FTHI First Trust Exchange Traded Fund VI First Trust BuyWrite Income

Sector Weightings at 11/30/13
% of Total Investments

See Notes to Financial Statements.
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Portfolio Managers
       James T. Evans, CFA
       Jason L. Stephens, CFA
       John W. Thompson, CFA

Performance

The Bond Fund produced a total return of 3.24% for the fiscal year ended November 30, 2013, as compared to its benchmark, the Barclays U.S. Government/Credit 1-5 Year Index, which returned 0.68%, and as compared to the Barclays U.S. Credit 1-5 Year Index, which returned 1.69%.

Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-800-999-0887 or visiting www.thompsonim.com.

Results include the reinvestment of all dividends and capital gains distributions. Investment performance reflects all fee waivers that may have been in effect. In the absence of such waivers, total return would have been reduced. The performance information reflected in the graph and the table above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares, nor does it imply future performance. The Barclays U.S. Government/Credit 1-5 Year Index is a market-value-weighted index of all investment-grade bonds with maturities of more than one year and less than 5 years. The Barclays U.S. Credit 1-5 Year Index is a market-value-weighted index which includes virtually every major investment-grade rated corporate bond with 1-5 years remaining until maturity that serves as a supplementary benchmark. You cannot directly invest in an index.

Barclays ^® is a trademark of Barclays Bank PLC.

See Notes to Financial Statements.
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Management Commentary

The basic strategy that has helped the Fund over the past several years continues in place. We are overweight corporate bonds because in our opinion shareholders are being paid to take credit risk instead of interest rate risk. This can and probably will change at some point in the future. For now we expect the corporate overweight to continue.

The fiscal year saw an overall reversal of a three decade decline in interest rates. Over the course of the entire fiscal year, the prevailing yields on the 5-Year Treasury rose by almost 80 basis points while the yields on the 10-Year Treasury increased over 100 basis points. The impact of these changes on bond prices was, predictably, negative. By the end of June, both the Fund’s primary and secondary benchmarks had suffered negative returns during the fund fiscal year to date, and the Bond Fund’s performance was only modestly positive. While recent months have restored all three returns to positive territory, the overall performance of bonds was depressed because of the rising rates.

However, despite this overall pattern there were three distinctly different environments for bond investors during the fiscal year. For the first 4-5 months credit spreads were narrow – especially at the long end of the Fund’s maturity ladder ¹ . There simply wasn’t enough of a reward being offered on most bonds relative to the interest-rate risk being taken to justify continuing to buy bonds in this portion of the Fund’s maturity structure. We responded by increasing our purchases of short maturity corporate bonds coming due in one year or less. We essentially determined that it was prudent to sacrifice higher yield in exchange for less risk.

Conversely, amidst the substantial market dislocation in June we increased the purchase of bonds at the long end of the Fund’s maturity ladder (2017 - 2020). Generally, we use sales of additional Fund shares and revenues from bond maturities and bond interest to finance new bond purchases. However, during this period we found prices so attractive that we actually sold many short maturity bonds to take advantage of them. These were similar to the actions we took in the fall of 2011, but more dramatic. In this case, we decided that it was in the best interest of shareholders for us to take increased interest-rate risk on purchases, because we felt we were getting rewarded so well on price and yield.

The final few months of the fiscal year marked a return to “normalcy.” Interest rates and credit spreads didn’t change much from the beginning to the end. Even with substantial public hand wringing over the potential beginning-of-the-end of the Federal Reserve’s Quantitative Easing, the market was generally rational. Consequently, we were able to identify many attractive opportunities throughout the period, but not to the extent that required significant selling of existing holdings.

The point of reviewing all this is to illustrate that one of our philosophies is to try to take advantage of the opportunities given by the market, and not more. We depend on our credit research to give us the comfort to buy bonds when we think the market has overreacted. We were genuinely excited at the end of June, because we believed that the severe market disruption had given us the opportunity to improve the overall profile of the Fund. At the same time, as much as we like yield, we are loath to stretch for it. The market generally tells us what to do. If there aren’t great opportunities, we’ll stay more conservative with purchases. If there are, we’ll be aggressive. Hopefully, if we employ this strategy well over time, value will accrue to shareholders.

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¹ In a bond ladder, the bonds’ maturity dates are evenly spaced across several months or several years so that the bonds are maturing and the proceeds are being reinvested at regular intervals.

See Notes to Financial Statements.
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Opinions expressed are subject to change, are not guaranteed and should not be considered investment advice.

Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. The risk is usually greater for longer-term debt securities. Investments in bonds of foreign issuers involve greater volatility, political and economic risks, and differences in accounting methods. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities.

Please refer to the Schedule of Investments on page 17 of this report for holdings information. The management commentary above as well as Fund holdings should not be considered a recommendation to buy or sell any security. In addition, please note that Fund holdings are subject to change.

The federal government guarantees interest payments from government securities while dividend payments carry no such guarantee. Government securities, if held to maturity, guarantee the timely payment of principal and interest.

SEC Yield is a standardized yield computed by dividing the net investment income per share earned during the 30-day period prior to quarter-end and was created to allow for fairer comparisons among bond funds.

Basis point is a unit that is equal to 1/100th of 1%, and is used to denote the change in a financial instrument.

Yield is the income earned from a bond, which takes into account the sum of the interest payment, the redemption value at the bond’s maturity, and the initial purchase price of the bond.

Although the makeup of the Fund’s portfolio is constantly changing, as of November 30, 2013, 87.75% of the Fund’s portfolio was invested in corporate bonds. Due to prevailing market conditions, the composition of the Fund’s portfolio as of that date was consistent with the composition of the Fund’s portfolio over the past 5 years. In addition, as of November 30, 2013, 84.16% of the Fund’s portfolio was invested in bonds rated BBB. For portfolio information current as of the most recent quarter-end, please call 1-800-999-0887 or visit our website at www.thompsonim.com. Compared to a portfolio that is more evenly allocated between government and corporate bonds, a portfolio that is heavily allocated to corporate bonds may provide higher returns, but is also subject to greater levels of credit and liquidity risk and to greater price fluctuations. A portfolio that is significantly allocated to bonds having lower investment-grade ratings may also be subject to greater levels of credit and liquidity risk and experience greater price fluctuations than a portfolio comprised of higher-rated investment-grade bonds.

See Notes to Financial Statements.
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See Notes to Financial Statements.
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See Notes to Financial Statements.
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See Notes to Financial Statements.
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