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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 8/31/2015)
Closing NAV1$25.48
Closing Share Price2$24.07
Bid/Ask Midpoint$25.39
Bid/Ask Discount0.37%
Total Net Assets$3,821,780
Outstanding Shares150,002
Daily Volume17
Average 30-Day Daily Volume1,051
Closing Share Price 52-Week High/Low$26.39 / $22.34
Closing NAV 52-Week High/Low$26.30 / $22.53
Number of Holdings503
Fund Characteristics (as of 7/31/2015)7
Maximum Market Cap.$691,740
Median Market Cap.$18,381
Minimum Market Cap.$2,574
Price/Cash Flow13.44
Top Holdings (as of 8/28/2015)
Holding Percent
2015-09-16 S&P 500 Volatility Index C 20 6.50%
Apple Inc. 3.47%
Microsoft Corporation 1.89%
Exxon Mobil Corporation 1.67%
Johnson & Johnson 1.40%
General Electric Company 1.35%
Wells Fargo & Company 1.33%
Berkshire Hathaway Inc. (Class B) 1.32%
JPMorgan Chase & Co. 1.27%
AT&T Inc. 1.09%

Holdings are subject to change.

Call Option Allocation (as of 8/28/2015)
Call Option6.50%
NAV History (Since Inception)
Past performance is not indicative of future results.
Distribution Information
Dividend per Share Amt3$0.0880
30-Day SEC Yield (as of 7/31/2015)41.47%
12-Month Distribution Rate (as of 7/31/2015)51.44%
Index Yield (as of 7/31/2015)62.02%
Bid/Ask Midpoint vs. NAV (as of 6/30/2015)
Number of Days Bid/Ask Midpoint Above NAV
Quarter Ended 0-49
Basis Points
Basis Points
Basis Points
Basis Points
6/30/2015 24 0 0 0
3/31/2015 18 0 0 0
12/31/2014 35 1 0 1
9/30/2014 47 0 0 0
Number of Days Bid/Ask Midpoint Below NAV
Quarter Ended 0-49
Basis Points
Basis Points
Basis Points
Basis Points
6/30/2015 39 0 0 0
3/31/2015 43 0 0 0
12/31/2014 26 1 0 0
9/30/2014 17 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 8/28/2015)
Information Technology 18.75%
Financials 15.56%
Health Care 14.37%
Consumer Discretionary 12.04%
Industrials 9.28%
Consumer Staples 9.03%
Energy 6.65%
Materials 2.77%
Utilities 2.77%
Month End Performance (as of 7/31/2015)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund Performance *
Net Asset Value (NAV) -0.67% -2.28% 9.45% N/A N/A N/A 10.02%
After Tax Held -0.82% -2.58% 8.76% N/A N/A N/A 9.35%
After Tax Sold -0.38% -1.29% 5.34% N/A N/A N/A 7.46%
Market Price -0.63% -2.06% 9.39% N/A N/A N/A 10.04%
Index Performance **
CBOE® VIX® Tail Hedge Index -0.52% -2.14% 9.84% N/A N/A N/A 10.46%
S&P 500 Index 1.41% 3.35% 11.21% N/A N/A N/A 17.10%
Quarter End Performance (as of 6/30/2015)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund Performance *
Net Asset Value (NAV) -0.68% -2.59% 7.53% N/A N/A N/A 10.21%
After Tax Held -0.83% -2.89% 6.86% N/A N/A N/A 9.52%
After Tax Sold -0.38% -1.47% 4.26% N/A N/A N/A 7.60%
Market Price -0.91% -2.64% 7.37% N/A N/A N/A 10.13%
Index Performance **
CBOE® VIX® Tail Hedge Index -0.44% -2.53% 7.90% N/A N/A N/A 10.64%
S&P 500 Index 0.28% 1.23% 7.42% N/A N/A N/A 16.79%

*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 shares outstanding.
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).
3 Most recent distribution paid or declared through today's date. Subject to change in the future. There is no guarantee that the fund will declare dividends.
4 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.
5 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.
6 Index yield represents the weighted average trailing 12-month dividend of the constituents of the CBOE® VIX® Tail Hedge Index.
7 All market capitalization numbers are in USD$ Millions.
8 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).

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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