0001445546-19-003838.txt : 20190906 0001445546-19-003838.hdr.sgml : 20190906 20190906114419 ACCESSION NUMBER: 0001445546-19-003838 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20190630 FILED AS OF DATE: 20190906 DATE AS OF CHANGE: 20190906 EFFECTIVENESS DATE: 20190906 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED FUND CENTRAL INDEX KEY: 0001329377 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-21774 FILM NUMBER: 191078847 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001329377 S000010772 First Trust Dow Jones Select MicroCap Index Fund C000029773 First Trust Dow Jones Select MicroCap Index Fund FDM 0001329377 S000010976 First Trust Morningstar Dividend Leaders Index Fund C000030350 First Trust Morningstar Dividend Leaders Index Fund FDL 0001329377 S000010977 First Trust US Equity Opportunities ETF C000030351 First Trust US Equity Opportunities ETF FPX 0001329377 S000011047 First Trust NASDAQ-100 Equal Weighted Index Fund C000030477 First Trust NASDAQ-100 Equal Weighted Index Fund QQEW 0001329377 S000011048 First Trust NASDAQ-100-Technology Sector Index Fund C000030478 First Trust NASDAQ-100-Technology Sector Index Fund QTEC 0001329377 S000012478 First Trust NYSE Arca Biotechnology Index Fund C000033929 First Trust NYSE Arca Biotechnology Index Fund FBT 0001329377 S000012479 First Trust Dow Jones Internet Index Fund C000033930 First Trust Dow Jones Internet Index Fund FDN 0001329377 S000012555 First Trust Capital Strength ETF C000034137 First Trust Capital Strength ETF FTCS 0001329377 S000013259 First Trust Nasdaq-100 Ex-Technology Sector Index Fund C000035622 First Trust Nasdaq-100 Ex-Technology Sector Index Fund QQXT 0001329377 S000013797 First Trust Total US Market AlphaDEX ETF C000037851 First Trust Total US Market AlphaDEX ETF TUSA 0001329377 S000013817 First Trust Value Line Dividend Index Fund C000037913 First Trust Value Line Dividend Index Fund FVD 0001329377 S000015169 First Trust Nasdaq Clean Edge Green Energy Index Fund C000041643 First Trust Nasdaq Clean Edge Green Energy Index Fund QCLN 0001329377 S000017115 First Trust Value Line 100 Exchange-Traded Fund C000047485 First Trust Value Line 100 Exchange-Traded Fund FVL 0001329377 S000017163 First Trust S&P REIT Index Fund C000047557 First Trust S&P REIT Index Fund FRI 0001329377 S000017177 First Trust Natural Gas ETF C000047627 First Trust Natural Gas ETF FCG 0001329377 S000017178 First Trust Water ETF C000047628 First Trust Water ETF FIW 0001329377 S000017179 First Trust Chindia ETF C000047629 First Trust Chindia ETF FNI 0001329377 S000026211 First Trust NASDAQ ABA Community Bank Index Fund C000078718 First Trust NASDAQ ABA Community Bank Index Fund QABA 0001329377 S000035456 First Trust Dorsey Wright People's Portfolio ETF C000108867 First Trust Dorsey Wright People's Portfolio ETF DWPP 0001329377 S000058339 First Trust Dow 30 Equal Weight ETF C000191287 First Trust Dow 30 Equal Weight ETF EDOW 0001329377 S000062216 First Trust Lunt U.S. Factor Rotation ETF C000201408 First Trust Lunt U.S. Factor Rotation ETF FCTR N-CSRS 1 etf1_ncsrs.txt SEMI-ANNUAL REPORT TO SHAREHOLDERS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-21774 ----------- First Trust Exchange-Traded Fund -------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (630) 765-8000 ---------------- Date of fiscal year end: December 31 ------------- Date of reporting period: June 30, 2019 --------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: FIRST TRUST First Trust Exchange-Traded Fund Book 1 First Trust Dow Jones Select MicroCap Index Fund (FDM) First Trust Morningstar Dividend Leaders Index Fund (FDL) First Trust US Equity Opportunities ETF (FPX) First Trust NYSE Arca Biotechnology Index Fund (FBT) First Trust Dow Jones Internet Index Fund (FDN) First Trust Capital Strength ETF (FTCS) First Trust Value Line(R) Dividend Index Fund (FVD) First Trust Value Line(R) 100 Exchange-Traded Fund (FVL) Semi-Annual Report For the Six Months Ended June 30, 2019 -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2019 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 4 First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 6 First Trust US Equity Opportunities ETF (FPX)............................ 8 First Trust NYSE Arca Biotechnology Index Fund (FBT)..................... 10 First Trust Dow Jones Internet Index Fund (FDN).......................... 12 First Trust Capital Strength ETF (FTCS).................................. 14 First Trust Value Line(R) Dividend Index Fund (FVD)...................... 16 First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)................. 18 Notes to Fund Performance Overview.......................................... 20 Understanding Your Fund Expenses............................................ 21 Portfolio of Investments First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 23 First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 28 First Trust US Equity Opportunities ETF (FPX)............................ 30 First Trust NYSE Arca Biotechnology Index Fund (FBT)..................... 33 First Trust Dow Jones Internet Index Fund (FDN).......................... 34 First Trust Capital Strength ETF (FTCS).................................. 36 First Trust Value Line(R) Dividend Index Fund (FVD)...................... 38 First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)................. 42 Statements of Assets and Liabilities........................................ 44 Statements of Operations.................................................... 46 Statements of Changes in Net Assets......................................... 48 Financial Highlights........................................................ 52 Notes to Financial Statements............................................... 56 Additional Information...................................................... 65 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 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 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2019 Dear Shareholders: One thing we can all agree on and expect: headline news coming out of Washington, DC continues to influence the financial markets. As January 2019 unfolded, the longest partial government shutdown in U.S. history was wrapping up while we were beginning to learn about President Trump's approach to international trade policy. By June's end, trade talks with China were reengaging and the threat of 5% tariffs on Mexican imports was averted. Investors breathed a collective sigh of relief and, once again, the free market began to rally. At the Markets' close on June 28, 2019, both U.S. and world equities had performed resiliently, as indicated by the S&P 500(R) Index and the MSCI All Country World Index returns of 18.54% and 16.23%, respectively, for the calendar year-to-date. Bonds, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 6.11%, for the same period. The 10-Year U.S. Treasury Note yield fell from over 3% in late 2018 to just above 2% for the six-month period ended June 30, 2019 and the Federal Reserve has clearly indicated that another rate cut is on the way. Despite the ongoing bluster of the news cycle, we believe the economy is doing well and productivity growth, due to deregulation and lower taxes on corporate profits, has improved over the last two years. o The Consumer Confidence Index of 121.5 for June remains strong. o The U.S. inflation rate hovers near 2%, on average, as it has for the last decade. o June's unemployment rate of 3.7% barely moved from May's 3.6%, the lowest level since December of 1969. Before you reach for the antacids due to the latest political equivocation, keep a balanced perspective in view. Remember, no one can predict the inevitable and expected market fluctuations. Speak periodically with your investment professional who can provide insight when it comes to investing and discovering opportunities when they arise. Thank you for giving First Trust the opportunity to be a part of your financial plan. We value our relationship with you. 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 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2019 (UNAUDITED) 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 over 25 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE ECONOMY/INVESTING The trade conflict between the U.S. and China was approaching 16-months-old at the close of June 2019. In our opinion, the most notable change in the first half of 2019 was the Trump Administration's ratcheting up of tariffs on roughly $200 billion of imported goods from China. On May 10, 2019, tariffs jumped from 10% to 25%. President Trump continues to threaten China with extending the tariffs to the remaining $300 billion or so in goods shipped to the U.S. annually. The ongoing dispute has become a drag on global growth, according to organizations such as the International Monetary Fund. While the U.S. economy continues to flourish relative to many other developed and emerging economies, recent data suggests that China's economy is being stressed by the tariffs. China's gross domestic product rose at an annualized pace of 6.2% in the second quarter of 2019, the slowest growth rate in 27 years, according to MarketWatch. CNBC reported that, as of July 1, 2019, the current U.S. economic expansion will become the longest in its history, breaking the previous record of 120 months of growth from March 1991 to March 2001, according to data from the National Bureau of Economic Research. Investors continue to embrace exchange-traded funds (ETFs) and related exchange-traded products (ETPs). ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed globally stood at an all-time high of $5.64 trillion at the end of June 2019, up from $4.99 trillion at this point a year ago, according to its own release. In June 2019, net inflows to ETFs/ETPs listed globally totaled $68.95 billion, bringing year-to-date net inflows to $209.54 billion. U.S. STOCKS AND BONDS In the first half of 2019, three of the major U.S. stock indices posted 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 18.54%, 17.97%, and 13.69%, respectively, according to Bloomberg. The S&P 500(R) Index posted its best showing for the first half of a year since 1997, according to CNBC. All 11 major S&P 500(R) Index sectors posted positive total returns. The top-performing sectors were Information Technology, Consumer Discretionary, Industrials and Real Estate, up 27.13%, 21.84%, 21.38% and 20.42%, respectively, while the two sectors with the poorest showing, despite generating positive returns, were Health Care, up 8.07%, and Energy, up 13.13%. At the end of March 2019, both President Trump and White House economic advisor Larry Kudlow called on the Federal Reserve (the "Fed") to lower the federal funds target rate by 50 basis points ("bps"), according to CNBC. While the Fed has yet to make any rate cuts, bond investors, through their purchasing power, pushed the yield on the 10-year Treasury Note (T-Note) down from 2.50% at the close on April 30, 2019 to 2.01% on June 28, 2019, or 49 bps, according to Bloomberg. Investors have signaled to the Fed that they like the idea of a couple of rate cuts over the coming months. The Fed has indicated that it would consider easing rates if the U.S. economy were to weaken. In the U.S. bond market, all the major bond groups posted positive returns in the first half of 2019. The top-performing major debt group we track was high yield corporate bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total return of 9.94%. The worst-performing debt group that we track was government bonds. The Bloomberg Barclays U.S. Treasury: Intermediate Index posted a total return of 3.99%. FOREIGN STOCKS AND BONDS The U.S. dollar fell by 0.04% against a basket of major currencies in the first half of 2019, as measured by the U.S. Dollar Index. With respect to U.S. investors, a flat U.S. dollar would have little to no impact on the returns of foreign securities. In the first half of 2019, foreign stocks and bonds performed well. The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt posted a total return of 8.85% (USD), while the Bloomberg Barclays Global Aggregate Index of higher quality debt rose 5.57% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of 10.59% (USD), while the MSCI World ex USA Index posted a total return of 14.64% (USD). Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) The First Trust Dow Jones Select MicroCap 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 Dow Jones Select MicroCap Index(SM) (the "Index"). The Fund will normally invest at least 80% of its net assets (including investment borrowings) in common stocks of U.S. micro-capitalization companies which are publicly traded in the United States. The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index is designed to measure the performance of micro-cap stocks issued by U.S. companies that are comparatively liquid and have strong fundamentals relative to the micro-cap segment as a whole. The Index is rebalanced quarterly. The Fund's shares are listed for trading on the NYSE Arca, Inc. ("NYSE Arca"). The first day of secondary market trading in shares of the Fund was September 30, 2005.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (9/27/05) Ended Ended (9/27/05) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 11.67% -9.83% 8.37% 13.33% 7.11% 49.46% 249.43% 157.26% Market Value 11.69% -10.03% 8.34% 13.30% 7.10% 49.28% 248.44% 156.89% INDEX PERFORMANCE Dow Jones Select MicroCap Index(SM) 12.06% -9.28% 8.99% 14.03% 7.81% 53.82% 271.85% 181.41% Russell 2000(R) Index 16.98% -3.31% 7.06% 13.45% 7.96% 40.67% 253.13% 186.65% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 39.71% Consumer Discretionary 15.97 Industrials 13.24 Information Technology 8.34 Real Estate 6.02 Energy 5.35 Materials 3.39 Consumer Staples 3.17 Health Care 2.95 Communication Services 1.25 Utilities 0.61 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- CVR Energy, Inc. 1.80% Enphase Energy, Inc. 1.78 PennyMac Financial Services, Inc. 1.67 Veritex Holdings, Inc. 1.46 K12, Inc. 1.40 TPG RE Finance Trust, Inc. 1.32 World Acceptance Corp. 1.28 Arbor Realty Trust, Inc. 1.25 Boot Barn Holdings, Inc. 1.25 NexPoint Residential Trust, Inc. 1.09 ------- Total 14.30% ======= ----------------------------- Dow Jones and Dow Jones Select MicroCap Index(SM) are products of S&P Dow Jones Indices LLC ("SPDJI"), and have been licensed for use by First Trust on behalf of the Fund. The Fund, based on the Dow Jones Select MicroCap Index(SM), is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones Trademark Holdings LLC ("Dow Jones") or their respective affiliates, and SPDJI, Dow Jones and their respective affiliates make no representation regarding the advisability of trading in the Fund. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust Dow Jones Select MicroCap Dow Jones Select Russell 2000(R) Index Fund MicroCap Index(SM) Index 12/08 $10,000 $10,000 $10,000 06/09 9,791 9,820 10,264 12/09 12,085 12,189 12,717 06/10 11,748 11,877 12,469 12/10 15,198 15,410 16,132 06/11 15,709 15,985 17,134 12/11 13,879 14,153 15,460 06/12 14,773 15,114 16,779 12/12 16,082 16,515 17,987 06/13 18,694 19,255 20,840 12/13 23,048 23,822 24,970 06/14 22,894 23,736 25,767 12/14 23,757 24,695 26,192 06/15 24,992 26,053 27,436 12/15 23,890 24,993 25,035 06/16 24,487 25,688 25,591 12/16 32,360 34,037 30,371 06/17 32,561 34,326 31,887 12/17 35,094 37,113 34,821 06/18 37,947 40,245 37,488 12/18 30,637 32,584 30,983 06/19 34,211 36,514 36,244
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 93 1 0 0 01/01/15 - 12/31/15 112 0 0 0 01/01/16 - 12/31/16 133 0 0 0 01/01/17 - 12/31/17 180 0 0 0 01/01/18 - 12/31/18 164 4 0 1 01/01/19 - 06/30/19 42 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 158 0 0 0 01/01/15 - 12/31/15 140 0 0 0 01/01/16 - 12/31/16 119 0 0 0 01/01/17 - 12/31/17 71 0 0 0 01/01/18 - 12/31/18 81 1 0 0 01/01/19 - 06/30/19 82 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) The First Trust Morningstar Dividend Leaders 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 Morningstar(R) Dividend Leaders Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index is designed to measure the performance of the 100 highest-yielding stocks that have a consistent record of dividend payment and have the ability to sustain their dividend payments from the securities comprising the Morningstar(R) US Market Index(SM). The Index is rebalanced quarterly. 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 March 15, 2006.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (3/9/06) Ended Ended (3/9/06) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 14.28% 11.26% 8.87% 13.76% 7.21% 52.93% 262.89% 152.61% Market Value 14.32% 10.91% 8.86% 13.76% 7.21% 52.86% 262.86% 152.53% INDEX PERFORMANCE Morningstar(R) Dividend Leaders Index(SM) 14.63% 11.78% 9.40% 14.33% 7.74% 56.68% 281.73% 169.75% S&P 500(R) Index 18.54% 10.42% 10.71% 14.70% 8.76% 66.33% 294.16% 205.85% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Energy 22.53% Communication Services 17.61 Financials 12.09 Consumer Staples 10.81 Information Technology 8.61 Utilities 7.88 Consumer Discretionary 7.84 Health Care 6.57 Industrials 3.51 Materials 2.55 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- AT&T, Inc. 10.17% Exxon Mobil Corp. 10.05 Verizon Communications, Inc. 7.10 Chevron Corp. 6.71 Wells Fargo & Co. 5.56 Philip Morris International, Inc. 5.16 International Business Machines Corp. 4.22 AbbVie, Inc. 4.18 Altria Group, Inc. 3.94 Broadcom, Inc. 3.09 ------- Total 60.18% ======= ----------------------------- Morningstar(R) is a service mark of Morningstar, Inc. and has been licensed for use by First Trust on behalf of the Fund. The Fund is not sponsored, endorsed, issued, sold or promoted by Morningstar, Inc., nor does this company make any representation regarding the advisability of investing in the Fund. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust Morningstar Morningstar(R) Dividend Leaders Dividend S&P 500(R) Index Fund Leaders Index(SM) Index 12/08 $10,000 $10,000 $10,000 06/09 9,445 9,470 10,315 12/09 11,425 11,480 12,644 06/10 10,907 10,984 11,803 12/10 13,257 13,393 14,550 06/11 14,294 14,479 15,424 12/11 15,172 15,406 14,855 06/12 16,427 16,737 16,265 12/12 16,558 16,909 17,233 06/13 18,869 19,322 19,615 12/13 20,320 20,860 22,814 06/14 22,411 23,073 24,443 12/14 22,953 23,687 25,939 06/15 22,258 23,019 26,258 12/15 23,580 24,439 26,297 06/16 27,051 28,120 27,307 12/16 28,466 29,653 29,445 06/17 29,297 30,602 32,198 12/17 31,863 33,365 35,878 06/18 30,805 32,341 36,832 12/18 29,992 31,538 34,298 06/19 34,274 36,152 40,664
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 190 0 0 0 01/01/15 - 12/31/15 151 0 0 0 01/01/16 - 12/31/16 161 0 0 0 01/01/17 - 12/31/17 131 0 0 0 01/01/18 - 12/31/18 140 1 0 0 01/01/19 - 06/30/19 94 1 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 62 0 0 0 01/01/15 - 12/31/15 101 0 0 0 01/01/16 - 12/31/16 91 0 0 0 01/01/17 - 12/31/17 120 0 0 0 01/01/18 - 12/31/18 108 2 0 0 01/01/19 - 06/30/19 29 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) The First Trust US Equity Opportunities 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 IPOX(R)-100 U.S. Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index seeks to measure the performance of the equity securities of the 100 largest and typically most liquid initial public offerings ("IPOs") (including spin-offs and equity carve-outs) of U.S. companies. The Index is rebalanced quarterly. 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 April 13, 2006.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/12/06) Ended Ended (4/12/06) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 25.81% 9.73% 10.91% 18.29% 11.75% 67.81% 436.61% 333.98% Market Value 25.89% 9.67% 10.91% 18.39% 11.75% 67.81% 440.82% 334.10% INDEX PERFORMANCE IPOX(R)-100 U.S. Index 26.14% 10.31% 11.49% 18.98% 12.40% 72.28% 468.41% 368.83% S&P 500(R) Index 18.54% 10.42% 10.71% 14.70% 8.71% 66.33% 294.16% 201.67% Russell 3000(R) Index 18.71% 8.98% 10.19% 14.67% 8.63% 62.46% 293.01% 198.66% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 32.91% Health Care 19.05 Communication Services 13.74 Consumer Staples 9.96 Consumer Discretionary 7.58 Industrials 5.96 Utilities 3.53 Real Estate 3.01 Financials 1.86 Materials 1.23 Energy 1.17 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- PayPal Holdings, Inc. 8.96% Thermo Fisher Scientific, Inc. 4.31 Stryker Corp. 4.10 Verizon Communications, Inc. 3.94 Worldpay, Inc., Class A 2.79 Sempra Energy 2.51 Takeda Pharmaceutical Co., Ltd., ADR 2.42 Hershey (The) Co. 2.33 Tyson Foods, Inc., Class A 2.22 Keurig Dr Pepper, Inc. 2.17 ------- Total 35.75% ======= ----------------------------- The Fund is not sponsored, endorsed, sold or promoted by IPOX(R). IPOX(R) makes no representation or warranty, express or implied, to the owners of the Fund or any member of the public regarding the advisability of trading in the Fund. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust US Equity IPOX(R)-100 S&P 500(R) Russell 3000(R) Opportunities ETF U.S. Index Index Index 12/08 $10,000 $10,000 $10,000 $10,000 06/09 11,336 11,385 10,316 10,420 12/09 14,493 14,597 12,645 12,834 06/10 13,634 13,775 11,803 12,058 12/10 17,142 17,383 14,550 15,007 06/11 18,839 19,170 15,426 15,960 12/11 17,673 18,041 14,857 15,160 06/12 20,066 20,545 16,267 16,573 12/12 22,978 23,592 17,235 17,649 06/13 26,836 27,622 19,617 20,130 12/13 34,004 35,124 22,817 23,570 06/14 36,252 37,565 24,446 25,206 12/14 38,054 39,548 25,942 26,529 06/15 41,342 43,092 26,261 27,044 12/15 38,886 40,653 26,300 26,657 06/16 38,633 40,482 27,309 27,622 12/16 41,492 43,595 29,451 30,056 06/17 45,927 48,373 32,202 32,740 12/17 52,678 55,629 35,879 36,407 06/18 55,433 58,661 36,830 37,579 12/18 48,349 51,299 34,307 34,498 06/19 60,828 64,711 40,663 40,950
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 158 0 0 0 01/01/15 - 12/31/15 172 0 0 0 01/01/16 - 12/31/16 118 0 0 0 01/01/17 - 12/31/17 179 0 0 0 01/01/18 - 12/31/18 157 3 1 0 01/01/19 - 06/30/19 102 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 94 0 0 0 01/01/15 - 12/31/15 80 0 0 0 01/01/16 - 12/31/16 134 0 0 0 01/01/17 - 12/31/17 72 0 0 0 01/01/18 - 12/31/18 87 3 0 0 01/01/19 - 06/30/19 22 0 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) The First Trust NYSE Arca Biotechnology 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 NYSE Arca Biotechnology Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index is an equal-dollar weighted index designed to measure the performance of a cross section of small, mid and large capitalization companies in the biotechnology industry that are primarily involved in the use of biological processes to develop products or provide services. Such processes include, but are not limited to, recombinant DNA technology, molecular biology, genetic engineering, monoclonal antibody-based technology, lipid/liposome technology and genomics. This Index is rebalanced quarterly. 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 June 23, 2006.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (6/19/06) Ended Ended (6/19/06) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 13.32% 0.54% 11.37% 20.87% 16.28% 71.32% 565.55% 613.58% Market Value 13.30% 0.53% 11.36% 20.87% 16.28% 71.29% 565.82% 613.53% INDEX PERFORMANCE NYSE Arca Biotechnology Index(SM) 13.62% 1.08% 11.88% 21.49% 16.90% 75.26% 600.34% 664.82% S&P Composite 1500(R) Health Care Index 8.40% 12.00% 11.03% 15.99% 11.44% 68.77% 340.72% 310.10% NASDAQ(R) Biotechnology Index 12.95% -0.20% 5.44% 16.80% 13.05% 30.32% 372.54% 394.20% S&P 500(R) Index 18.54% 10.42% 10.71% 14.70% 9.13% 66.33% 294.16% 212.26% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Biotechnology 78.35% Life Sciences Tools & Services 18.02 Pharmaceuticals 3.63 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Sarepta Therapeutics, Inc. 4.21% Exact Sciences Corp. 4.14 IQVIA Holdings, Inc. 3.91 Illumina, Inc. 3.73 Incyte Corp. 3.72 ACADIA Pharmaceuticals, Inc. 3.67 Grifols S.A., ADR 3.66 Nektar Therapeutics 3.63 Bio-Techne Corp. 3.56 Vertex Pharmaceuticals, Inc. 3.53 ------- Total 37.76% ======= ----------------------------- The NYSE Arca Biotechnology Index(SM) is a trademark of NYSE Group, Inc. or its affiliates ("NYSE Group, Inc.") and is licensed for use by First Trust. The Fund is not sponsored or endorsed by NYSE Group, Inc. NYSE Group, Inc. makes no representation or warranty, express or implied, to the owners of the Fund or any member of the public regarding the advisability of investing in the Fund or the ability of the Fund to track the performance of the various sectors represented in the stock market. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust NYSE NYSE Arca NASDAQ(R) S&P Composite Arca Biotechnology Biotechnology Biotechnology S&P 500(R) 1500(R) Health Index Fund Index(SM) Index Index Care Index 12/08 $10,000 $10,000 $10,000 $10,000 $10,000 06/09 10,756 10,773 10,285 10,316 10,094 12/09 14,487 14,559 11,584 12,646 12,075 06/10 15,679 15,810 10,995 11,805 11,198 12/10 19,831 20,053 13,351 14,552 12,703 06/11 22,252 22,572 15,266 15,428 14,506 12/11 16,587 16,866 14,964 14,859 14,213 06/12 22,256 22,703 18,678 16,269 15,846 12/12 23,373 23,906 19,796 17,237 16,822 06/13 29,504 30,243 25,117 19,619 20,289 12/13 35,083 36,050 32,856 22,819 23,919 06/14 41,784 42,982 37,295 24,448 26,359 12/14 51,795 53,323 44,160 25,944 29,849 06/15 63,024 64,990 53,784 26,263 32,894 12/15 57,472 59,394 49,357 26,302 32,062 06/16 45,506 47,171 37,635 27,312 32,248 12/16 46,207 48,020 38,821 29,448 31,403 06/17 57,934 60,356 45,553 32,198 36,575 12/17 63,299 66,120 47,220 35,875 38,459 06/18 71,199 74,524 48,703 36,826 39,720 12/18 63,174 66,400 43,029 34,304 41,038 06/19 71,595 75,444 48,596 40,663 44,484
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 183 0 0 0 01/01/15 - 12/31/15 159 0 0 0 01/01/16 - 12/31/16 129 1 0 0 01/01/17 - 12/31/17 136 0 0 0 01/01/18 - 12/31/18 156 1 2 1 01/01/19 - 06/30/19 67 1 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 69 0 0 0 01/01/15 - 12/31/15 93 0 0 0 01/01/16 - 12/31/16 122 0 0 0 01/01/17 - 12/31/17 115 0 0 0 01/01/18 - 12/31/18 88 3 0 0 01/01/19 - 06/30/19 56 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) The First Trust Dow Jones Internet 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 Dow Jones Internet Composite Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index is designed to measure the performance of the largest and most actively traded securities issued by U.S. companies in the Internet industry. The Index is rebalanced quarterly. 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 June 23, 2006.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (6/19/06) Ended Ended (6/19/06) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 23.18% 4.39% 19.26% 22.64% 16.38% 141.29% 669.77% 621.56% Market Value 23.11% 4.21% 19.26% 22.63% 16.37% 141.21% 669.09% 621.30% INDEX PERFORMANCE Dow Jones Internet Composite Index(SM) 23.68% 5.09% 19.90% 23.32% 17.01% 147.76% 713.31% 674.60% S&P 500(R) Index 18.54% 10.42% 10.71% 14.70% 9.13% 66.33% 294.16% 212.26% S&P Composite 1500(R) Information Technology Index 27.00% 14.03% 18.13% 18.40% 13.40% 130.08% 441.24% 414.51% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 40.26% Communication Services 31.92 Consumer Discretionary 20.08 Financials 5.09 Health Care 2.65 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Amazon.com, Inc. 10.00% Facebook, Inc., Class A 8.45 Netflix, Inc. 5.77 PayPal Holdings, Inc. 5.16 salesforce.com, Inc. 4.88 Alphabet, Inc., Class C 4.64 Alphabet, Inc., Class A 4.54 eBay, Inc. 3.29 Twitter, Inc. 2.83 VeriSign, Inc. 2.79 ------- Total 52.35% ======= ----------------------------- Dow Jones and Dow Jones Internet Composite Index(SM) are products of S&P Dow Jones Indices ("SPDJI") and have been licensed for use by First Trust. The Fund, based on the Dow Jones Internet Composite Index(SM), is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones Trademark Holdings LLC ("Dow Jones") or their respective affiliates and SPDJI, Dow Jones and their respective affiliates make no representation regarding the advisability of trading in the Fund. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust Dow Jones S&P Composite 1500(R) Dow Jones Internet Internet Composite S&P 500(R) Information Technology Index Fund Index(SM) Index Index 12/08 $ 10,000 $ 10,000 $10,000 $10,000 06/09 13,348 13,387 10,316 12,460 12/09 17,924 18,027 12,646 16,103 06/10 17,060 17,179 11,805 14,489 12/10 24,490 24,742 14,552 18,055 06/11 25,898 26,229 15,428 18,499 12/11 23,083 23,476 14,859 18,257 06/12 25,264 25,773 16,269 20,579 12/12 27,897 28,555 17,237 20,949 06/13 32,439 33,296 19,619 22,359 12/13 42,794 44,077 22,819 27,023 06/14 42,589 43,943 24,448 29,306 12/14 43,833 45,309 25,944 32,143 06/15 48,037 49,791 26,263 32,561 12/15 53,374 55,459 26,302 33,942 06/16 51,570 53,718 27,312 33,962 12/16 57,062 59,589 29,448 38,961 06/17 67,744 70,935 32,198 45,436 12/17 78,529 82,441 35,875 53,487 06/18 98,436 103,595 36,826 59,125 12/18 83,411 88,037 34,304 53,101 06/19 102,746 108,880 40,663 67,439
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 148 0 0 0 01/01/15 - 12/31/15 201 0 0 0 01/01/16 - 12/31/16 124 0 0 0 01/01/17 - 12/31/17 129 0 0 0 01/01/18 - 12/31/18 116 4 2 0 01/01/19 - 06/30/19 56 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 104 0 0 0 01/01/15 - 12/31/15 51 0 0 0 01/01/16 - 12/31/16 128 0 0 0 01/01/17 - 12/31/17 122 0 0 0 01/01/18 - 12/31/18 125 4 0 0 01/01/19 - 06/30/19 68 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CAPITAL STRENGTH ETF (FTCS) The First Trust Capital Strength 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 Capital Strength Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index seeks to provide exposure to well-capitalized companies with strong market positions that have the potential to provide their stockholders with a greater degree of stability and performance over time. The Index is rebalanced quarterly. The Fund's shares are listed for trading on the Nasdaq. The first day of secondary market trading in shares of the Fund was July 11, 2006.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (7/6/06) Ended Ended (7/6/06) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 17.57% 11.83% 11.47% 14.79% 9.96% 72.13% 297.12% 243.11% Market Value 17.51% 11.77% 11.44% 14.76% 9.96% 71.85% 296.32% 243.05% INDEX PERFORMANCE The Capital Strength Index(SM)* 18.00% 12.55% 12.20% N/A N/A 77.83% N/A N/A S&P 500(R) Index 18.54% 10.42% 10.71% 14.70% 8.93% 66.33% 294.16% 203.63% ------------------------------------------------------------------------------------------------------------------------------------
* On June 4, 2013, the Fund's underlying index changed from the Credit Suisse U.S. Value Index, Powered by HOLT(TM) to The Capital Strength Index(SM). On June 18, 2010, the Fund's underlying index changed from the Deutsche Bank CROCI(R) US+ Index(TM) to the Credit Suisse U.S. Value Index, Powered by HOLT(TM). Since the Fund's new underlying index had an inception date of March 20, 2013, it was not in existence for some of the periods disclosed. (See Notes to Fund Performance Overview on page 20.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 21.88% Health Care 19.02 Industrials 18.63 Financials 12.06 Consumer Discretionary 9.84 Consumer Staples 8.28 Communication Services 4.03 Materials 2.25 Real Estate 2.08 Energy 1.93 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Zoetis, Inc. 2.25% Merck & Co., Inc. 2.25 Air Products and Chemicals, Inc. 2.25 FleetCor Technologies, Inc. 2.19 Starbucks Corp. 2.17 Baxter International, Inc. 2.17 UnitedHealth Group, Inc. 2.16 Pfizer, Inc. 2.16 Mastercard, Inc., Class A 2.16 Visa, Inc., Class A 2.13 ------- Total 21.89% ======= ----------------------------- NASDAQ(R) and the Capital Strength Index(SM) are trademarks (the "Marks") of Nasdaq, Inc. (collectively with its affiliates, "NASDAQ"). The Marks are licensed for use by First Trust. The Fund has not been passed on by NASDAQ as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by NASDAQ. The Fund should not be construed in any way as investment advice by NASDAQ. NASDAQ MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE FUND. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CAPITAL STRENGTH ETF (FTCS) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust Capital S&P 500(R) Strength ETF Index 12/08 $10,000 $10,000 06/09 11,273 10,316 12/09 13,944 12,646 06/10 12,893 11,805 12/10 15,901 14,552 06/11 17,152 15,428 12/11 15,433 14,859 06/12 16,271 16,269 12/12 18,126 17,237 06/13 21,144 19,619 12/13 24,633 22,819 06/14 26,008 24,448 12/14 28,442 25,944 06/15 28,394 26,263 12/15 28,911 26,302 06/16 30,455 27,312 12/16 31,390 29,448 06/17 35,279 32,198 12/17 39,703 35,875 06/18 40,033 36,826 12/18 38,075 34,303 06/19 44,765 40,663
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 108 9 0 0 01/01/15 - 12/31/15 190 2 0 0 01/01/16 - 12/31/16 194 0 0 0 01/01/17 - 12/31/17 197 0 0 0 01/01/18 - 12/31/18 161 3 0 1 01/01/19 - 06/30/19 111 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 131 4 0 0 01/01/15 - 12/31/15 57 3 0 0 01/01/16 - 12/31/16 58 0 0 0 01/01/17 - 12/31/17 54 0 0 0 01/01/18 - 12/31/18 84 1 1 0 01/01/19 - 06/30/19 13 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) The First Trust Value Line(R) Dividend 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 Value Line(R) Dividend Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index seeks to measure the performance of the securities ranked #1 or #2 according to the Value Line Publishing, LLC's proprietary Value Line(R) Safety(TM) Ranking System that are also still expected to provide above-average dividend yield. The Index is rebalanced on a monthly basis. The Fund's shares are listed for trading on the NYSE Arca.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (8/19/03) Ended Ended (8/19/03) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 17.08% 13.94% 10.53% 14.46% 9.95% 64.99% 286.00% 350.67% Market Value 17.11% 13.90% 10.52% 14.45% 9.96% 64.90% 285.75% 350.80% INDEX PERFORMANCE Value Line(R) Dividend Index* 17.59% 14.82% 11.40% 15.38% N/A 71.59% 318.24% N/A S&P 500(R) Index 18.54% 10.42% 10.71% 14.70% 9.24% 66.33% 294.16% 306.50% Dow Jones U.S. Select Dividend Index(SM)* 13.64% 5.80% 9.22% 15.23% N/A 55.44% 312.85% N/A ------------------------------------------------------------------------------------------------------------------------------------
On December 15, 2006, the Fund acquired the assets and adopted the financial and performance history of First Trust Value Line(R) Dividend Fund (the "Predecessor FVD Fund," a closed-end fund), which had an inception date of August 19, 2003. The inception date total returns at net asset value ("NAV") include the sales load of $0.675 per share on the initial offering. The investment goals, strategies and policies of the Fund are substantially similar to those of the Predecessor FVD Fund. The inception date of the Index was July 3, 2006. Returns for the Index are only disclosed for those periods in which the Index was in existence for the entire period. The cumulative total returns for the period from the reorganization date (December 15, 2006) through period end (June 30, 2019) were 178.63% and 180.04% at NAV and Market Value, respectively. That compares to an Index return of 210.40% for the same period. The average annual total returns for the period from the reorganization date (December 15, 2006) through period end (June 30, 2019) were 8.51% and 8.56% at NAV and Market Value, respectively. That compares to an Index return of 9.39% for the same period. NAV and Market Value returns assume that all distributions have been reinvested in the Fund at NAV and Market Value, respectively. Prior to December 15, 2006, NAV and Market Value returns assumed that all distributions were reinvested at prices obtained by the Dividend Reinvestment Plan of the Predecessor FVD Fund and the price used to calculate Market Value return was the AMEX (now known as the NYSE American) closing market price of the Predecessor FVD Fund. * Performance data is not available for all the periods shown in the table because performance data does not exist for the periods shown. (See Notes to Fund Performance Overview on page 20.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Utilities 21.52% Financials 20.50 Industrials 14.15 Consumer Staples 11.75 Health Care 6.17 Consumer Discretionary 5.76 Information Technology 5.66 Real Estate 4.57 Communication Services 4.16 Materials 3.15 Energy 2.61 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Washington Federal, Inc. 0.55% Walgreens Boots Alliance, Inc. 0.55 Bank of Hawaii Corp. 0.55 Northwest Bancshares, Inc. 0.54 Park National Corp. 0.54 Phillips 66 0.54 MGE Energy, Inc. 0.54 Capitol Federal Financial, Inc. 0.54 Hubbell, Inc. 0.54 United Parcel Service, Inc., Class B 0.54 ------- Total 5.43% ======= ----------------------------- Value Line(R) and Safety(TM) are trademarks of Value Line, Inc. that are licensed to First Trust. The Fund is not sponsored, recommended, sold, or promoted by Value Line Publishing LLC, Value Line, Inc. or any of their affiliates. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust Value Line(R) Value Line(R) S&P 500(R) Dow Jones U.S. Select Dividend Index Fund Dividend Index Index Dividend Index(SM) 12/08 $10,000 $10,000 $10,000 $10,000 06/09 9,880 9,910 10,315 8,746 12/09 11,959 12,052 12,644 11,113 06/10 11,615 11,746 11,803 10,970 12/10 13,883 14,100 14,550 13,149 06/11 15,012 15,308 15,426 14,252 12/11 15,137 15,493 14,857 14,782 06/12 16,096 16,554 16,267 15,749 12/12 16,829 17,365 17,235 16,385 06/13 19,167 19,864 19,617 18,655 12/13 21,301 22,156 22,817 21,147 06/14 23,117 24,154 24,446 23,233 12/14 24,698 25,905 25,942 24,395 06/15 24,184 25,465 26,261 23,524 12/15 25,006 26,448 26,300 23,997 06/16 28,527 30,304 27,310 27,729 12/16 29,993 31,983 29,446 29,274 06/17 31,625 33,854 32,196 31,057 12/17 33,738 36,244 35,873 33,793 06/18 33,475 36,103 36,824 34,138 12/18 32,578 35,251 34,302 31,782 06/19 38,135 41,452 40,663 36,135
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 223 0 0 0 01/01/15 - 12/31/15 179 0 0 0 01/01/16 - 12/31/16 182 0 0 0 01/01/17 - 12/31/17 185 0 0 0 01/01/18 - 12/31/18 143 1 0 0 01/01/19 - 06/30/19 118 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 29 0 0 0 01/01/15 - 12/31/15 73 0 0 0 01/01/16 - 12/31/16 70 0 0 0 01/01/17 - 12/31/17 66 0 0 0 01/01/18 - 12/31/18 106 1 0 0 01/01/19 - 06/30/19 6 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) The First Trust Value Line(R) 100 Exchange-Traded 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 Value Line(R) 100 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 seeks to measure the performance of the 100 highest ranked securities according to Value Line Publishing, LLC's proprietary Value Line(R) Timeliness(TM) Ranking System. The Index is rebalanced quarterly. The Fund's shares are listed for trading on the NYSE Arca.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (6/12/03) Ended Ended (6/12/03) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 18.91% -1.91% 2.44% 10.22% 5.35% 12.82% 164.67% 130.99% Market Value 18.88% -2.04% 2.42% 10.21% 5.34% 12.72% 164.32% 130.69% INDEX PERFORMANCE Value Line(R) 100 Index* 19.39% -1.12% 3.39% 11.25% N/A 18.13% 190.49% N/A Russell 3000(R) Index 18.71% 8.98% 10.19% 14.67% 9.38% 62.46% 293.01% 321.79% ------------------------------------------------------------------------------------------------------------------------------------
On June 15, 2007, the Fund acquired the assets and adopted the financial and performance history of First Trust Value Line(R) 100 Fund (the "Predecessor FVL Fund," a closed-end fund), which had an inception date of June 12, 2003. The inception date total returns at NAV include the sales load of $0.675 per share on the initial offering. The investment goals, strategies and policies of the Fund are substantially similar to those of the Predecessor FVL Fund. The inception date of the Index was January 16, 2007. Returns for the Index are only disclosed for those periods in which the Index was in existence for the entire period. The cumulative total returns for the period from the reorganization date (June 15, 2007) through period end (June 30, 2019) were 40.21% and 40.03% at NAV and Market Value, respectively. That compares to an Index return of 57.23% for that same period. The average annual total returns for the period from the reorganization date (June 15, 2007) through period end (June 30, 2019) were 2.85% and 2.84% at NAV and Market Value, respectively. That compares to an Index return of 3.80% for the same period. NAV and Market Value returns assume that all distributions have been reinvested in the Fund at NAV and Market Value, respectively. Prior to June 15, 2007, NAV and Market Value returns assumed that all distributions were reinvested at prices obtained by the Dividend Reinvestment Plan of the Predecessor FVL Fund and the price used to calculate Market Value return was the AMEX (now known as the NYSE American) closing market price of the Predecessor FVL Fund. * Performance data is not available for all the periods shown in the table because performance data does not exist for the periods shown. (See Notes to Fund Performance Overview on page 20.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 22.63% Energy 12.27 Health Care 9.68 Utilities 8.06 Consumer Staples 7.95 Financials 7.83 Consumer Discretionary 7.62 Materials 7.52 Industrials 6.56 Real Estate 4.96 Communication Services 4.92 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Erie Indemnity Co., Class A 1.75% Cadence Design Systems, Inc. 1.40 Motorola Solutions, Inc. 1.32 Air Products and Chemicals, Inc. 1.31 CAE, Inc. 1.26 VeriSign, Inc. 1.25 Fair Isaac Corp. 1.25 IQVIA Holdings, Inc. 1.23 Waste Connections, Inc. 1.21 STERIS PLC 1.21 ------- Total 13.19% ======= ----------------------------- Value Line(R) and Timeliness(TM) are trademarks of Value Line, Inc. that are licensed to First Trust. The Fund is not sponsored, recommended, sold, or promoted by Value Line Publishing LLC, Value Line, Inc. or any of their affiliates. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust Value Line(R) 100 Value Line(R) Russell 3000(R) Exchange-Traded Fund 100 Index Index 12/08 $10,000 $10,000 $10,000 06/09 9,611 9,655 10,420 12/09 11,274 11,383 12,835 06/10 11,177 11,343 12,059 12/10 14,601 14,882 15,008 06/11 15,429 15,840 15,962 12/11 13,445 13,833 15,162 06/12 13,820 14,276 16,574 12/12 14,591 15,131 17,650 06/13 16,765 17,476 20,131 12/13 20,346 21,324 23,572 06/14 22,547 23,740 25,208 12/14 22,653 23,956 26,532 06/15 23,253 24,703 27,047 12/15 21,944 23,401 26,659 06/16 22,699 24,311 27,624 12/16 24,168 26,040 30,052 06/17 23,941 25,967 32,736 12/17 26,369 28,701 36,402 06/18 25,947 28,357 37,574 12/18 21,404 23,485 34,493 06/19 25,437 28,047 40,950
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 165 0 0 0 01/01/15 - 12/31/15 130 0 0 0 01/01/16 - 12/31/16 140 1 0 0 01/01/17 - 12/31/17 137 1 0 0 01/01/18 - 12/31/18 182 4 0 1 01/01/19 - 06/30/19 59 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 87 0 0 0 01/01/15 - 12/31/15 122 0 0 0 01/01/16 - 12/31/16 111 0 0 0 01/01/17 - 12/31/17 113 0 0 0 01/01/18 - 12/31/18 63 1 0 0 01/01/19 - 06/30/19 65 0 0 0 Page 19 -------------------------------------------------------------------------------- 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 between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is 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 20 FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES JUNE 30, 2019 (UNAUDITED) As a shareholder of First Trust Dow Jones Select MicroCap Index Fund, First Trust Morningstar Dividend Leaders Index Fund, First Trust US Equity Opportunities ETF, First Trust NYSE Arca Biotechnology Index Fund, First Trust Dow Jones Internet Index Fund, First Trust Capital Strength ETF, First Trust Value Line(R) Dividend Index Fund or First Trust Value Line(R) 100 Exchange-Traded 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 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 June 30, 2019. 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 JANUARY 1, 2019 JUNE 30, 2019 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) Actual $1,000.00 $1,116.70 0.60% $3.15 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) Actual $1,000.00 $1,142.80 0.45% $2.39 Hypothetical (5% return before expenses) $1,000.00 $1,022.56 0.45% $2.26 FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) Actual $1,000.00 $1,258.10 0.58% $3.25 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91 FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) Actual $1,000.00 $1,133.20 0.54% $2.86 Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.54% $2.71 FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) Actual $1,000.00 $1,231.80 0.52% $2.88 Hypothetical (5% return before expenses) $1,000.00 $1,022.22 0.52% $2.61 FIRST TRUST CAPITAL STRENGTH ETF (FTCS) Actual $1,000.00 $1,175.70 0.58% $3.13 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91
Page 21 FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JUNE 30, 2019 (UNAUDITED)
-------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JANUARY 1, 2019 JUNE 30, 2019 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) Actual $1,000.00 $1,170.80 0.70% $3.77 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) Actual $1,000.00 $1,189.10 0.70% $3.80 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) These expense ratios reflect expense caps 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 (January 1, 2019 through June 30, 2019), multiplied by 181/365 (to reflect the six-month period). Page 22 FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.7% 18,946 Ducommun, Inc. (a) $ 853,896 9,119 National Presto Industries, Inc. (b) 850,712 20,684 Vectrus, Inc. (a) 838,943 -------------- 2,543,551 -------------- AUTO COMPONENTS -- 0.2% 27,046 Shiloh Industries, Inc. (a) 131,714 41,838 Superior Industries International, Inc. 144,760 -------------- 276,474 -------------- BANKS -- 22.6% 11,561 1st Constitution Bancorp 213,532 20,480 Allegiance Bancshares, Inc. (a) 682,803 26,226 Arrow Financial Corp. 910,829 43,645 Atlantic Capital Bancshares, Inc. (a) 747,202 24,446 BankFinancial Corp. 342,000 28,108 Bar Harbor Bankshares 747,392 29,598 Byline Bancorp, Inc. (a) 565,914 5,843 C&F Financial Corp. 319,086 6,669 Cambridge Bancorp (b) 543,523 23,136 Capital City Bank Group, Inc. 574,930 9,051 CB Financial Services, Inc. (b) 214,961 26,027 Civista Bancshares, Inc. 584,306 25,938 CNB Financial Corp. 732,489 25,937 Equity Bancshares, Inc., Class A (a) 691,480 28,942 Financial Institutions, Inc. 843,659 22,387 First Bancshares, (The), Inc. 679,222 27,895 First Bank 327,487 25,107 First Community Bankshares, Inc. 847,612 12,907 First Community Corp. 238,909 19,583 First Financial Corp. 786,453 14,277 First Financial Northwest, Inc. 202,020 17,341 First Internet Bancorp 373,525 19,326 First Mid Bancshares, Inc. 674,864 41,030 First of Long Island (The) Corp. 823,882 12,836 First United Corp. 252,998 22,403 Franklin Financial Network, Inc. 624,148 70,635 Heritage Commerce Corp. 865,279 29,767 HomeTrust Bancshares, Inc. 748,342 42,503 Independent Bank Corp. 926,140 29,737 Mercantile Bank Corp. 968,831 11,601 Metropolitan Bank Holding Corp. (a) 510,444 37,035 Midland States Bancorp, Inc. 989,575 19,729 MidWestOne Financial Group, Inc. 551,623 13,272 Nicolet Bankshares, Inc. (a) 823,660 12,403 Northrim BanCorp, Inc. 442,291 6,980 Ohio Valley Banc Corp. 269,219 26,843 Old Line Bancshares, Inc. 714,292 47,638 Old Second Bancorp, Inc. 608,337 39,118 Opus Bank 825,781 9,459 Origin Bancorp, Inc. 312,147 15,002 Parke Bancorp, Inc. 359,298 29,225 Peapack-Gladstone Financial Corp. 821,807 29,959 People's Utah Bancorp 880,795 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 24,253 QCR Holdings, Inc. $ 845,702 19,628 RBB Bancorp 379,606 17,793 Reliant Bancorp, Inc. 420,449 18,649 Republic Bancorp, Inc., Class A 927,788 10,809 SB One Bancorp 241,581 25,534 Sierra Bancorp 692,482 17,937 SmartFinancial, Inc. (a) 389,054 12,504 Southern First Bancshares, Inc. (a) 489,657 35,372 Southern National Bancorp of Virginia, Inc. 541,545 82,536 Veritex Holdings, Inc. 2,141,809 -------------- 33,232,760 -------------- BUILDING PRODUCTS -- 1.5% 62,710 Griffon Corp. 1,061,053 59,974 Quanex Building Products Corp. 1,132,909 -------------- 2,193,962 -------------- CAPITAL MARKETS -- 1.6% 5,885 Diamond Hill Investment Group, Inc. 834,022 32,732 GAIN Capital Holdings, Inc. (b) 135,183 16,849 Oppenheimer Holdings, Inc., Class A 458,630 26,769 Victory Capital Holdings, Inc., Class A (a) 459,891 14,619 Westwood Holdings Group, Inc. 514,589 -------------- 2,402,315 -------------- CHEMICALS -- 2.0% 47,353 American Vanguard Corp. 729,710 46,731 FutureFuel Corp. 546,285 39,876 Kronos Worldwide, Inc. 610,900 81,203 OMNOVA Solutions, Inc. (a) 505,895 37,549 Trecora Resources (a) 359,344 49,129 Valhi, Inc. 145,913 -------------- 2,898,047 -------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 47,361 Ennis, Inc. 971,848 66,038 Kimball International, Inc., Class B 1,151,042 54,329 Quad/Graphics, Inc. 429,743 15,599 VSE Corp. 447,535 -------------- 3,000,168 -------------- COMMUNICATIONS EQUIPMENT -- 0.2% 53,127 Casa Systems, Inc. (a) 341,607 -------------- CONSTRUCTION & ENGINEERING -- 2.6% 33,434 Ameresco, Inc., Class A (a) 492,483 30,076 MYR Group, Inc. (a) 1,123,338 17,064 NV5 Global, Inc. (a) 1,389,010 52,639 Orion Group Holdings, Inc. (a) 141,072 45,440 Sterling Construction Co., Inc. (a) 609,805 -------------- 3,755,708 -------------- See Notes to Financial Statements Page 23 FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE -- 2.5% 24,387 Curo Group Holdings Corp. (a) $ 269,476 33,002 Elevate Credit, Inc. (a) 135,968 95,017 EZCORP, Inc., Class A (a) 899,811 17,524 Regional Management Corp. (a) 462,108 11,462 World Acceptance Corp. (a) 1,881,029 -------------- 3,648,392 -------------- CONTAINERS & PACKAGING -- 0.8% 64,211 Myers Industries, Inc. 1,237,346 -------------- DISTRIBUTORS -- 0.7% 30,848 Funko, Inc., Class A (a) (b) 747,139 11,224 Weyco Group, Inc. 299,793 -------------- 1,046,932 -------------- DIVERSIFIED CONSUMER SERVICES -- 2.1% 29,994 Carriage Services, Inc. 570,186 14,411 Collectors Universe, Inc. 307,531 67,697 K12, Inc. (a) 2,058,666 54,714 Zovio, Inc. (a) 195,876 -------------- 3,132,259 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 16,994 Marlin Business Services Corp. 423,660 -------------- ELECTRIC UTILITIES -- 0.2% 34,191 Genie Energy Ltd., Class B 364,134 -------------- ELECTRICAL EQUIPMENT -- 0.8% 4,946 Preformed Line Products Co. 274,602 33,603 TPI Composites, Inc. (a) 830,666 -------------- 1,105,268 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.2% 48,521 Control4 Corp. (a) 1,152,374 46,026 Kimball Electronics, Inc. (a) 747,462 20,741 Napco Security Technologies, Inc. (a) 615,593 20,523 PC Connection, Inc. 717,894 15,758 PCM, Inc. (a) 552,160 22,612 Vishay Precision Group, Inc. (a) 918,726 -------------- 4,704,209 -------------- ENERGY EQUIPMENT & SERVICES -- 0.4% 59,674 FTS International, Inc. (a) 332,981 22,752 Mammoth Energy Services, Inc. 156,534 58,273 Profire Energy, Inc. (a) 87,992 -------------- 577,507 -------------- ENTERTAINMENT -- 0.3% 29,672 Reading International, Inc., Class A (a) 385,143 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.4% 16,698 BRT Apartments Corp. 235,943 71,769 City Office REIT, Inc. 860,510 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 21,568 CorEnergy Infrastructure Trust, Inc. $ 855,387 148,858 New Senior Investment Group, Inc. 1,000,326 38,529 NexPoint Residential Trust, Inc. 1,595,100 26,733 One Liberty Properties, Inc. 774,188 21,055 Saul Centers, Inc. 1,181,817 -------------- 6,503,271 -------------- FOOD & STAPLES RETAILING -- 0.8% 25,670 Ingles Markets, Inc., Class A 799,107 14,570 Village Super Market, Inc., Class A 386,251 -------------- 1,185,358 -------------- FOOD PRODUCTS -- 1.6% 52,842 Landec Corp. (a) 495,130 26,711 Limoneira Co. 532,617 34,260 Tootsie Roll Industries, Inc. 1,265,222 -------------- 2,292,969 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% 11,511 FONAR Corp. (a) 247,602 -------------- HEALTH CARE PROVIDERS & SERVICES -- 1.9% 21,991 AAC Holdings, Inc. (a) (b) 18,912 18,380 Addus HomeCare Corp. (a) 1,377,581 16,413 CorVel Corp. (a) 1,428,095 -------------- 2,824,588 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.6% 114,957 BBX Capital Corp. 564,439 30,483 Chuy's Holdings, Inc. (a) 698,670 61,879 Del Taco Restaurants, Inc. (a) 793,289 48,928 Lindblad Expeditions Holdings, Inc. (a) 878,258 21,494 Monarch Casino & Resort, Inc. (a) 918,653 16,319 RCI Hospitality Holdings, Inc. 285,746 23,478 Red Robin Gourmet Burgers, Inc. (a) 717,722 20,704 Speedway Motorsports, Inc. 384,059 46,592 Town Sports International Holdings, Inc. (a) 101,105 -------------- 5,341,941 -------------- HOUSEHOLD DURABLES -- 2.0% 17,906 Bassett Furniture Industries, Inc. 273,066 44,759 Ethan Allen Interiors, Inc. 942,624 13,293 Flexsteel Industries, Inc. 226,779 44,044 Green Brick Partners, Inc. (a) 366,006 9,600 Hamilton Beach Brands Holding Co., Class A 182,880 21,339 Hooker Furniture Corp. 440,010 13,246 Turtle Beach Corp. (a) (b) 153,124 52,632 ZAGG, Inc. (a) 366,319 -------------- 2,950,808 -------------- Page 24 See Notes to Financial Statements FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 0.8% 18,361 FedNat Holding Co. $ 262,011 19,179 Health Insurance Innovations, Inc., Class A (a) (b) 497,120 2,428 Investors Title Co. 405,476 -------------- 1,164,607 -------------- IT SERVICES -- 1.2% 48,465 Hackett Group (The), Inc. 813,728 93,735 Unisys Corp. (a) 911,104 -------------- 1,724,832 -------------- LEISURE PRODUCTS -- 1.1% 10,562 Johnson Outdoors, Inc., Class A 787,608 33,904 MasterCraft Boat Holdings, Inc. (a) 664,180 53,725 Nautilus, Inc. (a) 118,732 -------------- 1,570,520 -------------- MACHINERY -- 1.6% 26,347 Blue Bird Corp. (a) 518,772 11,503 Hurco Cos., Inc. 409,047 15,553 Park-Ohio Holdings Corp. 506,872 56,329 Spartan Motors, Inc. 617,366 18,027 Twin Disc, Inc. (a) 272,208 -------------- 2,324,265 -------------- MEDIA -- 1.0% 44,234 Emerald Expositions Events, Inc. 493,209 95,112 Lee Enterprises, Inc. (a) 213,051 112,960 National CineMedia, Inc. 741,018 -------------- 1,447,278 -------------- METALS & MINING -- 0.6% 113,008 Gold Resource Corp. 381,967 16,539 Olympic Steel, Inc. 225,758 15,097 Synalloy Corp. 235,815 -------------- 843,540 -------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 5.3% 151,617 Arbor Realty Trust, Inc. (b) 1,837,598 48,091 Ares Commercial Real Estate Corp. 714,632 27,448 Cherry Hill Mortgage Investment Corp. 439,168 44,522 Dynex Capital, Inc. 745,743 30,563 Great Ajax Corp. 427,882 53,860 Ready Capital Corp. 802,514 100,345 TPG RE Finance Trust, Inc. 1,935,655 96,373 Western Asset Mortgage Capital Corp. 961,803 -------------- 7,864,995 -------------- OIL, GAS & CONSUMABLE FUELS -- 5.0% 304,866 Abraxas Petroleum Corp. (a) 314,012 52,789 CVR Energy, Inc. 2,638,922 117,375 Overseas Shipholding Group, Inc., Class A (a) 220,665 54,729 Par Pacific Holdings, Inc. (a) 1,123,039 68,117 Renewable Energy Group, Inc. (a) 1,080,336 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 10,224 REX American Resources Corp. (a) $ 745,329 11,269 SilverBow Resources, Inc. (a) 156,076 101,776 VAALCO Energy, Inc. (a) 169,966 168,078 W&T Offshore, Inc. (a) 833,667 -------------- 7,282,012 -------------- PERSONAL PRODUCTS -- 0.3% 23,629 Lifevantage Corp. (a) 306,705 13,008 Natural Health Trends Corp. (b) 104,714 -------------- 411,419 -------------- PHARMACEUTICALS -- 0.9% 15,257 ANI Pharmaceuticals, Inc. (a) 1,254,125 -------------- PROFESSIONAL SERVICES -- 1.6% 15,745 BG Staffing, Inc. 297,265 14,560 CRA International, Inc. 558,085 54,502 Resources Connection, Inc. 872,577 17,327 Willdan Group, Inc. (a) 645,431 -------------- 2,373,358 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.6% 9,104 Consolidated-Tomoka Land Co. 543,509 38,886 Marcus & Millichap, Inc. (a) 1,199,633 12,694 RMR Group (The), Inc., Class A 596,364 -------------- 2,339,506 -------------- ROAD & RAIL -- 0.6% 22,334 Covenant Transportation Group, Inc., Class A (a) 328,533 3,986 P.A.M. Transportation Services, Inc. (a) 247,132 15,143 Universal Logistics Holdings, Inc. 340,263 -------------- 915,928 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.0% 64,624 AXT, Inc. (a) 255,911 143,703 Enphase Energy, Inc. (a) 2,619,706 121,436 Photronics, Inc. (a) 995,775 22,833 SMART Global Holdings, Inc. (a) 524,931 -------------- 4,396,323 -------------- SOFTWARE -- 0.4% 49,875 American Software, Inc., Class A 655,856 -------------- SPECIALTY RETAIL -- 5.6% 51,344 Boot Barn Holdings, Inc. (a) 1,829,900 41,657 Cato (The) Corp., Class A 513,214 20,639 Citi Trends, Inc. 301,742 27,443 Container Store Group, (The), Inc. (a) 200,883 34,067 Haverty Furniture Cos., Inc. 580,161 33,290 Hibbett Sports, Inc. (a) 605,878 25,551 J. Jill, Inc. (b) 50,846 25,647 Kirkland's, Inc. (a) 57,962 100,197 Party City Holdco, Inc. (a) 734,444 53,996 RTW RetailWinds, Inc. (a) 91,793 17,623 Shoe Carnival, Inc. (b) 486,395 See Notes to Financial Statements Page 25 FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 43,293 Sonic Automotive, Inc., Class A $ 1,010,892 68,675 Sportsman's Warehouse Holdings, Inc. (a) 259,592 69,716 Tile Shop Holdings, Inc. 278,864 39,502 Tilly's, Inc., Class A 301,400 34,491 Zumiez, Inc. (a) 900,215 -------------- 8,204,181 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 57,135 Immersion Corp. (a) 434,797 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 13,512 Lakeland Industries, Inc. (a) 151,335 12,183 Rocky Brands, Inc. 332,352 37,879 Vera Bradley, Inc. (a) 454,548 -------------- 938,235 -------------- THRIFTS & MORTGAGE FINANCE -- 6.5% 55,494 Dime Community Bancshares, Inc. 1,053,831 12,528 Entegra Financial Corp. (a) 377,343 35,707 First Defiance Financial Corp. 1,020,149 6,918 FS Bancorp, Inc. 358,837 12,693 Home Bancorp, Inc. 488,427 28,586 Merchants Bancorp 486,820 202,046 Ocwen Financial Corp. (a) 418,235 69,387 Oritani Financial Corp. 1,230,925 110,635 PennyMac Financial Services, Inc. 2,453,884 88,353 United Community Financial Corp. 845,538 50,667 Waterstone Financial, Inc. 864,379 -------------- 9,598,368 -------------- TOBACCO -- 0.5% 15,607 Turning Point Brands, Inc. 764,431 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 26,431 Systemax, Inc. 585,711 12,274 Transcat, Inc. (a) 314,092 5,752 Willis Lease Finance Corp. (a) 335,456 -------------- 1,235,259 -------------- WATER UTILITIES -- 0.4% 14,285 Artesian Resources Corp., Class A 530,973 -------------- TOTAL COMMON STOCKS -- 99.9% 146,890,787 (Cost $158,948,454) -------------- MONEY MARKET FUNDS -- 0.2% 351,607 Goldman Sachs Financial Square Treasury Obligations Fund 2.25% (c) (d) 351,607 (Cost $351,607) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.8% $ 2,610,233 BNP Paribas S.A., 2.48% (c), dated 06/28/19, due 07/01/19, with a maturity value of $2,610,772. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $2,663,620. (d) $ 2,610,233 (Cost $2,610,233) -------------- TOTAL INVESTMENTS -- 101.9% 149,852,627 (Cost $161,910,294) (e) NET OTHER ASSETS AND LIABILITIES -- (1.9)% (2,784,106) -------------- NET ASSETS -- 100.0% $ 147,068,521 ============== (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 aggregate value of such securities is $2,926,726 and the total value of the collateral held by the Fund is $2,961,840. (c) Rate shown reflects yield as of June 30, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purpose. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $11,416,945 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $23,474,612. The net unrealized depreciation was $12,057,667. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 146,890,787 $ -- $ -- Money Market Funds 351,607 -- -- Repurchase Agreements -- 2,610,233 -- ------------------------------------------------------- Total Investments $ 147,242,394 $ 2,610,233 $ -- ======================================================= * See Portfolio of Investments for industry breakout. Page 26 See Notes to Financial Statements FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) --------------------------------- 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) $ 2,926,726 Non-cash Collateral(2) (2,926,726) -------------- 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 June 30, 2019, 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) $ 2,610,233 Non-cash Collateral(4) (2,610,233) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, 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 MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.7% AIR FREIGHT & LOGISTICS -- 2.0% 315,575 United Parcel Service, Inc., Class B $ 32,589,430 -------------- AUTO COMPONENTS -- 0.3% 38,494 Autoliv, Inc. 2,714,212 118,555 Goodyear Tire & Rubber (The) Co. 1,813,891 -------------- 4,528,103 -------------- AUTOMOBILES -- 3.4% 2,821,881 Ford Motor Co. 28,867,843 662,193 General Motors Co. 25,514,296 82,116 Harley-Davidson, Inc. 2,942,216 -------------- 57,324,355 -------------- BANKS -- 8.6% 72,188 Comerica, Inc. 5,243,736 160,565 F.N.B. Corp. 1,889,850 45,538 First Financial Bancorp 1,102,931 144,212 First Horizon National Corp. 2,153,085 60,144 Hope Bancorp, Inc. 828,784 518,240 Huntington Bancshares, Inc. 7,162,077 115,082 Investors Bancorp, Inc. 1,283,164 477,806 KeyCorp 8,481,057 90,164 PacWest Bancorp 3,501,068 6,994 Park National Corp. 695,134 204,673 People's United Financial, Inc. 3,434,413 474,470 Regions Financial Corp. 7,088,582 68,941 Synovus Financial Corp. 2,412,935 134,624 Umpqua Holdings Corp. 2,233,412 44,420 United Bankshares, Inc. 1,647,538 165,554 Valley National Bancorp 1,784,672 1,945,498 Wells Fargo & Co. 92,060,965 -------------- 143,003,403 -------------- BIOTECHNOLOGY -- 4.2% 952,591 AbbVie, Inc. 69,272,418 -------------- CAPITAL MARKETS -- 0.4% 51,473 Artisan Partners Asset Management, Inc., Class A 1,416,537 285,151 Invesco Ltd. 5,834,189 -------------- 7,250,726 -------------- CHEMICALS -- 1.2% 56,574 Eastman Chemical Co. 4,403,154 13,099 Kronos Worldwide, Inc. 200,677 169,016 LyondellBasell Industries N.V., Class A 14,557,348 70,889 Olin Corp. 1,553,178 -------------- 20,714,357 -------------- CONTAINERS & PACKAGING -- 0.9% 15,200 Greif, Inc., Class A 494,760 218,052 International Paper Co. 9,446,013 151,790 WestRock Co. 5,535,781 -------------- 15,476,554 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% 86,802 H&R Block, Inc. 2,543,299 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 17.2% 5,024,589 AT&T, Inc. $ 168,373,977 2,058,128 Verizon Communications, Inc. 117,580,853 -------------- 285,954,830 -------------- ELECTRIC UTILITIES -- 5.3% 369,019 Duke Energy Corp. 32,562,237 158,991 Edison International 10,717,583 452,571 PPL Corp. 14,034,227 551,526 Southern (The) Co. 30,488,357 -------------- 87,802,404 -------------- ELECTRICAL EQUIPMENT -- 0.9% 181,287 Eaton Corp. PLC 15,097,581 -------------- FOOD PRODUCTS -- 1.6% 58,583 Bunge Ltd. 3,263,659 75,361 Campbell Soup Co. 3,019,716 263,562 General Mills, Inc. 13,842,276 118,579 Kellogg Co. 6,352,277 -------------- 26,477,928 -------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 152,218 Cardinal Health, Inc. 7,169,468 573,125 CVS Health Corp. 31,229,581 45,941 Patterson Cos., Inc. 1,052,049 -------------- 39,451,098 -------------- HOTELS, RESTAURANTS & LEISURE -- 1.6% 16,685 Brinker International, Inc. 656,555 177,817 Carnival Corp. 8,277,381 121,084 Extended Stay America, Inc. 2,045,109 235,744 Las Vegas Sands Corp. 13,930,113 46,965 Wyndham Destinations, Inc. 2,061,763 -------------- 26,970,921 -------------- HOUSEHOLD DURABLES -- 0.7% 62,434 Leggett & Platt, Inc. 2,395,593 20,976 M.D.C. Holdings, Inc. 687,593 291,375 Newell Brands, Inc. 4,493,003 27,812 Whirlpool Corp. 3,959,316 -------------- 11,535,505 -------------- INSURANCE -- 2.9% 13,486 Mercury General Corp. 842,875 412,501 MetLife, Inc. 20,488,924 121,791 Principal Financial Group, Inc. 7,054,135 196,383 Prudential Financial, Inc. 19,834,683 -------------- 48,220,617 -------------- IT SERVICES -- 4.5% 506,859 International Business Machines Corp. 69,895,856 205,263 Western Union (The) Co. 4,082,681 -------------- 73,978,537 -------------- Page 28 See Notes to Financial Statements FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 0.3% 196,130 Interpublic Group of Cos. (The), Inc. $ 4,430,577 21,060 Meredith Corp. 1,159,563 -------------- 5,590,140 -------------- METALS & MINING -- 0.3% 43,688 Southern Copper Corp. 1,697,279 100,365 Steel Dynamics, Inc. 3,031,023 -------------- 4,728,302 -------------- MULTILINE RETAIL -- 0.8% 109,368 Kohl's Corp. 5,200,448 256,624 Macy's, Inc. 5,507,151 58,504 Nordstrom, Inc. 1,863,938 -------------- 12,571,537 -------------- MULTI-UTILITIES -- 2.6% 235,779 CenterPoint Energy, Inc. 6,750,353 463,193 Dominion Energy, Inc. 35,814,083 -------------- 42,564,436 -------------- OIL, GAS & CONSUMABLE FUELS -- 22.5% 158,888 Apache Corp. 4,602,986 892,091 Chevron Corp. 111,011,804 2,170,208 Exxon Mobil Corp. 166,303,039 360,439 Marathon Petroleum Corp. 20,141,331 568,231 Occidental Petroleum Corp. 28,570,655 69,874 PBF Energy, Inc., Class A 2,187,056 215,067 Phillips 66 20,117,367 232,980 Valero Energy Corp. 19,945,418 -------------- 372,879,656 -------------- PAPER & FOREST PRODUCTS -- 0.1% 29,466 Domtar Corp. 1,312,121 -------------- PERSONAL PRODUCTS -- 0.1% 133,426 Coty, Inc., Class A 1,787,908 -------------- PROFESSIONAL SERVICES -- 0.3% 258,744 Nielsen Holdings PLC 5,847,614 -------------- ROAD & RAIL -- 0.1% 24,267 Ryder System, Inc. 1,414,766 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1% 177,942 Broadcom, Inc. 51,222,384 -------------- SPECIALTY RETAIL -- 0.4% 41,002 Abercrombie & Fitch Co., Class A 657,672 38,128 Designer Brands, Inc., Class A 730,914 48,239 Foot Locker, Inc. 2,022,179 137,762 Gap (The), Inc. 2,475,583 37,096 Guess?, Inc. 599,100 -------------- 6,485,448 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 175,513 Seagate Technology PLC 8,270,173 190,290 Western Digital Corp. 9,048,289 -------------- 17,318,462 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 159,976 Hanesbrands, Inc. $ 2,754,787 160,974 Tapestry, Inc. 5,107,705 -------------- 7,862,492 -------------- THRIFTS & MORTGAGE FINANCE -- 0.1% 51,757 Northwest Bancshares, Inc. 911,441 28,044 Provident Financial Services, Inc. 680,067 -------------- 1,591,508 -------------- TOBACCO -- 9.1% 1,378,340 Altria Group, Inc. 65,264,399 1,088,407 Philip Morris International, Inc. 85,472,602 -------------- 150,737,001 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 36,711 Aircastle Ltd. 780,476 14,785 Watsco, Inc. 2,417,791 -------------- 3,198,267 -------------- TOTAL INVESTMENTS -- 99.7% 1,655,304,108 (Cost $1,653,542,714) (a) NET OTHER ASSETS AND LIABILITIES -- 0.3% 5,261,030 -------------- NET ASSETS -- 100.0% $1,660,565,138 ============== (a) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $66,174,842 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $64,413,448. The net unrealized appreciation was $1,761,394. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 1,655,304,108 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 29 FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AUTOMOBILES -- 1.4% 1,243,812 Fiat Chrysler Automobiles N.V. $ 17,189,482 -------------- BEVERAGES -- 2.2% 902,688 Keurig Dr Pepper, Inc. (a) 26,087,683 -------------- BIOTECHNOLOGY -- 1.5% 198,002 Celgene Corp. (b) 18,303,305 -------------- CAPITAL MARKETS -- 0.2% 46,040 Hamilton Lane, Inc., Class A 2,627,042 -------------- CHEMICALS -- 1.2% 299,399 Dow, Inc. 14,763,365 -------------- CONSTRUCTION & ENGINEERING -- 0.1% 38,784 Arcosa, Inc. 1,459,442 -------------- CONSUMER FINANCE -- 0.6% 282,177 Santander Consumer USA Holdings, Inc. 6,760,961 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.2% 67,889 frontdoor, Inc. (b) 2,956,566 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 393,962 AXA Equitable Holdings, Inc. 8,233,806 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.9% 829,354 Verizon Communications, Inc. 47,380,994 -------------- ELECTRIC UTILITIES -- 1.0% 202,695 Evergy, Inc. 12,192,104 -------------- ELECTRICAL EQUIPMENT -- 0.1% 92,351 Sunrun, Inc. (b) 1,732,505 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% 117,130 CDW Corp. 13,001,430 150,938 Keysight Technologies, Inc. (b) 13,555,742 -------------- 26,557,172 -------------- ENTERTAINMENT -- 1.8% 144,921 Spotify Technology S.A. (b) 21,190,349 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.0% 153,633 Americold Realty Trust 4,980,782 315,837 Invitation Homes, Inc. 8,442,323 107,562 JBG SMITH Properties 4,231,489 229,142 MGM Growth Properties LLC, Class A 7,023,202 182,141 STORE Capital Corp. 6,045,260 247,242 VICI Properties, Inc. 5,449,214 -------------- 36,172,270 -------------- FOOD & STAPLES RETAILING -- 1.0% 111,617 BJ's Wholesale Club Holdings, Inc. (b) 2,946,689 84,372 Performance Food Group Co. (b) 3,377,411 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD & STAPLES RETAILING (CONTINUED) 175,264 US Foods Holding Corp. (b) $ 6,267,441 -------------- 12,591,541 -------------- FOOD PRODUCTS -- 6.6% 480,313 General Mills, Inc. 25,226,039 209,358 Hershey (The) Co. 28,060,253 331,063 Tyson Foods, Inc., Class A 26,730,026 -------------- 80,016,318 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.7% 392,006 Alcon, Inc. (b) 24,323,972 29,202 Glaukos Corp. (b) 2,201,831 27,864 Penumbra, Inc. (b) 4,458,240 239,877 Stryker Corp. 49,313,914 -------------- 80,297,957 -------------- HEALTH CARE PROVIDERS & SERVICES -- 0.5% 72,673 Guardant Health, Inc. (b) 6,273,860 -------------- HOTELS, RESTAURANTS & LEISURE -- 0.9% 94,870 Planet Fitness, Inc., Class A (b) 6,872,383 35,373 Wingstop, Inc. 3,351,592 -------------- 10,223,975 -------------- HOUSEHOLD DURABLES -- 0.7% 90,977 Roku, Inc. (b) 8,240,697 -------------- INSURANCE -- 0.4% 92,896 Brighthouse Financial, Inc. (b) 3,408,354 29,105 Goosehead Insurance, Inc., Class A 1,391,219 -------------- 4,799,573 -------------- INTERACTIVE MEDIA & SERVICES -- 4.6% 89,230 Cargurus, Inc. (b) 3,222,095 225,503 Match Group, Inc. 15,169,587 1,074,920 Snap, Inc., Class A (b) 15,371,356 616,549 Twitter, Inc. (b) 21,517,560 -------------- 55,280,598 -------------- INTERNET & DIRECT MARKETING RETAIL -- 1.7% 96,404 Etsy, Inc. (b) 5,916,314 113,292 Stitch Fix, Inc., Class A (a) (b) 3,624,211 73,508 Wayfair, Inc., Class A (b) 10,732,168 -------------- 20,272,693 -------------- IT SERVICES -- 19.8% 120,228 Black Knight, Inc. (b) 7,231,714 65,718 Evo Payments, Inc., Class A (b) 2,072,088 756,999 First Data Corp., Class A (b) 20,491,963 144,252 GreenSky, Inc., Class A (a) (b) 1,772,857 57,696 MongoDB, Inc. (b) 8,774,985 91,555 Okta, Inc. (b) 11,307,958 942,460 PayPal Holdings, Inc. (b) 107,873,972 130,531 Perspecta, Inc. 3,055,731 339,279 Square, Inc., Class A (b) 24,607,906 Page 30 See Notes to Financial Statements FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 197,182 Switch, Inc., Class A $ 2,581,112 106,734 Twilio, Inc., Class A (b) 14,553,181 274,153 Worldpay, Inc., Class A (b) 33,597,450 -------------- 237,920,917 -------------- LEISURE PRODUCTS -- 0.2% 67,776 YETI Holdings, Inc. (a) (b) 1,962,115 -------------- LIFE SCIENCES TOOLS & SERVICES -- 6.9% 302,323 Avantor, Inc. (b) 5,771,346 158,215 IQVIA Holdings, Inc. (b) 25,456,794 176,462 Thermo Fisher Scientific, Inc. 51,823,360 -------------- 83,051,500 -------------- MACHINERY -- 1.8% 268,797 Fortive Corp. 21,912,331 -------------- MEDIA -- 3.4% 667,429 Altice USA, Inc., Class A (b) 16,251,896 5,943 Cable One, Inc. 6,959,193 497,748 Fox Corp., Class A 18,237,487 -------------- 41,448,576 -------------- MULTILINE RETAIL -- 0.4% 50,923 Ollie's Bargain Outlet Holdings, Inc. (b) 4,435,902 -------------- MULTI-UTILITIES -- 2.5% 220,117 Sempra Energy 30,252,880 -------------- OIL, GAS & CONSUMABLE FUELS -- 1.2% 206,481 Cheniere Energy, Inc. (b) 14,133,624 -------------- PHARMACEUTICALS -- 3.4% 293,348 Elanco Animal Health, Inc. (b) 9,915,162 24,109 Reata Pharmaceuticals, Inc., Class A (b) 2,274,684 1,643,797 Takeda Pharmaceutical Co., Ltd., ADR 29,095,207 -------------- 41,285,053 -------------- PROFESSIONAL SERVICES -- 2.6% 318,530 IHS Markit Ltd. (b) 20,296,732 150,240 TransUnion 11,044,142 -------------- 31,340,874 -------------- ROAD & RAIL -- 1.3% 233,107 Lyft, Inc., Class A (a) (b) 15,317,461 -------------- SOFTWARE -- 9.0% 57,124 Altair Engineering, Inc., Class A (b) 2,307,238 50,167 Alteryx, Inc., Class A (b) 5,474,223 103,606 Anaplan, Inc. (b) 5,228,995 27,276 Appfolio, Inc., Class A (b) 2,789,517 51,899 Appian Corp. (a) (b) 1,871,997 59,388 Avalara, Inc. (b) 4,287,814 44,155 Blackline, Inc. (b) 2,362,734 112,974 Ceridian HCM Holding, Inc. (b) 5,671,295 49,549 Coupa Software, Inc. (b) 6,273,399 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 95,964 Crowdstrike Holdings, Inc., Class A (b) $ 6,553,382 329,822 Dropbox, Inc., Class A (b) 8,262,041 26,411 Everbridge, Inc. (b) 2,361,672 33,772 HubSpot, Inc. (b) 5,758,801 46,931 Paycom Software, Inc. (b) 10,640,196 111,073 Pluralsight, Inc., Class A (b) 3,367,733 91,586 Smartsheet, Inc., Class A (b) 4,432,762 248,711 SolarWinds Corp. (b) 4,561,360 77,384 Tenable Holdings, Inc. (b) 2,208,539 35,716 Trade Desk (The), Inc., Class A (b) 8,135,390 87,886 Zendesk, Inc. (b) 7,824,491 100,798 Zscaler, Inc. (b) 7,725,159 -------------- 108,098,738 -------------- SPECIALTY RETAIL -- 1.4% 53,235 Burlington Stores, Inc. (b) 9,057,935 124,132 Carvana Co. (a) (b) 7,769,422 -------------- 16,827,357 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.9% 144,094 Dell Technologies, Inc., Class C (b) 7,319,975 1,074,184 Hewlett Packard Enterprise Co. 16,059,051 -------------- 23,379,026 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 361,775 Under Armour, Inc., Class A (b) 9,170,996 -------------- TOBACCO -- 0.1% 23,569 Turning Point Brands, Inc. 1,154,410 -------------- TOTAL COMMON STOCKS -- 99.9% 1,203,296,018 (Cost $934,705,654) -------------- MONEY MARKET FUNDS -- 0.2% 2,536,500 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 2,536,500 (Cost $2,536,500) -------------- See Notes to Financial Statements Page 31 FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.6% $ 18,830,267 BNP Paribas S.A., 2.48% (c), dated 06/28/19, due 07/01/19, with a maturity value of $18,834,158. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $19,215,402. (d) $ 18,830,267 (Cost $18,830,267) -------------- TOTAL INVESTMENTS -- 101.7% 1,224,662,785 (Cost $956,072,421) (e) NET OTHER ASSETS AND LIABILITIES -- (1.7)% (20,831,411) -------------- NET ASSETS -- 100.0% $1,203,831,374 ============== (a) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $21,256,298 and the total value of the collateral held by the Fund is $21,366,767. (b) Non-income producing security. (c) Rate shown reflects yield as of June 30, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $279,931,763 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $11,341,399. The net unrealized appreciation was $268,590,364. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 1,203,296,018 $ -- $ -- Money Market Funds 2,536,500 -- -- Repurchase Agreements -- 18,830,267 -- ------------------------------------------------------- Total Investments $ 1,205,832,518 $ 18,830,267 $ -- ======================================================= * 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) $ 21,256,298 Non-cash Collateral(2) (21,256,298) -------------- 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 June 30, 2019, 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) $ 18,830,267 Non-cash Collateral(4) (18,830,267) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 32 See Notes to Financial Statements FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 78.3% 4,014,904 ACADIA Pharmaceuticals, Inc. (a) $ 107,318,384 1,691,448 Agios Pharmaceuticals, Inc. (a) 84,369,426 751,760 Alexion Pharmaceuticals, Inc. (a) 98,465,525 2,819,910 Alkermes PLC (a) 63,560,771 1,153,228 Alnylam Pharmaceuticals, Inc. (a) 83,678,224 533,965 Amgen, Inc. 98,399,070 418,612 Biogen, Inc. (a) 97,900,788 1,138,791 BioMarin Pharmaceutical, Inc. (a) 97,537,449 691,136 Bluebird Bio, Inc. (a) 87,912,499 1,026,866 Exact Sciences Corp. (a) 121,211,263 4,530,330 Exelixis, Inc. (a) 96,813,152 2,005,843 FibroGen, Inc. (a) 90,623,987 1,504,429 Gilead Sciences, Inc. 101,639,223 5,073,910 Grifols S.A., ADR 107,059,501 1,280,555 Incyte Corp. (a) 108,795,953 1,083,284 Intercept Pharmaceuticals, Inc. (a) 86,196,908 1,296,791 Ionis Pharmaceuticals, Inc. (a) 83,344,758 1,207,179 Neurocrine Biosciences, Inc. (a) 101,922,123 283,643 Regeneron Pharmaceuticals, Inc. (a) 88,780,259 811,614 Sarepta Therapeutics, Inc. (a) 123,324,747 1,368,620 Seattle Genetics, Inc. (a) 94,722,190 1,469,321 Ultragenyx Pharmaceutical, Inc. (a) 93,301,884 944,015 United Therapeutics Corp. (a) 73,689,811 562,997 Vertex Pharmaceuticals, Inc. (a) 103,242,390 -------------- 2,293,810,285 -------------- LIFE SCIENCES TOOLS & SERVICES -- 18.0% 500,594 Bio-Techne Corp. 104,368,843 700,520 Charles River Laboratories International, Inc. (a) 99,403,788 296,439 Illumina, Inc. (a) 109,134,018 711,628 IQVIA Holdings, Inc. (a) 114,500,945 2,472,375 QIAGEN N.V. (a) 100,254,806 -------------- 527,662,400 -------------- PHARMACEUTICALS -- 3.7% 2,988,250 Nektar Therapeutics (a) 106,321,935 -------------- TOTAL INVESTMENTS -- 100.0% 2,927,794,620 (Cost $3,006,248,316) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% 843,583 -------------- NET ASSETS -- 100.0% $2,928,638,203 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $250,988,932 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $329,442,628. The net unrealized depreciation was $78,453,696. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 2,927,794,620 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 33 FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% CAPITAL MARKETS -- 5.1% 2,453,845 Blucora, Inc. (a) $ 74,523,273 4,045,274 E*TRADE Financial Corp. 180,419,220 3,940,921 TD Ameritrade Holding Corp. 196,730,776 -------------- 451,673,269 -------------- COMMUNICATIONS EQUIPMENT -- 4.9% 805,830 Arista Networks, Inc. (a) 209,209,585 6,300,162 Juniper Networks, Inc. 167,773,314 2,320,403 NETGEAR, Inc. (a) 58,682,992 -------------- 435,665,891 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.1% 1,595,871 Cogent Communications Holdings, Inc. 94,730,902 8,471,432 Vonage Holdings Corp. (a) 95,981,325 -------------- 190,712,227 -------------- ENTERTAINMENT -- 5.8% 1,394,907 Netflix, Inc. (a) 512,377,239 -------------- HEALTH CARE TECHNOLOGY -- 2.6% 1,453,399 Veeva Systems, Inc., Class A (a) 235,610,512 -------------- INTERACTIVE MEDIA & SERVICES -- 24.0% 371,992 Alphabet, Inc., Class A (a) 402,792,938 380,733 Alphabet, Inc., Class C (a) 411,538,107 3,885,386 Facebook, Inc., Class A (a) 749,879,498 12,982,556 Snap, Inc., Class A (a) 185,650,551 2,794,167 TripAdvisor, Inc. (a) 129,341,990 7,200,885 Twitter, Inc. (a) 251,310,886 -------------- 2,130,513,970 -------------- INTERNET & DIRECT MARKETING RETAIL -- 20.1% 469,081 Amazon.com, Inc. (a) 888,265,854 7,401,771 eBay, Inc. 292,369,955 2,338,466 Etsy, Inc. (a) 143,511,658 1,677,481 Expedia Group, Inc. 223,155,297 20,897,122 Groupon, Inc. (a) 74,811,697 2,061,534 GrubHub, Inc. (a) 160,779,037 -------------- 1,782,893,498 -------------- IT SERVICES -- 15.0% 2,487,739 Akamai Technologies, Inc. (a) 199,367,403 9,929,005 Endurance International Group Holdings, Inc. (a) 47,659,224 2,709,609 GoDaddy, Inc., Class A (a) 190,079,071 1,546,213 Okta, Inc. (a) 190,972,768 4,000,130 PayPal Holdings, Inc. (a) 457,854,880 1,183,213 VeriSign, Inc. (a) 247,480,831 -------------- 1,333,414,177 -------------- SOFTWARE -- 20.3% 2,475,630 2U, Inc. (a) 93,182,713 3,817,984 8x8, Inc. (a) 92,013,414 5,496,098 Box, Inc., Class A (a) 96,786,286 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 1,976,393 Citrix Systems, Inc. $ 193,963,209 1,935,348 Cornerstone OnDemand, Inc. (a) 112,114,710 1,440,497 DocuSign, Inc. (a) 71,607,106 5,404,782 Dropbox, Inc., Class A (a) 135,389,789 855,440 HubSpot, Inc. (a) 145,869,629 1,371,011 j2 Global, Inc. 121,869,168 1,579,708 LogMeIn, Inc. 116,392,885 1,288,559 New Relic, Inc. (a) 111,473,239 2,715,349 Pluralsight, Inc., Class A (a) 82,329,382 2,853,141 salesforce.com, Inc. (a) 432,907,084 -------------- 1,805,898,614 -------------- TOTAL COMMON STOCKS -- 99.9% 8,878,759,397 (Cost $7,393,499,185) -------------- MONEY MARKET FUNDS -- 0.2% 14,781,752 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.19% (b) 14,781,752 (Cost $14,781,752) -------------- TOTAL INVESTMENTS -- 100.1% 8,893,541,149 (Cost $7,408,280,937) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (6,216,248) -------------- NET ASSETS -- 100.0% $8,887,324,901 ============== (a) Non-income producing security. (b) Rate shown reflects yield as of June 30, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purpose. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,686,620,919 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $201,360,707. The net unrealized appreciation was $1,485,260,212. Page 34 See Notes to Financial Statements FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 8,878,759,397 $ -- $ -- Money Market Funds 14,781,752 -- -- ------------------------------------------------------- Total Investments $ 8,893,541,149 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.9% 265,811 Raytheon Co. $ 46,219,217 -------------- AIR FREIGHT & LOGISTICS -- 1.8% 424,993 United Parcel Service, Inc., Class B 43,889,027 -------------- BEVERAGES -- 4.1% 1,021,733 Coca-Cola (The) Co. 52,026,644 381,734 PepsiCo, Inc. 50,056,780 -------------- 102,083,424 -------------- BIOTECHNOLOGY -- 4.1% 273,385 Amgen, Inc. 50,379,388 770,732 Gilead Sciences, Inc. 52,070,654 -------------- 102,450,042 -------------- CAPITAL MARKETS -- 7.9% 256,611 Moody's Corp. 50,118,694 528,108 Northern Trust Corp. 47,529,720 543,940 Raymond James Financial, Inc. 45,990,127 223,362 S&P Global, Inc. 50,879,630 -------------- 194,518,171 -------------- CHEMICALS -- 2.2% 244,929 Air Products and Chemicals, Inc. 55,444,578 -------------- COMMUNICATIONS EQUIPMENT -- 1.9% 860,187 Cisco Systems, Inc. 47,078,034 -------------- ELECTRICAL EQUIPMENT -- 1.8% 669,085 Emerson Electric Co. 44,641,351 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 463,969 Amphenol Corp., Class A 44,513,186 -------------- ENTERTAINMENT -- 2.1% 366,266 Walt Disney (The) Co. 51,145,384 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.1% 251,488 American Tower Corp. 51,416,722 -------------- FOOD & STAPLES RETAILING -- 2.1% 197,337 Costco Wholesale Corp. 52,148,276 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% 652,730 Baxter International, Inc. 53,458,587 -------------- HEALTH CARE PROVIDERS & SERVICES -- 2.2% 218,802 UnitedHealth Group, Inc. 53,389,876 -------------- HOTELS, RESTAURANTS & LEISURE -- 2.2% 637,839 Starbucks Corp. 53,470,043 -------------- HOUSEHOLD PRODUCTS -- 2.0% 457,444 Procter & Gamble (The) Co. 50,158,735 -------------- INDUSTRIAL CONGLOMERATES -- 3.6% 221,645 3M Co. 38,419,944 286,986 Honeywell International, Inc. 50,104,886 -------------- 88,524,830 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE -- 4.2% 517,665 Marsh & McLennan Cos., Inc. $ 51,637,084 646,800 Progressive (The) Corp. 51,698,724 -------------- 103,335,808 -------------- IT SERVICES -- 14.2% 271,616 Accenture PLC, Class A 50,186,488 298,667 Automatic Data Processing, Inc. 49,378,615 680,051 Cognizant Technology Solutions Corp., Class A 43,108,433 192,939 FleetCor Technologies, Inc. (a) 54,186,918 345,756 International Business Machines Corp. 47,679,753 201,403 Mastercard, Inc., Class A 53,277,136 302,928 Visa, Inc., Class A 52,573,154 -------------- 350,390,497 -------------- MACHINERY -- 7.6% 289,051 Cummins, Inc. 49,525,998 548,198 Fortive Corp. 44,689,101 306,426 Illinois Tool Works, Inc. 46,212,105 679,065 PACCAR, Inc. 48,661,798 -------------- 189,089,002 -------------- MEDIA -- 2.0% 589,437 Omnicom Group, Inc. 48,304,362 -------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% 508,408 Phillips 66 47,556,484 -------------- PHARMACEUTICALS -- 10.5% 421,184 Eli Lilly & Co. 46,662,975 352,799 Johnson & Johnson 49,137,845 662,941 Merck & Co., Inc. 55,587,603 1,232,007 Pfizer, Inc. 53,370,543 489,891 Zoetis, Inc. 55,597,730 -------------- 260,356,696 -------------- ROAD & RAIL -- 1.9% 614,294 CSX Corp. 47,527,927 -------------- SOFTWARE -- 4.0% 484,605 Citrix Systems, Inc. 47,559,135 889,862 Oracle Corp. 50,695,438 -------------- 98,254,573 -------------- SPECIALTY RETAIL -- 5.8% 235,870 Home Depot (The), Inc. 49,053,884 485,144 Ross Stores, Inc. 48,087,473 880,159 TJX (The) Cos., Inc. 46,542,808 -------------- 143,684,165 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.8% 543,873 NIKE, Inc., Class B 45,658,138 -------------- TOTAL INVESTMENTS -- 99.9% 2,468,707,135 (Cost $2,281,989,726) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 2,717,152 -------------- NET ASSETS -- 100.0% $2,471,424,287 ============== Page 36 See Notes to Financial Statements FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $214,265,675 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $27,548,266. The net unrealized appreciation was $186,717,409. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 2,468,707,135 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 37 FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 2.6% 89,997 Boeing (The) Co. $ 32,759,808 189,301 General Dynamics Corp. 34,418,708 93,503 Lockheed Martin Corp. 33,992,081 182,942 Raytheon Co. 31,809,955 258,577 United Technologies Corp. 33,666,725 -------------- 166,647,277 -------------- AIR FREIGHT & LOGISTICS -- 1.1% 406,220 C.H. Robinson Worldwide, Inc. 34,264,657 337,579 United Parcel Service, Inc., Class B 34,861,783 -------------- 69,126,440 -------------- AUTOMOBILES -- 0.5% 269,750 Toyota Motor Corp., ADR 33,446,303 -------------- BANKS -- 7.4% 425,792 Bank of Hawaii Corp. 35,302,415 444,986 Bank of Montreal 33,574,194 619,365 Bank of Nova Scotia (The) 33,662,488 694,230 BB&T Corp. 34,107,520 422,002 Canadian Imperial Bank of Commerce 33,152,477 309,811 JPMorgan Chase & Co. 34,636,870 203,462 M&T Bank Corp. 34,602,782 353,048 Park National Corp. 35,089,441 2,063,932 People's United Financial, Inc. 34,632,779 251,847 PNC Financial Services Group (The), Inc. 34,573,556 422,685 Royal Bank of Canada 33,561,189 577,398 Toronto-Dominion (The) Bank 33,696,947 643,634 U.S. Bancorp 33,726,421 727,519 Wells Fargo & Co. 34,426,199 -------------- 478,745,278 -------------- BEVERAGES -- 1.5% 648,368 Coca-Cola (The) Co. 33,014,899 192,848 Diageo PLC, ADR 33,231,567 250,944 PepsiCo, Inc. 32,906,287 -------------- 99,152,753 -------------- BIOTECHNOLOGY -- 0.5% 182,116 Amgen, Inc. 33,560,337 -------------- CAPITAL MARKETS -- 2.6% 781,391 Bank of New York Mellon (The) Corp. 34,498,413 72,646 BlackRock, Inc. 34,092,768 979,994 Franklin Resources, Inc. 34,103,791 347,491 Nasdaq, Inc. 33,418,209 314,434 T. Rowe Price Group, Inc. 34,496,554 -------------- 170,609,735 -------------- CHEMICALS -- 2.1% 150,517 Air Products and Chemicals, Inc. 34,072,533 678,968 Dow, Inc. 33,479,912 229,584 International Flavors & Fragrances, Inc. 33,310,343 462,014 Sensient Technologies Corp. 33,948,789 -------------- 134,811,577 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 0.5% 588,710 Cisco Systems, Inc. $ 32,220,098 -------------- CONSUMER FINANCE -- 0.5% 433,858 Discover Financial Services 33,663,042 -------------- CONTAINERS & PACKAGING -- 1.1% 301,328 Avery Dennison Corp. 34,857,623 522,794 Sonoco Products Co. 34,159,360 -------------- 69,016,983 -------------- DISTRIBUTORS -- 0.5% 323,830 Genuine Parts Co. 33,542,311 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 1,634,898 AXA Equitable Holdings, Inc. 34,169,368 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.1% 1,033,238 AT&T, Inc. 34,623,805 738,699 BCE, Inc. 33,596,031 916,754 TELUS Corp. 33,837,390 577,693 Verizon Communications, Inc. 33,003,601 -------------- 135,060,827 -------------- ELECTRIC UTILITIES -- 11.3% 399,135 ALLETE, Inc. 33,212,023 675,827 Alliant Energy Corp. 33,169,589 370,316 American Electric Power Co., Inc. 32,591,511 654,276 Avangrid, Inc. 33,040,938 374,394 Duke Energy Corp. 33,036,527 514,488 El Paso Electric Co. 33,647,515 550,221 Evergy, Inc. 33,095,793 434,969 Eversource Energy 32,953,251 671,117 Exelon Corp. 32,173,349 771,909 FirstEnergy Corp. 33,045,424 844,323 Fortis, Inc. 33,325,429 773,141 Hawaiian Electric Industries, Inc. 33,670,291 323,181 IDACORP, Inc. 32,457,068 479,532 MGE Energy, Inc. 35,044,199 161,683 NextEra Energy, Inc. 33,122,379 777,778 OGE Energy Corp. 33,102,232 644,887 Otter Tail Corp. 34,056,483 347,103 Pinnacle West Capital Corp. 32,658,921 612,264 Portland General Electric Co. 33,166,341 1,065,941 PPL Corp. 33,054,830 598,141 Southern (The) Co. 33,065,235 549,419 Xcel Energy, Inc. 32,684,936 -------------- 729,374,264 -------------- ELECTRICAL EQUIPMENT -- 2.6% 1,689,038 ABB Ltd., ADR 33,831,431 409,163 Eaton Corp. PLC 34,075,095 514,644 Emerson Electric Co. 34,337,048 268,236 Hubbell, Inc. 34,977,974 207,575 Rockwell Automation, Inc. 34,007,012 -------------- 171,228,560 -------------- Page 38 See Notes to Financial Statements FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5% 354,340 TE Connectivity Ltd. $ 33,938,685 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.6% 161,728 AvalonBay Communities, Inc. 32,859,895 430,089 Equity Residential 32,652,357 253,867 Federal Realty Investment Trust 32,687,915 283,318 Mid-America Apartment Communities, Inc. 33,363,528 140,357 Public Storage 33,428,827 468,970 Realty Income Corp. 32,344,861 207,756 Simon Property Group, Inc. 33,191,098 1,234,867 Washington Real Estate Investment Trust 33,007,995 393,155 WP Carey, Inc. 31,916,323 -------------- 295,452,799 -------------- FOOD & STAPLES RETAILING -- 1.6% 473,385 Sysco Corp. 33,477,787 647,994 Walgreens Boots Alliance, Inc. 35,425,832 302,623 Walmart, Inc. 33,436,815 -------------- 102,340,434 -------------- FOOD PRODUCTS -- 4.5% 826,486 Archer-Daniels-Midland Co. 33,720,629 830,561 Campbell Soup Co. 33,280,579 1,197,972 Conagra Brands, Inc. 31,770,217 627,213 General Mills, Inc. 32,941,227 244,915 Hershey (The) Co. 32,825,958 798,836 Hormel Foods Corp. 32,384,811 277,486 J.M. Smucker (The) Co. 31,963,612 603,385 Kellogg Co. 32,323,335 608,390 Mondelez International, Inc., Class A 32,792,221 -------------- 294,002,589 -------------- GAS UTILITIES -- 3.6% 314,552 Atmos Energy Corp. 33,204,109 666,445 New Jersey Resources Corp. 33,168,968 488,078 Northwest Natural Holding Co. 33,921,421 368,105 ONE Gas, Inc. 33,239,882 1,003,655 South Jersey Industries, Inc. 33,853,283 395,755 Spire, Inc. 33,211,760 630,389 UGI Corp. 33,669,076 -------------- 234,268,499 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.5% 339,470 Medtronic PLC 33,060,983 -------------- HEALTH CARE PROVIDERS & SERVICES -- 1.1% 633,478 CVS Health Corp. 34,518,216 333,632 Quest Diagnostics, Inc. 33,967,074 -------------- 68,485,290 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 1.6% 775,467 Cheesecake Factory (The), Inc. $ 33,903,417 198,159 Cracker Barrel Old Country Store, Inc. 33,831,686 165,081 McDonald's Corp. 34,280,721 -------------- 102,015,824 -------------- HOUSEHOLD DURABLES -- 1.0% 413,963 Garmin Ltd. 33,034,247 891,961 Leggett & Platt, Inc. 34,224,544 -------------- 67,258,791 -------------- HOUSEHOLD PRODUCTS -- 2.0% 216,874 Clorox (The) Co. 33,205,578 455,076 Colgate-Palmolive Co. 32,615,297 244,318 Kimberly-Clark Corp. 32,562,703 299,679 Procter & Gamble (The) Co. 32,859,802 -------------- 131,243,380 -------------- INDUSTRIAL CONGLOMERATES -- 1.0% 194,170 3M Co. 33,657,428 192,785 Honeywell International, Inc. 33,658,333 -------------- 67,315,761 -------------- INSURANCE -- 7.8% 611,823 Aflac, Inc. 33,534,019 329,422 Allstate (The) Corp. 33,498,923 387,025 Arthur J. Gallagher & Co. 33,899,520 317,912 Assurant, Inc. 33,819,479 563,216 Axis Capital Holdings Ltd. 33,595,834 224,287 Chubb Ltd. 33,035,232 320,526 Cincinnati Financial Corp. 33,228,930 713,507 CNA Financial Corp. 33,584,774 133,849 Everest Re Group Ltd. 33,084,796 833,244 Fidelity National Financial, Inc. 33,579,733 611,712 First American Financial Corp. 32,848,934 266,942 Hanover Insurance Group (The), Inc. 34,248,659 604,458 Hartford Financial Services Group (The), Inc. 33,680,400 343,208 Marsh & McLennan Cos., Inc. 34,234,998 221,448 Travelers (The) Cos., Inc. 33,110,905 -------------- 502,985,136 -------------- IT SERVICES -- 2.0% 200,654 Automatic Data Processing, Inc. 33,174,126 3,151,941 Infosys Ltd., ADR 33,725,768 241,573 International Business Machines Corp. 33,312,917 390,621 Paychex, Inc. 32,144,202 -------------- 132,357,013 -------------- MACHINERY -- 3.2% 250,517 Caterpillar, Inc. 34,142,962 197,818 Cummins, Inc. 33,894,136 343,659 Dover Corp. 34,434,632 221,403 Illinois Tool Works, Inc. 33,389,786 198,263 Parker-Hannifin Corp. 33,706,693 207,044 Snap-on, Inc. 34,294,768 -------------- 203,862,977 -------------- See Notes to Financial Statements Page 39 FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 2.1% 772,086 Comcast Corp., Class A $ 32,643,796 413,356 Omnicom Group, Inc. 33,874,524 1,641,285 Shaw Communications, Inc., Class B 33,449,388 545,941 WPP PLC, ADR 34,345,149 -------------- 134,312,857 -------------- MULTI-UTILITIES -- 6.1% 437,749 Ameren Corp. 32,879,327 751,913 Avista Corp. 33,535,320 412,325 Black Hills Corp. 32,231,445 570,352 CMS Energy Corp. 33,029,084 375,498 Consolidated Edison, Inc. 32,923,665 424,938 Dominion Energy, Inc. 32,856,206 255,828 DTE Energy Co. 32,715,285 1,305,275 MDU Resources Group, Inc. 33,676,095 460,508 NorthWestern Corp. 33,225,652 550,756 Public Service Enterprise Group, Inc. 32,395,468 238,990 Sempra Energy 32,846,786 394,831 WEC Energy Group, Inc. 32,917,060 -------------- 395,231,393 -------------- OIL, GAS & CONSUMABLE FUELS -- 2.6% 269,493 Chevron Corp. 33,535,709 437,468 Exxon Mobil Corp. 33,523,173 375,044 Phillips 66 35,081,616 503,929 Royal Dutch Shell PLC, Class B, ADR 33,128,292 603,812 TOTAL S.A., ADR 33,686,671 -------------- 168,955,461 -------------- PERSONAL PRODUCTS -- 0.5% 534,918 Unilever PLC, ADR 33,148,868 -------------- PHARMACEUTICALS -- 4.1% 736,932 Bristol-Myers Squibb Co. 33,419,866 291,131 Eli Lilly and Co. 32,254,404 829,342 GlaxoSmithKline PLC, ADR 33,190,267 235,297 Johnson & Johnson 32,772,166 393,658 Merck & Co., Inc. 33,008,223 362,736 Novartis AG, ADR 33,121,424 769,254 Pfizer, Inc. 33,324,083 767,862 Sanofi, ADR 33,225,389 -------------- 264,315,822 -------------- PROFESSIONAL SERVICES -- 1.0% 604,565 Robert Half International, Inc. 34,466,251 511,357 Thomson Reuters Corp. 32,962,072 -------------- 67,428,323 -------------- ROAD & RAIL -- 0.5% 201,261 Union Pacific Corp. 34,035,248 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1% 298,177 Analog Devices, Inc. $ 33,655,238 706,760 Intel Corp. 33,832,601 841,987 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 32,980,631 298,621 Texas Instruments, Inc. 34,269,746 -------------- 134,738,216 -------------- SPECIALTY RETAIL -- 1.6% 163,821 Home Depot (The), Inc. 34,069,854 339,946 Lowe's Cos., Inc. 34,303,951 366,488 Tiffany & Co. 34,317,936 -------------- 102,691,741 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 1,121,722 Canon, Inc., ADR 32,832,803 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 383,193 VF Corp. 33,471,909 -------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 2,540,583 Capitol Federal Financial, Inc. 34,983,828 1,997,794 Northwest Bancshares, Inc. 35,181,152 1,019,459 Washington Federal, Inc. 35,609,703 -------------- 105,774,683 -------------- TOBACCO -- 1.6% 694,230 Altria Group, Inc. 32,871,791 956,333 British American Tobacco PLC, ADR 33,347,332 432,529 Philip Morris International, Inc. 33,966,502 -------------- 100,185,625 -------------- TRADING COMPANIES & DISTRIBUTORS -- 2.1% 1,032,294 Fastenal Co. 33,642,461 465,402 MSC Industrial Direct Co., Inc., Class A 34,560,753 124,193 W.W. Grainger, Inc. 33,312,288 208,366 Watsco, Inc. 34,074,092 -------------- 135,589,594 -------------- WATER UTILITIES -- 0.5% 803,977 Aqua America, Inc. 33,260,529 -------------- TOTAL INVESTMENTS -- 99.8% 6,468,936,386 (Cost $5,889,532,996) (a) NET OTHER ASSETS AND LIABILITIES -- 0.2% 12,274,296 -------------- NET ASSETS -- 100.0% $6,481,210,682 ============== Page 40 See Notes to Financial Statements FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) (a) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $656,983,066 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $77,579,676. The net unrealized appreciation was $579,403,390. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 6,468,936,386 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 41 FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.3% 19,810 CAE, Inc. $ 532,097 -------------- BEVERAGES -- 1.0% 3,174 PepsiCo, Inc. 416,207 -------------- CAPITAL MARKETS -- 2.0% 1,465 FactSet Research Systems, Inc. 419,810 1,348 MarketAxess Holdings, Inc. 433,274 -------------- 853,084 -------------- CHEMICALS -- 5.5% 2,435 Air Products and Chemicals, Inc. 551,211 2,452 Ecolab, Inc. 484,123 4,908 Innospec, Inc. 447,806 2,834 International Flavors & Fragrances, Inc. 411,185 5,717 WR Grace & Co. 435,121 -------------- 2,329,446 -------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 5,315 Waste Connections, Inc. 508,008 3,822 Waste Management, Inc. 440,944 -------------- 948,952 -------------- COMMUNICATIONS EQUIPMENT -- 4.2% 8,473 Cisco Systems, Inc. 463,727 3,329 Motorola Solutions, Inc. 555,044 42,055 Telefonaktiebolaget LM Ericsson, ADR 399,523 4,392 ViaSat, Inc. (a) 354,961 -------------- 1,773,255 -------------- DIVERSIFIED CONSUMER SERVICES -- 2.2% 3,272 Bright Horizons Family Solutions, Inc. (a) 493,647 22,399 Career Education Corp. (a) 427,149 -------------- 920,796 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.0% 12,269 TELUS Corp. 452,849 6,526 Verizon Communications, Inc. 372,830 -------------- 825,679 -------------- ELECTRIC UTILITIES -- 5.0% 4,571 American Electric Power Co., Inc. 402,294 5,369 Eversource Energy 406,755 10,421 Fortis, Inc. 411,317 10,269 Hawaiian Electric Industries, Inc. 447,215 7,696 Xcel Energy, Inc. 457,835 -------------- 2,125,416 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.1% 3,864 CDW Corp. 428,904 3,946 OSI Systems, Inc. (a) 444,438 -------------- 873,342 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENTERTAINMENT -- 1.0% 2,985 Walt Disney (The) Co. $ 416,825 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.0% 2,083 American Tower Corp. 425,869 3,562 Crown Castle International Corp. 464,307 815 Equinix, Inc. 410,996 3,875 Extra Space Storage, Inc. 411,137 4,631 WP Carey, Inc. 375,945 -------------- 2,088,254 -------------- FOOD PRODUCTS -- 3.7% 17,779 Flowers Foods, Inc. 413,717 7,742 General Mills, Inc. 406,610 3,094 Hershey (The) Co. 414,689 9,133 Tootsie Roll Industries, Inc. 337,282 -------------- 1,572,298 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.4% 5,612 Abbott Laboratories 471,969 2,872 Masimo Corp. (a) 427,411 3,411 STERIS PLC 507,830 1,940 Stryker Corp. 398,825 3,328 Varian Medical Systems, Inc. (a) 453,041 -------------- 2,259,076 -------------- HEALTH CARE TECHNOLOGY -- 1.0% 5,719 Cerner Corp. 419,203 -------------- HOTELS, RESTAURANTS & LEISURE -- 2.2% 596 Chipotle Mexican Grill, Inc. (a) 436,797 6,027 Starbucks Corp. 505,243 -------------- 942,040 -------------- HOUSEHOLD DURABLES -- 1.0% 5,282 Garmin Ltd. 421,504 -------------- HOUSEHOLD PRODUCTS -- 2.2% 6,458 Church & Dwight Co., Inc. 471,821 4,307 Procter & Gamble (The) Co. 472,263 -------------- 944,084 -------------- INDUSTRIAL CONGLOMERATES -- 1.0% 1,174 Roper Technologies, Inc. 429,989 -------------- INSURANCE -- 5.8% 2,147 Aon PLC 414,328 11,484 Arch Capital Group Ltd. (a) 425,826 4,433 Cincinnati Financial Corp. 459,569 2,896 Erie Indemnity Co., Class A 736,395 2,279 RenaissanceRe Holdings Ltd. 405,685 -------------- 2,441,803 -------------- IT SERVICES -- 9.5% 2,271 Accenture PLC, Class A 419,613 2,623 Automatic Data Processing, Inc. 433,661 7,090 Black Knight, Inc. (a) 426,463 7,297 Booz Allen Hamilton Holding Corp. 483,134 9,002 CSG Systems International, Inc. 439,568 Page 42 See Notes to Financial Statements FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 1,513 FleetCor Technologies, Inc. (a) $ 424,926 9,799 Genpact Ltd. 373,244 5,644 Paychex, Inc. 464,445 2,513 VeriSign, Inc. (a) 525,619 -------------- 3,990,673 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.2% 3,229 IQVIA Holdings, Inc. (a) 519,546 -------------- MEDIA -- 2.0% 1,074 Charter Communications, Inc., Class A (a) 424,423 9,538 Comcast Corp., Class A 403,267 -------------- 827,690 -------------- METALS & MINING -- 1.0% 4,814 Franco-Nevada Corp. 408,612 -------------- MULTI-UTILITIES -- 2.1% 5,969 Black Hills Corp. 466,597 5,684 NorthWestern Corp. 410,100 -------------- 876,697 -------------- OIL, GAS & CONSUMABLE FUELS -- 12.3% 18,330 Alliance Resource Partners, L.P. (b) 311,243 17,409 Cabot Oil & Gas Corp. 399,711 9,978 Cheniere Energy Partners, L.P. (b) 420,872 28,269 Energy Transfer, L.P. (b) 398,028 6,845 Hess Corp. 435,137 20,377 Kinder Morgan, Inc. 425,472 11,860 MPLX, L.P. (b) 381,773 11,714 Natural Resource Partners, L.P. (b) 415,378 19,010 Shell Midstream Partners, L.P. (b) 393,887 13,045 Suncor Energy, Inc. 406,482 17,553 Tallgrass Energy, L.P. (b) (c) 370,544 7,053 TOTAL S.A., ADR 393,487 13,427 Western Midstream Partners, L.P. (b) 413,149 -------------- 5,165,163 -------------- PAPER & FOREST PRODUCTS -- 1.0% 9,622 Domtar Corp. 428,468 -------------- PERSONAL PRODUCTS -- 1.0% 2,259 Estee Lauder (The) Cos., Inc., Class A 413,645 -------------- PHARMACEUTICALS -- 2.1% 5,118 Merck & Co., Inc. 429,144 3,971 Zoetis, Inc. 450,669 -------------- 879,813 -------------- PROFESSIONAL SERVICES -- 1.0% 2,857 Verisk Analytics, Inc. 418,436 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 4,031 Cabot Microelectronics Corp. 443,732 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 29,219 DSP Group, Inc. (a) $ 419,585 -------------- 863,317 -------------- SOFTWARE -- 4.8% 8,327 Cadence Design Systems, Inc. (a) 589,635 1,673 Fair Isaac Corp. (a) 525,355 4,830 j2 Global, Inc. 429,339 11,708 Open Text Corp. 482,370 -------------- 2,026,699 -------------- SPECIALTY RETAIL -- 2.2% 441 AutoZone, Inc. (a) 484,866 4,043 Tractor Supply Co. 439,879 -------------- 924,745 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 13,334 Fastenal Co. 434,555 -------------- WATER UTILITIES -- 0.9% 3,368 American Water Works Co., Inc. 390,688 -------------- TOTAL INVESTMENTS -- 100.0% 42,102,097 (Cost $38,394,764) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (1,460) -------------- NET ASSETS -- 100.0% $ 42,100,637 ============== (a) Non-income producing security. (b) Security is a Master Limited Partnership ("MLP"). (c) This security is taxed as a "C" corporation for federal income tax purposes. (d) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,907,552 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $200,219. The net unrealized appreciation was $3,707,333. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 42,102,097 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 43 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST DOW JONES SELECT MORNINGSTAR US EQUITY MICROCAP DIVIDEND LEADERS OPPORTUNITIES INDEX FUND INDEX FUND ETF (FDM) (FDL) (FPX) ---------------- ----------------- ---------------- ASSETS: Investments, at value............................................... $ 149,852,627 $ 1,655,304,108 $1,224,662,785 Cash................................................................ 146,535 2,676,817 1,113,638 Receivables:........................................................ Investment securities sold.................................... 1,244,938 -- -- Capital shares sold........................................... -- -- -- Dividends..................................................... 240,584 3,915,974 572,052 Securities lending income..................................... 12,166 -- 68,859 Reclaims...................................................... -- -- -- Prepaid expenses.................................................... 3,011 9,486 5,996 -------------- --------------- -------------- Total Assets.................................................. 151,499,861 1,661,906,385 1,226,423,330 -------------- --------------- -------------- LIABILITIES: Payables: Collateral for securities on loan............................. 2,961,840 -- 21,366,767 Investment securities purchased............................... 1,273,462 -- 188,913 Capital shares redeemed....................................... -- -- -- Licensing fees................................................ 57,081 369,161 270,974 Investment advisory fees...................................... 46,022 472,980 382,767 Audit and tax fees............................................ 14,292 14,292 14,292 Shareholder reporting fees.................................... 9,875 52,949 42,383 Other liabilities................................................... 68,768 431,865 325,860 -------------- --------------- -------------- Total Liabilities............................................. 4,431,340 1,341,247 22,591,956 -------------- --------------- -------------- NET ASSETS.......................................................... $ 147,068,521 $ 1,660,565,138 $1,203,831,374 ============== =============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 175,268,486 $ 1,655,814,781 $1,040,065,421 Par value........................................................... 32,550 542,000 154,500 Accumulated distributable earnings (loss)........................... (28,232,515) 4,208,357 163,611,453 -------------- --------------- -------------- NET ASSETS.......................................................... $ 147,068,521 $ 1,660,565,138 $1,203,831,374 ============== =============== ============== NET ASSET VALUE, per share.......................................... $ 45.18 $ 30.64 $ 77.92 ============== =============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 3,255,000 54,200,002 15,450,002 ============== =============== ============== Investments, at cost................................................ $ 161,910,294 $ 1,653,542,714 $ 956,072,421 ============== =============== ============== Securities on loan, at value........................................ $ 2,926,726 $ -- $ 21,256,298 ============== =============== ==============
Page 44 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST NYSE ARCA DOW JONES CAPITAL VALUE LINE(R) VALUE LINE(R) 100 BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND EXCHANGE-TRADED INDEX FUND INDEX FUND ETF INDEX FUND FUND (FBT) (FDN) (FTCS) (FVD) (FVL) ---------------- ---------------- ---------------- ---------------- ---------------- $2,927,794,620 $8,893,541,149 $2,468,707,135 $6,468,936,386 $ 42,102,097 3,623,236 -- 1,323,635 4,606,879 34,043 -- 14,355,908 -- -- -- -- -- -- 18,433,866 -- -- 18,763 3,028,366 13,217,860 39,638 -- 1,267 -- -- -- 69,717 -- -- 732,844 7,190 12,405 31,474 3,942 20,800 2,708 -------------- -------------- -------------- -------------- -------------- 2,931,499,978 8,907,948,561 2,473,063,078 6,505,948,635 42,185,676 -------------- -------------- -------------- -------------- -------------- -- -- -- -- -- -- -- -- 18,399,723 -- -- 14,369,159 -- -- -- 1,128,789 1,318,342 52,336 2,253,613 15,764 922,757 2,890,671 977,847 2,697,234 8,995 14,292 14,292 14,292 14,292 14,292 93,114 334,148 55,923 161,378 5,317 702,823 1,697,048 538,393 1,211,713 40,671 -------------- -------------- -------------- -------------- -------------- 2,861,775 20,623,660 1,638,791 24,737,953 85,039 -------------- -------------- -------------- -------------- -------------- $2,928,638,203 $8,887,324,901 $2,471,424,287 $6,481,210,682 $ 42,100,637 ============== ============== ============== ============== ============== $3,335,553,932 $7,343,761,486 $2,292,024,016 $6,007,342,516 $ 50,206,345 208,000 618,500 438,000 1,921,880 18,900 (407,123,729) 1,542,944,915 178,962,271 471,946,286 (8,124,608) -------------- -------------- -------------- -------------- -------------- $2,928,638,203 $8,887,324,901 $2,471,424,287 $6,481,210,682 $ 42,100,637 ============== ============== ============== ============== ============== $ 140.80 $ 143.69 $ 56.43 $ 33.72 $ 22.28 ============== ============== ============== ============== ============== 20,800,002 61,850,002 43,800,002 192,187,986 1,889,982 ============== ============== ============== ============== ============== $3,006,248,316 $7,408,280,937 $2,281,989,726 $5,889,532,996 $ 38,394,764 ============== ============== ============== ============== ============== $ -- $ -- $ -- $ -- $ -- ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 45 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST DOW JONES SELECT MORNINGSTAR US EQUITY MICROCAP DIVIDEND LEADERS OPPORTUNITIES INDEX FUND INDEX FUND ETF (FDM) (FDL) (FPX) ---------------- ----------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 1,753,409 $ 34,089,131 $ 7,564,680 Securities lending income (net of fees)............................. 48,539 -- 417,994 Foreign withholding tax............................................. -- -- -- -------------- --------------- -------------- Total investment income....................................... 1,801,948 34,089,131 7,982,674 -------------- --------------- -------------- EXPENSES: Investment advisory fees............................................ 371,673 2,334,364 2,142,048 Licensing fees...................................................... 44,600 704,025 535,512 Accounting and administration fees.................................. 38,773 361,574 264,446 Custodian fees...................................................... 29,604 28,669 47,428 Shareholder reporting fees.......................................... 12,262 53,779 40,637 Audit and tax fees.................................................. 11,368 11,368 11,368 Transfer agent fees................................................. 3,716 31,849 25,716 Trustees' fees and expenses......................................... 3,647 4,591 4,213 Listing fees........................................................ 3,471 5,910 3,471 Legal fees.......................................................... 1,830 20,496 18,344 Registration and filing fees........................................ (95) 49 (14,844) Other expenses...................................................... 1,726 3,340 7,760 -------------- --------------- -------------- Total expenses................................................ 522,575 3,560,014 3,086,099 Less fees waived and expenses reimbursed by the investment advisor.................................................... (76,567) (58,467) -- -------------- --------------- -------------- Net expenses.................................................. 446,008 3,501,547 3,086,099 -------------- --------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 1,355,940 30,587,584 4,896,575 -------------- --------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (528,395) (30,313,717) (10,994,927) In-kind redemptions........................................... 1,890,627 134,511,123 15,309,970 Foreign currency transactions................................. -- -- -- -------------- --------------- -------------- Net realized gain (loss)............................................ 1,362,232 104,197,406 4,315,043 -------------- --------------- -------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... 13,610,741 68,523,766 225,345,280 Foreign currency translation.................................. -- -- -- -------------- --------------- -------------- Net change in unrealized appreciation (depreciation)................ 13,610,741 68,523,766 225,345,280 -------------- --------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 14,972,973 172,721,172 229,660,323 -------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 16,328,913 $ 203,308,756 $ 234,556,898 ============== =============== ==============
Page 46 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST NYSE ARCA DOW JONES CAPITAL VALUE LINE(R) VALUE LINE(R) 100 BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND EXCHANGE-TRADED INDEX FUND INDEX FUND ETF INDEX FUND FUND (FBT) (FDN) (FTCS) (FVD) (FVL) ---------------- ---------------- ---------------- ---------------- ---------------- $ 4,465,201 $ 14,563,160 $ 22,189,218 $ 90,943,852 $ 375,582 98,740 87,778 -- -- -- (152,691) -- -- (1,816,804) (4,620) -------------- -------------- -------------- -------------- -------------- 4,411,250 14,650,938 22,189,218 89,127,048 370,962 -------------- -------------- -------------- -------------- -------------- 5,643,938 16,680,261 4,964,619 13,584,171 99,109 1,128,788 2,499,544 96,817 4,107,179 30,827 597,401 1,298,481 447,380 968,893 11,817 108,499 400,526 81,658 127,112 7,898 124,465 388,155 74,235 180,088 6,328 11,368 11,368 11,368 11,368 11,368 47,667 116,632 37,229 80,314 991 5,616 8,491 4,845 7,105 3,568 3,471 5,910 525 15,786 10,868 30,388 115,785 22,562 60,404 677 (36,389) (91,146) 534 (23,813) 49 18,398 50,013 8,556 18,254 1,516 -------------- -------------- -------------- -------------- -------------- 7,683,610 21,484,020 5,750,328 19,136,861 185,016 -- -- -- (119,030) (46,262) -------------- -------------- -------------- -------------- -------------- 7,683,610 21,484,020 5,750,328 19,017,831 138,754 -------------- -------------- -------------- -------------- -------------- (3,272,360) (6,833,082) 16,438,890 70,109,217 232,208 -------------- -------------- -------------- -------------- -------------- (142,087,443) (57,337,804) (34,635,928) (65,306,666) 1,457,312 32,075,203 477,464,929 71,948,662 120,459,392 76,224 -- -- -- (789) (60) -------------- -------------- -------------- -------------- -------------- (110,012,240) 420,127,125 37,312,734 55,151,937 1,533,476 -------------- -------------- -------------- -------------- -------------- 407,265,433 1,187,451,160 246,949,077 685,198,194 5,084,822 -- -- -- 634 97 -------------- -------------- -------------- -------------- -------------- 407,265,433 1,187,451,160 246,949,077 685,198,828 5,084,919 -------------- -------------- -------------- -------------- -------------- 297,253,193 1,607,578,285 284,261,811 740,350,765 6,618,395 -------------- -------------- -------------- -------------- -------------- $ 293,980,833 $1,600,745,203 $ 300,700,701 $ 810,459,982 $ 6,850,603 ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST DOW JONES SELECT MORNINGSTAR MICROCAP DIVIDEND LEADERS INDEX FUND INDEX FUND (FDM) (FDL) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2019 Year Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................ $ 1,355,940 $ 1,594,378 $ 30,587,584 $ 55,726,737 Net realized gain (loss).................................... 1,362,232 13,232,312 104,197,406 64,064,556 Net change in unrealized appreciation (depreciation)........ 13,610,741 (35,961,521) 68,523,766 (213,401,301) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 16,328,913 (21,134,831) 203,308,756 (93,610,008) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (1,101,066) (1,417,591) (25,764,481) (55,170,342) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 4,399,178 140,816,685 710,642,719 387,762,741 Cost of shares redeemed..................................... (11,335,316) (76,499,080) (614,104,954) (571,798,626) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (6,936,138) 64,317,605 96,537,765 (184,035,885) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... 8,291,709 41,765,183 274,082,040 (332,816,235) NET ASSETS: Beginning of period......................................... 138,776,812 97,011,629 1,386,483,098 1,719,299,333 -------------- -------------- -------------- -------------- End of period............................................... $ 147,068,521 $ 138,776,812 $1,660,565,138 $1,386,483,098 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 3,405,000 2,055,000 50,900,002 57,200,002 Shares sold................................................. 100,000 2,850,000 23,450,000 13,450,000 Shares redeemed............................................. (250,000) (1,500,000) (20,150,000) (19,750,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 3,255,000 3,405,000 54,200,002 50,900,002 ============== ============== ============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST US EQUITY NYSE ARCA DOW JONES OPPORTUNITIES BIOTECHNOLOGY INTERNET ETF INDEX FUND INDEX FUND (FPX) (FBT) (FDN) ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Ended Ended Ended 6/30/2019 Year Ended 6/30/2019 Year Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 -------------- -------------- -------------- -------------- -------------- -------------- $ 4,896,575 $ 8,164,263 $ (3,272,360) $ (4,195,069) $ (6,833,082) $ (21,307,396) 4,315,043 43,343,388 (110,012,240) 216,117,246 420,127,125 934,554,669 225,345,280 (144,486,852) 407,265,433 (565,874,934) 1,187,451,160 (796,446,658) -------------- -------------- -------------- -------------- -------------- -------------- 234,556,898 (92,979,201) 293,980,833 (353,952,757) 1,600,745,203 116,800,615 -------------- -------------- -------------- -------------- -------------- -------------- (2,548,561) (8,618,366) -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 119,116,209 314,592,694 475,826,176 2,320,112,972 1,330,908,441 4,019,193,398 (59,771,832) (282,248,146) (183,381,616) (831,758,091) (1,061,135,958) (2,610,007,206) -------------- -------------- -------------- -------------- -------------- -------------- 59,344,377 32,344,548 292,444,560 1,488,354,881 269,772,483 1,409,186,192 -------------- -------------- -------------- -------------- -------------- -------------- 291,352,714 (69,253,019) 586,425,393 1,134,402,124 1,870,517,686 1,525,986,807 912,478,660 981,731,679 2,342,212,810 1,207,810,686 7,016,807,215 5,490,820,408 -------------- -------------- -------------- -------------- -------------- -------------- $1,203,831,374 $ 912,478,660 $2,928,638,203 $2,342,212,810 $8,887,324,901 $7,016,807,215 ============== ============== ============== ============== ============== ============== 14,700,002 14,400,002 18 ,850,002 9,700,002 60,150,002 50,000,002 1,600,000 4,400,000 3,300,000 15,450,000 9,450,000 30,750,000 (850,000) (4,100,000) (1,350,000) (6,300,000) (7,750,000) (20,600,000) -------------- -------------- -------------- -------------- -------------- -------------- 15,450,002 14,700,002 20,800,002 18,850,002 61,850,002 60,150,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST CAPITAL STRENGTH VALUE LINE(R) DIVIDEND ETF INDEX FUND (FTCS) (FVD) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2019 Year Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................ $ 16,438,890 $ 12,868,717 $ 70,109,217 $ 102,024,585 Net realized gain (loss).................................... 37,312,734 44,264,086 55,151,937 195,923,909 Net change in unrealized appreciation (depreciation)........ 246,949,077 (141,037,098) 685,198,828 (464,993,579) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 300,700,701 (83,904,295) 810,459,982 (167,045,085) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (12,862,231) (13,023,451) (54,744,495) (102,072,326) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 1,463,581,150 1,360,944,668 2,213,642,241 2,031,003,840 Cost of shares redeemed..................................... (656,126,430) (511,985,305) (862,629,940) (1,582,233,890) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ 807,454,720 848,959,363 1,351,012,301 448,769,950 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... 1,095,293,190 752,031,617 2,106,727,788 179,652,539 NET ASSETS: Beginning of period......................................... 1,376,131,097 624,099,480 4,374,482,894 4,194,830,355 -------------- -------------- -------------- -------------- End of period............................................... $2,471,424,287 $1,376,131,097 $6,481,210,682 $4,374,482,894 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 28,500,002 12,250,002 150,487,986 136,037,986 Shares sold................................................. 27,150,000 26,050,000 68,600,000 66,050,000 Shares redeemed............................................. (11,850,000) (9,800,000) (26,900,000) (51,600,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 43,800,002 28,500,002 192,187,986 150,487,986 ============== ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) ------------------------------- Six Months Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 -------------- -------------- $ 232,208 $ 285,088 1,533,476 (7,657,763) 5,084,919 (2,046,735) -------------- -------------- 6,850,603 (9,419,410) -------------- -------------- (185,609) (292,079) -------------- -------------- -- 39,520,882 (1,070,564) (49,060,514) -------------- -------------- (1,070,564) (9,539,632) -------------- -------------- 5,594,430 (19,251,121) 36,506,207 55,757,328 -------------- -------------- $ 42,100,637 $ 36,506,207 ============== ============== 1,939,982 2,389,982 -- 1,650,000 (50,000) (2,100,000) -------------- -------------- 1,889,982 1,939,982 ============== ==============
See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 40.76 $ 47.21 $ 43.98 $ 32.92 $ 33.21 $ 32.47 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.42 0.56 0.42 0.49 0.49 0.23 Net realized and unrealized gain (loss) 4.34 (6.50) 3.27 11.07 (0.30) 0.76 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.76 (5.94) 3.69 11.56 0.19 0.99 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.34) (0.51) (0.46) (0.50) (0.48) (0.25) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 45.18 $ 40.76 $ 47.21 $ 43.98 $ 32.92 $ 33.21 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 11.67% (12.68)% 8.44% 35.45% 0.55% 3.08% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 147,069 $ 138,777 $ 97,012 $ 116,776 $ 49,551 $ 51,648 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.73% 0.71% 0.75% 0.73% 0.70% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 1.82% (b) 1.29% 0.89% 1.52% 1.46% 0.71% Portfolio turnover rate (c) 7% 75% 55% 48% 63% 49% FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 27.24 $ 30.06 $ 27.75 $ 23.69 $ 23.94 $ 21.93 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.57 1.09 0.93 0.82 0.86 0.80 Net realized and unrealized gain (loss) 3.31 (2.83) 2.34 4.05 (0.25) 2.01 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.88 (1.74) 3.27 4.87 0.61 2.81 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.48) (1.08) (0.96) (0.81) (0.86) (0.80) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.64 $ 27.24 $ 30.06 $ 27.75 $ 23.69 $ 23.94 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 14.28% (5.87)% 11.93% 20.72% 2.73% 12.96% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,660,565 $1,386,483 $1,719,299 $1,778,464 $ 875,294 $ 985,151 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.46% (b) 0.47% 0.47% 0.48% 0.48% 0.49% Ratio of net expenses to average net assets 0.45% (b) 0.45% 0.45% 0.45% 0.45% 0.45% Ratio of net investment income (loss) to average net assets 3.93% (b) 3.70% 3.18% 3.27% 3.59% 3.55% Portfolio turnover rate (c) 30% 39% 43% 50% 61% 40%
(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) Annualized. (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 52 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 62.07 $ 68.18 $ 54.10 $ 51.11 $ 50.32 $ 45.34 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.52 0.43 0.31 0.31 0.41 Net realized and unrealized gain (loss) 15.70 (6.08) 14.12 3.10 0.80 4.97 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 16.02 (5.56) 14.55 3.41 1.11 5.38 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.55) (0.47) (0.42) (0.32) (0.40) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 77.92 $ 62.07 $ 68.18 $ 54.10 $ 51.11 $ 50.32 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 25.81% (8.22)% 26.96% 6.70% 2.19% 11.91% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,203,831 $ 912,479 $ 981,732 $ 614,024 $ 789,693 $ 535,943 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% (b) 0.59% 0.59% 0.60% 0.60% 0.60% Ratio of net expenses to average net assets 0.58% (b) 0.59% 0.59% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.91% (b) 0.74% 0.71% 0.58% 0.61% 0.89% Portfolio turnover rate (c) 38% 57% 31% 41% 41% 46% FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 124.26 $ 124.52 $ 90.89 $ 113.06 $ 101.99 $ 69.12 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.16) (0.22) (0.08) (0.32) 0.09 0.04 Net realized and unrealized gain (loss) 16.70 (0.04) 33.71 (21.85) 11.11 32.88 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 16.54 (0.26) 33.63 (22.17) 11.20 32.92 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- (0.13) (0.05) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 140.80 $ 124.26 $ 124.52 $ 90.89 $ 113.06 $ 101.99 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 13.32% (0.21)% 36.99% (19.60)% 10.97% 47.63% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,928,638 $2,342,213 $1,207,811 $ 804,385 $3,437,024 $2,126,581 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.54% (b) 0.57% 0.56% 0.56% 0.55% 0.58% Ratio of net expenses to average net assets 0.54% (b) 0.57% 0.56% 0.56% 0.55% 0.58% Ratio of net investment income (loss) to average net assets (0.23)%(b) (0.21)% (0.08)% (0.27)% 0.08% 0.06% Portfolio turnover rate (c) 17% 37% 36% 42% 30% 58%
(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. (b) Annualized. (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 53 FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 116.66 $ 109.82 $ 79.79 $ 74.64 $ 61.30 $ 59.84 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.11) (0.35) (0.28) (0.27) (0.14) (0.08) Net realized and unrealized gain (loss) 27.14 7.19 30.31 5.42 13.48 1.54 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 27.03 6.84 30.03 5.15 13.34 1.46 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- -- ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 143.69 $ 116.66 $ 109.82 $ 79.79 $ 74.64 $ 61.30 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 23.18% 6.23% 37.62% 6.91% 21.77% 2.42% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,887,325 $7,016,807 $5,490,820 $3,486,734 $4,914,821 $1,976,793 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.52% (b) 0.52% 0.53% 0.54% 0.54% 0.54% Ratio of net expenses to average net assets 0.52% (b) 0.52% 0.53% 0.54% 0.54% 0.54% Ratio of net investment income (loss) to average net assets (0.16)%(b) (0.27)% (0.32)% (0.35)% (0.29)% (0.13)% Portfolio turnover rate (c) 11% 21% 22% 21% 28% 27% FIRST TRUST CAPITAL STRENGTH ETF (FTCS) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 48.29 $ 50.95 $ 40.79 $ 38.12 $ 38.08 $ 33.70 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.41 0.60 0.59 0.58 0.57 0.72 Net realized and unrealized gain (loss) 8.06 (2.65) 10.16 2.67 0.04 4.43 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 8.47 (2.05) 10.75 3.25 0.61 5.15 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.61) (0.59) (0.58) (0.57) (0.77) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 56.43 $ 48.29 $ 50.95 $ 40.79 $ 38.12 $ 38.08 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 17.57% (4.09)% 26.49% 8.57% 1.64% 15.46% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,471,424 $1,376,131 $ 624,099 $ 320,190 $ 165,815 $ 85,686 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% (b) 0.60% 0.61% 0.64% 0.65% 0.66% Ratio of net expenses to average net assets 0.58% (b) 0.60% 0.61% 0.64% 0.65% 0.65% Ratio of net investment income (loss) to average net assets 1.66% (b) 1.30% 1.33% 1.55% 1.59% 2.07% Portfolio turnover rate (c) 77% 117% 85% 85% 96% 89%
(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) Annualized. (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 54 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 29.07 $ 30.84 $ 28.02 $ 23.86 $ 24.13 $ 21.36 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.39 0.73 0.63 0.56 0.55 0.58 Net realized and unrealized gain (loss) 4.57 (1.77) 2.84 4.17 (0.26) 2.78 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.96 (1.04) 3.47 4.73 0.29 3.36 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.31) (0.73) (0.65) (0.57) (0.56) (0.59) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 33.72 $ 29.07 $ 30.84 $ 28.02 $ 23.86 $ 24.13 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 17.08% (3.44)% 12.48% 19.94% 1.26% 15.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 6,481,211 $4,374,483 $4,194,830 $2,892,982 $1,188,031 $1,089,299 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.72% 0.72% 0.73% 0.74% 0.75% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.58% (b) 2.40% 2.19% 2.31% 2.40% 2.63% Portfolio turnover rate (c) 28% 58% 50% 60% 82% 63% FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 18.82 $ 23.33 $ 21.58 $ 19.71 $ 20.41 $ 18.44 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.12 0.13 0.16 0.12 0.07 0.11 Net realized and unrealized gain (loss) 3.44 (4.51) 1.78 1.87 (0.71) (d) 1.98 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.56 (4.38) 1.94 1.99 (0.64) 2.09 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.10) (0.13) (0.19) (0.12) (0.06) (0.12) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 22.28 $ 18.82 $ 23.33 $ 21.58 $ 19.71 $ 20.41 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 18.91% (18.83)% 9.05% 10.14% (3.13)%(d) 11.33% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 42,101 $ 36,506 $ 55,757 $ 52,643 $ 53,013 $ 60,008 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.93% (b) 0.89% 0.85% 0.87% 0.84% 0.84% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.17% (b) 0.56% 0.73% 0.59% 0.32% 0.57% Portfolio turnover rate (c) 156% 424% 466% 491% 404% 325%
(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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) The Fund received a payment from the Advisor in the amount of $95,996 in connection with a trade error, which represents $0.03 per share. Since the Advisor reimbursed the Fund, there was no effect on the Fund's total return. See Notes to Financial Statements Page 55 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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-one exchange-traded funds. This report covers the eight funds listed below: First Trust Dow Jones Select MicroCap Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker "FDM") First Trust Morningstar Dividend Leaders Index Fund - (NYSE Arca ticker "FDL") First Trust US Equity Opportunities ETF - (NYSE Arca ticker "FPX") First Trust NYSE Arca Biotechnology Index Fund - (NYSE Arca ticker "FBT") First Trust Dow Jones Internet Index Fund - (NYSE Arca ticker "FDN") First Trust Capital Strength ETF - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "FTCS") First Trust Value Line(R) Dividend Index Fund - (NYSE Arca ticker "FVD") First Trust Value Line(R) 100 Exchange-Traded Fund - (NYSE Arca ticker "FVL") Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are generally issued and redeemed in-kind for securities in which a Fund invests and, in certain circumstances, for cash, and only to and from broker-dealers and large institutional investors that have entered into participation agreements. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. 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 Dow Jones Select MicroCap Index Fund Dow Jones Select MicroCap Index(SM) First Trust Morningstar Dividend Leaders Index Fund Morningstar(R) Dividend Leaders Index(SM) First Trust US Equity Opportunities ETF IPOX(R)-100 U.S. Index First Trust NYSE Arca Biotechnology Index Fund NYSE Arca Biotechnology Index(SM) First Trust Dow Jones Internet Index Fund Dow Jones Internet Composite Index(SM) First Trust Capital Strength ETF The Capital Strength Index(SM) First Trust Value Line(R) Dividend Index Fund Value Line(R) Dividend Index First Trust Value Line(R) 100 Exchange-Traded Fund Value Line(R) 100 Index
2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 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 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 provisions of 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 56 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the 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. Page 57 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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 June 30, 2019, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trust ("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 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 require entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At June 30, 2019, only FDM and FPX had securities in the securities lending program. During the six months ended June 30, 2019, FDM, FPX, FBT, and FDN participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities Page 58 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund 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 six months ended June 30, 2019, 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, 2018 was as follows:
Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital ------------------ ---------------- ----------------- First Trust Dow Jones Select MicroCap Index Fund $ 1,417,591 $ -- $ -- First Trust Morningstar Dividend Leaders Index Fund 55,170,342 -- -- First Trust US Equity Opportunities ETF 8,618,366 -- -- First Trust NYSE Arca Biotechnology Index Fund -- -- -- First Trust Dow Jones Internet Index Fund -- -- -- First Trust Capital Strength ETF 13,023,451 -- -- First Trust Value Line(R) Dividend Index Fund 102,072,326 -- -- First Trust Value Line(R) 100 Exchange-Traded Fund 292,079 -- --
Page 59 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) As of December 31, 2018, 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 Dow Jones Select MicroCap Index Fund $ 200,386 $(16,493,170) $ (27,167,578) First Trust Morningstar Dividend Leaders Index Fund 135,366 (83,142,112) (90,329,172) First Trust US Equity Opportunities ETF -- (104,241,056) 35,844,172 First Trust NYSE Arca Biotechnology Index Fund -- (136,416,636) (564,687,926) First Trust Dow Jones Internet Index Fund -- (150,836,952) 93,036,664 First Trust Capital Strength ETF -- (43,880,883) (64,995,316) First Trust Value Line(R) Dividend Index Fund -- (69,543,177) (214,226,024) First Trust Value Line(R) 100 Exchange-Traded Fund -- (13,408,733) (1,380,869)
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. 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. Taxable years ending 2015, 2016, 2017, and 2018 remain open to federal and state audit. As of June 30, 2019, 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. Under the Regulated Investment Company Modernization Act of 2010 (the "Act"), net capital losses arising in taxable years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for up to eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. At December 31, 2018, the Funds had post-enactment net capital losses for federal income tax purposes as shown in the following table. 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 Fund shareholders. The Funds are 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.
Post Enactment - No Expiration -------------------- First Trust Dow Jones Select MicroCap Index Fund $ 16,493,170 First Trust Morningstar Dividend Leaders Index Fund 83,142,112 First Trust US Equity Opportunities ETF 104,241,056 First Trust NYSE Arca Biotechnology Index Fund 136,416,636 First Trust Dow Jones Internet Index Fund 150,836,952 First Trust Capital Strength ETF 43,880,883 First Trust Value Line(R) Dividend Index Fund 69,543,177 First Trust Value Line(R) 100 Exchange-Traded Fund 13,408,733
During the taxable year ended December 31, 2018, the following Fund utilized capital loss carryforwards in the following amount:
Post-Enactment Capital Loss Carryforward Utilized -------------------- First Trust NYSE Arca Biotechnology Index Fund $ 66,225,459
Page 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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 Dow Jones Select MicroCap Index Fund S&P Dow Jones Indices LLC First Trust Morningstar Dividend Leaders Index Fund Morningstar, Inc. First Trust US Equity Opportunities ETF IPOX(R) Schuster LLC First Trust NYSE Arca Biotechnology Index Fund ICE Data Indices, LLC First Trust Dow Jones Internet Index Fund S&P Dow Jones Indices LLC First Trust Capital Strength ETF Nasdaq, Inc. First Trust Value Line(R) Dividend Index Fund Value Line Publishing LLC First Trust Value Line(R) 100 Exchange-Traded Fund Value Line Publishing LLC
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. I. NEW ACCOUNTING PRONOUNCEMENT On August 28, 2018, the FASB issued Accounting Standards Update ("ASU") 2018-13, "Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement," which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Funds have early adopted ASU 2018-13 for these financial statements, which did not result in a material impact. 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 Dow Jones Select MicroCap Index Fund 0.50% First Trust Morningstar Dividend Leaders Index Fund 0.30% First Trust US Equity Opportunities ETF 0.40% First Trust NYSE Arca Biotechnology Index Fund 0.40% First Trust Dow Jones Internet Index Fund 0.40% First Trust Capital Strength ETF 0.50% First Trust Value Line(R) Dividend Index Fund 0.50% First Trust Value Line(R) 100 Exchange-Traded Fund 0.50%
Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) The Trust and First Trust 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, 2021.
Expense Cap ---------------- First Trust Dow Jones Select MicroCap Index Fund 0.60% First Trust Morningstar Dividend Leaders Index Fund 0.45% First Trust US Equity Opportunities ETF 0.60% First Trust NYSE Arca Biotechnology Index Fund 0.60% First Trust Dow Jones Internet Index Fund 0.60% First Trust Capital Strength ETF 0.65% First Trust Value Line(R) Dividend Index Fund 0.70% First Trust Value Line(R) 100 Exchange-Traded Fund 0.70%
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 was waived or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees waived by First Trust. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the six months ended June 30, 2019 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 Six Months Year Year Six Months Fee Expense Ended Ended Ended Ended Waivers Reimbursement 12/31/2016 12/31/2017 12/31/2018 6/30/2019 Total --------- ------------- ---------- ---------- ---------- ---------- ---------- First Trust Dow Jones Select MicroCap Index Fund $ 76,567 $ -- $ 36,843 $ 97,709 $ 162,786 $ 76,567 $ 373,905 First Trust Morningstar Dividend Leaders Index Fund 58,467 -- 229,632 289,110 256,355 58,467 833,564 First Trust Value Line(R) Dividend Index Fund 119,030 -- 416,233 816,754 768,292 119,030 2,120,309 First Trust Value Line(R) 100 Exchange- Traded Fund 46,262 -- 42,166 82,527 94,969 46,262 265,924
First Trust US Equity Opportunities ETF, First Trust NYSE Arca Biotechnology Index Fund, First Trust Dow Jones Internet Index Fund and First Trust Capital Strength ETF do not have any remaining fees previously waived or expenses reimbursed that are subject to recovery. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen 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 Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 4. PURCHASES AND SALES OF SECURITIES For the six months ended June 30, 2019, 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 Dow Jones Select MicroCap Index Fund $ 11,558,028 $ 10,415,493 First Trust Morningstar Dividend Leaders Index Fund 469,519,832 466,734,126 First Trust US Equity Opportunities ETF 407,227,294 406,020,877 First Trust NYSE Arca Biotechnology Index Fund 480,449,588 483,718,318 First Trust Dow Jones Internet Index Fund 917,728,442 930,682,709 First Trust Capital Strength ETF 1,521,135,220 1,516,847,092 First Trust Value Line(R) Dividend Index Fund 1,545,009,398 1,529,734,631 First Trust Value Line(R) 100 Exchange-Traded Fund 62,242,380 62,005,610
For the six months ended June 30, 2019, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
Purchases Sales --------------- --------------- First Trust Dow Jones Select MicroCap Index Fund $ 4,392,930 $ 11,303,175 First Trust Morningstar Dividend Leaders Index Fund 708,675,929 612,389,860 First Trust US Equity Opportunities ETF 118,227,467 58,609,605 First Trust NYSE Arca Biotechnology Index Fund 475,312,976 183,313,025 First Trust Dow Jones Internet Index Fund 1,329,245,599 1,057,373,496 First Trust Capital Strength ETF 1,461,045,786 656,031,734 First Trust Value Line(R) Dividend Index Fund 2,206,733,107 864,710,202 First Trust Value Line(R) 100 Exchange-Traded Fund -- 1,070,604
5. CREATION, REDEMPTION AND TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an "Authorized Participant'). In order to purchase Creation Units of each Fund, an Authorized Participant must deposit (i) a designated portfolio of equity securities determined by First Trust (the "Deposit Securities") and generally make or receive a cash payment referred to as the "Cash Component," which is an amount equal to the difference between the NAV of the Fund Shares (per Creation Unit Aggregation) and the market value of the Deposit Securities, and/or (ii) cash in lieu of all or a portion of the Deposit Securities. If the Cash Component is a positive number (i.e., the NAV per Creation Unit Aggregation exceeds the Deposit Amount), the Authorized Participant will deliver the Cash Component. If the Cash Component is a negative number (i.e., the NAV per Creation Unit Aggregation is less than the Deposit Amount), the Authorized Participant will receive the Cash Component. Authorized Participants purchasing Creation Units must pay to BNYM, as transfer agent, a creation transaction fee (the "Creation Transaction Fee") regardless of the number of Creation Units purchased in the transaction. The Creation Transaction Fee may vary and is based on the composition of the securities included in each Fund's portfolio and the countries in which the transactions are settled. The Creation Transaction Fee is currently $500 for each Fund, except First Trust Dow Jones Select MicroCap Index Fund and First Trust Value Line(R) Dividend Index Fund for which the Creation Transaction Fee is $1,000. The price for each Creation Unit will equal the daily NAV per share 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 or stamp taxes. When a Fund permits an Authorized Participant to substitute cash or a different security in lieu of depositing one or more of the requisite Deposit Securities, the Authorized Participant may also be assessed an amount to cover the cost of purchasing the Deposit Securities and/or disposing of the substituted securities, including 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 such Deposit Securities and/or substitute securities. Authorized Participants redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), regardless of the number of Creation Units redeemed in the transaction. The Redemption Transaction Fee may vary and is based on the composition of the securities included in each Fund's portfolio and the countries in which the transactions are settled. The Redemption Transaction Fee is currently $500 for each Fund, except First Trust Dow Jones Select MicroCap Index Fund and First Trust Value Line(R) Dividend Index Fund for which the Redemption Transaction Fee is $1,000. Each Fund reserves the right to effect redemptions in cash. An Authorized Participant may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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, 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 64 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (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. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a large 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 not concentrated. 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. 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 Page 65 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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. 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. 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; 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. 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. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 66 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees (the "Board") of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following eight series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Value Line(R) 100 Exchange-Traded Fund (FVL) First Trust Value Line(R) Dividend Index Fund (FVD) First Trust Dow Jones Select MicroCap Index Fund (FDM) First Trust Morningstar Dividend Leaders Index Fund (FDL) First Trust US Equity Opportunities ETF (FPX) First Trust NYSE Arca Biotechnology Index Fund (FBT) First Trust Dow Jones Internet Index Fund (FDN) First Trust Capital Strength ETF (FTCS) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2019 and June 2, 2019, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2019, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 2, 2019 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2019 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Funds and the other funds in the Page 67 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. The Board considered the advisory fee rate payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through April 30, 2021. For each Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of FPX was equal to the median total (net) expense ratio of the peer funds in its Expense Group and that the total (net) expense ratio of each other Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's description of its long-term commitment to each Fund. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2018 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase over the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2018 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis. Page 68 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 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] 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) Semi-Annual Report For the Six Months Ended June 30, 2019 -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2019 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).................................... 34 First Trust Water ETF (FIW).............................................. 37 First Trust Natural Gas ETF (FCG)........................................ 38 First Trust Chindia ETF (FNI)............................................ 40 First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 43 Statements of Assets and Liabilities........................................ 46 Statements of Operations.................................................... 48 Statements of Changes in Net Assets......................................... 50 Financial Highlights........................................................ 54 Notes to Financial Statements............................................... 59 Additional Information...................................................... 68 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 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 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2019 Dear Shareholders: One thing we can all agree on and expect: headline news coming out of Washington, DC continues to influence the financial markets. As January 2019 unfolded, the longest partial government shutdown in U.S. history was wrapping up while we were beginning to learn about President Trump's approach to international trade policy. By June's end, trade talks with China were reengaging and the threat of 5% tariffs on Mexican imports was averted. Investors breathed a collective sigh of relief and, once again, the free market began to rally. At the Markets' close on June 28, 2019, both U.S. and world equities had performed resiliently, as indicated by the S&P 500(R) Index and the MSCI All Country World Index returns of 18.54% and 16.23%, respectively, for the calendar year-to-date. Bonds, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 6.11%, for the same period. The 10-Year U.S. Treasury Note yield fell from over 3% in late 2018 to just above 2% for the six-month period ended June 30, 2019 and the Federal Reserve has clearly indicated that another rate cut is on the way. Despite the ongoing bluster of the news cycle, we believe the economy is doing well and productivity growth, due to deregulation and lower taxes on corporate profits, has improved over the last two years. o The Consumer Confidence Index of 121.5 for June remains strong. o The U.S. inflation rate hovers near 2%, on average, as it has for the last decade. o June's unemployment rate of 3.7% barely moved from May's 3.6%, the lowest level since December of 1969. Before you reach for the antacids due to the latest political equivocation, keep a balanced perspective in view. Remember, no one can predict the inevitable and expected market fluctuations. Speak periodically with your investment professional who can provide insight when it comes to investing and discovering opportunities when they arise. Thank you for giving First Trust the opportunity to be a part of your financial plan. We value our relationship with you. 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 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2019 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 over 25 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE ECONOMY/INVESTING The trade conflict between the U.S. and China was approaching 16-months-old at the close of June 2019. In our opinion, the most notable change in the first half of 2019 was the Trump Administration's ratcheting up of tariffs on roughly $200 billion of imported goods from China. On May 10, 2019, tariffs jumped from 10% to 25%. President Trump continues to threaten China with extending the tariffs to the remaining $300 billion or so in goods shipped to the U.S. annually. The ongoing dispute has become a drag on global growth, according to organizations such as the International Monetary Fund. While the U.S. economy continues to flourish relative to many other developed and emerging economies, recent data suggests that China's economy is being stressed by the tariffs. China's gross domestic product rose at an annualized pace of 6.2% in the second quarter of 2019, the slowest growth rate in 27 years, according to MarketWatch. CNBC reported that, as of July 1, 2019, the current U.S. economic expansion will become the longest in its history, breaking the previous record of 120 months of growth from March 1991 to March 2001, according to data from the National Bureau of Economic Research. Investors continue to embrace exchange-traded funds (ETFs) and related exchange-traded products (ETPs). ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed globally stood at an all-time high of $5.64 trillion at the end of June 2019, up from $4.99 trillion at this point a year ago, according to its own release. In June 2019, net inflows to ETFs/ETPs listed globally totaled $68.95 billion, bringing year-to-date net inflows to $209.54 billion. U.S. STOCKS AND BONDS In the first half of 2019, three of the major U.S. stock indices posted 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 18.54%, 17.97%, and 13.69%, respectively, according to Bloomberg. The S&P 500(R) Index posted its best showing for the first half of a year since 1997, according to CNBC. All 11 major S&P 500(R) Index sectors posted positive total returns. The top-performing sectors were Information Technology, Consumer Discretionary, Industrials and Real Estate, up 27.13%, 21.84%, 21.38% and 20.42%, respectively, while the two sectors with the poorest showing, despite generating positive returns, were Health Care, up 8.07%, and Energy, up 13.13%. At the end of March 2019, both President Trump and White House economic advisor Larry Kudlow called on the Federal Reserve (the "Fed") to lower the federal funds target rate by 50 basis points ("bps"), according to CNBC. While the Fed has yet to make any rate cuts, bond investors, through their purchasing power, pushed the yield on the 10-year Treasury Note (T-Note) down from 2.50% at the close on April 30, 2019 to 2.01% on June 28, 2019, or 49 bps, according to Bloomberg. Investors have signaled to the Fed that they like the idea of a couple of rate cuts over the coming months. The Fed has indicated that it would consider easing rates if the U.S. economy were to weaken. In the U.S. bond market, all the major bond groups posted positive returns in the first half of 2019. The top-performing major debt group we track was high yield corporate bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total return of 9.94%. The worst-performing debt group that we track was government bonds. The Bloomberg Barclays U.S. Treasury: Intermediate Index posted a total return of 3.99%. FOREIGN STOCKS AND BONDS The U.S. dollar fell by 0.04% against a basket of major currencies in the first half of 2019, as measured by the U.S. Dollar Index. With respect to U.S. investors, a flat U.S. dollar would have little to no impact on the returns of foreign securities. In the first half of 2019, foreign stocks and bonds performed well. The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt posted a total return of 8.85% (USD), while the Bloomberg Barclays Global Aggregate Index of higher quality debt rose 5.57% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of 10.59% (USD), while the MSCI World ex USA Index posted a total return of 14.64% (USD). Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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 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. 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/19/06) Ended Ended (4/19/06) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 22.36% 10.82% 12.03% 16.63% 10.11% 76.49% 365.78% 256.45% Market Value 22.36% 10.60% 12.02% 16.63% 10.11% 76.42% 365.70% 256.40% INDEX PERFORMANCE NASDAQ-100 Equal Weighted Index(SM) 22.76% 11.51% 12.72% 17.36% 10.80% 81.94% 395.82% 286.87% S&P 500(R) Index 18.54% 10.42% 10.71% 14.70% 8.59% 66.33% 294.16% 196.62% NASDAQ-100 Index(R) 21.85% 10.16% 16.14% 19.24% 13.03% 111.28% 480.98% 403.70% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 37.35% Consumer Discretionary 16.85 Health Care 15.94 Communication Services 13.94 Industrials 7.99 Consumer Staples 5.96 Financials 1.00 Utilities 0.97 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Western Digital Corp. 1.20% Micron Technology, Inc. 1.15 Electronic Arts, Inc. 1.08 NVIDIA Corp. 1.06 Mylan N.V. 1.05 Symantec Corp. 1.05 Applied Materials, Inc. 1.04 QUALCOMM, Inc. 1.04 Xilinx, Inc. 1.04 KLA-Tencor Corp. 1.03 ------- Total 10.74% ======= ----------------------------- Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Equal Weighted Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold, or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust NASDAQ-100 Equal NASDAQ-100 Equal S&P 500(R) NASDAQ-100 Weighted Index Fund Weighted Index(SM) Index Index(R) 12/08 $10,000 $10,000 $10,000 $10,000 06/09 12,369 12,401 10,316 12,240 12/09 15,955 16,052 12,646 15,462 06/10 15,055 15,195 11,805 14,508 12/10 19,344 19,582 14,552 18,577 06/11 20,797 21,119 15,427 19,549 12/11 18,807 19,172 14,858 19,258 06/12 20,533 20,984 16,268 22,230 12/12 21,601 22,134 17,236 22,788 06/13 24,971 25,702 19,618 25,087 12/13 30,230 31,207 22,818 31,206 06/14 32,642 33,800 24,447 33,662 12/14 36,014 37,396 25,943 37,264 06/15 36,868 38,394 26,262 38,911 12/15 36,816 38,475 26,301 40,899 06/16 35,756 37,463 27,311 39,603 12/16 39,400 41,419 29,447 43,876 06/17 45,637 48,116 32,197 51,238 12/17 49,648 52,514 35,874 58,350 06/18 51,991 55,145 36,825 64,564 12/18 47,088 50,094 34,302 58,372 06/19 57,610 61,483 40,662 71,108
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 161 3 0 0 01/01/15 - 12/31/15 126 1 0 0 01/01/16 - 12/31/16 107 0 0 0 01/01/17 - 12/31/17 178 0 0 0 01/01/18 - 12/31/18 148 2 0 0 01/01/19 - 06/30/19 56 1 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 87 1 0 0 01/01/15 - 12/31/15 122 3 0 0 01/01/16 - 12/31/16 145 0 0 0 01/01/17 - 12/31/17 73 0 0 0 01/01/18 - 12/31/18 99 2 0 0 01/01/19 - 06/30/19 67 0 0 0 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 that comprise the Index. The Index is an equal-weighted index based on the securities of 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. 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/19/06) Ended Ended (4/19/06) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 26.26% 12.09% 17.73% 19.39% 12.34% 126.15% 488.49% 364.32% Market Value 26.20% 11.90% 17.71% 19.39% 12.34% 125.95% 488.41% 364.25% INDEX PERFORMANCE NASDAQ-100 Technology Sector Index(SM) 26.65% 12.77% 18.47% 20.15% 13.05% 133.34% 526.76% 404.44% S&P 500(R) Index 18.54% 10.42% 10.71% 14.70% 8.59% 66.33% 294.16% 196.62% S&P 500 Information Technology Index 27.13% 14.34% 18.53% 18.57% 12.39% 134.01% 449.43% 367.11% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION (1) LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 87.13% Communication Services 10.23 Health Care 2.64 ------- Total 100.00% ======= (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 ----------------------------------------------------------- Western Digital Corp. 3.12% Micron Technology, Inc. 3.00 NVIDIA Corp. 2.77 Symantec Corp. 2.73 Applied Materials, Inc. 2.71 QUALCOMM, Inc. 2.71 Xilinx, Inc. 2.70 KLA-Tencor Corp. 2.69 Broadcom, Inc. 2.69 ASML Holding N.V. 2.68 ------- Total 27.80% ======= ----------------------------- Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Technology Sector Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is 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)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust NASDAQ-100- NASDAQ-100 Technology Sector Technology Sector S&P 500 Information S&P 500(R) Index Fund Index(SM) Technology Index Index 12/08 $10,000 $10,000 $10,000 $10,000 06/09 13,407 13,452 12,486 10,316 12/09 17,990 18,115 16,171 12,645 06/10 16,623 16,784 14,462 11,804 12/10 21,934 22,220 17,820 14,551 06/11 22,103 22,458 18,187 15,426 12/11 20,673 21,072 18,251 14,857 06/12 21,616 22,102 20,686 16,267 12/12 22,331 22,904 20,957 17,235 06/13 24,948 25,671 22,288 19,617 12/13 30,843 31,840 26,915 22,817 06/14 34,890 36,132 29,321 24,446 12/14 38,501 40,002 32,329 25,942 06/15 37,550 39,122 32,575 26,261 12/15 37,971 39,685 34,246 26,300 06/16 39,084 40,995 34,136 27,310 12/16 47,567 50,073 38,987 29,448 06/17 56,629 59,782 45,704 32,198 12/17 65,579 69,434 54,125 35,882 06/18 70,392 74,746 60,008 36,833 12/18 62,494 66,554 53,971 34,310 06/19 78,905 84,316 68,607 40,064
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 171 4 0 0 01/01/15 - 12/31/15 164 2 0 0 01/01/16 - 12/31/16 147 0 0 0 01/01/17 - 12/31/17 146 0 0 0 01/01/18 - 12/31/18 132 3 1 0 01/01/19 - 06/30/19 71 0 1 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 76 1 0 0 01/01/15 - 12/31/15 85 1 0 0 01/01/16 - 12/31/16 105 0 0 0 01/01/17 - 12/31/17 105 0 0 0 01/01/18 - 12/31/18 111 4 0 0 01/01/19 - 06/30/19 52 0 0 0 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 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. 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (2/8/07) Ended Ended (2/8/07) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 19.93% 9.78% 9.04% 15.15% 8.95% 54.17% 309.75% 189.29% Market Value 19.93% 9.78% 9.06% 15.12% 8.95% 54.26% 308.89% 189.30% INDEX PERFORMANCE NASDAQ-100 Ex-Tech Sector Index(SM) 20.34% 10.47% 9.68% 15.86% 9.63% 58.73% 335.70% 212.32% Russell 1000(R) Index 18.84% 10.02% 10.45% 14.77% 8.20% 64.38% 296.42% 165.36% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 27.43% Health Care 23.97 Communication Services 16.27 Industrials 13.11 Consumer Staples 9.68 Information Technology 6.35 Financials 1.62 Utilities 1.57 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Electronic Arts, Inc. 1.72% JD.com, Inc., ADR 1.69 Walgreens Boots Alliance, Inc. 1.69 Mylan N.V. 1.68 American Airlines Group, Inc. 1.67 J.B. Hunt Transport Services, Inc. 1.67 Activision Blizzard, Inc. 1.67 Ctrip.com International Ltd., ADR 1.66 Marriott International, Inc., Class A 1.66 Cintas Corp. 1.65 ------- Total 16.76% ======= ----------------------------- Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Ex-Tech Sector Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is 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)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust NASDAQ-100 NASDAQ-100 Ex-Technology Sector Ex-Tech Sector Russell 1000(R) Index Fund Index(SM) Index 12/08 $10,000 $10,000 $10,000 06/09 11,710 11,742 10,432 12/09 14,675 14,763 12,843 06/10 14,022 14,147 12,021 12/10 17,704 17,920 14,910 06/11 19,839 20,147 15,860 12/11 17,512 17,852 15,134 06/12 19,748 20,183 16,554 12/12 21,069 21,584 17,620 06/13 25,026 25,761 20,071 12/13 29,758 30,715 23,455 06/14 31,121 32,229 25,160 12/14 34,326 35,639 26,561 06/15 36,190 37,699 27,015 12/15 35,955 37,586 26,804 06/16 33,780 35,383 27,806 12/16 35,189 36,961 30,033 06/17 40,214 42,372 32,817 12/17 42,369 44,770 36,545 06/18 43,704 46,306 37,587 12/18 40,007 42,504 34,798 06/19 47,980 51,159 41,354
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 151 14 0 0 01/01/15 - 12/31/15 201 6 0 0 01/01/16 - 12/31/16 80 0 0 0 01/01/17 - 12/31/17 44 0 0 0 01/01/18 - 12/31/18 96 2 0 0 01/01/19 - 06/30/19 64 1 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 79 7 1 0 01/01/15 - 12/31/15 42 3 0 0 01/01/16 - 12/31/16 172 0 0 0 01/01/17 - 12/31/17 207 0 0 0 01/01/18 - 12/31/18 150 3 0 0 01/01/19 - 06/30/19 59 0 0 0 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 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. 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (2/8/07) Ended Ended (2/8/07) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 20.43% 9.79% 1.46% 4.99% 0.97% 7.51% 62.81% 12.66% Market Value 20.81% 9.62% 1.48% 5.01% 0.98% 7.61% 63.10% 12.78% INDEX PERFORMANCE NASDAQ(R) Clean Edge(R) Green Energy Index(SM) 20.51% 9.91% 1.43% 5.05% 1.15% 7.34% 63.66% 15.18% Russell 2000(R) Index 16.98% -3.31% 7.06% 13.45% 6.87% 40.67% 253.13% 127.72% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 43.31% Industrials 18.93 Utilities 17.28 Consumer Discretionary 10.11 Materials 8.17 Real Estate 1.65 Energy 0.55 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Tesla, Inc. 8.58% Universal Display Corp. 7.32 ON Semiconductor Corp. 6.87 Albemarle Corp. 6.15 Hexcel Corp. 5.66 First Solar, Inc. 4.02 Acuity Brands, Inc. 3.97 Littelfuse, Inc. 3.85 Brookfield Renewable Partners, L.P. 3.82 Cree, Inc. 3.62 ------- Total 53.86% ======= ----------------------------- Nasdaq(R) and Clean Edge(R) are the registered trademarks (the "Marks") of Nasdaq, Inc. ("Nasdaq") and Clean Edge, Inc. ("Clean Edge(R)") respectively. Nasdaq and Clean Edge(R) are, collectively with their affiliates, the "Corporations." The Marks 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 sponsored, endorsed, sold, or promoted by the Corporations. The Fund should not be construed in any way as investment advice 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)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust NASDAQ(R) NASDAQ(R) Clean Edge(R) Green Clean Edge(R) Russell 2000(R) Energy Index Fund Green Energy Index(SM) Index 12/08 $10,000 $10,000 $10,000 06/09 12,368 12,402 10,264 12/09 14,379 14,472 12,717 06/10 11,913 12,025 12,469 12/10 14,674 14,863 16,132 06/11 13,656 13,885 17,134 12/11 8,624 8,798 15,460 06/12 8,347 8,498 16,779 12/12 8,581 8,682 17,987 06/13 12,828 12,944 20,840 12/13 16,285 16,438 24,970 06/14 18,729 18,910 25,767 12/14 15,789 15,924 26,192 06/15 16,945 17,093 27,436 12/15 14,773 14,909 25,035 06/16 13,325 13,414 25,591 12/16 14,459 14,514 30,371 06/17 16,904 16,989 31,887 12/17 19,047 19,165 34,821 06/18 18,338 18,469 37,488 12/18 16,721 16,842 30,983 06/19 20,137 20,296 36,244
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 122 3 0 0 01/01/15 - 12/31/15 160 1 0 0 01/01/16 - 12/31/16 68 0 0 0 01/01/17 - 12/31/17 164 0 0 0 01/01/18 - 12/31/18 151 2 1 0 01/01/19 - 06/30/19 73 0 0 1 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 124 3 0 0 01/01/15 - 12/31/15 89 2 0 0 01/01/16 - 12/31/16 184 0 0 0 01/01/17 - 12/31/17 87 0 0 0 01/01/18 - 12/31/18 95 2 0 0 01/01/19 - 06/30/19 50 0 0 0 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 common stocks that comprise the Index. The Index seeks to measure the performance of publicly-traded REITs domiciled in the United States that meet certain eligibility requirements. The Index is rebalanced quarterly. 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 16.37% 10.28% 7.06% 14.83% 4.58% 40.65% 298.64% 72.18% Market Value 16.33% 10.24% 7.05% 14.83% 4.57% 40.59% 298.47% 72.13% INDEX PERFORMANCE S&P United States REIT Index* 16.74% 10.80% 7.62% 15.43% N/A 44.35% 319.84% N/A FTSE EPRA/NAREIT North America Index 16.82% 10.50% 7.20% 15.03% 4.85% 41.54% 305.72% 77.76% Russell 3000(R) Index 18.71% 8.98% 10.19% 14.67% 7.90% 62.46% 293.01% 151.71% ------------------------------------------------------------------------------------------------------------------------------------
* 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.) ----------------------------------------------------------- % OF TOTAL REIT CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Residential 19.18% Retail 17.21 Specialized 15.57 Health Care 13.22 Office 12.56 Industrial 10.41 Diversified 6.19 Hotel & Resort 5.66 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Prologis, Inc. 5.72% Simon Property Group, Inc. 5.59 Public Storage 4.05 Welltower, Inc. 3.74 AvalonBay Communities, Inc. 3.21 Equity Residential 3.18 Ventas, Inc. 2.86 Digital Realty Trust, Inc. 2.78 Realty Income Corp. 2.46 Boston Properties, Inc. 2.26 ------- Total 35.85% ======= ----------------------------- The S&P United States REIT Index is a product of S&P Dow Jones Indices LLC ("SPDJI"). Standard & Poor's(R) and S&P(R) are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"). The marks have been licensed for use by SPDJI and sub-licensed by First Trust. The Fund is not sponsored, endorsed, sold or promoted by SPDJI or its affiliates, and SPDJI and its affiliates make no representation, warranty or condition regarding the advisability of buying, selling or holding shares of the Fund. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST S&P REIT INDEX FUND (FRI) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust S&P United States FTSE EPRA/NAREIT Russell 3000(R) S&P REIT Index Fund REIT Index North America Index Index 12/08 $10,000 $10,000 $10,000 $10,000 06/09 8,731 8,757 8,993 10,420 12/09 12,801 12,859 13,222 12,834 06/10 13,500 13,593 13,900 12,058 12/10 16,351 16,521 17,009 15,007 06/11 17,986 18,219 18,807 15,960 12/11 17,642 17,920 18,401 15,160 06/12 20,225 20,595 21,091 16,573 12/12 20,710 21,143 21,741 17,649 06/13 21,971 22,502 22,763 20,130 12/13 21,088 21,649 22,019 23,570 06/14 24,749 25,468 25,780 25,206 12/14 27,333 28,203 28,219 26,529 06/15 25,603 26,483 26,509 27,044 12/15 27,871 28,919 28,730 26,657 06/16 31,483 32,762 32,499 27,622 12/16 30,079 31,376 31,079 30,050 06/17 30,614 32,025 31,642 32,733 12/17 31,217 32,736 32,499 36,399 06/18 31,564 33,184 33,022 37,571 12/18 29,907 31,494 31,232 34,495 06/19 34,803 36,766 36,485 40,949
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 193 0 0 0 01/01/15 - 12/31/15 130 0 0 0 01/01/16 - 12/31/16 156 0 0 0 01/01/17 - 12/31/17 106 0 0 0 01/01/18 - 12/31/18 86 3 1 0 01/01/19 - 06/30/19 75 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 59 0 0 0 01/01/15 - 12/31/15 122 0 0 0 01/01/16 - 12/31/16 96 0 0 0 01/01/17 - 12/31/17 145 0 0 0 01/01/18 - 12/31/18 160 0 1 0 01/01/19 - 06/30/19 49 0 0 0 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 common stocks 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 revenue from the potable water and wastewater industry, according to Clean Edge. The Index is rebalanced semi-annually. 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 11, 2007.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 25.01% 14.82% 10.49% 13.97% 9.53% 64.66% 269.67% 201.94% Market Value 25.07% 14.75% 10.50% 13.95% 9.53% 64.71% 269.19% 201.92% INDEX PERFORMANCE ISE Clean Edge Water Index 25.40% 15.46% 11.05% 14.66% 10.19% 68.89% 292.84% 225.12% Russell 3000(R) Index 18.71% 8.98% 10.19% 14.67% 7.90% 62.46% 293.01% 151.71% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 56.51% Utilities 21.65 Health Care 12.48 Materials 4.33 Information Technology 4.06 Consumer Staples 0.97 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- IDEXX Laboratories, Inc. 4.83% IDEX Corp. 4.42 Ecolab, Inc. 4.33 Tetra Tech, Inc. 4.24 American Water Works Co., Inc. 4.23 Roper Technologies, Inc. 4.19 Danaher Corp. 4.17 Xylem, Inc. 4.10 AECOM 3.96 Flowserve Corp. 3.84 ------- Total 42.31% ======= ----------------------------- "International Securities Exchange(TM)", "ISE(TM)" and "ISE Clean Edge Water Index" are trademarks of the International Securities Exchange, LLC and have been licensed for use for certain purposes by First Trust. The Fund, based on the ISE Clean Edge Water Index, is not sponsored, endorsed, sold or promoted by the International Securities Exchange, LLC and the International Securities Exchange, LLC makes no representation regarding the advisability of trading in such product. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST WATER ETF (FIW) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust ISE Clean Edge Russell 3000(R) Water ETF Water Index Index 12/08 $10,000 $10,000 $10,000 06/09 10,320 10,362 10,420 12/09 12,031 12,121 12,834 06/10 11,357 11,479 12,058 12/10 14,376 14,591 15,007 06/11 15,049 15,329 15,960 12/11 13,568 13,868 15,160 06/12 14,914 15,306 16,573 12/12 17,209 17,720 17,649 06/13 18,429 19,056 20,130 12/13 22,529 23,372 23,570 06/14 23,171 24,104 25,206 12/14 22,610 23,598 26,529 06/15 21,113 22,102 27,044 12/15 20,391 21,415 26,657 06/16 23,937 25,227 27,622 12/16 26,958 28,486 30,050 06/17 29,433 31,115 32,733 12/17 33,495 35,512 36,399 06/18 33,227 35,256 37,571 12/18 30,516 32,460 34,490 06/19 38,148 40,705 40,943
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 195 0 0 0 01/01/15 - 12/31/15 133 0 0 0 01/01/16 - 12/31/16 152 0 0 0 01/01/17 - 12/31/17 184 0 0 0 01/01/18 - 12/31/18 177 5 1 1 01/01/19 - 06/30/19 107 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 56 1 0 0 01/01/15 - 12/31/15 119 0 0 0 01/01/16 - 12/31/16 100 0 0 0 01/01/17 - 12/31/17 67 0 0 0 01/01/18 - 12/31/18 65 1 0 1 01/01/19 - 06/30/19 16 0 1 0 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 equity securities 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 securities and/or the exploration and production of natural gas. The Index is rebalanced quarterly. 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 11, 2007.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV -0.19% -36.91% -33.03% -12.78% -13.81% -86.53% -74.53% -83.56% Market Value -0.26% -37.01% -33.05% -12.80% -13.82% -86.55% -74.58% -83.57% INDEX PERFORMANCE ISE-Revere Natural Gas(TM) Index 0.17% -36.66% -33.03% -12.46% -13.48% -86.53% -73.57% -82.77% S&P Composite 1500(R) Energy Index 12.29% -15.66% -6.67% 4.48% 1.51% -29.19% 55.06% 20.02% Russell 3000(R) Index 18.71% 8.98% 10.19% 14.67% 7.90% 62.46% 293.01% 151.71% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SUB-INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Oil & Gas Exploration & Production 83.35% Oil & Gas Storage & Transportation 15.03 Integrated Oil & Gas 1.62 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Matador Resources Co. 5.31% Continental Resources, Inc. 5.28 Devon Energy Corp. 4.98 PDC Energy, Inc. 4.91 Concho Resources, Inc. 4.62 Noble Energy, Inc. 4.60 Cimarex Energy Co. 4.56 Murphy Oil Corp. 4.36 Encana Corp. 4.28 Cabot Oil & Gas Corp. 4.03 ------- Total 46.93% ======= ----------------------------- "International Securities Exchange(TM)", "ISE(TM)" and "ISE-Revere Natural Gas(TM) Index" are trademarks of the International Securities Exchange, LLC and have been licensed for use for certain purposes by First Trust. The Fund, based on the ISE-Revere Natural Gas(TM) Index, is not sponsored, endorsed, sold or promoted by the International Securities Exchange, LLC and the International Securities Exchange, LLC makes no representation regarding the advisability of trading in such product. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NATURAL GAS ETF (FCG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust ISE-Revere Natural Russell 3000(R) S&P Composite 1500(R) Natural Gas ETF Gas(TM) Index Index Energy Index 12/08 $10,000 $10,000 $10,000 $10,000 06/09 10,816 10,834 10,420 9,910 12/09 14,920 14,988 12,834 11,641 06/10 12,991 13,116 12,058 10,263 12/10 16,744 17,044 15,007 14,129 06/11 18,454 18,852 15,960 15,752 12/11 15,599 15,990 15,160 14,682 06/12 14,120 14,519 16,573 14,250 12/12 13,492 13,921 17,649 15,319 06/13 13,893 14,360 20,130 16,808 12/13 16,884 17,503 23,570 19,210 06/14 20,462 21,259 25,206 21,700 12/14 9,791 10,147 26,529 17,449 06/15 8,347 8,575 27,044 16,631 12/15 4,005 4,091 26,657 13,598 06/16 4,442 4,526 27,622 15,715 12/16 4,785 4,900 30,050 17,310 06/17 3,812 3,917 32,733 14,918 12/17 4,233 4,367 36,399 16,956 06/18 4,368 4,521 37,571 18,216 12/18 2,761 2,859 34,490 13,682 06/19 2,756 2,864 40,943 15,364
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 140 1 0 0 01/01/15 - 12/31/15 155 1 0 0 01/01/16 - 12/31/16 156 6 1 0 01/01/17 - 12/31/17 116 0 0 0 01/01/18 - 12/31/18 104 6 2 0 01/01/19 - 06/30/19 69 1 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 111 0 0 0 01/01/15 - 12/31/15 93 3 0 0 01/01/16 - 12/31/16 88 1 0 0 01/01/17 - 12/31/17 135 0 0 0 01/01/18 - 12/31/18 137 2 0 0 01/01/19 - 06/30/19 54 0 0 0 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 securities 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 Index is rebalanced semi-annually. 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 11, 2007.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 16.20% -6.02% 5.00% 9.42% 6.08% 27.64% 145.92% 104.82% Market Value 16.32% -5.97% 5.04% 9.40% 6.08% 27.86% 145.56% 104.76% INDEX PERFORMANCE ISE ChIndia(TM) Index 16.49% -5.50% 5.52% 9.95% 6.63% 30.82% 158.18% 118.16% Russell 3000(R) Index 18.71% 8.98% 10.19% 14.67% 7.90% 62.46% 293.01% 151.71% MSCI Emerging Markets Index 10.59% 1.21% 2.49% 5.81% 2.93% 13.07% 75.87% 41.96% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 38.07% Communication Services 20.85 Financials 16.62 Information Technology 13.23 Health Care 5.08 Materials 2.08 Industrials 2.07 Energy 2.00 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- JD.com, Inc., ADR 7.77% Alibaba Group Holding Ltd., ADR 7.50 Baidu, Inc., ADR 7.05 ICICI Bank Ltd., ADR 6.93 HDFC Bank Ltd., ADR 6.92 Infosys Ltd., ADR 6.75 Ctrip.com International Ltd., ADR 4.03 Pinduoduo, Inc., ADR 4.01 NetEase, Inc., ADR 3.89 Dr. Reddy's Laboratories Ltd., ADR 3.71 ------- Total 58.56% ======= ----------------------------- "International Securities Exchange(TM)", "ISE(TM)" and "ISE ChIndia(TM) Index" are trademarks of the International Securities Exchange, LLC and have been licensed for use for certain purposes by First Trust. The Fund, based on the ISE ChIndia(TM) Index, is not sponsored, endorsed, sold or promoted by the International Securities Exchange, LLC and the International Securities Exchange, LLC makes no representation regarding the advisability of trading in such product. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CHINDIA ETF (FNI) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust ISE ChIndia(TM) Russell 3000(R) MSCI Emerging Chindia ETF Index Index Markets Index 12/08 $10,000 $10,000 $10,000 $10,000 06/09 13,956 14,012 10,420 13,601 12/09 18,157 18,288 12,834 17,850 06/10 17,661 17,851 12,058 16,749 12/10 21,508 21,842 15,007 21,219 06/11 21,861 22,325 15,960 21,406 12/11 15,913 16,199 15,160 17,311 06/12 16,871 17,200 16,573 17,991 12/12 18,634 19,037 17,649 20,465 06/13 18,863 19,328 20,130 18,506 12/13 25,305 25,969 23,570 19,931 06/14 26,887 27,652 25,206 21,155 12/14 25,906 26,684 26,529 19,496 06/15 27,748 28,635 27,044 20,071 12/15 25,822 26,725 26,657 16,587 06/16 24,882 25,822 27,622 17,650 12/16 25,268 26,318 30,050 18,442 06/17 32,437 33,869 32,733 21,841 12/17 37,234 38,949 36,399 25,318 06/18 36,515 38,283 37,571 23,632 12/18 29,533 31,055 34,490 21,626 06/19 34,317 36,176 40,943 23,917
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- QUARTER ENDED 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 96 0 0 0 01/01/15 - 12/31/15 147 0 0 0 01/01/16 - 12/31/16 132 0 0 0 01/01/17 - 12/31/17 189 0 0 0 01/01/18 - 12/31/18 143 1 0 1 01/01/19 - 06/30/19 46 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- QUARTER ENDED 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 155 1 0 0 01/01/15 - 12/31/15 105 0 0 0 01/01/16 - 12/31/16 120 0 0 0 01/01/17 - 12/31/17 62 0 0 0 01/01/18 - 12/31/18 105 1 0 0 01/01/19 - 06/30/19 78 0 0 0 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 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 Index is rebalanced quarterly. The Fund's shares are listed for trading on the Nasdaq. The first day of secondary market trading in shares of the Fund was July 1, 2009.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (6/29/09) Ended Ended (6/29/09) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 12.22% -10.47% 7.61% 10.97% 10.78% 44.29% 183.18% 178.36% Market Value 12.23% -10.54% 7.61% 10.78% 10.77% 44.31% 178.27% 178.27% INDEX PERFORMANCE NASDAQ OMX(R) ABA Community Bank Index(SM) 12.59% -9.96% 8.27% 11.67% 11.48% 48.76% 201.66% 196.52% S&P Composite 1500(R) Financials Index 17.18% 5.48% 10.68% 13.37% 13.25% 66.07% 250.62% 247.20% Russell 3000(R) Index 18.71% 8.98% 10.19% 14.67% 14.58% 62.46% 293.01% 290.05% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Banks 87.99% Thrifts & Mortgage Finance 11.73 IT Services 0.28 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- East West Bancorp, Inc. 2.75% Commerce Bancshares, Inc. 2.66 BOK Financial Corp. 2.18 Popular, Inc. 2.11 TFS Financial Corp. 2.04 First Citizens BancShares, Inc., Class A 1.88 PacWest Bancorp 1.86 Pinnacle Financial Partners, Inc. 1.78 First Financial Bankshares, Inc. 1.69 Wintrust Financial Corp. 1.67 ------- Total 20.62% ======= ----------------------------- Nasdaq(R), OMX(R), Nasdaq OMX(R), and NASDAQ OMX(R) ABA Community Bank Index(SM) are trademarks of Nasdaq, Inc. ("Nasdaq") and American Bankers Association ("ABA") (Nasdaq and ABA, collectively with their affiliates, are 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)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 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 06/09 $10,000 $10,000 $10,000 $10,000 12/09 11,280 11,318 12,112 12,224 06/10 11,438 11,505 11,744 11,484 12/10 12,721 12,846 13,722 14,293 06/11 12,520 12,688 13,420 15,201 12/11 11,898 12,095 11,662 14,439 06/12 13,081 13,343 13,227 15,785 12/12 13,507 13,817 14,806 16,809 06/13 16,006 16,427 17,584 19,172 12/13 19,302 19,873 19,879 22,448 06/14 19,296 19,929 20,907 24,006 12/14 19,827 20,537 22,839 25,266 06/15 21,637 22,484 22,892 25,756 12/15 21,390 22,288 22,677 25,388 06/16 21,026 21,976 22,310 26,307 12/16 29,426 30,865 28,184 28,619 06/17 28,402 29,883 29,940 31,175 12/17 29,581 31,239 34,069 34,674 06/18 31,092 32,931 32,917 35,790 12/18 24,805 26,338 29,629 32,855 06/19 27,836 29,654 34,719 39,002
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 115 9 0 0 01/01/15 - 12/31/15 137 5 0 0 01/01/16 - 12/31/16 133 0 0 0 01/01/17 - 12/31/17 128 5 0 0 01/01/18 - 12/31/18 125 12 0 0 01/01/19 - 06/30/19 7 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 116 12 0 0 01/01/15 - 12/31/15 110 0 0 0 01/01/16 - 12/31/16 119 0 0 0 01/01/17 - 12/31/17 116 1 1 0 01/01/18 - 12/31/18 106 7 1 0 01/01/19 - 06/30/19 117 0 0 0 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 between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is 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 JUNE 30, 2019 (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 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 June 30, 2019. 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 JANUARY 1, 2019 JUNE 30, 2019 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) Actual $1,000.00 $1,223.60 0.58% $3.20 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91 FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) Actual $1,000.00 $1,262.60 0.57% $3.20 Hypothetical (5% return before expenses) $1,000.00 $1,021.97 0.57% $2.86 FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) Actual $1,000.00 $1,199.30 0.60% $3.27 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) Actual $1,000.00 $1,204.30 0.60% $3.28 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST S&P REIT INDEX FUND (FRI) Actual $1,000.00 $1,163.70 0.50% $2.68 Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.50% $2.51 FIRST TRUST WATER ETF (FIW) Actual $1,000.00 $1,250.10 0.55% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76
Page 23 FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JUNE 30, 2019 (UNAUDITED)
-------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JANUARY 1, 2019 JUNE 30, 2019 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST NATURAL GAS ETF (FCG) Actual $1,000.00 $ 998.10 0.60% $2.97 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST CHINDIA ETF (FNI) Actual $1,000.00 $1,162.00 0.59% $3.16 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) Actual $1,000.00 $1,122.20 0.60% $3.16 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01
(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 (January 1, 2019 through June 30, 2019), multiplied by 181/365 (to reflect the six-month period). Page 24 FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AIRLINES -- 2.0% 239,146 American Airlines Group, Inc. $ 7,798,551 87,876 United Airlines Holdings, Inc. (a) 7,693,544 -------------- 15,492,095 -------------- AUTOMOBILES -- 1.0% 35,146 Tesla, Inc. (a) (b) 7,853,725 -------------- BEVERAGES -- 2.0% 121,838 Monster Beverage Corp. (a) 7,776,919 57,523 PepsiCo, Inc. 7,542,991 -------------- 15,319,910 -------------- BIOTECHNOLOGY -- 8.9% 60,343 Alexion Pharmaceuticals, Inc. (a) 7,903,726 41,827 Amgen, Inc. 7,707,880 32,981 Biogen, Inc. (a) 7,713,267 89,412 BioMarin Pharmaceutical, Inc. (a) 7,658,138 78,860 Celgene Corp. (a) 7,289,818 111,969 Gilead Sciences, Inc. 7,564,626 88,339 Incyte Corp. (a) 7,505,281 24,325 Regeneron Pharmaceuticals, Inc. (a) 7,613,725 42,314 Vertex Pharmaceuticals, Inc. (a) 7,759,541 -------------- 68,716,002 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 33,103 Cintas Corp. 7,855,011 -------------- COMMUNICATIONS EQUIPMENT -- 0.9% 133,091 Cisco Systems, Inc. 7,284,070 -------------- ELECTRIC UTILITIES -- 1.0% 126,358 Xcel Energy, Inc. 7,517,037 -------------- ENTERTAINMENT -- 5.1% 169,312 Activision Blizzard, Inc. 7,991,527 82,300 Electronic Arts, Inc. (a) 8,333,698 28,926 NetEase, Inc., ADR 7,398,403 20,863 Netflix, Inc. (a) 7,663,397 68,604 Take-Two Interactive Software, Inc. (a) 7,788,612 -------------- 39,175,637 -------------- FOOD & STAPLES RETAILING -- 2.0% 28,726 Costco Wholesale Corp. 7,591,133 145,800 Walgreens Boots Alliance, Inc. 7,970,886 -------------- 15,562,019 -------------- FOOD PRODUCTS -- 2.0% 248,542 Kraft Heinz (The) Co. 7,714,744 138,799 Mondelez International, Inc., Class A 7,481,266 -------------- 15,196,010 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.9% 26,892 Align Technology, Inc. (a) 7,360,340 28,374 IDEXX Laboratories, Inc. (a) 7,812,214 14,664 Intuitive Surgical, Inc. (a) 7,692,001 -------------- 22,864,555 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 1.0% 110,563 Henry Schein, Inc. (a) $ 7,728,354 -------------- HEALTH CARE TECHNOLOGY -- 1.0% 106,754 Cerner Corp. 7,825,068 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.0% 55,994 Marriott International, Inc., Class A 7,855,398 91,263 Starbucks Corp. 7,650,577 63,162 Wynn Resorts Ltd. 7,831,457 -------------- 23,337,432 -------------- INSURANCE -- 1.0% 40,348 Willis Towers Watson PLC 7,728,256 -------------- INTERACTIVE MEDIA & SERVICES -- 3.0% 3,440 Alphabet, Inc., Class A (a) 3,724,832 3,447 Alphabet, Inc., Class C (a) 3,725,897 65,762 Baidu, Inc., ADR (a) 7,717,828 40,312 Facebook, Inc., Class A (a) 7,780,216 -------------- 22,948,773 -------------- INTERNET & DIRECT MARKETING RETAIL -- 7.0% 4,014 Amazon.com, Inc. (a) 7,601,031 4,126 Booking Holdings, Inc. (a) 7,735,053 212,157 Ctrip.com International Ltd., ADR (a) 7,830,715 193,439 eBay, Inc. 7,640,841 59,026 Expedia Group, Inc. 7,852,229 262,046 JD.com, Inc., ADR (a) 7,937,373 12,146 MercadoLibre, Inc. (a) 7,430,558 -------------- 54,027,800 -------------- IT SERVICES -- 5.8% 45,394 Automatic Data Processing, Inc. 7,504,990 119,629 Cognizant Technology Solutions Corp., Class A 7,583,282 84,388 Fiserv, Inc. (a) 7,692,810 88,479 Paychex, Inc. 7,280,937 66,101 PayPal Holdings, Inc. (a) 7,565,921 36,632 VeriSign, Inc. (a) 7,661,949 -------------- 45,289,889 -------------- LEISURE PRODUCTS -- 1.0% 72,029 Hasbro, Inc. 7,612,025 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 21,506 Illumina, Inc. (a) 7,917,434 -------------- MACHINERY -- 1.0% 106,976 PACCAR, Inc. 7,665,900 -------------- MEDIA -- 4.9% 19,461 Charter Communications, Inc., Class A (a) 7,690,598 176,656 Comcast Corp., Class A 7,469,016 107,618 Fox Corp., Class A 3,943,123 108,418 Fox Corp., Class B 3,960,510 139,653 Liberty Global PLC, Class A (a) 3,769,234 See Notes to Financial Statements Page 25 FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 143,709 Liberty Global PLC, Class C (a) $ 3,812,600 1,349,167 Sirius XM Holdings, Inc. 7,528,352 -------------- 38,173,433 -------------- MULTILINE RETAIL -- 1.0% 69,282 Dollar Tree, Inc. (a) 7,440,194 -------------- PHARMACEUTICALS -- 1.0% 426,603 Mylan N.V. (a) 8,122,521 -------------- PROFESSIONAL SERVICES -- 1.0% 53,094 Verisk Analytics, Inc. 7,776,147 -------------- ROAD & RAIL -- 2.0% 97,158 CSX Corp. 7,517,114 85,349 J.B. Hunt Transport Services, Inc. 7,801,752 -------------- 15,318,866 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 17.5% 258,967 Advanced Micro Devices, Inc. (a) 7,864,828 68,409 Analog Devices, Inc. 7,721,324 179,428 Applied Materials, Inc. 8,058,111 38,264 ASML Holding N.V. 7,956,233 27,623 Broadcom, Inc. 7,951,557 162,161 Intel Corp. 7,762,647 67,623 KLA-Tencor Corp. 7,993,039 41,819 Lam Research Corp. 7,855,281 132,746 Maxim Integrated Products, Inc. 7,940,866 90,060 Microchip Technology, Inc. 7,808,202 230,572 Micron Technology, Inc. (a) 8,897,773 49,874 NVIDIA Corp. 8,190,807 78,820 NXP Semiconductors N.V. 7,693,620 105,716 QUALCOMM, Inc. 8,041,816 102,203 Skyworks Solutions, Inc. 7,897,226 68,317 Texas Instruments, Inc. 7,840,059 68,005 Xilinx, Inc. 8,019,150 -------------- 135,492,539 -------------- SOFTWARE -- 9.8% 25,657 Adobe, Inc. (a) 7,559,835 45,218 Autodesk, Inc. (a) 7,366,012 107,618 Cadence Design Systems, Inc. (a) 7,620,431 67,253 Check Point Software Technologies Ltd. (a) 7,775,119 77,273 Citrix Systems, Inc. 7,583,572 29,054 Intuit, Inc. 7,592,682 56,113 Microsoft Corp. 7,516,897 372,275 Symantec Corp. 8,100,704 59,579 Synopsys, Inc. (a) 7,667,222 35,274 Workday, Inc., Class A (a) 7,251,629 -------------- 76,034,103 -------------- SPECIALTY RETAIL -- 2.9% 20,534 O'Reilly Automotive, Inc. (a) 7,583,617 73,540 Ross Stores, Inc. 7,289,285 21,536 Ulta Beauty, Inc. (a) 7,470,623 -------------- 22,343,525 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.2% 38,525 Apple, Inc. $ 7,624,868 124,230 NetApp, Inc. 7,664,991 194,732 Western Digital Corp. 9,259,507 -------------- 24,549,366 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 42,348 Lululemon Athletica, Inc. (a) 7,631,533 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 233,891 Fastenal Co. 7,622,508 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 100,773 T-Mobile US, Inc. (a) 7,471,310 -------------- TOTAL COMMON STOCKS -- 99.9% 772,893,047 (Cost $660,448,446) -------------- MONEY MARKET FUNDS -- 0.1% 667,654 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 667,654 (Cost $667,654) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.6% $ 4,956,478 BNP Paribas S.A., 2.48% (c), dated 06/28/19, due 07/01/19, with a maturity value of $4,957,502. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $5,057,853. (d) 4,956,478 (Cost $4,956,478) -------------- TOTAL INVESTMENTS -- 100.6% 778,517,179 (Cost $666,072,578) (e) NET OTHER ASSETS AND LIABILITIES -- (0.6)% (4,864,255) -------------- NET ASSETS -- 100.0% $ 773,652,924 ============== (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 aggregate value of such securities is $5,524,602 and the total value of the collateral held by the Fund is $5,624,132. (c) Rate shown reflects yield as of June 30, 2019. (d) This security serves as collateral for securities on loan. Page 26 See Notes to Financial Statements FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $141,313,376 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $28,868,775. The net unrealized appreciation was $112,444,601. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 772,893,047 $ -- $ -- Money Market Funds 667,654 -- -- Repurchase Agreements -- 4,956,478 -- ------------------------------------------------------- Total Investments $ 773,560,701 $ 4,956,478 $ -- ======================================================= * 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) $ 5,524,602 Non-cash Collateral(2) (5,524,602) -------------- 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 June 30, 2019, 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) $ 4,956,478 Non-cash Collateral(4) (4,956,478) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, 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 JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% COMMUNICATIONS EQUIPMENT -- 2.5% 1,093,340 Cisco Systems, Inc. $ 59,838,498 -------------- ENTERTAINMENT -- 2.5% 237,482 NetEase, Inc., ADR 60,740,771 -------------- HEALTH CARE TECHNOLOGY -- 2.6% 874,641 Cerner Corp. 64,111,186 -------------- INTERACTIVE MEDIA & SERVICES -- 7.7% 28,153 Alphabet, Inc., Class A (a) 30,484,068 28,217 Alphabet, Inc., Class C (a) 30,500,038 539,590 Baidu, Inc., ADR (a) 63,326,282 330,339 Facebook, Inc., Class A (a) 63,755,427 -------------- 188,065,815 -------------- IT SERVICES -- 5.1% 979,372 Cognizant Technology Solutions Corp., Class A 62,082,391 300,466 VeriSign, Inc. (a) 62,845,469 -------------- 124,927,860 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 45.6% 2,133,952 Advanced Micro Devices, Inc. (a) 64,808,122 559,452 Analog Devices, Inc. 63,145,347 1,469,769 Applied Materials, Inc. 66,007,326 312,997 ASML Holding N.V. 65,081,466 226,918 Broadcom, Inc. 65,320,616 1,327,812 Intel Corp. 63,562,360 554,153 KLA-Tencor Corp. 65,500,885 342,278 Lam Research Corp. 64,293,500 1,087,714 Maxim Integrated Products, Inc. 65,067,051 738,486 Microchip Technology, Inc. 64,026,736 1,889,568 Micron Technology, Inc. (a) 72,918,429 409,719 NVIDIA Corp. 67,288,151 644,611 NXP Semiconductors N.V. 62,920,480 865,658 QUALCOMM, Inc. 65,850,604 837,337 Skyworks Solutions, Inc. 64,701,030 559,999 Texas Instruments, Inc. 64,265,485 557,493 Xilinx, Inc. 65,739,575 -------------- 1,110,497,163 -------------- SOFTWARE -- 25.6% 210,261 Adobe, Inc. (a) 61,953,404 370,734 Autodesk, Inc. (a) 60,392,569 881,014 Cadence Design Systems, Inc. (a) 62,384,601 550,295 Check Point Software Technologies Ltd. (a) 63,619,605 632,603 Citrix Systems, Inc. 62,083,658 237,994 Intuit, Inc. 62,194,972 459,974 Microsoft Corp. 61,618,117 3,050,893 Symantec Corp. 66,387,432 488,181 Synopsys, Inc. (a) 62,824,013 289,218 Workday, Inc., Class A (a) 59,457,436 -------------- 622,915,807 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 8.3% 315,695 Apple, Inc. $ 62,482,355 1,017,322 NetApp, Inc. 62,768,767 1,595,171 Western Digital Corp. 75,850,381 -------------- 201,101,503 -------------- TOTAL INVESTMENTS -- 99.9% 2,432,198,603 (Cost $2,039,473,092) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 1,613,695 -------------- NET ASSETS -- 100.0% $2,433,812,298 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $457,765,448 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $65,039,937. The net unrealized appreciation was $392,725,511. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 2,432,198,603 $ -- $ -- ======================================================= * 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 JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 100.0% AIRLINES -- 3.3% 49,111 American Airlines Group, Inc. $ 1,601,510 17,879 United Airlines Holdings, Inc. (b) 1,565,306 -------------- 3,166,816 -------------- AUTOMOBILES -- 1.6% 6,988 Tesla, Inc. (b) (c) 1,561,539 -------------- BEVERAGES -- 3.2% 24,309 Monster Beverage Corp. (b) 1,551,643 11,574 PepsiCo, Inc. 1,517,699 -------------- 3,069,342 -------------- BIOTECHNOLOGY -- 14.2% 11,711 Alexion Pharmaceuticals, Inc. (b) 1,533,907 8,286 Amgen, Inc. 1,526,944 6,485 Biogen, Inc. (b) 1,516,647 17,637 BioMarin Pharmaceutical, Inc. (b) 1,510,609 15,675 Celgene Corp. (b) 1,448,997 22,347 Gilead Sciences, Inc. 1,509,763 17,480 Incyte Corp. (b) 1,485,101 4,841 Regeneron Pharmaceuticals, Inc. (b) 1,515,233 8,428 Vertex Pharmaceuticals, Inc. (b) 1,545,527 -------------- 13,592,728 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.7% 6,672 Cintas Corp. 1,583,199 -------------- ELECTRIC UTILITIES -- 1.6% 25,194 Xcel Energy, Inc. 1,498,791 -------------- ENTERTAINMENT -- 6.6% 33,771 Activision Blizzard, Inc. 1,593,991 16,264 Electronic Arts, Inc. (b) 1,646,892 4,199 Netflix, Inc. (b) 1,542,377 13,764 Take-Two Interactive Software, Inc. (b) 1,562,627 -------------- 6,345,887 -------------- FOOD & STAPLES RETAILING -- 3.3% 5,826 Costco Wholesale Corp. 1,539,579 29,560 Walgreens Boots Alliance, Inc. 1,616,045 -------------- 3,155,624 -------------- FOOD PRODUCTS -- 3.2% 49,251 Kraft Heinz (The) Co. 1,528,751 28,062 Mondelez International, Inc., Class A 1,512,542 -------------- 3,041,293 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.8% 5,468 Align Technology, Inc. (b) 1,496,592 5,660 IDEXX Laboratories, Inc. (b) 1,558,368 2,941 Intuitive Surgical, Inc. (b) 1,542,701 -------------- 4,597,661 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 1.6% 22,187 Henry Schein, Inc. (b) $ 1,550,871 -------------- HOTELS, RESTAURANTS & LEISURE -- 4.9% 11,311 Marriott International, Inc., Class A 1,586,820 18,497 Starbucks Corp. 1,550,604 12,761 Wynn Resorts Ltd. 1,582,236 -------------- 4,719,660 -------------- INSURANCE -- 1.6% 8,082 Willis Towers Watson PLC 1,548,026 -------------- INTERNET & DIRECT MARKETING RETAIL -- 11.4% 811 Amazon.com, Inc. (b) 1,535,734 825 Booking Holdings, Inc. (b) 1,546,636 43,008 Ctrip.com International Ltd., ADR (b) 1,587,425 38,712 eBay, Inc. 1,529,124 11,883 Expedia Group, Inc. 1,580,796 53,353 JD.com, Inc., ADR (b) 1,616,062 2,458 MercadoLibre, Inc. (b) 1,503,731 -------------- 10,899,508 -------------- IT SERVICES -- 6.3% 9,220 Automatic Data Processing, Inc. 1,524,342 16,948 Fiserv, Inc. (b) 1,544,980 17,920 Paychex, Inc. 1,474,637 13,342 PayPal Holdings, Inc. (b) 1,527,125 -------------- 6,071,084 -------------- LEISURE PRODUCTS -- 1.6% 14,454 Hasbro, Inc. 1,527,499 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.7% 4,288 Illumina, Inc. (b) 1,578,627 -------------- MACHINERY -- 1.6% 21,733 PACCAR, Inc. 1,557,387 -------------- MEDIA -- 8.1% 3,928 Charter Communications, Inc., Class A (b) 1,552,267 35,593 Comcast Corp., Class A 1,504,872 21,427 Fox Corp., Class A 785,085 21,606 Fox Corp., Class B 789,267 28,190 Liberty Global PLC, Class A (b) 760,848 28,883 Liberty Global PLC, Class C (b) 766,266 276,863 Sirius XM Holdings, Inc. 1,544,896 -------------- 7,703,501 -------------- MULTILINE RETAIL -- 1.6% 13,820 Dollar Tree, Inc. (b) 1,484,130 -------------- PHARMACEUTICALS -- 1.7% 84,631 Mylan N.V. (b) 1,611,374 -------------- PROFESSIONAL SERVICES -- 1.6% 10,687 Verisk Analytics, Inc. 1,565,218 -------------- See Notes to Financial Statements Page 29 FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) ROAD & RAIL -- 3.3% 19,708 CSX Corp. $ 1,524,808 17,438 J.B. Hunt Transport Services, Inc. 1,594,008 -------------- 3,118,816 -------------- SPECIALTY RETAIL -- 4.7% 4,121 O'Reilly Automotive, Inc. (b) 1,521,968 14,914 Ross Stores, Inc. 1,478,275 4,357 Ulta Beauty, Inc. (b) 1,511,400 -------------- 4,511,643 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.6% 8,525 Lululemon Athletica, Inc. (b) 1,536,290 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 47,559 Fastenal Co. 1,549,948 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.6% 20,481 T-Mobile US, Inc. (b) 1,518,461 -------------- TOTAL COMMON STOCKS -- 100.0% 95,664,923 (Cost $78,690,250) -------------- MONEY MARKET FUNDS -- 0.2% 108,446 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 2.19% (d) 108,446 128,608 Goldman Sachs Financial Square Treasury Obligations Fund 2.25% (d) (e) 128,608 -------------- TOTAL MONEY MARKET FUNDS -- 0.2% 237,054 (Cost $237,054) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.0% $ 954,745 BNP Paribas S.A., 2.48% (d), dated 06/28/19, due 07/01/19, with a maturity value of $954,943. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $974,273. (e) 954,745 (Cost $954,745) -------------- TOTAL INVESTMENTS -- 101.2% 96,856,722 (Cost $79,882,049) (f) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (1,158,375) -------------- NET ASSETS -- 100.0% $ 95,698,347 ============== (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 aggregate value of such securities is $1,064,117 and the total value of the collateral held by the Fund is $1,083,353. (d) Rate shown reflects yield as of June 30, 2019. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $22,520,242 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,545,569. The net unrealized appreciation was $16,974,673. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 95,664,923 $ -- $ -- Money Market Funds 237,054 -- -- Repurchase Agreements -- 954,745 -- ------------------------------------------------------- Total Investments $ 95,901,977 $ 954,745 $ -- ======================================================= * 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) JUNE 30, 2019 (UNAUDITED) --------------------------------- 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) $ 1,064,117 Non-cash Collateral(2) (1,064,117) -------------- 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 June 30, 2019, 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) $ 954,745 Non-cash Collateral(4) (954,745) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, 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 JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 5.6% 73,959 Hexcel Corp. $ 5,981,804 -------------- AUTOMOBILES -- 10.1% 631,191 NIO, Inc., ADR (a) (b) 1,609,537 40,603 Tesla, Inc. (a) (b) 9,073,147 -------------- 10,682,684 -------------- CHEMICALS -- 8.2% 92,315 Albemarle Corp. 6,499,899 141,406 Livent Corp. (b) 978,529 37,361 Sociedad Quimica y Minera de Chile S.A., ADR (a) 1,162,301 -------------- 8,640,729 -------------- ELECTRICAL EQUIPMENT -- 13.3% 30,396 Acuity Brands, Inc. 4,191,912 20,744 American Superconductor Corp. (a) (b) 192,504 225,037 Ballard Power Systems, Inc. (a) (b) 918,151 58,132 Bloom Energy Corp., Class A (a) (b) 713,280 41,508 EnerSys 2,843,298 237,690 Plug Power, Inc. (a) (b) 534,803 111,506 Sunrun, Inc. (b) 2,091,853 33,913 TPI Composites, Inc. (b) 838,329 27,609 Vicor Corp. (b) 857,259 116,815 Vivint Solar, Inc. (b) 852,750 -------------- 14,034,139 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 8.7% 163,756 AVX Corp. 2,718,349 38,110 Itron, Inc. (b) 2,384,543 23,032 Littelfuse, Inc. 4,074,591 -------------- 9,177,483 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.6% 61,851 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 1,742,961 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 17.3% 97,063 Atlantica Yield PLC 2,200,418 116,777 Brookfield Renewable Partners, L.P. (c) 4,039,316 71,018 Clearway Energy, Inc., Class C 1,197,364 54,382 NextEra Energy Partners, L.P. (c) (d) 2,623,932 49,155 Ormat Technologies, Inc. 3,115,935 95,158 Pattern Energy Group, Inc., Class A 2,197,198 202,559 TerraForm Power, Inc., Class A 2,896,594 -------------- 18,270,757 -------------- OIL, GAS & CONSUMABLE FUELS -- 0.5% 36,435 Renewable Energy Group, Inc. (b) 577,859 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 34.6% 37,032 Advanced Energy Industries, Inc. (b) $ 2,083,791 57,566 Canadian Solar, Inc. (b) 1,256,666 68,173 Cree, Inc. (b) 3,829,959 9,756 Daqo New Energy Corp., ADR (b) 413,362 106,757 Enphase Energy, Inc. (b) 1,946,180 64,767 First Solar, Inc. (b) 4,253,897 28,698 JinkoSolar Holding Co., Ltd., ADR (a) (b) 622,460 359,315 ON Semiconductor Corp. (b) 7,261,756 28,349 Power Integrations, Inc. 2,273,023 46,051 SolarEdge Technologies, Inc. (b) 2,876,345 137,921 SunPower Corp. (a) (b) 1,474,375 41,131 Universal Display Corp. 7,735,096 47,143 Veeco Instruments, Inc. (b) 576,087 -------------- 36,602,997 -------------- TOTAL COMMON STOCKS -- 99.9% 105,711,413 (Cost $88,998,329) -------------- MONEY MARKET FUNDS -- 1.2% 1,335,639 Goldman Sachs Financial Square Treasury Obligations Fund 2.25% (e) (f) 1,335,639 (Cost $1,335,639) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 9.4% $ 9,915,407 BNP Paribas S.A., 2.48% (e), dated 06/28/19, due 07/01/19, with a maturity value of $9,917,456. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $10,118,207. (f) 9,915,407 (Cost $9,915,407) -------------- TOTAL INVESTMENTS -- 110.5% 116,962,459 (Cost $100,249,375) (g) NET OTHER ASSETS AND LIABILITIES -- (10.5)% (11,140,385) -------------- NET ASSETS -- 100.0% $ 105,822,074 ============== (a) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $10,999,952 and the total value of the collateral held by the Fund is $11,251,046. (b) Non-income producing security. (c) Security is a Master Limited Partnership ("MLP"). (d) NextEra Energy Partners, L.P. is taxed as a "C" corporation for federal income tax purposes. Page 32 See Notes to Financial Statements FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) (e) Rate shown reflects yield as of June 30, 2019. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $24,778,195 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $8,065,111. The net unrealized appreciation was $16,713,084. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 105,711,413 $ -- $ -- Money Market Funds 1,335,639 -- -- Repurchase Agreements -- 9,915,407 -- ------------------------------------------------------- Total Investments $ 107,047,052 $ 9,915,407 $ -- ======================================================= * 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) $ 10,999,952 Non-cash Collateral(2) (10,999,952) -------------- 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 June 30, 2019, 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) $ 9,915,407 Non-cash Collateral(4) (9,915,407) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 33 FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.7% DIVERSIFIED REITS -- 6.2% 8,227 American Assets Trust, Inc. $ 387,656 84,642 Colony Capital, Inc. 423,210 24,885 Empire State Realty Trust, Inc., Class A 368,547 8,577 Essential Properties Realty Trust, Inc. 171,883 5,286 Gladstone Commercial Corp. 112,169 14,630 Global Net Lease, Inc. 287,041 36,476 Lexington Realty Trust 343,239 25,874 Liberty Property Trust 1,294,735 2,576 One Liberty Properties, Inc. 74,601 3,493 PS Business Parks, Inc. 588,675 35,265 STORE Capital Corp. 1,170,445 169,842 VEREIT, Inc. 1,530,277 13,966 Washington Real Estate Investment Trust 373,311 29,734 WP Carey, Inc. 2,413,806 -------------- 9,539,595 -------------- HEALTH CARE REITS -- 13.2% 16,679 CareTrust REIT, Inc. 396,627 3,127 Community Healthcare Trust, Inc. 123,235 4,703 Global Medical REIT, Inc. 49,381 83,408 HCP, Inc. 2,667,388 22,548 Healthcare Realty Trust, Inc. 706,203 35,789 Healthcare Trust of America, Inc., Class A 981,692 6,934 LTC Properties, Inc. 316,606 68,827 Medical Properties Trust, Inc. 1,200,343 7,538 National Health Investors, Inc. 588,190 14,346 New Senior Investment Group, Inc. 96,405 37,435 Omega Healthcare Investors, Inc. 1,375,736 32,332 Physicians Realty Trust 563,870 31,323 Sabra Health Care REIT, Inc. 616,750 41,484 Senior Housing Properties Trust 343,073 2,207 Universal Health Realty Income Trust 187,441 64,462 Ventas, Inc. 4,405,978 70,662 Welltower, Inc. 5,761,073 -------------- 20,379,991 -------------- HOTEL & RESORT REITS -- 5.6% 36,721 Apple Hospitality REIT, Inc. 582,395 15,328 Ashford Hospitality Trust, Inc. 45,524 5,394 Braemar Hotels & Resorts, Inc. 53,401 8,127 Chatham Lodging Trust 153,356 10,604 Chesapeake Lodging Trust 301,366 35,153 DiamondRock Hospitality Co. 363,482 6,296 Hersha Hospitality Trust 104,136 28,695 Hospitality Properties Trust 717,375 129,286 Host Hotels & Resorts, Inc. 2,355,591 35,175 Park Hotels & Resorts, Inc. 969,423 22,796 Pebblebrook Hotel Trust 642,391 30,302 RLJ Lodging Trust 537,557 8,976 Ryman Hospitality Properties, Inc. 727,864 18,337 Summit Hotel Properties, Inc. 210,325 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTEL & RESORT REITS (CONTINUED) 39,898 Sunstone Hotel Investors, Inc. $ 547,002 19,656 Xenia Hotels & Resorts, Inc. 409,828 -------------- 8,721,016 -------------- INDUSTRIAL REITS -- 10.4% 33,422 Americold Realty Trust 1,083,541 62,720 Duke Realty Corp. 1,982,579 6,413 EastGroup Properties, Inc. 743,780 22,072 First Industrial Realty Trust, Inc. 810,925 11,355 Industrial Logistics Properties Trust 236,411 1,711 Innovative Industrial Properties, Inc. 211,411 16,436 Monmouth Real Estate Investment Corp. 222,708 110,073 Prologis, Inc. 8,816,847 18,153 Rexford Industrial Realty, Inc. 732,837 21,926 STAG Industrial, Inc. 663,042 11,016 Terreno Realty Corp. 540,225 -------------- 16,044,306 -------------- OFFICE REITS -- 12.5% 19,707 Alexandria Real Estate Equities, Inc. 2,780,461 26,964 Boston Properties, Inc. 3,478,356 30,736 Brandywine Realty Trust 440,139 6,916 City Office REIT, Inc. 82,923 20,396 Columbia Property Trust, Inc. 423,013 19,530 Corporate Office Properties Trust 515,006 25,357 Cousins Properties, Inc. 917,163 28,229 Douglas Emmett, Inc. 1,124,643 11,870 Easterly Government Properties, Inc. 214,966 21,271 Equity Commonwealth 691,733 18,712 Franklin Street Properties Corp. 138,095 18,094 Highwoods Properties, Inc. 747,282 26,938 Hudson Pacific Properties, Inc. 896,227 21,059 JBG SMITH Properties 828,461 17,620 Kilroy Realty Corp. 1,300,532 15,764 Mack-Cali Realty Corp. 367,144 8,780 NorthStar Realty Europe Corp. 144,255 8,392 Office Properties Income Trust 220,458 35,188 Paramount Group, Inc. 492,984 21,917 Piedmont Office Realty Trust, Inc., Class A 436,806 14,715 SL Green Realty Corp. 1,182,644 30,292 Vornado Realty Trust 1,941,717 -------------- 19,365,008 -------------- RESIDENTIAL REITS -- 19.1% 23,952 American Campus Communities, Inc. 1,105,624 45,405 American Homes 4 Rent, Class A 1,103,796 25,970 Apartment Investment & Management Co., Class A 1,301,616 24,326 AvalonBay Communities, Inc. 4,942,557 3,919 Bluerock Residential Growth REIT, Inc. 46,048 1,609 BRT Apartments Corp. 22,735 Page 34 See Notes to Financial Statements FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) RESIDENTIAL REITS (CONTINUED) 16,871 Camden Property Trust $ 1,761,164 2,642 Clipper Realty, Inc. 29,538 15,693 Equity LifeStyle Properties, Inc. 1,904,189 64,646 Equity Residential 4,907,924 11,468 Essex Property Trust, Inc. 3,347,853 8,516 Front Yard Residential Corp. 104,066 15,676 Independence Realty Trust, Inc. 181,371 2,051 Investors Real Estate Trust 120,332 66,876 Invitation Homes, Inc. 1,787,595 19,892 Mid-America Apartment Communities, Inc. 2,342,482 3,713 NexPoint Residential Trust, Inc. 153,718 7,566 Preferred Apartment Communities, Inc., Class A 113,112 15,737 Sun Communities, Inc. 2,017,326 49,173 UDR, Inc. 2,207,376 6,343 UMH Properties, Inc. 78,717 -------------- 29,579,139 -------------- RETAIL REITS -- 17.2% 14,443 Acadia Realty Trust 395,305 6,712 Agree Realty Corp. 429,904 659 Alexander's, Inc. 244,028 9,452 American Finance Trust, Inc. 103,027 51,999 Brixmor Property Group, Inc. 929,742 30,272 CBL & Associates Properties, Inc. 31,483 14,995 Cedar Realty Trust, Inc. 39,737 13,071 Federal Realty Investment Trust 1,683,022 5,938 Getty Realty Corp. 182,653 73,646 Kimco Realty Corp. 1,360,978 14,647 Kite Realty Group Trust 221,609 18,485 Macerich (The) Co. 619,063 28,387 National Retail Properties, Inc. 1,504,795 10,398 Pennsylvania Real Estate Investment Trust 67,587 54,936 Realty Income Corp. 3,788,936 29,160 Regency Centers Corp. 1,946,138 19,947 Retail Opportunity Investments Corp. 341,692 37,271 Retail Properties of America, Inc., Class A 438,307 2,758 Retail Value, Inc. 95,978 14,022 RPT Realty 169,806 2,029 Saul Centers, Inc. 113,888 4,858 Seritage Growth Properties, Class A 208,700 53,918 Simon Property Group, Inc. 8,613,940 24,889 SITE Centers Corp. 329,530 7,531 Spirit MTA REIT 62,809 15,240 Spirit Realty Capital, Inc. 650,138 16,421 Tanger Factory Outlet Centers, Inc. 266,184 10,674 Taubman Centers, Inc. 435,819 21,011 Urban Edge Properties 364,121 5,218 Urstadt Biddle Properties, Inc., Class A 109,578 32,544 Washington Prime Group, Inc. 124,318 SHARES DESCRIPTION VALUE ------------------------------------------------------------- RETAIL REITS (CONTINUED) 20,877 Weingarten Realty Investors $ 572,447 6,950 Whitestone REIT 88,196 -------------- 26,533,458 -------------- SPECIALIZED REITS -- 15.5% 20,777 CoreCivic, Inc. 431,330 6,439 CoreSite Realty Corp. 741,580 32,888 CubeSmart 1,099,775 19,749 CyrusOne, Inc. 1,139,912 36,345 Digital Realty Trust, Inc. 4,281,078 13,174 EPR Properties 982,649 22,241 Extra Space Storage, Inc. 2,359,770 5,198 Farmland Partners, Inc. 36,646 11,936 Four Corners Property Trust, Inc. 326,211 35,207 Gaming and Leisure Properties, Inc. 1,372,369 21,150 GEO Group (The), Inc. 444,361 2,803 Gladstone Land Corp. 32,319 50,061 Iron Mountain, Inc. 1,566,909 8,137 Life Storage, Inc. 773,666 9,926 National Storage Affiliates Trust 287,258 26,191 Public Storage 6,237,910 9,659 QTS Realty Trust, Inc., Class A 446,053 1,398 Safehold, Inc. 42,220 63,826 VICI Properties, Inc. 1,406,725 -------------- 24,008,741 -------------- TOTAL COMMON STOCKS -- 99.7% 154,171,254 (Cost $162,218,088) -------------- MONEY MARKET FUNDS -- 0.1% 214,419 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 2.19% (a) 214,419 (Cost $214,419) -------------- TOTAL INVESTMENTS -- 99.8% 154,385,673 (Cost $162,432,507) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 341,445 -------------- NET ASSETS -- 100.0% $ 154,727,118 ============== (a) Rate shown reflects yield as of June 30, 2019. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,775,404 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $14,822,238. The net unrealized depreciation was $8,046,834. See Notes to Financial Statements Page 35 FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 154,171,254 $ -- $ -- Money Market Funds 214,419 -- -- ------------------------------------------------------- Total Investments $ 154,385,673 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements FIRST TRUST WATER ETF (FIW) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BEVERAGES -- 1.0% 306,491 Primo Water Corp. (a) $ 3,769,839 -------------- BUILDING PRODUCTS -- 5.8% 277,065 A.O. Smith Corp. 13,066,386 292,985 Advanced Drainage Systems, Inc. 9,606,978 -------------- 22,673,364 -------------- CHEMICALS -- 4.3% 85,182 Ecolab, Inc. 16,818,334 -------------- COMMERCIAL SERVICES & SUPPLIES -- 4.2% 209,754 Tetra Tech, Inc. 16,476,177 -------------- CONSTRUCTION & ENGINEERING -- 8.2% 406,640 AECOM (a) 15,391,324 259,002 Aegion Corp. (a) 4,765,637 92,170 Valmont Industries, Inc. 11,688,078 -------------- 31,845,039 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.1% 122,264 Badger Meter, Inc. 7,297,938 135,713 Itron, Inc. (a) 8,491,563 -------------- 15,789,501 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 9.0% 113,275 Danaher Corp. 16,189,263 68,180 IDEXX Laboratories, Inc. (a) 18,771,999 -------------- 34,961,262 -------------- INDUSTRIAL CONGLOMERATES -- 4.2% 44,455 Roper Technologies, Inc. 16,282,088 -------------- LIFE SCIENCES TOOLS & SERVICES -- 3.5% 181,116 Agilent Technologies, Inc. 13,523,932 -------------- MACHINERY -- 34.0% 560,631 Energy Recovery, Inc. (a) 5,841,775 529,753 Evoqua Water Technologies Corp. (a) 7,543,683 283,482 Flowserve Corp. 14,936,667 202,799 Franklin Electric Co., Inc. 9,632,952 132,989 Gorman-Rupp (The) Co. 4,366,029 99,847 IDEX Corp. 17,187,663 77,799 Lindsay Corp. 6,395,856 217,671 Mueller Industries, Inc. 6,371,230 689,084 Mueller Water Products, Inc., Class A 6,766,805 338,224 Pentair PLC 12,581,933 404,611 Rexnord Corp. (a) 12,227,344 133,986 Watts Water Technologies, Inc., Class A 12,484,815 190,443 Xylem, Inc. 15,928,652 -------------- 132,265,404 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- WATER UTILITIES -- 21.7% 151,706 American States Water Co. $ 11,414,359 141,586 American Water Works Co., Inc. 16,423,976 350,294 Aqua America, Inc. 14,491,663 203,264 AquaVenture Holdings Ltd. (a) 4,059,182 207,441 California Water Service Group 10,502,738 691,731 Cia de Saneamento Basico do Estado de Sao Paulo, ADR 8,418,366 122,204 Middlesex Water Co. 7,240,587 117,606 SJW Group 7,146,917 123,356 York Water (The) Co. 4,406,276 -------------- 84,104,064 -------------- TOTAL COMMON STOCKS -- 100.0% 388,509,004 (Cost $319,323,878) -------------- MONEY MARKET FUNDS -- 0.0% 36,971 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 2.19% (b) 36,971 (Cost $36,971) -------------- TOTAL INVESTMENTS -- 100.0% 388,545,975 (Cost $319,360,849) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 24,990 -------------- NET ASSETS -- 100.0% $ 388,570,965 ============== (a) Non-income producing security. (b) Rate shown reflects yield as of June 30, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $80,986,105 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $11,800,979. The net unrealized appreciation was $69,185,126. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 388,509,004 $ -- $ -- Money Market Funds 36,971 -- -- ------------------------------------------------------- Total Investments $ 388,545,975 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 37 FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% OIL, GAS & CONSUMABLE FUELS -- 99.8% 550,506 Antero Resources Corp. (a) $ 3,044,298 144,557 Cabot Oil & Gas Corp. 3,319,029 63,242 Cimarex Energy Co. 3,752,148 67,905 CNX Midstream Partners, L.P. (b) 954,065 378,780 CNX Resources Corp. (a) 2,768,882 44,126 Comstock Resources, Inc. (a) (c) 245,782 36,903 Concho Resources, Inc. 3,807,651 103,338 Continental Resources, Inc. (a) 4,349,496 59,146 DCP Midstream, L.P. (b) 1,732,978 143,753 Devon Energy Corp. 4,099,836 117,884 Enable Midstream Partners, L.P. (b) 1,616,190 686,303 Encana Corp. 3,520,734 384,673 Enerplus Corp. 2,896,588 7,919 EQM Midstream Partners, L.P. (b) 353,821 197,640 EQT Corp. 3,124,688 398,829 Gulfport Energy Corp. (a) 1,958,250 23,817 Hess Midstream Partners, L.P. (b) 464,431 220,001 Matador Resources Co. (a) 4,373,620 85,120 MPLX, L.P. (b) 2,740,013 145,546 Murphy Oil Corp. 3,587,709 169,010 Noble Energy, Inc. 3,785,824 112,033 PDC Energy, Inc. (a) 4,039,910 387,359 QEP Resources, Inc. (a) 2,800,606 462,509 Range Resources Corp. 3,228,313 240,792 SM Energy Co. 3,014,716 460,253 SRC Energy, Inc. (a) 2,282,855 100,218 Summit Midstream Partners, L.P. (b) 745,622 34,872 TC PipeLines, L.P. (b) 1,311,885 149,586 Unit Corp. (a) 1,329,819 145,417 Vermilion Energy, Inc. (c) 3,159,911 297,986 W&T Offshore, Inc. (a) 1,478,011 79,995 Western Midstream Partners, L.P. (b) 2,461,446 -------------- TOTAL COMMON STOCKS -- 99.8% 82,349,127 (Cost $122,323,393) -------------- MONEY MARKET FUNDS -- 0.4% 313,193 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (d) (e) 313,193 (Cost $313,193) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.8% $ 2,325,057 BNP Paribas S.A., 2.48% (d), dated 06/28/19, due 07/01/19, with a maturity value of $2,325,537. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $2,372,611. (e) $ 2,325,057 (Cost $2,325,057) -------------- TOTAL INVESTMENTS -- 103.0% 84,987,377 (Cost $124,961,643) (f) NET OTHER ASSETS AND LIABILITIES -- (3.0)% (2,494,936) -------------- NET ASSETS -- 100.0% $ 82,492,441 ============== (a) Non-income producing security. (b) Security is a Master Limited Partnership ("MLP"). (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $2,610,525 and the total value of the collateral held by the Fund is $2,638,250. (d) Rate shown reflects yield as of June 30, 2019. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,010,345 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $40,984,611. The net unrealized depreciation was $39,974,266. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 82,349,127 $ -- $ -- Money Market Funds 313,193 -- -- Repurchase Agreements -- 2,325,057 -- ------------------------------------------------------- Total Investments $ 82,662,320 $ 2,325,057 $ -- ======================================================= * See Portfolio of Investments for industry breakout. Page 38 See Notes to Financial Statements FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) --------------------------------- 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) $ 2,610,525 Non-cash Collateral(2) (2,610,525) -------------- 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 June 30, 2019, 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) $ 2,325,057 Non-cash Collateral(4) (2,325,057) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 39 FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AIR FREIGHT & LOGISTICS -- 0.7% 38,083 ZTO Express Cayman, Inc., ADR $ 728,147 -------------- AUTOMOBILES -- 4.1% 225,269 NIO, Inc., ADR (a) (b) 574,436 319,543 Tata Motors Ltd., ADR (b) 3,732,262 -------------- 4,306,698 -------------- BANKS -- 13.8% 56,343 HDFC Bank Ltd., ADR 7,326,844 582,965 ICICI Bank Ltd., ADR 7,339,529 -------------- 14,666,373 -------------- BIOTECHNOLOGY -- 1.4% 5,825 BeiGene Ltd., ADR (b) 722,009 7,648 China Biologic Products Holdings, Inc. (b) 728,854 -------------- 1,450,863 -------------- CAPITAL MARKETS -- 0.7% 17,965 Noah Holdings Ltd., ADR (b) 764,411 -------------- CONSUMER FINANCE -- 1.3% 60,800 LexinFintech Holdings Ltd., ADR (b) 678,528 100,302 Qudian, Inc., ADR (b) 752,265 -------------- 1,430,793 -------------- DIVERSIFIED CONSUMER SERVICES -- 2.8% 8,022 New Oriental Education & Technology Group, Inc., ADR (b) 774,765 58,083 TAL Education Group, ADR (b) 2,212,962 -------------- 2,987,727 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 14,151 China Telecom Corp., Ltd., ADR 707,975 65,435 China Unicom (Hong Kong) Ltd., ADR 713,241 -------------- 1,421,216 -------------- ENTERTAINMENT -- 6.2% 50,892 Bilibili, Inc., ADR (b) 828,013 88,886 Eros International PLC (a) (b) 119,996 32,151 HUYA, Inc., ADR (b) 794,451 37,688 iQIYI, Inc., ADR (b) 778,257 16,077 NetEase, Inc., ADR 4,112,014 -------------- 6,632,731 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.7% 22,451 Huazhu Group Ltd., ADR 813,849 35,602 Melco Resorts & Entertainment Ltd., ADR 773,275 49,954 Yum China Holdings, Inc. 2,307,875 -------------- 3,894,999 -------------- INSURANCE -- 0.7% 59,129 China Life Insurance Co., Ltd., ADR 731,426 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERACTIVE MEDIA & SERVICES -- 11.3% 12,049 58.com, Inc., ADR (b) $ 749,086 7,996 Autohome, Inc., ADR (b) 684,618 63,596 Baidu, Inc., ADR (b) 7,463,627 24,923 Momo, Inc., ADR 892,243 17,067 SINA Corp. (b) 736,100 16,551 Weibo Corp., ADR (b) 720,796 10,038 YY, Inc., ADR (b) 699,548 -------------- 11,946,018 -------------- INTERNET & DIRECT MARKETING RETAIL -- 27.5% 46,871 Alibaba Group Holding Ltd., ADR (b) 7,942,291 17,513 Baozun, Inc., ADR (a) (b) 873,198 115,671 Ctrip.com International Ltd., ADR (b) 4,269,417 271,567 JD.com, Inc., ADR (b) 8,225,765 85,050 MakeMyTrip Ltd. (b) 2,109,240 205,843 Pinduoduo, Inc., ADR (b) 4,246,541 298,726 Uxin Ltd., ADR (a) (b) 657,197 91,126 Vipshop Holdings Ltd., ADR (b) 786,417 -------------- 29,110,066 -------------- IT SERVICES -- 13.2% 21,150 GDS Holdings Ltd., ADR (a) (b) 794,605 668,155 Infosys Ltd., ADR 7,149,258 904,408 Wipro Ltd., ADR 3,916,087 36,119 WNS (Holdings) Ltd., ADR (b) 2,138,245 -------------- 13,998,195 -------------- MARINE -- 0.7% 73,798 Seaspan Corp. (a) 723,958 -------------- METALS & MINING -- 2.1% 216,316 Vedanta Ltd., ADR 2,199,934 -------------- OIL, GAS & CONSUMABLE FUELS -- 2.0% 10,394 China Petroleum & Chemical Corp., ADR 708,871 4,230 CNOOC Ltd., ADR 720,581 12,420 PetroChina Co., Ltd., ADR (a) 683,969 -------------- 2,113,421 -------------- PHARMACEUTICALS -- 3.7% 104,892 Dr. Reddy's Laboratories Ltd., ADR 3,930,303 -------------- PROFESSIONAL SERVICES -- 0.7% 9,764 51job, Inc., ADR (b) 737,182 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.9% 45,613 China Mobile Ltd., ADR 2,065,813 -------------- TOTAL COMMON STOCKS -- 99.8% 105,840,274 (Cost $121,578,476) -------------- Page 40 See Notes to Financial Statements FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.4% 439,936 Goldman Sachs Financial Square Treasury Obligations Fund 2.25% (c) (d) $ 439,936 (Cost $439,936) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.1% $ 3,265,958 BNP Paribas S.A., 2.48% (c), dated 06/28/19, due 07/01/19, with a maturity value of $3,266,633. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $3,332,757. (d) 3,265,958 (Cost $3,265,958) -------------- TOTAL INVESTMENTS -- 103.3% 109,546,168 (Cost $125,284,370) (e) NET OTHER ASSETS AND LIABILITIES -- (3.3)% (3,524,213) -------------- NET ASSETS -- 100.0% $ 106,021,955 ============== (a) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $3,634,765 and the total value of the collateral held by the Fund is $3,705,894. (b) Non-income producing security. (c) Rate shown reflects yield as of June 30, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $8,272,283 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $24,010,485. The net unrealized depreciation was $15,738,202. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 105,840,274 $ -- $ -- Money Market Funds 439,936 -- -- Repurchase Agreements -- 3,265,958 -- ------------------------------------------------------- Total Investments $ 106,280,210 $ 3,265,958 $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 41 FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) --------------------------------- 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) $ 3,634,765 Non-cash Collateral(2) (3,634,765) -------------- 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 June 30, 2019, 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) $ 3,265,958 Non-cash Collateral(4) (3,265,958) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 42 See Notes to Financial Statements FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 87.9% 18,375 1st Source Corp. $ 852,600 15,278 Allegiance Bancshares, Inc. (a) 509,368 22,745 Amalgamated Bank, Class A 396,900 20,751 Amerant Bancorp, Inc. (a) (b) 409,002 7,995 American National Bankshares, Inc. 309,806 34,065 Ameris Bancorp 1,335,007 17,256 Atlantic Capital Bancshares, Inc. (a) 295,423 58,740 Atlantic Union Bankshares Corp. 2,075,284 23,356 BancFirst Corp. 1,299,995 40,424 Bancorp (The), Inc. (a) 360,582 9,842 Bank of Marin Bancorp 403,719 92,325 Bank OZK 2,778,059 11,109 BankFinancial Corp. 155,415 25,142 Banner Corp. 1,361,439 51,149 BOK Financial Corp. 3,860,727 59,973 Boston Private Financial Holdings, Inc. 723,874 14,212 Bridge Bancorp, Inc. 418,686 57,107 Brookline Bancorp, Inc. 878,306 14,423 Bryn Mawr Bank Corp. 538,266 11,112 Camden National Corp. 509,707 12,561 Capstar Financial Holdings, Inc. 190,299 15,975 Carolina Financial Corp. 560,563 57,545 Cathay General Bancorp 2,066,441 18,612 CBTX, Inc. 523,742 93,494 CenterState Bank Corp. 2,153,167 2,584 Century Bancorp, Inc., Class A 227,134 51,222 Chemical Financial Corp. 2,105,736 3,463 Chemung Financial Corp. 167,401 11,799 City Holding Co. 899,792 11,185 Civista Bancshares, Inc. 251,103 52,656 Columbia Banking System, Inc. 1,905,094 79,109 Commerce Bancshares, Inc. 4,719,643 12,723 Community Trust Bancorp, Inc. 538,056 25,382 ConnectOne Bancorp, Inc. 575,156 100,230 CVB Financial Corp. 2,107,837 24,726 Eagle Bancorp, Inc. 1,338,418 104,191 East West Bancorp, Inc. 4,873,013 19,243 Enterprise Financial Services Corp. 800,509 11,268 Equity Bancshares, Inc., Class A (a) 300,405 11,442 Financial Institutions, Inc. 333,534 21,294 First Bancorp 775,527 12,293 First Bancshares, (The), Inc. 372,970 39,820 First Busey Corp. 1,051,646 7,426 First Citizens BancShares, Inc., Class A 3,343,705 11,280 First Community Bankshares, Inc. 380,813 70,594 First Financial Bancorp 1,709,787 97,144 First Financial Bankshares, Inc. 2,991,064 8,798 First Financial Corp. 353,328 31,942 First Foundation, Inc. 429,300 96,651 First Hawaiian, Inc. 2,500,361 7,216 First Internet Bancorp 155,433 30,639 First Interstate BancSystem, Inc., Class A 1,213,611 35,557 First Merchants Corp. 1,347,610 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 11,939 First Mid Bancshares, Inc. $ 416,910 76,529 First Midwest Bancorp, Inc. 1,566,549 17,826 First of Long Island (The) Corp. 357,946 20,178 Flushing Financial Corp. 447,952 120,845 Fulton Financial Corp. 1,978,233 17,891 German American Bancorp, Inc. 538,877 62,020 Glacier Bancorp, Inc. 2,514,911 10,163 Great Southern Bancorp, Inc. 608,256 8,380 Guaranty Bancshares, Inc. 261,037 61,365 Hancock Whitney Corp. 2,458,282 22,141 Hanmi Financial Corp. 493,080 23,309 HarborOne Bancorp, Inc. (a) 436,578 26,247 Heartland Financial USA, Inc. 1,174,028 31,029 Heritage Commerce Corp. 380,105 26,415 Heritage Financial Corp. 780,299 120,265 Home BancShares, Inc. 2,316,304 13,056 HomeTrust Bancshares, Inc. 328,228 90,674 Hope Bancorp, Inc. 1,249,488 32,252 Horizon Bancorp, Inc. 526,998 38,956 IBERIABANK Corp. 2,954,813 24,562 Independent Bank Corp. 1,870,396 16,804 Independent Bank Corp./MI 366,159 31,260 Independent Bank Group, Inc. 1,718,050 46,995 International Bancshares Corp. 1,772,181 199,523 Investors Bancorp, Inc. 2,224,681 36,109 Lakeland Bancorp, Inc. 583,160 18,336 Lakeland Financial Corp. 858,675 34,866 LegacyTexas Financial Group, Inc. 1,419,395 25,442 Live Oak Bancshares, Inc. 436,330 11,757 Mercantile Bank Corp. 383,043 17,226 Midland States Bancorp, Inc. 460,279 11,642 MidWestOne Financial Group, Inc. 325,510 4,657 National Bankshares, Inc. 181,297 31,325 NBT Bancorp, Inc. 1,175,001 6,727 Nicolet Bankshares, Inc. (a) 417,478 12,198 Old Line Bancshares, Inc. 324,589 124,546 Old National Bancorp 2,066,218 21,402 Old Second Bancorp, Inc. 273,304 25,903 Opus Bank 546,812 16,999 Origin Bancorp, Inc. 560,967 6,790 Orrstown Financial Services, Inc. 149,312 44,878 Pacific Premier Bancorp, Inc. 1,385,833 85,068 PacWest Bancorp 3,303,190 13,921 Peapack-Gladstone Financial Corp. 391,459 14,813 Peoples Bancorp, Inc. 477,867 13,459 People's Utah Bancorp 395,695 55,092 Pinnacle Financial Partners, Inc. 3,166,688 69,186 Popular, Inc. 3,752,649 10,943 Preferred Bank 517,057 11,281 QCR Holdings, Inc. 393,368 14,370 RBB Bancorp 277,916 41,970 Renasant Corp. 1,508,402 13,406 Republic Bancorp, Inc., Class A 666,948 42,123 Republic First Bancorp, Inc. (a) 206,824 24,576 S&T Bancorp, Inc. 921,108 25,487 Sandy Spring Bancorp, Inc. 888,987 See Notes to Financial Statements Page 43 FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 36,806 Seacoast Banking Corp. of Florida (a) $ 936,345 38,307 ServisFirst Bancshares, Inc. 1,312,398 10,973 Sierra Bancorp 297,588 68,635 Simmons First National Corp., Class A 1,596,450 9,987 SmartFinancial, Inc. (a) 216,618 25,319 South State Corp. 1,865,251 5,373 Southern First Bancshares, Inc. (a) 210,407 17,265 Southern National Bancorp of Virginia, Inc. 264,327 24,138 Southside Bancshares, Inc. 781,588 16,338 Stock Yards Bancorp, Inc. 590,619 9,071 Summit Financial Group, Inc. 243,556 35,990 Texas Capital Bancshares, Inc. (a) 2,208,706 51,980 TowneBank 1,418,014 21,798 TriCo Bancshares 823,964 21,014 TriState Capital Holdings, Inc. (a) 448,439 19,118 Triumph Bancorp, Inc. (a) 555,378 46,345 Trustmark Corp. 1,540,971 35,125 UMB Financial Corp. 2,311,927 157,837 Umpqua Holdings Corp. 2,618,516 73,087 United Bankshares, Inc. 2,710,797 56,581 United Community Banks, Inc. 1,615,953 20,966 Univest Financial Corp. 550,567 237,488 Valley National Bancorp 2,560,121 38,846 Veritex Holdings, Inc. 1,008,054 12,402 Washington Trust Bancorp, Inc. 647,136 39,086 WesBanco, Inc. 1,506,765 11,710 West Bancorporation, Inc. 248,486 19,278 Westamerica Bancorporation 1,187,718 40,563 Wintrust Financial Corp. 2,967,589 -------------- 156,134,313 -------------- IT SERVICES -- 0.3% 10,398 Cass Information Systems, Inc. 504,095 -------------- THRIFTS & MORTGAGE FINANCE -- 11.7% 21,526 Bridgewater Bancshares, Inc. (a) 248,410 101,203 Capitol Federal Financial, Inc. 1,393,565 82,961 Columbia Financial, Inc. (a) 1,252,711 25,811 Dime Community Bancshares, Inc. 490,151 14,117 First Defiance Financial Corp. 403,323 1,526 Hingham Institution for Savings 302,163 19,305 HomeStreet, Inc. (a) 572,200 64,816 Kearny Financial Corp. 861,405 40,316 Luther Burbank Corp. 439,041 38,329 Meridian Bancorp, Inc. 685,706 28,240 Meta Financial Group, Inc. 792,132 35,634 Northfield Bancorp, Inc. 556,247 76,062 Northwest Bancshares, Inc. 1,339,452 36,682 OceanFirst Financial Corp. 911,548 32,274 Oritani Financial Corp. 572,541 12,746 PCSB Financial Corp. 258,106 6,675 Southern Missouri Bancorp, Inc. 232,490 SHARES DESCRIPTION VALUE ------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE (CONTINUED) 37,107 Sterling Bancorp, Inc. $ 369,957 200,435 TFS Financial Corp. 3,621,860 69,312 TrustCo Bank Corp. NY 548,951 34,930 United Community Financial Corp. 334,280 36,601 United Financial Bancorp, Inc. 519,002 57,586 Washington Federal, Inc. 2,011,479 20,031 Waterstone Financial, Inc. 341,729 19,295 Western New England Bancorp, Inc. 180,215 38,232 WSFS Financial Corp. 1,578,982 -------------- 20,817,646 -------------- TOTAL COMMON STOCKS -- 99.9% 177,456,054 (Cost $199,893,396) -------------- MONEY MARKET FUNDS -- 0.0% 14,359 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 14,359 (Cost $14,359) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.0% $ 106,601 BNP Paribas S.A., 2.48% (c), dated 06/28/19, due 07/01/19, with a maturity value of $106,623. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $108,781. (d) 106,601 (Cost $106,601) -------------- TOTAL INVESTMENTS -- 99.9% 177,577,014 (Cost $200,014,356) (e) NET OTHER ASSETS AND LIABILITIES -- 0.1% 109,998 -------------- NET ASSETS -- 100.0% $ 177,687,012 ============== (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 aggregate value of such securities is $124,173 and the total value of the collateral held by the Fund is $120,960. (c) Rate shown reflects yield as of June 30, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,408,533 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $25,845,875. The net unrealized depreciation was $22,437,342. Page 44 See Notes to Financial Statements FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 177,456,054 $ -- $ -- Money Market Funds 14,359 -- -- Repurchase Agreements -- 106,601 -- ------------------------------------------------------- Total Investments $ 177,470,413 $ 106,601 $ -- ======================================================= * 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) $ 124,173 Non-cash Collateral(2) (120,960) -------------- Net Amount $ 3,213 ============== (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) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On June 28, 2019, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from June 27 to June 28, the value of the related securities loaned was above the collateral value received. See Note 2D -- Securities Lending in the Notes to Financial Statements. 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) $ 106,601 Non-cash Collateral(4) (106,601) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 45 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2019 (UNAUDITED)
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............................................... $ 778,517,179 $ 2,432,198,603 $ 96,856,722 Cash................................................................ 1,031,582 1,639,929 -- Receivables: Investment securities sold.................................... -- -- 413,503 Capital shares sold........................................... 6,669,420 -- -- Dividends..................................................... 399,403 2,081,904 30,969 Securities lending income..................................... 1,941 -- 398 Prepaid expenses.................................................... 1,725 7,647 285 -------------- --------------- -------------- Total Assets.................................................. 786,621,250 2,435,928,083 97,301,877 -------------- --------------- -------------- LIABILITIES: Due to custodian.................................................... -- -- 20 Payables: Investment securities purchased............................... 6,663,393 -- 413,749 Capital shares redeemed....................................... -- -- -- Collateral for securities on loan............................. 5,624,132 -- 1,083,353 Investment advisory fees...................................... 242,184 773,455 29,439 Licensing fees................................................ 185,112 609,919 22,724 Shareholder reporting fees.................................... 27,374 97,697 8,516 Audit and tax fees............................................ 14,292 14,292 14,292 Other liabilities................................................... 211,839 620,422 31,437 -------------- --------------- -------------- Total Liabilities............................................. 12,968,326 2,115,785 1,603,530 -------------- --------------- -------------- NET ASSETS.......................................................... $ 773,652,924 $ 2,433,812,298 $ 95,698,347 ============== =============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 673,840,875 $ 1,992,262,956 $ 93,361,720 Par value........................................................... 116,000 284,500 17,500 Accumulated distributable earnings (loss)........................... 99,696,049 441,264,842 2,319,127 -------------- --------------- -------------- NET ASSETS.......................................................... $ 773,652,924 $ 2,433,812,298 $ 95,698,347 ============== =============== ============== NET ASSET VALUE, per share.......................................... $ 66.69 $ 85.55 $ 54.68 ============== =============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 11,600,002 28,450,002 1,750,002 ============== =============== ============== Investments, at cost................................................ $ 666,072,578 $ 2,039,473,092 $ 79,882,049 ============== =============== ============== Securities on loan, at value........................................ $ 5,524,602 $ -- $ 1,064,117 ============== =============== ==============
Page 46 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 116,962,459 $ 154,385,673 $ 388,545,975 $ 84,987,377 $ 109,546,168 $ 177,577,014 113,397 -- 3,645 226,986 221,101 155,311 -- -- -- -- 10,764,630 -- -- -- 2,736,414 -- -- -- 73,221 668,716 323,134 24,792 124,037 303,288 40,986 -- -- 1,797 4,278 464 342 2,854 3,588 3,003 3,471 1,200 -------------- -------------- -------------- -------------- -------------- -------------- 117,190,405 155,057,243 391,612,756 85,243,955 120,663,685 178,037,277 -------------- -------------- -------------- -------------- -------------- -------------- -- -- -- -- -- -- -- 180,062 2,735,927 -- -- -- -- -- -- -- 10,782,430 -- 11,251,046 -- -- 2,638,250 3,705,894 120,960 34,212 33,009 118,211 28,473 56,253 79,847 25,023 36,997 43,344 22,509 24,060 42,813 11,487 11,680 23,590 12,568 11,381 20,505 14,293 14,292 14,292 14,292 14,292 14,292 32,270 54,085 106,427 35,422 47,420 71,848 -------------- -------------- -------------- -------------- -------------- -------------- 11,368,331 330,125 3,041,791 2,751,514 14,641,730 350,265 -------------- -------------- -------------- -------------- -------------- -------------- $ 105,822,074 $ 154,727,118 $ 388,570,965 $ 82,492,441 $ 106,021,955 $ 177,687,012 ============== ============== ============== ============== ============== ============== $ 124,048,335 $ 161,662,657 $ 327,066,577 $ 595,969,901 $ 183,819,963 $ 213,433,073 50,000 62,000 71,000 56,984 29,500 37,000 (18,276,261) (6,997,539) 61,433,388 (513,534,444) (77,827,508) (35,783,061) -------------- -------------- -------------- -------------- -------------- -------------- $ 105,822,074 $ 154,727,118 $ 388,570,965 $ 82,492,441 $ 106,021,955 $ 177,687,012 ============== ============== ============== ============== ============== ============== $ 21.16 $ 24.96 $ 54.73 $ 14.48 $ 35.94 $ 48.02 ============== ============== ============== ============== ============== ============== 5,000,002 6,200,002 7,100,002 5,698,365 2,950,002 3,700,002 ============== ============== ============== ============== ============== ============== $ 100,249,375 $ 162,432,507 $ 319,360,849 $ 124,961,643 $ 125,284,370 $ 200,014,356 ============== ============== ============== ============== ============== ============== $ 10,999,952 $ -- $ -- $ 2,610,525 $ 3,634,765 $ 124,173 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2019 (UNAUDITED)
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........................................................... $ 3,767,559 $ 16,272,064 $ 403,060 Securities lending income (net of fees)............................. 40,134 1,896 9,786 Foreign withholding tax............................................. (19,853) (168,689) -- -------------- --------------- -------------- Total investment income....................................... 3,787,840 16,105,271 412,846 -------------- --------------- -------------- EXPENSES: Investment advisory fees............................................ 1,352,559 4,606,540 176,502 Licensing fees...................................................... 336,350 1,143,990 43,802 Accounting and administration fees.................................. 169,795 510,265 22,737 Custodian fees...................................................... 34,012 69,075 6,901 Shareholder reporting fees.......................................... 30,721 98,770 10,340 Expenses previously waived or reimbursed............................ -- -- -- Transfer agent fees................................................. 16,905 41,181 2,206 Audit and tax fees.................................................. 11,368 11,368 11,368 Legal fees.......................................................... 8,165 34,690 1,283 Trustees' fees and expenses......................................... 3,987 4,986 3,601 Listing fees........................................................ 3,061 3,246 2,967 Registration and filing fees........................................ (1,412) (28,244) 49 Other expenses...................................................... 3,219 14,075 1,320 -------------- --------------- -------------- Total expenses................................................ 1,968,730 6,509,942 283,076 Less fees waived and expenses reimbursed by the investment advisor.................................................... -- -- (18,322) -------------- --------------- -------------- Net expenses.................................................. 1,968,730 6,509,942 264,754 -------------- --------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 1,819,110 9,595,329 148,092 -------------- --------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (2,300,223) (13,677,784) 937,384 In-kind redemptions........................................... 30,298,513 127,713,032 -- Foreign currency transactions................................. -- -- -- -------------- --------------- -------------- Net realized gain (loss)............................................ 27,998,290 114,035,248 937,384 -------------- --------------- -------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... 88,190,514 369,920,867 14,504,152 Foreign currency translation.................................. -- -- -- -------------- --------------- -------------- Net change in unrealized appreciation (depreciation)................ 88,190,514 369,920,867 14,504,152 -------------- --------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 116,188,804 483,956,115 15,441,536 -------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 118,007,914 $ 493,551,444 $ 15,589,628 ============== =============== ==============
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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 458,121 $ 2,822,787 $ 2,241,235 $ 465,483 $ 487,951 $ 2,681,163 305,822 -- 8,185 13,520 84,123 4,229 (25,217) -- -- (26,977) (9,196) (5,059) -------------- -------------- -------------- -------------- -------------- -------------- 738,726 2,822,787 2,249,420 452,026 562,878 2,680,333 -------------- -------------- -------------- -------------- -------------- -------------- 192,421 201,012 666,071 189,760 254,391 414,104 47,817 53,604 82,807 46,916 49,824 92,324 24,796 34,651 83,974 24,435 32,644 53,079 3,251 20,690 22,074 7,095 1,054 11,628 13,486 15,186 27,506 12,540 6,247 18,049 -- -- -- -- -- 8,669 2,405 3,350 8,325 2,371 3,179 5,175 11,368 11,368 11,368 11,368 11,368 11,368 1,315 1,506 4,605 1,816 4,450 4,606 3,609 3,625 3,760 3,607 3,583 3,677 3,035 4,421 5,646 5,688 5,688 3,040 596 49 (1,853) 49 49 (6,526) 1,978 254 2,671 980 2,922 1,963 -------------- -------------- -------------- -------------- -------------- -------------- 306,077 349,716 916,954 306,625 375,399 621,156 (17,444) (14,697) -- (21,985) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 288,633 335,019 916,954 284,640 375,399 621,156 -------------- -------------- -------------- -------------- -------------- -------------- 450,093 2,487,768 1,332,466 167,386 187,479 2,059,177 -------------- -------------- -------------- -------------- -------------- -------------- 1,320,030 (599,485) (185,784) (7,669,119) (2,371,446) (1,886,719) 180,367 1,839,793 2,012,368 2,888,620 6,649,177 (4,555,406) -- -- -- 329 -- -- -------------- -------------- -------------- -------------- -------------- -------------- 1,500,397 1,240,308 1,826,584 (4,780,170) 4,277,731 (6,442,125) -------------- -------------- -------------- -------------- -------------- -------------- 15,111,917 13,799,383 69,995,776 5,608,177 16,127,329 30,312,796 -- -- -- 2 -- -- -------------- -------------- -------------- -------------- -------------- -------------- 15,111,917 13,799,383 69,995,776 5,608,179 16,127,329 30,312,796 -------------- -------------- -------------- -------------- -------------- -------------- 16,612,314 15,039,691 71,822,360 828,009 20,405,060 23,870,671 -------------- -------------- -------------- -------------- -------------- -------------- $ 17,062,407 $ 17,527,459 $ 73,154,826 $ 995,395 $ 20,592,539 $ 25,929,848 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49 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) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2019 Year Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................ $ 1,819,110 $ 2,814,614 $ 9,595,329 $ 20,449,136 Net realized gain (loss).................................... 27,998,290 36,660,258 114,035,248 258,441,729 Net increase from payment by the advisor.................... -- 22,098 -- -- Net change in unrealized appreciation (depreciation)........ 88,190,514 (64,499,253) 369,920,867 (404,848,814) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 118,007,914 (25,002,283) 493,551,444 (125,957,949) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (1,470,915) (2,716,080) (7,513,261) (19,564,271) Return of capital........................................... -- -- -- -- -------------- -------------- -------------- -------------- Total distributions to shareholders......................... (1,470,915) (2,716,080) (7,513,261) (19,564,271) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 277,369,552 79,723,310 404,854,407 936,219,196 Cost of shares redeemed..................................... (81,718,118) (120,172,606) (407,749,079) (1,040,739,511) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ 195,651,434 (40,449,296) (2,894,672) (104,520,315) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... 312,188,433 (68,167,659) 483,143,511 (250,042,535) NET ASSETS: Beginning of period......................................... 461,464,491 529,632,150 1,950,668,787 2,200,711,322 -------------- -------------- -------------- -------------- End of period............................................... $ 773,652,924 $ 461,464,491 $2,433,812,298 $1,950,668,787 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 8,450,002 9,150,002 28,700,002 30,600,002 Shares sold................................................. 4,400,000 1,300,000 4,850,000 11,950,000 Shares redeemed............................................. (1,250,000) (2,000,000) (5,100,000) (13,850,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 11,600,002 8,450,002 28,450,002 28,700,002 ============== ============== ============== ==============
Page 50 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) ----------------------------- ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Six Months Ended Ended Ended Ended 6/30/2019 Year Ended 6/30/2019 Year Ended 6/30/2019 Year Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 148,092 $ 317,901 $ 450,093 $ 550,270 $ 2,487,768 $ 3,481,597 $ 1,332,466 $ 2,289,394 937,384 6,319,501 1,500,397 (1,384,642) 1,240,308 (8,816,597) 1,826,584 25,993,912 -- -- -- -- -- -- -- -- 14,504,152 (11,325,769) 15,111,917 (11,072,153) 13,799,383 (5,846,287) 69,995,776 (57,825,167) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 15,589,628 (4,688,367) 17,062,407 (11,906,525) 17,527,459 (11,181,287) 73,154,826 (29,541,861) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (132,850) (308,595) (331,450) (510,967) (1,159,630) (3,585,667) (1,476,980) (2,110,505) -- -- -- (350,683) -- -- -- -- ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (132,850) (308,595) (331,450) (861,650) (1,159,630) (3,585,667) (1,476,980) (2,110,505) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 2,623,365 10,002,377 6,211,394 11,063,662 51,179,138 60,347,868 34,041,981 110,251,184 -- (29,301,259) (851,667) (5,826,072) (28,515,701) (91,675,775) (7,256,305) (87,266,237) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 2,623,365 (19,298,882) 5,359,727 5,237,590 22,663,437 (31,327,907) 26,785,676 22,984,947 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 18,080,143 (24,295,844) 22,090,684 (7,530,585) 39,031,266 (46,094,861) 98,463,522 (8,667,419) 77,618,204 101,914,048 83,731,390 91,261,975 115,695,852 161,790,713 290,107,443 298,774,862 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 95,698,347 $ 77,618,204 $ 105,822,074 $ 83,731,390 $ 154,727,118 $ 115,695,852 $ 388,570,965 $ 290,107,443 ============= ============= ============== ============== ============== ============== ============== ============== 1,700,002 2,100,002 4,750,002 4,500,002 5,350,002 6,950,002 6,600,002 6,150,002 50,000 200,000 300,000 550,000 2,050,000 2,550,000 650,000 2,250,000 -- (600,000) (50,000) (300,000) (1,200,000) (4,150,000) (150,000) (1,800,000) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 1,750,002 1,700,002 5,000,002 4,750,002 6,200,002 5,350,002 7,100,002 6,600,002 ============= ============= ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST NATURAL GAS CHINDIA ETF ETF (FCG) (FNI) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2019 Year Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................ $ 167,386 $ 107,831 $ 187,479 $ 3,676,414 Net realized gain (loss).................................... (4,780,170) (16,202,838) 4,277,731 22,238,027 Net increase from payment by the advisor.................... -- -- -- -- Net change in unrealized appreciation (depreciation)........ 5,608,179 (34,785,338) 16,127,329 (102,311,847) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 995,395 (50,880,345) 20,592,539 (76,397,406) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (1,104,091) -- -- (4,434,111) Return of capital........................................... -- (1,420,088) -- -- -------------- -------------- -------------- -------------- Total distributions to shareholders......................... (1,104,091) (1,420,088) -- (4,434,111) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 28,212,574 31,493,285 5,706,997 123,727,641 Cost of shares redeemed..................................... (34,485,425) (74,580,615) (53,284,298) (285,804,842) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (6,272,851) (43,087,330) (47,577,301) (162,077,201) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... (6,381,547) (95,387,763) (26,984,762) (242,908,718) NET ASSETS: Beginning of period......................................... 88,873,988 184,261,751 133,006,717 375,915,435 -------------- -------------- -------------- -------------- End of period............................................... $ 82,492,441 $ 88,873,988 $ 106,021,955 $ 133,006,717 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 6,048,365 8,098,365 4,300,002 9,500,002 Shares sold................................................. 1,700,000 1,450,000 150,000 3,200,000 Shares redeemed............................................. (2,050,000) (3,500,000) (1,500,000) (8,400,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 5,698,365 6,048,365 2,950,002 4,300,002 ============== ============== ============== ==============
Page 52 See Notes to Financial Statements
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) ----------------------------- Six Months Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 ----------------------------- $ 2,059,177 $ 5,190,750 (6,442,125) 3,065,123 -- -- 30,312,796 (67,237,070) ------------- ------------- 25,929,848 (58,981,197) ------------- ------------- (1,683,791) (5,212,126) -- -- ------------- ------------- (1,683,791) (5,212,126) ------------- ------------- -- 115,204,523 (75,321,052) (136,281,236) ------------- ------------- (75,321,052) (21,076,713) ------------- ------------- (51,074,995) (85,270,036) 228,762,007 314,032,043 ------------- ------------- $ 177,687,012 $ 228,762,007 ============= ============= 5,300,002 6,000,002 -- 2,050,000 (1,600,000) (2,750,000) ------------- ------------- 3,700,002 5,300,002 ============= =============
See Notes to Financial Statements Page 53 FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 54.61 $ 57.88 $ 46.18 $ 43.48 $ 42.80 $ 36.35 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.16 0.32 0.24 0.31 0.22 0.41 Net realized and unrealized gain (loss) 12.05 (3.29) (a) 11.74 2.73 0.73 6.49 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 12.21 (2.97) 11.98 3.04 0.95 6.90 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.13) (0.30) (0.28) (0.34) (0.27) (0.45) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 66.69 $ 54.61 $ 57.88 $ 46.18 $ 43.48 $ 42.80 =========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 22.36% (5.16)%(a) 26.00% 7.02% 2.22% 19.13% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 773,653 $ 461,464 $ 529,632 $ 404,044 $ 532,679 $ 577,828 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% (c) 0.60% 0.60% 0.61% 0.60% 0.61% Ratio of net expenses to average net assets 0.58% (c) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.54% (c) 0.52% 0.45% 0.72% 0.51% 1.10% Portfolio turnover rate (d) 11% 27% 26% 29% 31% 27% FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 67.97 $ 71.92 $ 52.62 $ 42.64 $ 43.67 $ 35.43 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.33 0.65 0.48 0.67 0.37 0.45 Net realized and unrealized gain (loss) 17.51 (3.98) 19.39 9.99 (0.98) 8.32 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 17.84 (3.33) 19.87 10.66 (0.61) 8.77 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.26) (0.62) (0.57) (0.68) (0.42) (0.53) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 85.55 $ 67.97 $ 71.92 $ 52.62 $ 42.64 $ 43.67 =========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 26.26% (4.70)% 37.86% 25.27% (1.37)% 24.83% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,433,812 $1,950,669 $2,200,711 $1,570,855 $ 302,735 $ 366,869 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.57% (c) 0.57% 0.58% 0.60% 0.60% 0.61% Ratio of net expenses to average net assets 0.57% (c) 0.57% 0.58% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.83% (c) 0.84% 0.76% 1.40% 0.83% 1.32% Portfolio turnover rate (d) 7% 21% 21% 27% 23% 20%
(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) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 54 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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.66 $ 48.53 $ 40.44 $ 41.45 $ 39.73 $ 34.77 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.09 0.18 0.12 0.09 0.13 0.32 Net realized and unrealized gain (loss) 9.01 (2.88) 8.13 (0.98) 1.75 4.97 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 9.10 (2.70) 8.25 (0.89) 1.88 5.29 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.08) (0.17) (0.16) (0.12) (0.16) (0.33) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 54.68 $ 45.66 $ 48.53 $ 40.44 $ 41.45 $ 39.73 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 19.93% (5.58)% 20.41% (2.13)% 4.75% 15.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 95,698 $ 77,618 $ 101,914 $ 103,118 $ 184,447 $ 117,195 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% (b) 0.64% 0.63% 0.64% 0.63% 0.64% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.34% (b) 0.34% 0.25% 0.23% 0.33% 0.90% Portfolio turnover rate (c) 13% 26% 25% 30% 39% 23% FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 17.63 $ 20.28 $ 15.47 $ 16.01 $ 17.23 $ 17.90 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.09 0.12 0.05 0.17 0.11 0.13 Net realized and unrealized gain (loss) 3.51 (2.59) 4.85 (0.52) (1.21) (0.66) ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.60 (2.47) 4.90 (0.35) (1.10) (0.53) ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.07) (0.11) (0.09) (0.19) (0.12) (0.14) Return of capital -- (0.07) -- -- -- -- ----------- ---------- ---------- ---------- ---------- ---------- Total distributions (0.07) (0.18) (0.09) (0.19) (0.12) (0.14) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 21.16 $ 17.63 $ 20.28 $ 15.47 $ 16.01 $ 17.23 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 20.43% (12.22)% 31.73% (2.12)% (6.43)% (3.05)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 105,822 $ 83,731 $ 91,262 $ 51,837 $ 69,655 $ 89,616 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% (b) 0.65% 0.66% 0.68% 0.65% 0.64% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.94% (b) 0.59% 0.23% 1.18% 0.65% 0.61% Portfolio turnover rate (c) 17% 45% 32% 49% 35% 37%
(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) Annualized. (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 55 FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST S&P REIT INDEX FUND (FRI) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 21.63 $ 23.28 $ 23.07 $ 22.07 $ 22.24 $ 17.54 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.42 0.69 0.71 0.62 0.55 0.41 Net realized and unrealized gain (loss) 3.12 (1.65) 0.16 1.13 (0.13) 4.75 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.54 (0.96) 0.87 1.75 0.42 5.16 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.21) (0.69) (0.66) (0.75) (0.59) (0.46) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 24.96 $ 21.63 $ 23.28 $ 23.07 $ 22.07 $ 22.24 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 16.37% (4.19)% 3.79% 7.92% 1.97% 29.61% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 154,727 $ 115,696 $ 161,791 $ 236,426 $ 226,250 $ 339,130 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.52% (b) 0.52% 0.48% 0.49% 0.48% 0.50% Ratio of net expenses to average net assets 0.50% (b) 0.50% 0.48% 0.49% 0.48% 0.50% Ratio of net investment income (loss) to average net assets 3.71% (b) 3.05% 2.77% 2.52% 2.30% 2.35% Portfolio turnover rate (c) 2% 10% 7% 6% 8% 11% FIRST TRUST WATER ETF (FIW) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.96 $ 48.58 $ 39.61 $ 30.13 $ 33.65 $ 33.79 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.20 0.35 0.54 0.20 0.23 0.25 Net realized and unrealized gain (loss) 10.79 (4.65) 8.98 9.48 (3.52) (0.14) ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 10.99 (4.30) 9.52 9.68 (3.29) 0.11 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.22) (0.32) (0.55) (0.20) (0.23) (0.25) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 54.73 $ 43.96 $ 48.58 $ 39.61 $ 30.13 $ 33.65 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 25.01% (8.89)% 24.25% 32.21% (9.81)% 0.36% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 388,571 $ 290,107 $ 298,775 $ 221,791 $ 102,432 $ 198,550 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.55% (b) 0.55% 0.56% 0.57% 0.57% 0.59% Ratio of net expenses to average net assets 0.55% (b) 0.55% 0.56% 0.57% 0.57% 0.59% Ratio of net investment income (loss) to average net assets 0.80% (b) 0.72% 1.26% 0.58% 0.70% 0.75% Portfolio turnover rate (c) 7% 11% 24% 42% 17% 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) Annualized. (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 NATURAL GAS ETF (FCG) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 (a) 2014 (a) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 14.69 $ 22.75 $ 26.15 $ 22.30 $ 56.10 $ 97.65 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.03 0.02 (0.02) 0.13 1.00 0.70 Net realized and unrealized gain (loss) (0.05) (7.86) (3.02) 4.16 (33.75) (41.50) ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.02) (7.84) (3.04) 4.29 (32.75) (40.80) ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.19) -- (0.23) (0.44) (1.05) (0.75) Return of capital -- (0.22) (0.13) -- -- -- ----------- ---------- ---------- ---------- ---------- ---------- Total distributions (0.19) (0.22) (0.36) (0.44) (1.05) (0.75) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 14.48 $ 14.69 $ 22.75 $ 26.15 $ 22.30 $ 56.10 =========== ========== ========== ========== ========== ========== TOTAL RETURN (b) (0.19)% (34.77)% (11.53)% 19.48% (59.10)% (42.02)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 82,492 $ 88,874 $ 184,262 $ 251,024 $ 153,042 $ 246,946 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (c) 0.63% 0.64% (d) 0.64% (d) 0.62% 0.61% Ratio of net expenses to average net assets 0.60% (c) 0.60% 0.63% (d) 0.61% (d) 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.35% (c) 0.07% (0.11)% 0.54% 2.44% 0.74% Portfolio turnover rate (e) 22% 47% 53% 103% 67% 42% FIRST TRUST CHINDIA ETF (FNI) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 30.93 $ 39.57 $ 27.39 $ 28.36 $ 28.63 $ 28.22 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.06 0.04 0.34 0.25 0.15 0.20 Net realized and unrealized gain (loss) 4.95 (8.16) 12.61 (0.85) (0.24) 0.48 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.01 (8.12) 12.95 (0.60) (0.09) 0.68 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- (0.52) (0.77) (0.37) (0.18) (0.27) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 35.94 $ 30.93 $ 39.57 $ 27.39 $ 28.36 $ 28.63 =========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 16.20% (20.68)% 47.36% (2.15)% (0.32)% 2.37% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 106,022 $ 133,007 $ 375,915 $ 131,466 $ 221,188 $ 111,663 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% (c) 0.59% 0.60% 0.60% 0.62% 0.65% Ratio of net expenses to average net assets 0.59% (c) 0.59% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.29% (c) 1.06% 0.91% 0.91% 0.64% 0.54% Portfolio turnover rate (e) 13% 22% 35% 47% 68% 40%
(a) All per share amounts and net asset values have been adjusted to reflect the impact of the 1-for-5 reverse share split on May 2, 2016. The net asset values reported on December 31, 2015 and 2014 prior to the reverse share split restatement were $4.46 and $11.22, respectively. (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) Annualized. (d) For the years ended December 31, 2017 and 2016, ratios reflect excise tax of 0.03% and 0.01%, respectively, which are not included in the expense cap. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 57 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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ---------------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.16 $ 52.34 $ 52.81 $ 38.94 $ 36.61 $ 36.11 ----------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.51 0.81 0.74 0.58 0.56 0.47 Net realized and unrealized gain (loss) 4.76 (9.17) (0.46) 13.89 2.31 0.50 ----------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.27 (8.36) 0.28 14.47 2.87 0.97 ----------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.41) (0.82) (0.75) (0.60) (0.54) (0.47) ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 48.02 $ 43.16 $ 52.34 $ 52.81 $ 38.94 $ 36.61 =========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 12.22% (16.14)% 0.55% 37.57% 7.88% 2.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 177,687 $ 228,762 $ 314,032 $ 404,023 $ 223,902 $ 109,818 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (b) 0.60% 0.60% 0.61% 0.62% 0.64% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 1.99% (b) 1.50% 1.37% 1.54% 1.52% 1.41% Portfolio turnover rate (c) 5% 11% 14% 16% 19% 26%
(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) Annualized. (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 58 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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-one exchange-traded funds. This report covers the nine 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 shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are generally issued and redeemed in-kind for securities in which a Fund invests and, in certain circumstances, for cash, and only to and from broker-dealer and large institutional investors that have entered into participation agreements. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. 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 ("FASB") Accounting Standards Codification ("ASC") 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' Page 59 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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: 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. Page 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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 June 30, 2019, is included with each Fund's Portfolio of Investments. 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. 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 June 30, 2019, QQEW, QQXT, QCLN, FCG, FNI, and QABA had securities in the securities lending program. During the six months ended June 30, 2019, QQEW, QTEC, QQXT, QCLN, FIW, FCG, FNI, and QABA participated in the securities lending program. Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund 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 six months ended June 30, 2019, 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, 2018 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 $ 2,716,080 $ -- $ -- First Trust NASDAQ-100-Technology Sector Index Fund 19,564,271 -- -- First Trust NASDAQ-100 Ex-Technology Sector Index Fund 308,595 -- -- First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 510,967 -- 350,683 First Trust S&P REIT Index Fund 3,585,667 -- -- First Trust Water ETF 2,110,505 -- -- First Trust Natural Gas ETF -- -- 1,420,088 First Trust Chindia ETF 4,434,111 -- -- First Trust NASDAQ(R)ABA Community Bank Index Fund 5,212,126 -- --
Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) As of December 31, 2018, 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 $ 42,934 $(37,030,279) $ 20,146,395 First Trust NASDAQ-100-Technology Sector Index Fund 202,049 (47,202,665) 2,227,275 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 9,306 (14,965,979) 1,819,022 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund -- (34,906,225) (100,993) First Trust S&P REIT Index Fund 290,492 (445,058) (23,210,802) First Trust Water ETF 178,889 (6,895,306) (3,528,041) First Trust Natural Gas ETF -- (461,527,796) (51,897,952) First Trust Chindia ETF -- (64,902,798) (33,517,249) First Trust NASDAQ(R) ABA Community Bank Index Fund -- (4,971,951) (55,057,167)
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. 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. Taxable years ending 2015, 2016, 2017, and 2018 remain open to federal and state audit. As of June 30, 2019, 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. Under the Regulated Investment Company Modernization Act of 2010 (the "Act"), net capital losses arising in taxable years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for up to eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. At December 31, 2018, the Funds had post-enactment net capital losses for federal income tax purposes as shown in the following table. 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 Fund shareholders. The Funds are 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.
Pre-Enactment - No Expiration ------------------ First Trust NASDAQ-100 Equal Weighted Index Fund $ 37,030,279 First Trust NASDAQ-100-Technology Sector Index Fund 47,202,665 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 14,965,979 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 34,906,225 First Trust S&P REIT Index Fund 445,058 First Trust Water ETF 6,895,306 First Trust Natural Gas ETF 461,527,796 First Trust Chindia ETF 64,902,798 First Trust NASDAQ(R) ABA Community Bank Index Fund 4,971,951
Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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. 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
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. I. NEW ACCOUNTING PRONOUNCEMENT On August 28, 2018, the FASB issued Accounting Standards Update ("ASU") 2018-13, "Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement," which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Funds have early adopted ASU 2018-13 for these financial statements, which did not result in a material impact. 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, 2021. Page 64 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED)
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 was waived or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees were waived by First Trust. These amounts are included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the six months ended June 30, 2019 and 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 Six Months Year Year Six Months Fee Expense Ended Ended Ended Ended Waivers Reimbursement 12/31/2016 12/31/2017 12/31/2018 6/30/2019 Total --------- ------------- ---------- ---------- ---------- ---------- ---------- First Trust NASDAQ-100 Ex-Technology Sector Index Fund $ 18,322 $ -- $ 14,190 $ 26,900 $ 35,900 $ 18,322 $ 95,312 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 17,444 -- 20,220 39,255 43,615 17,444 120,534 First Trust S&P REIT Index Fund 14,697 -- -- -- 25,848 14,697 40,545 First Trust Natural Gas ETF 21,985 -- 14,648 25,164 39,782 21,985 101,579 First Trust NASDAQ(R) ABA Community Bank Index Fund -- -- 8,918 -- -- -- 8,918
During the six months ended June 30, 2019, First Trust recovered fees that were previously waived from First Trust NASDAQ(R) ABA Community Bank Index Fund of $8,669. During the fiscal year ended December 31, 2018, First Trust NASDAQ-100 Equal Weighted Index Fund received a reimbursement from the Advisor of $22,098 in connection with a trade error. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen 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 Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. Page 65 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 4. PURCHASES AND SALES OF SECURITIES For the six months ended June 30, 2019, 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 $ 71,083,197 $ 70,501,358 First Trust NASDAQ-100-Technology Sector Index Fund 166,527,289 162,917,272 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 11,277,472 11,079,756 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 16,642,113 16,151,838 First Trust S&P REIT Index Fund 4,544,276 2,969,654 First Trust Water ETF 23,155,576 23,258,459 First Trust Natural Gas ETF 20,565,256 20,773,561 First Trust Chindia ETF 16,316,932 16,486,246 First Trust NASDAQ(R)ABA Community Bank Index Fund 10,729,253 10,444,658
For the six months ended June 30, 2019, 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 $ 276,940,159 $ 81,468,267 First Trust NASDAQ-100-Technology Sector Index Fund 404,642,765 406,700,542 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 2,621,528 -- First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 6,203,913 849,487 First Trust S&P REIT Index Fund 51,029,489 28,415,358 First Trust Water ETF 34,024,672 7,254,435 First Trust Natural Gas ETF 28,156,592 34,410,557 First Trust Chindia ETF 5,708,890 53,267,544 First Trust NASDAQ(R)ABA Community Bank Index Fund -- 75,238,757
5. CREATION, REDEMPTION AND TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an "Authorized Participant'). In order to purchase Creation Units of each Fund, an Authorized Participant must deposit (i) a designated portfolio of equity securities determined by First Trust (the "Deposit Securities") and generally make or receive a cash payment referred to as the "Cash Component," which is an amount equal to the difference between the NAV of the Fund Shares (per Creation Unit Aggregation) and the market value of the Deposit Securities, and/or (ii) cash in lieu of all or a portion of the Deposit Securities. If the Cash Component is a positive number (i.e., the NAV per Creation Unit Aggregation exceeds the Deposit Amount), the Authorized Participant will deliver the Cash Component. If the Cash Component is a negative number (i.e., the NAV per Creation Unit Aggregation is less than the Deposit Amount), the Authorized Participant will receive the Cash Component. Authorized Participants purchasing Creation Units must pay to BNYM, as transfer agent, a creation transaction fee (the "Creation Transaction Fee") regardless of the number of Creation Units purchased in the transaction. The Creation Transaction Fee may vary and is based on the composition of the securities included in each Fund's portfolio and the countries in which the transactions are settled. The Creation Transaction Fee is currently $500 for each Fund, except First Trust S&P REIT Index Fund and First Trust NASDAQ(R) ABA Community Bank Index Fund for which the Creation Transaction Fee is $1,000. The price for each Creation Unit will equal the daily NAV per share 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 or stamp taxes. When a Fund permits an Authorized Participant to substitute cash or a different security in lieu of depositing one or more of the requisite Deposit Securities, the Authorized Participant may also be assessed an amount to cover the cost of purchasing the Deposit Securities and/or disposing of the substituted securities, including 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 such Deposit Securities and/or substitute securities. Authorized Participants redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), regardless of the number of Creation Units redeemed in the transaction. The Redemption Transaction Fee may vary and is based on the composition of the securities included in each Fund's portfolio and the countries in which the transactions are settled. The Redemption Transaction Fee is currently $500 for each Fund, except First Trust S&P REIT Index Fund and First Trust NASDAQ(R) ABA Community Bank Index Fund for which the Redemption Transaction Fee is $1,000. Each Fund reserves the right to effect redemptions in cash. An Authorized Participant may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. Page 66 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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, 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 67 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (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. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a large 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 not concentrated. 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. 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 Page 68 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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. 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. 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; 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. 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. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 69 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees (the "Board") of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): 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 Chindia ETF (FNI) First Trust Water ETF (FIW) First Trust Natural Gas ETF (FCG) First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN) First Trust S&P REIT Index Fund (FRI) First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2019 and June 2, 2019, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2019, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 2, 2019 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2019 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and Page 70 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. The Board considered the advisory fee rate payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through April 30, 2021. For each Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of FNI was below the median total (net) expense ratio of the peer funds in its Expense Group and that the total (net) expense ratio of each other Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's description of its long-term commitment to each Fund. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2018 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase over the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2018 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis. Page 71 This page intentionally left blank. 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 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] FIRST TRUST First Trust Exchange-Traded Fund Book 3 First Trust Total US Market AlphaDEX(R) ETF (TUSA) First Trust Dorsey Wright People's Portfolio ETF (DWPP) First Trust Dow 30 Equal Weight ETF (EDOW) First Trust Lunt U.S. Factor Rotation ETF (FCTR) Semi-Annual Report For the Six Months Ended June 30, 2019 -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2019 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 4 First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 6 First Trust Dow 30 Equal Weight ETF (EDOW)............................... 8 First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 10 Notes to Fund Performance Overview.......................................... 12 Understanding Your Fund Expenses............................................ 13 Portfolio of Investments First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 14 First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 29 First Trust Dow 30 Equal Weight ETF (EDOW)............................... 36 First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 37 Statements of Assets and Liabilities........................................ 40 Statements of Operations.................................................... 41 Statements of Changes in Net Assets......................................... 42 Financial Highlights........................................................ 44 Notes to Financial Statements............................................... 46 Additional Information...................................................... 54 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 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 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2019 Dear Shareholders: One thing we can all agree on and expect: headline news coming out of Washington, DC continues to influence the financial markets. As January 2019 unfolded, the longest partial government shutdown in U.S. history was wrapping up while we were beginning to learn about President Trump's approach to international trade policy. By June's end, trade talks with China were reengaging and the threat of 5% tariffs on Mexican imports was averted. Investors breathed a collective sigh of relief and, once again, the free market began to rally. At the Markets' close on June 28, 2019, both U.S. and world equities had performed resiliently, as indicated by the S&P 500(R) Index and the MSCI All Country World Index returns of 18.54% and 16.23%, respectively, for the calendar year-to-date. Bonds, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 6.11%, for the same period. The 10-Year U.S. Treasury Note yield fell from over 3% in late 2018 to just above 2% for the six-month period ended June 30, 2019 and the Federal Reserve has clearly indicated that another rate cut is on the way. Despite the ongoing bluster of the news cycle, we believe the economy is doing well and productivity growth, due to deregulation and lower taxes on corporate profits, has improved over the last two years. o The Consumer Confidence Index of 121.5 for June remains strong. o The U.S. inflation rate hovers near 2%, on average, as it has for the last decade. o June's unemployment rate of 3.7% barely moved from May's 3.6%, the lowest level since December of 1969. Before you reach for the antacids due to the latest political equivocation, keep a balanced perspective in view. Remember, no one can predict the inevitable and expected market fluctuations. Speak periodically with your investment professional who can provide insight when it comes to investing and discovering opportunities when they arise. Thank you for giving First Trust the opportunity to be a part of your financial plan. We value our relationship with you. 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 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2019 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 over 25 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE ECONOMY/INVESTING The trade conflict between the U.S. and China was approaching 16-months-old at the close of June 2019. In our opinion, the most notable change in the first half of 2019 was the Trump Administration's ratcheting up of tariffs on roughly $200 billion of imported goods from China. On May 10, 2019, tariffs jumped from 10% to 25%. President Trump continues to threaten China with extending the tariffs to the remaining $300 billion or so in goods shipped to the U.S. annually. The ongoing dispute has become a drag on global growth, according to organizations such as the International Monetary Fund. While the U.S. economy continues to flourish relative to many other developed and emerging economies, recent data suggests that China's economy is being stressed by the tariffs. China's gross domestic product rose at an annualized pace of 6.2% in the second quarter of 2019, the slowest growth rate in 27 years, according to MarketWatch. CNBC reported that, as of July 1, 2019, the current U.S. economic expansion will become the longest in its history, breaking the previous record of 120 months of growth from March 1991 to March 2001, according to data from the National Bureau of Economic Research. Investors continue to embrace exchange-traded funds (ETFs) and related exchange-traded products (ETPs). ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed globally stood at an all-time high of $5.64 trillion at the end of June 2019, up from $4.99 trillion at this point a year ago, according to its own release. In June 2019, net inflows to ETFs/ETPs listed globally totaled $68.95 billion, bringing year-to-date net inflows to $209.54 billion. U.S. STOCKS AND BONDS In the first half of 2019, three of the major U.S. stock indices posted 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 18.54%, 17.97%, and 13.69%, respectively, according to Bloomberg. The S&P 500(R) Index posted its best showing for the first half of a year since 1997, according to CNBC. All 11 major S&P 500(R) Index sectors posted positive total returns. The top-performing sectors were Information Technology, Consumer Discretionary, Industrials and Real Estate, up 27.13%, 21.84%, 21.38% and 20.42%, respectively, while the two sectors with the poorest showing, despite generating positive returns, were Health Care, up 8.07%, and Energy, up 13.13%. At the end of March 2019, both President Trump and White House economic advisor Larry Kudlow called on the Federal Reserve (the "Fed") to lower the federal funds target rate by 50 basis points ("bps"), according to CNBC. While the Fed has yet to make any rate cuts, bond investors, through their purchasing power, pushed the yield on the 10-year Treasury Note (T-Note) down from 2.50% at the close on April 30, 2019 to 2.01% on June 28, 2019, or 49 bps, according to Bloomberg. Investors have signaled to the Fed that they like the idea of a couple of rate cuts over the coming months. The Fed has indicated that it would consider easing rates if the U.S. economy were to weaken. In the U.S. bond market, all the major bond groups posted positive returns in the first half of 2019. The top-performing major debt group we track was high yield corporate bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total return of 9.94%. The worst-performing debt group that we track was government bonds. The Bloomberg Barclays U.S. Treasury: Intermediate Index posted a total return of 3.99%. FOREIGN STOCKS AND BONDS The U.S. dollar fell by 0.04% against a basket of major currencies in the first half of 2019, as measured by the U.S. Dollar Index. With respect to U.S. investors, a flat U.S. dollar would have little to no impact on the returns of foreign securities. In the first half of 2019, foreign stocks and bonds performed well. The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt posted a total return of 8.85% (USD), while the Bloomberg Barclays Global Aggregate Index of higher quality debt rose 5.57% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of 10.59% (USD), while the MSCI World ex USA Index posted a total return of 14.64% (USD). Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) The First Trust Total US Market AlphaDEX(R) 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 NASDAQ AlphaDEX(R) Total US Market Index (the "Index"). The Fund will normally invest at least 90% of its assets (including investment borrowings) in common stocks that comprise the Index. The Index is a modified market capitalization index designed to quantitatively identify and select U.S. exchange-listed securities issued by small, mid and large cap U.S. companies that exhibit growth and value factors and appear to have the greatest potential for capital appreciation. The Index is rebalanced quarterly. The Fund's shares are listed for trading on The Nasdaq Stock Market LLC. The first day of secondary market trading in shares of the Fund was December 7, 2006.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (12/5/06) Ended Ended (12/5/06) 6/30/19 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 17.07% 0.75% 5.86% 10.93% 5.61% 32.95% 182.26% 98.63% Market Value 16.84% 0.55% 5.81% 10.90% 5.59% 32.64% 181.39% 98.20% INDEX PERFORMANCE NASDAQ AlphaDEX(R) Total US Market Index* 17.58% 1.46% N/A N/A N/A N/A N/A N/A Russell 3000(R) Index 18.71% 8.98% 10.19% 14.67% 8.23% 62.46% 293.01% 170.14% ------------------------------------------------------------------------------------------------------------------------------------
* On January 9, 2015, the Fund's underlying index changed from the Value Line(R) Equity Allocation Index to the NASDAQ AlphaDEX(R) Total US Market Index. Therefore, the Fund's performance and total returns shown for the periods prior to January 9, 2015, are not necessarily indicative of the performance the Fund, based on its current index, would have generated. Since the Fund's current underlying index had an inception date of September 8, 2014, it was not in existence for all of the periods disclosed. (See Notes to Fund Performance Overview on page 12.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 19.29% Consumer Discretionary 15.38 Industrials 15.05 Financials 13.97 Health Care 8.67 Energy 6.43 Materials 5.72 Communication Services 4.87 Real Estate 4.54 Consumer Staples 3.18 Utilities 2.90 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Veeva Systems, Inc., Class A 0.52% Ball Corp. 0.49 TE Connectivity Ltd. 0.48 CDW Corp. 0.47 Starbucks Corp. 0.46 IQVIA Holdings, Inc. 0.46 Synopsys, Inc. 0.46 Cadence Design Systems, Inc. 0.45 ServiceNow, Inc. 0.45 PayPal Holdings, Inc. 0.45 ------- Total 4.69% ======= ----------------------------- The NASDAQ AlphaDEX(R) Total US Market Index (the "Index") is a trademark of The Nasdaq OMX Group and has been licensed for use by First Trust Portfolios L.P. AlphaDEX(R) is a trademark owned by First Trust Portfolios L.P. and has been licensed to The Nasdaq OMX Group for use in the name of the Index. The First Trust Total US Market AlphaDEX(R) ETF is not sponsored, endorsed, sold or promoted by The Nasdaq OMX Group and The Nasdaq OMX Group makes no representation or warranty regarding the advisability of investing in the First Trust Total US Market AlphaDEX(R) ETF or as to the result to be obtained by any person from use of the Index in connection with the trading of the First Trust Total US Market AlphaDEX(R) ETF. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2008 - JUNE 30, 2019 First Trust Total US Russell 3000(R) Market AlphaDEX(R) ETF Index 12/08 $10,000 $10,000 06/09 10,533 10,420 12/09 13,415 12,834 06/10 13,219 12,058 12/10 16,078 15,007 06/11 16,430 15,960 12/11 14,541 15,160 06/12 14,794 16,573 12/12 15,812 17,649 06/13 18,094 20,130 12/13 21,291 23,570 06/14 22,364 25,206 12/14 21,794 26,529 06/15 22,051 27,044 12/15 20,490 26,657 06/16 21,158 27,622 12/16 23,661 30,050 06/17 25,447 32,733 12/17 28,259 36,397 06/18 29,511 37,567 12/18 25,397 34,490 06/19 29,732 40,943
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 178 0 0 0 01/01/15 - 12/31/15 115 15 0 0 01/01/16 - 12/31/16 121 0 0 0 01/01/17 - 12/31/17 216 0 0 0 01/01/18 - 12/31/18 168 2 0 0 01/01/19 - 06/30/19 59 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 68 6 0 0 01/01/15 - 12/31/15 110 12 0 0 01/01/16 - 12/31/16 131 0 0 0 01/01/17 - 12/31/17 35 0 0 0 01/01/18 - 12/31/18 79 1 1 0 01/01/19 - 06/30/19 65 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) The First Trust Dorsey Wright People's Portfolio ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an index called the Nasdaq Dorsey Wright People's Portfolio Index (the "Index"). The Fund will normally invest at least 80% of its total assets (including investment borrowings) in common stocks or U.S. Treasury Bills ("T-Bills") that comprise the Index. The Index is a modified market capitalization index designed to tactically allocate exposure to one of three indices: the Nasdaq US 500 Large Cap Index, the Nasdaq US 500 Large Cap Equal Weight Index or the Nasdaq US T-Bill Index based on daily relative strength readings. The Index is rebalanced periodically. The Fund's shares are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "DWPP." The first day of secondary market trading in shares of the Fund was August 30, 2012.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (8/29/12) Ended (8/29/12) 6/30/19 6/30/19 6/30/19 to 6/30/19 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 19.92% 8.60% 6.94% 8.20% 39.88% 71.35% Market Value 19.82% 8.60% 6.96% 8.20% 39.98% 71.40% INDEX PERFORMANCE Nasdaq Dorsey Wright People's Portfolio Index* 20.33% 9.21% N/A N/A N/A N/A S&P 500(R) Index 18.54% 10.42% 10.71% 13.70% 66.33% 140.46% Nasdaq US 500 Large Cap Index 19.14% 10.72% N/A N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------------
* On August 18, 2017, the Fund's underlying index changed from CBOE(R) VIX(R) Tail Hedge Index to the Nasdaq Dorsey Wright People's Portfolio Index (the "Index"). Therefore, the Fund's performance and total returns for the periods prior to August 18, 2017, are not necessarily indicative of the performance the Fund, based on its current index, would have generated. Since the Index had an inception date of July 24, 2017, it was not in existence for all of the periods disclosed. (See Notes to Fund Performance Overview on page 12.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 15.75% Financials 13.76 Health Care 13.06 Industrials 12.53 Consumer Discretionary 10.84 Consumer Staples 6.55 Real Estate 6.46 Utilities 5.88 Energy 5.86 Communication Services 4.82 Materials 4.49 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Allergan PLC 0.26% Western Digital Corp. 0.24 Sarepta Therapeutics, Inc. 0.23 Micron Technology, Inc. 0.23 NVIDIA Corp. 0.22 Constellation Brands, Inc., Class A 0.21 Mosaic (The) Co. 0.21 Electronic Arts, Inc. 0.21 Marathon Petroleum Corp. 0.21 Arconic, Inc. 0.21 ------- Total 2.23% ======= ----------------------------- The Fund is not sponsored, endorsed, sold or promoted by Nasdaq, Inc. or its affiliates (Nasdaq, with its affiliates are referred to as the "Corporations"). The Corporations have not passed on the legality or suitability of, or the accuracy or descriptions and disclosure relating to, the Fund. The Corporations make no representation or warranty, express or implied to the owners of the Fund or any member of the public regarding the advisability of investing in securities generally or in the Fund particularly. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT AUGUST 29, 2012 - JUNE 30, 2019 First Trust Dorsey Wright S&P 500(R) People's Portfolio ETF Index 08/12 $10,000 $10,000 12/12 9,863 10,193 06/13 10,686 11,602 12/13 11,738 13,494 06/14 12,251 14,457 12/14 13,525 15,342 06/15 13,175 15,531 12/15 12,730 15,554 06/16 12,551 16,151 12/16 12,800 17,414 06/17 13,952 19,040 12/17 15,579 21,214 06/18 15,782 21,776 12/18 14,292 20,284 06/19 17,139 24,045
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period January 1, 2014 through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 152 2 0 1 01/01/15 - 12/31/15 98 1 0 1 01/01/16 - 12/31/16 76 3 0 0 01/01/17 - 12/31/17 175 0 0 1 01/01/18 - 12/31/18 162 3 0 0 01/01/19 - 06/30/19 82 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 01/01/14 - 12/31/14 95 2 0 0 01/01/15 - 12/31/15 148 1 1 2 01/01/16 - 12/31/16 168 4 1 0 01/01/17 - 12/31/17 75 0 0 0 01/01/18 - 12/31/18 84 2 0 0 01/01/19 - 06/30/19 42 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) The First Trust Dow 30 Equal Weight ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Dow Jones Industrial Average Equal Weight Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index is an equal weight version of the Dow Jones Industrial Average(TM) (the "DJIA"), which is composed of 30 securities issued by blue-chip U.S. companies covering all industries, with the exception of transportation and utilities (as of May 1, 2019). While inclusion in the DJIA is not governed by quantitative rules, a stock is typically only added if the company has an excellent reputation, demonstrates sustained growth and is of interest to a large number of investors. The Fund's shares are listed for trading on the NYSE Arca, Inc. The Index is rebalanced quarterly. The first day of secondary market trading in shares of the Fund was August 9, 2017.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year Inception Inception Ended Ended (8/8/17) (8/8/17) 6/30/19 6/30/19 to 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 14.64% 14.44% 13.06% 26.16% Market Value 14.80% 14.43% 13.08% 26.21% INDEX PERFORMANCE Dow Jones Industrial Average Equal Weight Index 14.98% 15.08% 13.64% 27.38% Dow Jones Industrial Average(TM) 15.40% 12.20% 12.93% 25.89% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 12.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 20.07% Industrials 13.78 Financials 13.43 Consumer Staples 13.23 Health Care 13.18 Consumer Discretionary 9.94 Energy 6.76 Communication Services 6.45 Materials 3.16 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Caterpillar, Inc. 3.52% Goldman Sachs Group (The), Inc. 3.50 Boeing (The) Co. 3.44 3M Co. 3.41 Walgreens Boots Alliance, Inc. 3.41 United Technologies Corp. 3.41 Intel Corp. 3.40 Exxon Mobil Corp. 3.38 Chevron Corp. 3.38 Apple, Inc. 3.37 ------- Total 34.22% ======= ----------------------------- The Dow Jones Industrial Average Equal Weight Index is a product of S&P Dow Jones Indices LLC ("SPDJI"), and has been licensed for use by First Trust. Dow Jones(R) and Dow Jones Industrial Average Equal Weight Index are trademarks of Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed to SPDJI and have been sublicensed for use for certain purposes by First Trust. The First Trust Dow 30 Equal Weight Index ETF is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones or their respective affiliates and none of them makes any representation regarding the advisability of investing in such fund. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT AUGUST 8, 2017 - JUNE 30, 2019 Dow Jones Industrial First Trust Dow 30 Average Equal Dow Jones Industrial Equal Weight ETF Weight Index Average(TM) 08/17 $10,000 $10,000 $10,000 12/17 11,102 11,124 11,302 06/18 11,024 11,069 11,219 12/18 11,004 11,079 10,908 06/19 12,615 12,739 12,588
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 9, 2017 (commencement of trading) through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 08/09/17 - 12/31/17 94 0 0 0 01/01/18 - 12/31/18 171 4 0 0 01/01/19 - 06/30/19 81 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 08/09/17 - 12/31/17 6 0 0 0 01/01/18 - 12/31/18 74 2 0 0 01/01/19 - 06/30/19 42 0 1 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) The First Trust Lunt U.S. Factor Rotation ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Lunt Capital Large Cap Factor Rotation Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index is designed to track the performance of U.S. securities exhibiting desirable factor exposure. The Index is rebalanced periodically. The Fund's shares are listed for trading on CBOE BZX, Inc. The first day of secondary market trading in shares of the Fund was July 26, 2018.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ CUMULATIVE TOTAL RETURNS 6 Months Inception Ended (7/25/18) 6/30/19 to 6/30/19 FUND PERFORMANCE NAV 23.17% 8.27% Market Value 23.28% 8.37% INDEX PERFORMANCE Lunt Capital Large Cap Factor Rotation Index 23.69% 9.01% Nasdaq US 500 Large Cap Index 19.14% 5.67% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 12.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 22.34% Health Care 15.92 Real Estate 12.35 Financials 11.78 Utilities 9.69 Industrials 9.44 Consumer Staples 7.88 Consumer Discretionary 5.49 Materials 2.80 Communication Services 1.74 Energy 0.57 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- MSCI, Inc. 2.18% Twilio, Inc., Class A 2.17 Veeva Systems, Inc., Class A 2.03 Mastercard, Inc., Class A 2.01 Visa, Inc., Class A 1.89 Intuit, Inc. 1.88 SBA Communications Corp. 1.87 American Tower Corp. 1.67 PepsiCo, Inc. 1.65 Paychex, Inc. 1.55 ------- Total 18.90% ======= ----------------------------- Lunt Capital Management, Inc. ("Licensor") and the Lunt Capital Large Cap Factor Rotation Index, ("Licensor Index") are trademarks of Licensor and have been licensed for use for certain purposes by First Trust Advisors L.P. The First Trust Lunt U.S. Factor Rotation ETF is based on the Licensor Index and is not sponsored, endorsed, sold or promoted by Licensor, and Licensor makes no representation regarding the advisability of trading in such fund. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 25, 2018 - JUNE 30, 2019 First Trust Lunt U.S. Lunt Capital Large Cap Nasdaq US 500 Factor Rotation ETF Factor Rotation Index Large Cap Index 07/18 $10,000 $10,000 $10,000 12/18 8,791 8,813 8,869 06/19 10,828 10,901 10,567
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 BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2019 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period July 26, 2018 (commencement of trading) through June 30, 2019. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 07/26/18 - 12/31/18 91 2 0 0 01/01/19 - 06/30/19 123 0 0 1 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 07/26/18 - 12/31/18 15 1 0 0 01/01/19 - 06/30/19 0 0 0 0 Page 11 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 12 FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES JUNE 30, 2019 (UNAUDITED) As a shareholder of First Trust Total US Market AlphaDEX(R) ETF, First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF or First Trust Lunt U.S. Factor Rotation ETF (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service 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 June 30, 2019. 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 JANUARY 1, 2019 JUNE 30, 2019 PERIOD PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) Actual $1,000.00 $1,170.70 0.70% (a) $3.77 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% (a) $3.51 FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) Actual $1,000.00 $1,199.20 0.60% $3.27 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) Actual $1,000.00 $1,146.40 0.50% $2.66 Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.50% $2.51 FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) Actual $1,000.00 $1,231.70 0.65% $3.60 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26
(a) These expense ratios reflect an expense cap. 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 (January 1, 2019 through June 30, 2019), multiplied by 181/365 (to reflect the six-month period). Page 13 FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.5% 870 Arconic, Inc. $ 22,463 56 Astronics Corp. (a) 2,252 73 Boeing (The) Co. 26,573 73 Curtiss-Wright Corp. 9,281 175 HEICO Corp. 23,417 60 Hexcel Corp. 4,853 60 Huntington Ingalls Industries, Inc. 13,484 118 Kratos Defense & Security Solutions, Inc. (a) 2,701 144 Mercury Systems, Inc. (a) 10,130 34 National Presto Industries, Inc. 3,172 91 Spirit AeroSystems Holdings, Inc., Class A 7,405 35 Teledyne Technologies, Inc. (a) 9,585 1,094 Textron, Inc. 58,026 122 TransDigm Group, Inc. (a) 59,024 420 Wesco Aircraft Holdings, Inc. (a) 4,662 -------------- 257,028 -------------- AIR FREIGHT & LOGISTICS -- 0.5% 183 Atlas Air Worldwide Holdings, Inc. (a) 8,169 149 Echo Global Logistics, Inc. (a) 3,110 305 FedEx Corp. 50,078 114 Forward Air Corp. 6,743 136 Hub Group, Inc., Class A (a) 5,709 309 XPO Logistics, Inc. (a) 17,863 -------------- 91,672 -------------- AIRLINES -- 1.5% 296 Alaska Air Group, Inc. 18,917 43 Allegiant Travel Co. 6,171 1,073 Delta Air Lines, Inc. 60,893 352 Hawaiian Holdings, Inc. 9,655 1,016 JetBlue Airways Corp. (a) 18,786 170 SkyWest, Inc. 10,314 1,068 Southwest Airlines Co. 54,233 236 Spirit Airlines, Inc. (a) 11,264 695 United Airlines Holdings, Inc. (a) 60,847 -------------- 251,080 -------------- AUTO COMPONENTS -- 1.0% 387 American Axle & Manufacturing Holdings, Inc. (a) 4,938 541 BorgWarner, Inc. 22,711 247 Cooper Tire & Rubber Co. 7,793 197 Cooper-Standard Holdings, Inc. (a) 9,027 521 Dana, Inc. 10,389 42 Dorman Products, Inc. (a) 3,660 106 Fox Factory Holding Corp. (a) 8,746 376 Garrett Motion, Inc. (a) 5,772 1,005 Gentex Corp. 24,733 1,145 Goodyear Tire & Rubber (The) Co. 17,519 96 LCI Industries 8,640 153 Lear Corp. 21,308 666 Modine Manufacturing Co. (a) 9,530 128 Stoneridge, Inc. (a) 4,038 SHARES DESCRIPTION VALUE ------------------------------------------------------------- AUTO COMPONENTS (CONTINUED) 333 Tenneco, Inc., Class A $ 3,693 55 Visteon Corp. (a) 3,222 -------------- 165,719 -------------- AUTOMOBILES -- 1.0% 6,311 Ford Motor Co. 64,562 1,867 General Motors Co. 71,936 350 Harley-Davidson, Inc. 12,540 267 Thor Industries, Inc. 15,606 296 Winnebago Industries, Inc. 11,440 -------------- 176,084 -------------- BANKS -- 5.0% 41 1st Source Corp. 1,902 108 Ameris Bancorp 4,232 584 Associated Banc-Corp. 12,346 133 Banc of California, Inc. 1,858 131 BancorpSouth Bank 3,804 1,004 Bank of America Corp. 29,116 574 Bank OZK 17,272 373 BankUnited, Inc. 12,585 298 BB&T Corp. 14,641 136 Berkshire Hills Bancorp, Inc. 4,269 102 BOK Financial Corp. 7,699 337 Boston Private Financial Holdings, Inc. 4,068 128 Brookline Bancorp, Inc. 1,969 53 Carolina Financial Corp. 1,860 109 Cathay General Bancorp 3,914 135 Chemical Financial Corp. 5,550 347 CIT Group, Inc. 18,231 668 Citigroup, Inc. 46,780 1,279 Citizens Financial Group, Inc. 45,225 113 Columbia Banking System, Inc. 4,088 189 Comerica, Inc. 13,729 188 ConnectOne Bancorp, Inc. 4,260 43 Cullen/Frost Bankers, Inc. 4,027 37 Eagle Bancorp, Inc. 2,003 260 East West Bancorp, Inc. 12,160 1,568 F.N.B. Corp. 18,455 1,099 Fifth Third Bancorp 30,662 645 First BanCorp 7,121 76 First Busey Corp. 2,007 31 First Citizens BancShares, Inc., Class A 13,958 319 First Hawaiian, Inc. 8,253 1,189 First Horizon National Corp. 17,752 90 First Midwest Bancorp, Inc. 1,842 119 Fulton Financial Corp. 1,948 71 Great Southern Bancorp, Inc. 4,249 175 Great Western Bancorp, Inc. 6,251 309 Hancock Whitney Corp. 12,379 174 Hanmi Financial Corp. 3,875 87 Heartland Financial USA, Inc. 3,891 101 Hilltop Holdings, Inc. 2,148 315 Home BancShares, Inc. 6,067 565 Hope Bancorp, Inc. 7,786 Page 14 See Notes to Financial Statements FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 2,185 Huntington Bancshares, Inc. $ 30,197 174 IBERIABANK Corp. 13,198 23 Independent Bank Corp. 1,751 97 International Bancshares Corp. 3,658 351 Investors Bancorp, Inc. 3,914 137 JPMorgan Chase & Co. 15,317 2,639 KeyCorp 46,842 247 Lakeland Bancorp, Inc. 3,989 41 Lakeland Financial Corp. 1,920 280 OFG Bancorp 6,656 113 Old National Bancorp 1,875 209 Pacific Premier Bancorp, Inc. 6,454 442 PacWest Bancorp 17,163 506 People's United Financial, Inc. 8,491 228 Pinnacle Financial Partners, Inc. 13,105 226 PNC Financial Services Group (The), Inc. 31,025 319 Popular, Inc. 17,303 82 Preferred Bank 3,874 60 Prosperity Bancshares, Inc. 3,963 2,937 Regions Financial Corp. 43,879 109 Renasant Corp. 3,917 177 Sandy Spring Bancorp, Inc. 6,174 32 Signature Bank 3,867 226 Simmons First National Corp., Class A 5,257 54 South State Corp. 3,978 223 Sterling Bancorp 4,745 121 Synovus Financial Corp. 4,235 102 Texas Capital Bancshares, Inc. (a) 6,260 149 TowneBank 4,065 63 Triumph Bancorp, Inc. (a) 1,830 55 Trustmark Corp. 1,829 756 Umpqua Holdings Corp. 12,542 229 United Bankshares, Inc. 8,494 148 United Community Banks, Inc. 4,227 76 Univest Financial Corp. 1,996 1,301 Valley National Bancorp 14,025 573 Wells Fargo & Co. 27,114 46 WesBanco, Inc. 1,773 304 Western Alliance Bancorp (a) 13,595 185 Wintrust Financial Corp. 13,535 275 Zions Bancorp N.A. 12,644 -------------- 856,908 -------------- BEVERAGES -- 0.4% 25 Boston Beer (The) Co., Inc., Class A (a) 9,444 929 Molson Coors Brewing Co., Class B 52,024 -------------- 61,468 -------------- BIOTECHNOLOGY -- 2.0% 344 ACADIA Pharmaceuticals, Inc. (a) 9,195 27 Agios Pharmaceuticals, Inc. (a) 1,347 407 Amicus Therapeutics, Inc. (a) 5,079 852 Array BioPharma, Inc. (a) 39,473 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 403 Arrowhead Pharmaceuticals, Inc. (a) $ 10,680 79 Bluebird Bio, Inc. (a) 10,049 46 Blueprint Medicines Corp. (a) 4,339 282 Cara Therapeutics, Inc. (a) 6,063 176 CareDx, Inc. (a) 6,334 504 Dicerna Pharmaceuticals, Inc. (a) 7,938 77 Enanta Pharmaceuticals, Inc. (a) 6,497 447 Epizyme, Inc. (a) 5,610 240 Exact Sciences Corp. (a) 28,330 699 Exelixis, Inc. (a) 14,938 210 Fate Therapeutics, Inc. (a) 4,263 76 FibroGen, Inc. (a) 3,434 53 Genomic Health, Inc. (a) 3,083 483 Incyte Corp. (a) 41,036 37 Intercept Pharmaceuticals, Inc. (a) 2,944 394 Invitae Corp. (a) 9,259 205 Ionis Pharmaceuticals, Inc. (a) 13,175 179 Natera, Inc. (a) 4,937 47 Neurocrine Biosciences, Inc. (a) 3,968 266 Portola Pharmaceuticals, Inc. (a) 7,217 48 Puma Biotechnology, Inc. (a) 610 93 Radius Health, Inc. (a) 2,265 97 REGENXBIO, Inc. (a) 4,983 94 Repligen Corp. (a) 8,079 35 Sarepta Therapeutics, Inc. (a) 5,318 378 Seattle Genetics, Inc. (a) 26,161 107 Ultragenyx Pharmaceutical, Inc. (a) 6,795 93 uniQure N.V. (a) 7,268 177 United Therapeutics Corp. (a) 13,817 295 Veracyte, Inc. (a) 8,410 211 Vericel Corp. (a) 3,986 -------------- 336,880 -------------- BUILDING PRODUCTS -- 1.1% 78 A.O. Smith Corp. 3,678 120 AAON, Inc. 6,022 92 Allegion PLC 10,171 67 American Woodmark Corp. (a) 5,670 197 Apogee Enterprises, Inc. 8,558 157 Armstrong World Industries, Inc. 15,260 554 Builders FirstSource, Inc. (a) 9,340 900 Cornerstone Building Brands, Inc. (a) 5,247 97 CSW Industrials, Inc. 6,611 175 Fortune Brands Home & Security, Inc. 9,998 45 Gibraltar Industries, Inc. (a) 1,816 314 JELD-WEN Holding, Inc. (a) 6,666 750 Johnson Controls International PLC 30,982 63 Lennox International, Inc. 17,325 106 Masco Corp. 4,159 441 Owens Corning 25,666 163 Patrick Industries, Inc. (a) 8,018 247 Universal Forest Products, Inc. 9,401 -------------- 184,588 -------------- See Notes to Financial Statements Page 15 FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS -- 3.0% 78 Affiliated Managers Group, Inc. $ 7,187 275 Bank of New York Mellon (The) Corp. 12,141 696 BGC Partners, Inc., Class A 3,640 55 Blucora, Inc. (a) 1,670 309 Eaton Vance Corp. 13,327 137 Evercore, Inc., Class A 12,134 50 FactSet Research Systems, Inc. 14,328 126 Federated Investors, Inc., Class B 4,095 1,672 Franklin Resources, Inc. 58,186 216 Goldman Sachs Group (The), Inc. 44,194 81 Houlihan Lokey, Inc. 3,607 95 INTL. FCStone, Inc. (a) 3,761 1,076 Invesco Ltd. 22,015 345 Lazard Ltd., Class A 11,865 239 LPL Financial Holdings, Inc. 19,495 34 MarketAxess Holdings, Inc. 10,928 985 Morgan Stanley 43,153 66 Morningstar, Inc. 9,546 279 MSCI, Inc. 66,622 1,783 Oaktree Specialty Lending Corp. 9,664 25 Piper Jaffray Cos. 1,857 172 Raymond James Financial, Inc. 14,543 239 SEI Investments Co. 13,408 421 State Street Corp. 23,601 236 Stifel Financial Corp. 13,938 415 T. Rowe Price Group, Inc. 45,530 130 TCG BDC, Inc. (b) 1,981 76 Virtus Investment Partners, Inc. 8,162 534 Waddell & Reed Financial, Inc., Class A 8,902 -------------- 503,480 -------------- CHEMICALS -- 2.5% 259 AdvanSix, Inc. (a) 6,327 203 Albemarle Corp. 14,293 53 Ashland Global Holdings, Inc. 4,238 44 Cabot Corp. 2,099 203 CF Industries Holdings, Inc. 9,482 447 Chemours (The) Co. 10,728 86 DuPont de Nemours, Inc. 6,456 913 Eastman Chemical Co. 71,059 157 Ecolab, Inc. 30,998 216 FMC Corp. 17,917 76 H.B. Fuller Co. 3,526 924 Huntsman Corp. 18,887 157 Ingevity Corp. (a) 16,512 230 Kraton Corp. (a) 7,146 659 Kronos Worldwide, Inc. 10,096 824 LyondellBasell Industries N.V., Class A 70,971 126 Minerals Technologies, Inc. 6,742 1,522 Mosaic (The) Co. 38,096 10 NewMarket Corp. 4,009 898 Olin Corp. 19,675 63 PolyOne Corp. 1,978 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS (CONTINUED) 9 Quaker Chemical Corp. $ 1,826 681 Rayonier Advanced Materials, Inc. 4,420 27 Sensient Technologies Corp. 1,984 42 Stepan Co. 3,860 163 Trinseo S.A. 6,902 306 Westlake Chemical Corp. 21,255 213 WR Grace & Co. 16,212 -------------- 427,694 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.3% 51 ABM Industries, Inc. 2,040 1,079 ACCO Brands Corp. 8,492 2,602 ADT, Inc. (b) 15,924 40 Brady Corp., Class A 1,973 165 Brink's (The) Co. 13,395 208 Casella Waste Systems, Inc., Class A (a) 8,243 129 Clean Harbors, Inc. (a) 9,172 915 Copart, Inc. (a) 68,387 427 Covanta Holding Corp. 7,648 169 Deluxe Corp. 6,872 158 Herman Miller, Inc. 7,063 102 HNI Corp. 3,609 241 Interface, Inc. 3,694 293 Knoll, Inc. 6,733 200 Matthews International Corp., Class A 6,970 33 McGrath RentCorp 2,051 80 MSA Safety, Inc. 8,431 269 Pitney Bowes, Inc. 1,151 162 SP Plus Corp. (a) 5,173 381 Steelcase, Inc., Class A 6,515 62 Tetra Tech, Inc. 4,870 48 UniFirst Corp. 9,051 33 Viad Corp. 2,186 133 Waste Management, Inc. 15,344 -------------- 224,987 -------------- COMMUNICATIONS EQUIPMENT -- 1.1% 97 Acacia Communications, Inc. (a) 4,575 220 Arista Networks, Inc. (a) 57,116 445 Casa Systems, Inc. (a) 2,861 383 CommScope Holding Co., Inc. (a) 6,025 152 EchoStar Corp., Class A (a) 6,737 986 Extreme Networks, Inc. (a) 6,379 471 Juniper Networks, Inc. 12,543 74 Lumentum Holdings, Inc. (a) 3,952 395 Motorola Solutions, Inc. 65,858 139 Ubiquiti Networks, Inc. 18,279 746 Viavi Solutions, Inc. (a) 9,914 -------------- 194,239 -------------- CONSTRUCTION & ENGINEERING -- 0.7% 140 AECOM (a) 5,299 457 Ameresco, Inc., Class A (a) 6,732 Page 16 See Notes to Financial Statements FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING (CONTINUED) 148 Argan, Inc. $ 6,003 176 Comfort Systems USA, Inc. 8,974 121 Dycom Industries, Inc. (a) 7,123 171 EMCOR Group, Inc. 15,065 226 Fluor Corp. 7,614 43 Granite Construction, Inc. 2,072 346 MasTec, Inc. (a) 17,829 357 Primoris Services Corp. 7,472 551 Quanta Services, Inc. 21,043 539 Tutor Perini Corp. (a) 7,476 -------------- 112,702 -------------- CONSTRUCTION MATERIALS -- 0.1% 66 Eagle Materials, Inc. 6,118 233 Summit Materials, Inc., Class A (a) 4,485 89 US Concrete, Inc. (a) 4,423 -------------- 15,026 -------------- CONSUMER FINANCE -- 1.5% 605 Ally Financial, Inc. 18,749 678 Capital One Financial Corp. 61,522 28 Credit Acceptance Corp. (a) 13,547 389 Discover Financial Services 30,182 339 Encore Capital Group, Inc. (a) 11,482 243 Enova International, Inc. (a) 5,601 96 FirstCash, Inc. 9,602 479 Navient Corp. 6,538 101 Nelnet, Inc., Class A 5,981 524 OneMain Holdings, Inc. 17,716 69 PRA Group, Inc. (a) 1,942 787 Santander Consumer USA Holdings, Inc. 18,857 1,258 SLM Corp. 12,228 1,303 Synchrony Financial 45,175 -------------- 259,122 -------------- CONTAINERS & PACKAGING -- 1.3% 78 AptarGroup, Inc. 9,699 1,197 Ball Corp. 83,778 231 Berry Global Group, Inc. (a) 12,148 1,316 Graphic Packaging Holding Co. 18,398 179 Greif, Inc., Class A 5,827 898 International Paper Co. 38,901 97 Owens-Illinois, Inc. 1,675 167 Packaging Corp. of America 15,918 62 Silgan Holdings, Inc. 1,897 135 Sonoco Products Co. 8,821 542 WestRock Co. 19,767 -------------- 216,829 -------------- DISTRIBUTORS -- 0.2% 425 Funko, Inc., Class A (a) (b) 10,293 439 LKQ Corp. (a) 11,682 50 Pool Corp. 9,550 -------------- 31,525 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 98 Bright Horizons Family Solutions, Inc. (a) $ 14,785 545 Chegg, Inc. (a) 21,032 11 Graham Holdings Co., Class B 7,590 271 K12, Inc. (a) 8,241 617 Laureate Education, Inc., Class A (a) 9,693 -------------- 61,341 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 825 AXA Equitable Holdings, Inc. 17,242 664 Jefferies Financial Group, Inc. 12,769 83 Voya Financial, Inc. 4,590 -------------- 34,601 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 2,209 AT&T, Inc. 74,024 3,466 CenturyLink, Inc. 40,760 34 Cogent Communications Holdings, Inc. 2,018 169 Consolidated Communications Holdings, Inc. 833 210 Iridium Communications, Inc. (a) 4,885 234 Verizon Communications, Inc. 13,368 -------------- 135,888 -------------- ELECTRIC UTILITIES -- 1.2% 101 ALLETE, Inc. 8,404 88 Alliant Energy Corp. 4,319 165 American Electric Power Co., Inc. 14,522 154 Duke Energy Corp. 13,589 31 El Paso Electric Co. 2,027 290 Entergy Corp. 29,850 829 Exelon Corp. 39,742 102 Hawaiian Electric Industries, Inc. 4,442 96 OGE Energy Corp. 4,086 37 Otter Tail Corp. 1,954 130 Pinnacle West Capital Corp. 12,232 176 PNM Resources, Inc. 8,960 241 Portland General Electric Co. 13,055 1,309 PPL Corp. 40,592 -------------- 197,774 -------------- ELECTRICAL EQUIPMENT -- 0.7% 139 Acuity Brands, Inc. 19,169 257 Atkore International Group, Inc. (a) 6,649 181 AZZ, Inc. 8,330 344 Eaton Corp. PLC 28,648 129 Encore Wire Corp. 7,557 255 EnerSys 17,467 72 Generac Holdings, Inc. (a) 4,998 70 Hubbell, Inc. 9,128 90 Regal Beloit Corp. 7,354 657 Sunrun, Inc. (a) 12,325 258 TPI Composites, Inc. (a) 6,378 -------------- 128,003 -------------- See Notes to Financial Statements Page 17 FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.9% 132 Anixter International, Inc. (a) $ 7,882 270 Arrow Electronics, Inc. (a) 19,243 192 Avnet, Inc. 8,692 533 AVX Corp. 8,848 66 Badger Meter, Inc. 3,940 138 Belden, Inc. 8,221 70 Benchmark Electronics, Inc. 1,758 719 CDW Corp. 79,809 82 Cognex Corp. 3,934 52 Coherent, Inc. (a) 7,091 63 CTS Corp. 1,738 71 Fabrinet (a) 3,527 87 FLIR Systems, Inc. 4,707 99 II-VI, Inc. (a) 3,619 101 Insight Enterprises, Inc. (a) 5,878 55 IPG Photonics Corp. (a) 8,484 469 Jabil, Inc. 14,820 544 KEMET Corp. 10,233 794 Keysight Technologies, Inc. (a) 71,309 314 Knowles Corp. (a) 5,749 23 Littelfuse, Inc. 4,069 321 Methode Electronics, Inc. 9,171 105 OSI Systems, Inc. (a) 11,826 151 PC Connection, Inc. 5,282 91 Plexus Corp. (a) 5,312 192 Sanmina Corp. (a) 5,814 206 ScanSource, Inc. (a) 6,707 218 SYNNEX Corp. 21,451 858 TE Connectivity Ltd. 82,179 162 Tech Data Corp. (a) 16,945 206 Trimble, Inc. (a) 9,293 787 TTM Technologies, Inc. (a) 8,027 500 Vishay Intertechnology, Inc. 8,260 99 Zebra Technologies Corp., Class A (a) 20,739 -------------- 494,557 -------------- ENERGY EQUIPMENT & SERVICES -- 0.9% 378 Archrock, Inc. 4,007 119 C&J Energy Services, Inc. (a) 1,402 156 Cactus, Inc., Class A (a) 5,167 352 Diamond Offshore Drilling, Inc. (a) 3,122 186 DMC Global, Inc. 11,783 739 FTS International, Inc. (a) 4,124 1,418 Halliburton Co. 32,245 934 Helix Energy Solutions Group, Inc. (a) 8,060 75 Helmerich & Payne, Inc. 3,797 509 Keane Group, Inc. (a) 3,421 240 Liberty Oilfield Services, Inc., Class A 3,883 555 Mammoth Energy Services, Inc. 3,818 1,611 Nabors Industries Ltd. 4,672 605 Newpark Resources, Inc. (a) 4,489 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 218 Oil States International, Inc. (a) $ 3,989 395 Patterson-UTI Energy, Inc. 4,547 328 ProPetro Holding Corp. (a) 6,790 648 RPC, Inc. 4,672 318 Schlumberger Ltd. 12,637 218 SEACOR Holdings, Inc. (a) 10,357 461 Select Energy Services, Inc., Class A (a) 5,352 337 Solaris Oilfield Infrastructure, Inc., Class A 5,048 -------------- 147,382 -------------- ENTERTAINMENT -- 1.4% 498 AMC Entertainment Holdings, Inc., Class A 4,646 208 Cinemark Holdings, Inc. 7,509 844 Glu Mobile, Inc. (a) 6,060 1,090 Live Nation Entertainment, Inc. (a) 72,213 14 Madison Square Garden (The) Co., Class A (a) 3,919 92 Marcus (The) Corp. 3,032 117 Netflix, Inc. (a) 42,976 2,468 Viacom, Inc., Class B 73,719 96 World Wrestling Entertainment, Inc., Class A 6,932 3,119 Zynga, Inc., Class A (a) 19,120 -------------- 240,126 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.1% 53 Agree Realty Corp. 3,395 81 American Assets Trust, Inc. 3,817 175 American Campus Communities, Inc. 8,078 183 American Homes 4 Rent, Class A 4,449 211 American Tower Corp. 43,139 409 Americold Realty Trust 13,260 83 Apartment Investment & Management Co., Class A 4,160 1,275 Apple Hospitality REIT, Inc. 20,221 905 Brixmor Property Group, Inc. 16,181 41 Camden Property Trust 4,280 236 CareTrust REIT, Inc. 5,612 288 Chatham Lodging Trust 5,434 199 Chesapeake Lodging Trust 5,656 347 Colony Capital, Inc. 1,735 206 Community Healthcare Trust, Inc. 8,118 380 CoreCivic, Inc. 7,889 39 CoreSite Realty Corp. 4,492 107 Cousins Properties, Inc. 3,870 216 Crown Castle International Corp. 28,156 130 CubeSmart 4,347 512 DiamondRock Hospitality Co. 5,294 206 Douglas Emmett, Inc. 8,207 272 Duke Realty Corp. 8,598 74 EastGroup Properties, Inc. 8,582 216 EPR Properties 16,111 Page 18 See Notes to Financial Statements FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 509 Equity Commonwealth $ 16,553 36 Equity LifeStyle Properties, Inc. 4,368 30 Federal Realty Investment Trust 3,863 118 First Industrial Realty Trust, Inc. 4,335 771 Franklin Street Properties Corp. 5,690 216 Gaming and Leisure Properties, Inc. 8,420 192 GEO Group (The), Inc. 4,034 58 Getty Realty Corp. 1,784 288 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 8,116 129 Healthcare Realty Trust, Inc. 4,040 145 Healthcare Trust of America, Inc., Class A 3,977 431 Hersha Hospitality Trust 7,129 632 Hospitality Properties Trust 15,800 3,665 Host Hotels & Resorts, Inc. 66,776 514 Independence Realty Trust, Inc. 5,947 275 Industrial Logistics Properties Trust 5,725 68 Innovative Industrial Properties, Inc. 8,402 1,139 Invitation Homes, Inc. 30,445 117 Iron Mountain, Inc. 3,662 302 JBG SMITH Properties 11,881 55 Kilroy Realty Corp. 4,059 449 Kimco Realty Corp. 8,297 52 Lamar Advertising Co., Class A 4,197 86 Liberty Property Trust 4,303 674 Medical Properties Trust, Inc. 11,755 75 National Retail Properties, Inc. 3,976 426 NorthStar Realty Europe Corp. 6,999 109 Omega Healthcare Investors, Inc. 4,006 316 Outfront Media, Inc. 8,150 586 Paramount Group, Inc. 8,210 669 Park Hotels & Resorts, Inc. 18,438 295 Physicians Realty Trust 5,145 177 Piedmont Office Realty Trust, Inc., Class A 3,528 125 Preferred Apartment Communities, Inc., Class A 1,869 53 PS Business Parks, Inc. 8,932 41 QTS Realty Trust, Inc., Class A 1,893 123 Regency Centers Corp. 8,209 103 Rexford Industrial Realty, Inc. 4,158 526 RLJ Lodging Trust 9,331 154 RPT Realty 1,865 51 Ryman Hospitality Properties, Inc. 4,136 427 Sabra Health Care REIT, Inc. 8,408 69 SBA Communications Corp. (a) 15,514 314 Senior Housing Properties Trust 2,597 92 SL Green Realty Corp. 7,394 62 STAG Industrial, Inc. 1,875 248 STORE Capital Corp. 8,231 809 Summit Hotel Properties, Inc. 9,279 70 Sun Communities, Inc. 8,973 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 641 Sunstone Hotel Investors, Inc. $ 8,788 44 Terreno Realty Corp. 2,158 24 Universal Health Realty Income Trust 2,038 497 VEREIT, Inc. 4,478 570 VICI Properties, Inc. 12,563 1,308 Washington Prime Group, Inc. (b) 4,997 422 Xenia Hotels & Resorts, Inc. 8,799 -------------- 701,576 -------------- FOOD & STAPLES RETAILING -- 0.8% 172 Andersons (The), Inc. 4,685 65 Casey's General Stores, Inc. 10,139 59 Chefs' Warehouse (The), Inc. (a) 2,069 2,816 Kroger (The) Co. 61,136 105 Performance Food Group Co. (a) 4,203 86 Sprouts Farmers Market, Inc. (a) 1,625 357 US Foods Holding Corp. (a) 12,766 657 Walgreens Boots Alliance, Inc. 35,918 226 Weis Markets, Inc. 8,229 -------------- 140,770 -------------- FOOD PRODUCTS -- 1.3% 964 Archer-Daniels-Midland Co. 39,331 235 Bunge Ltd. 13,092 166 Cal-Maine Foods, Inc. 6,926 300 Conagra Brands, Inc. 7,956 576 Darling Ingredients, Inc. (a) 11,457 195 Flowers Foods, Inc. 4,538 218 Freshpet, Inc. (a) 9,921 148 Hostess Brands, Inc. (a) 2,137 176 Ingredion, Inc. 14,518 12 J&J Snack Foods Corp. 1,931 119 J.M. Smucker (The) Co. 13,708 111 Lamb Weston Holdings, Inc. 7,033 27 Lancaster Colony Corp. 4,012 373 Pilgrim's Pride Corp. (a) 9,471 190 Post Holdings, Inc. (a) 19,754 179 Simply Good Foods (The) Co. (a) 4,310 143 TreeHouse Foods, Inc. (a) 7,736 599 Tyson Foods, Inc., Class A 48,363 -------------- 226,194 -------------- GAS UTILITIES -- 0.4% 81 Chesapeake Utilities Corp. 7,696 273 National Fuel Gas Co. 14,401 334 New Jersey Resources Corp. 16,623 93 ONE Gas, Inc. 8,398 101 Southwest Gas Holdings, Inc. 9,052 101 Spire, Inc. 8,476 225 UGI Corp. 12,017 -------------- 76,663 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.6% 162 AngioDynamics, Inc. (a) 3,190 4 Atrion Corp. 3,411 511 Baxter International, Inc. 41,851 See Notes to Financial Statements Page 19 FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 143 Cardiovascular Systems, Inc. (a) $ 6,139 296 Cerus Corp. (a) 1,664 67 CONMED Corp. 5,733 47 Cooper (The) Cos., Inc. 15,834 63 CryoLife, Inc. (a) 1,886 72 Edwards Lifesciences Corp. (a) 13,301 94 Glaukos Corp. (a) 7,088 118 Hill-Rom Holdings, Inc. 12,345 572 Hologic, Inc. (a) 27,467 44 Insulet Corp. (a) 5,253 75 Integra LifeSciences Holdings Corp. (a) 4,189 302 Lantheus Holdings, Inc. (a) 8,547 90 Masimo Corp. (a) 13,394 60 Merit Medical Systems, Inc. (a) 3,574 16 Mesa Laboratories, Inc. 3,909 59 Nevro Corp. (a) 3,825 345 Novocure Ltd. (a) 21,814 85 Penumbra, Inc. (a) 13,600 113 Quidel Corp. (a) 6,703 140 Stryker Corp. 28,781 35 Tactile Systems Technology, Inc. (a) 1,992 58 Tandem Diabetes Care, Inc. (a) 3,742 46 Teleflex, Inc. 15,233 250 ViewRay, Inc. (a) 2,202 132 Wright Medical Group N.V. (a) 3,936 -------------- 280,603 -------------- HEALTH CARE PROVIDERS & SERVICES -- 1.3% 101 Amedisys, Inc. (a) 12,262 59 BioTelemetry, Inc. (a) 2,841 26 Chemed Corp. 9,382 57 CorVel Corp. (a) 4,960 180 Ensign Group (The), Inc. 10,246 56 HealthEquity, Inc. (a) 3,662 181 Laboratory Corp. of America Holdings (a) 31,295 50 LHC Group, Inc. (a) 5,979 28 Magellan Health, Inc. (a) 2,078 340 MEDNAX, Inc. (a) 8,578 117 Molina Healthcare, Inc. (a) 16,747 73 National HealthCare Corp. 5,924 85 Patterson Cos., Inc. 1,947 176 PetIQ, Inc. (a) 5,801 308 Quest Diagnostics, Inc. 31,358 955 R1 RCM, Inc. (a) 12,014 262 Select Medical Holdings Corp. (a) 4,158 320 Tenet Healthcare Corp. (a) 6,611 526 Tivity Health, Inc. (a) 8,647 311 Universal Health Services, Inc., Class B 40,551 -------------- 225,041 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE TECHNOLOGY -- 0.6% 62 HMS Holdings Corp. (a) $ 2,008 149 Inovalon Holdings, Inc., Class A (a) 2,162 57 Medidata Solutions, Inc. (a) 5,159 69 Omnicell, Inc. (a) 5,936 75 Teladoc Health, Inc. (a) 4,981 546 Veeva Systems, Inc., Class A (a) 88,512 -------------- 108,758 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.5% 563 Aramark 20,302 68 Boyd Gaming Corp. 1,832 166 Brinker International, Inc. 6,532 1,435 Caesars Entertainment Corp. (a) 16,962 1,366 Carnival Corp. 63,587 38 Cheesecake Factory (The), Inc. 1,661 98 Chipotle Mexican Grill, Inc. (a) 71,822 51 Cracker Barrel Old Country Store, Inc. 8,707 456 Darden Restaurants, Inc. 55,509 37 Dave & Buster's Entertainment, Inc. 1,497 503 Denny's Corp. (a) 10,327 101 Dine Brands Global, Inc. 9,642 221 Dunkin' Brands Group, Inc. 17,605 445 Eldorado Resorts, Inc. (a) 20,501 702 Everi Holdings, Inc. (a) 8,375 120 Hilton Grand Vacations, Inc. (a) 3,818 212 International Speedway Corp., Class A 9,517 485 Lindblad Expeditions Holdings, Inc. (a) 8,706 1,008 Norwegian Cruise Line Holdings Ltd. (a) 54,059 302 Planet Fitness, Inc., Class A (a) 21,877 483 Royal Caribbean Cruises Ltd. 58,544 215 SeaWorld Entertainment, Inc. (a) 6,665 94 Shake Shack, Inc., Class A (a) 6,787 932 Starbucks Corp. 78,130 697 Wendy's (The) Co. 13,647 97 Wingstop, Inc. 9,191 308 Yum China Holdings, Inc. 14,230 -------------- 600,032 -------------- HOUSEHOLD DURABLES -- 2.5% 31 Cavco Industries, Inc. (a) 4,884 385 Century Communities, Inc. (a) 10,233 1,674 D.R. Horton, Inc. 72,200 642 Garmin Ltd. 51,232 190 Installed Building Products, Inc. (a) 11,252 78 iRobot Corp. (a) 7,148 382 KB Home 9,829 168 La-Z-Boy, Inc. 5,151 98 Leggett & Platt, Inc. 3,760 1,411 Lennar Corp., Class A 68,377 123 LGI Homes, Inc. (a) 8,786 318 M.D.C. Holdings, Inc. 10,424 347 M/I Homes, Inc. (a) 9,903 Page 20 See Notes to Financial Statements FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 207 Meritage Homes Corp. (a) $ 10,627 165 Mohawk Industries, Inc. (a) 24,333 5 NVR, Inc. (a) 16,851 743 PulteGroup, Inc. 23,494 258 Roku, Inc. (a) 23,370 520 Taylor Morrison Home Corp., Class A (a) 10,899 574 Toll Brothers, Inc. 21,020 57 TopBuild Corp. (a) 4,717 731 TRI Pointe Group, Inc. (a) 8,750 72 Tupperware Brands Corp. 1,370 -------------- 418,610 -------------- HOUSEHOLD PRODUCTS -- 0.1% 318 Central Garden & Pet Co., Class A (a) 7,835 194 Church & Dwight Co., Inc. 14,174 34 Spectrum Brands Holdings, Inc. 1,828 -------------- 23,837 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.7% 919 AES Corp. 15,402 244 Clearway Energy, Inc., Class C 4,114 652 NRG Energy, Inc. 22,898 33 Ormat Technologies, Inc. 2,092 336 Pattern Energy Group, Inc., Class A 7,758 269 TerraForm Power, Inc., Class A 3,847 2,661 Vistra Energy Corp. 60,245 -------------- 116,356 -------------- INDUSTRIAL CONGLOMERATES -- 0.3% 68 Carlisle Cos., Inc. 9,548 122 Roper Technologies, Inc. 44,684 -------------- 54,232 -------------- INSURANCE -- 3.0% 408 Ambac Financial Group, Inc. (a) 6,875 273 American Equity Investment Life Holding Co. 7,415 43 American Financial Group, Inc. 4,406 965 American International Group, Inc. 51,415 34 American National Insurance Co. 3,960 468 Assured Guaranty Ltd. 19,693 407 Athene Holding Ltd., Class A (a) 17,525 458 Brighthouse Financial, Inc. (a) 16,804 148 eHealth, Inc. (a) 12,743 184 Employers Holdings, Inc. 7,778 116 Erie Indemnity Co., Class A 29,496 341 Fidelity National Financial, Inc. 13,742 323 First American Financial Corp. 17,345 36 Hanover Insurance Group (The), Inc. 4,619 279 Hartford Financial Services Group (The), Inc. 15,546 46 James River Group Holdings Ltd. 2,157 164 Kemper Corp. 14,152 108 Kinsale Capital Group, Inc. 9,880 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 472 Lincoln National Corp. $ 30,420 651 MetLife, Inc. 32,335 156 National General Holdings Corp. 3,579 28 National Western Life Group, Inc., Class A 7,196 199 Old Republic International Corp. 4,454 136 Primerica, Inc. 16,313 552 Principal Financial Group, Inc. 31,972 769 Progressive (The) Corp. 61,466 151 Prudential Financial, Inc. 15,251 59 Reinsurance Group of America, Inc. 9,206 101 Torchmark Corp. 9,035 101 Travelers (The) Cos., Inc. 15,102 113 Trupanion, Inc. (a) (b) 4,083 246 Unum Group 8,253 74 W.R. Berkley Corp. 4,879 -------------- 509,095 -------------- INTERACTIVE MEDIA & SERVICES -- 0.7% 243 Cars.com, Inc. (a) 4,792 83 Facebook, Inc., Class A (a) 16,019 198 IAC/InterActiveCorp (a) 43,071 130 Liberty TripAdvisor Holdings, Inc., Class A (a) 1,612 294 Match Group, Inc. 19,778 138 QuinStreet, Inc. (a) 2,187 1,131 Snap, Inc., Class A (a) 16,173 421 Twitter, Inc. (a) 14,693 -------------- 118,325 -------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 8 Amazon.com, Inc. (a) 15,149 373 eBay, Inc. 14,733 309 Etsy, Inc. (a) 18,963 129 Liberty Expedia Holdings, Inc., Class A (a) 6,165 1,300 Qurate Retail, Inc. (a) 16,107 136 Shutterfly, Inc. (a) 6,875 40 Shutterstock, Inc. 1,568 196 Stitch Fix, Inc., Class A (a) (b) 6,270 140 Wayfair, Inc., Class A (a) 20,440 -------------- 106,270 -------------- IT SERVICES -- 3.2% 58 Akamai Technologies, Inc. (a) 4,648 47 Alliance Data Systems Corp. 6,586 173 Automatic Data Processing, Inc. 28,602 153 Black Knight, Inc. (a) 9,203 357 Booz Allen Hamilton Holding Corp. 23,637 68 CACI International, Inc., Class A (a) 13,912 191 Cognizant Technology Solutions Corp., Class A 12,107 50 CoreLogic, Inc. (a) 2,091 123 EPAM Systems, Inc. (a) 21,291 See Notes to Financial Statements Page 21 FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 146 Euronet Worldwide, Inc. (a) $ 24,563 133 EVERTEC, Inc. 4,349 62 ExlService Holdings, Inc. (a) 4,100 112 FleetCor Technologies, Inc. (a) 31,455 274 Gartner, Inc. (a) 44,098 118 Genpact Ltd. 4,495 106 GTT Communications, Inc. (a) (b) 1,866 387 KBR, Inc. 9,652 195 Leidos Holdings, Inc. 15,571 169 LiveRamp Holdings, Inc. (a) 8,193 34 ManTech International Corp., Class A 2,239 177 Mastercard, Inc., Class A 46,822 117 MAXIMUS, Inc. 8,487 63 MongoDB, Inc. (a) 9,582 251 Okta, Inc. (a) 31,001 173 Paychex, Inc. 14,236 667 PayPal Holdings, Inc. (a) 76,345 125 Presidio, Inc. 1,709 370 Square, Inc., Class A (a) 26,836 196 Sykes Enterprises, Inc. (a) 5,382 161 Twilio, Inc., Class A (a) 21,952 450 Western Union (The) Co. 8,951 87 WEX, Inc. (a) 18,105 -------------- 542,066 -------------- LEISURE PRODUCTS -- 0.2% 160 Acushnet Holdings Corp. 4,202 248 Brunswick Corp. 11,381 78 Johnson Outdoors, Inc., Class A 5,816 93 Malibu Boats, Inc., Class A (a) 3,613 98 Polaris Industries, Inc. 8,940 70 Sturm Ruger & Co., Inc. 3,814 -------------- 37,766 -------------- LIFE SCIENCES TOOLS & SERVICES -- 2.3% 176 Accelerate Diagnostics, Inc. (a) (b) 4,027 172 Agilent Technologies, Inc. 12,843 14 Bio-Rad Laboratories, Inc., Class A (a) 4,376 63 Bio-Techne Corp. 13,135 432 Bruker Corp. 21,578 190 Cambrex Corp. (a) 8,894 143 Charles River Laboratories International, Inc. (a) 20,292 270 Codexis, Inc. (a) 4,976 417 Fluidigm Corp. (a) 5,137 482 IQVIA Holdings, Inc. (a) 77,554 125 Medpace Holdings, Inc. (a) 8,178 57 Mettler-Toledo International, Inc. (a) 47,880 232 NanoString Technologies, Inc. (a) 7,041 271 NeoGenomics, Inc. (a) 5,946 173 PerkinElmer, Inc. 16,667 151 PRA Health Sciences, Inc. (a) 14,972 SHARES DESCRIPTION VALUE ------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 401 Syneos Health, Inc. (a) $ 20,487 152 Thermo Fisher Scientific, Inc. 44,639 220 Waters Corp. (a) 47,353 -------------- 385,975 -------------- MACHINERY -- 3.5% 179 AGCO Corp. 13,885 55 Alamo Group, Inc. 5,496 52 Albany International Corp., Class A 4,311 93 Allison Transmission Holdings, Inc. 4,311 59 Altra Industrial Motion Corp. 2,117 108 Barnes Group, Inc. 6,085 102 Caterpillar, Inc. 13,902 102 Chart Industries, Inc. (a) 7,842 187 Colfax Corp. (a) 5,242 54 Columbus McKinnon Corp. 2,266 147 Crane Co. 12,266 263 Cummins, Inc. 45,062 173 Deere & Co. 28,668 83 Donaldson Co., Inc. 4,221 28 ESCO Technologies, Inc. 2,313 142 Federal Signal Corp. 3,798 661 Fortive Corp. 53,885 145 Franklin Electric Co., Inc. 6,887 299 Gardner Denver Holdings, Inc. (a) 10,345 54 Gorman-Rupp (The) Co. 1,773 168 Graco, Inc. 8,430 287 Greenbrier (The) Cos., Inc. 8,725 79 Helios Technologies, Inc. 3,666 27 IDEX Corp. 4,648 513 Ingersoll-Rand PLC 64,982 215 ITT, Inc. 14,078 20 John Bean Technologies Corp. 2,423 42 Kadant, Inc. 3,814 201 Kennametal, Inc. 7,435 50 Lincoln Electric Holdings, Inc. 4,116 272 Meritor, Inc. (a) 6,596 128 Middleby (The) Corp. (a) 17,370 490 Milacron Holdings Corp. (a) 6,762 59 Mueller Industries, Inc. 1,727 172 Navistar International Corp. (a) 5,925 277 Oshkosh Corp. 23,127 813 PACCAR, Inc. 58,260 81 Parker-Hannifin Corp. 13,771 106 Snap-on, Inc. 17,558 58 SPX FLOW, Inc. (a) 2,428 75 Standex International Corp. 5,485 169 Timken (The) Co. 8,676 181 Toro (The) Co. 12,109 122 TriMas Corp. (a) 3,778 765 Trinity Industries, Inc. 15,874 545 Wabash National Corp. 8,867 219 Woodward, Inc. 24,782 -------------- 590,087 -------------- Page 22 See Notes to Financial Statements FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MARINE -- 0.1% 55 Kirby Corp. (a) $ 4,345 154 Matson, Inc. 5,983 -------------- 10,328 -------------- MEDIA -- 1.8% 967 Altice USA, Inc., Class A (a) 23,546 33 AMC Networks, Inc., Class A (a) 1,798 17 Cable One, Inc. 19,907 291 CBS Corp., Class B 14,521 120 Charter Communications, Inc., Class A (a) 47,422 693 Comcast Corp., Class A 29,300 1,025 Discovery, Inc., Class A (a) 31,467 656 DISH Network Corp., Class A (a) 25,197 440 E.W. Scripps (The) Co., Class A 6,728 351 Gannett Co., Inc. 2,864 432 Gray Television, Inc. (a) 7,080 396 Interpublic Group of Cos. (The), Inc. 8,946 125 John Wiley & Sons, Inc., Class A 5,732 285 Liberty Latin America Ltd., Class C (a) 4,899 704 New Media Investment Group, Inc. 6,646 506 New York Times (The) Co., Class A 16,506 334 News Corp., Class A 4,506 192 Nexstar Media Group, Inc., Class A 19,392 139 Scholastic Corp. 4,620 192 Sinclair Broadcast Group, Inc., Class A 10,297 524 TEGNA, Inc. 7,939 609 WideOpenWest, Inc. (a) 4,421 -------------- 303,734 -------------- METALS & MINING -- 1.6% 672 AK Steel Holding Corp. (a) (b) 1,593 590 Alcoa Corp. (a) 13,812 650 Allegheny Technologies, Inc. (a) 16,380 161 Carpenter Technology Corp. 7,725 740 Cleveland-Cliffs, Inc. (b) 7,896 453 Coeur Mining, Inc. (a) 1,966 433 Commercial Metals Co. 7,729 5,374 Freeport-McMoRan, Inc. 62,392 107 Global Brass & Copper Holdings, Inc. 4,679 1,606 Hecla Mining Co. 2,891 35 Kaiser Aluminum Corp. 3,416 1,187 Nucor Corp. 65,404 230 Reliance Steel & Aluminum Co. 21,763 589 Steel Dynamics, Inc. 17,788 1,066 United States Steel Corp. 16,320 304 Warrior Met Coal, Inc. 7,940 148 Worthington Industries, Inc. 5,958 -------------- 265,652 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 406 Apollo Commercial Real Estate Finance, Inc. $ 7,466 570 Arbor Realty Trust, Inc. (b) 6,908 241 Blackstone Mortgage Trust, Inc., Class A 8,575 215 Capstead Mortgage Corp. 1,795 444 Chimera Investment Corp. 8,378 99 Granite Point Mortgage Trust, Inc. 1,900 92 KKR Real Estate Finance Trust, Inc. 1,833 217 Ladder Capital Corp. 3,604 1,016 MFA Financial, Inc. 7,295 268 PennyMac Mortgage Investment Trust 5,851 114 Redwood Trust, Inc. 1,885 186 Starwood Property Trust, Inc. 4,226 -------------- 59,716 -------------- MULTILINE RETAIL -- 1.3% 194 Big Lots, Inc. 5,550 128 Dillard's, Inc., Class A (b) 7,972 465 Dollar General Corp. 62,849 264 Dollar Tree, Inc. (a) 28,351 806 Kohl's Corp. 38,325 865 Macy's, Inc. 18,563 281 Nordstrom, Inc. 8,953 146 Ollie's Bargain Outlet Holdings, Inc. (a) 12,718 345 Target Corp. 29,881 -------------- 213,162 -------------- MULTI-UTILITIES -- 0.6% 136 Avista Corp. 6,066 168 Black Hills Corp. 13,133 327 Consolidated Edison, Inc. 28,671 111 DTE Energy Co. 14,195 483 MDU Resources Group, Inc. 12,461 52 NorthWestern Corp. 3,752 233 Public Service Enterprise Group, Inc. 13,705 68 Unitil Corp. 4,072 -------------- 96,055 -------------- OIL, GAS & CONSUMABLE FUELS -- 5.5% 837 Antero Resources Corp. (a) 4,629 799 Apache Corp. 23,147 101 Arch Coal, Inc., Class A 9,515 637 Cabot Oil & Gas Corp. 14,626 359 California Resources Corp. (a) 7,065 1,223 Callon Petroleum Co. (a) 8,060 741 Carrizo Oil & Gas, Inc. (a) 7,425 811 Cheniere Energy, Inc. (a) 55,513 596 Chesapeake Energy Corp. (a) (b) 1,162 562 Chevron Corp. 69,935 297 Cimarex Energy Co. 17,621 858 CNX Resources Corp. (a) 6,272 See Notes to Financial Statements Page 23 FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 267 Comstock Resources, Inc. (a) (b) $ 1,487 216 CONSOL Energy, Inc. (a) 5,748 128 Contura Energy, Inc. (a) 6,643 404 CVR Energy, Inc. 20,196 152 Delek US Holdings, Inc. 6,159 4,505 Denbury Resources, Inc. (a) 5,586 2,195 Devon Energy Corp. 62,601 2,183 Extraction Oil & Gas, Inc. (a) (b) 9,452 514 Exxon Mobil Corp. 39,388 443 Green Plains, Inc. 4,776 1,152 Gulfport Energy Corp. (a) 5,656 422 HollyFrontier Corp. 19,530 2,077 Kinder Morgan, Inc. 43,368 593 Kosmos Energy Ltd. 3,718 2,989 Laredo Petroleum, Inc. (a) 8,668 4,145 Marathon Oil Corp. 58,900 926 Marathon Petroleum Corp. 51,745 478 Matador Resources Co. (a) 9,503 709 Murphy Oil Corp. 17,477 504 Noble Energy, Inc. 11,290 1,223 Oasis Petroleum, Inc. (a) 6,947 1,046 Occidental Petroleum Corp. 52,593 198 ONEOK, Inc. 13,624 207 Par Pacific Holdings, Inc. (a) 4,248 400 PBF Energy, Inc., Class A 12,520 91 PDC Energy, Inc. (a) 3,281 734 Peabody Energy Corp. 17,689 728 Phillips 66 68,097 711 QEP Resources, Inc. (a) 5,141 168 Renewable Energy Group, Inc. (a) 2,664 376 SemGroup Corp., Class A 4,512 528 SM Energy Co. 6,611 1,969 Southwestern Energy Co. (a) 6,222 1,804 SRC Energy, Inc. (a) 8,948 348 Talos Energy, Inc. (a) 8,369 100 Targa Resources Corp. 3,926 825 Tellurian, Inc. (a) (b) 6,476 519 Unit Corp. (a) 4,614 653 Valero Energy Corp. 55,903 1,071 W&T Offshore, Inc. (a) 5,312 353 Whiting Petroleum Corp. (a) 6,594 256 World Fuel Services Corp. 9,206 1,268 WPX Energy, Inc. (a) 14,595 -------------- 944,953 -------------- PAPER & FOREST PRODUCTS -- 0.3% 138 Boise Cascade Co. 3,879 186 Domtar Corp. 8,283 852 Louisiana-Pacific Corp. 22,339 143 Schweitzer-Mauduit International, Inc. 4,745 431 Verso Corp., Class A (a) 8,211 -------------- 47,457 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- PERSONAL PRODUCTS -- 0.4% 84 Edgewell Personal Care Co. (a) $ 2,264 251 Estee Lauder (The) Cos., Inc., Class A 45,961 157 Herbalife Nutrition Ltd. (a) 6,713 97 Inter Parfums, Inc. 6,449 174 Nu Skin Enterprises, Inc., Class A 8,582 -------------- 69,969 -------------- PHARMACEUTICALS -- 0.8% 181 Amphastar Pharmaceuticals, Inc. (a) 3,821 131 ANI Pharmaceuticals, Inc. (a) 10,768 682 Dermira, Inc. (a) 6,520 320 Eli Lilly & Co. 35,453 786 Horizon Therapeutics PLC (a) 18,911 29 Jazz Pharmaceuticals PLC (a) 4,134 167 Merck & Co., Inc. 14,003 1,467 Mylan N.V. (a) 27,932 173 Perrigo Co., PLC 8,238 43 Reata Pharmaceuticals, Inc., Class A (a) 4,057 34 Zogenix, Inc. (a) 1,625 -------------- 135,462 -------------- PROFESSIONAL SERVICES -- 1.2% 29 ASGN, Inc. (a) 1,757 183 CBIZ, Inc. (a) 3,585 119 CoStar Group, Inc. (a) 65,933 64 Exponent, Inc. 3,746 38 Forrester Research, Inc. 1,787 96 FTI Consulting, Inc. (a) 8,049 241 Heidrick & Struggles International, Inc. 7,223 168 Insperity, Inc. 20,519 84 Kelly Services, Inc., Class A 2,200 53 Kforce, Inc. 1,860 41 Korn Ferry 1,643 251 ManpowerGroup, Inc. 24,247 190 Navigant Consulting, Inc. 4,406 128 Robert Half International, Inc. 7,297 155 TriNet Group, Inc. (a) 10,509 313 TrueBlue, Inc. (a) 6,905 208 Verisk Analytics, Inc. 30,464 -------------- 202,130 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 560 CBRE Group, Inc., Class A (a) 28,728 510 eXp World Holdings, Inc. (a) 5,676 108 Jones Lang LaSalle, Inc. 15,195 86 Kennedy-Wilson Holdings, Inc. 1,769 45 Marcus & Millichap, Inc. (a) 1,388 144 RE/MAX Holdings, Inc., Class A 4,430 810 Realogy Holdings Corp. 5,864 273 Redfin Corp. (a) (b) 4,909 112 St Joe (The) Co. (a) 1,935 -------------- 69,894 -------------- Page 24 See Notes to Financial Statements FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL -- 1.4% 22 AMERCO $ 8,328 300 ArcBest Corp. 8,433 370 CSX Corp. 28,627 143 Genesee & Wyoming, Inc., Class A (a) 14,300 287 Heartland Express, Inc. 5,186 319 Hertz Global Holdings, Inc. (a) (b) 5,091 108 Kansas City Southern 13,157 636 Knight-Swift Transportation Holdings, Inc. 20,886 76 Landstar System, Inc. 8,207 518 Marten Transport Ltd. 9,402 297 Norfolk Southern Corp. 59,201 149 Ryder System, Inc. 8,687 121 Saia, Inc. (a) 7,825 439 Schneider National, Inc., Class B 8,007 166 Union Pacific Corp. 28,072 270 Werner Enterprises, Inc. 8,392 -------------- 241,801 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.3% 112 Advanced Energy Industries, Inc. (a) 6,302 1,629 Advanced Micro Devices, Inc. (a) 49,473 1,081 Amkor Technology, Inc. (a) 8,064 132 Analog Devices, Inc. 14,899 1,397 Applied Materials, Inc. 62,739 184 Broadcom, Inc. 52,966 33 Cabot Microelectronics Corp. 3,633 44 Cirrus Logic, Inc. (a) 1,923 1,114 Cypress Semiconductor Corp. 24,775 160 Diodes, Inc. (a) 5,819 800 Enphase Energy, Inc. (a) 14,584 466 Entegris, Inc. 17,391 79 First Solar, Inc. (a) 5,189 230 FormFactor, Inc. (a) 3,604 84 Inphi Corp. (a) 4,208 1,290 Intel Corp. 61,752 464 KLA-Tencor Corp. 54,845 310 Lam Research Corp. 58,230 619 Lattice Semiconductor Corp. (a) 9,031 145 MaxLinear, Inc. (a) 3,399 1,676 Micron Technology, Inc. (a) 64,677 223 MKS Instruments, Inc. 17,370 92 Monolithic Power Systems, Inc. 12,492 120 Nanometrics, Inc. (a) 4,165 808 ON Semiconductor Corp. (a) 16,330 58 Qorvo, Inc. (a) 3,863 243 Rudolph Technologies, Inc. (a) 6,714 672 Skyworks Solutions, Inc. 51,926 313 Teradyne, Inc. 14,996 82 Universal Display Corp. 15,421 546 Xilinx, Inc. 64,384 -------------- 735,164 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE -- 6.5% 26 2U, Inc. (a) $ 979 91 8x8, Inc. (a) 2,193 379 ACI Worldwide, Inc. (a) 13,015 114 Alarm.com Holdings, Inc. (a) 6,099 110 Alteryx, Inc., Class A (a) 12,003 93 Appfolio, Inc., Class A (a) 9,511 215 Appian Corp. (a) (b) 7,755 40 Aspen Technology, Inc. (a) 4,971 89 Autodesk, Inc. (a) 14,498 439 Avaya Holdings Corp. (a) 5,228 37 Benefitfocus, Inc. (a) 1,005 1,091 Cadence Design Systems, Inc. (a) 77,254 71 CDK Global, Inc. 3,510 76 Cornerstone OnDemand, Inc. (a) 4,403 228 Coupa Software, Inc. (a) 28,867 85 Envestnet, Inc. (a) 5,811 123 Everbridge, Inc. (a) 10,999 77 Fair Isaac Corp. (a) 24,180 140 Five9, Inc. (a) 7,181 176 ForeScout Technologies, Inc. (a) 5,959 165 Fortinet, Inc. (a) 12,677 86 Guidewire Software, Inc. (a) 8,719 125 HubSpot, Inc. (a) 21,315 118 Instructure, Inc. (a) 5,015 265 Intuit, Inc. 69,252 144 j2 Global, Inc. 12,800 191 LivePerson, Inc. (a) 5,356 34 Manhattan Associates, Inc. (a) 2,357 117 Microsoft Corp. 15,673 195 Mimecast Ltd. (a) 9,108 168 New Relic, Inc. (a) 14,534 228 Palo Alto Networks, Inc. (a) 46,457 110 Paycom Software, Inc. (a) 24,939 233 Paylocity Holding Corp. (a) 21,860 83 Progress Software Corp. 3,620 137 Proofpoint, Inc. (a) 16,474 87 PROS Holdings, Inc. (a) 5,504 107 Q2 Holdings, Inc. (a) 8,171 50 Qualys, Inc. (a) 4,354 182 Rapid7, Inc. (a) 10,527 137 RealPage, Inc. (a) 8,062 193 RingCentral, Inc., Class A (a) 22,180 129 SailPoint Technologies Holding, Inc. (a) 2,585 402 SecureWorks Corp., Class A (a) 5,343 281 ServiceNow, Inc. (a) 77,154 222 Splunk, Inc. (a) 27,917 52 SPS Commerce, Inc. (a) 5,315 1,088 SS&C Technologies Holdings, Inc. 62,680 602 Synopsys, Inc. (a) 77,471 98 Tableau Software, Inc., Class A (a) 16,270 190 Teradata Corp. (a) 6,812 105 Trade Desk (The), Inc., Class A (a) 23,917 218 Upland Software, Inc. (a) 9,926 123 Verint Systems, Inc. (a) 6,615 307 VMware, Inc., Class A 51,333 359 Workday, Inc., Class A (a) 73,803 See Notes to Financial Statements Page 25 FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 182 Workiva, Inc. (a) $ 10,572 338 Yext, Inc. (a) 6,790 244 Zendesk, Inc. (a) 21,723 293 Zscaler, Inc. (a) 22,456 -------------- 1,103,057 -------------- SPECIALTY RETAIL -- 3.7% 237 Aaron's, Inc. 14,554 202 Abercrombie & Fitch Co., Class A 3,240 750 American Eagle Outfitters, Inc. 12,675 80 Asbury Automotive Group, Inc. (a) 6,747 582 AutoNation, Inc. (a) 24,409 68 AutoZone, Inc. (a) 74,764 544 Bed Bath & Beyond, Inc. (b) 6,321 390 Best Buy Co., Inc. 27,195 314 Boot Barn Holdings, Inc. (a) 11,191 395 Buckle (The), Inc. 6,838 119 CarMax, Inc. (a) 10,333 95 Carvana Co. (a) 5,946 38 Children's Place (The), Inc. 3,624 323 Conn's, Inc. (a) 5,756 201 Dick's Sporting Goods, Inc. 6,961 134 Five Below, Inc. (a) 16,083 179 Floor & Decor Holdings, Inc., Class A (a) 7,500 343 Foot Locker, Inc. 14,379 794 Gap (The), Inc. 14,268 143 Group 1 Automotive, Inc. 11,710 301 L Brands, Inc. 7,856 80 Lithia Motors, Inc., Class A 9,502 253 Lowe's Cos., Inc. 25,530 107 Monro, Inc. 9,127 65 Murphy USA, Inc. (a) 5,462 107 O'Reilly Automotive, Inc. (a) 39,517 2,035 Office Depot, Inc. 4,192 1,163 Party City Holdco, Inc. (a) 8,525 465 Penske Automotive Group, Inc. 21,995 443 Rent-A-Center, Inc. (a) 11,797 201 Sally Beauty Holdings, Inc. (a) 2,681 197 Sleep Number Corp. (a) 7,957 79 Tiffany & Co. 7,398 1,041 TJX (The) Cos., Inc. 55,048 170 Tractor Supply Co. 18,496 199 Ulta Beauty, Inc. (a) 69,031 701 Urban Outfitters, Inc. (a) 15,948 295 Williams-Sonoma, Inc. 19,175 -------------- 623,731 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.2% 73 Apple, Inc. 14,448 354 Dell Technologies, Inc., Class C (a) 17,983 2,694 Hewlett Packard Enterprise Co. 40,275 572 Pure Storage, Inc., Class A (a) 8,735 1,157 Seagate Technology PLC 54,518 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 1,153 Western Digital Corp. $ 54,825 520 Xerox Corp. 18,413 -------------- 209,197 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 82 Carter's, Inc. 7,998 199 Columbia Sportswear Co. 19,932 72 Crocs, Inc. (a) 1,422 141 Deckers Outdoor Corp. (a) 24,812 135 Fossil Group, Inc. (a) 1,552 139 G-III Apparel Group Ltd. (a) 4,089 465 Hanesbrands, Inc. 8,007 152 Movado Group, Inc. 4,104 25 Oxford Industries, Inc. 1,895 136 PVH Corp. 12,871 64 Ralph Lauren Corp. 7,270 371 Skechers U.S.A., Inc., Class A (a) 11,683 109 Steven Madden Ltd. 3,701 1,706 Tapestry, Inc. 54,131 590 Under Armour, Inc., Class A (a) 14,957 52 Wolverine World Wide, Inc. 1,432 -------------- 179,856 -------------- THRIFTS & MORTGAGE FINANCE -- 0.9% 64 Axos Financial, Inc. (a) 1,744 99 Dime Community Bancshares, Inc. 1,880 287 Essent Group Ltd. (a) 13,486 77 Federal Agricultural Mortgage Corp., Class C 5,595 112 Flagstar Bancorp, Inc. 3,712 140 HomeStreet, Inc. (a) 4,149 47 LendingTree, Inc. (a) 19,741 375 Meta Financial Group, Inc. 10,519 1,575 MGIC Investment Corp. (a) 20,695 963 Mr Cooper Group, Inc. (a) 7,714 718 New York Community Bancorp, Inc. 7,166 357 NMI Holdings, Inc., Class A (a) 10,135 71 Provident Financial Services, Inc. 1,722 1,002 Radian Group, Inc. 22,896 238 TrustCo Bank Corp. NY 1,885 257 United Financial Bancorp, Inc. 3,644 181 Walker & Dunlop, Inc. 9,631 128 Washington Federal, Inc. 4,471 -------------- 150,785 -------------- TOBACCO -- 0.1% 200 Turning Point Brands, Inc. 9,796 128 Universal Corp. 7,779 -------------- 17,575 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 605 Air Lease Corp. 25,011 456 Aircastle Ltd. 9,695 Page 26 See Notes to Financial Statements FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 93 Applied Industrial Technologies, Inc. $ 5,722 115 Beacon Roofing Supply, Inc. (a) 4,223 523 BMC Stock Holdings, Inc. (a) 11,088 95 DXP Enterprises, Inc. (a) 3,599 1,292 Fastenal Co. 42,106 97 GATX Corp. 7,691 221 H&E Equipment Services, Inc. 6,429 96 HD Supply Holdings, Inc. (a) 3,867 142 Herc Holdings, Inc. (a) 6,508 106 MRC Global, Inc. (a) 1,815 201 MSC Industrial Direct Co., Inc., Class A 14,926 132 NOW, Inc. (a) 1,948 221 Rush Enterprises, Inc., Class A 8,071 59 Triton International Ltd. 1,933 182 United Rentals, Inc. (a) 24,139 29 Watsco, Inc. 4,742 174 WESCO International, Inc. (a) 8,813 -------------- 192,326 -------------- TRANSPORTATION INFRASTRUCTURE -- 0.1% 403 Macquarie Infrastructure Corp. 16,338 -------------- WATER UTILITIES -- 0.0% 68 California Water Service Group 3,443 33 Middlesex Water Co. 1,955 -------------- 5,398 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 676 Telephone & Data Systems, Inc. 20,550 201 United States Cellular Corp. (a) 8,979 -------------- 29,529 -------------- TOTAL COMMON STOCKS -- 99.8% 16,992,228 (Cost $15,845,834) -------------- RIGHTS -- 0.0% ROAD & RAIL -- 0.0% 319 Hertz Global Holdings, Inc., expiring 7/17/19 (a) (b) 622 (Cost $0) -------------- MONEY MARKET FUNDS -- 0.8% 9,556 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 9,556 115,935 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.19% (c) 115,935 -------------- TOTAL MONEY MARKET FUNDS -- 0.8% 125,491 (Cost $125,491) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 70,938 BNP Paribas S.A., 2.48% (c), dated 06/28/19, due 07/01/19, with a maturity value of $70,953. Collateralized by U.S. Treasury Note, interest rate of 2.625%, due 07/31/20. The value of the collateral including accrued interest is $72,389. (d) $ 70,938 (Cost $70,938) -------------- TOTAL INVESTMENTS -- 101.0% 17,189,279 (Cost $16,042,263) (e) NET OTHER ASSETS AND LIABILITIES -- (1.0)% (166,287) -------------- NET ASSETS -- 100.0% $ 17,022,992 ============== (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 aggregate value of such securities is $78,745 and the total value of the collateral held by the Fund is $80,494. (c) Rate shown reflects yield as of June 30, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,996,073 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $849,057. The net unrealized appreciation was $1,147,016. See Notes to Financial Statements Page 27 FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 16,992,228 $ -- $ -- Rights* 622 -- -- Money Market Funds 125,491 -- -- Repurchase Agreements -- 70,938 -- ------------------------------------------------------- Total Investments $ 17,118,341 $ 70,938 $ -- ======================================================= * 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) $ 78,745 Non-cash Collateral(2) (78,745) -------------- 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 June 30, 2019, 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) $ 70,938 Non-cash Collateral(4) (70,938) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 28 See Notes to Financial Statements FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.2% 4,077 Arconic, Inc. $ 105,268 266 Boeing (The) Co. 96,827 559 General Dynamics Corp. 101,637 773 HEICO Corp. 103,435 503 L3Harris Technologies, Inc. 95,132 276 Lockheed Martin Corp. 100,337 308 Northrop Grumman Corp. 99,518 542 Raytheon Co. 94,243 1,912 Textron, Inc. 101,413 199 TransDigm Group, Inc. (a) 96,276 771 United Technologies Corp. 100,384 -------------- 1,094,470 -------------- AIR FREIGHT & LOGISTICS -- 0.8% 1,195 C.H. Robinson Worldwide, Inc. 100,798 1,316 Expeditors International of Washington, Inc. 99,832 600 FedEx Corp. 98,514 971 United Parcel Service, Inc., Class B 100,275 -------------- 399,419 -------------- AIRLINES -- 0.8% 3,142 American Airlines Group, Inc. 102,461 1,772 Delta Air Lines, Inc. 100,561 1,935 Southwest Airlines Co. 98,259 1,144 United Airlines Holdings, Inc. (a) 100,157 -------------- 401,438 -------------- AUTO COMPONENTS -- 0.4% 1,266 Aptiv PLC 102,331 721 Lear Corp. 100,413 -------------- 202,744 -------------- AUTOMOBILES -- 0.6% 9,931 Ford Motor Co. 101,594 2,687 General Motors Co. 103,530 447 Tesla, Inc. (a) 99,887 -------------- 305,011 -------------- BANKS -- 3.3% 3,528 Bank of America Corp. 102,312 2,040 BB&T Corp. 100,225 1,460 Citigroup, Inc. 102,244 2,852 Citizens Financial Group, Inc. 100,847 1,416 Comerica, Inc. 102,858 3,626 Fifth Third Bancorp 101,166 1,039 First Republic Bank 101,458 7,443 Huntington Bancshares, Inc. 102,862 906 JPMorgan Chase & Co. 101,291 5,819 KeyCorp 103,287 600 M&T Bank Corp. 102,042 745 PNC Financial Services Group (The), Inc. 102,274 6,782 Regions Financial Corp. 101,323 459 SVB Financial Group (a) 103,087 1,898 U.S. Bancorp 99,455 2,116 Wells Fargo & Co. 100,129 -------------- 1,626,860 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- BEVERAGES -- 1.2% 1,800 Brown-Forman Corp., Class B $ 99,774 1,924 Coca-Cola (The) Co. 97,970 540 Constellation Brands, Inc., Class A 106,348 1,790 Molson Coors Brewing Co., Class B 100,240 1,556 Monster Beverage Corp. (a) 99,319 740 PepsiCo, Inc. 97,036 -------------- 600,687 -------------- BIOTECHNOLOGY -- 2.4% 1,259 AbbVie, Inc. 91,555 749 Alexion Pharmaceuticals, Inc. (a) 98,104 531 Amgen, Inc. 97,853 415 Biogen, Inc. (a) 97,056 1,128 BioMarin Pharmaceutical, Inc. (a) 96,613 858 Exact Sciences Corp. (a) 101,278 1,430 Gilead Sciences, Inc. 96,611 1,119 Incyte Corp. (a) 95,070 310 Regeneron Pharmaceuticals, Inc. (a) 97,030 764 Sarepta Therapeutics, Inc. (a) 116,090 1,383 Seattle Genetics, Inc. (a) 95,717 539 Vertex Pharmaceuticals, Inc. (a) 98,842 -------------- 1,181,819 -------------- BUILDING PRODUCTS -- 0.6% 2,474 Johnson Controls International PLC 102,201 370 Lennox International, Inc. 101,750 2,604 Masco Corp. 102,181 -------------- 306,132 -------------- CAPITAL MARKETS -- 4.2% 676 Ameriprise Financial, Inc. 98,128 2,285 Bank of New York Mellon (The) Corp. 100,883 212 BlackRock, Inc. 99,492 932 Cboe Global Markets, Inc. 96,583 2,442 Charles Schwab (The) Corp. 98,144 503 CME Group, Inc. 97,637 2,146 E*TRADE Financial Corp. 95,712 2,898 Franklin Resources, Inc. 100,850 507 Goldman Sachs Group (The), Inc. 103,732 1,144 Intercontinental Exchange, Inc. 98,315 4,035 KKR & Co., Inc., Class A 101,965 510 Moody's Corp. 99,608 2,276 Morgan Stanley 99,712 427 MSCI, Inc. 101,963 1,010 Nasdaq, Inc. 97,132 1,145 Northern Trust Corp. 103,050 1,205 Raymond James Financial, Inc. 101,883 434 S&P Global, Inc. 98,861 1,787 State Street Corp. 100,179 916 T. Rowe Price Group, Inc. 100,494 1,985 TD Ameritrade Holding Corp. 99,091 -------------- 2,093,414 -------------- CHEMICALS -- 2.6% 447 Air Products and Chemicals, Inc. 101,187 938 Celanese Corp. 101,117 2,121 CF Industries Holdings, Inc. 99,072 See Notes to Financial Statements Page 29 FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 1,330 DuPont de Nemours, Inc. $ 99,843 1,302 Eastman Chemical Co. 101,335 523 Ecolab, Inc. 103,261 1,202 FMC Corp. 99,706 681 International Flavors & Fragrances, Inc. 98,806 1,148 LyondellBasell Industries N.V., Class A 98,877 4,236 Mosaic (The) Co. 106,027 855 PPG Industries, Inc. 99,787 213 Sherwin-Williams (The) Co. 97,616 1,493 Westlake Chemical Corp. 103,704 -------------- 1,310,338 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 427 Cintas Corp. 101,323 1,342 Copart, Inc. (a) 100,301 1,144 Republic Services, Inc. 99,116 2,641 Rollins, Inc. 94,733 857 Waste Management, Inc. 98,872 -------------- 494,345 -------------- COMMUNICATIONS EQUIPMENT -- 1.0% 391 Arista Networks, Inc. (a) 101,511 1,739 Cisco Systems, Inc. 95,176 691 F5 Networks, Inc. (a) 100,630 3,701 Juniper Networks, Inc. 98,558 601 Motorola Solutions, Inc. 100,205 -------------- 496,080 -------------- CONSTRUCTION & ENGINEERING -- 0.2% 1,206 Jacobs Engineering Group, Inc. 101,774 -------------- CONSTRUCTION MATERIALS -- 0.4% 441 Martin Marietta Materials, Inc. 101,478 735 Vulcan Materials Co. 100,923 -------------- 202,401 -------------- CONSUMER FINANCE -- 1.0% 3,318 Ally Financial, Inc. 102,825 796 American Express Co. 98,258 1,084 Capital One Financial Corp. 98,362 1,266 Discover Financial Services 98,229 2,891 Synchrony Financial 100,231 -------------- 497,905 -------------- CONTAINERS & PACKAGING -- 0.8% 886 Avery Dennison Corp. 102,493 1,479 Ball Corp. 103,515 2,275 International Paper Co. 98,553 2,701 WestRock Co. 98,505 -------------- 403,066 -------------- DISTRIBUTORS -- 0.2% 954 Genuine Parts Co. 98,815 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 4,791 AXA Equitable Holdings, Inc. $ 100,132 481 Berkshire Hathaway, Inc., Class B (a) 102,535 -------------- 202,667 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 3,058 AT&T, Inc. 102,474 8,748 CenturyLink, Inc. 102,876 1,718 Verizon Communications, Inc. 98,149 -------------- 303,499 -------------- ELECTRIC UTILITIES -- 2.8% 1,986 Alliant Energy Corp. 97,473 1,084 American Electric Power Co., Inc. 95,403 1,109 Duke Energy Corp. 97,858 1,516 Edison International 102,194 952 Entergy Corp. 97,989 1,620 Evergy, Inc. 97,443 1,282 Eversource Energy 97,124 1,969 Exelon Corp. 94,394 2,271 FirstEnergy Corp. 97,221 478 NextEra Energy, Inc. 97,923 1,017 Pinnacle West Capital Corp. 95,690 3,125 PPL Corp. 96,906 1,763 Southern (The) Co. 97,459 1,612 Xcel Energy, Inc. 95,898 -------------- 1,360,975 -------------- ELECTRICAL EQUIPMENT -- 0.8% 1,130 AMETEK, Inc. 102,649 1,192 Eaton Corp. PLC 99,270 1,511 Emerson Electric Co. 100,814 610 Rockwell Automation, Inc. 99,936 -------------- 402,669 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 1,038 Amphenol Corp., Class A 99,586 914 CDW Corp. 101,454 2,984 Corning, Inc. 99,158 1,148 Keysight Technologies, Inc. (a) 103,102 1,043 TE Connectivity Ltd. 99,898 2,286 Trimble, Inc. (a) 103,121 495 Zebra Technologies Corp., Class A (a) 103,698 -------------- 710,017 -------------- ENERGY EQUIPMENT & SERVICES -- 0.8% 3,942 Baker Hughes a GE Co. 97,091 4,344 Halliburton Co. 98,783 4,653 National Oilwell Varco, Inc. 103,436 2,552 Schlumberger Ltd. 101,417 -------------- 400,727 -------------- ENTERTAINMENT -- 1.6% 2,161 Activision Blizzard, Inc. 101,999 1,041 Electronic Arts, Inc. (a) 105,412 Page 30 See Notes to Financial Statements FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENTERTAINMENT (CONTINUED) 2,618 Liberty Media Corp.-Liberty Formula One, Class C (a) $ 97,939 1,487 Live Nation Entertainment, Inc. (a) 98,514 268 Netflix, Inc. (a) 98,442 881 Take-Two Interactive Software, Inc. (a) 100,020 3,222 Viacom, Inc., Class B 96,241 707 Walt Disney (The) Co. 98,725 -------------- 797,292 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.3% 683 Alexandria Real Estate Equities, Inc. 96,364 461 American Tower Corp. 94,251 478 AvalonBay Communities, Inc. 97,120 729 Boston Properties, Inc. 94,041 934 Camden Property Trust 97,500 731 Crown Castle International Corp. 95,286 805 Digital Realty Trust, Inc. 94,821 3,109 Duke Realty Corp. 98,275 195 Equinix, Inc. 98,337 812 Equity LifeStyle Properties, Inc. 98,528 1,272 Equity Residential 96,570 330 Essex Property Trust, Inc. 96,337 921 Extra Space Storage, Inc. 97,718 741 Federal Realty Investment Trust 95,411 3,034 HCP, Inc. 97,027 5,461 Host Hotels & Resorts, Inc. 99,499 3,654 Invitation Homes, Inc. 97,671 3,095 Iron Mountain, Inc. 96,874 833 Mid-America Apartment Communities, Inc. 98,094 1,220 Prologis, Inc. 97,722 413 Public Storage 98,364 1,373 Realty Income Corp. 94,696 1,428 Regency Centers Corp. 95,305 427 SBA Communications Corp. (a) 96,007 605 Simon Property Group, Inc. 96,655 764 Sun Communities, Inc. 97,937 2,172 UDR, Inc. 97,501 1,411 Ventas, Inc. 96,442 1,485 Vornado Realty Trust 95,189 1,186 Welltower, Inc. 96,695 3,794 Weyerhaeuser Co. 99,934 1,159 WP Carey, Inc. 94,088 -------------- 3,096,259 -------------- FOOD & STAPLES RETAILING -- 1.0% 373 Costco Wholesale Corp. 98,569 4,461 Kroger (The) Co. 96,848 1,404 Sysco Corp. 99,291 1,891 Walgreens Boots Alliance, Inc. 103,381 893 Walmart, Inc. 98,668 -------------- 496,757 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS -- 2.6% 2,415 Archer-Daniels-Midland Co. $ 98,532 2,438 Campbell Soup Co. 97,691 3,455 Conagra Brands, Inc. 91,627 1,845 General Mills, Inc. 96,899 724 Hershey (The) Co. 97,038 2,396 Hormel Foods Corp. 97,134 817 J.M. Smucker (The) Co. 94,110 1,785 Kellogg Co. 95,623 3,151 Kraft Heinz (The) Co. 97,807 1,631 Lamb Weston Holdings, Inc. 103,340 642 McCormick & Co., Inc. 99,516 1,796 Mondelez International, Inc., Class A 96,804 1,251 Tyson Foods, Inc., Class A 101,006 -------------- 1,267,127 -------------- GAS UTILITIES -- 0.4% 923 Atmos Energy Corp. 97,432 1,843 UGI Corp. 98,435 -------------- 195,867 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.0% 1,167 Abbott Laboratories 98,145 387 ABIOMED, Inc. (a) 100,810 350 Align Technology, Inc. (a) 95,795 1,204 Baxter International, Inc. 98,607 402 Becton, Dickinson and Co. 101,308 2,379 Boston Scientific Corp. (a) 102,249 301 Cooper (The) Cos., Inc. 101,404 691 Danaher Corp. 98,758 1,685 DENTSPLY SIRONA, Inc. 98,337 658 DexCom, Inc. (a) 98,595 513 Edwards Lifesciences Corp. (a) 94,772 2,022 Hologic, Inc. (a) 97,096 362 IDEXX Laboratories, Inc. (a) 99,669 188 Intuitive Surgical, Inc. (a) 98,615 998 Medtronic PLC 97,195 826 ResMed, Inc. 100,797 489 Stryker Corp. 100,529 296 Teleflex, Inc. 98,020 723 Varian Medical Systems, Inc. (a) 98,422 839 Zimmer Biomet Holdings, Inc. 98,784 -------------- 1,977,907 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 1,175 AmerisourceBergen Corp. 100,180 338 Anthem, Inc. 95,387 2,219 Cardinal Health, Inc. 104,515 1,760 Centene Corp. (a) 92,294 615 Cigna Corp. 96,893 1,849 CVS Health Corp. 100,752 1,868 DaVita, Inc. (a) 105,094 774 HCA Healthcare, Inc. 104,622 1,419 Henry Schein, Inc. (a) 99,188 367 Humana, Inc. 97,365 See Notes to Financial Statements Page 31 FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 581 Laboratory Corp. of America Holdings (a) $ 100,455 745 McKesson Corp. 100,121 980 Quest Diagnostics, Inc. 99,774 393 UnitedHealth Group, Inc. 95,896 792 Universal Health Services, Inc., Class B 103,269 -------------- 1,495,805 -------------- HEALTH CARE TECHNOLOGY -- 0.4% 1,376 Cerner Corp. 100,861 587 Veeva Systems, Inc., Class A (a) 95,158 -------------- 196,019 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.1% 2,127 Carnival Corp. 99,012 136 Chipotle Mexican Grill, Inc. (a) 99,671 819 Darden Restaurants, Inc. 99,697 354 Domino's Pizza, Inc. 98,511 1,032 Hilton Worldwide Holdings, Inc. 100,868 1,675 Las Vegas Sands Corp. 98,976 724 Marriott International, Inc., Class A 101,570 486 McDonald's Corp. 100,923 3,582 MGM Resorts International 102,338 1,941 Norwegian Cruise Line Holdings Ltd. (a) 104,096 864 Royal Caribbean Cruises Ltd. 104,725 1,184 Starbucks Corp. 99,255 817 Wynn Resorts Ltd. 101,300 2,153 Yum China Holdings, Inc. 99,468 900 Yum! Brands, Inc. 99,603 -------------- 1,510,013 -------------- HOUSEHOLD DURABLES -- 1.2% 2,221 D.R. Horton, Inc. 95,792 1,221 Garmin Ltd. 97,436 1,932 Lennar Corp., Class A 93,625 679 Mohawk Industries, Inc. (a) 100,132 6,459 Newell Brands, Inc. 99,598 30 NVR, Inc. (a) 101,107 -------------- 587,690 -------------- HOUSEHOLD PRODUCTS -- 1.0% 1,307 Church & Dwight Co., Inc. 95,489 640 Clorox (The) Co. 97,990 1,361 Colgate-Palmolive Co. 97,543 732 Kimberly-Clark Corp. 97,561 892 Procter & Gamble (The) Co. 97,808 -------------- 486,391 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.6% 5,920 AES Corp. 99,219 2,821 NRG Energy, Inc. 99,074 4,117 Vistra Energy Corp. 93,209 -------------- 291,502 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 0.8% 572 3M Co. $ 99,150 9,467 General Electric Co. 99,404 569 Honeywell International, Inc. 99,342 271 Roper Technologies, Inc. 99,256 -------------- 397,152 -------------- INSURANCE -- 4.4% 1,805 Aflac, Inc. 98,932 145 Alleghany Corp. (a) 98,761 981 Allstate (The) Corp. 99,758 1,849 American International Group, Inc. 98,515 2,723 Arch Capital Group Ltd. (a) 100,969 1,147 Arthur J. Gallagher & Co. 100,466 663 Chubb Ltd. 97,653 949 Cincinnati Financial Corp. 98,383 2,434 Fidelity National Financial, Inc. 98,090 1,781 Hartford Financial Services Group (The), Inc. 99,237 1,576 Lincoln National Corp. 101,573 1,835 Loews Corp. 100,320 92 Markel Corp. (a) 100,243 1,023 Marsh & McLennan Cos., Inc. 102,044 2,028 MetLife, Inc. 100,731 1,722 Principal Financial Group, Inc. 99,738 1,239 Progressive (The) Corp. 99,033 996 Prudential Financial, Inc. 100,596 651 Reinsurance Group of America, Inc. 101,576 1,126 Torchmark Corp. 100,732 654 Travelers (The) Cos., Inc. 97,786 1,483 W.R. Berkley Corp. 97,774 -------------- 2,192,910 -------------- INTERACTIVE MEDIA & SERVICES -- 0.8% 88 Alphabet, Inc., Class A (a) 95,286 519 Facebook, Inc., Class A (a) 100,167 452 IAC/InterActiveCorp (a) 98,324 2,833 Twitter, Inc. (a) 98,872 -------------- 392,649 -------------- INTERNET & DIRECT MARKETING RETAIL -- 1.0% 52 Amazon.com, Inc. (a) 98,469 53 Booking Holdings, Inc. (a) 99,360 2,477 eBay, Inc. 97,841 761 Expedia Group, Inc. 101,236 8,001 Qurate Retail, Inc. (a) 99,132 -------------- 496,038 -------------- IT SERVICES -- 4.8% 535 Accenture PLC, Class A 98,852 1,263 Akamai Technologies, Inc. (a) 101,217 724 Alliance Data Systems Corp. 101,454 590 Automatic Data Processing, Inc. 97,545 771 Broadridge Financial Solutions, Inc. 98,441 1,539 Cognizant Technology Solutions Corp., Class A 97,557 1,822 DXC Technology Co. 100,483 Page 32 See Notes to Financial Statements FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 808 Fidelity National Information Services, Inc. $ 99,125 1,085 Fiserv, Inc. (a) 98,908 355 FleetCor Technologies, Inc. (a) 99,702 614 Gartner, Inc. (a) 98,817 616 Global Payments, Inc. 98,640 1,375 GoDaddy, Inc., Class A (a) 96,456 712 International Business Machines Corp. 98,185 723 Jack Henry & Associates, Inc. 96,824 375 Mastercard, Inc., Class A 99,199 1,147 Paychex, Inc. 94,387 854 PayPal Holdings, Inc. (a) 97,749 1,362 Square, Inc., Class A (a) 98,786 769 Total System Services, Inc. 98,640 689 Twilio, Inc., Class A (a) 93,945 471 VeriSign, Inc. (a) 98,514 572 Visa, Inc., Class A 99,271 818 Worldpay, Inc., Class A (a) 100,246 -------------- 2,362,943 -------------- LEISURE PRODUCTS -- 0.2% 925 Hasbro, Inc. 97,754 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.4% 1,352 Agilent Technologies, Inc. 100,954 275 Illumina, Inc. (a) 101,241 626 IQVIA Holdings, Inc. (a) 100,724 120 Mettler-Toledo International, Inc. (a) 100,800 1,041 PerkinElmer, Inc. 100,290 337 Thermo Fisher Scientific, Inc. 98,970 467 Waters Corp. (a) 100,517 -------------- 703,496 -------------- MACHINERY -- 2.6% 741 Caterpillar, Inc. 100,991 583 Cummins, Inc. 99,891 604 Deere & Co. 100,089 1,021 Dover Corp. 102,304 1,234 Fortive Corp. 100,596 593 IDEX Corp. 102,079 653 Illinois Tool Works, Inc. 98,479 793 Ingersoll-Rand PLC 100,449 1,390 PACCAR, Inc. 99,608 580 Parker-Hannifin Corp. 98,606 613 Snap-on, Inc. 101,537 692 Stanley Black & Decker, Inc. 100,070 1,214 Xylem, Inc. 101,539 -------------- 1,306,238 -------------- MEDIA -- 1.6% 4,249 Altice USA, Inc., Class A (a) 103,463 1,965 CBS Corp., Class B 98,053 252 Charter Communications, Inc., Class A (a) 99,585 2,277 Comcast Corp., Class A 96,272 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MEDIA (CONTINUED) 3,233 Discovery, Inc., Class A (a) $ 99,253 954 Liberty Broadband Corp., Class C (a) 99,426 1,219 Omnicom Group, Inc. 99,897 17,717 Sirius XM Holdings, Inc. 98,861 -------------- 794,810 -------------- METALS & MINING -- 0.6% 8,748 Freeport-McMoRan, Inc. 101,564 2,647 Newmont Goldcorp Corp. 101,830 1,839 Nucor Corp. 101,329 -------------- 304,723 -------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.4% 5,898 AGNC Investment Corp. 99,204 10,843 Annaly Capital Management, Inc. 98,997 -------------- 198,201 -------------- MULTILINE RETAIL -- 0.8% 715 Dollar General Corp. 96,639 885 Dollar Tree, Inc. (a) 95,040 2,088 Kohl's Corp. 99,284 1,132 Target Corp. 98,043 -------------- 389,006 -------------- MULTI-UTILITIES -- 2.0% 1,281 Ameren Corp. 96,216 3,316 CenterPoint Energy, Inc. 94,937 1,677 CMS Energy Corp. 97,115 1,112 Consolidated Edison, Inc. 97,500 1,267 Dominion Energy, Inc. 97,964 757 DTE Energy Co. 96,805 3,380 NiSource, Inc. 97,344 1,625 Public Service Enterprise Group, Inc. 95,583 703 Sempra Energy 96,620 1,161 WEC Energy Group, Inc. 96,793 -------------- 966,877 -------------- OIL, GAS & CONSUMABLE FUELS -- 5.1% 1,411 Anadarko Petroleum Corp. 99,560 3,348 Apache Corp. 96,992 4,234 Cabot Oil & Gas Corp. 97,213 1,440 Cheniere Energy, Inc. (a) 98,568 794 Chevron Corp. 98,805 928 Concho Resources, Inc. 95,751 1,644 ConocoPhillips 100,284 2,427 Continental Resources, Inc. (a) 102,152 3,513 Devon Energy Corp. 100,191 903 Diamondback Energy, Inc. 98,400 1,075 EOG Resources, Inc. 100,147 1,277 Exxon Mobil Corp. 97,856 1,621 Hess Corp. 103,047 2,248 HollyFrontier Corp. 104,037 4,640 Kinder Morgan, Inc. 96,883 7,062 Marathon Oil Corp. 100,351 1,884 Marathon Petroleum Corp. 105,278 4,602 Noble Energy, Inc. 103,085 See Notes to Financial Statements Page 33 FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 1,960 Occidental Petroleum Corp. $ 98,549 1,439 ONEOK, Inc. 99,018 1,095 Phillips 66 102,426 639 Pioneer Natural Resources Co. 98,317 2,562 Targa Resources Corp. 100,584 1,211 Valero Energy Corp. 103,674 3,582 Williams (The) Cos., Inc. 100,439 -------------- 2,501,607 -------------- PERSONAL PRODUCTS -- 0.4% 547 Estee Lauder (The) Cos., Inc., Class A 100,161 2,275 Herbalife Nutrition Ltd. (a) 97,279 -------------- 197,440 -------------- PHARMACEUTICALS -- 1.8% 759 Allergan PLC 127,079 2,011 Bristol-Myers Squibb Co. 91,199 2,941 Elanco Animal Health, Inc. (a) 99,406 859 Eli Lilly & Co. 95,169 698 Johnson & Johnson 97,217 1,173 Merck & Co., Inc. 98,356 5,415 Mylan N.V. (a) 103,102 2,272 Pfizer, Inc. 98,423 878 Zoetis, Inc. 99,644 -------------- 909,595 -------------- PROFESSIONAL SERVICES -- 0.8% 177 CoStar Group, Inc. (a) 98,069 740 Equifax, Inc. 100,077 1,387 TransUnion 101,958 684 Verisk Analytics, Inc. 100,179 -------------- 400,283 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 1,932 CBRE Group, Inc., Class A (a) 99,112 -------------- ROAD & RAIL -- 1.2% 1,261 CSX Corp. 97,564 1,116 J.B. Hunt Transport Services, Inc. 102,013 830 Kansas City Southern 101,111 503 Norfolk Southern Corp. 100,263 679 Old Dominion Freight Line, Inc. 101,347 587 Union Pacific Corp. 99,268 -------------- 601,566 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 3,410 Advanced Micro Devices, Inc. (a) 103,562 873 Analog Devices, Inc. 98,536 2,309 Applied Materials, Inc. 103,697 362 Broadcom, Inc. 104,205 2,090 Intel Corp. 100,048 871 KLA-Tencor Corp. 102,952 542 Lam Research Corp. 101,809 4,139 Marvell Technology Group Ltd. 98,798 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 1,698 Maxim Integrated Products, Inc. $ 101,574 1,165 Microchip Technology, Inc. 101,006 2,984 Micron Technology, Inc. (a) 115,153 653 NVIDIA Corp. 107,242 1,365 QUALCOMM, Inc. 103,836 1,319 Skyworks Solutions, Inc. 101,919 884 Texas Instruments, Inc. 101,448 885 Xilinx, Inc. 104,359 -------------- 1,650,144 -------------- SOFTWARE -- 4.0% 331 Adobe, Inc. (a) 97,529 493 ANSYS, Inc. (a) 100,976 580 Autodesk, Inc. (a) 94,482 1,390 Cadence Design Systems, Inc. (a) 98,426 994 Citrix Systems, Inc. 97,551 1,303 Fortinet, Inc. (a) 100,110 380 Intuit, Inc. 99,305 725 Microsoft Corp. 97,121 1,768 Oracle Corp. 100,723 485 Palo Alto Networks, Inc. (a) 98,824 1,117 PTC, Inc. (a) 100,262 633 salesforce.com, Inc. (a) 96,045 347 ServiceNow, Inc. (a) 95,276 798 Splunk, Inc. (a) 100,349 1,686 SS&C Technologies Holdings, Inc. 97,130 4,761 Symantec Corp. 103,599 770 Synopsys, Inc. (a) 99,091 581 Tableau Software, Inc., Class A (a) 96,458 572 VMware, Inc., Class A 95,644 458 Workday, Inc., Class A (a) 94,156 -------------- 1,963,057 -------------- SPECIALTY RETAIL -- 2.8% 647 Advance Auto Parts, Inc. 99,729 89 AutoZone, Inc. (a) 97,853 1,469 Best Buy Co., Inc. 102,433 568 Burlington Stores, Inc. (a) 96,645 1,158 CarMax, Inc. (a) 100,549 5,445 Gap (The), Inc. 97,847 474 Home Depot (The), Inc. 98,578 984 Lowe's Cos., Inc. 99,296 263 O'Reilly Automotive, Inc. (a) 97,131 955 Ross Stores, Inc. 94,660 1,060 Tiffany & Co. 99,258 1,875 TJX (The) Cos., Inc. 99,150 929 Tractor Supply Co. 101,075 279 Ulta Beauty, Inc. (a) 96,782 -------------- 1,380,986 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.2% 500 Apple, Inc. 98,960 6,641 Hewlett Packard Enterprise Co. 99,283 4,793 HP, Inc. 99,647 1,614 NetApp, Inc. 99,584 2,136 Seagate Technology PLC 100,648 Page 34 See Notes to Financial Statements FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 2,477 Western Digital Corp. $ 117,781 -------------- 615,903 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 1,157 NIKE, Inc., Class B 97,130 3,167 Tapestry, Inc. 100,489 1,123 VF Corp. 98,094 -------------- 295,713 -------------- TOBACCO -- 0.4% 2,067 Altria Group, Inc. 97,872 1,252 Philip Morris International, Inc. 98,320 -------------- 196,192 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 3,043 Fastenal Co. 99,172 764 United Rentals, Inc. (a) 101,329 362 W.W. Grainger, Inc. 97,099 -------------- 297,600 -------------- WATER UTILITIES -- 0.2% 840 American Water Works Co., Inc. 97,440 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 1,311 T-Mobile US, Inc. (a) 97,198 -------------- TOTAL INVESTMENTS -- 99.9% 49,502,534 (Cost $44,740,441) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 58,837 -------------- NET ASSETS -- 100.0% $ 49,561,371 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,211,853 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,449,760. The net unrealized appreciation was $4,762,093. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 49,502,534 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 6.8% 5,408 Boeing (The) Co. $ 1,968,566 14,984 United Technologies Corp. 1,950,917 -------------- 3,919,483 -------------- BANKS -- 3.3% 17,096 JPMorgan Chase & Co. 1,911,333 -------------- BEVERAGES -- 3.2% 36,587 Coca-Cola (The) Co. 1,863,010 -------------- CAPITAL MARKETS -- 3.5% 9,794 Goldman Sachs Group (The), Inc. 2,003,852 -------------- CHEMICALS -- 3.2% 36,703 Dow, Inc. 1,809,825 -------------- COMMUNICATIONS EQUIPMENT -- 3.3% 34,291 Cisco Systems, Inc. 1,876,746 -------------- CONSUMER FINANCE -- 3.3% 15,387 American Express Co. 1,899,371 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.2% 32,212 Verizon Communications, Inc. 1,840,272 -------------- ENTERTAINMENT -- 3.2% 13,254 Walt Disney (The) Co. 1,850,789 -------------- FOOD & STAPLES RETAILING -- 6.7% 35,712 Walgreens Boots Alliance, Inc. 1,952,375 17,212 Walmart, Inc. 1,901,754 -------------- 3,854,129 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 7,652 UnitedHealth Group, Inc. 1,867,164 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 9,146 McDonald's Corp. 1,899,258 -------------- HOUSEHOLD PRODUCTS -- 3.2% 16,882 Procter & Gamble (The) Co. 1,851,111 -------------- INDUSTRIAL CONGLOMERATES -- 3.4% 11,264 3M Co. 1,952,502 -------------- INSURANCE -- 3.3% 12,506 Travelers (The) Cos., Inc. 1,869,897 -------------- IT SERVICES -- 6.7% 13,892 International Business Machines Corp. 1,915,707 11,064 Visa, Inc., Class A 1,920,157 -------------- 3,835,864 -------------- MACHINERY -- 3.5% 14,756 Caterpillar, Inc. 2,011,095 -------------- OIL, GAS & CONSUMABLE FUELS -- 6.7% 15,541 Chevron Corp. 1,933,922 25,250 Exxon Mobil Corp. 1,934,908 -------------- 3,868,830 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- PHARMACEUTICALS -- 9.9% 13,401 Johnson & Johnson $ 1,866,492 22,680 Merck & Co., Inc. 1,901,718 43,904 Pfizer, Inc. 1,901,921 -------------- 5,670,131 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.4% 40,645 Intel Corp. 1,945,676 -------------- SOFTWARE -- 3.3% 14,175 Microsoft Corp. 1,898,883 -------------- SPECIALTY RETAIL -- 3.3% 9,123 Home Depot (The), Inc. 1,897,310 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.4% 9,740 Apple, Inc. 1,927,741 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.3% 22,500 NIKE, Inc., Class B 1,888,875 -------------- TOTAL INVESTMENTS -- 99.7% 57,213,147 (Cost $55,943,061) (a) NET OTHER ASSETS AND LIABILITIES -- 0.3% 145,286 -------------- NET ASSETS -- 100.0% $ 57,358,433 ============== (a) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,516,337 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $246,251. The net unrealized appreciation was $1,270,086. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 57,213,147 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.7% 1,605 HEICO Corp. $ 214,765 376 Lockheed Martin Corp. 136,691 2,457 Raytheon Co. 427,223 1,025 TransDigm Group, Inc. (a) 495,895 -------------- 1,274,574 -------------- BANKS -- 1.7% 1,537 Comerica, Inc. 111,648 2,586 JPMorgan Chase & Co. 289,115 1,678 M&T Bank Corp. 285,377 2,291 U.S. Bancorp 120,048 -------------- 806,188 -------------- BEVERAGES -- 1.7% 5,845 PepsiCo, Inc. 766,455 -------------- BIOTECHNOLOGY -- 3.3% 2,119 AbbVie, Inc. 154,094 2,075 BioMarin Pharmaceutical, Inc. (a) 177,724 2,961 Exact Sciences Corp. (a) 349,516 2,968 Sarepta Therapeutics, Inc. (a) 450,987 3,185 Seattle Genetics, Inc. (a) 220,434 1,042 Vertex Pharmaceuticals, Inc. (a) 191,082 -------------- 1,543,837 -------------- BUILDING PRODUCTS -- 0.4% 731 Lennox International, Inc. 201,025 -------------- CAPITAL MARKETS -- 4.0% 2,388 Moody's Corp. 466,400 4,255 MSCI, Inc. 1,016,051 2,014 Northern Trust Corp. 181,260 835 S&P Global, Inc. 190,205 -------------- 1,853,916 -------------- CHEMICALS -- 1.9% 1,286 Air Products and Chemicals, Inc. 291,112 1,127 Celanese Corp. 121,490 2,431 Ecolab, Inc. 479,977 -------------- 892,579 -------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 4,098 Republic Services, Inc. 355,051 6,535 Rollins, Inc. 234,410 2,757 Waste Management, Inc. 318,075 -------------- 907,536 -------------- COMMUNICATIONS EQUIPMENT -- 0.4% 638 Arista Networks, Inc. (a) 165,638 -------------- CONSUMER FINANCE -- 1.3% 2,357 American Express Co. 290,948 3,225 Capital One Financial Corp. 292,637 -------------- 583,585 -------------- CONTAINERS & PACKAGING -- 0.9% 5,862 Ball Corp. 410,281 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DISTRIBUTORS -- 0.6% 2,506 Genuine Parts Co. $ 259,572 -------------- ELECTRIC UTILITIES -- 5.1% 5,523 Alliant Energy Corp. 271,069 3,283 American Electric Power Co., Inc. 288,937 3,320 Duke Energy Corp. 292,957 5,809 Exelon Corp. 278,483 2,125 NextEra Energy, Inc. 435,327 7,636 PPL Corp. 236,792 5,124 Southern (The) Co. 283,255 4,785 Xcel Energy, Inc. 284,660 -------------- 2,371,480 -------------- ELECTRICAL EQUIPMENT -- 0.5% 1,392 AMETEK, Inc. 126,449 651 Rockwell Automation, Inc. 106,654 -------------- 233,103 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.1% 5,398 Amphenol Corp., Class A 517,884 -------------- ENTERTAINMENT -- 1.0% 3,964 Live Nation Entertainment, Inc. (a) 262,615 551 Netflix, Inc. (a) 202,393 -------------- 465,008 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 12.3% 3,796 American Tower Corp. 776,092 1,384 AvalonBay Communities, Inc. 281,201 2,545 Camden Property Trust 265,673 3,331 Crown Castle International Corp. 434,196 3,410 Equity LifeStyle Properties, Inc. 413,769 3,439 Equity Residential 261,089 885 Essex Property Trust, Inc. 258,358 2,724 Extra Space Storage, Inc. 289,016 3,170 Federal Realty Investment Trust 408,169 2,323 Mid-America Apartment Communities, Inc. 273,557 1,309 Public Storage 311,765 3,862 SBA Communications Corp. (a) 868,332 1,154 Simon Property Group, Inc. 184,363 9,516 UDR, Inc. 427,173 3,653 WP Carey, Inc. 296,551 -------------- 5,749,304 -------------- FOOD & STAPLES RETAILING -- 2.0% 548 Costco Wholesale Corp. 144,815 7,597 Sysco Corp. 537,260 2,429 Walmart, Inc. 268,380 -------------- 950,455 -------------- FOOD PRODUCTS -- 2.7% 4,558 Hershey (The) Co. 610,909 2,617 Hormel Foods Corp. 106,093 1,812 McCormick & Co., Inc. 280,878 5,176 Mondelez International, Inc., Class A 278,986 -------------- 1,276,866 -------------- See Notes to Financial Statements Page 37 FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES -- 0.7% 2,536 Atmos Energy Corp. $ 267,700 1,425 UGI Corp. 76,109 -------------- 343,809 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.6% 798 ABIOMED, Inc. (a) 207,871 676 Align Technology, Inc. (a) 185,021 2,297 Boston Scientific Corp. (a) 98,725 481 Cooper (The) Cos., Inc. 162,044 1,673 Danaher Corp. 239,105 1,737 DexCom, Inc. (a) 260,272 2,077 Edwards Lifesciences Corp. (a) 383,705 896 IDEXX Laboratories, Inc. (a) 246,696 381 Intuitive Surgical, Inc. (a) 199,854 1,105 ResMed, Inc. 134,843 2,275 Stryker Corp. 467,695 -------------- 2,585,831 -------------- HEALTH CARE PROVIDERS & SERVICES -- 0.6% 1,044 UnitedHealth Group, Inc. 254,746 -------------- HEALTH CARE TECHNOLOGY -- 2.0% 5,828 Veeva Systems, Inc., Class A (a) 944,777 -------------- HOTELS, RESTAURANTS & LEISURE -- 1.7% 974 Domino's Pizza, Inc. 271,045 2,413 McDonald's Corp. 501,083 -------------- 772,128 -------------- HOUSEHOLD PRODUCTS -- 0.9% 2,253 Church & Dwight Co., Inc. 164,604 3,729 Colgate-Palmolive Co. 267,258 -------------- 431,862 -------------- INDUSTRIAL CONGLOMERATES -- 1.1% 541 3M Co. 93,777 1,587 Honeywell International, Inc. 277,074 435 Roper Technologies, Inc. 159,323 -------------- 530,174 -------------- INSURANCE -- 4.0% 5,330 Aflac, Inc. 292,137 2,531 Allstate (The) Corp. 257,377 7,409 Arch Capital Group Ltd. (a) 274,726 1,820 Chubb Ltd. 268,068 2,590 Marsh & McLennan Cos., Inc. 258,353 1,519 Progressive (The) Corp. 121,414 1,820 Travelers (The) Cos., Inc. 272,126 1,730 W.R. Berkley Corp. 114,059 -------------- 1,858,260 -------------- INTERNET & DIRECT MARKETING RETAIL -- 1.0% 257 Booking Holdings, Inc. (a) 481,800 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES -- 10.2% 1,561 Accenture PLC, Class A $ 288,426 1,678 Automatic Data Processing, Inc. 277,424 1,560 Cognizant Technology Solutions Corp., Class A 98,888 1,294 Fiserv, Inc. (a) 117,961 553 Gartner, Inc. (a) 89,000 3,541 Mastercard, Inc., Class A 936,701 8,750 Paychex, Inc. 720,038 4,733 Square, Inc., Class A (a) 343,284 7,405 Twilio, Inc., Class A (a) 1,009,672 5,068 Visa, Inc., Class A 879,551 -------------- 4,760,945 -------------- LIFE SCIENCES TOOLS & SERVICES -- 2.2% 683 Illumina, Inc. (a) 251,447 598 Mettler-Toledo International, Inc. (a) 502,320 1,313 Waters Corp. (a) 282,610 -------------- 1,036,377 -------------- MACHINERY -- 0.8% 746 IDEX Corp. 128,416 781 Illinois Tool Works, Inc. 117,783 1,434 Xylem, Inc. 119,940 -------------- 366,139 -------------- MEDIA -- 0.7% 447 Charter Communications, Inc., Class A (a) 176,645 30,510 Sirius XM Holdings, Inc. 170,246 -------------- 346,891 -------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.8% 22,694 AGNC Investment Corp. 381,713 -------------- MULTI-UTILITIES -- 3.3% 7,247 CMS Energy Corp. 419,674 2,951 Consolidated Edison, Inc. 258,744 2,280 DTE Energy Co. 291,566 4,466 Public Service Enterprise Group, Inc. 262,690 2,046 Sempra Energy 281,202 -------------- 1,513,876 -------------- OIL, GAS & CONSUMABLE FUELS -- 0.6% 3,896 Cheniere Energy, Inc. (a) 266,681 -------------- PERSONAL PRODUCTS -- 0.5% 1,337 Estee Lauder (The) Cos., Inc., Class A 244,818 -------------- PHARMACEUTICALS -- 2.2% 2,296 Bristol-Myers Squibb Co. 104,123 2,570 Johnson & Johnson 357,950 3,015 Merck & Co., Inc. 252,808 2,907 Zoetis, Inc. 329,915 -------------- 1,044,796 -------------- Page 38 See Notes to Financial Statements FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 1.5% 377 CoStar Group, Inc. (a) $ 208,881 3,185 Verisk Analytics, Inc. 466,475 -------------- 675,356 -------------- ROAD & RAIL -- 0.2% 525 Union Pacific Corp. 88,783 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.0% 948 Broadcom, Inc. 272,891 917 KLA-Tencor Corp. 108,390 871 Xilinx, Inc. 102,708 -------------- 483,989 -------------- SOFTWARE -- 9.6% 1,071 Adobe, Inc. (a) 315,570 1,456 ANSYS, Inc. (a) 298,218 1,671 Autodesk, Inc. (a) 272,206 6,268 Cadence Design Systems, Inc. (a) 443,837 3,347 Intuit, Inc. 874,671 2,205 Microsoft Corp. 295,382 772 Palo Alto Networks, Inc. (a) 157,303 1,882 PTC, Inc. (a) 168,928 1,105 salesforce.com, Inc. (a) 167,662 2,166 ServiceNow, Inc. (a) 594,719 1,708 Splunk, Inc. (a) 214,781 2,676 SS&C Technologies Holdings, Inc. 154,164 1,491 Tableau Software, Inc., Class A (a) 247,536 1,298 Workday, Inc., Class A (a) 266,843 -------------- 4,471,820 -------------- SPECIALTY RETAIL -- 2.2% 297 AutoZone, Inc. (a) 326,543 1,367 Home Depot (The), Inc. 284,295 572 O'Reilly Automotive, Inc. (a) 211,251 1,235 Ross Stores, Inc. 122,413 1,858 TJX (The) Cos., Inc. 98,251 -------------- 1,042,753 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 3,586 Fastenal Co. 116,868 -------------- WATER UTILITIES -- 0.6% 2,447 American Water Works Co., Inc. 283,852 -------------- TOTAL COMMON STOCKS -- 99.9% 46,558,330 (Cost $42,951,997) -------------- MONEY MARKET FUNDS -- 0.0% 23,511 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.19% (b) 23,511 (Cost $23,511) -------------- DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 99.9% $ 46,581,841 (Cost $42,975,508) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 33,695 -------------- NET ASSETS -- 100.0% $ 46,615,536 ============== (a) Non-income producing security. (b) Rate shown reflects yield as of June 30, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,879,414 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $273,081. The net unrealized appreciation was $3,606,333. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2019 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* $ 46,558,330 $ -- $ -- Money Market Funds 23,511 -- -- ------------------------------------------------------- Total Investments $ 46,581,841 $ -- $ -- ======================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 39 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S. ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION ETF ETF PORTFOLIO ETF ETF (TUSA) (DWPP) (EDOW) (FCTR) ---------------- ---------------- ---------------- ---------------- ASSETS: Investments, at value............................. $ 17,189,279 $ 49,502,534 $ 57,213,147 $ 46,581,841 Cash.............................................. -- 24,177 127,018 -- Receivables: Dividends................................... 20,090 58,000 28,045 57,037 Investment securities sold.................. 6,316 -- -- -- From investment advisor..................... 3,657 -- -- -- Securities lending income................... 102 -- -- -- Capital shares sold......................... -- -- 3,661,176 -- Prepaid expenses.................................. 3,831 -- -- -- -------------- -------------- -------------- -------------- Total Assets................................ 17,223,275 49,584,711 61,029,386 46,638,878 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Collateral for securities on loan........... 80,494 -- -- -- Audit and tax fees.......................... 14,292 -- -- -- Shareholder reporting fees.................. 7,308 -- -- -- Licensing fees.............................. 622 -- -- -- Investment securities purchased............. -- -- 3,652,149 -- Investment advisory fees.................... -- 23,340 18,804 23,342 Other liabilities................................. 97,567 -- -- -- -------------- -------------- -------------- -------------- Total Liabilities........................... 200,283 23,340 3,670,953 23,342 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 17,022,992 $ 49,561,371 $ 57,358,433 $ 46,615,536 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital................................... $ 16,989,533 $ 45,959,741 $ 55,809,878 $ 44,450,776 Par value......................................... 5,000 16,000 23,500 21,500 Accumulated distributable earnings (loss)......... 28,459 3,585,630 1,525,055 2,143,260 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 17,022,992 $ 49,561,371 $ 57,358,433 $ 46,615,536 ============== ============== ============== ============== NET ASSET VALUE, per share........................ $ 34.05 $ 30.98 $ 24.41 $ 21.68 ============== ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 500,002 1,600,002 2,350,002 2,150,002 ============== ============== ============== ============== Investments, at cost.............................. $ 16,042,263 $ 44,740,441 $ 55,943,061 $ 42,975,508 ============== ============== ============== ============== Securities on loan, at value...................... $ 78,745 $ -- $ -- $ -- ============== ============== ============== ==============
Page 40 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S. ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION ETF ETF PORTFOLIO ETF ETF (TUSA) (DWPP) (EDOW) (FCTR) ---------------- ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends......................................... $ 155,835 $ 425,461 $ 216,318 $ 348,649 Securities lending income (net of fees)........... 868 -- -- -- Foreign withholding tax........................... (20) -- -- -- -------------- -------------- -------------- -------------- Total investment income..................... 156,683 425,461 216,318 348,649 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fees.......................... 40,768 128,952 (a) 48,596 (a) 120,142 (a) Custodian fees.................................... 38,031 -- -- -- Audit and tax fees................................ 11,368 -- -- -- Listing fees...................................... 8,667 -- -- -- Accounting and administration fees................ 7,850 -- -- -- Shareholder reporting fees........................ 7,647 -- -- -- Licensing fees.................................... 4,943 -- -- -- Trustees' fees and expenses....................... 3,555 -- -- -- Legal fees........................................ 428 -- -- -- Transfer agent fees............................... 408 -- -- -- Registration and filing fees...................... 49 -- -- -- Excise tax........................................ -- -- 232 -- Other expenses.................................... (512) -- -- -- -------------- -------------- -------------- -------------- Total expenses.............................. 123,202 128,952 48,828 120,142 Less fees waived and expenses reimbursed by the investment advisor................... (66,126) -- -- -- -------------- -------------- -------------- -------------- Net expenses................................ 57,076 128,952 48,828 120,142 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)...................... 99,607 296,509 167,490 228,507 -------------- -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................. (325,253) (511,832) (108,367) (1,664,566) In-kind redemptions......................... -- 515,911 460,355 1,976,507 -------------- -------------- -------------- -------------- Net realized gain (loss).......................... (325,253) 4,079 351,988 311,941 Net change in unrealized appreciation (depreciation) on investments.................. 2,686,474 7,087,703 2,729,382 6,562,551 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS).................................... 2,361,221 7,091,782 3,081,370 6,874,492 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $ 2,460,828 $ 7,388,291 $ 3,248,860 $ 7,102,999 ============== ============== ============== ==============
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). See Notes to Financial Statements Page 41 FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST TOTAL US MARKET DORSEY WRIGHT ALPHADEX(R) PEOPLE'S ETF PORTFOLIO ETF (TUSA) (DWPP) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2019 Year Ended 6/30/2019 Year Ended (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................ $ 99,607 $ 159,894 $ 296,509 $ 405,034 Net realized gain (loss).................................... (325,253) 1,721,216 4,079 779,150 Net change in unrealized appreciation (depreciation)........ 2,686,474 (3,291,223) 7,087,703 (4,614,714) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 2,460,828 (1,410,113) 7,388,291 (3,430,530) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (78,650) (155,286) (223,575) (417,641) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 1,489,524 8,707,553 8,900,156 14,676,039 Cost of shares redeemed..................................... -- (8,774,262) (1,545,350) (5,857,923) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ 1,489,524 (66,709) 7,354,806 8,818,116 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... 3,871,702 (1,632,108) 14,519,522 4,969,945 NET ASSETS: Beginning of period......................................... 13,151,290 14,783,398 35,041,849 30,071,904 -------------- -------------- -------------- -------------- End of period............................................... $ 17,022,992 $ 13,151,290 $ 49,561,371 $ 35,041,849 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 450,002 450,002 1,350,002 1,050,002 Shares sold................................................. 50,000 250,000 300,000 500,000 Shares redeemed............................................. -- (250,000) (50,000) (200,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 500,002 450,002 1,600,002 1,350,002 ============== ============== ============== ==============
Page 42 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST DOW 30 LUNT U.S. EQUAL WEIGHT FACTOR ROTATION ETF ETF (EDOW) (FCTR) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2019 Year Ended 6/30/2019 Period Ended (Unaudited) 12/31/2018 (Unaudited) 12/31/2018 (a) -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................ $ 167,490 $ 246,112 $ 228,507 $ 184,637 Net realized gain (loss).................................... 351,988 (941,113) 311,941 (746,942) Net change in unrealized appreciation (depreciation)........ 2,729,382 (1,522,609) 6,562,551 (2,956,218) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 3,248,860 (2,217,610) 7,102,999 (3,518,523) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (147,740) (235,451) (161,910) (184,170) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 45,057,444 69,038,254 28,880,724 51,620,840 Cost of shares redeemed..................................... (3,658,974) (55,926,566) (17,474,780) (19,649,644) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ 41,398,470 13,111,688 11,405,944 31,971,196 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... 44,499,590 10,658,627 18,347,033 28,268,503 NET ASSETS: Beginning of period......................................... 12,858,843 2,200,216 28,268,503 -- -------------- -------------- -------------- -------------- End of period............................................... $ 57,358,433 $ 12,858,843 $ 46,615,536 $ 28,268,503 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 600,002 100,002 1,600,002 -- Shares sold................................................. 1,900,000 3,050,000 1,400,000 2,550,002 Shares redeemed............................................. (150,000) (2,550,000) (850,000) (950,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 2,350,002 600,002 2,150,002 1,600,002 ============== ============== ============== ==============
(a) Inception date is July 25, 2018, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Financial Statements Page 43 FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ------------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 29.22 $ 32.85 $ 27.74 $ 24.34 $ 26.13 $ 25.80 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.20 0.34 0.25 0.32 0.22 0.27 Net realized and unrealized gain (loss) 4.79 (3.64) 5.12 3.43 (1.78) 0.34 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.99 (3.30) 5.37 3.75 (1.56) 0.61 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.33) (0.26) (0.35) (0.23) (0.28) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.05 $ 29.22 $ 32.85 $ 27.74 $ 24.34 $ 26.13 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 17.07% (10.13)% 19.44% 15.48% (5.99)% 2.36% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 17,023 $ 13,151 $ 14,783 $ 8,321 $ 8,518 $ 5,225 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.51% (b) 1.57% 1.69% 1.96% 1.97% 3.17% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.22% (b) 1.03% 0.88% 1.17% 0.96% 1.05% Portfolio turnover rate (c) 68% 110% 112% 113% 170% 183% FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2019 ------------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, beginning of period $ 25.96 $ 28.64 $ 23.80 $ 24.07 $ 25.97 $ 22.86 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.19 0.33 0.30 0.38 0.37 0.34 Net realized and unrealized gain (loss) 4.98 (2.67) 4.84 (0.25) (1.89) 3.11 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.17 (2.34) 5.14 0.13 (1.52) 3.45 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.15) (0.34) (0.30) (0.40) (0.38) (0.34) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.98 $ 25.96 $ 28.64 $ 23.80 $ 24.07 $ 25.97 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 19.92% (8.26)% 21.71% 0.54% (5.88)% 15.22% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 49,561 $ 35,042 $ 30,072 $ 3,569 $ 3,610 $ 3,895 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 1.38% (b) 1.19% 1.29% 1.59% 1.46% 1.42% Portfolio turnover rate (c) 15% 32% 30% (d) 4% 7% 7%
(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 for First Trust Total US Market AlphaDEX(R) ETF would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) The variation in the portfolio turnover rate is due to the change in the Fund's underlying index effective August 18, 2017, which resulted in a complete rebalance of the Fund's portfolio. Page 44 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) SIX MONTHS ENDED 6/30/2019 YEAR ENDED PERIOD ENDED (UNAUDITED) 12/31/2018 12/31/2017 (a) ------------ ------------ ------------ Net asset value, beginning of period $ 21.43 $ 22.00 $ 19.97 ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.15 0.40 0.17 Net realized and unrealized gain (loss) 2.98 (0.58) 2.03 ---------- ---------- ---------- Total from investment operations 3.13 (0.18) 2.20 ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.15) (0.39) (0.17) ---------- ---------- ---------- Net asset value, end of period $ 24.41 $ 21.43 $ 22.00 ========== ========== ========== TOTAL RETURN (b) 14.64% (0.88)% 11.02% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 57,358 $ 12,859 $ 2,200 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.50% (c) 0.50% 0.50% (c) Ratio of net expenses to average net assets 0.50% (c) 0.50% 0.50% (c) Ratio of net investment income (loss) to average net assets 1.72% (c) 2.33% 1.99% (c) Portfolio turnover rate (d) 10% 16% 20% FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) SIX MONTHS ENDED 6/30/2019 PERIOD ENDED (UNAUDITED) 12/31/2018 (a) ------------ ------------ Net asset value, beginning of period $ 17.67 $ 20.23 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.12 Net realized and unrealized gain (loss) 3.98 (2.56) ---------- ---------- Total from investment operations 4.09 (2.44) ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.08) (0.12) ---------- ---------- Net asset value, end of period $ 21.68 $ 17.67 ========== ========== TOTAL RETURN (b) 23.17% (12.09)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 46,616 $ 28,269 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (c) 0.65% (c) Ratio of net expenses to average net assets 0.65% (c) 0.65% (c) Ratio of net investment income (loss) to average net assets 1.24% (c) 1.48% (c) Portfolio turnover rate (d) 134% 183%
(a) Inception dates for EDOW and FCTR are August 8, 2017 and July 25, 2018, respectively, which are consistent with the respective Fund's commencement of investment operations and are the dates the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 45 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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-one exchange-traded funds. This report covers the four funds listed below: First Trust Total US Market AlphaDEX(R) ETF - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "TUSA") First Trust Dorsey Wright People's Portfolio ETF - (Nasdaq ticker "DWPP") First Trust Dow 30 Equal Weight ETF - (NYSE Arca, Inc. ("NYSE Arca") ticker "EDOW") First Trust Lunt U.S. Factor Rotation ETF - (Cboe BZX Exchange, Inc. ("Cboe BZX") ticker "FCTR") Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are generally issued and redeemed in-kind for securities in which a Fund invests and, in certain circumstances, for cash, and only to and from broker-dealers and large institutional investors that have entered into participation agreements. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. 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 Total US Market AlphaDEX(R) ETF NASDAQ AlphaDEX(R) Total US Market Index First Trust Dorsey Wright People's Portfolio ETF Nasdaq Dorsey Wright People's Portfolio Index First Trust Dow 30 Equal Weight ETF Dow Jones Industrial Average Equal Weight Index First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Large Cap Factor Rotation Index
2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent 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 provisions of 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: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Page 46 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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 June 30, 2019, is included with each Fund's Portfolio of Investments. 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. Page 47 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities". For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At June 30, 2019, only TUSA had securities in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. Page 48 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund 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 six months ended June 30, 2019, 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 period ended December 31, 2018 was as follows:
Distributions Distributions Distributions paid paid paid from Ordinary from Capital from Return Income Gains of Capital ------------------ ---------------- ----------------- First Trust Total US Market AlphaDEX(R) ETF $ 155,286 $ -- $ -- First Trust Dorsey Wright People's Portfolio ETF 417,641 -- -- First Trust Dow 30 Equal Weight ETF 235,451 -- -- First Trust Lunt U.S. Factor Rotation ETF 184,170 -- --
As of December 31, 2018, 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 Total US Market AlphaDEX(R) ETF $ 5,031 $ (666,297) $ (1,692,453) First Trust Dorsey Wright People's Portfolio ETF -- (1,092,046) (2,487,040) First Trust Dow 30 Equal Weight ETF 10,767 (74,553) (1,512,279) First Trust Lunt U.S. Factor Rotation ETF 467 (1,663,858) (3,134,438)
G. INCOME TAXES Each Fund intends to qualify or continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. For TUSA and DWPP, the taxable Page 49 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) years ending 2015, 2016, 2017, and 2018 remain open to federal and state audit. For EDOW, the taxable years ending 2017 and 2018 remain open for federal and state audit. For FCTR, the taxable year ending 2018 remains open for federal and state audit. As of June 30, 2019, 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. Under the Regulated Investment Company Modernization Act of 2010 (the "Act"), net capital losses arising in taxable years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for up to eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. At December 31, 2018, the Funds had post-enactment net capital losses for federal income tax purposes as shown in the following table. 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 Fund shareholders. The Funds are 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.
Post-Enactment - No Expiration ------------------ First Trust Total US Market AlphaDEX(R) ETF $ 666,297 First Trust Dorsey Wright People's Portfolio ETF 1,092,046 First Trust Dow 30 Equal Weight ETF 74,553 First Trust Lunt U.S. Factor Rotation ETF 1,663,858
During the taxable year ended December 31, 2018, the following Fund utilized capital loss carryforwards in the following amount:
Post-Enactment Capital Loss Carryforward Utilized ------------------ First Trust Total US Market AlphaDEX(R) ETF $ 5,052
H. EXPENSES Expenses that are directly related to First Trust Total US Market AlphaDEX(R) ETF are charged directly to the Fund. Expenses for First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF and First Trust Lunt U.S. Factor Rotation ETF (the "Unitary Fee Funds"), other than excluded expenses (discussed in Note 3), are paid by the Advisor. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust has entered into licensing agreements with each of the following "Licensors" for the respective Funds:
FUND LICENSOR First Trust Total US Market AlphaDEX(R) ETF Nasdaq, Inc. First Trust Dorsey Wright People's Portfolio ETF Nasdaq, Inc. First Trust Dow 30 Equal Weight ETF S&P Dow Jones Indices LLC First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Management, Inc.
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 First Trust Total US Market AlphaDEX(R) ETF is required to pay licensing fees, which are shown on the Statements of Operations. I. NEW ACCOUNTING PRONOUNCEMENT On August 28, 2018, the FASB issued Accounting Standards Update ("ASU") 2018-13, "Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement," which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Funds have early adopted ASU 2018-13 for these financial statements, which did not result in a material impact. Page 50 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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 the First Trust Total US Market AlphaDEX(R) ETF, First Trust is paid an annual management fee of 0.50% of the Fund's average daily net assets. For such Fund, 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 the Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least April 30, 2021. 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 was waived or expense was incurred, but no reimbursement payment will be made by the Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees were waived by First Trust. This amount would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the six months ended June 30, 2019 and fees waived or expenses borne by First Trust subject to recovery from the Fund for the periods indicated were as follows:
Fees Waived and Expenses Borne by First Trust Subject to Recovery ------------------------------------------------------------- Advisory Six Months Year Year Six Months Fee Expense Ended Ended Ended Ended Waivers Reimbursement 12/31/2016 12/31/2017 12/31/2018 6/30/2019 Total --------- ------------- ---------- ---------- ---------- ---------- --------- First Trust Total US Market AlphaDEX(R) ETF $ 40,768 $ 25,358 $ 49,150 $ 110,596 $ 135,446 $ 66,126 $ 361,318
For the First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF and First Trust Lunt U.S. Factor Rotation ETF, First Trust is paid an annual unitary management fee of 0.60%, 0.50%, and 0.65%, respectively, of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding fee payments under the Investment Management Agreement, distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen 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 Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. Page 51 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 4. PURCHASES AND SALES OF SECURITIES For the six months ended June 30, 2019, 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 Total US Market AlphaDEX(R) ETF $ 10,978,529 $ 10,924,589 First Trust Dorsey Wright People's Portfolio ETF 6,493,447 6,393,437 First Trust Dow 30 Equal Weight ETF 2,278,486 2,210,536 First Trust Lunt U.S. Factor Rotation ETF 49,577,540 49,511,034
For the six months ended June 30, 2019, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
Purchases Sales --------------- --------------- First Trust Total US Market AlphaDEX(R) ETF $ 1,483,571 $ -- First Trust Dorsey Wright People's Portfolio ETF 8,887,582 1,540,391 First Trust Dow 30 Equal Weight ETF 44,868,321 3,649,968 First Trust Lunt U.S. Factor Rotation ETF 28,861,673 17,455,784
5. CREATION, REDEMPTION AND TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an "Authorized Participant'). In order to purchase Creation Units of each Fund, an Authorized Participant must deposit (i) a designated portfolio of equity securities determined by First Trust (the "Deposit Securities") and generally make or receive a cash payment referred to as the "Cash Component," which is an amount equal to the difference between the NAV of the Fund Shares (per Creation Unit Aggregation) and the market value of the Deposit Securities, and/or (ii) cash in lieu of all or a portion of the Deposit Securities. If the Cash Component is a positive number (i.e., the NAV per Creation Unit Aggregation exceeds the Deposit Amount), the Authorized Participant will deliver the Cash Component. If the Cash Component is a negative number (i.e., the NAV per Creation Unit Aggregation is less than the Deposit Amount), the Authorized Participant will receive the Cash Component. Authorized Participants purchasing Creation Units must pay to BNYM, as transfer agent, a creation transaction fee (the "Creation Transaction Fee") regardless of the number of Creation Units purchased in the transaction. The Creation Transaction Fee may vary and is based on the composition of the securities included in each Fund's portfolio and the countries in which the transactions are settled. The Creation Transaction Fee is currently $1,500 for First Trust Total US Market AlphaDEX(R) ETF, $1,000 for First Trust Dorsey Wright People's Portfolio ETF and First Trust Lunt U.S. Factor Rotation ETF, and $500 for First Trust Dow 30 Equal Weight ETF. The price for each Creation Unit will equal the daily NAV per share 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 or stamp taxes. When a Fund permits an Authorized Participant to substitute cash or a different security in lieu of depositing one or more of the requisite Deposit Securities, the Authorized Participant may also be assessed an amount to cover the cost of purchasing the Deposit Securities and/or disposing of the substituted securities, including 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 such Deposit Securities and/or substitute securities. Authorized Participants redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), regardless of the number of Creation Units redeemed in the transaction. The Redemption Transaction Fee may vary and is based on the composition of the securities included in each Fund's portfolio and the countries in which the transactions are settled. The Redemption Transaction Fee is currently $1,500 for First Trust Total US Market AlphaDEX(R) ETF, $1,000 for First Trust Dorsey Wright People's Portfolio ETF and First Trust Lunt U.S. Factor Rotation ETF, and $500 for First Trust Dow 30 Equal Weight ETF. Each Fund reserves the right to effect redemptions in cash. An Authorized Participant may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. Page 52 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) 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, 2021 for First Trust Total US Market AlphaDEX(R) ETF, First Trust Dorsey Wright People's Portfolio ETF, and First Trust Dow 30 Equal Weight ETF and July 20, 2020 for First Trust Lunt U.S. Factor Rotation ETF. 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 53 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (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. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a large 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 not concentrated. 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. 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 Page 54 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or 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 CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. 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 significantly 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. 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. 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. 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; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; 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. 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. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 55 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENTS The Board of Trustees (the "Board") of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following three series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Total US Market AlphaDEX(R) ETF (TUSA) First Trust Dorsey Wright People's Portfolio ETF (DWPP) First Trust Dow 30 Equal Weight ETF (EDOW) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2019 and June 2, 2019, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by TUSA and the unitary fee rates payable by DWPP and EDOW as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2019, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 2, 2019 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing TUSA's advisory fee and DWPP's and EDOW's unitary fees. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2019 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent its investment objective, policies and restrictions. Page 56 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) With respect to TUSA, the Board considered the advisory fee rate payable by TUSA under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for TUSA through April 30, 2021. The Board noted that expenses borne or fees waived by the Advisor for TUSA are to be subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in TUSA's Expense Group, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because TUSA's Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of TUSA was above the median total (net) expense ratio of the peer funds in its Expense Group. With respect to TUSA's Expense Group, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between TUSA and other non-ETF clients that limited their comparability. In considering the advisory fee rate for TUSA overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's description of its long-term commitment to the Fund. The Board considered performance information for TUSA. The Board noted the process it has established for monitoring the Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Fund. The Board determined that this process continues to be effective for reviewing TUSA's performance. The Board received and reviewed information for periods ended December 31, 2018 regarding the performance of TUSA's underlying index, the correlation between TUSA's performance and that of its underlying index, TUSA's tracking difference and TUSA's excess return as compared to its benchmark index. For TUSA, the Board noted that during 2015, the Fund changed its underlying index to an index using the AlphaDEX(R) stock selection methodology, and that the performance information included a blend of the old and new indexes. The Board also considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided for TUSA and its ongoing review of performance, the Board concluded that the Fund was correlated to its underlying index and that the tracking difference for the Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing TUSA's performance to that of its Performance Universe and to that of a broad-based benchmark, but given the Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of TUSA and the ongoing oversight by the Board, the Board concluded that the advisory fee for TUSA continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to the Fund under the Agreement. With respect to DWPP and EDOW, the Board considered the unitary fee rate payable by each Fund under the applicable Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding the fee payment under the applicable Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in DWPP's and EDOW's Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because DWPP and EDOW each pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that DWPP's and EDOW's unitary fees were above the median total (net) expense ratio of the peer funds in each Fund's respective Expense Group. With respect to DWPP's and EDOW's Expense Groups, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered the differences between DWPP and EDOW and other non-ETF clients that limited their comparability. In considering the unitary fee rates for DWPP and EDOW overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's description of its long-term commitment to each Fund. Page 57 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2019 (UNAUDITED) The Board considered performance information for DWPP and EDOW. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing DWPP's and EDOW's performance. For DWPP and EDOW, the Board received and reviewed information for periods ended December 31, 2018 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board noted that during 2017, DWPP changed its underlying index to the Nasdaq Dorsey Wright People's Portfolio Index, and that the performance information included a blend of the old and new indexes. Based on the information provided for DWPP and EDOW and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge for DWPP and EDOW comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the unitary fees and performance of DWPP and EDOW and the ongoing oversight by the Board, the Board concluded that the unitary fees for DWPP and EDOW continue to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreements. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase over the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. For DWPP and EDOW, the Board noted that any reduction in fixed costs associated with the management of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2018 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board's analysis. Page 58 This page intentionally left blank. This page intentionally left blank. 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 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEMS 6. SCHEDULE OF INVESTMENTS. Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not Applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not Applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (registrant) First Trust Exchange-Traded Fund -------------------------------------------------- By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: September 6, 2019 ------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: September 6, 2019 ------------------- By (Signature and Title)* /s/ Donald P. Swade ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: September 6, 2019 ------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 certs_302.txt SECTION 302 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James M. Dykas, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 6, 2019 /s/ James M. Dykas ------------------- ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Donald P. Swade, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 6, 2019 /s/ Donald P. Swade ------------------- ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) EX-99.906 CERT 3 certs_906.txt SECTION 906 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(B) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT I, James M. Dykas, Chairman of the Board, President and Chief Executive Officer of First Trust Exchange-Traded Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: September 6, 2019 /s/ James M. Dykas ------------------- ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) I, Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer of First Trust Exchange-Traded Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: September 6, 2019 /s/ Donald P. Swade ------------------- ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)