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First Trust Dorsey Wright DALI 1 ETF (DALI)
Investment Objective/Strategy - The First Trust Dorsey Wright DALI 1 ETF seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an index called the Nasdaq DorseyWright DALI 1 Index (the "Index"). Under normal conditions, the Fund will invest at least 90% of its net assets (including investment borrowings) in the equity securities that comprise the Index.
There can be no assurance that the Fund's investment objectives will be achieved.
  • The Nasdaq Dorsey Wright DALI 1 Index is designed to provide exposure to the asset class that Dorsey, Wright & Associates (DWA) believes may outperform using their Dynamic Asset Level Investing (DALI) process.
  • To construct the index, DWA evaluates three broad asset classes: Domestic Equity, International Equity and Commodities.
  • A roster of investments is established to provide diversified exposure to each asset class and a relative strength calculation is compiled for each member of the roster versus every other member.
  • After all individual calculations are computed, the number of times a component exhibited stronger relative strength compared to the components of the other asset classes are added together to get a composite strength score for the entire asset class.
  • The asset class with the highest relative strength score is selected for inclusion in the index and the fund's assets will be allocated among certain ETFs that provide exposure to the asset class, as follows:
    • Domestic Equity Securities – 65% Dorsey Wright Focus Five Index constituents, 35% First Trust U.S. large and small capitalization ETFs
    • International Equity Securities – 65% Dorsey Wright International Focus Five Index constituents, 35% First Trust international ETFs
    • Commodities – 100% First Trust Global Tactical Commodity Strategy Fund
  • The relative strength analysis to determine the top asset class is performed bi-weekly.
    • If applicable, the 65% and 35% target model weights for the Domestic Equity and International Equity asset classes described above will be rebalanced quarterly. If the Commodities asset class is selected as the top scoring asset class, no rebalancing is necessary since the commodities asset class is represented by only a single ETF.
    • Additionally, if Domestic Equity or International Equity is selected as the top scoring asset class, rebalancing of the underlying ETF components varies depending on the asset class selected.
Fund Overview
TickerDALI
Fund TypeTactical Equity
Investment AdvisorFirst Trust Advisors L.P.
Investor Servicing AgentBrown Brothers Harriman
CUSIP33738R712
ISINUS33738R7127
Intraday NAVDALIIV
Fiscal Year-End12/31
ExchangeNasdaq
Inception5/14/2018
Inception Price$19.93
Inception NAV$19.93
Rebalance FrequencyQuarterly
Fees And Expenses
Management Fees0.30%
Acquired Fund Fees and Expenses0.51%
Total Annual Expenses0.81%
Current Fund Data (as of 10/26/2021)
Closing NAV1$26.37
Closing Market Price2$26.37
Bid/Ask Midpoint$26.36
Bid/Ask Discount0.04%
30-Day Median Bid/Ask Spread30.12%
Total Net Assets$119,975,017
Outstanding Shares4,550,002
Daily Volume437
Average 30-Day Daily Volume6,529
Closing Market Price 52-Week High/Low$26.48 / $18.06
Closing NAV 52-Week High/Low$26.48 / $17.98
Number of Holdings (excluding cash)7
Top Holdings (as of 10/26/2021)*
Holding Percent
First Trust Large Cap Growth AlphaDEX® Fund 17.55%
First Trust Small Cap Growth AlphaDEX® Fund 17.54%
First Trust Industrials/Producer Durables AlphaDEX® Fund 13.21%
First Trust NASDAQ-100-Technology Sector Index Fund 13.14%
First Trust Consumer Discretionary AlphaDEX® Fund 13.08%
First Trust Technology AlphaDEX® Fund 12.79%
First Trust Nasdaq Transportation ETF 12.62%

* Excluding cash.  Holdings are subject to change.

NAV History (Since Inception)
Past performance is not indicative of future results.
Bid/Ask Premium/Discount (as of 10/26/2021)
  2020 Q1 2021 Q2 2021 Q3 2021
Days Traded at Premium 136 34 19 30
Days Traded at Discount 117 27 44 34
Hypothetical Growth of $10,000 Since Inception (as of 10/25/2021) *
Tracking Index: Nasdaq Dorsey Wright DALI1 Index

Month End Performance (as of 9/30/2021)
  3 Month YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception4
Fund Performance *
Net Asset Value (NAV) -2.32% 14.22% 37.17% 6.32% N/A N/A 7.38%
After Tax Held -2.32% 14.22% 37.15% 6.03% N/A N/A 7.11%
After Tax Sold -1.37% 8.42% 22.00% 4.73% N/A N/A 5.59%
Market Price -2.40% 14.08% 36.98% 6.26% N/A N/A 7.36%
Index Performance **
Nasdaq Dorsey Wright DALI1 Index -2.26% 14.46% 37.57% 6.60% N/A N/A 7.67%
Bloomberg U.S. Aggregate Bond Index 0.05% -1.55% -0.90% 5.36% N/A N/A 4.97%
S&P 500 Index 0.58% 15.92% 30.00% 15.99% N/A N/A 16.55%
Quarter End Performance (as of 9/30/2021)
  3 Month YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception4
Fund Performance *
Net Asset Value (NAV) -2.32% 14.22% 37.17% 6.32% N/A N/A 7.38%
After Tax Held -2.32% 14.22% 37.15% 6.03% N/A N/A 7.11%
After Tax Sold -1.37% 8.42% 22.00% 4.73% N/A N/A 5.59%
Market Price -2.40% 14.08% 36.98% 6.26% N/A N/A 7.36%
Index Performance **
Nasdaq Dorsey Wright DALI1 Index -2.26% 14.46% 37.57% 6.60% N/A N/A 7.67%
Bloomberg U.S. Aggregate Bond Index 0.05% -1.55% -0.90% 5.36% N/A N/A 4.97%
S&P 500 Index 0.58% 15.92% 30.00% 15.99% N/A N/A 16.55%
3-Year Statistics (as of 9/30/2021)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
DALI 20.15% -7.34 0.93 0.35 0.86
S&P 500 Index 18.81% --- 1.00 0.82 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 determined by using the midpoint of the national best bid offer price ("NBBO") 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 Nasdaq Dorsey Wright DALI1 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.

Bloomberg U.S. Aggregate Bond Index - The Index covers the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS, ABS, and CMBS.

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

Footnotes
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 market 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 The median bid-ask spread is calculated by identifying the national best bid and national best offer ("NBBO") for the fund as of the end of each 10 second interval during each trading day of the last 30 calendar days and dividing the difference between each such bid and offer by the midpoint of the NBBO. The median of those values is identified and that value is expressed as a percentage rounded to the nearest hundredth.
4 Inception Date is 5/14/2018

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.

Risk Considerations

A fund's return may not match the return of its underlying index. A fund invests in securities included in the index regardless of investment merit and the securities held by a 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 a fund by authorized participants in very large creation/redemption units. If a 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 a fund's net asset value and possibly face delisting.

A fund's shares will change in value, and you could lose money by investing in a fund. One of the principal risks of investing in a fund is market risk. Market risk is the risk that a particular stock owned by a fund, fund shares or stocks in general may fall in value. There can be no assurance that a fund's investment objective will be achieved. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease.

A fund composed of a very small number of ETFs, involves additional risk, including limited diversification.

The failure or bankruptcy of a fund's and the subsidiary's clearing broker could result in substantial loss of fund assets.

Commodity prices can have significant volatility, and exposure to commodities can cause the value of a fund's shares to decline or fluctuate in a rapid and unpredictable manner.

To avoid exceeding position limits set by the Commodity Futures Trading Commission, a fund may have to liquidate commodity contract positions at disadvantageous times or prices which may result in substantial loss of fund assets.

Investments linked to the prices of commodities may be considered speculative and subject a fund to greater volatility than investments in traditional securities. A liquid secondary market may not exist for certain commodity-linked derivatives which may make it difficult for a fund to sell them at a desirable price.

A fund may be subject to the risk that a counterparty will not fulfill its obligations which may result in significant financial loss to a fund.

Changes in currency exchange rates and the relative value of non-US currencies may affect the value of a fund's investments and the value of a fund's shares.

As the use of Internet technology has become more prevalent in the course of business, funds have become more susceptible to potential operational risks through breaches in cyber security.

Depositary receipts may be less liquid than the underlying shares in their primary trading market.

The use of derivatives, including futures contracts, 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 a fund's portfolio managers use derivatives to enhance a fund's returns 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 a fund.

A fund may invest in the shares of other ETFs, which involves additional expenses that would not be present in a direct investment in the underlying funds. In addition, a fund's investment performance and risks may be related to the investment performance and risks of the underlying funds.

A commodity price may change substantially between periods of trading due to adverse news announcements.

There is no assurance that the index provider or its agents will compile or maintain the index accurately.

A fund may own a significant portion of the First Trust ETFs included in a fund. Any such ETF may be removed from the Index if it does not comply with the Index's eligibility requirements. A fund may be forced to sell shares of certain First Trust ETFs at inopportune times or for prices other than at current market values or may elect not to sell such shares on the day that they are removed from the Index, due to market conditions or otherwise. Due to these factors, the variation between a fund's annual return and the return of the Index may increase significantly.

Leverage may result in losses that exceed the amount originally invested and may accelerate the rates of losses.

Certain fund investments may be subject to restrictions on resale, trade over-the-counter or in limited volume, or lack an active trading market. Illiquid securities may trade at a discount and may be subject to wide fluctuations in market value.

A fund that employs a "momentum" style of investing emphasizes selecting stocks that have had higher recent price performance compared to other stocks. Momentum can turn quickly and cause significant variation from other types of investments.

A fund classified as "non-diversified" may invest a relatively high percentage of its assets in a limited number of issuers. As a result, a 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.

Securities of non-U.S. issuers are subject to additional risks, including currency fluctuations, political risks, withholding, the lack of adequate financial information, and exchange control restrictions impacting non-U.S. issuers. These risks may be heightened for securities of companies located in, or with significant operations in, emerging market countries.

A fund and a fund's advisor may seek to reduce various operational risks through controls and procedures, but it is not possible to completely protect against such risks.

High portfolio turnover may result in higher levels of transaction costs and may generate greater tax liabilities for shareholders.

A fund with significant exposure to a single asset class, country, region, industry, or sector may be more affected by an adverse economic or political development than a broadly diversified fund.

Securities of small- and mid-capitalization companies may experience greater price volatility and be less liquid than larger, more established companies.

Trading on the exchange may be halted due to market conditions or other reasons. There can be no assurance that the requirements to maintain the listing of a fund on the exchange will continue to be met or be unchanged.

Portfolio holdings that are valued using techniques other than market quotations may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used.

A fund may invest in securities that exhibit more volatility than the market as a whole.

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.

Nasdaq® and Nasdaq Dorsey Wright DALI 1 Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.

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, the Internal Revenue Code or any other regulatory framework. Financial professionals are responsible for evaluating investment risks independently and for exercising independent judgment in determining whether investments are appropriate for their clients.
First Trust Portfolios L.P.  Member SIPC and FINRA. (Form CRS)   •  First Trust Advisors L.P. (Form CRS)
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