---------------
             NET ASSETS -- 100.0%              $   107,146,684
                                               ===============

(a)   Non-income producing security.

(b)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $5,918,600 and the
      total value of the collateral held by the Fund is $6,034,449.

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

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

(e)   Aggregate cost for federal income tax purposes is $126,854,159. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $19,991,456 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $33,721,406. The net unrealized depreciation was $13,729,950.

ADR   - American Depositary Receipt

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

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

                                                   LEVEL 2        LEVEL 3
                   TOTAL           LEVEL 1       SIGNIFICANT    SIGNIFICANT
                 VALUE AT          QUOTED        OBSERVABLE    UNOBSERVABLE
                12/31/2021         PRICES          INPUTS         INPUTS
              --------------------------------------------------------------
Common
  Stocks*     $   107,089,760  $   107,089,760  $          --  $          --
Repurchase
  Agreements        6,034,449               --      6,034,449             --
              --------------------------------------------------------------
Total
  Investments $   113,124,209  $   107,089,760  $   6,034,449  $          --
              ==============================================================

* See Portfolio of Investments for industry breakout.


Page 42                 See Notes to Financial Statements





FIRST TRUST CHINDIA ETF (FNI)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

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

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

SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $     5,918,600
Non-cash Collateral(2)                              (5,918,600)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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

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

REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $     6,034,449
Non-cash Collateral(4)                              (6,034,449)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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


                        See Notes to Financial Statements                Page 43





FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)

PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS -- 99.9%
             BANKS -- 90.5%
      11,508 1st Source Corp.                  $       570,797
      14,431 Amalgamated Financial Corp.               242,008
      13,484 Amerant Bancorp, Inc.                     465,872
       5,002 American National Bankshares,
                Inc.                                   188,475
      32,315 Ameris Bancorp                          1,605,409
       7,436 Arrow Financial Corp.                     261,970
      35,108 Atlantic Union Bankshares Corp.         1,309,177
      15,116 BancFirst Corp.                         1,066,585
      26,442 Bancorp (The), Inc. (a)                   669,247
       3,540 Bank First Corp. (b)                      255,730
       7,431 Bank of Marin Bancorp                     276,656
      59,730 Bank OZK                                2,779,237
      15,895 Banner Corp.                              964,350
      31,833 BOK Financial Corp.                     3,358,063
      36,030 Brookline Bancorp, Inc.                   583,326
       9,466 Business First Bancshares, Inc.           267,982
       3,232 Cambridge Bancorp                         302,483
       6,891 Camden National Corp.                     331,871
       6,436 Capital Bancorp, Inc.                     168,623
       7,833 Capital City Bank Group, Inc.             206,791
      10,287 Capstar Financial Holdings, Inc.          216,336
      12,280 Carter Bankshares, Inc. (a)               188,989
      35,836 Cathay General Bancorp                  1,540,590
      11,406 CBTX, Inc.                                330,774
       7,309 Citizens & Northern Corp.                 190,911
       7,016 City Holding Co.                          573,839
       6,973 Civista Bancshares, Inc.                  170,141
       7,839 CNB Financial Corp.                       207,733
       5,574 Coastal Financial Corp. (a)               282,156
      36,440 Columbia Banking System, Inc.           1,192,317
      56,606 Commerce Bancshares, Inc.               3,891,096
       8,280 Community Trust Bancorp, Inc.             361,091
      18,378 ConnectOne Bancorp, Inc.                  601,144
      23,629 CrossFirst Bankshares, Inc. (a)           368,849
      62,890 CVB Financial Corp.                     1,346,475
      18,773 Dime Community Bancshares, Inc.           660,059
      14,827 Eagle Bancorp, Inc.                       865,007
       5,581 Enterprise Bancorp, Inc.                  250,699
      17,807 Enterprise Financial Services
                Corp.                                  838,532
       7,820 Equity Bancshares, Inc., Class A          265,333
       3,642 Esquire Financial Holdings,
                Inc. (a)                               115,160
      15,698 Farmers National Banc Corp.               291,198
       7,350 Financial Institutions, Inc.              233,730
      16,518 First Bancorp                             755,203
       5,103 First Bancorp (The), Inc.                 160,234
       9,754 First Bancshares (The), Inc.              376,699
      25,834 First Busey Corp.                         700,618
       7,897 First Community Bankshares, Inc.          263,918
      43,506 First Financial Bancorp                 1,060,676
      66,116 First Financial Bankshares, Inc.        3,361,337
       5,973 First Financial Corp.                     270,517
      20,916 First Foundation, Inc.                    519,972
      59,780 First Hawaiian, Inc.                    1,633,787


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             BANKS (CONTINUED)
       4,573 First Internet Bancorp            $       215,114
      19,359 First Interstate BancSystem,
                Inc., Class A                          787,331
      25,021 First Merchants Corp.                   1,048,130
       8,394 First Mid Bancshares, Inc.                359,179
      10,960 First of Long Island (The) Corp.          236,626
       7,993 Five Star Bancorp                         239,790
      14,236 Flushing Financial Corp.                  345,935
      74,855 Fulton Financial Corp.                  1,272,535
      12,319 German American Bancorp, Inc.             480,195
       6,190 Great Southern Bancorp, Inc.              366,757
      40,293 Hancock Whitney Corp.                   2,015,456
      14,111 Hanmi Financial Corp.                     334,148
      24,701 HarborOne Bancorp, Inc.                   366,563
      19,607 Heartland Financial USA, Inc.             992,310
      27,969 Heritage Commerce Corp.                   333,950
      16,319 Heritage Financial Corp.                  398,836
       9,490 HomeStreet, Inc.                          493,480
       7,572 HomeTrust Bancshares, Inc.                234,581
      55,780 Hope Bancorp, Inc.                        820,524
      20,196 Horizon Bancorp, Inc.                     421,087
      21,973 Independent Bank Corp.                  1,791,459
       9,874 Independent Bank Corp./MI                 235,692
      19,925 Independent Bank Group, Inc.            1,437,589
      29,406 International Bancshares Corp.          1,246,520
      23,484 Lakeland Bancorp, Inc.                    445,961
      11,740 Lakeland Financial Corp.                  940,844
      20,002 Live Oak Bancshares, Inc.               1,745,975
      15,866 Macatawa Bank Corp.                       139,938
       7,272 Mercantile Bank Corp.                     254,738
      14,176 Meta Financial Group, Inc.                845,740
      11,817 Metrocity Bankshares, Inc.                325,322
       5,306 Mid Penn Bancorp, Inc.                    168,412
      10,217 Midland States Bancorp, Inc.              253,279
       7,282 MidWestOne Financial Group,
                Inc.                                   235,718
       5,587 MVB Financial Corp.                       231,972
      20,117 NBT Bancorp, Inc.                         774,907
       5,547 Nicolet Bankshares, Inc. (a)              475,655
       3,789 Northeast Bank                            135,381
       2,849 Northrim BanCorp, Inc.                    123,818
      27,576 OceanFirst Financial Corp.                612,187
      76,948 Old National Bancorp                    1,394,298
      13,322 Old Second Bancorp, Inc.                  167,724
      10,904 Origin Bancorp, Inc.                      468,000
      43,787 Pacific Premier Bancorp, Inc.           1,752,794
      54,415 PacWest Bancorp                         2,457,926
       6,887 PCB Bancorp                               151,239
       8,648 Peapack-Gladstone Financial
                Corp.                                  306,139
      13,120 Peoples Bancorp, Inc.                     417,347
      35,332 Pinnacle Financial Partners, Inc.       3,374,206
       6,812 Preferred Bank                            489,033
      11,404 Primis Financial Corp.                    171,516
       7,238 QCR Holdings, Inc.                        405,328
       9,057 RBB Bancorp                               237,293
      25,870 Renasant Corp.                            981,766


Page 44                 See Notes to Financial Statements





FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             COMMON STOCKS (CONTINUED)
             BANKS (CONTINUED)
       8,373 Republic Bancorp, Inc., Class A   $       425,683
      18,261 S&T Bancorp, Inc.                         575,587
      21,170 Sandy Spring Bancorp, Inc.              1,017,854
      27,078 Seacoast Banking Corp. of Florida         958,290
       9,191 Shore Bancshares, Inc.                    191,632
       7,152 Sierra Bancorp                            194,177
      53,288 Simmons First National Corp.,
                Class A                              1,576,259
       7,797 SmartFinancial, Inc.                      213,326
       8,255 South Plains Financial, Inc.              229,572
       3,672 Southern First Bancshares,
                Inc. (a)                               229,463
      14,978 Southside Bancshares, Inc.                626,380
      32,401 SouthState Corp.                        2,595,644
      12,337 Stock Yards Bancorp, Inc.                 788,088
      23,485 Texas Capital Bancshares,
                Inc. (a)                             1,414,971
      33,729 TowneBank                               1,065,499
      13,789 TriCo Bancshares                          592,375
      11,659 Triumph Bancorp, Inc. (a)               1,388,354
      28,981 Trustmark Corp.                           940,723
      22,441 UMB Financial Corp.                     2,381,215
      59,958 United Bankshares, Inc.                 2,175,276
      41,437 United Community Banks, Inc.            1,489,246
      13,666 Univest Financial Corp.                   408,887
     188,851 Valley National Bancorp                 2,596,701
      22,877 Veritex Holdings, Inc.                    910,047
       8,041 Washington Trust Bancorp, Inc.            453,271
      29,343 WesBanco, Inc.                          1,026,712
       7,682 West BanCorp, Inc.                        238,680
      12,468 Westamerica BanCorp                       719,778
      26,455 Wintrust Financial Corp.                2,402,643
                                               ---------------
                                                   106,744,348
                                               ---------------
             IT SERVICES -- 0.2%
       6,502 Cass Information Systems, Inc.            255,659
                                               ---------------
             THRIFTS & MORTGAGE FINANCE
                -- 9.2%
      13,025 Bridgewater Bancshares, Inc. (a)          230,412
      64,433 Capitol Federal Financial, Inc.           730,026
      49,321 Columbia Financial, Inc. (a)            1,028,836
       3,799 FS Bancorp, Inc.                          127,760
         994 Hingham Institution for Savings           417,361
       3,955 Home Bancorp, Inc.                        164,172
      34,828 Kearny Financial Corp.                    461,471
      13,358 Merchants Bancorp                         632,234
      23,026 Northfield Bancorp, Inc.                  372,100
      58,733 Northwest Bancshares, Inc.                831,659
      17,160 Premier Financial Corp.                   530,416
       8,319 Provident Bancorp, Inc.                   154,733
       4,125 Southern Missouri Bancorp, Inc.           215,201
     130,293 TFS Financial Corp.                     2,328,336
       8,919 TrustCo Bank Corp.                        297,092
      30,268 Washington Federal, Inc.                1,010,346
      11,567 Waterstone Financial, Inc.                252,855
      22,074 WSFS Financial Corp.                    1,106,349
                                               ---------------
                                                    10,891,359
                                               ---------------


SHARES       DESCRIPTION                            VALUE
--------------------------------------------------------------
             TOTAL COMMON STOCKS -- 99.9%      $   117,891,366
             (Cost $112,671,620)               ---------------

             MONEY MARKET FUNDS -- 0.1%
     144,458 Goldman Sachs Financial Square
                Treasury Obligations Fund -
                Institutional Class -
                0.01% (c) (d)                          144,458
             (Cost $144,458)                   ---------------


 PRINCIPAL
   VALUE     DESCRIPTION                            VALUE
--------------------------------------------------------------
             REPURCHASE AGREEMENTS -- 0.1%
$     64,142 BNP Paribas S.A., 0.03% (c),
                dated 12/31/21, due 01/03/22,
                with a maturity value of
                $64,142. Collateralized by
                U.S. Treasury Note, interest
                rate of 1.50%, due 11/30/28.
                The value of the collateral
                including accrued interest
                is $65,397. (d)                         64,142
             (Cost $64,142)                    ---------------

             TOTAL INVESTMENTS -- 100.1%           118,099,966
             (Cost $112,880,220) (e)
             NET OTHER ASSETS AND
                LIABILITIES -- (0.1)%                 (153,342)
                                               ---------------
             NET ASSETS -- 100.0%              $   117,946,624
                                               ===============

(a)   Non-income producing security.

(b)   All or a portion of this security is on loan (see Note 2D - Securities
      Lending in the Notes to Financial Statements). The remaining contractual
      maturity of all of the securities lending transactions is overnight and
      continuous. The aggregate value of such securities is $202,272 and the
      total value of the collateral held by the Fund is $208,600.

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

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

(e)   Aggregate cost for federal income tax purposes is $114,097,680. As of
      December 31, 2021, the aggregate gross unrealized appreciation for all
      investments in which there was an excess of value over tax cost was
      $10,326,155 and the aggregate gross unrealized depreciation for all
      investments in which there was an excess of tax cost over value was
      $6,323,869. The net unrealized appreciation was $4,002,286.


                        See Notes to Financial Statements                Page 45





FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)

PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2021

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

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

                                                   LEVEL 2        LEVEL 3
                   TOTAL           LEVEL 1       SIGNIFICANT    SIGNIFICANT
                 VALUE AT          QUOTED        OBSERVABLE    UNOBSERVABLE
                12/31/2021         PRICES          INPUTS         INPUTS
              --------------------------------------------------------------
Common
  Stocks*     $   117,891,366  $   117,891,366  $          --  $          --
Money Market
  Funds               144,458          144,458             --             --
Repurchase
  Agreements           64,142               --         64,142             --
              --------------------------------------------------------------
Total
  Investments $   118,099,966  $   118,035,824  $      64,142  $          --
              ==============================================================

* See Portfolio of Investments for industry breakout.

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

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

SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)     $       202,272
Non-cash Collateral(2)                                (202,272)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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

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

REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)     $        64,142
Non-cash Collateral(4)                                 (64,142)
                                               ---------------
Net Amount                                     $            --
                                               ===============

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

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


Page 46                 See Notes to Financial Statements





                      This page intentionally left blank.





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2021



                                                                            FIRST TRUST                            FIRST TRUST
                                                                            NASDAQ-100         FIRST TRUST         NASDAQ-100
                                                                               EQUAL           NASDAQ-100-        EX-TECHNOLOGY
                                                                             WEIGHTED       TECHNOLOGY SECTOR        SECTOR
                                                                            INDEX FUND          INDEX FUND         INDEX FUND
                                                                              (QQEW)              (QTEC)             (QQXT)
                                                                         -----------------  ------------------  -----------------

                                                                                                        
ASSETS:
Investments, at value..................................................   $ 1,403,752,797    $  4,050,353,736    $   139,275,152
Cash...................................................................           355,213           2,048,234                 --
Receivables:
      Capital shares sold..............................................                --                  --                 --
      Dividends........................................................           660,564             559,380            104,940
      Securities lending income........................................             7,198                  --              1,549
      Investment securities sold.......................................                --                  --                 --
      Reclaims.........................................................                --                  --                 --
Prepaid expenses.......................................................             9,299              25,732              1,004
                                                                          ---------------    ----------------    ---------------
      Total Assets.....................................................     1,404,785,071       4,052,987,082        139,382,645
                                                                          ---------------    ----------------    ---------------
LIABILITIES:
Due to custodian.......................................................                --                  --                 --
Payables:
      Collateral for securities on loan................................        12,204,054                  --          2,093,914
      Investment securities purchased..................................                --                  --                 --
      Investment advisory fees.........................................           468,777           1,373,609             45,792
      Licensing fees...................................................           345,154             996,403             36,961
      Shareholder reporting fees.......................................            44,575             115,907              7,192
      Audit and tax fees...............................................            30,318              30,318             30,318
      Capital shares redeemed..........................................                --                  --                 --
Other liabilities......................................................           277,934             663,783             33,423
                                                                          ---------------    ----------------    ---------------
      Total Liabilities................................................        13,370,812           3,180,020          2,247,600
                                                                          ---------------    ----------------    ---------------
NET ASSETS.............................................................   $ 1,391,414,259    $  4,049,807,062    $   137,135,045
                                                                          ===============    ================    ===============
NET ASSETS CONSIST OF:
Paid-in capital........................................................   $ 1,158,205,968    $  3,150,469,480    $   119,850,674
Par value..............................................................           117,500             231,000             15,500
Accumulated distributable earnings (loss)..............................       233,090,791         899,106,582         17,268,871
                                                                          ---------------    ----------------    ---------------
NET ASSETS.............................................................   $ 1,391,414,259    $  4,049,807,062    $   137,135,045
                                                                          ===============    ================    ===============
NET ASSET VALUE, per share.............................................   $        118.42    $         175.32    $         88.47
                                                                          ===============    ================    ===============
Number of shares outstanding (unlimited number of shares
   authorized, par value $0.01 per share)..............................        11,750,002          23,100,002          1,550,002
                                                                          ===============    ================    ===============
Investments, at cost...................................................   $ 1,114,392,507    $  3,019,067,209    $   108,420,383
                                                                          ===============    ================    ===============
Securities on loan, at value...........................................   $    11,592,002    $             --    $     2,011,782
                                                                          ===============    ================    ===============



Page 48                 See Notes to Financial Statements







  FIRST TRUST                                                                                      FIRST TRUST
   NASDAQ(R)         FIRST TRUST                                                                  NASDAQ(R) ABA
 CLEAN EDGE(R)           S&P             FIRST TRUST        FIRST TRUST        FIRST TRUST          COMMUNITY
  GREEN ENERGY           REIT               WATER           NATURAL GAS          CHINDIA               BANK
   INDEX FUND         INDEX FUND             ETF                ETF                ETF              INDEX FUND
     (QCLN)             (FRI)               (FIW)              (FCG)              (FNI)               (QABA)
----------------  ------------------  -----------------  -----------------  ------------------  ------------------

                                                                                  

 $2,922,333,356    $    235,333,213    $ 1,605,605,779    $   426,882,338    $    113,124,209    $    118,099,966
      1,746,564                  --                 --             51,226             162,646              25,296

             --           1,629,674          9,449,758                 --                  --                  --
      1,121,317             740,926          1,095,411            117,057               9,335             161,662
        139,388                  --                 --                312              23,722                  42
      3,409,924           1,291,330                 --                 --                  --                  --
             --                  --            169,819                 --                  --                  --
         20,569               1,506             10,226              3,158                 697                 915
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
  2,928,771,118         238,996,649      1,616,330,993        427,054,091         113,320,609         118,287,881
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------

             --             878,912                 --                 --                  --                  --

     99,211,557                  --                 --          3,412,330           6,034,449             208,600
             --           1,622,278          9,446,414                 --                  --                  --
        993,105              55,116            519,302            143,136              37,088              31,668
        742,700              30,399            183,458            119,303              24,504              27,085
        163,048               8,967             50,318             17,033              11,888              10,266
         30,318              35,818             30,318             32,318              32,318              30,318
      3,410,374                  --                 --                 --                  --                  --
        558,544              56,048            310,253            104,717              33,678              33,320
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
    105,109,646           2,687,538         10,540,063          3,828,837           6,173,925             341,257
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
 $2,823,661,472    $    236,309,111    $ 1,605,790,930    $   423,225,254    $    107,146,684    $    117,946,624
 ==============    ================    ===============    ===============    ================    ================

 $2,805,800,777    $    214,547,341    $ 1,239,634,228    $   904,775,424    $    205,589,683    $    125,470,815
        415,500              72,500            169,500            246,484              22,500              20,000
     17,445,195          21,689,270        365,987,202       (481,796,654)        (98,465,499)         (7,544,191)
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
 $2,823,661,472    $    236,309,111    $ 1,605,790,930    $   423,225,254    $    107,146,684    $    117,946,624
 ==============    ================    ===============    ===============    ================    ================
 $        67.96    $          32.59    $         94.74    $         17.17    $          47.62    $          58.97
 ==============    ================    ===============    ===============    ================    ================

     41,550,002           7,250,002         16,950,002         24,648,365           2,250,002           2,000,002
 ==============    ================    ===============    ===============    ================    ================
 $2,723,186,167    $    211,814,331    $ 1,222,070,171    $   383,870,120    $    126,255,005    $    112,880,220
 ==============    ================    ===============    ===============    ================    ================
 $   95,587,796    $             --    $            --    $     2,944,570    $      5,918,600    $        202,272
 ==============    ================    ===============    ===============    ================    ================



                        See Notes to Financial Statements               Page 49





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2021



                                                                            FIRST TRUST                            FIRST TRUST
                                                                            NASDAQ-100         FIRST TRUST         NASDAQ-100
                                                                               EQUAL           NASDAQ-100-        EX-TECHNOLOGY
                                                                             WEIGHTED       TECHNOLOGY SECTOR        SECTOR
                                                                            INDEX FUND          INDEX FUND         INDEX FUND
                                                                              (QQEW)              (QTEC)             (QQXT)
                                                                         -----------------  ------------------  -----------------

                                                                                                        
INVESTMENT INCOME:
Dividends..............................................................   $    10,659,979    $     21,046,608    $     1,448,154
Securities lending income (net of fees)................................            38,481                  --              6,900
Foreign withholding tax................................................           (33,353)           (230,304)                --
                                                                          ---------------    ----------------    ---------------
      Total investment income..........................................        10,665,107          20,816,304          1,455,054
                                                                          ---------------    ----------------    ---------------
EXPENSES:
Investment advisory fees...............................................         5,172,645          14,476,626            584,594
Licensing fees.........................................................         1,294,119           3,621,799            146,259
Accounting and administration fees.....................................           618,680           1,436,995             74,383
Shareholder reporting fees.............................................           103,308             240,998             26,571
Custodian fees.........................................................            98,553             271,499             12,085
Transfer agent fees....................................................            57,329             115,479              7,307
Audit and tax fees.....................................................            31,040              30,963             30,974
Legal fees.............................................................            22,779              62,214              2,581
Trustees' fees and expenses............................................             7,056               8,372              6,383
Listing fees...........................................................             6,521               7,067              6,096
Registration and filing fees...........................................            (4,833)                 --               (656)
Expenses previously waived or reimbursed...............................                --                  --                 --
Excise Tax.............................................................                --                  --                 --
Other expenses.........................................................            18,081              47,761              3,849
                                                                          ---------------    ----------------    ---------------
      Total expenses...................................................         7,425,278          20,319,773            900,426
      Less fees waived and expenses reimbursed by the investment
         advisor.......................................................                --                  --            (23,534)
                                                                          ---------------    ----------------    ---------------
      Net expenses.....................................................         7,425,278          20,319,773            876,892
                                                                          ---------------    ----------------    ---------------
NET INVESTMENT INCOME (LOSS)...........................................         3,239,829             496,531            578,162
                                                                          ---------------    ----------------    ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
      Investments......................................................        (8,749,701)        (22,614,962)         1,662,168
      In-kind redemptions..............................................       191,453,959         817,151,358         16,205,765
                                                                          ---------------    ----------------    ---------------
Net realized gain (loss)...............................................       182,704,258         794,536,396         17,867,933
                                                                          ---------------    ----------------    ---------------
Net change in unrealized appreciation (depreciation) on investments....        16,405,196          57,064,938        (2,765,567)
                                                                          ---------------    ----------------    ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................       199,109,454         851,601,334         15,102,366
                                                                          ---------------    ----------------    ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
   FROM OPERATIONS.....................................................   $   202,349,283    $    852,097,865    $    15,680,528
                                                                          ===============    ================    ===============



Page 50                 See Notes to Financial Statements







  FIRST TRUST                                                                                      FIRST TRUST
   NASDAQ(R)         FIRST TRUST                                                                  NASDAQ(R) ABA
 CLEAN EDGE(R)           S&P             FIRST TRUST        FIRST TRUST        FIRST TRUST          COMMUNITY
  GREEN ENERGY           REIT               WATER           NATURAL GAS          CHINDIA               BANK
   INDEX FUND         INDEX FUND             ETF                ETF                ETF              INDEX FUND
     (QCLN)             (FRI)               (FIW)              (FCG)              (FNI)               (QABA)
----------------  ------------------  -----------------  -----------------  ------------------  ------------------

                                                                                  

 $    7,046,120    $      3,634,982    $    11,285,810    $     5,601,176    $        989,641    $      2,998,089
      3,029,991                  --              1,456             11,347             342,290                 927
       (836,623)                 --           (343,673)            (9,144)           (122,248)                 --
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
      9,239,488           3,634,982         10,943,593          5,603,379           1,209,683           2,999,016
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------

     11,048,556             428,766          4,392,266          1,108,751             873,345             496,626
      2,765,565             114,341            549,180            277,379             174,972             111,759
      1,177,971              73,632            533,616            140,077             110,875              65,203
        409,324              25,203            112,947             42,231              36,268              29,181
        209,252              18,872             82,888             22,287              17,293              15,924
         94,054               7,146             50,707             13,859              10,917               6,208
         31,105              36,409             30,931             32,920              33,639              30,887
         50,924               1,723             21,229              5,894               3,594               6,259
          8,168               6,369              6,949              6,451               6,434               6,362
          7,252               9,812             12,336             12,336              12,336               6,098
         40,870               3,974             20,188              7,293              (1,375)                102
         78,177                  --                 --                 --                  --                  --
             --                  --                 --             34,748                  --                  --
         19,713               2,698             12,123              3,298               4,451               2,677
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
     15,940,931             728,945          5,825,360          1,707,524           1,282,749             777,286

             --             (14,335)                --             (9,649)                 --             (32,356)
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
     15,940,931             714,610          5,825,360          1,697,875           1,282,749             744,930
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
     (6,701,443)          2,920,372          5,118,233          3,905,504             (73,066)          2,254,086
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------


   (168,529,832)             58,665           (796,918)        (1,603,289)         (9,027,271)            683,297
    324,938,674           4,950,353         84,013,345         81,924,626          62,168,416           7,881,128
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
    156,408,842           5,009,018         83,216,427         80,321,337          53,141,145           8,564,425
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
   (450,506,660)         39,250,974        200,157,259         30,765,415         (93,625,547)         18,576,945
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------
   (294,097,818)         44,259,992        283,373,686        111,086,752         (40,484,402)         27,141,370
 --------------    ----------------    ---------------    ---------------    ----------------    ----------------

 $ (300,799,261)   $     47,180,364    $   288,491,919    $   114,992,256    $    (40,557,468)   $     29,395,456
 ==============    ================    ===============    ===============    ================    ================



                        See Notes to Financial Statements                Page 51





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF CHANGES IN NET ASSETS



                                                                      FIRST TRUST                          FIRST TRUST
                                                                       NASDAQ-100                          NASDAQ-100-
                                                                     EQUAL WEIGHTED                     TECHNOLOGY SECTOR
                                                                       INDEX FUND                           INDEX FUND
                                                                         (QQEW)                               (QTEC)
                                                            --------------------------------     --------------------------------
                                                              Year Ended       Year Ended          Year Ended       Year Ended
                                                              12/31/2021       12/31/2020          12/31/2021       12/31/2020
                                                            ---------------  ---------------     ---------------  ---------------

                                                                                                      
OPERATIONS:
Net investment income (loss)..............................  $     3,239,829  $     3,623,684     $       496,531  $    13,868,845
Net realized gain (loss)..................................      182,704,258      143,193,386         794,536,396      488,919,986
Net change in unrealized appreciation (depreciation)......       16,405,196      126,318,441          57,064,938      318,775,768
                                                            ---------------  ---------------     ---------------  ---------------
Net increase (decrease) in net assets resulting
   from operations........................................      202,349,283      273,135,511         852,097,865      821,564,599
                                                            ---------------  ---------------     ---------------  ---------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations.....................................       (3,291,356)      (3,745,681)           (661,890)     (14,694,706)
Return of capital.........................................               --               --                  --               --
                                                            ---------------  ---------------     ---------------  ---------------
Total distributions to shareholders.......................       (3,291,356)      (3,745,681)           (661,890)     (14,694,706)
                                                            ---------------  ---------------     ---------------  ---------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................................      456,270,076      469,620,748       1,499,345,517    1,270,455,298
Cost of shares redeemed...................................     (439,183,900)    (471,178,171)     (1,650,885,696)  (1,639,801,831)
                                                            ---------------  ---------------     ---------------  ---------------
Net increase (decrease) in net assets resulting
   from shareholder transactions..........................       17,086,176       (1,557,423)       (151,540,179)    (369,346,533)
                                                            ---------------  ---------------     ---------------  ---------------
Total increase (decrease) in net assets...................      216,144,103      267,832,407         699,895,796      437,523,360

NET ASSETS:
Beginning of period.......................................    1,175,270,156      907,437,749       3,349,911,266    2,912,387,906
                                                            ---------------  ---------------     ---------------  ---------------
End of period.............................................  $ 1,391,414,259  $ 1,175,270,156     $ 4,049,807,062  $ 3,349,911,266
                                                            ===============  ===============     ===============  ===============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period...................       11,650,002       12,300,002          24,250,002       29,100,002
Shares sold...............................................        4,100,000        5,550,000           9,500,000       10,800,000
Shares redeemed...........................................       (4,000,000)      (6,200,000)        (10,650,000)     (15,650,000)
                                                            ---------------  ---------------     ---------------  ---------------
Shares outstanding, end of period.........................       11,750,002       11,650,002          23,100,002       24,250,002
                                                            ===============  ===============     ===============  ===============



Page 52                 See Notes to Financial Statements







         FIRST TRUST                      FIRST TRUST                       FIRST TRUST
         NASDAQ-100                        NASDAQ(R)                            S&P                           FIRST TRUST
    EX-TECHNOLOGY SECTOR          CLEAN EDGE(R) GREEN ENERGY                   REIT                              WATER
         INDEX FUND                       INDEX FUND                        INDEX FUND                            ETF
           (QQXT)                           (QCLN)                             (FRI)                             (FIW)
-----------------------------   -------------------------------   -------------------------------   -------------------------------
 Year Ended      Year Ended      Year Ended       Year Ended       Year Ended       Year Ended       Year Ended       Year Ended
 12/31/2021      12/31/2020      12/31/2021       12/31/2020       12/31/2021       12/31/2020       12/31/2021       12/31/2020
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------

                                                                                                

$     578,162   $     384,225   $   (6,701,443)  $      211,101   $    2,920,372   $    2,036,020   $    5,118,233   $    3,515,620
   17,867,933      26,614,296      156,408,842       65,171,162        5,009,018      (10,709,851)      83,216,427       29,359,613
   (2,765,567)     12,091,041     (450,506,660)     611,432,069       39,250,974      (14,457,019)     200,157,259       71,918,615
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------

   15,680,528      39,089,562     (300,799,261)     676,814,332       47,180,364      (23,130,850)     288,491,919      104,793,848
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------


     (515,676)       (389,766)        (275,655)      (3,181,371)      (2,732,665)      (2,857,361)      (4,964,311)      (3,656,056)
           --              --               --               --               --               --               --               --
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------
     (515,676)       (389,766)        (275,655)      (3,181,371)      (2,732,665)      (2,857,361)      (4,964,311)      (3,656,056)
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------


    8,843,090      76,102,422    1,748,106,641    1,267,759,656      152,028,630               --      802,243,154      153,090,861
  (33,811,304)    (70,046,805)    (623,172,866)     (86,057,101)     (34,511,600)     (98,309,474)    (168,774,018)    (101,602,162)
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------

  (24,968,214)      6,055,617    1,124,933,775    1,181,702,555      117,517,030      (98,309,474)     633,469,136       51,488,699
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------
   (9,803,362)     44,755,413      823,858,859    1,855,335,516      161,964,729     (124,297,685)     916,996,744      152,626,491


  146,938,407     102,182,994    1,999,802,613      144,467,097       74,344,382      198,642,067      688,794,186      536,167,695
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------
$ 137,135,045   $ 146,938,407   $2,823,661,472   $1,999,802,613   $  236,309,111   $   74,344,382   $1,605,790,930   $  688,794,186
=============   =============   ==============   ==============   ==============   ==============   ==============   ==============


    1,850,002       1,750,002       28,500,002        5,800,002        3,200,002        7,600,002        9,550,002        8,950,002
      100,000       1,200,000       22,650,000       25,400,000        5,300,000               --        9,450,000        2,500,000
     (400,000)     (1,100,000)      (9,600,000)      (2,700,000)      (1,250,000)      (4,400,000)      (2,050,000)      (1,900,000)
-------------   -------------   --------------   --------------   --------------   --------------   --------------   --------------
    1,550,002       1,850,002       41,550,002       28,500,002        7,250,002        3,200,002       16,950,002        9,550,002
=============   =============   ==============   ==============   ==============   ==============   ==============   ==============



                        See Notes to Financial Statements                Page 53





FIRST TRUST EXCHANGE-TRADED FUND

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)



                                                                      FIRST TRUST                          FIRST TRUST
                                                                      NATURAL GAS                            CHINDIA
                                                                          ETF                                  ETF
                                                                         (FCG)                                (FNI)
                                                            --------------------------------     --------------------------------
                                                              Year Ended       Year Ended          Year Ended       Year Ended
                                                              12/31/2021       12/31/2020          12/31/2021       12/31/2020
                                                            ---------------  ---------------     ---------------  ---------------

                                                                                                      
OPERATIONS:
Net investment income (loss)..............................  $     3,905,504  $     1,210,304     $       (73,066) $       307,787
Net realized gain (loss)..................................       80,321,337      (35,101,100)         53,141,145       (1,131,009)
Net change in unrealized appreciation (depreciation)......       30,765,415       28,758,767         (93,625,547)      86,193,314
                                                            ---------------  ---------------     ---------------  ---------------
Net increase (decrease) in net assets resulting
   from operations........................................      114,992,256       (5,132,029)        (40,557,468)      85,370,092
                                                            ---------------  ---------------     ---------------  ---------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations.....................................       (6,273,849)          (6,156)                 --         (754,006)
Return of capital.........................................               --       (3,810,423)                 --               --
                                                            ---------------  ---------------     ---------------  ---------------
Total distributions to shareholders.......................       (6,273,849)      (3,816,579)                 --         (754,006)
                                                            ---------------  ---------------     ---------------  ---------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................................      389,376,422      127,269,397          59,830,685       96,283,160
Cost of shares redeemed...................................     (178,298,282)    (110,100,974)       (169,075,322)     (35,241,060)
                                                            ---------------  ---------------     ---------------  ---------------
Net increase (decrease) in net assets resulting
   from shareholder transactions..........................      211,078,140       17,168,423        (109,244,637)      61,042,100
                                                            ---------------  ---------------     ---------------  ---------------
Total increase (decrease) in net assets...................      319,796,547        8,219,815        (149,802,105)     145,658,186

NET ASSETS:
Beginning of period.......................................      103,428,707       95,208,892         256,948,789      111,290,603
                                                            ---------------  ---------------     ---------------  ---------------
End of period.............................................  $   423,225,254  $   103,428,707     $   107,146,684  $   256,948,789
                                                            ===============  ===============     ===============  ===============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period...................       11,748,365        7,898,365           4,350,002        2,800,002
Shares sold...............................................       24,200,000       21,850,000             900,000        2,500,000
Shares redeemed...........................................      (11,300,000)     (18,000,000)         (3,000,000)        (950,000)
                                                            ---------------  ---------------     ---------------  ---------------
Shares outstanding, end of period.........................       24,648,365       11,748,365           2,250,002        4,350,002
                                                            ===============  ===============     ===============  ===============



Page 54                 See Notes to Financial Statements







         FIRST TRUST
        NASDAQ(R) ABA
       COMMUNITY BANK
         INDEX FUND
           (QABA)
-----------------------------
 Year Ended      Year Ended
 12/31/2021      12/31/2020
-------------   -------------

             

$   2,254,086   $   2,220,401
    8,564,425     (21,079,361)
   18,576,945      (7,035,863)
-------------   -------------

   29,395,456     (25,894,823)
-------------   -------------


   (2,215,667)     (2,302,952)
           --              --
-------------   -------------
   (2,215,667)     (2,302,952)
-------------   -------------


   41,856,729      20,210,038
  (36,109,870)    (49,744,762)
-------------   -------------

    5,746,859     (29,534,724)
-------------   -------------
   32,926,648     (57,732,499)


   85,019,976     142,752,475
-------------   -------------
$ 117,946,624   $  85,019,976
=============   =============


    1,900,002       2,750,002
      750,000         500,000
     (650,000)     (1,350,000)
-------------   -------------
    2,000,002       1,900,002
=============   =============



                        See Notes to Financial Statements                Page 55





FIRST TRUST EXCHANGE-TRADED FUND

FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD



FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)

                                                                        YEAR ENDED DECEMBER 31,
                                              ---------------------------------------------------------------------------
                                                  2021           2020           2019           2018              2017
                                              ------------   ------------   ------------   ------------      ------------
                                                                                              
Net asset value, beginning of period          $     100.88   $      73.78   $      54.61   $      57.88      $      46.18
                                              ------------   ------------   ------------   ------------      ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.28           0.34           0.36           0.32              0.24
Net realized and unrealized gain (loss)              17.54          27.11          19.16          (3.29) (a)        11.74
                                              ------------   ------------   ------------   ------------      ------------
Total from investment operations                     17.82          27.45          19.52          (2.97)            11.98
                                              ------------   ------------   ------------   ------------      ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.28)         (0.35)         (0.35)         (0.30)            (0.28)
                                              ------------   ------------   ------------   ------------      ------------
Net asset value, end of period                $     118.42   $     100.88   $      73.78   $      54.61      $      57.88
                                              ============   ============   ============   ============      ============
TOTAL RETURN (b)                                     17.67%         37.35%         35.78%         (5.16)% (a)       26.00%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $  1,391,414   $  1,175,270   $    907,438   $    461,464      $    529,632
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.57%          0.58%          0.59%          0.60%             0.60%
Ratio of net expenses to average net assets           0.57%          0.58%          0.59%          0.60%             0.60%
Ratio of net investment income (loss) to
   average net assets                                 0.25%          0.41%          0.56%          0.52%             0.45%
Portfolio turnover rate (c)                             23%            28%            29%            27%               26%


FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019           2018           2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $     138.14   $     100.08   $      67.97   $      71.92   $      52.62
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.02           0.58           0.70           0.65           0.48
Net realized and unrealized gain (loss)              37.19          38.09          32.09          (3.98)         19.39
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                     37.21          38.67          32.79          (3.33)         19.87
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.03)         (0.61)         (0.68)         (0.62)         (0.57)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $     175.32   $     138.14   $     100.08   $      67.97   $      71.92
                                              ============   ============   ============   ============   ============
TOTAL RETURN (b)                                     26.94%         38.82%         48.36%         (4.70)%        37.86%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $  4,049,807   $  3,349,911   $  2,912,388   $  1,950,669   $  2,200,711
Ratios to average net assets:
Ratio of total expenses to average net assets         0.56%          0.57%          0.57%          0.57%          0.58%
Ratio of net expenses to average net assets           0.56%          0.57%          0.57%          0.57%          0.58%
Ratio of net investment income (loss) to
    average net assets                                0.01%          0.50%          0.82%          0.84%          0.76%
Portfolio turnover rate (c)                             25%            31%            23%            21%            21%


(a)   The Fund received a reimbursement from the Advisor in the amount of
      $22,098 in connection with a trade error, which represents less than $0.01
      per share. Since the Advisor reimbursed the Fund, there was no effect on
      the Fund's total return.

(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.


Page 56                 See Notes to Financial Statements





FIRST TRUST EXCHANGE-TRADED FUND

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



FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019           2018           2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                              
Net asset value, beginning of period          $      79.43   $      58.39   $      45.66   $      48.53   $      40.44
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.35           0.22           0.20           0.18           0.12
Net realized and unrealized gain (loss)               9.00          21.04          12.73          (2.88)          8.13
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                      9.35          21.26          12.93          (2.70)          8.25
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.31)         (0.22)         (0.20)         (0.17)         (0.16)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      88.47   $      79.43   $      58.39   $      45.66   $      48.53
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                     11.80%         36.48%         28.35%         (5.58)%        20.41%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $    137,135   $    146,938   $    102,183   $     77,618   $    101,914
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.62%          0.62%          0.64%          0.64%          0.63%
Ratio of net expenses to average net assets           0.60%          0.60%          0.60%          0.60%          0.60%
Ratio of net investment income (loss) to
   average net assets                                 0.40%          0.34%          0.38%          0.34%          0.25%
Portfolio turnover rate (b)                             25%            35%            31%            26%            25%


FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019           2018           2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $      70.17   $      24.91   $      17.63   $      20.28   $      15.47
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                         (0.13)          0.11           0.13           0.12           0.05
Net realized and unrealized gain (loss)              (2.07)         45.36           7.36          (2.59)          4.85
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                     (2.20)         45.47           7.49          (2.47)          4.90
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.01)         (0.21)         (0.21)         (0.11)         (0.09)
Return of capital                                       --             --             --          (0.07)            --
                                              ------------   ------------   ------------   ------------   ------------
Total distributions                                  (0.01)         (0.21)         (0.21)         (0.18)         (0.09)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      67.96   $      70.17   $      24.91   $      17.63   $      20.28
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                     (3.14)%       183.52%         42.69%        (12.22)%        31.73%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $  2,823,661   $  1,999,803   $    144,467   $     83,731   $     91,262
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.58%          0.60%          0.63%          0.65%          0.66%
Ratio of net expenses to average net assets           0.58%          0.60%          0.60%          0.60%          0.60%
Ratio of net investment income (loss) to
   average net assets                                (0.24)%         0.04%          0.58%          0.59%          0.23%
Portfolio turnover rate (b)                             28%            43%            26%            45%            32%


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

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


                        See Notes to Financial Statements                Page 57





FIRST TRUST EXCHANGE-TRADED FUND

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



FIRST TRUST S&P REIT INDEX FUND (FRI)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019           2018           2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $      23.23   $      26.14   $      21.63   $      23.28   $      23.07
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.50           0.52           0.56           0.69           0.71
Net realized and unrealized gain (loss)               9.33          (2.72)          4.55          (1.65)          0.16
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                      9.83          (2.20)          5.11          (0.96)          0.87
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.47)         (0.71)         (0.60)         (0.69)         (0.66)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      32.59   $      23.23   $      26.14   $      21.63   $      23.28
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                     42.52%         (8.10)%        23.67%         (4.19)%         3.79%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $    236,309   $     74,344   $    198,642   $    115,696   $    161,791
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.51%          0.52%          0.51%          0.52%          0.48%
Ratio of net expenses to average net assets           0.50%          0.50%          0.50%          0.50%          0.48%
Ratio of net investment income (loss) to
   average net assets                                 2.04%          2.04%          2.40%          3.05%          2.77%
Portfolio turnover rate (b)                              6%             6%            10%            10%             7%


FIRST TRUST WATER ETF (FIW)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019           2018           2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $      72.13   $      59.91   $      43.96   $      48.58   $      39.61
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.36           0.38           0.32           0.35           0.54
Net realized and unrealized gain (loss)              22.60          12.24          15.96          (4.65)          8.98
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                     22.96          12.62          16.28          (4.30)          9.52
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.35)         (0.40)         (0.33)         (0.32)         (0.55)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      94.74   $      72.13   $      59.91   $      43.96   $      48.58
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                     31.89%         21.20%         37.11%         (8.89)%        24.25%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $  1,605,791   $    688,794   $    536,168   $    290,107   $    298,775
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.53%          0.54%          0.55%          0.55%          0.56%
Ratio of net expenses to average net assets           0.53%          0.54%          0.55%          0.55%          0.56%
Ratio of net investment income (loss) to
   average net assets                                 0.47%          0.66%          0.61%          0.72%          1.26%
Portfolio turnover rate (b)                             15%            15%            12%            11%            24%


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

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


Page 58                 See Notes to Financial Statements





FIRST TRUST EXCHANGE-TRADED FUND

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



FIRST TRUST NATURAL GAS ETF (FCG)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019           2018           2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $       8.80   $      12.05   $      14.69   $      22.75   $      26.15
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          0.20           0.10           0.10           0.02          (0.02)
Net realized and unrealized gain (loss)               8.47          (3.01)         (2.39)         (7.86)         (3.02)
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                      8.67          (2.91)         (2.29)         (7.84)         (3.04)
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.30)            --          (0.11)            --          (0.23)
Return of capital                                       --          (0.34)         (0.24)         (0.22)         (0.13)
                                              ------------   ------------   ------------   ------------   ------------
Total distributions                                  (0.30)         (0.34)         (0.35)         (0.22)         (0.36)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      17.17   $       8.80   $      12.05   $      14.69   $      22.75
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                     98.69%        (23.22)%       (15.87)%       (34.77)%       (11.53)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $    423,225   $    103,429   $     95,209   $     88,874   $    184,262
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.62%(b)       0.67%          0.65%          0.63%          0.64% (b)
Ratio of net expenses to average net assets           0.61%(b)       0.60%          0.60%          0.60%          0.63% (b)
Ratio of net investment income (loss) to
   average net assets                                 1.41%          1.48%          0.65%          0.07%         (0.11)%
Portfolio turnover rate (c)                             42%           103%            61%            47%            53%


FIRST TRUST CHINDIA ETF (FNI)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019           2018           2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $      59.07   $      39.75   $      30.93   $      39.57   $      27.39
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                         (0.12)          0.09           0.14           0.04           0.34
Net realized and unrealized gain (loss)             (11.33)         19.42           8.81          (8.16)         12.61
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                    (11.45)         19.51           8.95          (8.12)         12.95
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   --          (0.19)         (0.13)         (0.52)         (0.77)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      47.62   $      59.07   $      39.75   $      30.93   $      39.57
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                    (19.38)%        49.25%         28.96%        (20.68)%        47.36%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $    107,147   $    256,949   $    111,291   $    133,007   $    375,915
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.59%          0.60%          0.60%          0.59%          0.60%
Ratio of net expenses to average net assets           0.59%          0.60%          0.60%          0.59%          0.60%
Ratio of net investment income (loss) to
   average net assets                                (0.03)%         0.20%          0.35%          1.06%          0.91%
Portfolio turnover rate (c)                             43%            46%            26%            22%            35%


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

(b)   For the years ended December 31, 2021 and 2017, ratios reflect excise tax
      of 0.01% and 0.03%, respectively, which are not included in the expense
      cap.

(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 59





FIRST TRUST EXCHANGE-TRADED FUND

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



FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)

                                                                      YEAR ENDED DECEMBER 31,
                                              ------------------------------------------------------------------------
                                                  2021           2020           2019           2018           2017
                                              ------------   ------------   ------------   ------------   ------------
                                                                                           
Net asset value, beginning of period          $      44.75   $      51.91   $      43.16   $      52.34   $      52.81
                                              ------------   ------------   ------------   ------------   ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                          1.01           1.11           1.04           0.81           0.74
Net realized and unrealized gain (loss)              14.20          (7.13)          8.72          (9.17)         (0.46)
                                              ------------   ------------   ------------   ------------   ------------
Total from investment operations                     15.21          (6.02)          9.76          (8.36)          0.28
                                              ------------   ------------   ------------   ------------   ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                (0.99)         (1.14)         (1.01)         (0.82)         (0.75)
                                              ------------   ------------   ------------   ------------   ------------
Net asset value, end of period                $      58.97   $      44.75   $      51.91   $      43.16   $      52.34
                                              ============   ============   ============   ============   ============
TOTAL RETURN (a)                                     34.08%        (11.00)%        22.80%        (16.14)%         0.55%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $    117,947   $     85,020   $    142,752   $    228,762   $    314,032
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets         0.63%          0.64%          0.60%          0.60%          0.60%
Ratio of net expenses to average net assets           0.60%          0.60%          0.60%          0.60%          0.60%
Ratio of net investment income (loss) to
   average net assets                                 1.82%          2.75%          1.98%          1.50%          1.37%
Portfolio turnover rate (b)                             23%            14%            15%            11%            14%


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

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


Page 60                 See Notes to Financial Statements





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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

                                1. ORGANIZATION

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

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

        First Trust NASDAQ-100 Equal Weighted Index Fund - (The Nasdaq Stock
           Market LLC ("Nasdaq") ticker "QQEW")
        First Trust NASDAQ-100-Technology Sector Index Fund - (Nasdaq ticker
           "QTEC")
        First Trust NASDAQ-100 Ex-Technology Sector Index Fund - (Nasdaq ticker
           "QQXT")
        First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund - (Nasdaq
           ticker "QCLN")
        First Trust S&P REIT Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker
           "FRI") First Trust Water ETF - (NYSE Arca ticker "FIW")
        First Trust Natural Gas ETF - (NYSE Arca ticker "FCG")
        First Trust Chindia ETF - (NYSE Arca ticker "FNI")
        First Trust NASDAQ(R) ABA Community Bank Index Fund - (Nasdaq ticker
           "QABA")

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



FUND                                                            INDEX
                                                             
First Trust NASDAQ-100 Equal Weighted Index Fund                NASDAQ-100 Equal Weighted Index(SM)
First Trust NASDAQ-100-Technology Sector Index Fund             NASDAQ-100 Technology Sector Index(SM)
First Trust NASDAQ-100 Ex-Technology Sector Index Fund          NASDAQ-100 Ex-Tech Sector Index(SM)
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund     NASDAQ(R) Clean Edge(R) Green Energy Index(SM)
First Trust S&P REIT Index Fund                                 S&P United States REIT Index
First Trust Water ETF                                           ISE Clean Edge Water Index
First Trust Natural Gas ETF                                     ISE-Revere Natural Gas(TM) Index
First Trust Chindia ETF                                         ISE ChIndia(TM) Index
First Trust NASDAQ(R) ABA Community Bank Index Fund             NASDAQ OMX(R) ABA Community Bank Index(SM)


                       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. Foreign securities are priced using the data
reflecting the earlier closing of the principal markets for those securities.
Each Fund's NAV is calculated by dividing the value of all assets of each Fund
(including accrued interest and dividends), less all liabilities (including
accrued expenses and dividends declared but unpaid), by the total number of
shares outstanding.

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


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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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

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

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

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

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

      1)    the type of security;

      2)    the size of the holding;

      3)    the initial cost of the security;

      4)    transactions in comparable securities;

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

      6)    relationships among various securities;

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

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

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

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

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

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

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

            o     Quoted prices for similar investments in active markets.

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

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

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

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

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


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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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 MLPs generally are comprised
of return of capital and investment income. A Fund records estimated return of
capital and investment income based on historical information available from
each MLP. These estimates may subsequently be revised based on information
received from the MLPs after their tax reporting periods are concluded.

Distributions received from a Fund's investments in 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 with the exception of FNI.
The Bank of New York Mellon ("BNYM") acts as FNI's securities lending agent and
is responsible for executing the lending of the portfolio securities to
creditworthy borrowers. The Funds, however, will be responsible for the risks
associated with the investment of cash collateral. A Fund may lose money on its
investment of cash collateral, which may affect its ability to repay the
collateral to the borrower without the use of other Fund assets. Each Fund that
engages in securities lending receives compensation (net of any rebate and
securities lending agent fees) for lending its securities. Compensation can be
in the form of fees received from the securities lending agent or dividends or
interest earned from the investment of cash collateral. The fees received from
the securities lending agent are accrued daily. The dividend and interest earned
on the securities loaned is accounted for in the same manner as other dividend
and interest income. At December 31, 2021, QQEW, QQXT, QCLN, FCG, FNI, and QABA
had securities in the securities lending program. During the fiscal year ended
December 31, 2021, QQEW, QQXT, QCLN, FIW, FCG, FNI, and QABA participated in the
securities lending program.

In the event of a default by a borrower with respect to any loan, BBH or BNYM
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


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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

and BNYM to exercise these remedies, a Fund sustains losses as a result of a
borrower's default, BBH or BNYM 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 or BNYM.

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

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

F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

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

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

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



                                                                       Distributions        Distributions        Distributions
                                                                         paid from            paid from            paid from
                                                                      Ordinary Income       Capital Gains      Return of Capital
                                                                     ------------------    ----------------    -----------------
                                                                                                        
First Trust NASDAQ-100 Equal Weighted Index Fund                       $    3,291,356        $         --        $          --
First Trust NASDAQ-100-Technology Sector Index Fund                           661,890                  --                   --
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                        515,676                  --                   --
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund                   275,655                  --                   --
First Trust S&P REIT Index Fund                                             2,732,665                  --                   --
First Trust Water ETF                                                       4,964,311                  --                   --
First Trust Natural Gas ETF                                                 6,273,849                  --                   --
First Trust Chindia ETF                                                            --                  --                   --
First Trust NASDAQ(R) ABA Community Bank Index Fund                         2,215,667                  --                   --



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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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




                                                                       Distributions        Distributions        Distributions
                                                                         paid from            paid from            paid from
                                                                      Ordinary Income       Capital Gains      Return of Capital
                                                                     ------------------    ----------------    -----------------
                                                                                                        
First Trust NASDAQ-100 Equal Weighted Index Fund                       $    3,745,681        $         --        $          --
First Trust NASDAQ-100-Technology Sector Index Fund                        14,694,706                  --                   --
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                        389,766                  --                   --
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund                 3,181,371                  --                   --
First Trust S&P REIT Index Fund                                             2,857,361                  --                   --
First Trust Water ETF                                                       3,656,056                  --                   --
First Trust Natural Gas ETF                                                     6,156                  --            3,810,423
First Trust Chindia ETF                                                       754,006                  --                   --
First Trust NASDAQ(R) ABA Community Bank Index Fund                         2,302,952                  --                   --


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




                                                                                             Accumulated
                                                                       Undistributed         Capital and        Net Unrealized
                                                                          Ordinary              Other            Appreciation
                                                                           Income            Gain (Loss)        (Depreciation)
                                                                     ------------------    ----------------    -----------------
                                                                                                        
First Trust NASDAQ-100 Equal Weighted Index Fund                       $           --        $(41,657,511)       $ 274,748,302
First Trust NASDAQ-100-Technology Sector Index Fund                                --         (87,032,982)         986,139,564
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                         72,211         (12,461,720)          29,658,380
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund                        --        (102,551,191)         119,996,386
First Trust S&P REIT Index Fund                                               264,063            (917,724)          22,342,931
First Trust Water ETF                                                         153,922          (7,085,901)         372,919,181
First Trust Natural Gas ETF                                                        --        (514,196,506)          32,399,852
First Trust Chindia ETF                                                            --         (84,735,549)         (13,729,950)
First Trust NASDAQ(R) ABA Community Bank Index Fund                            38,419         (11,584,896)           4,002,286


G. INCOME TAXES

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

Certain countries assess a capital gains tax on securities sold in their local
markets. This tax is accrued as the securities in these foreign markets
appreciate in value and is paid at the time of sale to the extent a capital gain
is realized. Taxes accrued on securities in an unrealized appreciation position,
if any, are included in "Net change in unrealized appreciation (depreciation) on
deferred foreign capital gains tax" on the Statements of Operations. The capital
gains tax paid on securities sold, if any, is included in "Net realized gain
(loss) on foreign capital gains tax" on the Statements of Operations.

India's Finance Bill, 2018 ("Finance Bill, 2018") was enacted into law on March
29, 2018 and amongst other provisions, it introduced a long-term capital gains
tax beginning April 1, 2018. Long-term capital gains on the sale of listed
shares in excess of INR 0.1 million are taxed at the rate of 10% (plus
applicable surcharge and cess (which is a type of tax)) subject to satisfaction
of certain conditions. Long-term capital gains accruing as of January 31, 2018
are considered exempt due to a grandfather clause in the provision. The
aforesaid exemption from long-term capital gains tax is available with respect
to shares acquired between October 1, 2004 and March 31, 2018 only if on such
acquisitions Securities Transaction Tax ("STT") was chargeable. Certain
exceptions in this regard, such as acquisition of shares in a public offer,
bonus, rights issued, etc. for which the condition of chargeability of STT on
acquisition is not applicable, have been notified.


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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

In the case of the sale of listed shares held by a Fund for one year or less,
the income is classified as short-term capital gains and is taxable at 15% (plus
applicable surcharge and cess) provided the shares are sold on the stock
exchange and subjected to STT. For above purposes, the applicable rate of
surcharge is 2% or 5% (depending on the level of income of the Fund). The
Finance Bill, 2018 increases the cess imposed on the sum of tax and surcharge
from 3% to 4%. The cess 4% rate is applied to the capital gains tax, resulting
in a higher effective rate of capital gains tax.

Where the sale of shares is outside the stock exchange and not subject to STT,
the long-term capital gains are taxed at 10% (plus applicable surcharge and
cess) and short-term capital gains are taxed at 30% (plus applicable surcharge
and cess). The Finance Bill, 2018, approves the carry forward of long-term
capital losses to be offset against long-term capital gains. Short-term losses
can be netted against both short-term gains and long-term gains.

Until March 31, 2020, dividends received by a Fund from Indian companies were
exempt from tax in India because Indian companies were required to pay dividend
distribution tax. The Indian Finance Act, 2020 has amended the dividend taxation
framework effective April 1, 2020 and accordingly dividends would now be taxable
in the hands of the shareholders at 20%, plus applicable surcharge and cess.
Subsequent to the Indian Finance Act, 2020, "The Taxation and Other Laws
(Relaxation and Amendment of Certain Provisions) Bill, 2020" (the "Bill") was
enacted into law and is effective retroactively to April 1, 2020. The Bill caps
the maximum surcharge at 15% of the tax on dividend income earned by the Fund.
The highest effective tax rate proposed for non-corporate entities on dividends
will be 23.92%. Note the Fund will not obtain relief under the US-India tax
treaty as the treaty rate of 25% is higher than the domestic rate. Any excess
taxes withheld can be off-set against capital gains tax liability during the
year or claimed as a refund in the annual tax return.

Please note that the above description is based on current provisions of Indian
law, and any change or modification made by subsequent legislation, regulation,
or administrative or judicial decision could increase the Indian tax liability
of a Fund and thus reduce the return to a Fund's shareholders. There can be no
assurance that the Indian tax authorities and/or regulators will not take a
position contrary to the views expressed herein. If the Indian tax authorities
and/or regulators take a position contrary to the views expressed herein,
adverse unpredictable consequences may follow.

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

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



                                                                        Non-Expiring
                                                                        Capital Loss
                                                                       Carryforwards
                                                                     ------------------
                                                                    
First Trust NASDAQ-100 Equal Weighted Index Fund                       $   41,657,511
First Trust NASDAQ-100-Technology Sector Index Fund                        87,032,982
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                     12,461,720
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund               102,551,191
First Trust S&P REIT Index Fund                                               917,724
First Trust Water ETF                                                       7,085,901
First Trust Natural Gas ETF                                               514,196,506
First Trust Chindia ETF                                                    84,735,549
First Trust NASDAQ(R) ABA Community Bank Index Fund                        11,584,896



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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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



                                                                        Capital Loss
                                                                        Carryforward
                                                                          Utilized
                                                                     ------------------
                                                                    
First Trust NASDAQ-100-Technology Sector Index Fund                    $      647,941
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                      1,583,963
First Trust S&P REIT Index Fund                                             1,201,443
First Trust Water ETF                                                       5,562,787
First Trust Natural Gas ETF                                                 3,639,247
First Trust NASDAQ(R) ABA Community Bank Index Fund                         1,628,972


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

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



                                                                                             Accumulated
                                                                        Accumulated          Net Realized
                                                                       Net Investment        Gain (Loss)            Paid-in
                                                                       Income (Loss)        on Investments          Capital
                                                                     ------------------   ------------------   ------------------
                                                                                                        
First Trust NASDAQ-100 Equal Weighted Index Fund                       $       26,676       $ (189,491,674)      $  189,464,998
First Trust NASDAQ-100-Technology Sector Index Fund                           165,359         (799,302,868)         799,137,509
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                             --          (15,572,565)          15,572,565
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund                13,002,282         (315,407,419)         302,405,137
First Trust S&P REIT Index Fund                                                76,356           (4,354,190)           4,277,834
First Trust Water ETF                                                              --          (82,978,172)          82,978,172
First Trust Natural Gas ETF                                                (1,168,042)         (76,606,392)          77,774,434
First Trust Chindia ETF                                                       472,328          (61,847,060)          61,374,732
First Trust NASDAQ(R) ABA Community Bank Index Fund                                --           (7,619,272)           7,619,272


H. EXPENSES

Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. 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 NASDAQ-100 Equal Weighted Index Fund                Nasdaq, Inc.
First Trust NASDAQ-100-Technology Sector Index Fund             Nasdaq, Inc.
First Trust NASDAQ-100 Ex-Technology Sector Index Fund          Nasdaq, Inc.
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund     Nasdaq, Inc. and Clean Edge(R)
First Trust S&P REIT Index Fund                                 S&P Dow Jones Indices LLC
First Trust Water ETF                                           International Securities Exchange, LLC
First Trust Natural Gas ETF                                     International Securities Exchange, LLC
First Trust Chindia ETF                                         International Securities Exchange, LLC
First Trust NASDAQ(R) ABA Community Bank Index Fund             Nasdaq, Inc. and American Bankers Association



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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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

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

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

For these services, First Trust is entitled to receive monthly fees from each
Fund calculated at the following annual rates:



                                                                  % of Average
                                                                Daily Net Assets
                                                                ----------------
                                                                  
First Trust NASDAQ-100 Equal Weighted Index Fund                     0.40%
First Trust NASDAQ-100-Technology Sector Index Fund                  0.40%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund               0.40%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund          0.40%
First Trust S&P REIT Index Fund                                      0.30%
First Trust Water ETF                                                0.40%
First Trust Natural Gas ETF                                          0.40%
First Trust Chindia ETF                                              0.40%
First Trust NASDAQ(R) ABA Community Bank Index Fund                  0.40%


The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2023.



                                                                  Expense Cap
                                                                ----------------
                                                                  
First Trust NASDAQ-100 Equal Weighted Index Fund                     0.60%
First Trust NASDAQ-100-Technology Sector Index Fund                  0.60%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund               0.60%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund          0.60%
First Trust S&P REIT Index Fund                                      0.50%
First Trust Water ETF                                                0.60%
First Trust Natural Gas ETF                                          0.60%
First Trust Chindia ETF                                              0.60%
First Trust NASDAQ(R) ABA Community Bank Index Fund                  0.60%


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


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                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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



                                                                                     Fees Waived or Expenses Borne by
                                                                                     First Trust Subject to Recovery
                                                                             ------------------------------------------------
                                                 Advisory                       Year         Year         Year
                                                    Fee         Expense        Ended        Ended        Ended
                                                  Waivers    Reimbursement   12/31/2019   12/31/2020   12/31/2021     Total
                                                 ---------   -------------   ----------   ----------   ----------   ---------
                                                                                                  
First Trust NASDAQ-100 Ex-Technology Sector
   Index Fund                                    $  23,534   $          --   $   34,524   $   24,666   $   23,534   $  82,724
First Trust S&P REIT Index Fund                     14,335              --       22,365       24,447       14,335      61,147
First Trust Natural Gas ETF                          9,649              --       41,266       59,597        9,649     110,512
First Trust NASDAQ(R) ABA Community Bank
   Index Fund                                       32,356              --           --       31,508       32,356      63,864


During the fiscal year ended December 31, 2021, First Trust recovered fees that
were previously waived from First Trust NASDAQ(R) Clean Edge(R) Green Energy
Index Fund of $78,177. As of December 31, 2021, the Fund did not have any
remaining fees previously waived or expenses reimbursed that were subject to
recovery.

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

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

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

                      4. PURCHASES AND SALES OF SECURITIES

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



                                                                     Purchases           Sales
                                                                  ---------------   ---------------
                                                                              
First Trust NASDAQ-100 Equal Weighted Index Fund                  $   302,968,281   $   301,248,088
First Trust NASDAQ-100-Technology Sector Index Fund                   918,025,074       921,540,704
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                 36,000,647        35,878,313
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund           780,654,450       784,343,384
First Trust S&P REIT Index Fund                                        10,238,678         8,695,616
First Trust Water ETF                                                 161,241,105       160,668,329
First Trust Natural Gas ETF                                           113,024,563       114,423,787
First Trust Chindia ETF                                                91,165,134        90,890,378
First Trust NASDAQ(R) ABA Community Bank Index Fund                    28,339,248        28,196,776



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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

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



                                                                     Purchases           Sales
                                                                  ---------------   ---------------
                                                                              
First Trust NASDAQ-100 Equal Weighted Index Fund                  $   455,901,237   $   439,993,765
First Trust NASDAQ-100-Technology Sector Index Fund                 1,498,623,387     1,646,400,140
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                  8,830,530        33,734,294
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund         1,748,134,023       622,923,997
First Trust S&P REIT Index Fund                                       151,483,799        34,375,457
First Trust Water ETF                                                 801,472,105       168,809,041
First Trust Natural Gas ETF                                           388,976,741       177,985,464
First Trust Chindia ETF                                                59,500,833       168,887,389
First Trust NASDAQ(R) ABA Community Bank Index Fund                    41,720,694        36,065,775


                 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES

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

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

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

                              6. DISTRIBUTION PLAN

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

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


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

                        FIRST TRUST EXCHANGE-TRADED FUND
                               DECEMBER 31, 2021

                               7. INDEMNIFICATION

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

                              8. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.


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

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

OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS

We have audited the accompanying statements of assets and liabilities of First
Trust NASDAQ-100 Equal Weighted Index Fund, First Trust NASDAQ-100-Technology
Sector Index Fund, First Trust NASDAQ-100 Ex-Technology Sector Index Fund, First
Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund, First Trust S&P REIT
Index Fund, First Trust Water ETF, First Trust Natural Gas ETF, First Trust
Chindia ETF, and First Trust NASDAQ(R) ABA Community Bank Index Fund (the
"Funds"), each a series of First Trust Exchange-Traded Fund, including the
portfolios of investments, as of December 31, 2021, the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended, the financial highlights for
each of the five years in the period then ended, and the related notes. In our
opinion, the financial statements and financial highlights present fairly, in
all material respects, the financial position of each of the Funds as of
December 31, 2021, and the results of their operations for the year then ended,
the changes in their net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the period
then ended in conformity with accounting principles generally accepted in the
United States of America.

BASIS FOR OPINION

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

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

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

/s/ Deloitte & Touche LLP

Chicago, Illinois
February 23, 2022

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


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

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

                      PROXY VOTING POLICIES AND PROCEDURES

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

                               PORTFOLIO HOLDINGS

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

                            FEDERAL TAX INFORMATION

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



                                                                          Dividends Received Deduction
                                                                          ----------------------------
                                                                                 
First Trust NASDAQ-100 Equal Weighted Index Fund                                    100.00%
First Trust NASDAQ-100-Technology Sector Index Fund                                 100.00%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                              100.00%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund                          44.96%
First Trust S&P REIT Index Fund                                                       0.00%
First Trust Water ETF                                                               100.00%
First Trust Natural Gas ETF                                                          84.93%
First Trust Chindia ETF                                                               0.00%
First Trust NASDAQ(R) ABA Community Bank Index Fund                                 100.00%


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



                                                                           Qualified Dividend Income
                                                                          ----------------------------
                                                                                 
First Trust NASDAQ-100 Equal Weighted Index Fund                                    100.00%
First Trust NASDAQ-100-Technology Sector Index Fund                                 100.00%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund                              100.00%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund                          58.52%
First Trust S&P REIT Index Fund                                                       0.00%
First Trust Water ETF                                                               100.00%
First Trust Natural Gas ETF                                                          84.93%
First Trust Chindia ETF                                                               0.00%
First Trust NASDAQ(R) ABA Community Bank Index Fund                                 100.00%


A portion of each of the Funds' 2021 ordinary dividends (including short-term
capital gains) paid to its shareholders during the fiscal year ended December
31, 2021, may be eligible for the Qualified Business Income Deduction (QBI)
under Internal Revenue Code of 1986, as amended (the "Code"), Section 199A for
the aggregate dividends each Fund received from the underlying Real Estate
Investment Trusts (REITs) these Funds invest in.

                              RISK CONSIDERATIONS

RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.


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

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

CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.

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

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

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

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


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

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

cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.

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

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

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

LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a
reference rate over a phase-out period that will begin immediately after
December 31, 2021. The unavailability or replacement of LIBOR may affect the
value, liquidity or return on certain fund investments and may result in costs
incurred in connection with closing out positions and entering into new trades.
Any potential effects of the transition away from LIBOR on the fund or on
certain instruments in which the fund invests can be difficult to ascertain, and
they may vary depending on a variety of factors, and they could result in losses
to the fund.

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

MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. While the development of
vaccines has slowed the spread of the virus and allowed for the resumption of
"reasonably" normal business activity in the United States, many countries
continue to impose lockdown measures in an attempt to slow the spread.
Additionally, there is no guarantee that vaccines will be effective against
emerging variants of the disease.

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


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

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

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.

VARIABLE INTEREST ENTITIES RISK. In order to gain exposure to certain Chinese
companies that are included in a Fund's Index but are unavailable to direct
investment by foreign investors, certain Funds invest significantly in
non-Chinese shell companies that have created structures known as variable
interest entities ("VIEs") in order to gain exposure to such Chinese companies.
In China, direct ownership of companies in certain sectors by foreign
individuals and entities is prohibited. In order to allow for foreign investment
in these businesses, many Chinese companies have created VIE structures to
enable indirect foreign ownership. In such an arrangement, a Chinese operating
company typically establishes an offshore shell company in another jurisdiction,
such as the Cayman Islands. That shell company enters into service and other
contracts with the Chinese issuer or operating company to obtain economic
exposure to the Chinese company, then issues shares on an exchange outside of
mainland China, and U.S. investors hold stock in the non-Chinese shell company
rather than directly in the Chinese issuer or operating company. This
arrangement allows U.S. investors, such as the Fund, to obtain economic exposure
to the Chinese issuer or operating company through contractual means rather than
through formal equity ownership. Because neither the shell company nor the Fund
owns actual equity interests in the Chinese operating company, they do not have
the voting rights or other types of control that an equity holder would expect
to benefit from. Although VIEs are a longstanding industry practice and well
known to officials and regulators in China, VIEs are not formally recognized
under Chinese law. Intervention by the Chinese government with respect to VIEs
could significantly affect the Chinese company's performance and the
enforceability of the VIE's contractual arrangements that establish the links
between the Chinese company and the shell company in which the Fund invests.
This could considerably impact the financial condition of the shell company in
which the Fund invests by limiting its ability to consolidate the financial
results of the Chinese operating company into its own financial statements, as
well as make the value of the shares held by the Fund effectively worthless.
Further, if Chinese officials prohibit the existence of VIEs, the market value
of the Fund's associated holdings would likely suffer significant, and possibly
permanent effects, which could negatively impact the Fund's net asset value and
could result in substantial losses. Further, it is uncertain whether any new
laws, rules or regulations relating to VIE structures will be adopted or, if
adopted, what impact they would have on the value of the Fund's shares.

VIEs are also subject to the investment risks associated with the underlying
Chinese issuer or operating company. Chinese companies are not subject to the
same degree of regulatory requirements or accounting standards and oversight as
companies in more developed countries. As a result, information about the
Chinese securities and VIEs in which the Fund invests may be less reliable and
incomplete. There also may be significant obstacles to obtaining information
necessary for investigations into or litigation against Chinese companies and
VIEs, and shareholders may have limited legal remedies, which could negatively
impact the Fund. Additionally, U.S.-listed VIEs may be delisted if they do not
meet U.S. accounting standards and auditor oversight requirements. Delisting
would significantly decrease the liquidity and value of the securities, decrease
the ability of the Fund to invest in such securities and may increase the cost
of the Fund if required to seek alternative markets in which to invest in such
securities.

          NOT FDIC INSURED     NOT BANK GUARANTEED     MAY LOSE VALUE

                                  REMUNERATION

First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of
certain First Trust Exchange-Traded Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.

During the year ended December 31, 2021, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $5,069,026.
This figure is comprised of $195,059 paid (or to be paid) in fixed compensation
and $4,873,967 paid (or to be paid) in variable compensation. There were a total
of 24 beneficiaries of the remuneration described above. Those amounts include
$2,603,118 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $2,465,908 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").


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

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

Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:

      i.    to provide a clear link between remuneration and performance of
            First Trust and to avoid rewarding for failure;

      ii.   to promote sound and effective risk management consistent with the
            risk profiles of the Funds managed by First Trust; and

      iii.  to remunerate staff in line with the business strategy, objectives,
            values and interests of First Trust and the Funds managed by First
            Trust in a manner that avoids conflicts of interest.

First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.

First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.

The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.

No individual is involved in setting his or her own remuneration.


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

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

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

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



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

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

Denise M. Keefe, Trustee      o Indefinite Term  Executive Vice President, Advocate Aurora       216        Director and Board Chair
(1964)                                           Health and President, Advocate Aurora                      of Advocate Home Health
                                                                                                            Services, Advocate Home
                              o Since 2021       Continuing Health Division (Integrated                     Care Products and
                                                 Healthcare System)                                         Advocate Hospice;
                                                                                                            Director and Board Chair
                                                                                                            of Aurora At Home
                                                                                                            (since 2018); Director
                                                                                                            of Advocate
                                                                                                            Physician Partners
                                                                                                            Accountable Care
                                                                                                            Organization; Director
                                                                                                            and Board Chair of
                                                                                                            RML Long Term
                                                                                                            Acute Care Hospitals;
                                                                                                            and Director of Senior
                                                                                                            Helpers (since 2021)

Robert F. Keith, Trustee      o Indefinite Term  President, Hibs Enterprises (Financial          216        Director of Trust
(1956)                                           and Management Consulting)                                 Company of Illinois
                              o Since Inception

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

------------------------------------------------------------------------------------------------------------------------------------
                                                         INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee,   o Indefinite Term  Chief Executive Officer, First Trust
Chairman of the Board                            Advisors L.P. and First Trust Portfolios        216        None
(1955)                                           L.P., Chairman of the Board of
                              o Since Inception  Directors, BondWave LLC (Software
                                                 Development Company) and Stonebridge
                                                 Advisors LLC (Investment Advisor)


-----------------------------
(1)   Mr. Bowen is deemed an "interested person" of the Trust due to his
      position as Chief Executive Officer of First Trust Advisors L.P.,
      investment advisor of the Trust.


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

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



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


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


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


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


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

                                                   o Assistant Secretary
                                                     Since Inception


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


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


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


                                                                         Page 79





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

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

                                 PRIVACY POLICY

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

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

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

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

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

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

INFORMATION COLLECTED

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

DISCLOSURE OF INFORMATION

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

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

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

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

USE OF WEBSITE ANALYTICS

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

CONFIDENTIALITY AND SECURITY

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

POLICY UPDATES AND INQUIRIES

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

March 2021


Page 80





FIRST TRUST

First Trust Exchange-Traded Fund

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

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

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

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





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