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First Trust Dorsey Wright Momentum & Low Volatility ETF (DVOL)
Investment Objective/Strategy - The First Trust Dorsey Wright Momentum & Low Volatility 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 Dorsey Wright Momentum Plus Low Volatility™ 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. The Fund, using an indexing investment approach, attempts to replicate, before fees and expenses, the performance of the Index. The Fund's investment advisor seeks a correlation of 0.95 or better (before fees and expenses) between the Fund's performance and the performance of the Index; a figure of 1.00 would represent perfect correlation. The Index is owned and was developed by Nasdaq, Inc. (the "Index Provider").
There can be no assurance that the Fund's investment objectives will be achieved.
Index Description According to the Index Provider
  • The Index is a rules-based equity index that is designed to track the overall performance of 50 stocks within the Nasdaq US Large Mid Cap Index that exhibit the lowest levels of volatility while maintaining high levels of relative strength.
  • To construct the Index, Dorsey, Wright & Associates (DWA) begins with the eligible constituents of the Nasdaq US Large Mid Cap Index.
    • These eligible constituents are determined after meeting certain criteria, including maintaining a minimum average daily dollar volume of $1 million for the 30-day period prior to evaluation.
  • Each security is assigned a relative strength score based on its forward price momentum compared to the momentum of a broad market benchmark index. Securities that exhibit a minimum level of relative strength are eligible for inclusion in the index.
  • Eligible securities are then assigned a volatility score based on their daily percentage price changes over the trailing year. The top 50 securities with the lowest volatility scores are selected for inclusion in the index.
    • The securities are then weighted using the inverse of each security's one-year trailing volatility, with greater weights given to securities with lower volatility scores.
  • The Index is reconstituted and rebalanced quarterly.
Fund Overview
TickerDVOL
Fund TypeLarge Blend
Investment AdvisorFirst Trust Advisors L.P.
Investor Servicing AgentBrown Brothers Harriman
CUSIP33741L108
ISINUS33741L1089
Intraday NAVDVOLIV
Fiscal Year-End09/30
ExchangeNasdaq
Inception9/5/2018
Inception Price$19.97
Inception NAV$19.97
Rebalance FrequencyQuarterly
Expense Ratio0.60%
Current Fund Data (as of 9/29/2022)
Closing NAV1$24.18
Closing Market Price2$24.19
Bid/Ask Midpoint$24.19
Bid/Ask Premium0.02%
30-Day Median Bid/Ask Spread30.11%
Total Net Assets$82,218,033
Outstanding Shares3,400,002
Daily Volume1,432
Average 30-Day Daily Volume19,784
Closing Market Price 52-Week High/Low$31.77 / $23.91
Closing NAV 52-Week High/Low$31.75 / $23.90
Number of Holdings (excluding cash)50
Top Holdings (as of 9/29/2022)*
Holding Percent
Waste Management, Inc. 3.17%
Republic Services, Inc. 3.04%
Ameren Corporation 3.03%
FirstEnergy Corp. 3.02%
McDonald's Corporation 2.99%
McKesson Corporation 2.95%
Constellation Brands, Inc. (Class A) 2.89%
AMETEK, Inc. 2.87%
CenterPoint Energy, Inc. 2.85%
The Procter & Gamble Company 2.75%

* Excluding cash.  Holdings are subject to change.

NAV History (Since Inception)
Past performance is not indicative of future results.
Distribution Information
Dividend per Share Amt (as of 9/30/2022)4$0.1046
30-Day SEC Yield (as of 8/31/2022)51.67%
12-Month Distribution Rate (as of 8/31/2022)60.84%
Index Yield (as of 8/31/2022)72.38%
Fund Characteristics (as of 8/31/2022)9
Maximum Market Cap.$485,772
Median Market Cap.$27,286
Minimum Market Cap.$4,611
Price/Earnings20.31
Price/Book3.25
Price/Cash Flow13.54
Price/Sales1.43
Bid/Ask Premium/Discount (as of 9/29/2022)
  2021 Q1 2022 Q2 2022 Q3 2022
Days Traded at Premium 190 31 40 47
Days Traded at Discount 62 31 22 16
Top Sector Exposure (as of 9/29/2022)
Financials 24.64%
Industrials 19.62%
Real Estate 14.48%
Utilities 12.33%
Health Care 11.72%
Information Technology 6.47%
Consumer Staples 5.66%
Consumer Discretionary 3.00%
Materials 1.12%
Energy 0.96%
Hypothetical Growth of $10,000 Since Inception (as of 9/29/2022) *
Tracking Index: Dorsey Wright Momentum Plus Low Volatility™ Index

Month End Performance (as of 8/31/2022)
  3 Month YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception10
Fund Performance *
Net Asset Value (NAV) -0.47% -17.54% -11.24% 5.81% N/A N/A 7.96%
After Tax Held -0.59% -17.68% -11.52% 5.41% N/A N/A 7.53%
After Tax Sold -0.28% -10.38% -6.64% 4.30% N/A N/A 6.02%
Market Price -0.43% -17.53% -11.23% 5.83% N/A N/A 7.97%
Index Performance **
Dorsey Wright Momentum Plus Low Volatility™ Index -0.29% -17.20% -10.67% 6.50% N/A N/A 8.67%
S&P 500 Index -3.88% -16.14% -11.23% 12.39% N/A N/A 10.10%
Quarter End Performance (as of 6/30/2022)
  3 Month YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception10
Fund Performance *
Net Asset Value (NAV) -12.04% -20.57% -6.89% 6.28% N/A N/A 7.27%
After Tax Held -12.14% -20.71% -7.19% 5.87% N/A N/A 6.83%
After Tax Sold -7.13% -12.18% -4.06% 4.67% N/A N/A 5.45%
Market Price -12.00% -20.54% -6.85% 6.31% N/A N/A 7.29%
Index Performance **
Dorsey Wright Momentum Plus Low Volatility™ Index -11.92% -20.35% -6.32% 6.97% N/A N/A 7.97%
S&P 500 Index -16.10% -19.96% -10.62% 10.60% N/A N/A 9.24%
3-Year Statistics (as of 8/31/2022)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
DVOL 19.71% -4.40 0.88 0.35 0.86
S&P 500 Index 19.41% --- 1.00 0.67 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 each listed 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.

S&P 500 Index - The Index is an unmanaged index of 500 companies 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 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 Dorsey Wright Momentum Plus Low Volatility(TM) Index.
8 Distribution Rate is calculated by dividing the fund's most recent ordinary distribution paid or declared, on an annualized basis, by the NAV price. Distribution rates may vary.
9 All market capitalization numbers are in USD$ Millions.
10 Inception Date is 9/5/2018

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

You could lose money by investing in a fund. An investment in a fund is not a deposit of a bank and is not insured or guaranteed. There can be no assurance that a fund's objective(s) will be achieved. Investors buying or selling shares on the secondary market may incur customary brokerage commissions. Please refer to each fund's prospectus and SAI for additional details on a fund's risks. The order of the below risk factors does not indicate the significance of any particular risk factor.

Unlike mutual funds, shares of the fund 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 premium or discount to a fund's net asset value and possibly face delisting and the bid/ask spread may widen.

A fund is susceptible to operational risks through breaches in cyber security. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss.

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.

An index fund will be concentrated in an industry or a group of industries to the extent that the index is so concentrated. A fund with significant exposure to a single asset class, or the securities of issuers within the same country, state, region, industry, or sector may have its value more affected by an adverse economic, business or political development than a broadly diversified fund.

A fund may be a constituent of one or more indices or models which could greatly affect a fund's trading activity, size and volatility.

There is no assurance that the index provider or its agents will compile or maintain the index accurately. Losses or costs associated with any index provider errors generally will be borne by a fund and its shareholders.

Industrials and producer durables companies are subject to certain risks, including the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. They may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, and government regulations.

A portfolio comprised of low volatility stocks may not produce investment exposure that has lower variability to changes in such stocks' price levels. Low volatility stocks are likely to underperform the broader market during periods of rapidly rising stock prices.

Market risk is the risk that a particular security, or shares of a fund in general may fall in value. Securities are subject to market fluctuations caused by such factors 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. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious disease or other public health issues, recessions, or other events could have significant negative impact on a fund. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed "reasonably" normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease.

A fund faces numerous market trading risks, including the potential lack of an active market for fund shares due to a limited number of market makers. Decisions by market makers or authorized participants to reduce their role or step away in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of a fund's portfolio securities and a fund's market price.

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.

An index fund's return may not match the return of the index for a number of reasons including operating expenses, costs of buying and selling securities to reflect changes in the index, and the fact that a fund's portfolio holdings may not exactly replicate the index.

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. The fund also relies on third parties for a range of services, including custody, and any delay or failure related to those services may affect the fund's ability to meet its objective.

A fund that invests in securities included in or representative of an index will hold those securities regardless of investment merit and the fund generally will not take defensive positions in declining markets.

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

The market price of a fund's shares will generally fluctuate in accordance with changes in the fund's net asset value ("NAV") as well as the relative supply of and demand for shares on the exchange, and a fund's investment advisor cannot predict whether shares will trade below, at or above their NAV.

The risks associated with investing in real estate companies may be similar to those associated with direct ownership of real estate and include fluctuations in the value of underlying properties, defaults by borrowers or tenants, market saturation, changes in general and local economic conditions, decreases in market rates for rents, increases in competition, property taxes, capital expenditures or operating expenses, dependency upon management skills, limited diversification, and other economic, political or regulatory occurrences.

Real Estate Investment Trusts ("REITs") are subject to risks the risks of investing in real estate, including, but not limited to, changes in the real estate market, vacancy rates and competition, volatile interest rates and economic recession. Increases in interest rates typically lower the present value of a REIT's future earnings stream and may make financing property purchases and improvements more costly. The value of a fund will generally decline when investors in REIT stocks anticipate or experience rising interest rates.

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

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

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 Dorsey Wright Momentum Plus Low Volatility™ 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.

CUSIP identifiers have been provided by CUSIP Global Services, managed on behalf of the American Bankers Association by FactSet Research Systems Inc. and are not for use or dissemination in a manner that would serve as a substitute for any CUSIP service. The CUSIP Database, ©2022 CUSIP Global Services. "CUSIP" is a registered trademark of the American Bankers Association.

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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