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.

-----------------------------
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)

-----------------------------------------------------------
                                           % 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%
                                             =======

-----------------------------------------------------------
                                           % 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. Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 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. ------------------------------------------------------------------------------------------------------------------------------------ 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% ------------------------------------------------------------------------------------------------------------------------------------ (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 -------------------------------------------------------------------------------- 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: Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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. Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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 Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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 -- -- Page 64 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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. Page 65 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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 Page 66 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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 Page 67 -------------------------------------------------------------------------------- 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. Page 68 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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 Page 69 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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. Page 70 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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. Page 71 -------------------------------------------------------------------------------- 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. Page 72 -------------------------------------------------------------------------------- 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. Page 73 -------------------------------------------------------------------------------- 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 Page 74 -------------------------------------------------------------------------------- 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. Page 75 -------------------------------------------------------------------------------- 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"). Page 76 -------------------------------------------------------------------------------- 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. Page 77 -------------------------------------------------------------------------------- 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. Page 78 -------------------------------------------------------------------------------- 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 [BLANK BACK COVER]