Adapting my answer at Graphics equations: put text on equations
\documentclass{article}
\usepackage{graphicx}
\usepackage[usestackEOL]{stackengine}
\usepackage{xcolor}
\def\calloutsym{%
\ensurestackMath{%
\scalebox{1.7}{\color{red}\stackunder[0pt]{\bigcirc}{\downarrow}}}%
}
\newcommand\callouttext[1]{%
\def\stacktype{S}\renewcommand\useanchorwidth{T}\stackText%
\stackunder{\calloutsym}{\scriptsize\Longstack{#1}}\stackMath%
}
\newcommand\callout[3][1.5pt]{%
\def\stacktype{L}\stackMath\stackunder[#1]{#2}{\callouttext{#3}}%
}
\begin{document}
\fbox{$\displaystyle
\smash{\callout{F}{\stackunder{$1,n$}{we only consider 1 unknown}}} =
\left[
\frac{\partial f}{\partial l_1}\quad
\frac{\partial f}{\partial l_2}\quad
\frac{\partial f}{\partial l_3}
\cdots
\frac{\partial f}{\partial l_n}
\right]
$}
\end{document}

If you don't like the circle around the "F", remove \bigcirc, and perhaps scalebox the downarrow larger, as follows:
\documentclass{article}
\usepackage{graphicx}
\usepackage[usestackEOL]{stackengine}
\usepackage{xcolor}
\def\calloutsym{%
\ensurestackMath{%
\scalebox{2}{\color{red}\stackunder[2pt]{}{\downarrow}}}%
}
\newcommand\callouttext[1]{%
\def\stacktype{S}\renewcommand\useanchorwidth{T}\stackText%
\stackunder{\calloutsym}{\scriptsize\Longstack{#1}}\stackMath%
}
\newcommand\callout[3][1.5pt]{%
\def\stacktype{L}\stackMath\stackunder[#1]{#2}{\callouttext{#3}}%
}
\begin{document}
\fbox{$\displaystyle
\smash{\callout{F}{\stackunder{$1,n$}{we only consider 1 unknown}}} =
\left[
\frac{\partial f}{\partial l_1}\quad
\frac{\partial f}{\partial l_2}\quad
\frac{\partial f}{\partial l_3}
\cdots
\frac{\partial f}{\partial l_n}
\right]
$}
\end{document}

Note that since I smashed the underset, you may need some \vspace to prevent subsequent text from interfering.