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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 6/26/2017)
Closing NAV1$25.93
Closing Share Price2$25.89
Bid/Ask Midpoint$25.96
Bid/Ask Premium0.11%
Total Net Assets$3,889,038
Outstanding Shares150,002
Daily Volume654
Average 30-Day Daily Volume730
Closing Share Price 52-Week High/Low$26.04 / $22.65
Closing NAV 52-Week High/Low$26.17 / $22.68
Number of Holdings505
Fund Characteristics (as of 5/31/2017)8
Maximum Market Cap.$796,466
Median Market Cap.$20,972
Minimum Market Cap.$3,290
Price/Cash Flow14.97
Top Holdings (as of 6/26/2017)
Holding Percent
Apple Inc. 3.63%
Microsoft Corporation 2.60%
Amazon.com, Inc. 1.89%
Johnson & Johnson 1.76%
Facebook, Inc. (Class A) 1.73%
Exxon Mobil Corporation 1.65%
Berkshire Hathaway Inc. (Class B) 1.52%
JPMorgan Chase & Co. 1.49%
Alphabet Inc. (Class A) 1.37%
Alphabet Inc. (Class C) 1.35%

Holdings are subject to change.

Call Option Allocation (as of 6/26/2017)
Call Option0.00%
NAV History (Since Inception)
Past performance is not indicative of future results.
Overall Morningstar RatingTM (as of 5/31/2017)3

Among 171 funds in the Long-Short Equity category. This fund was rated 4 stars/171 funds (3 years).
Distribution Information
Dividend per Share Amt4$0.0872
30-Day SEC Yield (as of 5/31/2017)51.42%
12-Month Distribution Rate (as of 5/31/2017)61.49%
Index Yield (as of 5/31/2017)71.97%
Bid/Ask Midpoint vs. NAV (as of 3/31/2017)
Number of Days Bid/Ask Midpoint Above NAV
Quarter Ended 0-49
Basis Points
Basis Points
Basis Points
Basis Points
3/31/2017 49 0 0 0
12/31/2016 36 0 0 0
9/30/2016 16 0 0 0
6/30/2016 11 0 0 0
Number of Days Bid/Ask Midpoint Below NAV
Quarter Ended 0-49
Basis Points
Basis Points
Basis Points
Basis Points
3/31/2017 13 0 0 0
12/31/2016 26 1 0 0
9/30/2016 47 1 0 0
6/30/2016 53 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 6/26/2017)
Information Technology 22.59%
Health Care 14.68%
Financials 14.10%
Consumer Discretionary 12.19%
Industrials 10.24%
Consumer Staples 9.13%
Energy 5.92%
Utilities 3.22%
Real Estate 2.91%
Materials 2.87%
Telecommunication Services 2.15%
Month End Performance (as of 5/31/2017)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund Performance *
Net Asset Value (NAV) 2.44% 8.42% 9.67% 4.92% N/A N/A 7.12%
After Tax Held 2.29% 8.27% 8.92% 4.22% N/A N/A 6.45%
After Tax Sold 1.38% 4.77% 5.44% 3.45% N/A N/A 5.24%
Market Price 2.28% 8.07% 9.73% 4.88% N/A N/A 7.09%
Index Performance **
CBOE® VIX® Tail Hedge Index 2.57% 8.66% 10.38% 5.42% N/A N/A 7.61%
S&P 500 Index 2.57% 8.66% 17.47% 10.14% N/A N/A 14.36%
Quarter End Performance (as of 3/31/2017)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund Performance *
Net Asset Value (NAV) 5.94% 5.94% 7.34% 4.67% N/A N/A 6.85%
After Tax Held 5.79% 5.79% 6.59% 3.97% N/A N/A 6.15%
After Tax Sold 3.36% 3.36% 4.13% 3.26% N/A N/A 5.01%
Market Price 5.84% 5.84% 7.37% 4.68% N/A N/A 6.87%
Index Performance **
CBOE® VIX® Tail Hedge Index 6.07% 6.07% 7.87% 5.15% N/A N/A 7.33%
S&P 500 Index 6.07% 6.07% 17.17% 10.37% N/A N/A 14.31%
3-Year Statistics (as of 5/31/2017)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
VIXH 10.10% -2.60 0.77 0.48 0.78
S&P 500 Index 10.37% --- 1.00 0.94 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 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. 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 for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product 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 Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.
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. If the fund's authorized participants are unable to proceed with creation/redemption orders and no other authorized participant is able to step forward to create or redeem, fund shares may trade at a discount to the fund's net asset value and possibly face delisting.

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).

©2017 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
The information presented is not intended to constitute an investment recommendation for, or advice to, any specific person. By providing this information, First Trust is not undertaking to give advice in any fiduciary capacity within the meaning of ERISA and the Internal Revenue Code. First Trust has no knowledge of and has not been provided any information regarding any investor. Financial advisors must determine whether particular investments are appropriate for their clients. First Trust believes the financial advisor is a fiduciary, is capable of evaluating investment risks independently and is responsible for exercising independent judgment with respect to its retirement plan clients.
First Trust Portfolios L.P.  Member SIPC and FINRA.
First Trust Advisors L.P.
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