Making its debut on 05/08/2007, smart beta exchange traded fund First Trust Natural Gas ETF (FCG) provides investors broad exposure to the Energy ETFs category of the market.What Are Smart Beta ETFs?The ETF industry has traditionally been dominated by products based on market capitalization weighted indexes that are designed to represent the market or a particular segment of the market.A good option for investors who believe in market efficiency, market cap weighted indexes offer a low-cost, convenient, and transparent way of replicating market returns.If you're the kind of investor who would rather try and beat the market through good stock selection, then smart beta funds are your best choice; this fund class is known for tracking non-cap weighted strategies.By attempting to pick stocks that have a better chance of risk-return performance, non-cap weighted indexes are based on certain fundamental characteristics, or a combination of such.While this space offers a number of choices to investors, including simplest equal-weighting, fundamental weighting and volatility/momentum based weighting methodologies, not all these strategies have been able to deliver superior results.Fund Sponsor & IndexManaged by First Trust Advisors, FCG has amassed assets over $470.99 million, making it one of the larger ETFs in the Energy ETFs. FCG, before fees and expenses, seeks to match the performance of the ISE-REVERE Natural Gas Index.The ISE-Revere Natural Gas Index is an equal-weighted index comprised of exchange-listed companies that derive a substantial portion of their revenues from the exploration and production of natural gas.Cost & Other ExpensesFor ETF investors, expense ratios are an important factor when considering a fund's return; in the long-term, cheaper funds actually have the ability to outperform their more expensive cousins if all other things remain the same.Annual operating expenses for FCG are 0.60%, which makes it on par with most peer products in the space.It has a 12-month trailing dividend yield of 1.59%.Sector Exposure and Top HoldingsEven though ETFs offer diversified exposure which minimizes single stock risk, it is still important to look into a fund's holdings before investing. Luckily, most ETFs are very transparent products that disclose their holdings on a daily basis.FCG's heaviest allocation is in the Energy sector, which is about 100% of the portfolio.Taking into account individual holdings, Conocophillips (COP) accounts for about 4.57% of the fund's total assets, followed by Devon Energy Corporation (DVN) and Eog Resources, Inc. (EOG).The top 10 holdings account for about 42.76% of total assets under management.Performance and RiskYear-to-date, the First Trust Natural Gas ETF has gained about 4.71% so far, and is up roughly 86.51% over the last 12 months (as of 01/10/2022). FCG has traded between $9.83 and $19.33 in this past 52-week period.The fund has a beta of 2.42 and standard deviation of 51.91% for the trailing three-year period, which makes FCG a high risk choice in this particular space. With about 41 holdings, it has more concentrated exposure than peers.AlternativesFirst Trust Natural Gas ETF is a reasonable option for investors seeking to outperform the Energy ETFs segment of the market. However, there are other ETFs in the space which investors could consider. Want key ETF info delivered straight to your inbox? Zacks’ free Fund Newsletter will brief you on top news and analysis, as well as top-performing ETFs, each week.Get it free >>Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report First Trust Natural Gas ETF (FCG): ETF Research Reports Devon Energy Corporation (DVN): Free Stock Analysis Report ConocoPhillips (COP): Free Stock Analysis Report EOG Resources, Inc. (EOG): Free Stock Analysis Report To read this article on Zacks.com click here.