First Trust Alternative Absolute Return Strategy ETF (FAAR)

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	Fact Sheet
	Summary Prospectus
	Monthly Performance Report
	Investor Guide
	Fund Commentary

Fund Summary

Investment Objective/Strategy - The First Trust Alternative Absolute Return Strategy ETF is an actively managed exchange-traded fund that seeks to provide investors with long-term total return.

There can be no assurance that the Fund's investment objectives will be achieved.

Fund Overview

Ticker	FAAR
Fund Type	Alternative Investments
Investment Advisor	First Trust Advisors L.P.
Investor Servicing Agent	Brown Brothers Harriman
CUSIP	33740Y101
ISIN	US33740Y1010
Intraday NAV	FAARIV
Fiscal Year-End	12/31
Exchange	Nasdaq
Inception	5/18/2016
Inception Price	$30.00
Inception NAV	$30.00
Expense Ratio	0.95%

Current Fund Data (as of 5/5/2021)

Closing NAV¹	$30.19
Closing Market Price²	$30.51
Bid/Ask Midpoint	$30.34
Bid/Ask Premium	0.50%
30-Day Median Bid/Ask Spread³	1.20%
Total Net Assets	$95,096,251
Outstanding Shares	3,150,002
Daily Volume	9,834
Average 30-Day Daily Volume	18,574
Closing Market Price 52-Week High/Low	$30.51 / $25.10
Closing NAV 52-Week High/Low	$30.19 / $25.15

NAV History (Since Inception)

Past performance is not indicative of future results.

Overall Morningstar Rating^TM (as of 3/31/2021)⁴

Among 96 funds in the Commodities Broad Basket category. This fund was rated 4 stars/96 funds (3 years) based on risk adjusted returns.

Fund Exposure (as of 5/5/2021)

Long Exposure	75.54%
Short Exposure	-14.41%
Net Exposure	61.13%

Bid/Ask Premium/Discount (as of 5/5/2021)

	2020	Q1 2021	Q2 2021	Q3 2021
Days Traded at Premium	203	52	24	---
Days Traded at Discount	50	9	0	---

Hypothetical Growth of $10,000 Since Inception (as of 5/5/2021) *

Month End Performance (as of 3/31/2021)

	3 Month	YTD	1 Year	3 Year	5 Year	10 Year	Since Fund Inception⁵
Fund Performance *
Net Asset Value (NAV)	6.94%	6.94%	18.69%	1.07%	N/A	N/A	0.70%
After Tax Held	6.94%	6.94%	17.24%	0.45%	N/A	N/A	0.07%
After Tax Sold	4.11%	4.11%	11.01%	0.54%	N/A	N/A	0.25%
Market Price	5.79%	5.79%	18.15%	1.06%	N/A	N/A	0.72%

Index Performance **
Bloomberg Commodity Index	6.92%	6.92%	35.04%	-0.20%	N/A	N/A	0.69%
3 Month U.S. Treasury Bills + 3%	0.77%	0.77%	3.17%	4.59%	N/A	N/A	4.30%
S&P 500 Index	6.17%	6.17%	56.35%	16.78%	N/A	N/A	16.84%

Quarter End Performance (as of 3/31/2021)

	3 Month	YTD	1 Year	3 Year	5 Year	10 Year	Since Fund Inception⁵
Fund Performance *
Net Asset Value (NAV)	6.94%	6.94%	18.69%	1.07%	N/A	N/A	0.70%
After Tax Held	6.94%	6.94%	17.24%	0.45%	N/A	N/A	0.07%
After Tax Sold	4.11%	4.11%	11.01%	0.54%	N/A	N/A	0.25%
Market Price	5.79%	5.79%	18.15%	1.06%	N/A	N/A	0.72%

Index Performance **
Bloomberg Commodity Index	6.92%	6.92%	35.04%	-0.20%	N/A	N/A	0.69%
3 Month U.S. Treasury Bills + 3%	0.77%	0.77%	3.17%	4.59%	N/A	N/A	4.30%
S&P 500 Index	6.17%	6.17%	56.35%	16.78%	N/A	N/A	16.84%

3-Year Statistics (as of 3/31/2021)

	Standard Deviation	Alpha	Beta	Sharpe Ratio	Correlation
FAAR	6.58%	86.30	-28.67	-0.03	-0.51
Bloomberg Commodity Index	14.69%	114.40	-38.12	-0.04	-0.50
3 Month U.S. Treasury Bills + 3%	0.31%	---	1.00	58.25	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.

**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 Commodity Index - The Index is made up of exchange-traded futures on physical commodities and represents 20 commodities, which are weighted to account for economic significance and market liquidity.

3 Month U.S. Treasury Bills + 3% - The Index is made up of 3 Month U.S. Treasury Bills and a spread of 3 percent accrued daily because the Treasury bill rate can fluctuate over time.

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	The Morningstar Rating^TM 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 Morningstar Rating does not include any adjustment for sales loads. 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.
⁵	Inception Date is 5/18/2016

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 Nasdaq Stock Market LLC.

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 security owned by the fund or shares of the fund in general, may fall in value. 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. The COVID-19 pandemic may last for an extended period of time, and will continue to impact the economy for the foreseeable future.

The trading prices of commodities futures, fixed income securities and other instruments fluctuate in response to a variety of factors. The fund's net asset value and market price may fluctuate significantly in response to these factors. As a result, an investor could lose money over short or long periods of time. In addition, the net asset value of the fund may be more volatile over short-term periods than other investment options because of the fund's significant use of financial instruments that have a leveraging effect.

The fund is subject to management risk because it is an actively managed portfolio. In managing the fund's investment portfolio, the advisor will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that the fund will meet its investment objective.

The fund does not invest directly in futures instruments. Rather, it invests in a wholly owned subsidiary, which will have the same investment objective as the fund, but unlike the fund, it may invest without limitation in futures instruments. The subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. Thus, the fund, as an investor in the subsidiary, will not have all the protections offered to investors in registered investment companies.

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

The value of commodity futures typically is based upon the price movements of a physical commodity or an economic variable linked to such price movements. The prices of commodity futures may fluctuate quickly and dramatically and may not correlate to price movements in other asset classes. An active trading market may not exist for certain commodities. Each of these factors and events could have a significant negative impact on the fund.

All futures and futures-related products are highly volatile. Price movements are influenced by a variety of factors, including: changes in overall economic conditions, changes in interest rates, or factors affecting a particular commodity or industry, such as production, supply, demand, drought, floods, weather, political, economic and regulatory developments. Futures contracts may be less liquid than other types of investments.

The frequent trading of futures contracts may increase the amount of commissions or mark-ups to broker-dealers that the fund pays when it buys and sells contracts, which may detract from the fund's performance.

The fund will, under most circumstances, effect most creations and redemptions, in whole or in part for cash, rather than in-kind securities. As a result, the fund may be less tax-efficient.

Trading on commodity markets outside the U.S. is not regulated by any U.S. government agency and may involve certain risks not applicable to trading on U.S. exchanges. The subsidiary is subject to portfolio turnover risk, which may result in the fund paying higher levels of transaction costs and generating greater tax liability for shareholders, with the potential to lessen performance. The fund holds investments that are denominated in non-U.S. currencies, or in securities that provide exposure to such currencies, currency exchange rates or interest rates denominated in such currencies. Changes in currency exchange rates and the relative value of non-U.S. currencies may affect the value of the fund's investments and the value of the fund's shares. The fund intends to treat any income it may derive from commodity futures contracts received by the subsidiary as qualified income, subject to regulatory rules and annual re-examination.

The fund may be subject to the forces of "whipsaw" markets (as opposed to choppy or stable markets), in which significant price movements develop but then repeatedly reverse, which could cause substantial losses.

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.

Shorting may result in greater gains or greater losses. Short selling creates special risks which could result in increased volatility of returns. Because losses on short sales arise from increases in the value of the security sold short, such losses are theoretically unlimited.

Certain securities in the fund are subject to credit risk, interest rate risk, and income risk. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and that the value of a security may decline as a result. Interest rate risk is the risk that the value of the fixed income securities in the fund will decline because of rising market interest rates. Income risk is the risk that income from the fund's fixed income investments could decline during periods of falling interest rates.

The fund currently has fewer assets than larger funds, and like other relatively new funds, large inflows and outflows may impact the fund's market exposure for limited periods of time.

The fund is subject to gap risk, which is the risk that a commodity price will change from one level to another with no trading in between.

The fund is subject to regulatory risk, which may result in commodity contract positions requiring liquidation at disadvantageous times or prices.

The fund's investment in repurchase agreements may be subject to market and credit risk with respect to the collateral securing the repurchase agreements.

The fund may invest in U.S. government obligations, including U.S.Treasury obligations and securities. Securities issued or guaranteed by federal agencies and U.S. government sponsored instrumentalities may or may not be backed by the full faith and credit of the U.S. government.

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.

First Trust Advisors L.P. is registered as a commodity pool operator and commodity trading advisor and is also a member of the National Futures Association.

©2021 Morningstar, Inc. All Rights Reserved. The Morningstar Rating^TM 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