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First Trust CBOE® S&P 500® VIX® Tail Hedge Fund (VIXH)
Investment Objective/Strategy - The First Trust CBOE® S&P 500® VIX® Tail Hedge Fund is an exchange-traded fund which seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the CBOE® VIX® Tail Hedge Index.
There can be no assurance that the Fund's investment objectives will be achieved.
  • The CBOE® VIX® Tail Hedge Index consists of each equity security in the S&P 500 (with dividends reinvested), and an amount of one-month, call options on the VIX Index that is determined by the level of forward volatility.
  • On the day of the monthly expiration of VIX options, previously purchased VIX calls are cash-settled and new VIX calls are purchased by the index at the 10:00 am Central Time asking price. The percent of money allocated to VIX calls depends on the level of forward volatility of the S&P 500 at the next call expiration as measured by the opening price of VIX futures with the same expiration as the calls as follows:
    • VIX futures less than or equal to 15, no VIX calls are purchased
    • VIX futures above 15 and less than or equal to 30, 1% of portfolio in VIX calls
    • VIX futures above 30 and less than or equal to 50, 0.50% of portfolio in VIX calls
    • VIX futures above 50, no VIX calls are purchased
  • This dynamic allocation to VIX calls is designed to reduce hedging costs by limiting the number of VIX calls that are purchased during periods of expected low volatility, and also has the effect of taking VIX option profits when extreme volatility levels are reached.
  • The index is reconstituted and rebalanced monthly.
Fund Overview
Fund TypeLarge Cap Core
Investment AdvisorFirst Trust Advisors L.P.
Investor Servicing AgentBank of New York Mellon
Fiscal Year-End12/31
ExchangeNYSE Arca
Inception Price$19.89
Inception NAV$19.89
Rebalance FrequencyMonthly
Expense Ratio0.60%
Current Fund Data (as of 5/24/2016)
Closing NAV1$23.62
Closing Share Price2$23.46
Bid/Ask Midpoint$23.62
Bid/Ask Discount0.02%
Total Net Assets$3,542,980
Outstanding Shares150,002
Daily Volume50
Average 30-Day Daily Volume272
Closing Share Price 52-Week High/Low$25.77 / $21.75
Closing NAV 52-Week High/Low$25.74 / $21.60
Number of Holdings506
Fund Characteristics (as of 4/29/2016)8
Maximum Market Cap.$513,454
Median Market Cap.$18,711
Minimum Market Cap.$2,989
Price/Cash Flow13.45
Top Holdings (as of 5/25/2016)
Holding Percent
Apple Inc. 3.01%
Microsoft Corporation 2.25%
Exxon Mobil Corporation 2.04%
Johnson & Johnson 1.71%
General Electric Company 1.53%
Amazon.com, Inc. 1.49%
Facebook, Inc. (Class A) 1.48%
Berkshire Hathaway Inc. (Class B) 1.47%
JPMorgan Chase & Co. 1.31%
AT&T Inc. 1.30%

Holdings are subject to change.

Call Option Allocation (as of 5/25/2016)
Call Option0.38%
NAV History (Since Inception)
Past performance is not indicative of future results.
Overall Morningstar RatingTM (as of 4/30/2016)3

Among 159 funds in the Long-Short Equity category. This fund was rated 4 stars/159 funds (3 years).
Distribution Information
Dividend per Share Amt4$0.0953
30-Day SEC Yield (as of 4/29/2016)51.59%
12-Month Distribution Rate (as of 4/29/2016)61.61%
Index Yield (as of 4/29/2016)72.17%
Bid/Ask Midpoint vs. NAV (as of 3/31/2016)
Number of Days Bid/Ask Midpoint Above NAV
Quarter Ended 0-49
Basis Points
Basis Points
Basis Points
Basis Points
3/31/2016 13 3 0 0
12/31/2015 27 0 0 0
9/30/2015 29 1 0 1
6/30/2015 24 0 0 0
Number of Days Bid/Ask Midpoint Below NAV
Quarter Ended 0-49
Basis Points
Basis Points
Basis Points
Basis Points
3/31/2016 42 2 1 0
12/31/2015 37 0 0 0
9/30/2015 29 1 1 2
6/30/2015 39 0 0 0

The price used to calculate market return 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.

Top Sector Exposure (as of 5/25/2016)
Information Technology 20.20%
Financials 16.30%
Health Care 14.62%
Consumer Discretionary 12.48%
Consumer Staples 10.12%
Industrials 9.99%
Energy 7.18%
Utilities 3.24%
Materials 2.89%
Telecommunication Services 2.60%
Month End Performance (as of 4/29/2016)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund Performance *
Net Asset Value (NAV) 4.75% -0.60% -4.91% 5.64% N/A N/A 6.62%
After Tax Held 4.57% -0.77% -5.56% 4.94% N/A N/A 5.95%
After Tax Sold 2.69% -0.34% -2.78% 4.02% N/A N/A 4.83%
Market Price 5.44% -0.60% -4.94% 5.62% N/A N/A 6.62%
Index Performance **
CBOE® VIX® Tail Hedge Index 4.90% -0.42% -4.36% 6.09% N/A N/A 7.09%
S&P 500 Index 7.05% 1.74% 1.21% 11.26% N/A N/A 13.33%
Quarter End Performance (as of 3/31/2016)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund Performance *
Net Asset Value (NAV) -0.81% -0.81% -4.81% 5.97% N/A N/A 6.72%
After Tax Held -0.98% -0.98% -5.46% 5.27% N/A N/A 6.03%
After Tax Sold -0.46% -0.46% -2.72% 4.28% N/A N/A 4.89%
Market Price -0.77% -0.77% -4.80% 6.00% N/A N/A 6.73%
Index Performance **
CBOE® VIX® Tail Hedge Index -0.67% -0.67% -4.16% 6.39% N/A N/A 7.18%
S&P 500 Index 1.35% 1.35% 1.78% 11.82% N/A N/A 13.53%
3-Year Statistics (as of 4/29/2016)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
VIXH 10.90% -2.93 0.79 0.53 0.82
S&P 500 Index 11.35% --- 1.00 0.97 1.00
Standard Deviation is a measure of price variability (risk). Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.Beta is a measure of price variability relative to the market. Sharpe Ratio is a measure of excess reward per unit of volatility. Correlation is a measure of the similarity of performance.

*Performance data quoted represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and shares when sold or redeemed, may be worth more or less than their original cost.

After Tax Held returns represent return after taxes on distributions. Assumes shares have not been sold. After Tax Sold returns represent the return after taxes on distributions and the sale of fund shares. Returns do not represent the returns you would receive if you traded shares at other times. Market Price returns are based on the midpoint of the bid/ask spread. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown. The after-tax returns shown are not relevant to investors who hold their fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

**Performance information for the CBOE® VIX® Tail Hedge Index is for illustrative purposes only and does not represent actual fund performance.
Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index.
The expense ratio for this fund is 0.60%.

S&P 500 Index - The Index is an unmanaged index of 500 stocks used to measure large-cap U.S. stock market performance.

1 The NAV represents the fund's net assets (assets less liabilities) divided by the fund's outstanding shares .
2 Fund shares are purchased and sold on an exchange at their share price rather than net asset value (NAV), which may cause the shares to trade at a price greater than NAV (premium) or less than NAV (discount).
The Morningstar RatingTM is provided for those exchange-traded funds ("ETFs") with at least a three-year history. Ratings are based on the ETF's Morningstar Risk-Adjusted Return measure which accounts for variation in monthly performance, placing more emphasis on downward variations and rewarding consistent performance. An ETF's risk-adjusted return includes a brokerage commission estimate. This estimate is intended to reflect what an average investor would pay when buying or selling an ETF. PLEASE NOTE, this estimate is subject to change and the actual brokerage commission an investor pays may be higher or lower than this estimate. Morningstar compares each ETF's risk-adjusted return to the open-end mutual fund rating breakpoints for that category. Consistent with the open-end mutual fund ratings, the top 10% of ETFs in each category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The overall rating for an ETF is based on a weighted average of the time-period ratings (e.g., the ETF's 3,5, and 10 year rating). The determination of an ETF's rating does not affect the retail open end mutual fund data published by Morningstar. Past performance is no guarantee of future results.
4 Most recent distribution paid or declared to today's date. Subject to change in the future. There is no guarantee that the fund will declare dividends.
5 The 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period and includes the effects of fee waivers and expense reimbursements, if applicable.
6 12-Month Distribution Rate is calculated by dividing the sum of the fund's trailing 12-month ordinary distributions paid or declared by the NAV price. Distribution rates may vary.
7 Index yield represents the weighted average trailing 12-month dividend of the constituents of the CBOE® VIX® Tail Hedge Index.
8 All market capitalization numbers are in USD$ Millions.
9 Inception Date is 8/29/2012

You should consider the fund's investment objectives, risks, and charges and expenses carefully before investing. You can download a prospectus or summary prospectus, or contact First Trust Portfolios L.P. at 1-800-621-1675 to request a prospectus or summary prospectus which contains this and other information about the fund. The prospectus or summary prospectus should be read carefully before investing.

ETF Characteristics

The fund lists and principally trades its shares on the NYSE Arca, Inc.

The fund's return may not match the return of the CBOE® VIX® Tail Hedge Index.  Securities held by the fund will generally not be bought or sold in response to market fluctuations.

Investors buying or selling fund shares on the secondary market may incur customary brokerage commissions. Market prices may differ to some degree from the net asset value of the shares. Investors who sell fund shares may receive less than the share's net asset value. Shares may be sold throughout the day on the exchange through any brokerage account. However, unlike mutual funds, shares may only be redeemed directly from the fund by authorized participants, in very large creation/redemption units.

Risk Considerations

The fund's shares will change in value, and you could lose money by investing in the fund. One of the principal risks of investing in the fund is market risk. Market risk is the risk that a particular stock owned by the fund, fund shares or stocks in general may fall in value. There can be no assurance that the fund's investment objective will be achieved.

The fund may invest in securities issued by companies concentrated in a particular industry.

The use of options and other derivatives can lead to 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 derivatives. These risks are heightened when the 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. The option positions employed, as dictated by the attempt to replicate the index, may present additional risk. The value of an option may be adversely affected if the market for the option becomes less liquid or smaller, and will be affected by changes in the value and dividend rates of the stock subject to the option, an increase in interest rates, a change in the actual and perceived volatility of the stock market and the common stock and the remaining time to expiration. Although they generally move in the same direction, the value of an option does not increase or decrease at the same rate as the underlying stock.

The fund is classified as "non-diversified" and may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly concentrated in certain issuers.

First Trust Advisors L.P. is the adviser to the fund. First Trust Advisors L.P. is an affiliate of First Trust Portfolios L.P., the fund's distributor.

Standard & Poor's and S&P are registered trademarks of Standard & Poor's Financial Services LLC ("SPFS") and Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed for use by S&P Dow Jones Indices LLC and sublicensed for certain purposes by First Trust Advisors L.P. "S&P 500®" is a registered trademark of SPFS; "CBOE®", Chicago Board Options Exchange®, CBOE Volatility Index® "VIX®" are registered trademarks of Chicago Board Options Exchange, Incorporated ("CBOE"); and have been licensed for use by S&P Dow Jones Indices LLC and First Trust Advisors L.P. The "CBOE®VIX® Tail Hedge Index" is a product of S&P Dow Jones Indices LLC, and has been licensed for use by First Trust Advisors L.P. The First Trust CBOE® S&P 500 VIX® Tail Hedge Fund is not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, their respective affiliates, or CBOE and neither S&P Dow Jones Indices LLC, Dow Jones, S&P, their respective affiliates or CBOE make any representation regarding the advisability of investing in such product(s).

©2016 Morningstar, Inc. All Rights Reserved. The Morningstar RatingTM information contained herein: (1) is proprietary to Morningstar;(2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

Not FDIC Insured • Not Bank Guaranteed • May Lose Value
First Trust Portfolios L.P.  Member SIPC and FINRA.
First Trust Advisors L.P.
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