UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22019
First Trust Exchange-Traded AlphaDEX® Fund
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
Date of fiscal year end: July 31
Date of reporting period: January 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
| (a) | The Report to Shareholders is attached herewith. |
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Semi-Annual Report January 31, 2021
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AlphaDEX(R) Sector Funds
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First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
AlphaDEX(R)
FAMILY OF ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
SEMI-ANNUAL REPORT
JANUARY 31, 2021
Shareholder Letter........................................................... 2
Market Overview.............................................................. 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 4
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 6
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 8
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20
Notes to Fund Performance Overview........................................... 22
Understanding Your Fund Expenses............................................. 23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 30
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 32
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 34
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 36
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 39
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 41
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 43
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Financial Highlights......................................................... 52
Notes to Financial Statements................................................ 57
Additional Information....................................................... 64
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JANUARY 31, 2021
Dear Shareholders:
First Trust is pleased to provide you with the semi-annual report for the Sector
Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which
contains detailed information about the Funds for the six months ended January
31, 2021.
There is so much to talk about, yet so little space. Rather than drill down on
politics or belabor the coronavirus ("COVID-19") pandemic, I would like to take
this opportunity to convey a brief message on the current
economic/business/investment climate in the U.S. The one thing I feel compelled
to point out, however, is that unlike the Trump Administration's approach of
delegating the lion's share of the responsibility of executing the medical
ground assault against COVID-19 to the states, the Biden Administration has
communicated its intention to play more of an integral role at the federal
level. The distribution of the FDA-approved vaccines, of which there are
currently three, and the push for a huge bump up in the next round of fiscal
stimulus to help millions of Americans cope with the economic fallout stemming
from the pandemic are just two examples. While he was hoping to make it a
bipartisan effort, President Joe Biden was prepared to utilize a tactic in
Congress, particularly in the Senate, known as reconciliation to pass his $1.9
trillion stimulus bill. Reconciliation would only require a simple majority of
Senate votes to pass the bill. In the end, Congress did just that and the Senate
passed the bill with a 50-49 count. President Biden signed the "American Rescue
Plan Act" into law on March 11, 2021. Not one Republican in Congress voted for
the bill.
The current climate strikes me as one where "Cash is King." A recent survey by
Money and Morning Consult found that 68% of adults said they need another
stimulus check from the government to get by, and 39% of those polled claimed
they need the additional financial support "a lot," according to their own
release. Overall, respondents said that the $600 checks sent out this past
December were not enough. Seventy-seven percent of adults say they need the
checks to exceed $1,000 and 36% say they need more than $2,000 to make ends
meet. President Joe Biden's American Rescue Plan will make payments of up to
$1,400 to those who are eligible. Suffice it to say, cash tends to be an urgent
priority for those who do not have it.
While most investors are likely hunting for opportunities to generate higher
returns on their capital, many Americans are sitting on their cash. Brian
Wesbury, Chief Economist at First Trust, recently noted that, as of the third
quarter of 2020, the amount of capital held by Americans in checking accounts,
savings accounts, time deposits and money market funds stood $2.8 trillion
higher than their combined total in the third quarter of 2019. If you have
listened to what Federal Reserve Chairman Jerome Powell has said about keeping
short-term interest rates low for two or three more years if need be to
significantly lower unemployment and generate inflationary pressure beyond the
Federal Reserve's 2.0% target, it makes the thought of harboring such an
extraordinary volume of capital in these low-paying, interest-bearing accounts
even harder to fathom, in my opinion.
The state of the U.S. economy is on the mend, but likely won't make a full
recovery for at least a couple more years, according to Wesbury. In our opinion,
most of the weakness in the economy is stemming from some key service-oriented
sectors, such as hotels and airlines, that remain sheltered or lightly used.
Wesbury believes that a full recovery requires the reopening of the entire U.S.
economy. The speed of the vaccine rollout in the weeks ahead could help
determine when the economy is ready to fully reopen.
We believe investors should take solace in how upbeat our top executives are
about the near future. The Conference Board's Measure of CEO ConfidenceTM rose
to a 17-year high in the first quarter of 2021, according to Fox Business. The
measure currently stands at 73. A reading above 50 points reflects more positive
than negative responses from CEOs. Its quarterly survey revealed that 82% of
CEOs expect economic conditions to improve over the next six months, up from 63%
in the prior survey. Forty-five percent of them expect to increase capital
spending, up from 25% in the prior survey. The good news is that Corporate
America's largest companies have the cash to fund projects. In the third quarter
of 2020 (most recent data), S&P 500 Industrials (Old) cash and equivalents,
which excludes cash held by Financials, Utilities and Transportation companies,
stood at a near-record high of $1.88 trillion, according to S&P Dow Jones
Indices. The all-time high was $1.89 trillion, set in the second quarter of
2020.
It seems the economy is on the cusp of another major cash injection from the
government. We encourage investors to stay the course.
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SEMI-ANNUAL REPORT
JANUARY 31, 2021
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE U.S. ECONOMY
While 2020 has come and gone, the coronavirus ("COVID-19") pandemic remains the
number one battleground for the U.S. and many foreign nations in 2021. The quick
approval in late 2020 of two new vaccines by the Food and Drug Administration
has lifted the spirits of Americans and investors, but the initial rollout of
the vaccines has been much slower than expected. The federal government's
"Operation Warp Speed" initiative called for 20 million vaccinations to be
performed in the U.S. by the end of 2020, but it came in at a little more than
three million, according to Axios. These statistics suggest that clearing the
COVID-19 hurdle may extend a bit further into 2021 than initially thought.
Remember, these two vaccines, and any others that may gain approval, are likely
the best chance we have for fully reopening the U.S. economy.
The global growth forecast from the International Monetary Fund ("IMF") released
in January 2021 sees real gross domestic product growth rising by 5.5% worldwide
in 2021, a strong rebound from its -3.5% projection for 2020. The IMF is calling
for a 5.1% growth rate for the U.S. in 2021, up from its -3.4% estimate for
2020. As has been the case for many years, Emerging Market and Developing
Economies are expected to grow faster than Advanced Economies in 2021. Their
2021 growth rate estimate is 6.3%, up from -2.4% in 2020.
The Biden Administration is negotiating with the Republicans in Congress to see
if they can secure bipartisan support for their $1.9 trillion COVID-19 stimulus
proposal. GOP lawmakers have countered with their own scaled-down package that
would appropriate $618 billion, about one-third what President Joe Biden is
asking for. If the negotiations fall through, meaning President Biden can't lock
up 60 votes in the Senate, it is believed that he would likely seek to use
reconciliation to lower the voting threshold to a 51-50 majority, with Vice
President Kamala Harris casting the final tie-breaking vote. Regardless of the
final dollar value of the package, bond investors are anticipating that the U.S.
government will need to issue more Treasury securities over time to finance the
Democrats' economic agenda, and that could, in turn, push bond yields higher
moving forward, according to Bloomberg. There is also a chance for higher
inflation from the additional stimulus.
SECTOR/EQUITY INVESTING
For the six-month period ended January 31, 2021, all 11 major sectors that
comprise the S&P 500(R) Index (the "Index") generated positive total returns,
according to Bloomberg. The Index posted a total return of 14.47% over the same
period. Six of the 11 sectors outperformed the broader index. Those six sectors
were Financials (+21.96%), Industrials (+19.33%), Materials (+18.25%),
Information Technology (+17.43%), Communication Services (+14.60%) and Consumer
Discretionary (+14.51%), according to Bloomberg. The sector that posted the
lowest total return for the period was Real Estate, up 3.39%.
The Index closed at 3,756.07 on January 29, 2021, 3.66% below its all-time high,
according to Bloomberg. A Bloomberg survey of 22 equity strategists found that
their average 2021 year-end price target for the Index was 4,074 as of January
20, 2021, according to its own release. The highest and lowest estimates were
4,400 and 3,800, respectively. Brian Wesbury, Chief Economist at First Trust,
has a year-end price target of 4,200. The Index earnings look encouraging beyond
2020. As of January 29, 2021, Bloomberg's consensus year-over-year earnings
growth rate estimates for the Index for 2021 and 2022 stood at 23.53% and
16.07%, respectively, a healthy rebound from its -13.89% projection for 2020.
ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at an all-time high of $8.06 trillion in January
2021, up from $6.37 trillion a year ago, according to its own release. Total
assets of U.S. listed ETFs/ETPs stood at an all-time high of $5.52 trillion, up
from $4.44 trillion a year ago.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer
Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in the
common stocks that comprise the Consumer Discretionary Index. The shares of the
Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the
"Exchange") under the ticker symbol "FXD."
The Consumer Discretionary Index is a modified equal-dollar weighted index
designed by ICE Data Indices, LLC or its affiliates ("IDI") to objectively
identify and select stocks from the Russell 1000(R) Index in the consumer
discretionary sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Consumer
Discretionary Index using the Industry Classification Benchmark ("ICB") sector
scheme to determine a stock's sector membership.
<TABLE>
<CAPTION>
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PERFORMANCE
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AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 32.56% 21.56% 11.28% 11.35% 8.13% 70.66% 193.02% 192.57%
Market Price 32.46% 21.54% 11.27% 11.33% 8.13% 70.56% 192.55% 192.39%
INDEX PERFORMANCE
StrataQuant(R) Consumer Discretionary
Index 33.02% 22.19% 11.97% 12.09% 8.89% 76.04% 213.18% 221.96%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Consumer Discretionary
Index 14.51% 33.00% 18.86% 17.81% 12.72% 137.26% 414.99% 417.60%
Russell 1000(R) Consumer
Discretionary Index(1) 23.73% 41.04% 20.61% 18.09% N/A 155.21% 427.61% N/A
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</TABLE>
(See Notes to Fund Performance Overview on page 22.)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Consumer Discretionary 73.76%
Communication Services 14.74
Industrials 5.92
Information Technology 2.95
Consumer Staples 2.63
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Total 100.00%
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
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Discovery, Inc., Class A 1.92%
General Motors Co. 1.70
Toll Brothers, Inc. 1.64
Qurate Retail, Inc., Series A 1.60
Tesla, Inc. 1.57
Etsy, Inc. 1.56
D.R. Horton, Inc. 1.56
Lennar Corp., Class A 1.52
Carvana Co. 1.52
Foot Locker, Inc. 1.51
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Total 16.10%
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(1) On or about September 18, 2008, Russell Investment Group ("Russell") began
calculating its Russell U.S. Indices using an enhanced Russell sector scheme,
the Russell Global Sectors ("RGS"). The RGS and the former U.S. sector scheme
ran in tandem until June 30, 2009, when Russell officially transitioned to the
RGS and ceased calculating its indices using the U.S. sector scheme. In addition
to the implementation of the RGS, Russell changed the name of the Russell
1000(R) Consumer Discretionary and Services Index to the Russell 1000(R)
Consumer Discretionary Index. Consequently, performance data is not available
for all the periods shown in the table for the Russell 1000(R) Consumer
Discretionary Index because performance data does not exist for each of the
entire periods using solely the U.S. sector scheme, or alternatively, using
solely the RGS.
StrataQuant(R) and StrataQuant(R) Consumer Discretionary Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust
Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Russell 1000(R) Consumer
AlphaDEX(R) Fund Discretionary Index Index Discretionary Index Discretionary Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 12,314 12,358 11,876 11,952 12,066
7/31/11 13,475 13,585 12,068 12,850 12,849
1/31/12 13,196 13,366 12,345 13,523 13,479
7/31/12 13,063 13,251 13,029 14,378 14,457
1/31/13 15,612 15,900 14,447 16,723 16,883
7/31/13 18,572 18,982 16,446 19,942 19,956
1/31/14 19,658 20,172 17,659 21,298 21,331
7/31/14 20,869 21,487 19,252 22,473 22,440
1/31/15 22,495 23,239 20,090 24,069 23,970
7/31/15 24,321 25,214 21,415 27,795 27,096
1/31/16 21,145 21,986 19,726 25,941 24,942
7/31/16 23,754 24,772 22,452 28,776 27,858
1/31/17 23,761 24,861 23,830 30,215 29,033
7/31/17 24,964 26,204 26,032 32,777 31,707
1/31/18 29,432 30,997 29,987 38,975 37,706
7/31/18 28,502 30,107 30,245 40,480 38,393
1/31/19 27,530 29,162 29,334 39,642 37,970
7/31/19 29,394 31,250 32,666 44,219 42,702
1/31/20 29,685 31,675 35,609 46,284 45,132
7/31/20 27,219 29,095 36,596 53,752 51,451
1/31/21 36,081 38,702 42,675 61,551 63,661
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its net assets (including investment borrowings) in the common stocks that
comprise the Consumer Staples Index. The shares of the Fund are listed and trade
on the NYSE Arca under the ticker symbol "FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by
IDI to objectively identify and select stocks from the Russell 1000(R) Index in
the consumer staples sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Consumer Staples Index using the ICB sector scheme to determine a stock's
sector membership.
<TABLE>
<CAPTION>
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PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 8.00% 11.29% 5.53% 11.26% 8.80% 30.91% 190.59% 218.42%
Market Price 7.99% 11.30% 5.53% 11.24% 8.79% 30.89% 190.15% 218.23%
INDEX PERFORMANCE
StrataQuant(R) Consumer Staples Index 8.31% 12.01% 6.25% 12.06% 9.59% 35.38% 212.28% 251.72%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Consumer Staples Index 4.08% 4.65% 7.85% 11.38% 9.50% 45.90% 193.72% 247.77%
Russell 1000(R) Consumer Staples
Index(1) 4.23% 2.91% 5.90% 10.75% N/A 33.21% 177.50% N/A
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</TABLE>
(See Notes to Fund Performance Overview on page 22.)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Staples 89.77%
Health Care 7.68
Materials 2.55
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Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Sprouts Farmers Market, Inc. 4.65%
Molson Coors Beverage Co., Class B 4.58
Kroger (The) Co. 4.48
CVS Health Corp. 4.32
J.M. Smucker (The) Co. 4.15
Tyson Foods, Inc., Class A 4.11
Albertsons Cos., Inc., Class A 4.07
Ingredion, Inc. 3.95
Nu Skin Enterprises, Inc., Class A 3.49
Casey's General Stores, Inc. 3.46
-------
Total 41.26%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Consumer Staples Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Consumer Staples Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 6
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
Russell 1000(R)
First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Consumer Staples
AlphaDEX(R) Fund Staples Index Index Staples Index Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 11,194 11,244 11,876 10,897 10,888
7/31/11 13,120 13,227 12,068 11,771 12,005
1/31/12 12,677 12,831 12,345 12,429 12,509
7/31/12 12,723 12,967 13,029 14,086 14,007
1/31/13 14,821 15,159 14,447 14,793 14,874
7/31/13 18,306 18,810 16,446 16,751 16,901
1/31/14 18,971 19,562 17,659 16,725 16,967
7/31/14 21,079 21,819 19,252 17,944 18,387
1/31/15 23,844 24,741 20,090 20,221 20,660
7/31/15 25,947 27,010 21,415 21,406 22,234
1/31/16 24,850 25,935 19,726 21,937 22,683
7/31/16 28,334 29,669 22,452 23,904 24,781
1/31/17 26,523 27,863 23,830 23,347 24,281
7/31/17 27,396 28,874 26,032 24,956 25,689
1/31/18 29,705 31,412 29,987 26,481 26,493
7/31/18 27,543 29,238 30,245 24,810 24,710
1/31/19 27,069 28,814 29,334 25,125 24,876
7/31/19 27,770 29,673 32,666 28,442 27,211
1/31/20 29,231 31,348 35,609 30,589 29,361
7/31/20 30,118 32,419 36,596 30,751 28,988
1/31/21 32,528 35,113 42,675 32,006 30,214
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 7
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy
Index"). The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in the common stocks that comprise the Energy Index. The
shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol
"FXN."
The Energy Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
energy sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Energy Index
using the ICB sector scheme to determine a stock's sector membership.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 34.50% 0.68% -6.23% -7.86% -4.87% -27.49% -55.88% -49.61%
Market Price 34.35% 0.57% -6.25% -7.88% -4.88% -27.56% -55.97% -49.66%
INDEX PERFORMANCE
StrataQuant(R) Energy Index 35.25% 1.09% -5.67% -7.33% -4.29% -25.30% -53.28% -45.26%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Energy Index 12.20% -22.60% -3.90% -2.99% -1.05% -18.05% -26.20% -13.53%
Russell 1000(R) Energy Index(1) 15.61% -19.25% -3.55% -3.22% N/A -16.52% -27.94% N/A
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Energy 88.39%
Information Technology 11.61
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Continental Resources, Inc. 5.51%
Cabot Oil & Gas Corp. 5.14
Exxon Mobil Corp. 4.96
Marathon Oil Corp. 4.95
Enphase Energy, Inc. 4.74
Valero Energy Corp. 4.55
ConocoPhillips 4.44
SolarEdge Technologies, Inc. 4.12
Pioneer Natural Resources Co. 3.87
Cheniere Energy, Inc. 3.85
-------
Total 46.13%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. In addition to the implementation of the RGS, Russell combined the
Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index
into one index, the Russell 1000(R) Energy Index. Consequently, performance data
is not available for all the periods shown in the table for the Russell 1000(R)
Energy Index because this index did not exist until on or about September 18,
2008.
StrataQuant(R) and StrataQuant(R) Energy Index ("Index") are service/trademarks
of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for
use by First Trust in connection with the Fund. The Fund is not sponsored,
endorsed, sold or promoted by IDI and IDI makes no representations or warranties
regarding the advisability of investing in the Fund or as to the result to be
obtained by any person from use of the Index in connection with the trading of
the Fund. IDI and its third party suppliers accept no liability in connection
with use of the Index or the Fund. See the prospectus for a full copy of the
disclaimer.
Page 8
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Energy Index Index Energy Index Energy Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 14,067 14,118 11,876 13,625 13,666
7/31/11 14,869 14,982 12,068 14,241 14,276
1/31/12 12,451 12,592 12,345 13,495 13,388
7/31/12 11,672 11,851 13,029 13,526 13,325
1/31/13 13,890 14,160 14,447 14,969 14,785
7/31/13 14,428 14,749 16,446 16,044 15,838
1/31/14 15,271 15,667 17,659 16,300 16,170
7/31/14 18,077 18,604 19,252 19,001 18,926
1/31/15 13,005 13,403 20,090 15,269 14,999
7/31/15 11,101 11,451 21,415 14,120 13,863
1/31/16 8,558 8,829 19,726 12,271 11,795
7/31/16 9,694 10,018 22,452 14,408 13,773
1/31/17 10,740 11,142 23,830 15,536 14,883
7/31/17 9,211 9,591 26,032 14,434 13,709
1/31/18 10,290 10,760 29,987 16,561 15,722
7/31/18 11,648 12,223 30,245 17,281 16,556
1/31/19 9,065 9,520 29,334 14,518 13,819
7/31/19 7,481 7,885 32,666 14,518 13,648
1/31/20 6,163 6,525 35,609 12,992 12,196
7/31/20 4,615 4,876 36,596 8,962 8,518
1/31/21 6,208 6,594 42,675 10,055 9,847
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Financials Index (the
"Financials Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks and real estate
investment trusts ("REITs") that comprise the Financials Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO."
The Financials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
financial services sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Financials Index using the ICB sector scheme to determine a stock's sector
membership.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 37.47% 9.79% 12.81% 11.06% 6.10% 82.71% 185.42% 125.41%
Market Price 37.39% 9.73% 12.81% 11.04% 6.09% 82.70% 184.88% 125.26%
INDEX PERFORMANCE
StrataQuant(R) Financials Index 37.94% 10.59% 13.60% 11.86% 6.95% 89.17% 206.76% 151.50%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Financials Index 21.96% -0.77% 12.83% 10.29% 1.76% 82.85% 166.40% 27.13%
Russell 1000(R) Financials Index(1) 21.20% 5.84% 14.88% 11.91% N/A 100.08% 208.11% N/A
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 99.71%
Information Technology 0.29
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Invesco Ltd. 1.95%
Assured Guaranty Ltd. 1.87
SLM Corp. 1.85
Virtu Financial, Inc., Class A 1.82
Rocket Cos., Inc., Class A 1.74
Associated Banc-Corp. 1.74
Franklin Resources, Inc. 1.74
MetLife, Inc. 1.69
White Mountains Insurance Group Ltd. 1.68
Aflac, Inc. 1.68
-------
Total 17.76%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Financials Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS. On September 18, 2020, the name
of the Russell 1000(R) Financial Services Index was changed to Russell 1000(R)
Financials Index.
StrataQuant(R) and StrataQuant(R) Financials Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 10
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Financials Index Index Financials Index Financials Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 11,520 11,570 11,876 11,222 11,241
7/31/11 11,025 11,118 12,068 10,196 10,465
1/31/12 11,116 11,260 12,345 9,786 10,208
7/31/12 11,529 11,723 13,029 10,310 10,861
1/31/13 13,662 13,951 14,447 12,355 12,839
7/31/13 16,076 16,476 16,446 14,685 15,045
1/31/14 16,987 17,476 17,659 15,241 15,761
7/31/14 17,837 18,417 19,252 16,360 16,839
1/31/15 18,598 19,271 20,090 16,960 17,710
7/31/15 20,402 21,216 21,415 18,716 19,525
1/31/16 17,995 18,763 19,726 16,352 17,311
7/31/16 20,448 21,401 22,452 18,010 19,253
1/31/17 23,325 24,496 23,830 22,080 22,122
7/31/17 25,354 26,708 26,032 23,950 24,179
1/31/18 28,100 29,707 29,987 28,659 28,067
7/31/18 28,159 29,871 30,245 27,177 27,682
1/31/19 26,635 28,338 29,334 25,479 26,808
7/31/19 29,012 30,978 32,666 28,115 30,395
1/31/20 29,949 32,094 35,609 30,128 32,724
7/31/20 23,918 25,731 36,596 24,512 28,575
1/31/21 32,880 35,494 42,675 29,895 34,633
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Health Care Index
(the "Health Care Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXH."
The Health Care Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
health care sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Health Care
Index using the ICB sector scheme to determine a stock's sector membership.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 13.90% 31.24% 15.14% 15.27% 13.16% 102.39% 314.12% 446.23%
Market Price 13.86% 31.25% 15.14% 15.26% 13.16% 102.41% 313.85% 446.07%
INDEX PERFORMANCE
StrataQuant(R) Health Care Index 14.25% 32.12% 15.91% 16.05% 13.97% 109.22% 343.00% 502.56%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Health Care Index 10.06% 18.27% 13.73% 15.99% 10.82% 90.27% 340.62% 310.00%
Russell 1000(R) Health Care Index(1) 11.26% 22.11% 14.81% 16.60% N/A 99.52% 364.31% N/A
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 100.00%
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Moderna, Inc. 3.21%
Biogen, Inc. 2.23
Quest Diagnostics, Inc. 2.10
United Therapeutics Corp. 2.09
Avantor, Inc. 2.03
Cigna Corp. 2.02
DaVita, Inc. 1.93
HCA Healthcare, Inc. 1.91
Boston Scientific Corp. 1.91
Bio-Rad Laboratories, Inc., Class A 1.90
-------
Total 21.33%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Health Care Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Health Care Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 12
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Health Care Index Index Health Care Index Health Care Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 12,236 12,289 11,876 11,188 11,326
7/31/11 13,267 13,377 12,068 12,193 12,316
1/31/12 13,305 13,470 12,345 12,939 13,011
7/31/12 13,954 14,156 13,029 14,074 14,188
1/31/13 16,574 16,879 14,447 15,900 16,132
7/31/13 19,883 20,333 16,446 19,088 19,453
1/31/14 23,348 23,958 17,659 21,125 21,648
7/31/14 24,810 25,532 19,252 23,178 23,678
1/31/15 28,574 29,500 20,090 26,551 27,282
7/31/15 32,514 33,695 21,415 29,542 30,610
1/31/16 25,039 26,019 19,726 25,908 26,355
7/31/16 28,742 29,961 22,452 29,545 30,174
1/31/17 27,799 29,059 23,830 27,894 28,645
7/31/17 31,249 32,776 26,032 31,911 32,718
1/31/18 34,621 36,431 29,987 35,520 36,363
7/31/18 35,864 37,870 30,245 36,159 37,301
1/31/19 34,885 36,953 29,334 37,175 38,323
7/31/19 36,242 38,550 32,666 37,707 39,262
1/31/20 38,609 41,206 35,609 41,673 43,066
7/31/20 44,488 47,649 36,596 44,788 47,266
1/31/21 50,671 54,439 42,675 49,294 52,588
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the
StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in the common stocks that comprise the Industrials Index. The shares of the Fund
are listed and trade on the NYSE Arca under the ticker symbol "FXR."
The Industrials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
industrials and producer durables sectors that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)
selection methodology. Alpha is an indication of how much an investment
outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
IDI constructs the Industrials Index using the ICB sector scheme to determine a
stock's sector membership.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 26.57% 13.79% 16.23% 11.07% 7.68% 112.12% 185.66% 176.40%
Market Price 26.58% 13.82% 16.22% 11.05% 7.68% 112.07% 185.15% 176.35%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index 26.97% 14.54% 17.04% 11.85% 8.46% 119.60% 206.32% 204.90%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Industrials Index 19.33% 6.77% 12.72% 11.00% 7.88% 81.96% 183.96% 183.44%
Russell 1000(R) Industrials Index(1) 19.67% 7.45% 13.69% 11.53% N/A 89.96% 197.91% N/A
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 65.72%
Information Technology 15.69
Materials 13.22
Consumer Discretionary 1.54
Utilities 1.35
Financials 1.34
Health Care 1.14
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Brunswick Corp. 1.54%
Generac Holdings, Inc. 1.47
Axon Enterprise, Inc. 1.45
Oshkosh Corp. 1.44
Snap-on, Inc. 1.42
MKS Instruments, Inc. 1.42
United Rentals, Inc. 1.42
Schneider National, Inc., Class B 1.38
Zebra Technologies Corp., Class A 1.37
MDU Resources Group, Inc. 1.35
-------
Total 14.26%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Industrials Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS. On September 18, 2020, the name
of the Russell 1000(R) Producer Durables Index was changed to Russell 1000(R)
Industrials Index.
StrataQuant(R) and StrataQuant(R) Industrials Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 14
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Industrials/
Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Industrials Index Index Industrials Index Industrials Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 12,318 12,368 11,876 12,080 12,205
7/31/11 11,769 11,856 12,068 11,639 11,771
1/31/12 12,158 12,306 12,345 12,316 12,377
7/31/12 11,684 11,868 13,029 12,413 12,405
1/31/13 13,948 14,222 14,447 14,031 14,225
7/31/13 16,114 16,489 16,446 15,972 16,261
1/31/14 18,586 19,096 17,659 17,847 18,226
7/31/14 19,730 20,347 19,252 18,643 19,027
1/31/15 19,797 20,485 20,090 19,774 20,151
7/31/15 19,987 20,729 21,415 19,931 20,496
1/31/16 16,589 17,252 19,726 18,852 19,141
7/31/16 19,820 20,691 22,452 22,016 22,276
1/31/17 23,166 24,320 23,830 24,107 24,604
7/31/17 24,341 25,638 26,032 26,045 26,695
1/31/18 28,990 30,638 29,987 30,296 31,378
7/31/18 28,619 30,340 30,245 29,430 30,662
1/31/19 26,681 28,347 29,334 27,796 29,074
7/31/19 29,669 31,630 32,666 30,484 32,176
1/31/20 30,922 33,075 35,609 32,130 33,840
7/31/20 27,801 29,837 36,596 28,746 30,383
1/31/21 35,188 37,884 42,675 34,302 36,359
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Materials Index (the
"Materials Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Materials Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXZ."
The Materials Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
materials and processing sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Materials Index using the ICB sector scheme to determine a stock's sector
membership.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 33.93% 31.23% 14.43% 8.51% 8.02% 96.20% 126.40% 188.33%
Market Price 33.93% 31.30% 14.43% 8.51% 8.02% 96.20% 126.40% 188.33%
INDEX PERFORMANCE
StrataQuant(R) Materials Index 34.45% 32.20% 15.26% 9.32% 8.82% 103.41% 143.84% 219.19%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Materials Index 18.25% 25.61% 15.14% 8.74% 6.70% 102.36% 131.15% 143.70%
Russell 1000(R) Basic Materials
Index(1) 15.44% 21.48% 14.62% 9.05% N/A 97.83% 137.85% N/A
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Materials 85.18%
Industrials 14.82
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Scotts Miracle-Gro (The) Co. 5.37%
Royal Gold, Inc. 4.86
Newmont Corp. 4.81
Timken (The) Co. 4.73
Reliance Steel & Aluminum Co. 4.69
Westlake Chemical Corp. 4.53
Steel Dynamics, Inc. 4.49
CF Industries Holdings, Inc. 4.13
Huntsman Corp. 4.06
NewMarket Corp. 3.81
-------
Total 45.48%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Basic Materials Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS. On September 18,
2020, the name of the Russell 1000(R) Materials and Processing Index was changed
to Russell 1000(R) Basic Materials Index.
StrataQuant(R) and StrataQuant(R) Materials Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 16
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Materials Index Index Materials Index Basic Materials Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 12,281 12,329 11,876 12,478 12,528
7/31/11 12,313 12,414 12,068 12,510 12,705
1/31/12 12,165 12,330 12,345 12,527 12,852
7/31/12 11,725 11,929 13,029 11,859 12,218
1/31/13 14,243 14,556 14,447 13,454 14,088
7/31/13 14,703 15,080 16,446 14,081 14,816
1/31/14 16,489 16,978 17,659 15,526 16,279
7/31/14 17,310 17,883 19,252 17,336 17,766
1/31/15 16,069 16,646 20,090 17,064 17,439
7/31/15 16,554 17,212 21,415 16,601 17,249
1/31/16 14,172 14,778 19,726 14,251 15,062
7/31/16 18,785 19,662 22,452 17,996 19,150
1/31/17 20,780 21,821 23,830 19,455 20,833
7/31/17 21,418 22,569 26,032 20,619 22,044
1/31/18 25,252 26,709 29,987 23,979 25,522
7/31/18 24,244 25,734 30,245 22,977 24,583
1/3/119 21,000 22,355 29,334 20,718 22,105
7/31/19 21,803 23,300 32,667 22,944 24,419
1/31/20 21,188 22,734 35,610 22,957 24,532
7/31/20 20,759 22,358 36,596 24,392 25,814
1/31/21 27,802 30,061 42,675 28,844 29,800
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Technology Index (the
"Technology Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Technology Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXL."
The Technology Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
technology sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Technology
Index using the ICB sector scheme to determine a stock's sector membership.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 24.39% 51.72% 30.34% 17.18% 13.64% 276.18% 388.12% 479.31%
Market Price 24.38% 51.72% 30.34% 17.17% 13.64% 276.20% 387.58% 479.15%
INDEX PERFORMANCE
StrataQuant(R) Technology Index 24.86% 52.81% 31.05% 17.94% 14.46% 286.50% 420.74% 539.16%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Information Technology
Index 17.43% 37.14% 28.83% 20.07% 15.39% 254.84% 522.57% 613.80%
Russell 1000(R) Technology Index(1) 19.55% 41.88% 29.07% 19.39% N/A 258.24% 488.37% N/A
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 96.40%
Communication Services 2.70
Industrials 0.58
Consumer Discretionary 0.32
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
PagerDuty, Inc. 1.95%
Applied Materials, Inc. 1.87
Intel Corp. 1.86
PTC, Inc. 1.85
Twilio, Inc., Class A 1.77
Inphi Corp. 1.75
Elastic N.V. 1.74
Pinterest, Inc., Class A 1.74
MongoDB, Inc. 1.72
Lam Research Corp. 1.71
-------
Total 17.96%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Technology Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Technology Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 18
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information Russell 1000(R)
AlphaDEX(R) Fund Technology Index Index Technology Index Technology Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 13,099 13,154 11,876 11,981 12,062
7/31/11 12,039 12,141 12,068 11,920 11,879
1/31/12 12,193 12,350 12,345 12,670 12,604
7/31/12 11,581 11,774 13,029 13,475 13,131
1/31/13 12,679 12,944 14,447 13,700 13,218
7/31/13 14,424 14,782 16,446 14,976 14,423
1/31/14 16,607 17,089 17,659 16,923 16,385
7/31/14 17,682 18,258 19,252 19,187 18,641
1/31/15 18,670 19,339 20,090 20,049 19,359
7/31/15 19,578 20,344 21,415 21,639 20,654
1/31/16 16,997 17,722 19,726 21,020 19,811
7/31/16 19,659 20,566 22,452 23,754 22,541
1/31/17 22,368 23,390 23,830 26,256 25,037
7/31/17 25,699 26,955 26,032 30,756 29,153
1/31/18 31,669 33,330 29,987 37,574 35,493
7/31/18 32,264 34,070 30,245 39,513 37,261
1/31/19 33,777 35,671 29,334 37,233 35,581
7/31/19 39,749 42,113 32,667 45,726 42,409
1/31/20 42,146 44,829 35,610 54,391 50,025
7/31/20 51,416 54,859 36,596 63,521 59,361
1/31/21 63,957 68,497 42,675 74,593 70,966
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 19
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Utilities Index (the
"Utilities Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXU."
The Utilities Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
utilities sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Utilities
Index using the ICB sector scheme to determine a stock's sector membership.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 2.79% -2.35% 7.23% 8.33% 5.68% 41.79% 122.55% 113.58%
Market Price 2.75% -2.38% 7.23% 8.32% 5.68% 41.80% 122.34% 113.48%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index 3.19% -1.82% 7.92% 9.14% 6.51% 46.36% 139.89% 137.74%
Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30%
S&P 500(R) Utilities Index 3.92% -6.65% 10.22% 11.04% 6.85% 62.70% 184.84% 148.54%
Russell 1000(R) Utilities Index(1) 5.66% -4.59% 8.52% 9.74% N/A 50.48% 153.34% N/A
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Utilities 94.19%
Industrials 5.81
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
NRG Energy, Inc. 4.70%
UGI Corp. 4.38
Avangrid, Inc. 4.33
Vistra Corp. 4.33
Exelon Corp. 4.19
PPL Corp. 4.18
Consolidated Edison, Inc. 4.17
Pinnacle West Capital Corp. 4.01
DTE Energy Co. 3.33
Public Service Enterprise Group, Inc. 3.30
-------
Total 40.92%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Utilities Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Utilities Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 20
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Utilities Index Index Utilities Index Utilities Index
<S> <C> <C> <C> <C> <C>
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 11,139 11,183 11,876 10,681 11,108
7/31/11 11,703 11,797 12,068 11,409 11,748
1/31/12 11,616 11,757 12,345 12,202 12,139
7/31/12 12,480 12,688 13,029 13,611 14,233
1/31/13 12,996 13,258 14,447 13,451 14,122
7/31/13 14,466 14,888 16,446 14,701 15,466
1/31/14 14,877 15,377 17,659 14,957 15,568
7/31/14 16,359 16,976 19,252 16,062 16,977
1/31/15 18,461 19,217 20,090 19,173 18,235
7/31/15 17,301 18,069 21,415 17,741 17,667
1/31/16 17,481 18,326 19,726 18,699 18,704
7/31/16 21,221 22,338 22,452 21,840 22,025
1/31/17 21,378 22,581 23,830 20,982 21,325
7/31/17 21,978 23,290 26,032 23,086 22,221
1/31/18 20,774 22,084 29,987 22,518 22,318
7/31/18 21,738 23,201 30,245 23,739 22,475
1/31/19 23,110 24,753 29,334 25,013 23,513
7/31/19 24,284 26,060 32,667 27,662 25,789
1/31/20 25,381 27,322 35,610 32,592 29,502
7/31/20 24,116 25,998 36,596 29,275 26,634
1/31/21 24,789 26,828 42,675 30,423 28,141
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 21
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the period since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary
market trading) the NAV of each Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in each Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 22
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JANUARY 31, 2021 (UNAUDITED)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First
Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund,
First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R)
Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust
Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First
Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service (12b-1) fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended January 31, 2021.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
AUGUST 1, 2020 JANUARY 31, 2021 PERIOD PERIOD (a)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
Actual $1,000.00 $1,325.60 0.61% $3.58
Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
Actual $1,000.00 $1,080.00 0.64% $3.36
Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.64% $3.26
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
Actual $1,000.00 $1,345.00 0.63% $3.72
Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
Actual $1,000.00 $1,374.70 0.64% $3.83
Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.64% $3.26
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
Actual $1,000.00 $1,139.00 0.61% $3.29
Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11
</TABLE>
Page 23
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
AUGUST 1, 2020 JANUARY 31, 2021 PERIOD PERIOD (a)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
Actual $1,000.00 $1,265.70 0.63% $3.60
Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
Actual $1,000.00 $1,339.30 0.65% $3.83
Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
Actual $1,000.00 $1,243.90 0.61% $3.45
Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
Actual $1,000.00 $1,027.90 0.67% $3.42
Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.67% $3.41
</TABLE>
(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (August 1,
2020 through January 31, 2021), multiplied by 184/365 (to reflect the
six-month period).
Page 24
<PAGE>
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
(FXD)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 100.0%
AUTO COMPONENTS -- 3.7%
120,818 Aptiv PLC $ 16,141,285
407,399 BorgWarner, Inc. 17,106,684
347,962 Gentex Corp. 11,500,144
49,490 Lear Corp. 7,461,112
---------------
52,209,225
---------------
AUTOMOBILES -- 6.4%
1,790,888 Ford Motor Co. (a) 18,858,051
472,564 General Motors Co. 23,949,543
107,233 Harley-Davidson, Inc. 4,298,971
27,884 Tesla, Inc. (a) 22,126,790
169,288 Thor Industries, Inc. 20,485,541
---------------
89,718,896
---------------
BUILDING PRODUCTS -- 0.8%
137,733 Fortune Brands Home &
Security, Inc. 11,879,471
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.2%
92,781 Copart, Inc. (a) 10,182,715
181,694 IAA, Inc. (a) 10,381,995
302,190 Rollins, Inc. 10,884,884
---------------
31,449,594
---------------
DISTRIBUTORS -- 2.2%
446,702 LKQ Corp. (a) 15,674,773
42,262 Pool Corp. 14,968,355
---------------
30,643,128
---------------
DIVERSIFIED CONSUMER SERVICES
-- 5.4%
22,745 Bright Horizons Family
Solutions, Inc. (a) 3,456,558
174,270 Chegg, Inc. (a) 16,600,960
156,756 frontdoor, Inc. (a) 8,627,850
36,894 Graham Holdings Co., Class B 20,959,851
169,063 Grand Canyon Education,
Inc. (a) 14,360,211
248,140 H&R Block, Inc. 4,275,452
160,304 Service Corp. International 8,084,131
---------------
76,365,013
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.8%
121,555 Dolby Laboratories, Inc.,
Class A 10,700,487
---------------
ENTERTAINMENT -- 6.2%
84,769 Activision Blizzard, Inc. 7,713,979
54,809 Electronic Arts, Inc. 7,848,649
692,262 Lions Gate Entertainment Corp.,
Class A (a) (b) 9,684,745
107,119 Live Nation Entertainment,
Inc. (a) 7,118,058
37,467 Madison Square Garden
Entertainment Corp. (a) 3,325,196
14,554 Netflix, Inc. (a) 7,748,404
50,025 Spotify Technology S.A. (a) 15,757,875
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
ENTERTAINMENT (CONTINUED)
75,755 Take-Two Interactive Software,
Inc. (a) $ 15,185,090
81,906 World Wrestling Entertainment,
Inc., Class A 4,613,765
797,465 Zynga, Inc., Class A (a) 7,902,878
---------------
86,898,639
---------------
FOOD & STAPLES RETAILING -- 2.1%
41,781 Costco Wholesale Corp. 14,724,878
109,208 Walmart, Inc. 15,342,632
---------------
30,067,510
---------------
HOTELS, RESTAURANTS & LEISURE
-- 6.2%
8,515 Chipotle Mexican Grill, Inc. (a) 12,602,200
10,262 Domino's Pizza, Inc. 3,804,739
816,486 Extended Stay America, Inc. 11,986,015
53,004 Hyatt Hotels Corp., Class A 3,480,243
18,338 McDonald's Corp. 3,811,370
624,481 MGM Resorts International 17,835,177
73,571 Starbucks Corp. 7,122,409
28,219 Vail Resorts, Inc. 7,505,125
34,879 Wynn Resorts Ltd. 3,471,507
206,806 Yum China Holdings, Inc. 11,727,968
36,256 Yum! Brands, Inc. 3,679,621
---------------
87,026,374
---------------
HOUSEHOLD DURABLES -- 13.2%
285,514 D.R. Horton, Inc. 21,927,475
98,665 Garmin Ltd. 11,332,662
266,508 Leggett & Platt, Inc. 10,926,828
258,137 Lennar Corp., Class A 21,464,092
139,600 Mohawk Industries, Inc. (a) 20,046,560
185,375 Newell Brands, Inc. 4,452,708
3,857 NVR, Inc. (a) 17,150,073
456,336 PulteGroup, Inc. 19,850,616
728,796 Tempur Sealy International,
Inc. (a) 19,240,214
452,671 Toll Brothers, Inc. 23,131,488
87,221 Whirlpool Corp. 16,143,735
---------------
185,666,451
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 7.2%
3,628 Amazon.com, Inc. (a) 11,632,094
1,764 Booking Holdings, Inc. (a) 3,429,798
234,950 eBay, Inc. 13,277,024
110,599 Etsy, Inc. (a) 22,019,155
118,899 Expedia Group, Inc. 14,755,366
1,793,752 Qurate Retail, Inc., Series A 22,601,275
52,290 Wayfair, Inc., Class A (a) 14,239,613
---------------
101,954,325
---------------
LEISURE PRODUCTS -- 3.4%
42,067 Hasbro, Inc. 3,946,726
1,127,647 Mattel, Inc. (a) 20,432,964
129,696 Peloton Interactive, Inc.,
Class A (a) 18,952,476
41,304 Polaris, Inc. 4,818,938
---------------
48,151,104
---------------
See Notes to Financial Statements Page 25
<PAGE>
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA -- 8.6%
653,951 Discovery, Inc., Class A (a) $ 27,086,650
675,738 Fox Corp., Class A 21,069,511
501,980 Interpublic Group of (The)
Cos., Inc. 12,082,659
76,021 New York Times (The) Co.,
Class A 3,769,881
180,210 Nexstar Media Group, Inc.,
Class A 20,484,471
189,295 Omnicom Group, Inc. 11,808,222
617,819 Sirius XM Holdings, Inc. (b) 3,867,547
422,486 ViacomCBS, Inc., Class B 20,490,571
---------------
120,659,512
---------------
MULTILINE RETAIL -- 4.1%
37,429 Dollar General Corp. 7,284,058
109,280 Dollar Tree, Inc. (a) 11,109,405
290,152 Kohl's Corp. 12,784,097
144,382 Ollie's Bargain Outlet Holdings,
Inc. (a) 13,677,307
66,883 Target Corp. 12,117,193
---------------
56,972,060
---------------
PERSONAL PRODUCTS -- 0.5%
29,567 Estee Lauder (The) Cos., Inc.,
Class A 6,997,030
---------------
PROFESSIONAL SERVICES -- 0.3%
188,573 Nielsen Holdings PLC 4,210,835
---------------
ROAD & RAIL -- 2.5%
43,348 AMERCO 20,045,849
308,667 Uber Technologies, Inc. (a) 15,720,410
---------------
35,766,259
---------------
SOFTWARE -- 2.2%
295,092 2U, Inc. (a) 12,069,263
24,568 Trade Desk (The), Inc.,
Class A (a) 18,818,842
---------------
30,888,105
---------------
SPECIALTY RETAIL -- 18.2%
74,959 Advance Auto Parts, Inc. 11,179,385
225,563 AutoNation, Inc. (a) 16,078,131
6,636 AutoZone, Inc. (a) 7,421,503
157,747 Best Buy Co., Inc. 17,166,029
15,046 Burlington Stores, Inc. (a) 3,744,949
83,321 CarMax, Inc. (a) 9,813,547
82,144 Carvana Co. (a) 21,455,191
280,050 Dick's Sporting Goods, Inc. 18,766,151
89,966 Five Below, Inc. (a) 15,809,725
211,923 Floor & Decor Holdings, Inc.,
Class A (a) 19,511,751
486,585 Foot Locker, Inc. 21,322,155
29,629 Home Depot (The), Inc. 8,024,126
73,553 Lowe's Cos., Inc. 12,272,318
8,693 O'Reilly Automotive, Inc. (a) 3,698,611
331,324 Penske Automotive Group, Inc. 19,826,428
64,096 Ross Stores, Inc. 7,133,244
115,258 TJX (The) Cos., Inc. 7,381,122
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
55,984 Tractor Supply Co. $ 7,935,172
27,408 Ulta Beauty, Inc. (a) 7,667,662
154,571 Williams-Sonoma, Inc. 19,927,293
---------------
256,134,493
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 3.8%
83,670 Carter's, Inc. 7,366,307
45,038 Columbia Sportswear Co. 3,939,023
1,079,689 Hanesbrands, Inc. 16,508,445
11,307 Lululemon Athletica, Inc. (a) 3,716,385
55,639 NIKE, Inc., Class B 7,432,814
37,939 Ralph Lauren Corp. 3,833,736
219,007 Skechers U.S.A., Inc.,
Class A (a) 7,551,361
46,078 VF Corp. 3,542,016
---------------
53,890,087
---------------
TOTAL COMMON STOCKS
-- 100.0% 1,408,248,598
(Cost $1,148,718,403) ---------------
MONEY MARKET FUNDS -- 0.4%
4,896,792 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 4,896,792
894,876 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 894,876
---------------
TOTAL MONEY MARKET FUNDS
-- 0.4% 5,791,668
(Cost $5,791,668) ---------------
TOTAL INVESTMENTS -- 100.4% 1,414,040,266
(Cost $1,154,510,071) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.4)% (5,688,142)
---------------
NET ASSETS -- 100.0% $ 1,408,352,124
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $4,700,658 and the
total value of the collateral held by the Fund is $4,896,792.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $265,812,469 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $6,282,274. The net unrealized
appreciation was $259,530,195.
Page 26 See Notes to Financial Statements
<PAGE>
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $1,408,248,598 $ -- $ --
Money Market
Funds 5,791,668 -- --
---------------------------------------------
Total Investments $1,414,040,266 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 4,700,658
Non-cash Collateral(2) (4,700,658)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 27
<PAGE>
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.7%
BEVERAGES -- 10.8%
7,614 Boston Beer (The) Co., Inc.,
Class A (a) $ 6,981,200
118,266 Keurig Dr Pepper, Inc. 3,760,859
209,368 Molson Coors Beverage Co.,
Class B 10,501,899
40,923 Monster Beverage Corp. (a) 3,553,344
---------------
24,797,302
---------------
CHEMICALS -- 2.5%
146,611 Corteva, Inc. 5,843,915
---------------
FOOD & STAPLES RETAILING
-- 20.4%
538,183 Albertsons Cos., Inc.,
Class A (b) 9,348,239
42,371 Casey's General Stores, Inc. 7,943,715
48,209 Grocery Outlet Holding Corp. (a) 2,058,042
297,902 Kroger (The) Co. 10,277,619
470,711 Sprouts Farmers Market, Inc. (a) 10,661,604
25,478 Sysco Corp. 1,821,932
94,901 Walgreens Boots Alliance, Inc. 4,768,775
---------------
46,879,926
---------------
FOOD PRODUCTS -- 42.8%
150,152 Archer-Daniels-Midland Co. 7,509,102
115,413 Bunge Ltd. 7,552,627
117,412 Campbell Soup Co. 5,648,691
208,744 Conagra Brands, Inc. 7,222,543
83,619 Flowers Foods, Inc. 1,919,892
128,723 General Mills, Inc. 7,478,806
12,424 Hershey (The) Co. 1,806,947
121,793 Hormel Foods Corp. 5,707,220
120,262 Ingredion, Inc. 9,076,173
81,846 J.M. Smucker (The) Co. 9,527,693
91,219 Kellogg Co. 5,376,448
97,091 Mondelez International, Inc.,
Class A 5,382,725
385,979 Pilgrim's Pride Corp. (a) 7,480,273
18,732 Post Holdings, Inc. (a) 1,776,730
133,605 TreeHouse Foods, Inc. (a) 5,642,139
146,827 Tyson Foods, Inc., Class A 9,442,444
---------------
98,550,453
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 7.7%
19,356 AmerisourceBergen Corp. 2,016,895
138,527 CVS Health Corp. 9,925,460
32,639 McKesson Corp. 5,694,526
---------------
17,636,881
---------------
HOUSEHOLD PRODUCTS -- 9.6%
18,743 Clorox (The) Co. 3,925,909
22,133 Colgate-Palmolive Co. 1,726,374
28,069 Kimberly-Clark Corp. 3,707,915
27,200 Procter & Gamble (The) Co. 3,487,312
188,978 Reynolds Consumer Products,
Inc. 5,669,340
47,918 Spectrum Brands Holdings, Inc. 3,621,163
---------------
22,138,013
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
PERSONAL PRODUCTS -- 4.3%
39,382 Herbalife Nutrition Ltd. (a) $ 2,006,907
138,555 Nu Skin Enterprises, Inc.,
Class A 8,018,178
---------------
10,025,085
---------------
TOBACCO -- 1.6%
45,716 Philip Morris International,
Inc. 3,641,279
---------------
TOTAL COMMON STOCKS
-- 99.7% 229,512,854
(Cost $214,050,533) ---------------
MONEY MARKET FUNDS -- 3.7%
8,179,103 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 8,179,103
426,464 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 426,464
---------------
TOTAL MONEY MARKET FUNDS
-- 3.7% 8,605,567
(Cost $8,605,567) ---------------
TOTAL INVESTMENTS -- 103.4% 238,118,421
(Cost $222,656,100) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.4)% (7,900,825)
---------------
NET ASSETS -- 100.0% $ 230,217,596
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $7,914,971 and the
total value of the collateral held by the Fund is $8,179,103.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $23,148,612 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $7,686,291. The net unrealized
appreciation was $15,462,321.
Page 28 See Notes to Financial Statements
<PAGE>
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 229,512,854 $ -- $ --
Money Market
Funds 8,605,567 -- --
---------------------------------------------
Total Investments $ 238,118,421 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 7,914,971
Non-cash Collateral(2) (7,914,971)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 29
<PAGE>
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.8%
ENERGY EQUIPMENT & SERVICES
-- 7.8%
147,973 Baker Hughes Co. $ 2,972,778
71,418 Halliburton Co. 1,259,099
199,824 Helmerich & Payne, Inc. 4,851,727
224,708 NOV, Inc. 2,781,885
61,834 Schlumberger N.V. 1,373,333
---------------
13,238,822
---------------
OIL, GAS & CONSUMABLE FUELS
-- 80.4%
400,173 Antero Midstream Corp. 3,241,401
95,121 Apache Corp. 1,358,328
473,793 Cabot Oil & Gas Corp. 8,684,626
102,790 Cheniere Energy, Inc. (a) 6,509,691
73,067 Chevron Corp. 6,225,308
35,985 Cimarex Energy Co. 1,517,847
187,495 ConocoPhillips 7,505,425
473,210 Continental Resources, Inc. (b) 9,317,505
85,381 Devon Energy Corp. 1,405,371
63,743 Diamondback Energy, Inc. 3,613,591
123,738 EOG Resources, Inc. 6,305,688
364,119 EQT Corp. 5,938,781
767,489 Equitrans Midstream Corp. 5,103,802
187,125 Exxon Mobil Corp. 8,390,685
25,572 Hess Corp. 1,380,376
179,030 HollyFrontier Corp. 5,095,194
451,404 Kinder Morgan, Inc. 6,355,768
1,156,419 Marathon Oil Corp. 8,372,473
74,598 Marathon Petroleum Corp. 3,219,650
382,481 Murphy Oil Corp. 4,731,290
178,237 Occidental Petroleum Corp. 3,575,434
120,584 ONEOK, Inc. 4,802,861
44,114 Phillips 66 2,990,929
54,182 Pioneer Natural Resources Co. 6,550,604
51,172 Targa Resources Corp. 1,400,578
136,353 Valero Energy Corp. 7,694,400
230,821 Williams (The) Cos., Inc. 4,900,330
---------------
136,187,936
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 11.6%
43,958 Enphase Energy, Inc. (a) 8,015,741
46,785 First Solar, Inc. (a) 4,638,733
24,170 SolarEdge Technologies, Inc. (a) 6,968,936
---------------
19,623,410
---------------
TOTAL COMMON STOCKS
-- 99.8% 169,050,168
(Cost $161,581,759) ---------------
MONEY MARKET FUNDS -- 4.7%
7,757,080 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 7,757,080
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MONEY MARKET FUNDS
(CONTINUED)
151,459 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) $ 151,459
---------------
TOTAL MONEY MARKET FUNDS
-- 4.7% 7,908,539
(Cost $7,908,539) ---------------
TOTAL INVESTMENTS -- 104.5% 176,958,707
(Cost $169,490,298) (e)
NET OTHER ASSETS AND
LIABILITIES -- (4.5)% (7,599,925)
---------------
NET ASSETS -- 100.0% $ 169,358,782
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $7,204,571 and the
total value of the collateral held by the Fund is $7,757,080.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $14,769,569 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $7,301,160. The net unrealized
appreciation was $7,468,409.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 169,050,168 $ -- $ --
Money Market
Funds 7,908,539 -- --
---------------------------------------------
Total Investments $ 176,958,707 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
Page 30 See Notes to Financial Statements
<PAGE>
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 7,204,571
Non-cash Collateral(2) (7,204,571)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 31
<PAGE>
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.8%
BANKS -- 31.9%
713,227 Associated Banc-Corp. $ 12,795,292
152,836 Bank of America Corp. 4,531,587
30,241 Bank of Hawaii Corp. 2,364,544
222,233 Bank OZK 8,258,178
135,308 BOK Financial Corp. 9,993,849
150,261 Citigroup, Inc. 8,713,635
129,548 Citizens Financial Group, Inc. 4,720,729
124,404 Comerica, Inc. 7,115,909
53,112 Cullen/Frost Bankers, Inc. 4,899,051
137,040 East West Bancorp, Inc. 8,214,178
975,282 F.N.B. Corp. 9,616,281
252,039 Fifth Third Bancorp 7,291,488
12,109 First Citizens BancShares, Inc.,
Class A 7,216,843
196,475 First Hawaiian, Inc. 4,568,044
726,123 First Horizon Corp. 10,085,848
550,196 Huntington Bancshares, Inc. 7,276,342
36,447 JPMorgan Chase & Co. 4,689,635
282,304 KeyCorp 4,759,645
72,770 M&T Bank Corp. 9,639,842
716,566 People's United Financial, Inc. 9,788,292
71,923 Pinnacle Financial Partners,
Inc. 4,928,883
31,100 PNC Financial Services Group
(The), Inc. 4,463,472
164,514 Popular, Inc. 9,336,170
100,175 Prosperity Bancshares, Inc. 6,755,802
143,678 Regions Financial Corp. 2,443,963
34,238 Signature Bank 5,655,775
386,484 Sterling Bancorp 7,134,495
5,968 SVB Financial Group (a) 2,612,671
143,111 Synovus Financial Corp. 5,323,729
187,712 TCF Financial Corp. 7,294,488
144,992 Truist Financial Corp. 6,956,716
99,443 U.S. Bancorp 4,261,133
109,896 Webster Financial Corp. 5,137,638
76,753 Wells Fargo & Co. 2,293,380
77,271 Western Alliance Bancorp 5,268,337
75,840 Wintrust Financial Corp. 4,564,810
106,651 Zions Bancorp N.A. 4,707,575
---------------
235,678,249
---------------
CAPITAL MARKETS -- 21.4%
22,776 Affiliated Managers Group, Inc. 2,509,687
11,913 Ameriprise Financial, Inc. 2,357,225
286,536 Bank of New York Mellon
(The) Corp. 11,412,729
74,627 Cboe Global Markets, Inc. 6,845,535
42,250 Evercore, Inc., Class A 4,609,475
486,615 Franklin Resources, Inc. 12,793,108
26,339 Goldman Sachs Group (The),
Inc. 7,142,347
20,101 Intercontinental Exchange, Inc. 2,218,145
697,674 Invesco Ltd. 14,365,108
57,218 KKR & Co., Inc. 2,228,641
54,765 Lazard Ltd., Class A 2,256,318
88,909 LPL Financial Holdings, Inc. 9,632,401
4,069 MarketAxess Holdings, Inc. 2,200,352
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
135,190 Morgan Stanley $ 9,064,490
52,502 Morningstar, Inc. 12,069,685
10,385 MSCI, Inc. 4,105,191
17,441 Nasdaq, Inc. 2,359,244
49,742 Northern Trust Corp. 4,436,489
48,429 Raymond James Financial, Inc. 4,839,510
161,217 SEI Investments Co. 8,520,318
127,313 State Street Corp. 8,911,910
61,200 T. Rowe Price Group, Inc. 9,576,576
483,141 Virtu Financial, Inc., Class A 13,416,826
---------------
157,871,310
---------------
CONSUMER FINANCE -- 6.7%
259,829 Ally Financial, Inc. 9,831,930
20,087 Credit Acceptance Corp. (a) (b) 7,748,962
192,387 OneMain Holdings, Inc. 8,957,539
420,762 Santander Consumer USA
Holdings, Inc. 9,298,840
981,489 SLM Corp. 13,623,067
---------------
49,460,338
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 3.2%
52,438 Berkshire Hathaway, Inc.,
Class B (a) 11,949,047
494,322 Jefferies Financial Group, Inc. 11,542,419
---------------
23,491,466
---------------
INSURANCE -- 31.5%
273,456 Aflac, Inc. 12,354,742
110,618 Allstate (The) Corp. 11,856,037
26,445 American Financial Group, Inc. 2,489,532
256,876 Arch Capital Group Ltd. (a) 8,068,475
18,714 Arthur J. Gallagher & Co. 2,159,783
16,996 Assurant, Inc. 2,302,448
386,170 Assured Guaranty Ltd. 13,805,578
214,772 Athene Holding Ltd., Class A (a) 8,782,027
48,863 Brown & Brown, Inc. 2,105,507
15,058 Chubb Ltd. 2,193,499
79,522 Cincinnati Financial Corp. 6,687,005
9,422 Erie Indemnity Co., Class A 2,290,488
39,585 Everest Re Group Ltd. 8,355,602
237,031 Fidelity National Financial,
Inc. 8,604,225
235,530 First American Financial Corp. 12,315,864
73,166 Globe Life, Inc. 6,613,475
59,437 Hanover Insurance Group
(The), Inc. 6,684,879
248,268 Hartford Financial Services
Group (The), Inc. 11,921,829
158,277 Kemper Corp. 11,134,787
184,152 Lincoln National Corp. 8,377,074
2,234 Markel Corp. (a) 2,165,818
259,017 MetLife, Inc. 12,471,669
247,607 Old Republic International
Corp. 4,481,687
17,295 Primerica, Inc. 2,409,366
140,073 Principal Financial Group, Inc. 6,901,397
98,179 Progressive (The) Corp. 8,560,227
Page 32 See Notes to Financial Statements
<PAGE>
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
59,954 Reinsurance Group of America,
Inc. $ 6,298,168
41,898 RenaissanceRe Holdings Ltd. 6,303,135
49,496 Travelers (The) Cos., Inc. 6,746,305
530,099 Unum Group 12,314,200
12,158 White Mountains Insurance
Group Ltd. 12,401,160
10,993 Willis Towers Watson PLC 2,230,919
---------------
232,386,907
---------------
IT SERVICES -- 0.3%
15,124 Broadridge Financial Solutions,
Inc. 2,137,172
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.6%
240,037 Starwood Property Trust, Inc. 4,503,094
---------------
THRIFTS & MORTGAGE FINANCE
-- 4.2%
968,967 MGIC Investment Corp. 11,356,293
658,669 New York Community Bancorp,
Inc. 6,889,678
601,410 Rocket Cos., Inc.,
Class A (a) (b) 12,846,117
---------------
31,092,088
---------------
TOTAL COMMON STOCKS
-- 99.8% 736,620,624
(Cost $654,293,505) ---------------
MONEY MARKET FUNDS -- 2.3%
15,563,858 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 15,563,858
1,178,611 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 1,178,611
---------------
TOTAL MONEY MARKET FUNDS
-- 2.3% 16,742,469
(Cost $16,742,469) ---------------
TOTAL INVESTMENTS -- 102.1% 753,363,093
(Cost $671,035,974) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.1)% (15,358,438)
---------------
NET ASSETS -- 100.0% $ 738,004,655
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $15,426,219 and the
total value of the collateral held by the Fund is $15,563,858.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $93,920,127 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $11,593,008. The net unrealized
appreciation was $82,327,119.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 736,620,624 $ -- $ --
Money Market
Funds 16,742,469 -- --
---------------------------------------------
Total Investments $ 753,363,093 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 15,426,219
Non-cash Collateral(2) (15,426,219)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 33
<PAGE>
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 100%
BIOTECHNOLOGY -- 17.9%
146,579 AbbVie, Inc. $ 15,021,416
207,380 ACADIA Pharmaceuticals,
Inc. (a) 9,964,609
122,760 Acceleron Pharma, Inc. (a) 14,182,463
177,396 Alexion Pharmaceuticals,
Inc. (a) 27,200,129
113,193 Biogen, Inc. (a) 31,989,474
252,857 BioMarin Pharmaceutical,
Inc. (a) 20,931,502
167,356 Exact Sciences Corp. (a) 22,954,549
552,394 Exelixis, Inc. (a) 12,268,671
265,304 Moderna, Inc. (a) 45,940,040
256,306 Sage Therapeutics, Inc. (a) 20,671,079
65,028 Sarepta Therapeutics, Inc. (a) 5,813,503
182,596 United Therapeutics Corp. (a) 29,912,877
---------------
256,850,312
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 21.5%
47,816 Abbott Laboratories 5,909,580
34,196 ABIOMED, Inc. (a) 11,908,757
41,493 Align Technology, Inc. (a) 21,799,592
65,246 Baxter International, Inc. 5,012,850
20,923 Becton, Dickinson and Co. 5,477,432
770,970 Boston Scientific Corp. (a) 27,323,177
14,409 Cooper (The) Cos., Inc. 5,245,452
23,568 Danaher Corp. 5,605,413
57,386 Edwards Lifesciences Corp. (a) 4,738,936
80,272 Globus Medical, Inc.,
Class A (a) 4,951,980
44,087 Haemonetics Corp. (a) 5,038,703
160,314 Hill-Rom Holdings, Inc. 15,396,557
304,450 Hologic, Inc. (a) 24,273,799
51,687 ICU Medical, Inc. (a) 10,568,958
44,358 IDEXX Laboratories, Inc. (a) 21,233,287
61,440 Insulet Corp. (a) 16,415,539
13,552 Intuitive Surgical, Inc. (a) 10,132,017
41,310 Masimo Corp. (a) 10,572,055
94,644 Medtronic PLC 10,536,717
160,173 Novocure Ltd. (a) 25,781,446
29,142 Quidel Corp. (a) 7,313,768
52,157 ResMed, Inc. 10,513,287
58,492 STERIS PLC 10,944,438
45,244 Stryker Corp. 9,999,376
12,721 Teleflex, Inc. 4,803,831
29,914 Varian Medical Systems, Inc. (a) 5,252,001
39,133 West Pharmaceutical Services,
Inc. 11,719,942
---------------
308,468,890
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 29.3%
312,493 Acadia Healthcare Co., Inc. (a) 15,837,145
75,591 Amedisys, Inc. (a) 21,718,050
69,056 Anthem, Inc. 20,508,251
206,993 Cardinal Health, Inc. 11,121,734
369,367 Centene Corp. (a) 22,272,830
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
20,815 Chemed Corp. $ 10,780,089
133,137 Cigna Corp. 28,897,386
236,085 DaVita, Inc. (a) 27,709,296
268,147 Encompass Health Corp. 21,559,019
172,044 Guardant Health, Inc. (a) 26,752,842
168,530 HCA Healthcare, Inc. 27,382,754
331,635 Henry Schein, Inc. (a) 21,838,165
67,556 Humana, Inc. 25,881,379
77,160 Laboratory Corp. of America
Holdings (a) 17,662,696
104,256 Molina Healthcare, Inc. (a) 22,270,124
789,640 Premier, Inc., Class A 26,745,107
232,579 Quest Diagnostics, Inc. 30,037,578
44,787 UnitedHealth Group, Inc. 14,940,047
201,573 Universal Health Services, Inc.,
Class B 25,132,122
---------------
419,046,614
---------------
HEALTH CARE TECHNOLOGY -- 0.9%
26,182 Teladoc Health, Inc. (a) 6,907,597
19,230 Veeva Systems, Inc., Class A (a) 5,315,941
---------------
12,223,538
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 18.4%
110,918 10X Genomics, Inc., Class A (a) 18,983,616
265,617 Adaptive Biotechnologies
Corp. (a) 14,733,775
132,551 Agilent Technologies, Inc. 15,928,654
984,595 Avantor, Inc. (a) 29,035,707
47,546 Bio-Rad Laboratories, Inc.,
Class A (a) 27,280,468
34,913 Bio-Techne Corp. 11,343,583
290,152 Bruker Corp. 16,796,899
88,742 Charles River Laboratories
International, Inc. (a) 22,988,615
61,878 IQVIA Holdings, Inc. (a) 11,001,908
154,517 PerkinElmer, Inc. 22,724,815
125,207 PRA Health Sciences, Inc. (a) 15,430,511
99,060 QIAGEN N.V. (a) 5,364,099
115,708 Repligen Corp. (a) 23,141,600
230,529 Syneos Health, Inc. (a) 17,139,831
23,802 Thermo Fisher Scientific, Inc. 12,131,879
---------------
264,025,960
---------------
PHARMACEUTICALS -- 12.0%
84,399 Bristol-Myers Squibb Co. 5,184,631
50,305 Catalent, Inc. (a) 5,787,590
31,008 Eli Lilly and Co. 6,448,734
303,118 Horizon Therapeutics PLC (a) 21,969,993
95,159 Jazz Pharmaceuticals PLC (a) 14,797,225
99,796 Johnson & Johnson 16,279,721
192,004 Merck & Co., Inc. 14,797,748
351,207 Perrigo Co. PLC 14,996,539
426,676 Pfizer, Inc. 15,317,668
553,773 Royalty Pharma PLC, Class A 26,032,869
1,478,995 Viatris, Inc. (a) 25,128,125
Page 34 See Notes to Financial Statements
<PAGE>
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
31,633 Zoetis, Inc. $ 4,879,390
---------------
171,620,233
---------------
TOTAL COMMON STOCKS
-- 100% 1,432,235,547
(Cost $1,185,699,895) ---------------
MONEY MARKET FUNDS -- 0.0%
814,056 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (b) 814,056
(Cost $814,056) ---------------
TOTAL INVESTMENTS -- 100.0% 1,433,049,603
(Cost $1,186,513,951) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (566,661)
---------------
NET ASSETS -- 100.0% $ 1,432,482,942
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2021.
(c) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $261,131,359 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $14,595,707. The net unrealized
appreciation was $246,535,652.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $1,432,235,547 $ -- $ --
Money Market
Funds 814,056 -- --
---------------------------------------------
Total Investments $1,433,049,603 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
<PAGE>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 8.4%
99,413 Axon Enterprise, Inc. (a) $ 16,319,638
101,176 BWX Technologies, Inc. 5,455,410
104,826 Curtiss-Wright Corp. 10,879,890
102,201 General Dynamics Corp. 14,990,843
213,413 Howmet Aerospace, Inc. 5,245,691
89,360 Huntington Ingalls Industries,
Inc. 14,059,009
34,634 Mercury Systems, Inc. (a) 2,461,092
30,062 Northrop Grumman Corp. 8,616,070
7,757 Teledyne Technologies, Inc. (a) 2,769,327
189,182 Textron, Inc. 8,562,377
9,974 TransDigm Group, Inc. (a) 5,518,415
---------------
94,877,762
---------------
AIR FREIGHT & LOGISTICS -- 4.7%
64,794 C.H. Robinson Worldwide, Inc. 5,543,775
96,170 Expeditors International of
Washington, Inc. 8,609,138
46,955 FedEx Corp. 11,050,390
90,330 United Parcel Service, Inc.,
Class B 14,001,150
127,702 XPO Logistics, Inc. (a) 14,099,578
---------------
53,304,031
---------------
BUILDING PRODUCTS -- 3.4%
166,827 A.O. Smith Corp. 9,058,706
161,442 Carrier Global Corp. 6,215,517
65,257 Johnson Controls International
PLC 3,251,104
110,833 Masco Corp. 6,019,340
145,479 Trex Co., Inc. (a) 13,350,608
---------------
37,895,275
---------------
CHEMICALS -- 0.8%
21,019 PPG Industries, Inc. 2,831,469
33,685 RPM International, Inc. 2,778,002
4,116 Sherwin-Williams (The) Co. 2,847,449
---------------
8,456,920
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.2%
1,163,780 ADT, Inc. 10,508,933
8,649 Cintas Corp. 2,751,420
---------------
13,260,353
---------------
CONSTRUCTION & ENGINEERING
-- 2.8%
61,127 AECOM (a) 3,062,462
27,857 Jacobs Engineering Group, Inc. 2,812,443
211,540 Quanta Services, Inc. 14,907,224
52,376 Valmont Industries, Inc. 10,104,378
---------------
30,886,507
---------------
CONSTRUCTION MATERIALS -- 2.8%
90,246 Eagle Materials, Inc. 9,929,768
42,875 Martin Marietta Materials, Inc. 12,322,704
61,574 Vulcan Materials Co. 9,183,146
---------------
31,435,618
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CONSUMER FINANCE -- 1.3%
30,948 Capital One Financial Corp. $ 3,226,639
351,076 Synchrony Financial 11,813,707
---------------
15,040,346
---------------
CONTAINERS & PACKAGING -- 9.7%
776,165 Amcor PLC 8,491,245
22,315 AptarGroup, Inc. 2,967,226
98,045 Ball Corp. 8,629,921
270,910 Berry Global Group, Inc. (a) 13,374,827
151,889 Crown Holdings, Inc. (a) 13,692,793
719,124 Graphic Packaging Holding Co. 11,261,482
88,425 Packaging Corp. of America 11,889,626
133,113 Sealed Air Corp. 5,626,687
410,801 Silgan Holdings, Inc. 14,965,480
205,642 Sonoco Products Co. 11,908,728
139,973 WestRock Co. 5,799,081
---------------
108,607,096
---------------
ELECTRICAL EQUIPMENT -- 6.8%
125,826 Acuity Brands, Inc. 15,129,318
50,225 AMETEK, Inc. 5,688,483
50,642 Eaton Corp. PLC 5,960,563
113,588 Emerson Electric Co. 9,013,208
67,011 Generac Holdings, Inc. (a) 16,512,851
77,576 Hubbell, Inc. 12,070,826
99,344 Regal Beloit Corp. 12,465,685
---------------
76,840,934
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 3.4%
75,751 Cognex Corp. 6,221,430
69,367 FLIR Systems, Inc. 3,610,552
69,269 Keysight Technologies, Inc. (a) 9,807,798
45,604 Trimble, Inc. (a) 3,005,760
39,657 Zebra Technologies Corp.,
Class A (a) 15,380,174
---------------
38,025,714
---------------
INDUSTRIAL CONGLOMERATES -- 3.1%
52,389 3M Co. 9,202,652
77,984 Carlisle Cos., Inc. 11,302,221
1,128,102 General Electric Co. 12,048,129
14,192 Honeywell International, Inc. 2,772,691
---------------
35,325,693
---------------
IT SERVICES -- 7.2%
11,796 Accenture PLC, Class A 2,853,688
164,551 Alliance Data Systems Corp. 11,131,875
69,799 Booz Allen Hamilton Holding
Corp. 5,944,781
26,857 Fiserv, Inc. (a) 2,757,946
220,768 Genpact Ltd. 8,450,999
18,728 Jack Henry & Associates, Inc. 2,711,627
51,994 PayPal Holdings, Inc. (a) 12,182,714
69,831 Square, Inc., Class A (a) 15,080,703
181,479 StoneCo., Ltd., Class A (a) 13,048,340
277,681 Western Union (The) Co. 6,183,956
---------------
80,346,629
---------------
Page 36 See Notes to Financial Statements
<PAGE>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LEISURE PRODUCTS -- 1.5%
199,731 Brunswick Corp. $ 17,268,742
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.1%
8,150 Mettler-Toledo International,
Inc. (a) 9,520,015
12,311 Waters Corp. (a) 3,258,352
---------------
12,778,367
---------------
MACHINERY -- 17.8%
59,221 AGCO Corp. 6,567,609
282,324 Allison Transmission Holdings,
Inc. 11,490,587
16,829 Caterpillar, Inc. 3,077,014
238,940 Colfax Corp. (a) 8,869,453
53,758 Cummins, Inc. 12,601,950
163,644 Donaldson Co., Inc. 9,726,999
48,309 Dover Corp. 5,627,515
82,570 Flowserve Corp. 2,936,189
42,907 Fortive Corp. 2,835,295
84,308 Graco, Inc. 5,812,194
15,438 IDEX Corp. 2,874,401
39,633 ITT, Inc. 2,960,981
78,484 Lincoln Electric Holdings, Inc. 8,986,418
70,740 Middleby (The) Corp. (a) 9,600,833
176,927 Oshkosh Corp. 16,204,744
141,310 PACCAR, Inc. 12,890,298
22,349 Parker-Hannifin Corp. 5,913,769
171,971 Pentair PLC 9,365,541
88,938 Snap-on, Inc. 16,007,951
34,173 Stanley Black & Decker, Inc. 5,928,674
128,549 Toro (The) Co. 12,115,743
346,141 Trinity Industries, Inc. 9,626,181
166,435 Westinghouse Air Brake
Technologies Corp. 12,351,141
50,148 Woodward, Inc. 5,614,069
---------------
199,985,549
---------------
MULTI-UTILITIES -- 1.4%
578,186 MDU Resources Group, Inc. 15,200,510
---------------
PROFESSIONAL SERVICES -- 4.0%
118,123 CoreLogic, Inc. 8,893,481
47,411 Equifax, Inc. 8,396,962
109,002 FTI Consulting, Inc. (a) 11,986,950
195,111 Robert Half International, Inc. 13,169,992
14,616 Verisk Analytics, Inc. 2,682,036
---------------
45,129,421
---------------
ROAD & RAIL -- 8.3%
100,747 CSX Corp. 8,639,559
89,307 J.B. Hunt Transport Services,
Inc. 12,026,081
29,701 Kansas City Southern 6,019,502
364,279 Knight-Swift Transportation
Holdings, Inc. 14,571,160
46,013 Landstar System, Inc. 6,414,212
25,566 Norfolk Southern Corp. 6,049,427
31,069 Old Dominion Freight Line, Inc. 6,027,386
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
ROAD & RAIL (CONTINUED)
197,388 Ryder System, Inc. $ 12,354,515
735,568 Schneider National, Inc.,
Class B 15,446,928
29,205 Union Pacific Corp. 5,767,111
---------------
93,315,881
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.4%
101,227 MKS Instruments, Inc. 16,000,952
---------------
SOFTWARE -- 3.7%
111,671 Bill.com Holdings, Inc. (a) 13,610,461
11,875 Fair Isaac Corp. (a) 5,345,056
73,897 Paylocity Holding Corp. (a) 13,852,732
435,931 Pluralsight, Inc., Class A (a) 9,067,365
---------------
41,875,614
---------------
TRADING COMPANIES &
DISTRIBUTORS -- 5.1%
342,883 Air Lease Corp. 13,588,453
180,537 MSC Industrial Direct Co., Inc.,
Class A 14,004,255
65,664 United Rentals, Inc. (a) 15,957,009
29,699 W.W. Grainger, Inc. 10,822,019
13,293 Watsco, Inc. 3,170,247
---------------
57,541,983
---------------
TOTAL COMMON STOCKS
-- 99.9% 1,123,399,897
(Cost $1,151,185,505) ---------------
MONEY MARKET FUNDS -- 0.2%
1,824,603 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (b) 1,824,603
(Cost $1,824,603) ---------------
TOTAL INVESTMENTS -- 100.1% 1,125,224,500
(Cost $1,153,010,108) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (1,513,433)
---------------
Net Assets -- 100.0% $ 1,123,711,067
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2021.
(c) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $8,883,407 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $36,669,015. The net unrealized
depreciation was $27,785,608.
See Notes to Financial Statements Page 37
<PAGE>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $1,123,399,897 $ -- $ --
Money Market
Funds 1,824,603 -- --
---------------------------------------------
Total Investments $1,125,224,500 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
Page 38 See Notes to Financial Statements
<PAGE>
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.3%
108,129 Hexcel Corp. $ 4,720,912
---------------
CHEMICALS -- 53.6%
19,193 Air Products and Chemicals, Inc. 5,119,925
27,077 Albemarle Corp. 4,404,345
22,070 Ashland Global Holdings, Inc. 1,765,379
38,945 Cabot Corp. 1,710,075
40,352 Celanese Corp. 4,928,997
206,391 CF Industries Holdings, Inc. 8,540,460
70,498 Chemours (The) Co. 1,856,917
31,490 Dow, Inc. 1,634,331
79,674 Eastman Chemical Co. 7,835,938
18,462 Ecolab, Inc. 3,775,664
295,719 Element Solutions, Inc. 5,036,095
34,762 FMC Corp. 3,764,377
317,801 Huntsman Corp. 8,396,302
48,175 International Flavors &
Fragrances, Inc. (a) 5,413,906
15,158 Linde PLC 3,719,773
57,198 LyondellBasell Industries N.V.,
Class A 4,905,300
75,954 Mosaic (The) Co. 1,971,766
20,063 NewMarket Corp. 7,868,508
71,161 Olin Corp. 1,701,459
50,146 Scotts Miracle-Gro (The) Co. 11,102,826
172,632 Valvoline, Inc. 4,098,284
31,877 W.R. Grace & Co. 1,849,504
122,390 Westlake Chemical Corp. 9,357,939
---------------
110,758,070
---------------
CONTAINERS & PACKAGING -- 6.3%
51,508 Avery Dennison Corp. 7,771,012
105,452 International Paper Co. 5,305,290
---------------
13,076,302
---------------
ELECTRICAL EQUIPMENT -- 3.5%
749,486 GrafTech International Ltd. 7,270,014
---------------
MACHINERY -- 4.7%
129,097 Timken (The) Co. 9,767,479
---------------
METALS & MINING -- 25.2%
67,167 Freeport-McMoRan, Inc. (b) 1,807,464
166,756 Newmont Corp. 9,938,657
150,211 Nucor Corp. 7,319,782
83,401 Reliance Steel & Aluminum Co. 9,681,188
93,895 Royal Gold, Inc. 10,035,498
61,344 Southern Copper Corp. 4,073,855
270,864 Steel Dynamics, Inc. 9,282,509
---------------
52,138,953
---------------
TRADING COMPANIES &
DISTRIBUTORS -- 4.3%
81,807 Fastenal Co. 3,729,581
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
TRADING COMPANIES &
DISTRIBUTORS (CONTINUED)
275,806 Univar Solutions, Inc. (b) $ 5,127,234
---------------
8,856,815
---------------
TOTAL COMMON STOCKS
-- 99.9% 206,588,545
(Cost $178,995,470) ---------------
MONEY MARKET FUNDS -- 1.3%
2,368,670 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 2,368,670
222,423 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 222,423
---------------
TOTAL MONEY MARKET FUNDS
-- 1.3% 2,591,093
(Cost $2,591,093) ---------------
TOTAL INVESTMENTS -- 101.2% 209,179,638
(Cost $181,586,563) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.2)% (2,450,741)
---------------
NET ASSETS -- 100.0% $ 206,728,897
===============
(a) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $2,266,369 and the
total value of the collateral held by the Fund is $2,368,670.
(b) Non-income producing security.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $29,031,249 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $1,438,174. The net unrealized
appreciation was $27,593,075.
See Notes to Financial Statements Page 39
<PAGE>
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 206,588,545 $ -- $ --
Money Market
Funds 2,591,093 -- --
---------------------------------------------
Total Investments $ 209,179,638 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 2,266,369
Non-cash Collateral(2) (2,266,369)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
Page 40 See Notes to Financial Statements
<PAGE>
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 100.0%
COMMUNICATIONS EQUIPMENT
-- 1.1%
55,013 Arista Networks, Inc. (a) $ 16,919,798
45,436 F5 Networks, Inc. (a) 8,903,184
---------------
25,822,982
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 6.0%
122,250 Amphenol Corp., Class A 15,266,580
328,591 Arrow Electronics, Inc. (a) 32,080,340
222,030 Corning, Inc. 7,964,216
35,717 IPG Photonics Corp. (a) 7,980,249
751,753 Jabil, Inc. 31,100,022
363,813 National Instruments Corp. 15,061,858
515,265 SYNNEX Corp. 42,055,929
---------------
151,509,194
---------------
INDUSTRIAL CONGLOMERATES -- 0.6%
37,083 Roper Technologies, Inc. 14,570,282
---------------
INTERACTIVE MEDIA & SERVICES
-- 2.7%
9,124 Alphabet, Inc., Class A (a) 16,672,833
29,258 Facebook, Inc., Class A (a) 7,558,219
636,781 Pinterest, Inc., Class A (a) 43,625,866
---------------
67,856,918
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.3%
107,622 GrubHub, Inc. (a) 8,100,708
---------------
IT SERVICES -- 14.5%
152,260 Akamai Technologies, Inc. (a) 16,905,428
450,756 Amdocs Ltd. 31,832,389
128,228 CACI International, Inc.,
Class A (a) 30,931,158
307,232 Cognizant Technology Solutions
Corp., Class A 23,948,735
70,266 EPAM Systems, Inc. (a) 24,201,718
99,791 Gartner, Inc. (a) 15,159,251
146,924 Globant S.A. (a) 28,209,408
96,361 GoDaddy, Inc., Class A (a) 7,572,047
200,021 International Business Machines
Corp. 23,824,501
152,079 Leidos Holdings, Inc. 16,129,499
116,871 MongoDB, Inc. (a) 43,196,690
99,025 Okta, Inc. (a) 25,648,465
337,832 Science Applications
International Corp. 32,442,007
123,972 Twilio, Inc., Class A (a) 44,559,256
---------------
364,560,552
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 25.1%
348,624 Advanced Micro Devices,
Inc. (a) 29,856,159
54,102 Analog Devices, Inc. 7,970,848
486,245 Applied Materials, Inc. 47,010,167
57,506 Broadcom, Inc. 25,906,453
194,480 Cirrus Logic, Inc. (a) 18,220,831
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
332,696 Entegris, Inc. $ 32,733,959
261,508 Inphi Corp. (a) 44,092,864
842,302 Intel Corp. 46,756,184
123,490 KLA Corp. 34,585,844
88,849 Lam Research Corp. 42,998,474
672,526 Marvell Technology Group Ltd. 34,608,188
284,019 Maxim Integrated Products, Inc. 24,911,307
115,749 Microchip Technology, Inc. 15,754,596
425,271 Micron Technology, Inc. (a) 33,285,961
87,302 Monolithic Power Systems, Inc. 31,017,528
30,609 NVIDIA Corp. 15,904,130
244,213 ON Semiconductor Corp. (a) 8,422,906
48,076 Qorvo, Inc. (a) 8,215,227
209,876 QUALCOMM, Inc. 32,799,421
104,569 Skyworks Solutions, Inc. 17,698,303
350,018 Teradyne, Inc. 39,720,043
48,696 Texas Instruments, Inc. 8,068,440
69,563 Universal Display Corp. 16,056,532
112,766 Xilinx, Inc. 14,723,857
---------------
631,318,222
---------------
SOFTWARE -- 40.5%
350,426 Anaplan, Inc. (a) 23,373,414
21,966 ANSYS, Inc. (a) 7,784,091
107,660 Atlassian Corp. PLC, Class A (a) 24,883,456
82,464 Autodesk, Inc. (a) 22,877,988
152,693 Avalara, Inc. (a) 22,903,950
184,552 Cadence Design Systems,
Inc. (a) 24,063,735
236,276 Ceridian HCM Holding, Inc. (a) 21,952,403
61,436 Citrix Systems, Inc. 8,190,033
552,228 Cloudflare, Inc., Class A (a) 42,333,798
74,295 Coupa Software, Inc. (a) 23,021,792
198,111 Crowdstrike Holdings, Inc.,
Class A (a) 42,752,354
35,951 DocuSign, Inc. (a) 8,372,628
360,206 Dropbox, Inc., Class A (a) 8,151,462
287,168 Elastic N.V. (a) 43,638,049
53,615 Everbridge, Inc. (a) 7,127,042
1,819,752 FireEye, Inc. (a) 38,214,792
183,324 Five9, Inc. (a) 30,477,615
53,814 Fortinet, Inc. (a) 7,789,577
62,096 Guidewire Software, Inc. (a) 7,124,895
105,852 HubSpot, Inc. (a) 39,398,114
42,086 Intuit, Inc. 15,202,726
240,612 Medallia, Inc. (a) 9,985,398
790,029 Nutanix, Inc., Class A (a) 24,111,685
123,563 Oracle Corp. 7,466,912
1,006,316 PagerDuty, Inc. (a) 49,037,779
118,079 Palo Alto Networks, Inc. (a) 41,416,209
70,700 Paycom Software, Inc. (a) 26,847,618
119,965 Pegasystems, Inc. 15,289,539
117,194 Proofpoint, Inc. (a) 15,127,402
350,836 PTC, Inc. (a) 46,629,613
84,361 RingCentral, Inc., Class A (a) 31,459,904
45,744 ServiceNow, Inc. (a) 24,846,311
See Notes to Financial Statements Page 41
<PAGE>
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
756,919 Slack Technologies, Inc.,
Class A (a) $ 31,919,274
461,421 Smartsheet, Inc., Class A (a) 32,179,501
219,740 SS&C Technologies Holdings,
Inc. 13,817,251
97,120 Synopsys, Inc. (a) 24,809,304
1,120,525 Teradata Corp. (a) 30,142,123
36,621 Tyler Technologies, Inc. (a) 15,482,993
66,712 Workday, Inc., Class A (a) 15,178,981
293,199 Zendesk, Inc. (a) 42,291,024
23,701 Zoom Video Communications,
Inc., Class A (a) 8,818,431
210,119 Zscaler, Inc. (a) 41,960,764
---------------
1,018,451,930
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 9.2%
189,747 Apple, Inc. 25,039,014
343,539 Dell Technologies, Inc.,
Class C (a) 25,040,558
2,698,070 Hewlett Packard Enterprise Co. 33,294,184
325,052 HP, Inc. 7,911,766
851,006 NCR Corp. (a) 28,389,560
380,100 NetApp, Inc. 25,253,844
1,414,068 Pure Storage, Inc., Class A (a) 32,707,393
288,614 Western Digital Corp. 16,286,488
1,809,544 Xerox Holdings Corp. 38,054,710
---------------
231,977,517
---------------
TOTAL COMMON STOCKS
-- 100.0% 2,514,168,305
(Cost $1,967,491,755) ---------------
MONEY MARKET FUNDS -- 0.1%
2,424,894 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (b) 2,424,894
(Cost $2,424,894) ---------------
TOTAL INVESTMENTS -- 100.1% 2,516,593,199
(Cost $1,969,916,649) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (1,851,044)
---------------
NET ASSETS -- 100.0% $ 2,514,742,155
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2021.
(c) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $556,010,127 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $9,333,577. The net unrealized
appreciation was $546,676,550.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $2,514,168,305 $ -- $ --
Money Market
Funds 2,424,894 -- --
---------------------------------------------
Total Investments $2,516,593,199 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
Page 42 See Notes to Financial Statements
<PAGE>
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.7%
COMMERCIAL SERVICES & SUPPLIES
-- 5.8%
58,188 Clean Harbors, Inc. (a) $ 4,507,243
30,658 Republic Services, Inc. 2,775,162
25,036 Waste Management, Inc. 2,787,008
---------------
10,069,413
---------------
ELECTRIC UTILITIES -- 56.5%
114,574 Alliant Energy Corp. 5,574,025
53,184 American Electric Power Co.,
Inc. 4,303,117
162,384 Avangrid, Inc. 7,513,508
48,363 Duke Energy Corp. 4,546,122
70,489 Edison International 4,099,640
59,138 Entergy Corp. 5,637,626
106,363 Evergy, Inc. 5,714,884
34,125 Eversource Energy 2,985,937
174,809 Exelon Corp. 7,265,062
96,438 FirstEnergy Corp. 2,966,433
166,830 Hawaiian Electric Industries,
Inc. 5,515,400
61,482 IDACORP, Inc. 5,428,861
38,266 NextEra Energy, Inc. 3,094,571
196,549 NRG Energy, Inc. 8,139,094
46,325 OGE Energy Corp. 1,413,839
118,461 PG&E Corp. (a) 1,354,009
92,313 Pinnacle West Capital Corp. 6,946,553
261,709 PPL Corp. 7,241,488
72,081 Southern (The) Co. 4,247,013
66,424 Xcel Energy, Inc. 4,250,472
---------------
98,237,654
---------------
GAS UTILITIES -- 8.4%
61,869 Atmos Energy Corp. 5,506,341
35,889 National Fuel Gas Co. 1,444,891
211,106 UGI Corp. 7,597,705
---------------
14,548,937
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 5.2%
62,813 AES (The) Corp. 1,532,009
375,399 Vistra Corp. 7,496,718
---------------
9,028,727
---------------
MULTI-UTILITIES -- 22.1%
56,726 Ameren Corp. 4,125,115
68,206 CenterPoint Energy, Inc. 1,438,464
48,389 CMS Energy Corp. 2,752,366
102,121 Consolidated Edison, Inc. 7,228,124
39,258 Dominion Energy, Inc. 2,861,516
48,631 DTE Energy Co. 5,773,472
64,342 NiSource, Inc. 1,425,175
101,276 Public Service Enterprise
Group, Inc. 5,715,005
34,756 Sempra Energy 4,301,403
32,073 WEC Energy Group, Inc. 2,851,290
---------------
38,471,930
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
WATER UTILITIES -- 1.7%
9,617 American Water Works Co., Inc. $ 1,529,295
31,209 Essential Utilities, Inc. 1,444,977
---------------
2,974,272
---------------
TOTAL COMMON STOCKS
-- 99.7% 173,330,933
(Cost $186,654,862) ---------------
MONEY MARKET FUNDS -- 0.3%
432,817 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (b) 432,817
(Cost $432,817) ---------------
TOTAL INVESTMENTS -- 100.0% 173,763,750
(Cost $187,087,679) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 67,406
---------------
NET ASSETS -- 100.0% $ 173,831,156
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2021.
(c) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax ses. As of January 31, 2021, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $5,206,116 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $18,530,045. The net unrealized depreciation
was $13,323,929.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 173,330,933 $ -- $ --
Money Market
Funds 432,817 -- --
---------------------------------------------
Total Investments $ 173,763,750 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 43
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2021 (UNAUDITED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
-------------------- -------------------- --------------------
ASSETS:
<S> <C> <C> <C>
Investments, at value............................................... $1,414,040,266 $ 238,118,421 $ 176,958,707
Receivables:
Capital shares sold.............................................. -- -- 3,337,119
Investment securities sold....................................... -- 10,430,096 1,249,349
Dividends........................................................ 188,482 412,451 282,490
Securities lending income........................................ 3,929 118,639 964
Prepaid expenses.................................................... 10,236 1,454 6,637
-------------- -------------- --------------
Total Assets..................................................... 1,414,242,913 249,081,061 181,835,266
-------------- -------------- --------------
LIABILITIES:
Payables:
Investment securities purchased.................................. -- -- 3,331,598
Capital shares redeemed.......................................... -- 10,464,329 1,251,420
Collateral for securities on loan................................ 4,896,792 8,179,103 7,757,080
Investment advisory fees......................................... 599,390 105,297 73,041
Licensing fees................................................... 171,043 34,220 18,500
Audit and tax fees............................................... 14,241 14,357 14,348
Shareholder reporting fees....................................... 7,955 18,841 1,906
Trustees' fees................................................... 627 730 742
Other liabilities................................................... 200,741 46,588 27,849
-------------- -------------- --------------
Total Liabilities................................................ 5,890,789 18,863,465 12,476,484
-------------- -------------- --------------
NET ASSETS.......................................................... $1,408,352,124 $ 230,217,596 $ 169,358,782
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $1,532,818,146 $ 468,608,823 $ 726,324,134
Par value........................................................... 268,000 44,000 203,000
Accumulated distributable earnings (loss)........................... (124,734,022) (238,435,227) (557,168,352)
-------------- -------------- --------------
NET ASSETS.......................................................... $1,408,352,124 $ 230,217,596 $ 169,358,782
============== ============== ==============
NET ASSET VALUE, per share.......................................... $ 52.55 $ 52.32 $ 8.34
============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 26,800,002 4,400,002 20,300,002
============== ============== ==============
Investments, at cost................................................ $1,154,510,071 $ 222,656,100 $ 169,490,298
============== ============== ==============
Securities on loan, at value........................................ $ 4,700,658 $ 7,914,971 $ 7,204,571
============== ============== ==============
</TABLE>
Page 44 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
<S> <C> <C> <C> <C> <C>
$ 753,363,093 $1,433,049,603 $1,125,224,500 $ 209,179,638 $2,516,593,199 $ 173,763,750
-- -- 22,679,930 -- -- --
-- -- 52,907,656 -- 11,304,009 1,386,563
738,238 616,831 137,733 64,787 76,336 295,740
86,599 -- -- 19,308 -- --
-- 9,673 -- 587 15,427 --
-------------- -------------- -------------- -------------- -------------- --------------
754,187,930 1,433,676,107 1,200,949,819 209,264,320 2,527,988,971 175,446,053
-------------- -------------- -------------- -------------- -------------- --------------
-- -- 22,674,710 -- -- --
-- -- 52,919,837 -- 11,307,867 1,390,649
15,563,858 -- -- 2,368,670 -- --
313,659 620,687 239,185 88,276 1,131,029 77,891
84,185 281,000 44,959 21,755 335,723 27,972
14,206 14,268 14,225 14,317 14,306 14,373
85,438 38,858 17,550 9,936 80,204 53,149
1,175 661 729 697 967 991
120,754 237,691 1,327,557 31,772 376,720 49,872
-------------- -------------- -------------- -------------- -------------- --------------
16,183,275 1,193,165 77,238,752 2,535,423 13,246,816 1,614,897
-------------- -------------- -------------- -------------- -------------- --------------
$ 738,004,655 $1,432,482,942 $1,123,711,067 $ 206,728,897 $2,514,742,155 $ 173,831,156
============== ============== ============== ============== ============== ==============
$ 909,039,358 $1,812,766,875 $1,321,101,428 $ 318,234,989 $2,000,837,820 $ 381,229,995
211,000 132,000 228,000 43,500 226,050 62,500
(171,245,703) (380,415,933) (197,618,361) (111,549,592) 513,678,285 (207,461,339)
-------------- -------------- -------------- -------------- -------------- --------------
$ 738,004,655 $1,432,482,942 $1,123,711,067 $ 206,728,897 $2,514,742,155 $ 173,831,156
============== ============== ============== ============== ============== ==============
$ 34.98 $ 108.52 $ 49.29 $ 47.52 $ 111.25 $ 27.81
============== ============== ============== ============== ============== ==============
21,100,002 13,200,002 22,800,002 4,350,002 22,605,000 6,250,002
============== ============== ============== ============== ============== ==============
$ 671,035,974 $1,186,513,951 $1,153,010,108 $ 181,586,563 $1,969,916,649 $ 187,087,679
============== ============== ============== ============== ============== ==============
$ 15,426,219 $ -- $ -- $ 2,266,369 $ -- $ --
============== ============== ============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 45
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
-------------------- -------------------- --------------------
INVESTMENT INCOME:
<S> <C> <C> <C>
Dividends........................................................... $ 5,366,129 $ 2,474,072 $ 5,520,046
Securities lending income (net of fees)............................. 20,955 190,089 23,105
Foreign withholding tax............................................. -- -- --
-------------- -------------- --------------
Total investment income.......................................... 5,387,084 2,664,161 5,543,151
-------------- -------------- --------------
EXPENSES:
Investment advisory fees............................................ 3,009,488 640,989 642,418
Accounting and administration fees.................................. 293,152 64,961 65,705
Licensing fees...................................................... 240,759 51,279 51,393
Custodian fees...................................................... 46,700 10,350 11,972
Transfer agent fees................................................. 27,765 6,430 6,504
Shareholder reporting fees.......................................... 27,231 17,675 10,621
Audit and tax fees.................................................. 11,184 11,184 11,184
Legal fees.......................................................... 7,767 3,341 1,827
Listing fees........................................................ 4,443 4,443 4,443
Trustees' fees and expenses......................................... 3,671 3,436 3,532
Other expenses...................................................... 5,377 4,173 3,611
-------------- -------------- --------------
Total expenses................................................... 3,677,537 818,261 813,210
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 1,709,547 1,845,900 4,729,941
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 55,024,389 12,545,102 (7,388,526)
In-kind redemptions.............................................. 43,588,249 8,629,007 (65,642,930)
-------------- -------------- --------------
Net realized gain (loss)............................................ 98,612,638 21,174,109 (73,031,456)
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on
investments...................................................... 227,072,469 (3,798,155) 53,857,281
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 325,685,107 17,375,954 (19,174,175)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 327,394,654 $ 19,221,854 $ (14,444,234)
============== ============== ==============
</TABLE>
Page 46 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
<S> <C> <C> <C> <C> <C>
$ 10,225,391 $ 3,863,869 $ 2,140,576 $ 1,684,530 $ 6,216,615 $ 3,542,516
90,547 13,019 162 28,342 9,415 --
(17,187) -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
10,298,751 3,876,888 2,140,738 1,712,872 6,226,030 3,542,516
-------------- -------------- -------------- -------------- -------------- --------------
1,468,847 3,451,924 756,994 357,355 5,955,088 516,302
148,440 327,456 76,473 36,528 527,244 52,199
117,508 276,156 60,560 28,588 476,407 41,304
24,940 51,896 13,335 5,170 86,997 9,178
14,755 29,894 7,519 3,584 42,501 5,151
52,851 51,115 15,229 10,316 80,811 31,800
11,184 11,184 11,184 11,184 11,184 11,184
8,234 19,322 1,612 1,125 26,230 7,411
7,373 4,443 4,443 4,443 5,419 5,419
3,608 3,927 3,408 3,364 4,263 3,516
13,356 13,026 5,525 2,364 21,553 9,392
-------------- -------------- -------------- -------------- -------------- --------------
1,871,096 4,240,343 956,282 464,021 7,237,697 692,856
-------------- -------------- -------------- -------------- -------------- --------------
8,427,655 (363,455) 1,184,456 1,248,851 (1,011,667) 2,849,660
-------------- -------------- -------------- -------------- -------------- --------------
2,823,685 35,670,997 11,597,706 5,326,136 (24,046,340) (1,040,834)
13,556,635 33,022,409 32,747,497 572,963 502,070,023 557,504
-------------- -------------- -------------- -------------- -------------- --------------
16,380,320 68,693,406 44,345,203 5,899,099 478,023,683 (483,330)
-------------- -------------- -------------- -------------- -------------- --------------
151,495,153 109,536,930 (35,232,669) 28,884,832 39,498,731 3,480,768
-------------- -------------- -------------- -------------- -------------- --------------
167,875,473 178,230,336 9,112,534 34,783,931 517,522,414 2,997,438
-------------- -------------- -------------- -------------- -------------- --------------
$ 176,303,128 $ 177,866,881 $ 10,296,990 $ 36,032,782 $ 516,510,747 $ 5,847,098
============== ============== ============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 47
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
CONSUMER DISCRETIONARY CONSUMER STAPLES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG)
---------------------------------- ----------------------------------
Six Months Ended Six Months Ended
1/31/2021 Year Ended 1/31/2021 Year Ended
(Unaudited) 7/31/2020 (Unaudited) 7/31/2020
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss).............................. $ 1,709,547 $ 2,809,312 $ 1,845,900 $ 5,158,384
Net realized gain (loss).................................. 98,612,638 (32,492,782) 21,174,109 (5,762,995)
Net change in unrealized appreciation (depreciation)...... 227,072,469 15,417,991 (3,798,155) 23,646,253
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations........................................ 327,394,654 (14,265,479) 19,221,854 23,041,642
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (1,835,925) (3,533,221) (1,659,160) (5,348,032)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 288,252,638 938,313,476 7,582,313 104,301,401
Cost of shares redeemed................................... (154,407,246) (355,683,320) (53,356,273) (193,358,328)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... 133,845,392 582,630,156 (45,773,960) (89,056,927)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................... 459,404,121 564,831,456 (28,211,266) (71,363,317)
NET ASSETS:
Beginning of period....................................... 948,948,003 384,116,547 258,428,862 329,792,179
-------------- -------------- -------------- --------------
End of period............................................. $1,408,352,124 $ 948,948,003 $ 230,217,596 $ 258,428,862
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 23,900,002 8,850,002 5,300,002 7,200,002
Shares sold............................................... 6,000,000 24,300,000 150,000 2,200,000
Shares redeemed........................................... (3,100,000) (9,250,000) (1,050,000) (4,100,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period......................... 26,800,002 23,900,002 4,400,002 5,300,002
============== ============== ============== ==============
</TABLE>
Page 48 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
ENERGY FINANCIALS HEALTH CARE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXN) (FXO) (FXH)
---------------------------------- ---------------------------------- ----------------------------------
Six Months Ended Six Months Ended Six Months Ended
1/31/2021 Year Ended 1/31/2021 Year Ended 1/31/2021 Year Ended
(Unaudited) 7/31/2020 (Unaudited) 7/31/2020 (Unaudited) 7/31/2020
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
$ 4,729,941 $ 3,636,765 $ 8,427,655 $ 29,800,849 $ (363,455) $ 150,451
(73,031,456) (91,359,352) 16,380,320 (316,737,823) 68,693,406 220,856,461
53,857,281 (11,197,032) 151,495,153 (148,910,367) 109,536,930 116,645,310
-------------- -------------- -------------- -------------- -------------- --------------
(14,444,234) (98,919,619) 176,303,128 (435,847,341) 177,866,881 337,652,222
-------------- -------------- -------------- -------------- -------------- --------------
(6,300,781) (2,332,625) (9,221,026) (34,034,992) -- --
-------------- -------------- -------------- -------------- -------------- --------------
117,653,460 750,311,311 113,988,273 1,178,265,404 69,531,816 1,479,716,526
(543,344,710) (155,637,525) (81,237,749) (1,158,563,694) (163,224,508) (1,652,799,967)
-------------- -------------- -------------- -------------- -------------- --------------
(425,691,250) 594,673,786 32,750,524 19,701,710 (93,692,692) (173,083,441)
-------------- -------------- -------------- -------------- -------------- --------------
(446,436,265) 493,421,542 199,832,626 (450,180,623) 84,174,189 164,568,781
615,795,047 122,373,505 538,172,029 988,352,652 1,348,308,753 1,183,739,972
-------------- -------------- -------------- -------------- -------------- --------------
$ 169,358,782 $ 615,795,047 $ 738,004,655 $ 538,172,029 $1,432,482,942 $1,348,308,753
============== ============== ============== ============== ============== ==============
94,150,002 11,250,002 20,800,002 30,550,002 14,150,002 15,250,002
16,250,000 104,100,000 3,350,000 36,650,000 700,000 18,650,000
(90,100,000) (21,200,000) (3,050,000) (46,400,000) (1,650,000) (19,750,000)
-------------- -------------- -------------- -------------- -------------- --------------
20,300,002 94,150,002 21,100,002 20,800,002 13,200,002 14,150,002
============== ============== ============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 49
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
INDUSTRIALS/PRODUCER DURABLES MATERIALS
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXR) (FXZ)
---------------------------------- ----------------------------------
Six Months Ended Six Months Ended
1/31/2021 Year Ended 1/31/2021 Year Ended
(Unaudited) 7/31/2020 (Unaudited) 7/31/2020
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss).............................. $ 1,184,456 $ 3,504,078 $ 1,248,851 $ 2,093,036
Net realized gain (loss).................................. 44,345,203 (36,167,020) 5,899,099 (21,284,118)
Net change in unrealized appreciation (depreciation)...... (35,232,669) (2,899,601) 28,884,832 10,549,321
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations........................................ 10,296,990 (35,562,543) 36,032,782 (8,641,761)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (1,324,201) (4,258,336) (1,397,641) (2,392,541)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 1,057,900,743 68,228,226 77,209,219 55,372,219
Cost of shares redeemed................................... (123,141,582) (226,600,830) (1,910,197) (114,912,380)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... 934,759,161 (158,372,604) 75,299,022 (59,540,161)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................... 943,731,950 (198,193,483) 109,934,163 (70,574,463)
NET ASSETS:
Beginning of period....................................... 179,979,117 378,172,600 96,794,734 167,369,197
-------------- -------------- -------------- --------------
End of period............................................. $1,123,711,067 $ 179,979,117 $ 206,728,897 $ 96,794,734
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 4,600,002 8,900,002 2,700,002 4,350,002
Shares sold............................................... 20,650,000 1,650,000 1,700,000 1,500,000
Shares redeemed........................................... (2,450,000) (5,950,000) (50,000) (3,150,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period......................... 22,800,002 4,600,002 4,350,002 2,700,002
============== ============== ============== ==============
</TABLE>
Page 50 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXL) (FXU)
---------------------------------- ----------------------------------
Six Months Ended Six Months Ended
1/31/2021 Year Ended 1/31/2021 Year Ended
(Unaudited) 7/31/2020 (Unaudited) 7/31/2020
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
$ (1,011,667) $ 3,502,665 $ 2,849,660 $ 24,861,547
478,023,683 191,825,093 (483,330) (60,613,146)
39,498,731 215,549,299 3,480,768 (34,693,552)
-------------- -------------- -------------- --------------
516,510,747 410,877,057 5,847,098 (70,445,151)
-------------- -------------- -------------- --------------
-- (4,987,541) (3,566,311) (30,455,522)
-------------- -------------- -------------- --------------
1,363,703,382 1,227,962,041 -- 1,502,286,878
(1,570,581,429) (1,824,089,056) (58,437,720) (2,520,939,542)
-------------- -------------- -------------- --------------
(206,878,047) (596,127,015) (58,437,720) (1,018,652,664)
-------------- -------------- -------------- --------------
309,632,700 (190,237,499) (56,156,933) (1,119,553,337)
2,205,109,455 2,395,346,954 229,988,089 1,349,541,426
-------------- -------------- -------------- --------------
$2,514,742,155 $2,205,109,455 $ 173,831,156 $ 229,988,089
============== ============== ============== ==============
24,655,000 34,555,000 8,350,002 46,750,002
13,300,000 15,700,000 -- 55,350,000
(15,350,000) (25,600,000) (2,100,000) (93,750,000)
-------------- -------------- -------------- --------------
22,605,000 24,655,000 6,250,002 8,350,002
============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 51
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 39.70 $ 43.40 $ 42.42 $ 37.53 $ 36.06 $ 37.29
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.06 0.36 0.37 0.43 0.34 0.53
Net realized and unrealized gain (loss) 12.86 (3.61) 0.93 4.88 1.48 (1.43)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 12.92 (3.25) 1.30 5.31 1.82 (0.90)
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.07) (0.45) (0.32) (0.42) (0.35) (0.33)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 52.55 $ 39.70 $ 43.40 $ 42.42 $ 37.53 $ 36.06
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 32.56% (7.39)% 3.13% 14.17% 5.10% (2.34)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,408,352 $ 948,948 $ 384,117 $ 409,343 $ 407,197 $1,766,902
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.61% (b) 0.63% 0.64% 0.64% 0.63% 0.61%
Ratio of net expenses to average net
assets 0.61% (b) 0.63% 0.64% 0.64% 0.63% 0.61%
Ratio of net investment income (loss) to
average net assets 0.28% (b) 0.77% 0.90% 1.03% 0.79% 1.39%
Portfolio turnover rate (c) 45% 115% 97% 101% 93% 103%
</TABLE>
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 48.76 $ 45.80 $ 46.50 $ 46.84 $ 49.06 $ 45.69
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.38 0.84 0.70 1.00 0.56 0.76
Net realized and unrealized gain (loss) 3.51 2.98 (0.32) (0.74) (2.20) 3.38
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 3.89 3.82 0.38 0.26 (1.64) 4.14
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.33) (0.86) (1.08) (0.60) (0.58) (0.77)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 52.32 $ 48.76 $ 45.80 $ 46.50 $ 46.84 $ 49.06
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 8.00% 8.46% 0.83% 0.53% (3.31)% 9.19%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 230,218 $ 258,429 $ 329,792 $ 369,643 $ 461,376 $2,558,300
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.64% (b) 0.63% 0.64% 0.64% 0.62% 0.61%
Ratio of net expenses to average net
assets 0.64% (b) 0.63% 0.64% 0.64% 0.62% 0.61%
Ratio of net investment income (loss) to
average net assets 1.44% (b) 1.72% 1.51% 2.09% 0.94% 1.60%
Portfolio turnover rate (c) 51% 113% 90% 107% 100% 102%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 52 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 6.54 $ 10.88 $ 17.10 $ 13.66 $ 14.54 $ 16.93
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.31 0.16 0.16 0.12 0.14 0.22
Net realized and unrealized gain (loss) 1.81 (4.31) (6.25) 3.47 (0.85) (2.37)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 2.12 (4.15) (6.09) 3.59 (0.71) (2.15)
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.32) (0.19) (0.13) (0.15) (0.17) (0.24)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 8.34 $ 6.54 $ 10.88 $ 17.10 $ 13.66 $ 14.54
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 34.50% (38.32)% (35.77)% 26.45% (4.99)% (12.67)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 169,359 $ 615,795 $ 122,374 $ 437,773 $ 249,296 $1,458,077
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.63% (b) 0.64% 0.65% 0.63% 0.63% 0.62%
Ratio of net expenses to average net
assets 0.63% (b) 0.64% 0.65% 0.63% 0.63% 0.62%
Ratio of net investment income (loss) to
average net assets 3.68% (b) 2.39% 1.17% 0.68% 1.03% 1.40%
Portfolio turnover rate (c) 20% 165% 99% 108% 55% 112%
</TABLE>
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 25.87 $ 32.35 $ 32.04 $ 29.39 $ 24.09 $ 24.43
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.44 0.72 0.65 0.62 0.44 0.39
Net realized and unrealized gain (loss) 9.15 (6.37) 0.25 2.61 5.30 (0.36)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 9.59 (5.65) 0.90 3.23 5.74 0.03
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.48) (0.83) (0.59) (0.58) (0.44) (0.37)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 34.98 $ 25.87 $ 32.35 $ 32.04 $ 29.39 $ 24.09
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 37.47% (17.56)% 3.03% 11.06% 24.00% 0.22%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 738,005 $ 538,172 $ 988,353 $1,252,910 $1,121,234 $ 710,692
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.64% (b) 0.62% 0.63% 0.63% 0.63% 0.64%
Ratio of net expenses to average net
assets 0.64% (b) 0.62% 0.63% 0.63% 0.63% 0.64%
Ratio of net investment income (loss) to
average net assets 2.87% (b) 2.36% 2.06% 1.99% 1.72% 1.72%
Portfolio turnover rate (c) 46% 90% 81% 70% 80% 75%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 53
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 95.29 $ 77.62 $ 76.80 $ 66.92 $ 61.55 $ 69.63
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03) 0.01 (0.11) (0.02) (0.03) 0.00 (a) (b)
Net realized and unrealized gain (loss) 13.26 17.66 0.93 9.90 5.40 (8.08)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 13.23 17.67 0.82 9.88 5.37 (8.08)
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 108.52 $ 95.29 $ 77.62 $ 76.80 $ 66.92 $ 61.55
========== ========== ========== ========== ========== ==========
TOTAL RETURN (c) 13.90% 22.75% 1.07% 14.76% 8.72% (11.60)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,432,483 $1,348,309 $1,183,740 $1,063,745 $1,067,382 $1,147,893
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.61% (d) 0.61% 0.62% 0.63% 0.62% 0.61%
Ratio of net expenses to average net
assets 0.61% (d) 0.61% 0.62% 0.63% 0.62% 0.61%
Ratio of net investment income (loss) to
average net assets (0.05)% (d) 0.01% (0.11)% (0.03)% (0.05)% 0.01%
Portfolio turnover rate (e) 55% 107% 123% 107% 112% 118%
</TABLE>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 39.13 $ 42.49 $ 41.28 $ 35.36 $ 28.94 $ 29.46
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.19 0.58 0.30 0.28 0.17 0.24
Net realized and unrealized gain (loss) 10.18 (3.29) 1.17 5.92 6.42 (0.51)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 10.37 (2.71) 1.47 6.20 6.59 (0.27)
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.21) (0.65) (0.26) (0.28) (0.17) (0.25)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 49.29 $ 39.13 $ 42.49 $ 41.28 $ 35.36 $ 28.94
========== ========== ========== ========== ========== ==========
TOTAL RETURN (c) 26.57% (6.30)% 3.67% 17.57% 22.81% (0.82)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,123,711 $ 179,979 $ 378,173 $1,579,093 $1,444,369 $ 159,169
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.63% (d) 0.64% 0.63% 0.62% 0.63% 0.66%
Ratio of net expenses to average net
assets 0.63% (d) 0.64% 0.63% 0.62% 0.63% 0.66%
Ratio of net investment income (loss) to
average net assets 0.78% (d) 1.30% 0.71% 0.70% 0.53% 0.93%
Portfolio turnover rate (e) 34% 97% 79% 91% 101% 103%
</TABLE>
(a) Based on average shares outstanding.
(b) Amount is less than $0.01.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(d) Annualized.
(e) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 54 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 35.85 $ 38.48 $ 43.31 $ 38.63 $ 34.32 $ 30.68
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.38 0.71 0.50 0.40 0.48 0.41
Net realized and unrealized gain (loss) 11.72 (2.57) (4.88) 4.69 4.30 3.65
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 12.10 (1.86) (4.38) 5.09 4.78 4.06
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.43) (0.77) (0.45) (0.41) (0.47) (0.42)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 47.52 $ 35.85 $ 38.48 $ 43.31 $ 38.63 $ 34.32
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 33.93% (4.78)% (10.08)% 13.20% 14.01% 13.48%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 206,729 $ 96,795 $ 167,369 $ 314,026 $ 260,726 $ 250,558
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.65% (b) 0.67% 0.65% 0.64% 0.65% 0.66%
Ratio of net expenses to average net
assets 0.65% (b) 0.67% 0.65% 0.64% 0.65% 0.66%
Ratio of net investment income (loss) to
average net assets 1.75% (b) 1.95% 1.27% 0.92% 1.40% 1.26%
Portfolio turnover rate (c) 34% 84% 82% 92% 84% 113%
</TABLE>
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 89.44 $ 69.32 $ 56.54 $ 45.12 $ 34.84 $ 34.98
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.04) 0.11 0.31 0.09 0.32 0.27
Net realized and unrealized gain (loss) 21.85 20.17 12.75 11.43 10.32 (0.14)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 21.81 20.28 13.06 11.52 10.64 0.13
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- (0.16) (0.28) (0.10) (0.36) (0.27)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 111.25 $ 89.44 $ 69.32 $ 56.54 $ 45.12 $ 34.84
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 24.39% 29.33% 23.20% 25.55% 30.72% 0.42%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $2,514,742 $2,205,109 $2,395,347 $1,996,201 $ 607,101 $ 491,478
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.61% (b) 0.61% 0.61% 0.63% 0.63% 0.63%
Ratio of net expenses to average net
assets 0.61% (b) 0.61% 0.61% 0.63% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets (0.08)% (b) 0.16% 0.50% 0.17% 0.82% 0.82%
Portfolio turnover rate (c) 45% 110% 91% 127% 115% 109%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 55
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 --------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 27.54 $ 28.87 $ 26.37 $ 27.64 $ 27.46 $ 23.06
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.41 1.05 0.63 0.98 0.76 0.73
Net realized and unrealized gain (loss) 0.35 (1.29) 2.43 (1.30) 0.19 4.38
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.76 (0.24) 3.06 (0.32) 0.95 5.11
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.49) (1.09) (0.56) (0.95) (0.77) (0.71)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 27.81 $ 27.54 $ 28.87 $ 26.37 $ 27.64 $ 27.46
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 2.79% (0.70)% 11.71% (1.09)% 3.57% 22.66%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 173,831 $ 229,988 $1,349,541 $ 308,540 $1,350,332 $1,831,298
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.67% (b) 0.62% 0.63% 0.63% 0.62% 0.62%
Ratio of net expenses to average net
assets 0.67% (b) 0.62% 0.63% 0.63% 0.62% 0.62%
Ratio of net investment income (loss) to
average net assets 2.76% (b) 2.42% 2.23% 2.67% 2.74% 2.79%
Portfolio turnover rate (c) 17% 64% 60% 76% 57% 71%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 56 See Notes to Financial Statements
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty exchange-traded funds considered either a
Sector Fund or a Style Fund. This report covers the nine Sector Funds (each a
"Fund" and collectively, the "Funds") listed below. The shares of each Sector
Fund are listed and traded on NYSE Arca, Inc.
First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD")
First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG")
First Trust Energy AlphaDEX(R) Fund - (ticker "FXN")
First Trust Financials AlphaDEX(R) Fund - (ticker "FXO")
First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker "FXR")
First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ")
First Trust Technology AlphaDEX(R) Fund - (ticker "FXL")
First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU")
Each Fund represents a separate series of shares of beneficial interest in the
Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on
a continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units". The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:
<TABLE>
<CAPTION>
FUND INDEX
<S> <C>
First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index(1)
First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index(1)
First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index(1)
First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index(1)
First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index(1)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index(1)
First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index(1)
First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index(1)
First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index(1)
</TABLE>
(1) This index is developed, maintained and sponsored by ICE Data Indices, LLC
or its affiliates ("IDI"), and licensed to First Trust Portfolios L.P.
("FTP"), the distributor of the Trust, by IDI. IDI is a
successor-in-interest to previous entities that maintained the index in
NYSE Group, Inc. and American Stock Exchange LLC.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
Page 57
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the
London Stock Exchange Alternative Investment Market ("AIM")) are valued at
the last sale price on the exchange on which they are principally traded
or, for Nasdaq and AIM securities, the official closing price. Securities
traded on more than one securities exchange are valued at the last sale
price or official closing price, as applicable, at the close of the
securities exchange representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
Page 58
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--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of January 31, 2021, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities require entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At January 31, 2021, all the
Funds except FXH, FXR, FXL and FXU had securities in the securities lending
program. During the six months ended January 31, 2021, all the Funds except FXU
participated in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
Page 59
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--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
maintain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the six months ended January 31, 2021, were received as
collateral for lending securities. There were no repurchase agreements held by
the Funds as of January 31, 2021.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on significantly modified portfolio securities
held by the Funds and have no impact on net assets or NAV per share. Temporary
differences, which arise from recognizing certain items of income, expense and
gain/loss in different periods for financial statement and tax purposes, will
reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2020 was as follows:
<TABLE>
<CAPTION>
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
<S> <C> <C> <C>
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 3,533,221 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 5,348,032 -- --
First Trust Energy AlphaDEX(R) Fund 2,332,625 -- --
First Trust Financials AlphaDEX(R) Fund 34,034,992 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,258,336 -- --
First Trust Materials AlphaDEX(R) Fund 2,392,541 -- --
First Trust Technology AlphaDEX(R) Fund 4,987,541 -- --
First Trust Utilities AlphaDEX(R) Fund 30,455,522 -- --
</TABLE>
As of July 31, 2020, the components of distributable earnings on a tax basis for
each Fund were as follows:
<TABLE>
<CAPTION>
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
----------------------- ----------------------- -----------------------
<S> <C> <C> <C>
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 98,971 $ (466,302,471) $ 15,910,749
First Trust Consumer Staples AlphaDEX(R) Fund 198,506 (274,074,178) 17,877,751
First Trust Energy AlphaDEX(R) Fund 1,827,486 (469,339,224) (68,911,599)
First Trust Financials AlphaDEX(R) Fund 1,830,492 (264,244,884) (75,913,413)
First Trust Health Care AlphaDEX(R) Fund (30,924) (675,458,254) 117,206,364
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 85,255 (211,251,781) 4,575,376
First Trust Materials AlphaDEX(R) Fund 82,775 (143,809,632) (2,457,876)
First Trust Technology AlphaDEX(R) Fund -- (498,729,025) 495,896,563
First Trust Utilities AlphaDEX(R) Fund 818,264 (191,586,590) (18,973,800)
</TABLE>
Page 60
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2017, 2018,
2019, and 2020 remain open to federal and state audit. As of January 31, 2021,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At July 31, 2020, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
<TABLE>
<CAPTION>
Non-Expiring Capital
Loss Carryforwards
-----------------------
<S> <C>
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 466,302,471
First Trust Consumer Staples AlphaDEX(R) Fund 274,074,178
First Trust Energy AlphaDEX(R) Fund 469,339,224
First Trust Financials AlphaDEX(R) Fund 264,244,884
First Trust Health Care AlphaDEX(R) Fund 675,458,254
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 211,251,781
First Trust Materials AlphaDEX(R) Fund 143,809,632
First Trust Technology AlphaDEX(R) Fund 498,729,025
First Trust Utilities AlphaDEX(R) Fund 191,586,590
</TABLE>
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended July 31, 2020, the following Fund
listed below incurred and elected to defer net late year ordinary or capital
losses as follows:
<TABLE>
<CAPTION>
Qualified Late Year Losses
---------------------------------
Ordinary Losses Capital Losses
--------------- ---------------
<S> <C> <C>
First Trust Health Care AlphaDEX(R) Fund $ 30,924 $ --
</TABLE>
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
FTP has entered into licensing agreements with IDI for each of the Funds. The
license agreements allow for the use by FTP of certain trademarks and trade
names of IDI. The Funds and First Trust are sub-licensees to the license
agreement. The Funds are required to pay licensing fees, which are shown on the
Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is paid an annual management fee of 0.50% of
each Fund's average daily net assets. The Trust and First Trust have entered
into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery
Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund
expenses to the extent that the operating expenses of each Fund (excluding
Page 61
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
interest expense, brokerage commissions and other trading expenses, acquired
fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of
average daily net assets per year (the "Expense Cap"). The Expense Cap will be
in effect until at least November 30, 2021.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund's expenses exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived, or (iii) the current expense limitation. These
amounts would be included in "Expenses previously waived or reimbursed" on the
Statements of Operations.
For the six months ended January 31, 2021, there were no fees waived or expenses
reimbursed by First Trust for the Funds. As of January 31, 2021, none of the
Funds had previously waived fees or expenses reimbursed that are subject to
recovery.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended January 31, 2021, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ---------------
<S> <C> <C>
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 530,394,460 $ 530,121,905
First Trust Consumer Staples AlphaDEX(R) Fund 128,289,253 128,424,857
First Trust Energy AlphaDEX(R) Fund 53,840,234 55,122,646
First Trust Financials AlphaDEX(R) Fund 262,310,343 262,953,264
First Trust Health Care AlphaDEX(R) Fund 752,469,907 753,051,279
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 127,161,390 127,211,959
First Trust Materials AlphaDEX(R) Fund 46,620,933 46,636,199
First Trust Technology AlphaDEX(R) Fund 1,053,794,602 1,057,350,116
First Trust Utilities AlphaDEX(R) Fund 34,318,924 35,416,136
</TABLE>
For the six months ended January 31, 2021, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ---------------
<S> <C> <C>
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 288,162,200 $ 154,356,872
First Trust Consumer Staples AlphaDEX(R) Fund 7,455,707 53,140,054
First Trust Energy AlphaDEX(R) Fund 117,250,912 542,108,777
First Trust Financials AlphaDEX(R) Fund 113,488,946 81,036,072
First Trust Health Care AlphaDEX(R) Fund 69,410,902 163,075,164
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,057,510,818 123,097,126
First Trust Materials AlphaDEX(R) Fund 77,039,078 1,905,069
First Trust Technology AlphaDEX(R) Fund 1,363,161,316 1,566,888,975
First Trust Utilities AlphaDEX(R) Fund -- 58,275,099
</TABLE>
Page 62
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
authorized participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP, the distributor of the Funds, for amounts expended to
finance activities primarily intended to result in the sale of Creation Units or
the provision of investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before November 30, 2021.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
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ADDITIONAL INFORMATION
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT 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
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
rates, as the cost of capital rises and borrowing costs increase. 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.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a
reference rate over a phase-out period that will begin immediately after
December 31, 2021. The unavailability or replacement of LIBOR may affect the
value, liquidity or return on certain fund investments and may result in costs
incurred in connection with closing out positions and entering into new trades.
Any potential effects of the transition away from LIBOR on the fund or on
certain instruments in which the fund invests can be difficult to ascertain, and
they may vary depending on a variety of factors, and they could result in losses
to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2021 (UNAUDITED)
Market Risk. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such 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 of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. 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.
Non-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
Operational Risk. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Although the funds and the Advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Semi-Annual Report January 31, 2021
--------------------------------------------------------------------------------
AlphaDEX(R) Style Funds
-----------------------
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)
AlphaDEX(R)
FAMILY OF ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
SEMI-ANNUAL REPORT
JANUARY 31, 2021
Shareholder Letter......................................................... 2
Market Overview............................................................ 3
Fund Performance Overview
First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 4
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 6
First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 8
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 10
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 12
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 14
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 16
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 18
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 20
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 22
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 24
Notes to Fund Performance Overview......................................... 26
Understanding Your Fund Expenses........................................... 27
Portfolio of Investments
First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 29
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 35
First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 42
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 50
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 54
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 58
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 67
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 76
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 80
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 84
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 89
Statements of Assets and Liabilities....................................... 94
Statements of Operations................................................... 97
Statements of Changes in Net Assets........................................ 100
Financial Highlights....................................................... 104
Notes to Financial Statements.............................................. 110
Additional Information..................................................... 118
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks in investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JANUARY 31, 2021
Dear Shareholders:
First Trust is pleased to provide you with the semi-annual report for the Style
Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which
contains detailed information about the Funds for the six months ended January
31, 2021.
There is so much to talk about, yet so little space. Rather than drill down on
politics or belabor the coronavirus ("COVID-19") pandemic, I would like to take
this opportunity to convey a brief message on the current
economic/business/investment climate in the U.S. The one thing I feel compelled
to point out, however, is that unlike the Trump Administration's approach of
delegating the lion's share of the responsibility of executing the medical
ground assault against COVID-19 to the states, the Biden Administration has
communicated its intention to play more of an integral role at the federal
level. The distribution of the FDA-approved vaccines, of which there are
currently three, and the push for a huge bump up in the next round of fiscal
stimulus to help millions of Americans cope with the economic fallout stemming
from the pandemic are just two examples. While he was hoping to make it a
bipartisan effort, President Joe Biden was prepared to utilize a tactic in
Congress, particularly in the Senate, known as reconciliation to pass his $1.9
trillion stimulus bill. Reconciliation would only require a simple majority of
Senate votes to pass the bill. In the end, Congress did just that and the Senate
passed the bill with a 50-49 count. President Biden signed the "American Rescue
Plan Act" into law on March 11, 2021. Not one Republican in Congress voted for
the bill.
The current climate strikes me as one where "Cash is King." A recent survey by
Money and Morning Consult found that 68% of adults said they need another
stimulus check from the government to get by, and 39% of those polled claimed
they need the additional financial support "a lot," according to their own
release. Overall, respondents said that the $600 checks sent out this past
December were not enough. Seventy-seven percent of adults say they need the
checks to exceed $1,000 and 36% say they need more than $2,000 to make ends
meet. President Joe Biden's American Rescue Plan will make payments of up to
$1,400 to those who are eligible. Suffice it to say, cash tends to be an urgent
priority for those who do not have it.
While most investors are likely hunting for opportunities to generate higher
returns on their capital, many Americans are sitting on their cash. Brian
Wesbury, Chief Economist at First Trust, recently noted that, as of the third
quarter of 2020, the amount of capital held by Americans in checking accounts,
savings accounts, time deposits and money market funds stood $2.8 trillion
higher than their combined total in the third quarter of 2019. If you have
listened to what Federal Reserve Chairman Jerome Powell has said about keeping
short-term interest rates low for two or three more years if need be to
significantly lower unemployment and generate inflationary pressure beyond the
Federal Reserve's 2.0% target, it makes the thought of harboring such an
extraordinary volume of capital in these low-paying, interest-bearing accounts
even harder to fathom, in my opinion.
The state of the U.S. economy is on the mend, but likely won't make a full
recovery for at least a couple more years, according to Wesbury. In our opinion,
most of the weakness in the economy is stemming from some key service-oriented
sectors, such as hotels and airlines, that remain sheltered or lightly used.
Wesbury believes that a full recovery requires the reopening of the entire U.S.
economy. The speed of the vaccine rollout in the weeks ahead could help
determine when the economy is ready to fully reopen.
We believe investors should take solace in how upbeat our top executives are
about the near future. The Conference Board's Measure of CEO Confidence(TM) rose
to a 17-year high in the first quarter of 2021, according to Fox Business. The
measure currently stands at 73. A reading above 50 points reflects more positive
than negative responses from CEOs. Its quarterly survey revealed that 82% of
CEOs expect economic conditions to improve over the next six months, up from 63%
in the prior survey. Forty-five percent of them expect to increase capital
spending, up from 25% in the prior survey. The good news is that Corporate
America's largest companies have the cash to fund projects. In the third quarter
of 2020 (most recent data), S&P 500(R) Industrials (Old) cash and equivalents,
which excludes cash held by Financials, Utilities and Transportation companies,
stood at a near-record high of $1.88 trillion, according to S&P Dow Jones
Indices. The all-time high was $1.89 trillion, set in the second quarter of
2020.
It seems the economy is on the cusp of another major cash injection from the
government. We encourage investors to stay the course.
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SEMI-ANNUAL REPORT
JANUARY 31, 2021
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE U.S./GLOBAL ECONOMY
While 2020 has come and gone, the coronavirus ("COVID-19") pandemic remains the
number one battleground for the U.S. and many foreign nations in 2021. The quick
approval in late 2020 of two new vaccines by the Food and Drug Administration
has lifted the spirits of Americans and investors, but the initial rollout of
the vaccines has been much slower than expected. The federal government's
"Operation Warp Speed" initiative called for 20 million vaccinations to be
performed in the U.S. by the end of 2020, but it came in at a little more than
three million, according to Axios. These statistics suggest that clearing the
COVID-19 hurdle may extend a bit further into 2021 than initially thought.
Remember, these two vaccines, and any others that may gain approval, are likely
the best chance we have for fully reopening the U.S. economy.
The global growth forecast from the International Monetary Fund ("IMF") released
in January 2021 sees real gross domestic product growth rising by 5.5% worldwide
in 2021, a strong rebound from its -3.5% projection for 2020. The IMF is calling
for a 5.1% growth rate for the U.S. in 2021, up from its -3.4% estimate for
2020. As has been the case for many years, Emerging Market and Developing
Economies are expected to grow faster than Advanced Economies in 2021. Their
2021 growth rate estimate is 6.3%, up from -2.4% in 2020.
The Biden Administration is negotiating with the Republicans in Congress to see
if they can secure bipartisan support for their $1.9 trillion COVID-19 stimulus
proposal. GOP lawmakers have countered with their own scaled-down package that
would appropriate $618 billion, about one-third what President Joe Biden is
asking for. If the negotiations fall through, meaning President Biden can't lock
up 60 votes in the Senate, it is believed that he would likely seek to use
reconciliation to lower the voting threshold to a 51-50 majority, with Vice
President Kamala Harris casting the final tie-breaking vote. Regardless of the
final dollar value of the package, bond investors are anticipating that the U.S.
government will need to issue more Treasury securities over time to finance the
Democrats' economic agenda, and that could, in turn, push bond yields higher
moving forward, according to Bloomberg. There is also a chance for higher
inflation from the additional stimulus.
STYLE/EQUITY INVESTING
For the six-month period ended January 31, 2021, the S&P 500(R) Index (the
"Index") posted a total return of 14.47%, according to Bloomberg.
Large-Capitalization (cap) growth stocks outperformed large-cap value stocks in
the same period. The S&P 500(R) Growth Index posted a total return of 15.00%,
compared to 13.92% for the S&P 500(R) Value Index, for the same period. The S&P
MidCap 400(R) Index posted a total return of 26.44% for the same period. Mid-Cap
value stocks outperformed mid-cap growth stocks in the period. The S&P MidCap
400(R) Growth Index posted a total return of 24.32%, compared to 29.26% for the
S&P MidCap 400(R) Value Index, for the same period. The S&P SmallCap 600(R)
Index posted a total return of 38.31% in the period. Small-Cap value stocks
outperformed small-cap growth stocks in the period. The S&P SmallCap 600(R)
Growth Index posted a total return of 36.18%, compared to 40.81% for the S&P
SmallCap 600(R) Value Index, in the same period.
The Index closed at 3,756.07 on January 29, 2021, 3.66% below its all-time high,
according to Bloomberg. A Bloomberg survey of 22 equity strategists found that
their average 2021 year-end price target for the Index was 4,074 as of January
20, 2021, according to its own release. The highest and lowest estimates were
4,400 and 3,800, respectively. Brian Wesbury, Chief Economist at First Trust,
has a year-end price target of 4,200. The Index earnings look encouraging beyond
2020. As of January 29, 2021, Bloomberg's consensus year-over-year earnings
growth rate estimates for the index for 2021 and 2022 stood at 23.53% and
16.07%, respectively, a healthy rebound from its -13.89% projection for 2020.
ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at an all-time high of $8.06 trillion in January
2021, up from $6.37 trillion a year ago, according to its own release. Total
assets of U.S. listed ETFs/ETPs stood at an all-time high of $5.52 trillion, up
from $4.44 trillion a year ago.
Page 3
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FEX."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 19.25% 16.92% 14.07% 11.55% 8.10% 93.15% 198.44% 191.42%
Market Price 19.27% 16.98% 14.07% 11.54% 8.10% 93.12% 198.08% 191.43%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Large Cap
Core Index(1) 19.66% 17.66% 14.69% N/A N/A 98.47% N/A N/A
Nasdaq US 500 Large Cap Index(1) 15.64% 19.92% 16.83% N/A N/A 117.69% N/A N/A
S&P 500(R) Index 14.47% 17.25% 16.16% 13.50% 9.05% 111.48% 254.88% 228.51%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 22.66%
Financials 14.31
Health Care 13.45
Industrials 10.48
Consumer Discretionary 10.40
Utilities 7.67
Communication Services 7.09
Consumer Staples 5.29
Energy 3.52
Materials 3.04
Real Estate 2.09
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Moderna, Inc. 0.74%
Lumen Technologies, Inc. 0.56
General Motors Co. 0.54
Roku, Inc. 0.52
Tesla, Inc. 0.50
Applied Materials, Inc. 0.50
Etsy, Inc. 0.50
D.R. Horton, Inc. 0.49
Catalent, Inc. 0.49
Lennar Corp., Class A 0.48
-------
Total 5.32%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 4
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Large Cap Core S&P 500(R)
AlphaDEX(R) Fund Index
<S> <C> <C>
7/10 $10,000 $10,000
1/11 11,901 11,793
7/11 12,055 11,965
1/12 12,143 12,289
7/12 12,320 13,058
1/13 14,165 14,352
7/13 16,188 16,322
1/14 17,399 17,440
7/14 19,075 19,086
1/15 19,822 19,920
7/15 20,538 21,225
1/16 18,388 19,788
7/16 21,276 22,418
1/17 22,789 23,754
7/17 24,824 26,013
1/18 28,416 30,027
7/18 28,229 30,237
1/19 26,716 29,332
7/19 29,214 32,654
1/20 30,378 35,694
7/20 29,786 36,558
1/21 35,517 41,851
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNX."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 32.00% 22.14% 14.64% 10.89% 8.81% 97.97% 181.15% 218.82%
Market Price 32.04% 22.16% 14.63% 10.88% 8.81% 97.93% 180.98% 218.83%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid Cap Core
Index(1) 32.44% 22.96% 15.33% N/A N/A 104.08% N/A N/A
Nasdaq US 600 Mid Cap Index(1) 29.68% 22.68% 15.95% N/A N/A 109.57% N/A N/A
S&P MidCap 400(R) Index 26.44% 18.46% 14.01% 11.46% 8.94% 92.66% 195.80% 224.32%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 18.37%
Information Technology 17.27
Consumer Discretionary 14.68
Industrials 13.73
Health Care 11.43
Materials 6.23
Consumer Staples 5.43
Utilities 5.32
Real Estate 4.36
Communication Services 2.32
Energy 0.86
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Overstock.com, Inc. 0.59%
National Beverage Corp. 0.52
Discovery, Inc., Class A 0.50
KB Home 0.45
Dick's Sporting Goods, Inc. 0.43
Tenet Healthcare Corp. 0.43
Invesco Ltd. 0.43
Toll Brothers, Inc. 0.43
Qurate Retail, Inc., Series A 0.42
Chewy, Inc., Class A 0.41
-------
Total 4.61%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 6
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Mid Cap S&P MidCap
Core AlphaDEX(R) Fund 400(R) Index
<S> <C> <C>
7/10 $10,000 $10,000
1/11 12,277 12,249
7/11 12,660 12,576
1/12 12,863 12,580
7/12 12,744 12,727
1/13 14,880 14,915
7/13 16,913 16,927
1/14 18,471 18,176
7/14 19,195 19,108
1/15 19,525 20,154
7/15 20,259 21,266
1/16 17,435 18,803
7/16 20,413 22,442
1/17 22,327 24,475
7/17 23,395 25,738
1/18 26,632 28,786
7/18 27,446 29,477
1/19 25,804 27,491
7/19 27,781 29,713
1/20 28,261 30,591
7/20 26,149 28,658
1/21 34,517 36,233
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 7
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYX."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 700 Small Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 45.27% 32.40% 15.56% 11.32% 8.21% 106.07% 192.27% 195.37%
Market Price 45.31% 32.46% 15.62% 11.29% 8.21% 106.65% 191.53% 195.42%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small Cap Core
Index(1) 45.89% 33.46% 16.81% N/A N/A 117.51% N/A N/A
Nasdaq US 700 Small Cap Index(1) 45.83% 34.30% 17.91% N/A N/A 127.91% N/A N/A
S&P SmallCap 600(R) Index 38.31% 23.18% 15.21% 12.59% 9.10% 102.99% 227.39% 230.58%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 21.96%
Industrials 16.39
Information Technology 13.30
Health Care 12.94
Consumer Discretionary 11.88
Real Estate 7.53
Materials 4.69
Consumer Staples 4.17
Communication Services 3.35
Energy 2.76
Utilities 1.03
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Plug Power, Inc. 0.56%
eXp World Holdings, Inc. 0.51
Stitch Fix, Inc., Class A 0.49
At Home Group, Inc. 0.48
Macerich (The) Co. 0.45
AMC Networks, Inc., Class A 0.42
Appian Corp. 0.41
Rite Aid Corp. 0.40
Sleep Number Corp. 0.40
Renewable Energy Group, Inc. 0.38
-------
Total 4.50%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 8
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Small Cap S&P SmallCap
Core AlphaDEX(R) Fund 600(R) Index
<S> <C> <C>
7/10 $10,000 $10,000
1/11 12,001 12,001
7/11 12,421 12,473
1/12 12,922 12,902
7/12 12,597 12,971
1/13 14,657 14,896
7/13 17,206 17,482
1/14 18,882 19,133
7/14 18,866 19,412
1/15 19,310 20,311
7/15 19,897 21,737
1/16 17,022 19,359
7/16 20,334 23,031
1/17 22,555 26,007
7/17 23,594 27,099
1/18 26,202 30,313
7/18 28,243 33,357
1/19 25,735 29,933
7/19 26,399 31,106
1/20 26,489 31,896
7/20 24,145 28,407
1/21 35,075 39,290
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
The First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FTA."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Value Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 21.34% 5.45% 11.12% 9.39% 6.51% 69.42% 145.38% 137.74%
Market Price 21.34% 5.51% 11.12% 9.38% 6.51% 69.41% 145.10% 137.73%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Large Cap
Value Index(1) 21.80% 6.11% 11.55% N/A N/A 72.70% N/A N/A
Nasdaq US 500 Large Cap Value
Index(1) 17.04% 7.11% 12.42% N/A N/A 79.53% N/A N/A
S&P 500(R) Index 14.47% 17.25% 16.16% 13.50% 9.05% 111.48% 254.88% 228.51%
S&P 500(R) Value Index 13.92% 2.46% 11.28% 10.21% 5.89% 70.61% 164.45% 119.34%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 23.43%
Utilities 14.54
Industrials 11.51
Consumer Discretionary 9.48
Consumer Staples 8.10
Health Care 7.58
Information Technology 6.81
Communication Services 6.45
Energy 5.13
Materials 4.15
Real Estate 2.82
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Lumen Technologies, Inc. 1.14%
General Motors Co. 1.09
D.R. Horton, Inc. 1.00
Lennar Corp., Class A 0.98
Exxon Mobil Corp. 0.98
Kroger (The) Co. 0.97
Quest Diagnostics, Inc. 0.97
Fox Corp., Class A 0.96
Franklin Resources, Inc. 0.94
CVS Health Corp. 0.94
-------
Total 9.97%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 10
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Large Cap S&P 500(R) S&P 500(R)
Value AlphaDEX(R) Fund Index Value Index
<S> <C> <C> <C>
7/10 $10,000 $10,000 $10,000
1/11 11,774 11,793 11,717
7/11 11,829 11,965 11,518
1/12 12,241 12,289 11,850
7/12 12,416 13,058 12,409
1/13 14,532 14,352 14,156
7/13 16,531 16,322 16,169
1/14 17,457 17,440 16,842
7/14 19,417 19,086 18,479
1/15 19,583 19,920 18,837
7/15 19,361 21,225 19,698
1/16 17,051 19,788 18,161
7/16 19,930 22,418 20,837
1/17 22,816 23,754 22,564
7/17 24,581 26,013 23,825
1/18 27,428 30,027 26,932
7/18 26,578 30,237 26,310
1/19 25,222 29,330 25,563
7/19 26,405 32,650 27,961
1/20 27,395 35,690 30,242
7/20 23,807 36,554 27,200
1/21 28,892 41,851 30,986
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FTC."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Growth Index that may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 17.60% 30.70% 16.83% 13.59% 9.55% 117.69% 257.51% 249.97%
Market Price 17.56% 30.69% 16.84% 13.58% 9.55% 117.72% 257.20% 249.78%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Large Cap
Growth Index(1) 17.96% 31.55% 17.67% N/A N/A 125.58% N/A N/A
Nasdaq US 500 Large Cap Growth
Index(1) 14.87% 29.87% 20.17% N/A N/A 150.64% N/A N/A
S&P 500(R) Index 14.47% 17.25% 16.16% 13.50% 9.05% 111.48% 254.88% 228.51%
S&P 500(R) Growth Index 15.00% 29.84% 20.09% 16.25% 11.81% 149.77% 350.93% 363.22%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 40.45%
Health Care 20.99
Consumer Discretionary 12.41
Communication Services 8.57
Industrials 6.96
Financials 5.34
Consumer Staples 1.67
Energy 1.36
Materials 1.02
Real Estate 0.70
Utilities 0.53
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Moderna, Inc. 1.49%
Roku, Inc. 1.06
Tesla, Inc. 1.01
Applied Materials, Inc. 1.01
Etsy, Inc. 1.01
Catalent, Inc. 1.00
KLA Corp. 0.98
Twilio, Inc., Class A 0.96
Snap, Inc., Class A 0.95
Chegg, Inc. 0.95
-------
Total 10.42%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 12
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Large Cap S&P 500(R) S&P 500(R)
Growth AlphaDEX(R) Fund Index Growth Index
<S> <C> <C> <C>
7/10 $10,000 $10,000 $10,000
1/11 12,101 11,793 11,874
7/11 12,343 11,965 12,414
1/12 11,958 12,289 12,742
7/12 12,110 13,058 13,703
1/13 13,561 14,352 14,578
7/13 15,553 16,322 16,511
1/14 17,080 17,440 18,070
7/14 18,489 19,086 19,729
1/15 19,852 19,920 21,035
7/15 21,692 21,225 22,785
1/16 19,874 19,788 21,436
7/16 22,553 22,418 23,989
1/17 22,298 23,754 24,853
7/17 24,604 26,013 28,061
1/18 28,996 30,027 32,975
7/18 29,570 30,237 34,126
1/19 27,739 29,332 33,064
7/19 31,685 32,654 37,387
1/20 33,098 35,694 41,240
7/20 36,788 36,558 46,563
1/21 43,261 41,851 53,544
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FAB."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select value stocks from the
Nasdaq US 500 Large Cap Value Index, Nasdaq US 600 Mid Cap Value Index, and
Nasdaq US 700 Small Cap Value Index (together, the "Nasdaq US Multi Cap Value
Index") that may generate positive alpha relative to traditional passive
indices. The Index is a modified equal-dollar weighted index where higher ranked
stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 28.28% 10.19% 11.05% 9.00% 6.69% 68.85% 136.67% 143.27%
Market Price 28.16% 10.18% 11.04% 8.98% 6.68% 68.83% 136.35% 143.10%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Multi Cap
Value Index(1) 28.78% 11.04% 11.83% N/A N/A 74.93% N/A N/A
Nasdaq US Multi Cap Value Index(1) 19.15% 7.93% 12.43% N/A N/A 79.64% N/A N/A
S&P Composite 1500(R) Index 15.69% 17.48% 16.01% 13.34% 9.07% 110.12% 249.82% 229.35%
S&P Composite 1500(R) Value Index 15.53% 3.31% 11.38% 10.24% 6.07% 71.42% 164.99% 124.69%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 27.43%
Industrials 13.76
Consumer Discretionary 11.36
Utilities 10.33
Information Technology 6.83
Consumer Staples 6.36
Real Estate 5.24
Health Care 5.15
Communication Services 5.10
Materials 4.94
Energy 3.50
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Lumen Technologies, Inc. 0.57%
General Motors Co. 0.54
D.R. Horton, Inc. 0.50
Lennar Corp., Class A 0.49
Exxon Mobil Corp. 0.49
Kroger (The) Co. 0.48
Quest Diagnostics, Inc. 0.48
Fox Corp., Class A 0.48
Franklin Resources, Inc. 0.47
CVS Health Corp. 0.47
-------
Total 4.97%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 14
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Multi Cap S&P Composite S&P Composite 1500(R)
Value AlphaDEX(R) Fund 1500(R) Index Value Index
<S> <C> <C> <C>
7/10 $10,000 $10,000 $10,000
1/11 11,937 11,838 11,748
7/11 12,013 12,035 11,575
1/12 12,541 12,337 11,904
7/12 12,449 13,030 12,406
1/13 14,678 14,419 14,207
7/13 16,922 16,414 16,251
1/14 18,128 17,562 16,994
7/14 19,524 19,107 18,562
1/15 19,522 19,961 18,946
7/15 19,380 21,257 19,772
1/16 16,733 19,709 18,161
7/16 19,763 22,447 20,963
1/17 22,599 23,886 22,791
7/17 23,609 26,040 23,992
1/18 26,114 29,965 27,042
7/18 26,039 30,289 26,605
1/19 24,461 29,235 25,716
7/19 25,097 32,423 28,011
1/20 25,641 35,251 30,132
7/20 22,024 35,797 26,947
1/21 28,251 41,412 31,131
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FAD."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Growth Index, Nasdaq US 600 Mid Cap Growth Index and
Nasdaq US 700 Small Cap Growth Index (together the "Nasdaq US Multi Cap Growth
Index") that may generate positive alpha relative to traditional passive
indices. The Index is a modified equal-dollar weighted index where higher ranked
stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 28.36% 37.18% 18.44% 13.85% 10.08% 133.12% 265.73% 273.83%
Market Price 28.22% 37.18% 18.46% 13.83% 10.07% 133.26% 265.19% 273.64%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Multi Cap
Growth Index(1) 28.85% 38.19% 19.40% N/A N/A 142.64% N/A N/A
Nasdaq US Multi Cap Growth
Index(1) 16.74% 30.70% 20.18% N/A N/A 150.71% N/A N/A
S&P Composite 1500(R) Index 15.69% 17.48% 16.01% 13.34% 9.07% 110.12% 249.82% 229.35%
S&P Composite 1500(R) Growth
Index 15.94% 29.62% 19.75% 15.95% 11.70% 146.24% 339.20% 357.34%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 33.54%
Health Care 22.40
Consumer Discretionary 12.97
Industrials 9.55
Financials 6.11
Communication Services 5.12
Consumer Staples 3.38
Materials 2.74
Real Estate 2.06
Energy 1.50
Utilities 0.63
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Moderna, Inc. 0.73%
Roku, Inc. 0.51
Tesla, Inc. 0.49
Applied Materials, Inc. 0.49
Etsy, Inc. 0.49
Catalent, Inc. 0.49
KLA Corp. 0.48
Twilio, Inc., Class A 0.47
Snap, Inc., Class A 0.46
Chegg, Inc. 0.46
-------
Total 5.07%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 16
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JANUARY 31, 2021
First Trust Multi Cap S&P Composite S&P Composite 1500(R)
Growth AlphaDEX(R) Fund 1500(R) Index Growth Index
<S> <C> <C> <C>
7/10 $10,000 $10,000 $10,000
1/11 12,170 11,838 11,934
7/11 12,674 12,035 12,501
1/12 12,428 12,337 12,786
7/12 12,535 13,030 13,658
1/13 14,113 14,419 14,664
7/13 16,045 16,414 16,615
1/14 17,691 17,562 18,165
7/14 18,394 19,107 19,691
1/15 19,574 19,961 21,010
7/15 21,315 21,257 22,777
1/16 19,092 19,709 21,285
7/16 21,881 22,447 23,931
1/17 22,297 23,886 24,895
7/17 24,473 26,040 27,953
1/18 28,616 29,965 32,744
7/18 30,055 30,291 33,922
1/19 27,957 29,237 32,705
7/19 31,455 32,424 36,858
1/20 32,447 35,249 40,439
7/20 34,675 35,797 45,210
1/21 44,509 41,412 52,414
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNK."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 600 Mid Cap Value Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year 5 Years Inception 5 Years Inception
Ended Ended Ended (4/19/11) Ended (4/19/11)
1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 32.34% 8.48% 9.55% 7.69% 57.77% 106.55%
Market Price 32.32% 8.46% 9.54% 7.69% 57.69% 106.43%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid Cap Value
Index(1) 32.89% 9.31% 10.39% N/A 63.96% N/A
Nasdaq US 600 Mid Cap Value Index(1) 27.57% 4.77% 10.80% N/A 67.03% N/A
S&P MidCap 400(R) Value Index 29.26% 9.45% 11.90% 9.91% 75.42% 152.21%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 30.42%
Consumer Discretionary 15.56
Industrials 14.87
Utilities 9.55
Real Estate 6.28
Information Technology 6.07
Materials 5.47
Consumer Staples 4.86
Communication Services 3.21
Health Care 2.72
Energy 0.99
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Discovery, Inc., Class A 1.01%
KB Home 0.91
Dick's Sporting Goods, Inc. 0.87
Invesco Ltd. 0.87
Toll Brothers, Inc. 0.86
Qurate Retail, Inc., Series A 0.84
SL Green Realty Corp. 0.82
Molson Coors Beverage Co., Class B 0.81
NRG Energy, Inc. 0.81
Kimco Realty Corp. 0.81
-------
Total 8.61%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 18
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JANUARY 31, 2021
First Trust Mid Cap S&P MidCap 400(R)
Value AlphaDEX(R) Fund Value Index
<S> <C> <C>
4/11 $10,000 $10,000
7/11 9,625 9,581
1/12 9,982 9,720
7/12 9,935 9,869
1/13 11,765 11,640
7/13 13,549 13,358
1/14 14,657 14,305
7/14 15,487 15,311
1/15 15,205 15,816
7/15 15,351 16,204
1/16 13,091 14,376
7/16 15,539 17,468
1/17 17,704 19,524
7/17 17,984 20,073
1/18 19,750 21,915
7/18 19,925 22,582
1/19 18,796 21,295
7/19 19,078 22,530
1/20 19,040 23,044
7/20 15,607 19,512
1/21 20,655 25,221
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 19
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
The First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNY."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 600 Mid Cap Growth Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year 5 Years Inception 5 Years Inception
Ended Ended Ended (4/19/11) Ended (4/19/11)
1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 32.71% 41.04% 20.32% 13.54% 152.16% 246.52%
Market Price 32.71% 41.01% 20.32% 13.54% 152.16% 246.52%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid Cap Growth
Index(1) 33.21% 42.09% 21.10% N/A 160.48% N/A
Nasdaq US 600 Mid Cap Growth Index(1) 31.39% 39.67% 20.49% N/A 153.97% N/A
S&P MidCap 400(R) Growth Index 24.32% 26.57% 15.66% 12.06% 106.94% 204.72%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 32.26%
Health Care 21.92
Consumer Discretionary 12.83
Industrials 10.95
Consumer Staples 5.98
Materials 5.66
Financials 5.01
Real Estate 2.01
Communication Services 1.73
Energy 1.23
Utilities 0.42
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Overstock.com, Inc. 1.16%
National Beverage Corp. 1.02
Novavax, Inc. 0.85
Tenet Healthcare Corp. 0.85
Chewy, Inc., Class A 0.81
Scotts Miracle-Gro (The) Co. 0.80
PTC, Inc. 0.80
II-VI, Inc. 0.79
Albemarle Corp. 0.79
OPKO Health, Inc. 0.79
-------
Total 8.66%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 20
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JANUARY 31, 2021
First Trust Mid Cap S&P MidCap 400(R)
Growth AlphaDEX(R) Fund Growth Index
<S> <C> <C>
4/11 $10,000 $10,000
7/11 9,881 9,910
1/12 9,804 9,779
7/12 9,673 9,861
1/13 11,050 11,485
7/13 12,290 12,894
1/14 13,612 13,883
7/14 13,824 14,345
1/15 14,646 15,414
7/15 15,748 16,711
1/16 13,744 14,724
7/16 15,753 17,266
1/17 16,331 18,295
7/17 17,791 19,634
1/18 21,047 22,457
7/18 22,251 22,846
1/19 20,796 21,092
7/19 23,678 23,261
1/20 24,570 24,075
7/20 26,112 24,511
1/21 34,652 30,472
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 21
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
The First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYT."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 700 Small Cap Value Index which may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year 5 Years Inception 5 Years Inception
Ended Ended Ended (4/19/11) Ended (4/19/11)
1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 39.38% 23.52% 12.61% 9.22% 81.06% 136.98%
Market Price 39.42% 23.17% 12.63% 9.22% 81.21% 136.99%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small Cap Value
Index(1) 39.92% 24.53% 14.02% N/A 92.67% N/A
Nasdaq US 700 Small Cap Value Index(1) 42.94% 20.20% 13.86% N/A 91.38% N/A
S&P SmallCap 600(R) Value Index 40.81% 16.46% 13.03% 10.94% 84.47% 176.21%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 32.87%
Industrials 17.62
Consumer Discretionary 9.79
Real Estate 9.62
Information Technology 7.99
Materials 6.06
Communication Services 4.60
Consumer Staples 4.27
Energy 3.24
Health Care 2.77
Utilities 1.17
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Macerich (The) Co. 0.92%
Renewable Energy Group, Inc. 0.79
Stride, Inc. 0.76
Tri Pointe Homes, Inc. 0.73
TEGNA, Inc. 0.72
Prestige Consumer Healthcare, Inc. 0.72
Navient Corp. 0.72
Simmons First National Corp., Class A 0.72
Adtalem Global Education, Inc. 0.71
Assured Guaranty Ltd. 0.71
-------
Total 7.50%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 22
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JANUARY 31, 2021
First Trust Small Cap S&P SmallCap 600(R)
Value AlphaDEX(R) Fund Value Index
<S> <C> <C>
4/11 $10,000 $10,000
7/11 9,930 9,813
1/12 10,692 10,331
7/12 10,005 10,231
1/13 11,945 11,945
7/13 14,241 14,054
1/14 15,577 15,278
7/14 15,931 15,723
1/15 15,996 16,154
7/15 15,630 16,701
1/16 13,090 14,973
7/16 15,754 18,195
1/17 18,060 20,662
7/17 18,181 21,216
1/18 19,883 23,634
7/18 20,883 25,612
1/19 19,012 22,856
7/19 18,859 23,442
1/20 19,185 23,717
7/20 17,003 19,617
1/21 23,698 27,621
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 23
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
The First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYC."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 700 Small Cap Growth Index which may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year 5 Years Inception 5 Years Inception
Ended Ended Ended (4/19/11) Ended (4/19/11)
1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 to 1/31/21
<S> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 50.26% 44.73% 18.97% 13.26% 138.34% 238.14%
Market Price 50.15% 44.65% 18.96% 13.25% 138.25% 237.89%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small Cap Growth
Index(1) 51.00% 46.05% 20.35% N/A 152.44% N/A
Nasdaq US 700 Small Cap Growth Index(1) 48.38% 48.44% 21.83% N/A 168.35% N/A
S&P SmallCap 600(R) Growth Index 36.18% 29.19% 17.23% 13.60% 121.40% 248.44%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 26.35%
Information Technology 19.38
Consumer Discretionary 14.47
Industrials 13.52
Financials 9.49
Real Estate 5.29
Consumer Staples 3.58
Materials 2.52
Energy 2.20
Communication Services 2.03
Utilities 1.17
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Plug Power, Inc. 1.11%
eXp World Holdings, Inc. 1.00
Stitch Fix, Inc., Class A 0.97
At Home Group, Inc. 0.94
Appian Corp. 0.80
Rite Aid Corp. 0.79
Sleep Number Corp. 0.78
Vista Outdoor, Inc. 0.73
Upwork, Inc. 0.71
Michaels (The) Cos., Inc. 0.71
-------
Total 8.54%
=======
-----------------------------
Nasdaq(R) and the 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. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. 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.
Page 24
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JANUARY 31, 2021
First Trust Small Cap S&P SmallCap 600(R)
Growth AlphaDEX(R) Fund Growth Index
<S> <C> <C>
4/11 $10,000 $10,000
7/11 9,920 9,982
1/12 9,826 10,155
7/12 10,157 10,362
1/13 11,338 11,710
7/13 13,014 13,710
1/14 14,413 15,107
7/14 13,992 15,093
1/15 14,637 16,071
7/15 16,115 17,778
1/16 14,186 15,737
7/16 16,685 18,361
1/17 17,809 20,597
7/17 19,540 21,757
1/18 22,008 24,431
7/18 24,592 27,311
1/19 22,219 24,686
7/19 23,630 25,997
1/20 23,358 26,970
7/20 22,503 25,586
1/21 33,814 34,844
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 25
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. For certain Funds the total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period from inception to the first day of secondary market trading in shares of
the Fund, the NAV of each Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in each Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 26
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JANUARY 31, 2021 (UNAUDITED)
As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid
Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First
Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R)
Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid
Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund or
First Trust Small Cap Growth AlphaDEX(R) Fund (each a "Fund" and collectively,
the "Funds"), you incur two types of costs: (1) transaction costs; and (2)
ongoing costs, including management fees, distribution and/or service (12b-1)
fees, if any, and other Fund expenses. This Example is intended to help you
understand your ongoing costs of investing in the Funds and to compare these
costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended January 31, 2021.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
AUGUST 1, 2020 JANUARY 31, 2021 PERIOD (a) PERIOD (b)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
Actual $1,000.00 $1,192.50 0.60% $3.32
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
Actual $1,000.00 $1,320.00 0.60% $3.51
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
Actual $1,000.00 $1,452.70 0.60% $3.71
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
Actual $1,000.00 $1,213.40 0.60% $3.35
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
Actual $1,000.00 $1,176.00 0.59% $3.24
Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01
</TABLE>
Page 27
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
AUGUST 1, 2020 JANUARY 31, 2021 PERIOD (a) PERIOD (b)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
Actual $1,000.00 $1,282.80 0.70% $4.03
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
Actual $1,000.00 $1,283.60 0.63% $3.63
Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
Actual $1,000.00 $1,323.40 0.70% $4.10
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
Actual $1,000.00 $1,327.10 0.70% $4.11
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
Actual $1,000.00 $1,393.80 0.70% $4.22
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
Actual $1,000.00 $1,502.60 0.70% $4.42
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
</TABLE>
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in
Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (August 1,
2020 through January 31, 2021), multiplied by 184/365 (to reflect the
six-month period).
Page 28
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.2%
30,028 General Dynamics Corp. $ 4,404,507
6,750 HEICO Corp. 794,745
4,729 L3Harris Technologies, Inc. 811,071
8,799 Northrop Grumman Corp. 2,521,881
4,559 Teledyne Technologies, Inc. (a) 1,627,608
2,888 TransDigm Group, Inc. (a) 1,597,873
---------------
11,757,685
---------------
AIR FREIGHT & LOGISTICS -- 0.7%
19,042 C.H. Robinson Worldwide, Inc. 1,629,234
28,191 Expeditors International of
Washington, Inc. 2,523,658
10,327 FedEx Corp. 2,430,356
5,308 United Parcel Service, Inc.,
Class B 822,740
---------------
7,405,988
---------------
AUTO COMPONENTS -- 0.4%
27,438 Aptiv PLC 3,665,717
---------------
AUTOMOBILES -- 1.5%
406,701 Ford Motor Co. (a) 4,282,562
107,316 General Motors Co. 5,438,775
6,333 Tesla, Inc. (a) 5,025,425
---------------
14,746,762
---------------
BANKS -- 4.7%
117,944 Bank of America Corp. 3,497,039
57,979 Citigroup, Inc. 3,362,202
99,969 Citizens Financial Group, Inc. 3,642,870
129,667 Fifth Third Bancorp 3,751,266
24,331 First Republic Bank 3,527,752
21,101 JPMorgan Chase & Co. 2,715,066
217,849 KeyCorp 3,672,934
28,083 M&T Bank Corp. 3,720,155
29,990 PNC Financial Services Group
(The), Inc. 4,304,165
221,769 Regions Financial Corp. 3,772,291
4,609 SVB Financial Group (a) 2,017,728
74,586 Truist Financial Corp. 3,578,636
57,548 U.S. Bancorp 2,465,932
118,453 Wells Fargo & Co. 3,539,376
---------------
47,567,412
---------------
BEVERAGES -- 0.6%
4,080 Constellation Brands, Inc.,
Class A 860,595
55,858 Keurig Dr Pepper, Inc. 1,776,285
28,992 Monster Beverage Corp. (a) 2,517,375
6,027 PepsiCo, Inc. 823,107
---------------
5,977,362
---------------
BIOTECHNOLOGY -- 1.6%
16,681 AbbVie, Inc. 1,709,469
33,728 Exact Sciences Corp. (a) 4,626,132
15,340 Gilead Sciences, Inc. 1,006,304
42,774 Moderna, Inc. (a) 7,406,746
10,485 Sarepta Therapeutics, Inc. (a) 937,359
5,102 Seagen, Inc. (a) 838,106
---------------
16,524,116
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
BUILDING PRODUCTS -- 1.0%
71,081 Carrier Global Corp. $ 2,736,619
31,277 Fortune Brands Home &
Security, Inc. 2,697,641
38,365 Johnson Controls International
PLC 1,911,344
3,262 Lennox International, Inc. 898,648
16,269 Masco Corp. 883,569
6,156 Trane Technologies PLC 882,463
---------------
10,010,284
---------------
CAPITAL MARKETS -- 4.1%
9,197 Ameriprise Financial, Inc. 1,819,810
18,246 Apollo Global Management, Inc. 838,221
105,292 Bank of New York Mellon (The)
Corp. 4,193,780
6,193 BlackRock, Inc. 4,342,903
4,910 CME Group, Inc. 892,344
178,817 Franklin Resources, Inc. 4,701,099
13,556 Goldman Sachs Group (The),
Inc. 3,675,981
15,504 Intercontinental Exchange, Inc. 1,710,867
44,145 KKR & Co., Inc. 1,719,448
3,134 MarketAxess Holdings, Inc. 1,694,742
52,166 Morgan Stanley 3,497,730
8,007 MSCI, Inc. 3,165,167
13,467 Nasdaq, Inc. 1,821,681
9,596 Northern Trust Corp. 855,867
49,119 State Street Corp. 3,438,330
17,711 T. Rowe Price Group, Inc. 2,771,417
---------------
41,139,387
---------------
CHEMICALS -- 1.7%
13,757 Celanese Corp. 1,680,418
69,245 Corteva, Inc. 2,760,106
26,737 Eastman Chemical Co. 2,629,584
7,777 FMC Corp. 842,171
24,635 International Flavors &
Fragrances, Inc. (b) 2,768,481
29,252 LyondellBasell Industries N.V.,
Class A 2,508,652
12,395 PPG Industries, Inc. 1,669,730
9,845 RPM International, Inc. 811,917
2,432 Sherwin-Williams (The) Co. 1,682,458
---------------
17,353,517
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.0%
2,529 Cintas Corp. 804,525
28,093 Copart, Inc. (a) 3,083,207
27,842 Republic Services, Inc. 2,520,258
68,626 Rollins, Inc. 2,471,909
15,156 Waste Management, Inc. 1,687,166
---------------
10,567,065
---------------
COMMUNICATIONS EQUIPMENT
-- 0.7%
9,227 Arista Networks, Inc. (a) 2,837,856
79,886 Cisco Systems, Inc. 3,561,318
5,256 Motorola Solutions, Inc. 880,643
---------------
7,279,817
---------------
See Notes to Financial Statements Page 29
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION & ENGINEERING
-- 0.2%
16,405 Jacobs Engineering Group, Inc. $ 1,656,249
---------------
CONSTRUCTION MATERIALS -- 0.6%
12,589 Martin Marietta Materials, Inc. 3,618,204
18,078 Vulcan Materials Co. 2,696,153
---------------
6,314,357
---------------
CONSUMER FINANCE -- 0.8%
7,392 American Express Co. 859,394
36,166 Capital One Financial Corp. 3,770,667
9,873 Discover Financial Services 824,791
77,245 Synchrony Financial 2,599,294
---------------
8,054,146
---------------
CONTAINERS & PACKAGING -- 0.3%
53,925 International Paper Co. 2,712,967
---------------
DISTRIBUTORS -- 0.4%
11,996 Pool Corp. 4,248,743
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
49,470 Chegg, Inc. (a) 4,712,512
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.4%
19,272 Berkshire Hathaway, Inc.,
Class B (a) 4,391,511
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.4%
155,377 AT&T, Inc. 4,448,443
458,320 Lumen Technologies, Inc. 5,674,002
76,061 Verizon Communications, Inc. 4,164,340
---------------
14,286,785
---------------
ELECTRIC UTILITIES -- 4.4%
69,376 Alliant Energy Corp. 3,375,143
42,932 American Electric Power Co.,
Inc. 3,473,628
39,044 Duke Energy Corp. 3,670,136
42,681 Edison International 2,482,327
44,758 Entergy Corp. 4,266,780
80,501 Evergy, Inc. 4,325,319
30,992 Eversource Energy 2,711,800
105,841 Exelon Corp. 4,398,752
87,591 FirstEnergy Corp. 2,694,299
23,168 NextEra Energy, Inc. 1,873,596
158,463 PPL Corp. 4,384,671
58,195 Southern (The) Co. 3,428,849
53,622 Xcel Energy, Inc. 3,431,272
---------------
44,516,572
---------------
ELECTRICAL EQUIPMENT -- 0.7%
14,780 AMETEK, Inc. 1,673,983
14,879 Eaton Corp. PLC 1,751,258
33,361 Emerson Electric Co. 2,647,195
3,563 Rockwell Automation, Inc. 885,513
---------------
6,957,949
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.9%
20,503 Amphenol Corp., Class A $ 2,560,415
13,562 CDW Corp. 1,785,573
22,263 Cognex Corp. 1,828,460
49,652 Corning, Inc. 1,781,017
20,299 Keysight Technologies, Inc. (a) 2,874,135
53,541 Trimble, Inc. (a) 3,528,887
11,626 Zebra Technologies Corp.,
Class A (a) 4,508,912
---------------
18,867,399
---------------
ENTERTAINMENT -- 1.6%
28,876 Activision Blizzard, Inc. 2,627,716
6,223 Electronic Arts, Inc. 891,133
3,306 Netflix, Inc. (a) 1,760,081
13,459 Roku, Inc. (a) 5,235,955
17,204 Take-Two Interactive Software,
Inc. (a) 3,448,542
181,100 Zynga, Inc., Class A (a) 1,794,701
---------------
15,758,128
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.7%
16,713 AvalonBay Communities, Inc. 2,735,417
47,272 Boston Properties, Inc. 4,314,516
7,714 Extra Space Storage, Inc. 877,776
82,032 Medical Properties Trust, Inc. 1,731,696
14,109 Mid-America Apartment
Communities, Inc. 1,872,970
10,480 Simon Property Group, Inc. 973,906
54,673 Ventas, Inc. 2,518,785
35,048 VICI Properties, Inc. 886,013
13,830 Welltower, Inc. 838,098
26,654 Weyerhaeuser Co. 831,338
---------------
17,580,515
---------------
FOOD & STAPLES RETAILING -- 1.1%
2,371 Costco Wholesale Corp. 835,612
140,700 Kroger (The) Co. 4,854,150
44,821 Walgreens Boots Alliance, Inc. 2,252,255
24,800 Walmart, Inc. 3,484,152
---------------
11,426,169
---------------
FOOD PRODUCTS -- 3.2%
88,645 Archer-Daniels-Midland Co. 4,433,136
55,453 Campbell Soup Co. 2,667,844
98,591 Conagra Brands, Inc. 3,411,248
60,797 General Mills, Inc. 3,532,306
11,734 Hershey (The) Co. 1,706,593
57,523 Hormel Foods Corp. 2,695,528
38,655 J.M. Smucker (The) Co. 4,499,828
43,085 Kellogg Co. 2,539,430
25,786 Kraft Heinz (The) Co. 864,089
30,570 Mondelez International, Inc.,
Class A 1,694,801
69,345 Tyson Foods, Inc., Class A 4,459,577
---------------
32,504,380
---------------
GAS UTILITIES -- 0.4%
46,826 Atmos Energy Corp. 4,167,514
---------------
Page 30 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT
& SUPPLIES -- 3.3%
8,162 Abbott Laboratories $ 1,008,742
5,514 ABIOMED, Inc. (a) 1,920,251
8,362 Align Technology, Inc. (a) 4,393,228
11,138 Baxter International, Inc. 855,733
3,571 Becton, Dickinson and Co. 934,852
4,022 Danaher Corp. 956,592
19,593 Edwards Lifesciences Corp. (a) 1,617,990
49,085 Hologic, Inc. (a) 3,913,547
8,939 IDEXX Laboratories, Inc. (a) 4,278,921
6,991 Insulet Corp. (a) 1,867,855
2,185 Intuitive Surgical, Inc. (a) 1,633,593
6,661 Masimo Corp. (a) 1,704,683
15,259 Medtronic PLC 1,698,784
4,975 Quidel Corp. (a) 1,248,576
4,206 ResMed, Inc. 847,803
4,716 STERIS PLC 882,411
7,294 Stryker Corp. 1,612,047
6,309 West Pharmaceutical Services,
Inc. 1,889,482
---------------
33,265,090
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 4.1%
11,133 Anthem, Inc. 3,306,278
74,439 Centene Corp. (a) 4,488,672
17,172 Cigna Corp. 3,727,182
65,425 CVS Health Corp. 4,687,701
38,064 DaVita, Inc. (a) 4,467,572
10,868 HCA Healthcare, Inc. 1,765,833
4,356 Humana, Inc. 1,668,827
17,564 Laboratory Corp. of America
Holdings (a) 4,020,575
15,417 McKesson Corp. 2,689,804
16,808 Molina Healthcare, Inc. (a) 3,590,357
37,499 Quest Diagnostics, Inc. 4,842,996
7,645 UnitedHealth Group, Inc. 2,550,219
---------------
41,806,016
---------------
HEALTH CARE TECHNOLOGY -- 0.6%
45,551 Cerner Corp. 3,649,091
4,470 Teladoc Health, Inc. (a) 1,179,320
3,283 Veeva Systems, Inc., Class A (a) 907,552
---------------
5,735,963
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.5%
1,934 Chipotle Mexican Grill, Inc. (a) 2,862,320
2,330 Domino's Pizza, Inc. 863,871
8,233 Yum! Brands, Inc. 835,567
---------------
4,561,758
---------------
HOUSEHOLD DURABLES -- 2.4%
64,838 D.R. Horton, Inc. 4,979,558
22,406 Garmin Ltd. 2,573,553
58,620 Lennar Corp., Class A 4,874,253
876 NVR, Inc. (a) 3,895,117
103,632 PulteGroup, Inc. 4,507,992
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HOUSEHOLD DURABLES (CONTINUED)
19,805 Whirlpool Corp. $ 3,665,707
---------------
24,496,180
---------------
HOUSEHOLD PRODUCTS -- 0.3%
10,245 Church & Dwight Co., Inc. 864,985
20,902 Colgate-Palmolive Co. 1,630,356
6,422 Procter & Gamble (The) Co. 823,365
---------------
3,318,706
---------------
INDUSTRIAL CONGLOMERATES -- 0.8%
15,339 3M Co. 2,694,449
248,259 General Electric Co. 2,651,406
12,606 Honeywell International, Inc. 2,462,834
---------------
7,808,689
---------------
INSURANCE -- 4.3%
100,487 Aflac, Inc. 4,540,003
40,650 Allstate (The) Corp. 4,356,867
123,887 Arch Capital Group Ltd. (a) 3,891,291
14,449 Arthur J. Gallagher & Co. 1,667,559
18,851 Brown & Brown, Inc. 812,290
11,612 Chubb Ltd. 1,691,520
40,916 Cincinnati Financial Corp. 3,440,626
91,234 Hartford Financial Services
Group (The), Inc. 4,381,057
1,730 Markel Corp. (a) 1,677,200
95,177 MetLife, Inc. 4,582,773
72,060 Principal Financial Group, Inc. 3,550,396
45,192 Progressive (The) Corp. 3,940,290
25,468 Travelers (The) Cos., Inc. 3,471,288
13,456 W.R. Berkley Corp. 836,156
---------------
42,839,316
---------------
INTERACTIVE MEDIA & SERVICES
-- 1.8%
1,529 Alphabet, Inc., Class A (a) 2,794,034
6,543 Facebook, Inc., Class A (a) 1,690,253
67,810 Pinterest, Inc., Class A (a) 4,645,663
89,248 Snap, Inc., Class A (a) 4,724,789
34,428 Zillow Group, Inc., Class C (a) 4,491,477
---------------
18,346,216
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.3%
823 Amazon.com, Inc. (a) 2,638,703
17,786 eBay, Inc. 1,005,087
25,117 Etsy, Inc. (a) 5,000,543
15,832 Wayfair, Inc., Class A (a) 4,311,370
---------------
12,955,703
---------------
IT SERVICES -- 5.0%
6,843 Accenture PLC, Class A 1,655,459
5,072 Automatic Data Processing, Inc. 837,489
20,503 Booz Allen Hamilton Holding
Corp. 1,746,240
5,834 Broadridge Financial Solutions,
Inc. 824,402
32,717 Cognizant Technology Solutions
Corp., Class A 2,550,290
9,975 EPAM Systems, Inc. (a) 3,435,689
See Notes to Financial Statements Page 31
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
6,318 Fidelity National Information
Services, Inc. $ 780,020
15,698 Fiserv, Inc. (a) 1,612,028
16,738 Gartner, Inc. (a) 2,542,670
16,594 Global Payments, Inc. 2,929,173
21,549 GoDaddy, Inc., Class A (a) 1,693,320
28,400 International Business Machines
Corp. 3,382,724
25,507 Leidos Holdings, Inc. 2,705,272
12,446 MongoDB, Inc. (a) 4,600,166
14,060 Okta, Inc. (a) 3,641,681
9,591 Paychex, Inc. 837,486
15,264 PayPal Holdings, Inc. (a) 3,576,508
20,533 Square, Inc., Class A (a) 4,434,307
13,202 Twilio, Inc., Class A (a) 4,745,195
81,471 Western Union (The) Co. 1,814,359
---------------
50,344,478
---------------
LEISURE PRODUCTS -- 0.6%
19,109 Hasbro, Inc. 1,792,806
29,453 Peloton Interactive, Inc.,
Class A (a) 4,303,967
---------------
6,096,773
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 2.5%
22,627 Agilent Technologies, Inc. 2,719,087
158,744 Avantor, Inc. (a) 4,681,360
4,600 Bio-Rad Laboratories, Inc.,
Class A (a) 2,639,342
8,444 Bio-Techne Corp. 2,743,540
2,352 Mettler-Toledo International,
Inc. (a) 2,747,371
31,141 PerkinElmer, Inc. 4,579,907
5,756 Thermo Fisher Scientific, Inc. 2,933,833
7,225 Waters Corp. (a) 1,912,241
---------------
24,956,681
---------------
MACHINERY -- 2.1%
9,820 Caterpillar, Inc. 1,795,489
15,741 Cummins, Inc. 3,690,005
3,322 Deere & Co. 959,394
14,157 Dover Corp. 1,649,149
25,241 Fortive Corp. 1,667,925
4,487 IDEX Corp. 835,434
41,433 PACCAR, Inc. 3,779,518
6,562 Parker-Hannifin Corp. 1,736,371
10,010 Stanley Black & Decker, Inc. 1,736,635
48,837 Westinghouse Air Brake
Technologies Corp. 3,624,194
---------------
21,474,114
---------------
MEDIA -- 2.0%
1,204 Cable One, Inc. 2,408,000
2,701 Charter Communications, Inc.,
Class A (a) 1,641,020
68,223 Comcast Corp., Class A 3,381,814
153,456 Fox Corp., Class A 4,784,758
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MEDIA (CONTINUED)
42,990 Omnicom Group, Inc. $ 2,681,716
140,302 Sirius XM Holdings, Inc. (b) 878,290
95,946 ViacomCBS, Inc., Class B 4,653,381
---------------
20,428,979
---------------
METALS & MINING -- 0.4%
14,922 Newmont Corp. 889,351
67,210 Nucor Corp. 3,275,143
---------------
4,164,494
---------------
MULTILINE RETAIL -- 0.8%
12,748 Dollar General Corp. 2,480,888
24,816 Dollar Tree, Inc. (a) 2,522,795
15,187 Target Corp. 2,751,429
---------------
7,755,112
---------------
MULTI-UTILITIES -- 2.7%
45,796 Ameren Corp. 3,330,285
43,947 CMS Energy Corp. 2,499,705
61,834 Consolidated Edison, Inc. 4,376,611
11,883 Dominion Energy, Inc. 866,152
36,806 DTE Energy Co. 4,369,608
76,648 Public Service Enterprise
Group, Inc. 4,325,247
35,074 Sempra Energy 4,340,758
29,133 WEC Energy Group, Inc. 2,589,924
---------------
26,698,290
---------------
OIL, GAS & CONSUMABLE FUELS
-- 3.5%
59,553 Cheniere Energy, Inc. (a) 3,771,492
42,331 Chevron Corp. 3,606,601
67,045 ConocoPhillips 2,683,811
71,683 EOG Resources, Inc. 3,652,966
108,410 Exxon Mobil Corp. 4,861,104
196,137 Kinder Morgan, Inc. 2,761,609
103,261 Occidental Petroleum Corp. 2,071,416
69,859 ONEOK, Inc. 2,782,484
31,389 Pioneer Natural Resources Co. 3,794,930
63,195 Valero Energy Corp. 3,566,094
89,149 Williams (The) Cos., Inc. 1,892,633
---------------
35,445,140
---------------
PHARMACEUTICALS -- 1.3%
14,408 Bristol-Myers Squibb Co. 885,084
42,939 Catalent, Inc. (a) 4,940,132
5,294 Eli Lilly and Co. 1,100,993
36,654 Horizon Therapeutics PLC (a) 2,656,682
72,838 Pfizer, Inc. 2,614,884
5,400 Zoetis, Inc. 832,950
---------------
13,030,725
---------------
PROFESSIONAL SERVICES -- 0.7%
1,934 CoStar Group, Inc. (a) 1,740,039
13,903 Equifax, Inc. 2,462,361
9,008 TransUnion 784,056
8,610 Verisk Analytics, Inc. 1,579,935
---------------
6,566,391
---------------
Page 32 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.3%
56,997 CBRE Group, Inc., Class A (a) $ 3,475,677
---------------
ROAD & RAIL -- 1.5%
19,697 CSX Corp. 1,689,116
26,160 J.B. Hunt Transport Services,
Inc. 3,522,706
8,757 Kansas City Southern 1,774,781
7,522 Norfolk Southern Corp. 1,779,856
4,578 Old Dominion Freight Line, Inc. 888,132
70,096 Uber Technologies, Inc. (a) 3,569,989
8,585 Union Pacific Corp. 1,695,280
---------------
14,919,860
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 5.1%
48,727 Advanced Micro Devices,
Inc. (a) 4,172,980
6,050 Analog Devices, Inc. 891,346
51,780 Applied Materials, Inc. 5,006,090
2,042 Broadcom, Inc. 919,921
13,807 KLA Corp. 3,866,926
9,462 Lam Research Corp. 4,579,135
75,199 Marvell Technology Group Ltd. 3,869,741
12,943 Microchip Technology, Inc. 1,761,672
59,438 Micron Technology, Inc. (a) 4,652,212
12,201 Monolithic Power Systems, Inc. 4,334,893
5,134 NVIDIA Corp. 2,667,575
26,876 Qorvo, Inc. (a) 4,592,571
23,467 QUALCOMM, Inc. 3,667,423
5,846 Skyworks Solutions, Inc. 989,436
37,272 Teradyne, Inc. 4,229,627
5,445 Texas Instruments, Inc. 902,182
---------------
51,103,730
---------------
SOFTWARE -- 8.5%
1,786 Adobe, Inc. (a) 819,363
2,456 ANSYS, Inc. (a) 870,333
11,708 Autodesk, Inc. (a) 3,248,150
21,681 Avalara, Inc. (a) 3,252,150
26,203 Cadence Design Systems,
Inc. (a) 3,416,609
25,162 Ceridian HCM Holding, Inc. (a) 2,337,801
10,547 Coupa Software, Inc. (a) 3,268,199
21,097 Crowdstrike Holdings, Inc.,
Class A (a) 4,552,733
9,080 Datadog, Inc., Class A (a) 932,970
12,062 DocuSign, Inc. (a) 2,809,119
20,654 Dynatrace, Inc. (a) 857,348
3,498 Fair Isaac Corp. (a) 1,574,485
18,052 Fortinet, Inc. (a) 2,613,027
11,273 HubSpot, Inc. (a) 4,195,811
7,058 Intuit, Inc. 2,549,561
172,037 NortonLifeLock, Inc. 3,624,820
27,631 Oracle Corp. 1,669,741
12,574 Palo Alto Networks, Inc. (a) 4,410,330
9,881 Paycom Software, Inc. (a) 3,752,211
11,792 RingCentral, Inc., Class A (a) 4,397,473
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SOFTWARE (CONTINUED)
4,015 salesforce.com, Inc. (a) $ 905,623
6,495 ServiceNow, Inc. (a) 3,527,824
36,854 SS&C Technologies Holdings,
Inc. 2,317,380
13,789 Synopsys, Inc. (a) 3,522,400
5,580 Trade Desk (The), Inc.,
Class A (a) 4,274,224
6,143 Tyler Technologies, Inc. (a) 2,597,199
11,190 Workday, Inc., Class A (a) 2,546,061
31,224 Zendesk, Inc. (a) 4,503,750
5,299 Zoom Video Communications,
Inc., Class A (a) 1,971,599
22,375 Zscaler, Inc. (a) 4,468,287
---------------
85,786,581
---------------
SPECIALTY RETAIL -- 2.0%
17,023 Advance Auto Parts, Inc. 2,538,810
754 AutoZone, Inc. (a) 843,251
35,824 Best Buy Co., Inc. 3,898,368
18,923 CarMax, Inc. (a) 2,228,751
11,193 Carvana Co. (a) 2,923,500
3,365 Home Depot (The), Inc. 911,310
16,705 Lowe's Cos., Inc. 2,787,229
1,975 O'Reilly Automotive, Inc. (a) 840,303
19,072 Tractor Supply Co. 2,703,265
---------------
19,674,787
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.5%
26,941 Apple, Inc. 3,555,134
12,193 Dell Technologies, Inc.,
Class C (a) 888,748
301,680 Hewlett Packard Enterprise Co. 3,722,731
72,691 HP, Inc. 1,769,299
43,133 Seagate Technology PLC 2,851,954
32,271 Western Digital Corp. 1,821,053
---------------
14,608,919
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.2%
12,635 NIKE, Inc., Class B 1,687,910
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.6%
18,303 Fastenal Co. 834,434
19,268 United Rentals, Inc. (a) 4,682,316
2,189 W.W. Grainger, Inc. 797,650
---------------
6,314,400
---------------
WATER UTILITIES -- 0.2%
5,824 American Water Works Co., Inc. 926,132
18,900 Essential Utilities, Inc. 875,070
---------------
1,801,202
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
19,882 T-Mobile US, Inc. (a) 2,506,723
---------------
TOTAL COMMON STOCKS
-- 99.9% 1,006,125,611
(Cost $851,761,473) ---------------
See Notes to Financial Statements Page 33
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MONEY MARKET FUNDS -- 0.3%
2,138,350 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) $ 2,138,350
1,180,551 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 1,180,551
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 3,318,901
(Cost $3,318,901) ---------------
TOTAL INVESTMENTS -- 100.2% 1,009,444,512
(Cost $855,080,374) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.2)% (2,078,414)
---------------
NET ASSETS -- 100.0% $ 1,007,366,098
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $2,045,393 and the
total value of the collateral held by the Fund is $2,138,350.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $169,786,703 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $15,422,565. The net unrealized
appreciation was $154,364,138.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $1,006,125,611 $ -- $ --
Money Market
Funds 3,318,901 -- --
---------------------------------------------
Total Investments $1,009,444,512 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 2,045,393
Non-cash Collateral(2) (2,045,393)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
Page 34 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.5%
14,293 Axon Enterprise, Inc. (a) $ 2,346,339
9,684 BWX Technologies, Inc. 522,161
20,071 Curtiss-Wright Corp. 2,083,169
36,119 Hexcel Corp. 1,576,956
40,911 Howmet Aerospace, Inc. 1,005,592
13,697 Huntington Ingalls Industries,
Inc. 2,154,949
6,630 Mercury Systems, Inc. (a) 471,128
32,068 Parsons Corp. (a) 1,143,545
24,159 Textron, Inc. 1,093,436
---------------
12,397,275
---------------
AIR FREIGHT & LOGISTICS -- 0.1%
4,898 XPO Logistics, Inc. (a) 540,788
---------------
AIRLINES -- 0.1%
37,020 American Airlines Group, Inc. 635,633
---------------
AUTO COMPONENTS -- 1.4%
60,435 BorgWarner, Inc. 2,537,666
20,174 Dorman Products, Inc. (a) 1,832,404
16,568 Fox Factory Holding Corp. (a) 1,982,195
51,618 Gentex Corp. 1,705,975
13,505 LCI Industries 1,747,277
7,342 Lear Corp. 1,106,880
---------------
10,912,397
---------------
AUTOMOBILES -- 0.2%
15,908 Harley-Davidson, Inc. 637,752
6,278 Thor Industries, Inc. 759,701
---------------
1,397,453
---------------
BANKS -- 6.0%
74,679 Bank OZK 2,775,072
34,101 BOK Financial Corp. 2,518,700
31,354 Comerica, Inc. 1,793,449
17,772 Commerce Bancshares, Inc. 1,188,058
18,739 Community Bank System, Inc. 1,215,224
20,078 Cullen/Frost Bankers, Inc. 1,851,995
46,050 East West Bancorp, Inc. 2,760,237
3,050 First Citizens BancShares, Inc.,
Class A 1,817,769
32,276 First Financial Bankshares, Inc. 1,222,615
183,010 First Horizon Corp. 2,542,009
38,066 Glacier Bancorp, Inc. 1,775,779
89,908 Home BancShares, Inc. 1,906,050
138,670 Huntington Bancshares, Inc. 1,833,911
180,604 People's United Financial, Inc. 2,467,051
27,197 Pinnacle Financial Partners,
Inc. 1,863,810
41,463 Popular, Inc. 2,353,025
33,669 Prosperity Bancshares, Inc. 2,270,637
12,946 Signature Bank 2,138,550
8,075 South State Corp. 563,150
72,141 Synovus Financial Corp. 2,683,645
54,055 United Bankshares, Inc. 1,711,381
239,509 Valley National Bancorp 2,445,387
29,214 Western Alliance Bancorp 1,991,811
53,757 Zions Bancorp N.A. 2,372,834
---------------
48,062,149
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
BEVERAGES -- 1.2%
2,348 Boston Beer (The) Co., Inc.,
Class A (a) $ 2,152,858
64,594 Molson Coors Beverage Co.,
Class B 3,240,035
27,505 National Beverage Corp. (b) 4,168,107
---------------
9,561,000
---------------
BIOTECHNOLOGY -- 4.7%
21,840 ACADIA Pharmaceuticals,
Inc. (a) 1,049,412
13,689 Acceleron Pharma, Inc. (a) 1,581,490
29,264 Alkermes PLC (a) 614,251
126,419 Amicus Therapeutics, Inc. (a) 2,390,583
15,217 Arrowhead Pharmaceuticals,
Inc. (a) 1,174,296
20,823 Blueprint Medicines Corp. (a) 2,014,625
9,429 ChemoCentryx, Inc. (a) 537,547
11,439 CRISPR Therapeutics AG (a) 1,895,442
13,031 Emergent BioSolutions, Inc. (a) 1,392,362
32,102 Fate Therapeutics, Inc. (a) 2,909,404
68,345 Halozyme Therapeutics, Inc. (a) 3,252,539
17,537 Insmed, Inc. (a) 659,216
13,964 Invitae Corp. (a) 691,497
13,290 Mirati Therapeutics, Inc. (a) 2,728,836
23,465 Natera, Inc. (a) 2,502,308
10,471 Novavax, Inc. (a) 2,313,463
443,394 OPKO Health, Inc. (a) (b) 2,398,762
19,132 PTC Therapeutics, Inc. (a) 1,106,212
21,086 Ultragenyx Pharmaceutical,
Inc. (a) 2,922,309
19,231 United Therapeutics Corp. (a) 3,150,423
---------------
37,284,977
---------------
BUILDING PRODUCTS -- 1.5%
21,298 A.O. Smith Corp. 1,156,482
17,524 AAON, Inc. 1,296,776
34,924 Advanced Drainage Systems,
Inc. 2,880,532
42,917 Builders FirstSource, Inc. (a) 1,641,575
6,248 Simpson Manufacturing Co.,
Inc. 574,816
13,947 Trex Co., Inc. (a) 1,279,916
52,547 UFP Industries, Inc. 2,834,385
---------------
11,664,482
---------------
CAPITAL MARKETS -- 3.1%
17,222 Affiliated Managers Group, Inc. 1,897,692
25,077 Cboe Global Markets, Inc. 2,300,313
7,857 Cohen & Steers, Inc. 514,634
101,039 Federated Hermes, Inc. 2,728,053
8,684 Houlihan Lokey, Inc. 563,157
167,470 Invesco Ltd. 3,448,207
27,603 Lazard Ltd., Class A 1,137,244
22,406 LPL Financial Holdings, Inc. 2,427,466
12,606 Morningstar, Inc. 2,897,993
18,307 Raymond James Financial, Inc. 1,829,419
46,278 Stifel Financial Corp. 2,398,126
92,778 Virtu Financial, Inc., Class A 2,576,445
---------------
24,718,749
---------------
See Notes to Financial Statements Page 35
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CHEMICALS -- 2.6%
15,830 Albemarle Corp. $ 2,574,908
20,448 Axalta Coating Systems Ltd. (a) 551,892
5,067 Balchem Corp. 542,321
45,244 CF Industries Holdings, Inc. 1,872,197
98,783 Element Solutions, Inc. 1,682,275
46,444 Huntsman Corp. 1,227,050
25,372 Mosaic (The) Co. 658,657
4,397 NewMarket Corp. 1,724,459
11,520 Quaker Chemical Corp. 3,019,738
14,657 Scotts Miracle-Gro (The) Co. 3,245,206
50,458 Valvoline, Inc. 1,197,873
28,618 Westlake Chemical Corp. 2,188,132
---------------
20,484,708
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.9%
9,424 Casella Waste Systems, Inc.,
Class A (a) 539,430
23,015 Clean Harbors, Inc. (a) 1,782,742
26,953 IAA, Inc. (a) 1,540,094
3,908 MSA Safety, Inc. 610,117
5,043 Tetra Tech, Inc. 613,077
11,031 UniFirst Corp. 2,347,397
---------------
7,432,857
---------------
COMMUNICATIONS EQUIPMENT
-- 0.9%
22,093 Ciena Corp. (a) 1,179,546
9,955 F5 Networks, Inc. (a) 1,950,682
103,741 Juniper Networks, Inc. 2,533,355
12,316 Lumentum Holdings, Inc. (a) 1,155,241
38,985 Viavi Solutions, Inc. (a) 602,318
---------------
7,421,142
---------------
CONSTRUCTION & ENGINEERING
-- 1.2%
12,766 EMCOR Group, Inc. 1,127,238
42,813 MasTec, Inc. (a) 3,303,023
24,318 Quanta Services, Inc. 1,713,689
10,012 Valmont Industries, Inc. 1,931,515
75,589 WillScot Mobile Mini Holdings
Corp. (a) 1,792,215
---------------
9,867,680
---------------
CONSTRUCTION MATERIALS -- 0.2%
17,280 Eagle Materials, Inc. 1,901,318
---------------
CONSUMER FINANCE -- 0.9%
65,485 Ally Financial, Inc. 2,477,953
10,462 Green Dot Corp., Class A (a) 525,506
48,488 OneMain Holdings, Inc. 2,257,601
79,537 Santander Consumer USA
Holdings, Inc. 1,757,768
---------------
7,018,828
---------------
CONTAINERS & PACKAGING -- 2.1%
8,529 AptarGroup, Inc. 1,134,101
7,528 Avery Dennison Corp. 1,135,749
41,559 Berry Global Group, Inc. (a) 2,051,768
23,305 Crown Holdings, Inc. (a) 2,100,946
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CONTAINERS & PACKAGING
(CONTINUED)
103,389 Graphic Packaging Holding Co. $ 1,619,072
12,700 Packaging Corp. of America 1,707,642
38,249 Sealed Air Corp. 1,616,785
62,978 Silgan Holdings, Inc. 2,294,288
29,560 Sonoco Products Co. 1,711,820
40,234 WestRock Co. 1,666,895
---------------
17,039,066
---------------
DISTRIBUTORS -- 0.3%
66,266 LKQ Corp. (a) 2,325,274
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.8%
23,255 frontdoor, Inc. (a) 1,279,955
25,080 Grand Canyon Education,
Inc. (a) 2,130,295
73,620 H&R Block, Inc. 1,268,473
23,781 Service Corp. International 1,199,276
11,444 Terminix Global Holdings,
Inc. (a) 545,650
---------------
6,423,649
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.0%
65,937 Cannae Holdings, Inc. (a) 2,504,946
91,255 Equitable Holdings, Inc. 2,261,299
118,660 Jefferies Financial Group, Inc. 2,770,711
9,926 Voya Financial, Inc. 550,496
---------------
8,087,452
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.5%
3,799 Bandwidth, Inc., Class A (a) 676,754
59,383 Iridium Communications,
Inc. (a) 2,925,800
---------------
3,602,554
---------------
ELECTRIC UTILITIES -- 2.0%
47,127 ALLETE, Inc. 2,961,461
65,985 Hawaiian Electric Industries,
Inc. 2,181,464
24,317 IDACORP, Inc. 2,147,191
77,736 NRG Energy, Inc. 3,219,048
18,324 OGE Energy Corp. 559,248
36,511 Pinnacle West Capital Corp. 2,747,453
54,599 Portland General Electric Co. 2,308,992
---------------
16,124,857
---------------
ELECTRICAL EQUIPMENT -- 1.1%
19,285 Acuity Brands, Inc. 2,318,828
14,057 EnerSys 1,155,907
10,268 Generac Holdings, Inc. (a) 2,530,241
3,723 Hubbell, Inc. 579,299
14,261 Regal Beloit Corp. 1,789,470
8,414 Sunrun, Inc. (a) 582,838
---------------
8,956,583
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.9%
24,001 Arrow Electronics, Inc. (a) 2,343,218
Page 36 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
(CONTINUED)
33,256 Avnet, Inc. $ 1,174,269
18,032 Dolby Laboratories, Inc.,
Class A 1,587,357
26,640 FLIR Systems, Inc. 1,386,612
38,429 II-VI, Inc. (a) 3,230,726
2,609 IPG Photonics Corp. (a) 582,929
41,180 Jabil, Inc. 1,703,617
2,293 Littelfuse, Inc. 558,047
35,842 SYNNEX Corp. 2,925,424
---------------
15,492,199
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.5%
27,299 American Campus
Communities, Inc. 1,123,627
105,825 Brixmor Property Group, Inc. 1,791,617
107,002 Equity Commonwealth 3,050,627
21,199 Healthcare Trust of America,
Inc., Class A 598,872
39,905 Host Hotels & Resorts, Inc. 540,713
72,914 Hudson Pacific Properties, Inc. 1,709,104
37,339 JBG SMITH Properties 1,114,942
194,471 Kimco Realty Corp. 3,210,716
7,335 Life Storage, Inc. 598,389
42,801 National Retail Properties, Inc. 1,669,239
23,343 PotlatchDeltic Corp. 1,114,862
39,742 Rayonier, Inc. 1,222,066
25,611 Regency Centers Corp. 1,208,327
134,439 Sabra Health Care REIT, Inc. 2,257,231
48,782 SL Green Realty Corp. 3,291,809
29,066 Spirit Realty Capital, Inc. 1,120,785
17,181 STORE Capital Corp. 532,955
61,794 VEREIT, Inc. 2,177,003
---------------
28,332,884
---------------
FOOD & STAPLES RETAILING -- 0.8%
46,980 BJ's Wholesale Club Holdings,
Inc. (a) 1,976,449
13,074 Casey's General Stores, Inc. 2,451,113
14,874 Grocery Outlet Holding
Corp. (a) 634,971
29,045 Sprouts Farmers Market, Inc. (a) 657,869
17,527 US Foods Holding Corp. (a) 543,162
---------------
6,263,564
---------------
FOOD PRODUCTS -- 2.6%
4,671 Beyond Meat, Inc. (a) 831,812
35,609 Bunge Ltd. 2,330,253
50,607 Darling Ingredients, Inc. (a) 3,138,140
51,595 Flowers Foods, Inc. 1,184,621
16,446 Freshpet, Inc. (a) 2,291,092
29,082 Hain Celestial Group (The),
Inc. (a) 1,209,375
37,105 Ingredion, Inc. 2,800,315
7,414 Lamb Weston Holdings, Inc. 553,826
3,178 Lancaster Colony Corp. 554,815
119,082 Pilgrim's Pride Corp. (a) 2,307,809
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
5,780 Post Holdings, Inc. (a) $ 548,233
963 Seaboard Corp. 3,029,800
---------------
20,780,091
---------------
GAS UTILITIES -- 1.6%
14,194 National Fuel Gas Co. 571,451
65,688 New Jersey Resources Corp. 2,299,737
30,418 ONE Gas, Inc. 2,224,468
48,050 Southwest Gas Holdings, Inc. 2,881,078
27,349 Spire, Inc. 1,673,485
83,496 UGI Corp. 3,005,021
---------------
12,655,240
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 1.5%
11,150 DENTSPLY SIRONA, Inc. 596,413
17,903 Globus Medical, Inc.,
Class A (a) 1,104,436
4,916 Haemonetics Corp. (a) 561,850
5,444 ICU Medical, Inc. (a) 1,113,189
8,992 Integra LifeSciences Holdings
Corp. (a) 593,832
7,383 iRhythm Technologies, Inc. (a) 1,243,445
3,373 Nevro Corp. (a) 545,718
16,869 Novocure Ltd. (a) 2,715,234
10,364 NuVasive, Inc. (a) 556,961
22,108 STAAR Surgical Co. (a) 2,267,839
6,102 Tandem Diabetes Care, Inc. (a) 565,350
---------------
11,864,267
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.2%
34,847 Acadia Healthcare Co., Inc. (a) 1,766,046
7,961 Amedisys, Inc. (a) 2,287,275
1,097 Chemed Corp. 568,136
14,121 Encompass Health Corp. 1,135,328
13,590 Guardant Health, Inc. (a) 2,113,245
16,749 HealthEquity, Inc. (a) 1,399,379
26,195 Henry Schein, Inc. (a) 1,724,941
2,736 LHC Group, Inc. (a) 545,066
73,103 Tenet Healthcare Corp. (a) 3,455,579
21,229 Universal Health Services, Inc.,
Class B 2,646,832
---------------
17,641,827
---------------
HEALTH CARE TECHNOLOGY -- 0.7%
15,519 Inspire Medical Systems,
Inc. (a) 3,127,233
24,321 Omnicell, Inc. (a) 2,865,014
---------------
5,992,247
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.1%
2,997 Churchill Downs, Inc. 561,788
8,851 Cracker Barrel Old Country
Store, Inc. 1,197,629
92,638 MGM Resorts International 2,645,741
13,761 Papa John's International, Inc. 1,407,475
20,278 Penn National Gaming, Inc. (a) 2,103,234
See Notes to Financial Statements Page 37
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
7,469 Texas Roadhouse, Inc. $ 569,212
---------------
8,485,079
---------------
HOUSEHOLD DURABLES -- 3.6%
5,256 Helen of Troy Ltd. (a) 1,283,778
87,083 KB Home 3,626,136
26,357 Leggett & Platt, Inc. 1,080,637
16,546 LGI Homes, Inc. (a) 1,765,624
60,062 M.D.C. Holdings, Inc. 3,124,425
35,245 Meritage Homes Corp. (a) 2,828,764
20,709 Mohawk Industries, Inc. (a) 2,973,812
27,499 Newell Brands, Inc. 660,526
91,042 Taylor Morrison Home Corp. (a) 2,365,271
108,112 Tempur Sealy International,
Inc. (a) 2,854,157
67,150 Toll Brothers, Inc. 3,431,365
12,686 TopBuild Corp. (a) 2,536,566
---------------
28,531,061
---------------
HOUSEHOLD PRODUCTS -- 0.5%
13,840 Energizer Holdings, Inc. 606,746
58,302 Reynolds Consumer Products,
Inc. 1,749,060
4,394 WD-40 Co. 1,337,577
---------------
3,693,383
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.7%
54,852 Clearway Energy, Inc., Class C 1,699,315
6,466 Ormat Technologies, Inc. 738,158
148,475 Vistra Corp. 2,965,046
---------------
5,402,519
---------------
INDUSTRIAL CONGLOMERATES -- 0.2%
11,214 Carlisle Cos., Inc. 1,625,245
---------------
INSURANCE -- 5.3%
967 Alleghany Corp. 548,144
19,989 American Financial Group, Inc. 1,881,764
12,857 Assurant, Inc. 1,741,738
54,131 Athene Holding Ltd., Class A (a) 2,213,417
11,585 Axis Capital Holdings Ltd. 531,751
16,125 Brighthouse Financial, Inc. (a) 570,180
14,247 Enstar Group Ltd. (a) 2,852,392
4,754 Erie Indemnity Co., Class A 1,155,697
9,976 Everest Re Group Ltd. 2,105,734
74,674 Fidelity National Financial,
Inc. 2,710,666
56,537 First American Financial Corp. 2,956,320
24,592 Globe Life, Inc. 2,222,871
19,972 Hanover Insurance Group
(The), Inc. 2,246,251
37,993 Kemper Corp. 2,672,807
5,835 Kinsale Capital Group, Inc. 1,094,413
34,813 Lincoln National Corp. 1,583,643
88,859 Old Republic International
Corp. 1,608,348
13,077 Primerica, Inc. 1,821,757
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
INSURANCE (CONTINUED)
15,112 Reinsurance Group of America,
Inc. $ 1,587,516
11,210 RLI Corp. 1,084,904
26,148 Selective Insurance Group, Inc. 1,699,097
127,246 Unum Group 2,955,925
2,916 White Mountains Insurance
Group Ltd. 2,974,320
---------------
42,819,655
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.1%
18,399 Cargurus, Inc. (a) 538,171
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.5%
32,473 Chewy, Inc., Class A (a) 3,306,401
60,851 Overstock.com, Inc. (a) 4,722,038
266,090 Qurate Retail, Inc., Series A 3,352,734
2,976 Stamps.com, Inc. (a) 679,450
---------------
12,060,623
---------------
IT SERVICES -- 1.1%
9,366 CACI International, Inc.,
Class A (a) 2,259,266
6,682 Fastly, Inc., Class A (a) 730,677
14,116 Genpact Ltd. 540,360
18,875 KBR, Inc. 548,319
31,906 MAXIMUS, Inc. 2,394,864
24,245 Perspecta, Inc. 701,893
12,337 Science Applications
International Corp. 1,184,722
2,868 WEX, Inc. (a) 540,905
---------------
8,901,006
---------------
LEISURE PRODUCTS -- 1.3%
28,801 Acushnet Holdings Corp. 1,175,657
30,630 Brunswick Corp. 2,648,270
167,279 Mattel, Inc. (a) 3,031,095
6,127 Polaris, Inc. 714,837
42,632 YETI Holdings, Inc. (a) 2,806,038
---------------
10,375,897
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.9%
8,246 10X Genomics, Inc., Class A (a) 1,411,303
29,619 Adaptive Biotechnologies
Corp. (a) 1,642,966
21,571 Bruker Corp. 1,248,745
7,010 Charles River Laboratories
International, Inc. (a) 1,815,941
16,777 Medpace Holdings, Inc. (a) 2,227,818
43,373 NeoGenomics, Inc. (a) 2,299,636
9,308 PRA Health Sciences, Inc. (a) 1,147,118
12,186 Repligen Corp. (a) 2,437,200
17,137 Syneos Health, Inc. (a) 1,274,136
---------------
15,504,863
---------------
MACHINERY -- 3.0%
11,326 AGCO Corp. 1,256,053
40,607 Allison Transmission Holdings,
Inc. 1,652,705
Page 38 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
30,534 Colfax Corp. (a) $ 1,133,422
7,518 Crane Co. 568,962
31,685 Flowserve Corp. 1,126,718
16,138 Graco, Inc. 1,112,554
15,160 ITT, Inc. 1,132,604
10,253 John Bean Technologies Corp. 1,188,118
5,022 Lincoln Electric Holdings, Inc. 575,019
9,057 Middleby (The) Corp. (a) 1,229,216
27,131 Oshkosh Corp. 2,484,928
3,806 Proto Labs, Inc. (a) 806,111
6,521 RBC Bearings, Inc. (a) 1,091,159
29,567 Rexnord Corp. 1,119,407
13,645 Snap-on, Inc. 2,455,963
30,186 Timken (The) Co. 2,283,873
18,467 Toro (The) Co. 1,740,515
9,608 Woodward, Inc. 1,075,616
---------------
24,032,943
---------------
MARINE -- 0.1%
11,264 Kirby Corp. (a) 571,761
---------------
MEDIA -- 1.8%
97,010 Discovery, Inc., Class A (a) 4,018,154
90,261 DISH Network Corp.,
Class A (a) 2,619,374
74,464 Interpublic Group of (The) Cos.,
Inc. 1,792,349
22,554 New York Times (The) Co.,
Class A 1,118,453
97,463 News Corp., Class A 1,890,782
26,733 Nexstar Media Group, Inc.,
Class A 3,038,740
---------------
14,477,852
---------------
METALS & MINING -- 1.0%
450,465 Hecla Mining Co. 2,563,146
24,376 Reliance Steel & Aluminum Co. 2,829,566
79,170 Steel Dynamics, Inc. 2,713,156
---------------
8,105,868
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.4%
42,412 Blackstone Mortgage Trust,
Inc., Class A 1,130,704
58,732 New Residential Investment
Corp. 551,493
90,746 Starwood Property Trust, Inc. 1,702,395
---------------
3,384,592
---------------
MULTILINE RETAIL -- 0.3%
43,042 Kohl's Corp. 1,896,431
7,140 Ollie's Bargain Outlet Holdings,
Inc. (a) 676,372
---------------
2,572,803
---------------
MULTI-UTILITIES -- 1.1%
38,002 Black Hills Corp. 2,246,678
110,820 MDU Resources Group, Inc. 2,913,458
50,899 NiSource, Inc. 1,127,413
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MULTI-UTILITIES (CONTINUED)
40,048 NorthWestern Corp. $ 2,181,414
---------------
8,468,963
---------------
OIL, GAS & CONSUMABLE FUELS
-- 0.9%
302,880 Antero Midstream Corp. 2,453,328
41,142 Apache Corp. 587,508
12,063 Diamondback Energy, Inc. 683,851
22,584 HollyFrontier Corp. 642,741
350,107 Marathon Oil Corp. 2,534,775
---------------
6,902,203
---------------
PAPER & FOREST PRODUCTS -- 0.3%
62,826 Louisiana-Pacific Corp. 2,388,016
---------------
PERSONAL PRODUCTS -- 0.4%
415,814 Coty, Inc., Class A 2,648,735
12,150 Herbalife Nutrition Ltd. (a) 619,164
---------------
3,267,899
---------------
PHARMACEUTICALS -- 0.4%
19,035 Elanco Animal Health, Inc. (a) 552,586
7,074 Jazz Pharmaceuticals PLC (a) 1,100,007
39,164 Perrigo Co. PLC 1,672,303
---------------
3,324,896
---------------
PROFESSIONAL SERVICES -- 1.1%
20,968 ASGN, Inc. (a) 1,738,457
15,101 CoreLogic, Inc. 1,136,954
6,485 Exponent, Inc. 535,532
5,226 FTI Consulting, Inc. (a) 574,703
14,341 Insperity, Inc. 1,125,625
6,474 ManpowerGroup, Inc. 572,561
28,032 Robert Half International, Inc. 1,892,160
21,730 TriNet Group, Inc. (a) 1,610,410
---------------
9,186,402
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.8%
14,793 Howard Hughes (The) Corp. (a) 1,274,713
15,739 Jones Lang LaSalle, Inc. (a) 2,301,199
42,533 Redfin Corp. (a) 3,028,775
---------------
6,604,687
---------------
ROAD & RAIL -- 1.6%
5,144 AMERCO 2,378,791
69,800 Knight-Swift Transportation
Holdings, Inc. 2,792,000
8,671 Landstar System, Inc. 1,208,737
23,765 Lyft, Inc., Class A (a) 1,056,592
16,145 Saia, Inc. (a) 2,853,629
74,427 Werner Enterprises, Inc. 2,920,516
---------------
13,210,265
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.2%
30,102 Advanced Energy Industries,
Inc. (a) 3,087,863
193,569 Amkor Technology, Inc. 3,004,191
8,604 Brooks Automation, Inc. 651,839
14,205 Cirrus Logic, Inc. (a) 1,330,866
3,858 CMC Materials, Inc. 568,322
See Notes to Financial Statements Page 39
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
16,538 Cree, Inc. (a) $ 1,671,661
16,561 Diodes, Inc. (a) 1,172,188
16,635 Enphase Energy, Inc. (a) 3,033,392
24,299 Entegris, Inc. 2,390,779
11,804 First Solar, Inc. (a) 1,170,367
50,965 Lattice Semiconductor Corp. (a) 2,044,206
53,034 MACOM Technology Solutions
Holdings, Inc. (a) 3,015,513
15,522 MKS Instruments, Inc. 2,453,563
35,674 ON Semiconductor Corp. (a) 1,230,396
28,527 Power Integrations, Inc. 2,297,850
24,295 Semtech Corp. (a) 1,723,730
18,168 Synaptics, Inc. (a) 1,802,629
5,081 Universal Display Corp. 1,172,796
---------------
33,822,151
---------------
SOFTWARE -- 8.2%
29,183 2U, Inc. (a) 1,193,585
60,765 ACI Worldwide, Inc. (a) 2,332,768
28,217 Alarm.com Holdings, Inc. (a) 2,621,924
24,376 Anaplan, Inc. (a) 1,625,879
17,108 Bill.com Holdings, Inc. (a) 2,085,123
21,885 Blackline, Inc. (a) 2,836,734
11,264 CDK Global, Inc. 562,074
83,940 Cloudera, Inc. (a) 1,281,764
38,413 Cloudflare, Inc., Class A (a) 2,944,741
26,310 Dropbox, Inc., Class A (a) 595,395
19,975 Elastic N.V. (a) 3,035,401
7,094 Envestnet, Inc. (a) 544,323
7,832 Everbridge, Inc. (a) 1,041,108
126,583 FireEye, Inc. (a) 2,658,243
13,390 Five9, Inc. (a) 2,226,087
4,535 Guidewire Software, Inc. (a) 520,346
23,904 J2 Global, Inc. (a) 2,453,507
28,145 LivePerson, Inc. (a) 1,783,267
17,574 Medallia, Inc. (a) 729,321
30,813 Mimecast Ltd. (a) 1,326,808
39,724 Nuance Communications,
Inc. (a) 1,809,031
36,636 Nutanix, Inc., Class A (a) 1,118,131
8,506 Paylocity Holding Corp. (a) 1,594,535
8,761 Pegasystems, Inc. 1,116,589
12,840 Proofpoint, Inc. (a) 1,657,387
24,405 PTC, Inc. (a) 3,243,669
18,455 Q2 Holdings, Inc. (a) 2,362,055
9,581 Qualys, Inc. (a) 1,326,681
32,376 Rapid7, Inc. (a) 2,810,884
54,828 Sailpoint Technologies
Holdings, Inc. (a) 3,032,537
33,702 Smartsheet, Inc., Class A (a) 2,350,377
21,505 SPS Commerce, Inc. (a) 2,126,629
22,850 SVMK, Inc. (a) 576,048
55,856 Tenable Holdings, Inc. (a) 2,764,313
10,705 Varonis Systems, Inc. (a) 1,892,323
26,071 Verint Systems, Inc. (a) 1,924,822
---------------
66,104,409
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SPECIALTY RETAIL -- 3.1%
33,461 AutoNation, Inc. (a) $ 2,385,100
51,930 Dick's Sporting Goods, Inc. 3,479,829
13,345 Five Below, Inc. (a) 2,345,117
25,150 Floor & Decor Holdings, Inc.,
Class A (a) 2,315,561
72,181 Foot Locker, Inc. 3,162,971
3,989 Lithia Motors, Inc., Class A 1,271,215
22,305 Murphy USA, Inc. 2,778,534
49,150 Penske Automotive Group, Inc. 2,941,136
3,914 RH (a) 1,860,559
17,198 Williams-Sonoma, Inc. 2,217,166
---------------
24,757,188
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.8%
35,254 NetApp, Inc. 2,342,276
77,462 Pure Storage, Inc., Class A (a) 1,791,696
125,874 Xerox Holdings Corp. 2,647,130
---------------
6,781,102
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.2%
12,413 Carter's, Inc. 1,092,841
13,362 Columbia Sportswear Co. 1,168,641
8,143 Deckers Outdoor Corp. (a) 2,377,593
40,041 Hanesbrands, Inc. 612,227
5,628 Ralph Lauren Corp. 568,709
32,488 Skechers U.S.A., Inc.,
Class A (a) 1,120,186
93,920 Tapestry, Inc. 2,969,750
---------------
9,909,947
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.6%
67,570 Essent Group Ltd. 2,826,453
232,591 MGIC Investment Corp. 2,725,967
221,348 New York Community Bancorp,
Inc. 2,315,300
44,484 PennyMac Financial Services,
Inc. 2,580,072
144,149 Radian Group, Inc. 2,767,661
---------------
13,215,453
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.3%
65,714 Air Lease Corp. 2,604,246
27,671 MSC Industrial Direct Co., Inc.,
Class A 2,146,440
14,721 SiteOne Landscape Supply,
Inc. (a) 2,321,207
92,131 Univar Solutions, Inc. (a) 1,712,715
5,153 Watsco, Inc. 1,228,939
---------------
10,013,547
---------------
TOTAL COMMON STOCKS
-- 100.0% 801,923,639
(Cost $656,839,831) ---------------
Page 40 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MONEY MARKET FUNDS -- 0.9%
6,159,476 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) $ 6,159,476
1,421,442 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 1,421,442
---------------
TOTAL MONEY MARKET FUNDS
-- 0.9% 7,580,918
(Cost $7,580,918) ---------------
TOTAL INVESTMENTS -- 100.9% 809,504,557
(Cost $664,420,749) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (7,225,172)
---------------
NET ASSETS -- 100.0% $ 802,279,385
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $5,908,256 and the
total value of the collateral held by the Fund is $6,159,476.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $152,596,017 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $7,512,209. The net unrealized
appreciation was $145,083,808.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 801,923,639 $ -- $ --
Money Market
Funds 7,580,918 -- --
---------------------------------------------
Total Investments $ 809,504,557 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 5,908,256
Non-cash Collateral(2) (5,908,256)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 41
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.8%
15,429 AeroVironment, Inc. (a) $ 1,770,786
7,201 Cubic Corp. 440,557
7,829 Kaman Corp. 394,269
48,893 Kratos Defense & Security
Solutions, Inc. (a) 1,297,620
46,337 Maxar Technologies, Inc. 1,940,130
5,641 Moog, Inc., Class A 416,701
---------------
6,260,063
---------------
AIR FREIGHT & LOGISTICS -- 0.8%
57,063 Air Transport Services Group,
Inc. (a) 1,449,971
32,786 Atlas Air Worldwide Holdings,
Inc. (a) 1,698,971
11,642 Forward Air Corp. 834,615
31,367 Hub Group, Inc., Class A (a) 1,650,845
---------------
5,634,402
---------------
AIRLINES -- 0.4%
55,454 SkyWest, Inc. 2,162,151
36,572 Spirit Airlines, Inc. (a) 948,678
---------------
3,110,829
---------------
AUTO COMPONENTS -- 1.2%
53,607 American Axle & Manufacturing
Holdings, Inc. (a) 472,278
55,198 Cooper Tire & Rubber Co. 2,028,526
68,703 Dana, Inc. 1,330,090
6,848 Gentherm, Inc. (a) 419,508
40,979 Goodyear Tire & Rubber (The)
Co. (a) 432,328
13,075 Patrick Industries, Inc. 902,960
55,250 Standard Motor Products, Inc. 2,167,458
22,608 Workhorse Group, Inc. (a) (b) 775,907
---------------
8,529,055
---------------
AUTOMOBILES -- 0.1%
14,923 Winnebago Industries, Inc. 1,030,582
---------------
BANKS -- 11.9%
44,367 1st Source Corp. 1,745,841
46,978 Ameris Bancorp 1,837,310
131,099 Associated Banc-Corp. 2,351,916
40,709 Atlantic Union Bankshares Corp. 1,336,884
15,229 BancFirst Corp. 877,647
65,168 BancorpSouth Bank 1,801,895
11,673 Bank of Hawaii Corp. 912,712
38,566 BankUnited, Inc. 1,336,312
38,387 Banner Corp. 1,697,857
27,230 Cadence BanCorp 487,962
55,559 Cathay General Bancorp 1,879,005
37,357 Columbia Banking System, Inc. 1,438,992
68,782 CVB Financial Corp. 1,336,434
43,304 Eagle Bancorp, Inc. 1,839,987
235,301 F.N.B. Corp. 2,320,068
25,750 FB Financial Corp. 962,020
145,468 First BanCorp 1,323,759
82,976 First Busey Corp. 1,715,114
127,516 First Financial Bancorp 2,336,093
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
BANKS (CONTINUED)
56,882 First Hawaiian, Inc. $ 1,322,506
32,900 First Interstate BancSystem,
Inc., Class A 1,271,914
47,799 First Merchants Corp. 1,800,588
112,331 First Midwest Bancorp, Inc. 1,856,831
140,584 Fulton Financial Corp. 1,883,826
26,288 Hancock Whitney Corp. 897,472
55,376 Heartland Financial USA, Inc. 2,362,340
81,255 Hilltop Holdings, Inc. 2,440,900
204,893 Hope Bancorp, Inc. 2,290,704
6,115 Independent Bank Corp. 459,114
28,599 Independent Bank Group, Inc. 1,756,551
47,763 International Bancshares Corp. 1,805,919
169,338 Investors Bancorp, Inc. 1,949,080
8,350 Lakeland Financial Corp. 490,145
13,653 National Bank Holdings Corp.,
Class A 454,235
41,777 NBT Bancorp, Inc. 1,379,059
71,986 OceanFirst Financial Corp. 1,307,266
107,986 Old National Bancorp 1,813,085
28,540 Pacific Premier Bancorp, Inc. 948,955
17,599 PacWest Bancorp 531,314
12,775 Park National Corp. 1,379,828
39,828 Renasant Corp. 1,409,911
36,000 S&T Bancorp, Inc. 914,400
41,669 Sandy Spring Bancorp, Inc. 1,384,661
30,363 Seacoast Banking Corp. of
Florida (a) 924,553
11,102 ServisFirst Bancshares, Inc. 456,070
103,539 Simmons First National Corp.,
Class A 2,557,413
43,220 Southside Bancshares, Inc. 1,355,811
99,452 Sterling Bancorp 1,835,884
15,026 Texas Capital Bancshares,
Inc. (a) 904,866
19,000 Tompkins Financial Corp. 1,270,530
76,159 TowneBank 1,766,889
38,020 TriCo Bancshares 1,418,146
65,483 Trustmark Corp. 1,798,818
19,437 UMB Financial Corp. 1,379,444
88,586 Umpqua Holdings Corp. 1,285,383
47,163 United Community Banks, Inc. 1,406,872
52,273 Veritex Holdings, Inc. 1,336,098
31,821 Webster Financial Corp. 1,487,632
44,772 WesBanco, Inc. 1,298,388
29,273 Wintrust Financial Corp. 1,761,942
---------------
87,893,151
---------------
BEVERAGES -- 0.1%
3,353 Coca-Cola Consolidated, Inc. 894,782
---------------
BIOTECHNOLOGY -- 3.5%
51,660 Arcus Biosciences, Inc. (a) 1,794,152
30,859 CareDx, Inc. (a) 2,358,553
25,728 Coherus Biosciences, Inc. (a) 483,686
21,520 Cytokinetics, Inc. (a) 423,298
16,006 Denali Therapeutics, Inc. (a) 1,096,411
20,295 Dicerna Pharmaceuticals,
Inc. (a) 456,029
31,880 Editas Medicine, Inc. (a) 1,955,838
Page 42 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY (CONTINUED)
41,096 Intellia Therapeutics, Inc. (a) $ 2,573,432
16,803 Mersana Therapeutics, Inc. (a) 320,265
134,153 NantKwest, Inc. (a) (b) 2,532,138
29,573 REGENXBIO, Inc. (a) 1,222,252
143,247 Sangamo Therapeutics, Inc. (a) 1,956,754
34,379 TG Therapeutics, Inc. (a) 1,659,474
72,776 Translate Bio, Inc. (a) 1,737,891
49,211 Travere Therapeutics, Inc. (a) 1,242,578
15,815 Twist Bioscience Corp. (a) 2,602,200
27,408 Veracyte, Inc. (a) 1,554,034
---------------
25,968,985
---------------
BUILDING PRODUCTS -- 1.1%
19,053 American Woodmark Corp. (a) 1,648,275
15,975 CSW Industrials, Inc. 1,861,407
18,645 Gibraltar Industries, Inc. (a) 1,671,151
21,938 Griffon Corp. 492,728
35,263 JELD-WEN Holding, Inc. (a) 916,485
65,935 PGT Innovations, Inc. (a) 1,365,514
21,030 Resideo Technologies, Inc. (a) 485,793
---------------
8,441,353
---------------
CAPITAL MARKETS -- 2.0%
26,649 Artisan Partners Asset
Management, Inc., Class A 1,289,812
335,296 BGC Partners, Inc., Class A 1,190,301
115,946 Brightsphere Investment Group,
Inc. 2,125,290
12,235 Evercore, Inc., Class A 1,334,839
41,115 Focus Financial Partners, Inc.,
Class A (a) 1,956,252
5,724 Hamilton Lane, Inc., Class A 431,418
19,115 Moelis & Co., Class A 950,207
8,856 Piper Sandler Cos. 808,818
23,766 PJT Partners, Inc., Class A 1,639,616
23,170 StoneX Group, Inc. (a) 1,240,058
8,241 Virtus Investment Partners, Inc. 1,730,610
---------------
14,697,221
---------------
CHEMICALS -- 1.8%
217,199 Amyris, Inc. (a) (b) 2,041,671
22,194 Avient Corp. 852,915
30,559 Ferro Corp. (a) 421,409
18,900 GCP Applied Technologies,
Inc. (a) 468,531
25,848 H.B. Fuller Co. 1,315,405
17,713 Ingevity Corp. (a) 1,163,567
9,857 Innospec, Inc. 865,346
28,783 Minerals Technologies, Inc. 1,773,896
125,401 PQ Group Holdings, Inc. 1,728,026
12,118 Sensient Technologies Corp. 854,682
11,234 Stepan Co. 1,265,847
8,734 Trinseo S.A. 443,949
---------------
13,195,244
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.3%
11,821 ABM Industries, Inc. 434,304
8,460 Brady Corp., Class A 388,399
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
59,134 BrightView Holdings, Inc. (a) $ 838,520
24,841 Brink's (The) Co. 1,692,417
341,274 CoreCivic, Inc. 2,426,458
34,048 Covanta Holding Corp. 481,779
45,932 Deluxe Corp. 1,556,635
49,733 Harsco Corp. (a) 827,060
31,821 Healthcare Services Group, Inc. 1,031,637
13,223 Herman Miller, Inc. 452,888
51,899 HNI Corp. 1,674,262
72,072 KAR Auction Services, Inc. 1,330,449
33,313 McGrath RentCorp 2,324,914
131,973 Steelcase, Inc., Class A 1,706,411
---------------
17,166,133
---------------
COMMUNICATIONS EQUIPMENT
-- 2.4%
75,106 Calix, Inc. (a) 2,268,201
166,822 CommScope Holding Co.,
Inc. (a) 2,450,615
105,484 EchoStar Corp., Class A (a) 2,208,835
213,301 Infinera Corp. (a) 2,101,015
115,599 Inseego Corp. (a) (b) 2,122,398
22,003 NETGEAR, Inc. (a) 910,704
48,909 NetScout Systems, Inc. (a) 1,429,855
66,164 Plantronics, Inc. 2,098,722
54,767 Viasat, Inc. (a) 2,384,555
---------------
17,974,900
---------------
CONSTRUCTION & ENGINEERING
-- 0.9%
42,793 Ameresco, Inc., Class A (a) 2,400,259
32,557 Arcosa, Inc. 1,816,355
25,467 Comfort Systems USA, Inc. 1,411,636
11,844 Dycom Industries, Inc. (a) 961,022
---------------
6,589,272
---------------
CONSTRUCTION MATERIALS -- 0.6%
129,994 Forterra, Inc. (a) 2,378,890
111,317 Summit Materials, Inc.,
Class A (a) 2,285,338
---------------
4,664,228
---------------
CONSUMER FINANCE -- 1.2%
57,395 Encore Capital Group, Inc. (a) 1,704,631
19,154 FirstCash, Inc. 1,127,788
227,632 Navient Corp. 2,561,998
25,100 Nelnet, Inc., Class A 1,726,629
11,278 PRA Group, Inc. (a) 371,836
108,255 SLM Corp. 1,502,579
---------------
8,995,461
---------------
CONTAINERS & PACKAGING -- 0.4%
38,139 Greif, Inc., Class A 1,722,357
75,142 O-I Glass, Inc. 949,795
---------------
2,672,152
---------------
DISTRIBUTORS -- 0.2%
45,671 Core-Mark Holding Co., Inc. 1,400,730
---------------
See Notes to Financial Statements Page 43
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
-- 1.3%
65,845 Adtalem Global Education,
Inc. (a) $ 2,540,959
4,192 Graham Holdings Co., Class B 2,381,517
176,984 Perdoceo Education Corp. (a) 2,093,721
105,287 Stride, Inc. (a) 2,711,140
---------------
9,727,337
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.4%
42,822 ATN International, Inc. 1,849,054
120,940 Liberty Latin America Ltd.,
Class C (a) 1,196,097
---------------
3,045,151
---------------
ELECTRIC UTILITIES -- 0.2%
41,964 Otter Tail Corp. 1,665,551
---------------
ELECTRICAL EQUIPMENT -- 1.9%
32,621 Atkore International Group,
Inc. (a) 1,447,068
18,848 AZZ, Inc. 896,976
62,396 Bloom Energy Corp., Class A (a) 2,178,244
29,520 Encore Wire Corp. 1,704,780
83,873 GrafTech International Ltd. 813,568
65,916 Plug Power, Inc. (a) 4,163,914
42,346 TPI Composites, Inc. (a) 2,536,949
4,841 Vicor Corp. (a) 418,940
---------------
14,160,439
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.6%
14,260 Badger Meter, Inc. 1,307,785
20,331 ePlus, Inc. (a) 1,708,617
6,335 FARO Technologies, Inc. (a) 447,061
23,496 Insight Enterprises, Inc. (a) 1,788,046
48,514 Knowles Corp. (a) 935,835
58,393 Methode Electronics, Inc. 2,204,336
54,767 nLight, Inc. (a) 1,735,018
9,586 OSI Systems, Inc. (a) 862,932
38,064 PC Connection, Inc. 1,868,562
11,426 Plexus Corp. (a) 878,888
2,883 Rogers Corp. (a) 449,950
70,095 Sanmina Corp. (a) 2,179,954
64,813 TTM Technologies, Inc. (a) 869,142
86,350 Vishay Intertechnology, Inc. 1,860,842
---------------
19,096,968
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.0%
154,869 Archrock, Inc. 1,373,688
34,292 Cactus, Inc., Class A 898,450
58,435 ChampionX Corp. (a) 893,471
30,187 Dril-Quip, Inc. (a) 909,233
19,297 Helmerich & Payne, Inc. 468,531
774,137 Transocean Ltd. (a) (b) 2,601,100
---------------
7,144,473
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
ENTERTAINMENT -- 0.3%
99,234 Glu Mobile, Inc. (a) $ 874,252
12,772 Madison Square Garden
Entertainment Corp. (a) 1,133,515
---------------
2,007,767
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.8%
157,531 Acadia Realty Trust 2,284,200
52,040 Alexander & Baldwin, Inc. 786,845
300,852 American Finance Trust, Inc. 2,190,203
69,253 Apple Hospitality REIT, Inc. 864,277
187,690 Brandywine Realty Trust 2,064,590
40,309 CareTrust REIT, Inc. 905,340
93,528 Columbia Property Trust, Inc. 1,271,981
108,377 DiamondRock Hospitality
Co. (a) 888,691
325,535 Diversified Healthcare Trust 1,308,651
143,901 Empire State Realty Trust, Inc.,
Class A 1,418,864
27,507 EPR Properties 1,090,377
252,299 GEO Group (The), Inc. (b) 2,255,553
19,197 Industrial Logistics Properties
Trust 407,168
12,210 Innovative Industrial
Properties, Inc. 2,284,735
119,534 Kite Realty Group Trust 1,905,372
209,499 Macerich (The) Co. (b) 3,289,134
35,879 Mack-Cali Realty Corp. 456,740
25,811 Monmouth Real Estate
Investment Corp. 447,305
22,858 Outfront Media, Inc. 416,701
148,366 Paramount Group, Inc. 1,318,974
26,062 Park Hotels & Resorts, Inc. 434,714
47,562 Pebblebrook Hotel Trust 874,190
100,160 Retail Opportunity Investments
Corp. 1,411,254
208,915 Retail Properties of America,
Inc., Class A 1,924,107
31,600 RLJ Lodging Trust 407,956
12,329 Safehold, Inc. 907,168
155,630 Service Properties Trust 1,651,234
220,882 SITE Centers Corp. 2,449,581
38,109 Uniti Group, Inc. 469,122
138,195 Urban Edge Properties 1,905,709
103,157 Weingarten Realty Investors 2,322,064
29,416 Xenia Hotels & Resorts, Inc. 425,650
---------------
43,038,450
---------------
FOOD & STAPLES RETAILING -- 1.0%
9,821 PriceSmart, Inc. 921,996
112,963 Rite Aid Corp. (a) 2,969,797
55,989 United Natural Foods, Inc. (a) 1,516,182
46,747 Weis Markets, Inc. 2,303,692
---------------
7,711,667
---------------
FOOD PRODUCTS -- 1.3%
48,363 B&G Foods, Inc. (b) 1,841,663
35,724 Cal-Maine Foods, Inc. (a) 1,369,658
92,861 Fresh Del Monte Produce, Inc. 2,272,309
Page 44 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
91,617 Hostess Brands, Inc. (a) $ 1,406,321
2,882 J & J Snack Foods Corp. 439,966
6,764 Sanderson Farms, Inc. 921,189
14,257 Simply Good Foods (The)
Co. (a) 406,895
31,558 TreeHouse Foods, Inc. (a) 1,332,694
---------------
9,990,695
---------------
GAS UTILITIES -- 0.1%
8,261 Chesapeake Utilities Corp. 837,913
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.2%
8,032 AtriCure, Inc. (a) 467,703
9,741 Avanos Medical, Inc. (a) 441,267
17,913 Axonics Modulation
Technologies, Inc. (a) 926,102
5,669 Cantel Medical Corp. (a) 447,681
64,605 Cerus Corp. (a) 425,747
20,372 CryoPort, Inc. (a) 1,389,370
61,246 GenMark Diagnostics, Inc. (a) 845,807
11,882 Glaukos Corp. (a) 1,053,815
12,277 Heska Corp. (a) 2,054,679
11,010 Integer Holdings Corp. (a) 812,538
33,139 Lantheus Holdings, Inc. (a) 539,172
47,834 Meridian Bioscience, Inc. (a) 1,057,131
16,107 Merit Medical Systems, Inc. (a) 872,194
1,566 Mesa Laboratories, Inc. 434,001
21,555 Shockwave Medical, Inc. (a) 2,501,242
14,203 Silk Road Medical, Inc. (a) 774,490
37,448 SmileDirectClub, Inc. (a) 497,310
16,645 Vapotherm, Inc. (a) 575,085
---------------
16,115,334
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.6%
11,460 Addus HomeCare Corp. (a) 1,289,823
13,107 AMN Healthcare Services,
Inc. (a) 945,277
8,434 CorVel Corp. (a) 833,448
62,222 Covetrus, Inc. (a) 2,119,904
24,523 Ensign Group (The), Inc. 1,919,660
26,977 Magellan Health, Inc. (a) 2,535,299
54,659 MEDNAX, Inc. (a) 1,490,551
3,230 ModivCare, Inc. (a) 512,181
19,763 National HealthCare Corp. 1,265,820
85,759 Option Care Health, Inc. (a) 1,584,826
66,106 Owens & Minor, Inc. 1,922,363
60,356 Patterson Cos., Inc. 1,912,078
34,887 PetIQ, Inc. (a) 1,209,183
42,192 Progyny, Inc. (a) 1,973,320
93,067 R1 RCM, Inc. (a) 2,348,080
45,694 RadNet, Inc. (a) 818,380
48,489 Select Medical Holdings
Corp. (a) 1,246,167
7,441 US Physical Therapy, Inc. 895,450
---------------
26,821,810
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HEALTH CARE TECHNOLOGY -- 1.5%
61,916 Allscripts Healthcare Solutions,
Inc. (a) $ 1,021,614
139,447 Evolent Health, Inc.,
Class A (a) 2,380,360
20,537 Health Catalyst, Inc. (a) 1,020,278
98,044 NextGen Healthcare, Inc. (a) 1,939,311
32,956 Phreesia, Inc. (a) 2,151,697
6,217 Simulations Plus, Inc. 492,014
43,056 Vocera Communications,
Inc. (a) 1,892,311
---------------
10,897,585
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.9%
7,901 Brinker International, Inc. 465,211
14,262 Hilton Grand Vacations, Inc. (a) 423,867
6,022 Hyatt Hotels Corp., Class A 395,404
14,453 Jack in the Box, Inc. 1,360,605
32,331 Scientific Games Corp. (a) 1,268,022
10,552 Shake Shack, Inc., Class A (a) 1,196,808
13,115 Six Flags Entertainment Corp. 448,533
19,933 Wyndham Destinations, Inc. 881,836
---------------
6,440,286
---------------
HOUSEHOLD DURABLES -- 2.0%
51,059 Century Communities, Inc. (a) 2,396,709
13,159 Installed Building Products,
Inc. (a) 1,380,774
11,139 iRobot Corp. (a) 1,337,794
33,665 La-Z-Boy, Inc. 1,303,509
50,474 M/I Homes, Inc. (a) 2,491,901
14,450 Skyline Champion Corp. (a) 485,953
95,565 Sonos, Inc. (a) 2,499,025
129,583 Tri Pointe Homes, Inc. (a) 2,617,577
---------------
14,513,242
---------------
HOUSEHOLD PRODUCTS -- 0.2%
24,605 Central Garden & Pet Co.,
Class A (a) 959,595
11,323 Spectrum Brands Holdings, Inc. 855,679
---------------
1,815,274
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.3%
49,536 Sunnova Energy International,
Inc. (a) 2,172,154
---------------
INSURANCE -- 3.6%
80,819 American Equity Investment
Life Holding Co. 2,359,107
23,254 American National Group, Inc. 2,055,189
10,232 Argo Group International
Holdings Ltd. 412,861
70,987 Assured Guaranty Ltd. 2,537,785
100,548 CNO Financial Group, Inc. 2,132,623
69,436 Employers Holdings, Inc. 2,117,798
25,548 FBL Financial Group, Inc.,
Class A 1,431,710
14,329 Goosehead Insurance, Inc.,
Class A 1,914,354
42,531 Horace Mann Educators Corp. 1,665,939
See Notes to Financial Statements Page 45
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
18,186 James River Group Holdings
Ltd. $ 808,913
42,815 Mercury General Corp. 2,269,623
5,025 Palomar Holdings, Inc. (a) 500,440
25,126 ProAssurance Corp. 460,560
28,698 Safety Insurance Group, Inc. 2,107,581
46,228 Stewart Information Services
Corp. 2,144,055
18,672 Trupanion, Inc. (a) 2,094,998
---------------
27,013,536
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.2%
67,759 ANGI Homeservices, Inc.,
Class A (a) 947,271
13,687 Yelp, Inc. (a) 446,059
---------------
1,393,330
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.2%
68,782 1-800-Flowers.com, Inc.,
Class A (a) 2,113,671
68,638 RealReal (The), Inc. (a) 1,625,348
24,937 Shutterstock, Inc. 1,620,656
38,067 Stitch Fix, Inc., Class A (a) 3,633,114
---------------
8,992,789
---------------
IT SERVICES -- 1.6%
18,101 Alliance Data Systems Corp. 1,224,533
22,736 EVERTEC, Inc. 788,939
10,497 ExlService Holdings, Inc. (a) 804,910
15,074 ManTech International Corp.,
Class A 1,351,987
34,614 NIC, Inc. 931,809
18,770 Perficient, Inc. (a) 1,025,030
32,808 Repay Holdings Corp. (a) 726,697
37,190 Sabre Corp. 400,908
47,466 Sykes Enterprises, Inc. (a) 1,831,713
30,643 TTEC Holdings, Inc. 2,315,998
33,313 Verra Mobility Corp. (a) 426,406
---------------
11,828,930
---------------
LEISURE PRODUCTS -- 1.0%
55,857 Callaway Golf Co. 1,557,852
14,316 Malibu Boats, Inc., Class A (a) 1,003,695
100,753 Smith & Wesson Brands, Inc. 1,668,469
6,877 Sturm Ruger & Co., Inc. 435,727
94,078 Vista Outdoor, Inc. (a) 2,744,255
---------------
7,409,998
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.6%
26,737 NanoString Technologies,
Inc. (a) 1,872,392
38,455 Quanterix Corp. (a) 2,489,577
---------------
4,361,969
---------------
MACHINERY -- 3.5%
9,721 Alamo Group, Inc. 1,356,954
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MACHINERY (CONTINUED)
18,270 Albany International Corp.,
Class A $ 1,270,130
32,258 Altra Industrial Motion Corp. 1,658,384
15,442 Astec Industries, Inc. 918,336
26,465 Barnes Group, Inc. 1,272,173
3,799 Chart Industries, Inc. (a) 456,298
19,772 Enerpac Tool Group Corp. 400,778
5,915 EnPro Industries, Inc. 427,004
4,336 ESCO Technologies, Inc. 412,267
49,716 Evoqua Water Technologies
Corp. (a) 1,354,761
13,483 Federal Signal Corp. 440,759
12,925 Franklin Electric Co., Inc. 897,253
27,559 Gorman-Rupp (The) Co. 868,109
61,447 Greenbrier (The) Cos., Inc. 2,223,152
16,783 Helios Technologies, Inc. 915,513
11,228 Hillenbrand, Inc. 461,471
6,347 Kadant, Inc. 907,304
12,331 Kennametal, Inc. 467,098
10,440 Lindsay Corp. 1,459,825
64,071 Meritor, Inc. (a) 1,653,673
50,929 Mueller Industries, Inc. 1,739,225
72,228 Mueller Water Products, Inc.,
Class A 866,014
16,400 SPX Corp. (a) 848,044
12,813 Terex Corp. 458,193
33,879 Trinity Industries, Inc. 942,175
7,345 Watts Water Technologies, Inc.,
Class A 881,914
---------------
25,556,807
---------------
MARINE -- 0.3%
31,395 Matson, Inc. 1,877,421
---------------
MEDIA -- 1.9%
62,485 AMC Networks, Inc.,
Class A (a) (b) 3,088,009
12,520 Cardlytics, Inc. (a) 1,530,820
116,955 E.W. Scripps (The) Co., Class A 1,732,104
124,951 Gray Television, Inc. (a) 2,130,415
9,784 John Wiley & Sons, Inc.,
Class A 446,248
30,249 TechTarget, Inc. (a) 2,259,600
160,243 TEGNA, Inc. 2,568,695
---------------
13,755,891
---------------
METALS & MINING -- 1.4%
19,396 Alcoa Corp. (a) 349,128
26,664 Allegheny Technologies, Inc. (a) 453,555
60,010 Arconic Corp. (a) 1,512,252
15,354 Carpenter Technology Corp. 479,659
172,778 Coeur Mining, Inc. (a) 1,563,641
7,249 Compass Minerals International,
Inc. 422,327
4,525 Kaiser Aluminum Corp. 392,317
14,036 Materion Corp. 957,115
83,873 Warrior Met Coal, Inc. 1,930,756
43,541 Worthington Industries, Inc. 2,278,936
---------------
10,339,686
---------------
Page 46 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.2%
120,070 Apollo Commercial Real Estate
Finance, Inc. $ 1,342,383
94,586 Arbor Realty Trust, Inc. 1,348,796
175,320 Broadmark Realty Capital, Inc. 1,804,043
87,236 Chimera Investment Corp. 881,084
28,192 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 1,667,557
137,132 Ladder Capital Corp. 1,348,007
114,927 MFA Financial, Inc. 418,334
---------------
8,810,204
---------------
MULTILINE RETAIL -- 0.3%
31,246 Big Lots, Inc. 1,864,761
---------------
MULTI-UTILITIES -- 0.3%
55,684 Avista Corp. 2,087,036
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.8%
82,027 Antero Resources Corp. (a) 569,267
11,917 Cimarex Energy Co. 502,659
41,392 CNX Resources Corp. (a) 524,437
60,010 CVR Energy, Inc. 1,026,171
27,820 Delek US Holdings, Inc. 521,903
37,075 Matador Resources Co. (a) 566,506
73,899 Murphy Oil Corp. 914,131
62,966 PBF Energy, Inc., Class A 533,322
87,106 PDC Energy, Inc. (a) 1,891,071
66,731 Range Resources Corp. (a) 614,593
31,557 Renewable Energy Group,
Inc. (a) 2,827,507
150,025 Southwestern Energy Co. (a) 565,594
71,737 World Fuel Services Corp. 2,194,435
---------------
13,251,596
---------------
PAPER & FOREST PRODUCTS -- 0.5%
56,505 Domtar Corp. 1,693,455
55,595 Schweitzer-Mauduit
International, Inc. 2,064,798
---------------
3,758,253
---------------
PERSONAL PRODUCTS -- 1.1%
51,719 Edgewell Personal Care Co. 1,727,415
53,244 elf Beauty, Inc. (a) 1,158,590
7,385 Inter Parfums, Inc. 459,199
9,111 Medifast, Inc. 2,138,078
32,736 Nu Skin Enterprises, Inc.,
Class A 1,894,432
5,803 USANA Health Sciences,
Inc. (a) 480,256
---------------
7,857,970
---------------
PHARMACEUTICALS -- 1.5%
15,787 Arvinas, Inc. (a) 1,190,971
85,449 Corcept Therapeutics, Inc. (a) 2,414,789
311,324 Endo International PLC (a) 2,266,439
44,273 NGM Biopharmaceuticals,
Inc. (a) 1,136,045
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
64,101 Prestige Consumer Healthcare,
Inc. (a) $ 2,564,040
31,544 Revance Therapeutics, Inc. (a) 802,479
35,535 Supernus Pharmaceuticals,
Inc. (a) 1,044,374
---------------
11,419,137
---------------
PROFESSIONAL SERVICES -- 0.9%
50,397 CBIZ, Inc. (a) 1,305,786
7,577 Huron Consulting Group,
Inc. (a) 401,278
24,052 ICF International, Inc. 1,855,131
10,275 Korn Ferry 468,540
64,757 Upwork, Inc. (a) 2,684,178
---------------
6,714,913
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 1.7%
35,420 eXp World Holdings, Inc. (a) 3,775,418
88,612 Forestar Group, Inc. (a) 1,904,272
74,973 Kennedy-Wilson Holdings, Inc. 1,288,786
24,013 Marcus & Millichap, Inc. (a) 857,984
170,376 Realogy Holdings Corp. (a) 2,419,339
52,662 St Joe (The) Co. 2,343,459
---------------
12,589,258
---------------
ROAD & RAIL -- 1.3%
47,943 Avis Budget Group, Inc. (a) 1,981,964
123,501 Heartland Express, Inc. 2,318,114
129,736 Marten Transport Ltd. 2,056,315
21,721 Ryder System, Inc. 1,359,517
107,986 Schneider National, Inc.,
Class B 2,267,706
---------------
9,983,616
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.2%
16,504 ACM Research, Inc., Class A (a) 1,485,360
19,470 Ambarella, Inc. (a) 1,837,189
46,062 Axcelis Technologies, Inc. (a) 1,577,163
19,646 CEVA, Inc. (a) 1,154,988
51,962 FormFactor, Inc. (a) 2,123,687
46,827 MaxLinear, Inc. (a) 1,469,900
28,204 Onto Innovation, Inc. (a) 1,524,426
25,606 Rambus, Inc. (a) 486,386
15,972 SiTime Corp. (a) 1,949,383
17,432 SunPower Corp. (a) (b) 941,502
43,052 Ultra Clean Holdings, Inc. (a) 1,661,807
---------------
16,211,791
---------------
SOFTWARE -- 4.0%
64,844 8x8, Inc. (a) 2,285,751
23,053 Altair Engineering, Inc.,
Class A (a) 1,289,354
4,964 Appfolio, Inc., Class A (a) 758,549
13,785 Appian Corp. (a) (b) 3,011,471
116,730 Avaya Holdings Corp. (a) 2,596,075
22,252 Cerence, Inc. (a) 2,490,221
16,145 CommVault Systems, Inc. (a) 1,013,583
39,522 Digital Turbine, Inc. (a) 2,261,054
See Notes to Financial Statements Page 47
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
35,058 Domo, Inc., Class B (a) $ 2,222,327
22,106 InterDigital, Inc. 1,419,426
42,880 PagerDuty, Inc. (a) 2,089,543
9,892 Progress Software Corp. 397,461
8,804 PROS Holdings, Inc. (a) 371,001
29,530 Sprout Social, Inc., Class A (a) 1,948,980
39,786 Teradata Corp. (a) 1,070,243
19,477 Upland Software, Inc. (a) 928,858
24,394 Workiva, Inc. (a) 2,377,683
42,785 Xperi Holding Corp. 824,039
32,088 Zuora, Inc., Class A (a) 473,298
---------------
29,828,917
---------------
SPECIALTY RETAIL -- 3.4%
9,199 Asbury Automotive Group,
Inc. (a) 1,311,869
144,587 At Home Group, Inc. (a) 3,523,585
50,344 Bed Bath & Beyond, Inc. (b) 1,778,654
61,246 Buckle (The), Inc. 2,408,193
17,165 Camping World Holdings, Inc.,
Class A 586,356
17,044 Group 1 Automotive, Inc. 2,345,595
171,818 Michaels (The) Cos., Inc. (a) 2,663,179
16,780 Monro, Inc. 981,127
19,744 National Vision Holdings,
Inc. (a) 915,529
15,253 ODP (The) Corp. 651,151
46,701 Rent-A-Center, Inc. 2,022,153
68,573 Sally Beauty Holdings, Inc. (a) 1,035,452
27,304 Sleep Number Corp. (a) 2,941,733
11,587 Sonic Automotive, Inc., Class A 474,256
52,387 Urban Outfitters, Inc. (a) 1,436,976
---------------
25,075,808
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.5%
47,597 NCR Corp. (a) 1,587,836
56,488 Super Micro Computer, Inc. (a) 1,751,128
---------------
3,338,964
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.4%
28,540 Crocs, Inc. (a) 1,998,371
11,019 Kontoor Brands, Inc. 398,006
14,303 Wolverine World Wide, Inc. 409,638
---------------
2,806,015
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.0%
35,733 Axos Financial, Inc. (a) 1,391,800
71,532 Capitol Federal Financial, Inc. 888,427
57,463 Columbia Financial, Inc. (a) 886,079
43,877 Flagstar Bancorp, Inc. 1,880,129
72,042 Mr. Cooper Group, Inc. (a) 1,961,704
19,740 NMI Holdings, Inc., Class A (a) 418,685
70,189 Northwest Bancshares, Inc. 894,910
74,676 Provident Financial Services,
Inc. 1,383,000
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
19,431 Walker & Dunlop, Inc. $ 1,599,560
86,848 Washington Federal, Inc. 2,273,681
29,880 WSFS Financial Corp. 1,283,944
---------------
14,861,919
---------------
TOBACCO -- 0.3%
45,981 Universal Corp. 2,109,149
38,379 Vector Group Ltd. 450,569
---------------
2,559,718
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 2.1%
11,470 Applied Industrial Technologies,
Inc. 807,373
22,254 Beacon Roofing Supply, Inc. (a) 885,042
46,770 Boise Cascade Co. 2,227,655
26,875 GATX Corp. 2,494,000
43,996 GMS, Inc. (a) 1,275,444
26,925 Herc Holdings, Inc. (a) 1,722,662
43,175 Rush Enterprises, Inc., Class A 1,812,918
24,911 Systemax, Inc. 957,330
46,083 Triton International Ltd. 2,135,486
17,080 WESCO International, Inc. (a) 1,299,959
---------------
15,617,869
---------------
WATER UTILITIES -- 0.1%
8,271 California Water Service Group 451,928
6,443 SJW Group 426,333
---------------
878,261
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.6%
120,376 Telephone and Data Systems,
Inc. 2,257,050
72,836 United States Cellular Corp. (a) 2,271,026
---------------
4,528,076
---------------
TOTAL COMMON STOCKS
-- 99.8% 738,895,078
(Cost $588,112,440) ---------------
MONEY MARKET FUNDS -- 2.6%
17,729,005 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 17,729,005
1,560,979 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 1,560,979
---------------
TOTAL MONEY MARKET FUNDS
-- 2.6% 19,289,984
(Cost $19,289,984) ---------------
TOTAL INVESTMENTS -- 102.4% 758,185,062
(Cost $607,402,424) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.4)% (17,911,118)
---------------
NET ASSETS -- 100.0% $ 740,273,944
===============
Page 48 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $16,508,369 and the
total value of the collateral held by the Fund is $17,729,005.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $157,428,088 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $6,645,450. The net unrealized
appreciation was $150,782,638.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 738,895,078 $ -- $ --
Money Market
Funds 19,289,984 -- --
---------------------------------------------
Total Investments $ 758,185,062 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 16,508,369
Non-cash Collateral(2) (16,508,369)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 49
<PAGE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.0%
37,364 General Dynamics Corp. $ 5,480,552
9,125 Northrop Grumman Corp. 2,615,316
---------------
8,095,868
---------------
AIR FREIGHT & LOGISTICS -- 1.1%
14,421 C.H. Robinson Worldwide, Inc. 1,233,861
29,233 Expeditors International of
Washington, Inc. 2,616,938
15,641 FedEx Corp. 3,680,953
8,039 United Parcel Service, Inc.,
Class B 1,246,045
---------------
8,777,797
---------------
AUTO COMPONENTS -- 0.5%
31,168 Aptiv PLC 4,164,045
---------------
AUTOMOBILES -- 1.9%
632,592 Ford Motor Co. (a) 6,661,194
166,920 General Motors Co. 8,459,505
---------------
15,120,699
---------------
BANKS -- 8.6%
133,969 Bank of America Corp. 3,972,181
112,725 Citigroup, Inc. 6,536,923
155,493 Citizens Financial Group, Inc. 5,666,165
201,687 Fifth Third Bancorp 5,834,805
31,958 JPMorgan Chase & Co. 4,112,036
338,850 KeyCorp 5,713,011
43,682 M&T Bank Corp. 5,786,554
46,647 PNC Financial Services Group
(The), Inc. 6,694,777
344,942 Regions Financial Corp. 5,867,463
3,493 SVB Financial Group (a) 1,529,166
116,013 Truist Financial Corp. 5,566,304
87,155 U.S. Bancorp 3,734,592
184,242 Wells Fargo & Co. 5,505,151
---------------
66,519,128
---------------
BEVERAGES -- 0.3%
6,178 Constellation Brands, Inc.,
Class A 1,303,126
42,300 Keurig Dr Pepper, Inc. 1,345,140
---------------
2,648,266
---------------
BUILDING PRODUCTS -- 1.3%
73,707 Carrier Global Corp. 2,837,719
32,433 Fortune Brands Home &
Security, Inc. 2,797,346
29,052 Johnson Controls International
PLC 1,447,371
4,942 Lennox International, Inc. 1,361,472
24,640 Masco Corp. 1,338,198
---------------
9,782,106
---------------
CAPITAL MARKETS -- 4.6%
6,965 Ameriprise Financial, Inc. 1,378,165
163,775 Bank of New York Mellon
(The) Corp. 6,523,158
7,437 CME Group, Inc. 1,351,600
278,137 Franklin Resources, Inc. 7,312,222
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
21,088 Goldman Sachs Group (The),
Inc. $ 5,718,433
33,430 KKR & Co., Inc. 1,302,098
81,141 Morgan Stanley 5,440,504
95,500 State Street Corp. 6,685,000
---------------
35,711,180
---------------
CHEMICALS -- 2.4%
21,398 Celanese Corp. 2,613,766
104,872 Corteva, Inc. 4,180,198
40,492 Eastman Chemical Co. 3,982,388
25,546 International Flavors &
Fragrances, Inc. (b) 2,870,859
30,334 LyondellBasell Industries N.V.,
Class A 2,601,444
9,387 PPG Industries, Inc. 1,264,523
14,908 RPM International, Inc. 1,229,463
---------------
18,742,641
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.5%
28,869 Republic Services, Inc. 2,613,222
11,477 Waste Management, Inc. 1,277,620
---------------
3,890,842
---------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
90,739 Cisco Systems, Inc. 4,045,145
---------------
CONSTRUCTION & ENGINEERING
-- 0.2%
12,425 Jacobs Engineering Group, Inc. 1,254,428
---------------
CONSTRUCTION MATERIALS -- 0.9%
14,298 Martin Marietta Materials, Inc. 4,109,388
18,745 Vulcan Materials Co. 2,795,629
---------------
6,905,017
---------------
CONSUMER FINANCE -- 1.3%
56,254 Capital One Financial Corp. 5,865,042
116,985 Synchrony Financial 3,936,545
---------------
9,801,587
---------------
CONTAINERS & PACKAGING -- 0.4%
55,916 International Paper Co. 2,813,134
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.9%
29,974 Berkshire Hathaway, Inc.,
Class B (a) 6,830,175
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.9%
241,676 AT&T, Inc. 6,919,184
712,883 Lumen Technologies, Inc. 8,825,491
118,308 Verizon Communications, Inc. 6,477,363
---------------
22,222,038
---------------
ELECTRIC UTILITIES -- 8.7%
107,909 Alliant Energy Corp. 5,249,773
66,775 American Electric Power Co.,
Inc. 5,402,765
60,732 Duke Energy Corp. 5,708,808
Page 50 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
64,641 Edison International $ 3,759,520
69,620 Entergy Corp. 6,636,875
125,215 Evergy, Inc. 6,727,802
46,937 Eversource Energy 4,106,987
164,628 Exelon Corp. 6,841,940
132,654 FirstEnergy Corp. 4,080,437
17,545 NextEra Energy, Inc. 1,418,864
246,473 PPL Corp. 6,819,908
90,515 Southern (The) Co. 5,333,144
83,404 Xcel Energy, Inc. 5,337,022
---------------
67,423,845
---------------
ELECTRICAL EQUIPMENT -- 0.7%
11,191 AMETEK, Inc. 1,267,493
11,265 Eaton Corp. PLC 1,325,890
34,593 Emerson Electric Co. 2,744,955
---------------
5,338,338
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.5%
21,098 CDW Corp. 2,777,763
37,600 Corning, Inc. 1,348,712
---------------
4,126,475
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.1%
17,329 AvalonBay Communities, Inc. 2,836,237
58,824 Boston Properties, Inc. 5,368,867
21,947 Mid-America Apartment
Communities, Inc. 2,913,464
15,872 Simon Property Group, Inc. 1,474,985
56,692 Ventas, Inc. 2,611,801
40,370 Weyerhaeuser Co. 1,259,140
---------------
16,464,494
---------------
FOOD & STAPLES RETAILING -- 1.9%
218,846 Kroger (The) Co. 7,550,187
69,716 Walgreens Boots Alliance, Inc. 3,503,229
28,170 Walmart, Inc. 3,957,603
---------------
15,011,019
---------------
FOOD PRODUCTS -- 5.8%
137,881 Archer-Daniels-Midland Co. 6,895,429
57,502 Campbell Soup Co. 2,766,421
153,353 Conagra Brands, Inc. 5,306,014
94,567 General Mills, Inc. 5,494,343
8,886 Hershey (The) Co. 1,292,380
59,650 Hormel Foods Corp. 2,795,199
60,129 J.M. Smucker (The) Co. 6,999,617
44,676 Kellogg Co. 2,633,203
39,052 Kraft Heinz (The) Co. 1,308,632
47,548 Mondelez International, Inc.,
Class A 2,636,061
107,864 Tyson Foods, Inc., Class A 6,936,734
---------------
45,064,033
---------------
GAS UTILITIES -- 0.7%
58,268 Atmos Energy Corp. 5,185,852
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.3%
16,866 Baxter International, Inc. $ 1,295,815
11,553 Medtronic PLC 1,286,195
---------------
2,582,010
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 6.2%
17,317 Anthem, Inc. 5,142,803
115,786 Centene Corp. (a) 6,981,896
101,767 CVS Health Corp. 7,291,606
24,688 HCA Healthcare, Inc. 4,011,306
27,318 Laboratory Corp. of America
Holdings (a) 6,253,363
23,349 McKesson Corp. 4,073,700
19,091 Molina Healthcare, Inc. (a) 4,078,028
58,325 Quest Diagnostics, Inc. 7,532,674
7,926 UnitedHealth Group, Inc. 2,643,955
---------------
48,009,331
---------------
HEALTH CARE TECHNOLOGY -- 0.5%
51,739 Cerner Corp. 4,144,811
---------------
HOUSEHOLD DURABLES -- 4.2%
100,848 D.R. Horton, Inc. 7,745,126
91,181 Lennar Corp., Class A 7,581,700
997 NVR, Inc. (a) 4,433,141
161,194 PulteGroup, Inc. 7,011,939
30,805 Whirlpool Corp. 5,701,698
---------------
32,473,604
---------------
INDUSTRIAL CONGLOMERATES -- 0.9%
15,906 3M Co. 2,794,048
375,985 General Electric Co. 4,015,520
---------------
6,809,568
---------------
INSURANCE -- 8.1%
156,298 Aflac, Inc. 7,061,544
63,229 Allstate (The) Corp. 6,776,884
192,700 Arch Capital Group Ltd. (a) 6,052,707
10,940 Arthur J. Gallagher & Co. 1,262,586
8,796 Chubb Ltd. 1,281,313
46,478 Cincinnati Financial Corp. 3,908,335
141,909 Hartford Financial Services
Group (The), Inc. 6,814,470
2,692 Markel Corp. (a) 2,609,840
148,045 MetLife, Inc. 7,128,367
112,085 Principal Financial Group, Inc. 5,522,428
70,294 Progressive (The) Corp. 6,128,934
17,337 Prudential Financial, Inc. 1,357,140
39,613 Travelers (The) Cos., Inc. 5,399,252
20,379 W.R. Berkley Corp. 1,266,351
---------------
62,570,151
---------------
IT SERVICES -- 1.9%
33,928 Cognizant Technology Solutions
Corp., Class A 2,644,687
44,172 International Business Machines
Corp. 5,261,327
26,449 Leidos Holdings, Inc. 2,805,181
185,077 Western Union (The) Co. 4,121,665
---------------
14,832,860
---------------
See Notes to Financial Statements Page 51
<PAGE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LEISURE PRODUCTS -- 0.4%
29,725 Hasbro, Inc. $ 2,788,800
---------------
MACHINERY -- 3.2%
7,438 Caterpillar, Inc. 1,359,964
17,880 Cummins, Inc. 4,191,430
10,719 Dover Corp. 1,248,656
19,115 Fortive Corp. 1,263,119
6,793 IDEX Corp. 1,264,789
64,447 PACCAR, Inc. 5,878,855
10,209 Parker-Hannifin Corp. 2,701,403
15,571 Stanley Black & Decker, Inc. 2,701,413
55,474 Westinghouse Air Brake
Technologies Corp. 4,116,726
---------------
24,726,355
---------------
MEDIA -- 3.1%
2,044 Charter Communications, Inc.,
Class A (a) 1,241,853
106,114 Comcast Corp., Class A 5,260,071
238,691 Fox Corp., Class A 7,442,385
44,578 Omnicom Group, Inc. 2,780,776
149,235 ViacomCBS, Inc., Class B 7,237,897
---------------
23,962,982
---------------
METALS & MINING -- 0.5%
76,344 Nucor Corp. 3,720,243
---------------
MULTILINE RETAIL -- 0.7%
25,732 Dollar Tree, Inc. (a) 2,615,915
15,748 Target Corp. 2,853,065
---------------
5,468,980
---------------
MULTI-UTILITIES -- 5.2%
71,232 Ameren Corp. 5,179,991
66,559 CMS Energy Corp. 3,785,876
96,177 Consolidated Edison, Inc. 6,807,408
57,248 DTE Energy Co. 6,796,482
119,220 Public Service Enterprise
Group, Inc. 6,727,585
54,556 Sempra Energy 6,751,851
44,122 WEC Energy Group, Inc. 3,922,446
---------------
39,971,639
---------------
OIL, GAS & CONSUMABLE FUELS
-- 5.1%
48,082 Chevron Corp. 4,096,586
101,541 ConocoPhillips 4,064,686
81,425 EOG Resources, Inc. 4,149,418
168,620 Exxon Mobil Corp. 7,560,921
297,048 Kinder Morgan, Inc. 4,182,436
72,442 ONEOK, Inc. 2,885,365
35,655 Pioneer Natural Resources Co. 4,310,689
98,292 Valero Energy Corp. 5,546,618
138,666 Williams (The) Cos., Inc. 2,943,879
---------------
39,740,598
---------------
PHARMACEUTICALS -- 0.5%
110,311 Pfizer, Inc. 3,960,165
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.7%
88,657 CBRE Group, Inc., Class A (a) $ 5,406,304
---------------
ROAD & RAIL -- 1.7%
30,637 CSX Corp. 2,627,276
29,718 J.B. Hunt Transport Services,
Inc. 4,001,826
13,621 Kansas City Southern 2,760,568
11,701 Norfolk Southern Corp. 2,768,691
6,499 Union Pacific Corp. 1,283,357
---------------
13,441,718
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.9%
92,452 Micron Technology, Inc. (a) 7,236,218
---------------
SOFTWARE -- 0.7%
267,588 NortonLifeLock, Inc. 5,638,079
---------------
SPECIALTY RETAIL -- 1.7%
25,778 Advance Auto Parts, Inc. 3,844,531
55,724 Best Buy Co., Inc. 6,063,886
29,431 CarMax, Inc. (a) 3,466,383
---------------
13,374,800
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 2.2%
18,468 Dell Technologies, Inc.,
Class C (a) 1,346,132
469,241 Hewlett Packard Enterprise Co. 5,790,434
165,134 HP, Inc. 4,019,362
65,325 Seagate Technology PLC 4,319,289
24,438 Western Digital Corp. 1,379,036
---------------
16,854,253
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.9%
23,978 United Rentals, Inc. (a) 5,826,894
3,315 W.W. Grainger, Inc. 1,207,953
---------------
7,034,847
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.5%
30,113 T-Mobile US, Inc. (a) 3,796,647
---------------
TOTAL COMMON STOCKS
-- 99.8% 774,483,115
(Cost $701,483,903) ---------------
MONEY MARKET FUNDS -- 0.4%
1,974,538 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 1,974,538
922,917 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 922,917
---------------
TOTAL MONEY MARKET FUNDS
-- 0.4% 2,897,455
(Cost $2,897,455) ---------------
Page 52 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
DESCRIPTION VALUE
---------------------------------------------------------------
TOTAL INVESTMENTS -- 100.2% $ 777,380,570
(Cost $704,381,358) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.2)% (1,552,812)
---------------
NET ASSETS -- 100.0% $ 775,827,758
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $1,890,794 and the
total value of the collateral held by the Fund is $1,974,538.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $89,769,616 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $16,770,404. The net unrealized
appreciation was $72,999,212.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 774,483,115 $ -- $ --
Money Market
Funds 2,897,455 -- --
---------------------------------------------
Total Investments $ 777,380,570 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 1,890,794
Non-cash Collateral(2) (1,890,794)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 53
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.6%
28,334 HEICO Corp. $ 3,336,045
19,845 L3Harris Technologies, Inc. 3,403,616
13,975 Teledyne Technologies, Inc. (a) 4,989,215
8,853 TransDigm Group, Inc. (a) 4,898,188
---------------
16,627,064
---------------
AUTOMOBILES -- 1.0%
13,286 Tesla, Inc. (a) 10,542,840
---------------
BANKS -- 0.7%
51,064 First Republic Bank 7,403,769
---------------
BEVERAGES -- 0.6%
59,244 Monster Beverage Corp. (a) 5,144,156
12,315 PepsiCo, Inc. 1,681,860
---------------
6,826,016
---------------
BIOTECHNOLOGY -- 3.3%
35,009 AbbVie, Inc. 3,587,722
20,830 BioMarin Pharmaceutical,
Inc. (a) 1,724,308
70,781 Exact Sciences Corp. (a) 9,708,322
89,764 Moderna, Inc. (a) 15,543,534
22,002 Sarepta Therapeutics, Inc. (a) 1,966,979
10,429 Seagen, Inc. (a) 1,713,172
---------------
34,244,037
---------------
CAPITAL MARKETS -- 4.1%
37,282 Apollo Global Management, Inc. 1,712,735
12,999 BlackRock, Inc. 9,115,679
47,521 Intercontinental Exchange, Inc. 5,243,942
9,607 MarketAxess Holdings, Inc. 5,195,081
16,799 MSCI, Inc. 6,640,645
41,275 Nasdaq, Inc. 5,583,269
19,606 Northern Trust Corp. 1,748,659
49,560 T. Rowe Price Group, Inc. 7,755,149
---------------
42,995,159
---------------
CHEMICALS -- 0.7%
15,887 FMC Corp. 1,720,403
7,452 Sherwin-Williams (The) Co. 5,155,294
---------------
6,875,697
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.4%
10,614 Cintas Corp. 3,376,526
43,058 Copart, Inc. (a) 4,725,615
192,025 Rollins, Inc. 6,916,741
---------------
15,018,882
---------------
COMMUNICATIONS EQUIPMENT
-- 0.7%
18,857 Arista Networks, Inc. (a) 5,799,659
10,736 Motorola Solutions, Inc. 1,798,817
---------------
7,598,476
---------------
DISTRIBUTORS -- 0.8%
25,172 Pool Corp. 8,915,419
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.9%
103,816 Chegg, Inc. (a) 9,889,512
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.4%
14,958 Rockwell Automation, Inc. $ 3,717,512
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 3.4%
41,895 Amphenol Corp., Class A 5,231,848
46,726 Cognex Corp. 3,837,606
56,798 Keysight Technologies, Inc. (a) 8,042,029
140,455 Trimble, Inc. (a) 9,257,389
24,401 Zebra Technologies Corp.,
Class A (a) 9,463,440
---------------
35,832,312
---------------
ENTERTAINMENT -- 3.8%
59,008 Activision Blizzard, Inc. 5,369,728
26,122 Electronic Arts, Inc. 3,740,671
10,131 Netflix, Inc. (a) 5,393,643
28,244 Roku, Inc. (a) 10,987,763
45,131 Take-Two Interactive Software,
Inc. (a) 9,046,509
555,089 Zynga, Inc., Class A (a) 5,500,932
---------------
40,039,246
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 0.7%
60,410 Healthpeak Properties, Inc. 1,791,156
172,153 Medical Properties Trust, Inc. 3,634,150
71,614 VICI Properties, Inc. 1,810,402
---------------
7,235,708
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 7.3%
16,681 Abbott Laboratories 2,061,605
11,567 ABIOMED, Inc. (a) 4,028,208
14,039 Align Technology, Inc. (a) 7,375,810
5,029 Cooper (The) Cos., Inc. 1,830,757
16,888 Danaher Corp. 4,016,642
4,938 DexCom, Inc. (a) 1,851,009
41,121 Edwards Lifesciences Corp. (a) 3,395,772
103,012 Hologic, Inc. (a) 8,213,147
15,012 IDEXX Laboratories, Inc. (a) 7,185,944
21,434 Insulet Corp. (a) 5,726,736
4,587 Intuitive Surgical, Inc. (a) 3,429,425
20,412 Masimo Corp. (a) 5,223,839
20,878 Quidel Corp. (a) 5,239,752
8,590 ResMed, Inc. 1,731,486
19,788 STERIS PLC 3,702,533
15,307 Stryker Corp. 3,383,000
4,434 Teleflex, Inc. 1,674,411
19,334 West Pharmaceutical Services,
Inc. 5,790,340
---------------
75,860,416
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.0%
36,037 Cigna Corp. 7,821,831
79,880 DaVita, Inc. (a) 9,375,515
9,145 Humana, Inc. 3,503,541
---------------
20,700,887
---------------
Page 54 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE TECHNOLOGY -- 0.6%
9,136 Teladoc Health, Inc. (a) $ 2,410,351
13,776 Veeva Systems, Inc., Class A (a) 3,808,237
---------------
6,218,588
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.3%
5,410 Chipotle Mexican Grill, Inc. (a) 8,006,800
4,763 Domino's Pizza, Inc. 1,765,930
34,554 Yum! Brands, Inc. 3,506,885
---------------
13,279,615
---------------
HOUSEHOLD DURABLES -- 0.7%
62,700 Garmin Ltd. 7,201,722
---------------
HOUSEHOLD PRODUCTS -- 0.8%
20,935 Church & Dwight Co., Inc. 1,767,542
9,044 Clorox (The) Co. 1,894,356
43,869 Colgate-Palmolive Co. 3,421,782
13,124 Procter & Gamble (The) Co. 1,682,628
---------------
8,766,308
---------------
INDUSTRIAL CONGLOMERATES -- 0.7%
35,274 Honeywell International, Inc. 6,891,481
---------------
INSURANCE -- 0.5%
79,125 Brown & Brown, Inc. 3,409,496
15,611 Marsh & McLennan Cos., Inc. 1,715,805
---------------
5,125,301
---------------
INTERACTIVE MEDIA & SERVICES
-- 3.9%
4,279 Alphabet, Inc., Class A (a) 7,819,273
13,729 Facebook, Inc., Class A (a) 3,546,613
142,305 Pinterest, Inc., Class A (a) 9,749,316
187,299 Snap, Inc., Class A (a) 9,915,609
72,252 Zillow Group, Inc., Class C (a) 9,425,996
---------------
40,456,807
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 3.0%
2,301 Amazon.com, Inc. (a) 7,377,466
74,648 eBay, Inc. 4,218,359
52,712 Etsy, Inc. (a) 10,494,432
33,223 Wayfair, Inc., Class A (a) 9,047,287
---------------
31,137,544
---------------
IT SERVICES -- 8.5%
20,975 Accenture PLC, Class A 5,074,272
10,365 Automatic Data Processing, Inc. 1,711,469
43,030 Booz Allen Hamilton Holding
Corp. 3,664,865
24,488 Broadridge Financial Solutions,
Inc. 3,460,399
20,935 EPAM Systems, Inc. (a) 7,210,642
48,117 Fiserv, Inc. (a) 4,941,135
34,205 Gartner, Inc. (a) 5,196,082
34,829 Global Payments, Inc. 6,148,015
66,047 GoDaddy, Inc., Class A (a) 5,189,973
26,119 MongoDB, Inc. (a) 9,653,844
29,504 Okta, Inc. (a) 7,641,831
19,597 Paychex, Inc. 1,711,210
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
IT SERVICES (CONTINUED)
32,037 PayPal Holdings, Inc. (a) $ 7,506,589
43,092 Square, Inc., Class A (a) 9,306,148
27,707 Twilio, Inc., Class A (a) 9,958,727
---------------
88,375,201
---------------
LEISURE PRODUCTS -- 0.9%
61,813 Peloton Interactive, Inc.,
Class A (a) 9,032,734
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 5.5%
63,317 Agilent Technologies, Inc. 7,608,804
333,148 Avantor, Inc. (a) 9,824,535
9,396 Bio-Rad Laboratories, Inc.,
Class A (a) 5,391,143
17,252 Bio-Techne Corp. 5,605,347
4,809 Mettler-Toledo International,
Inc. (a) 5,617,393
65,349 PerkinElmer, Inc. 9,610,877
16,103 Thermo Fisher Scientific, Inc. 8,207,699
22,140 Waters Corp. (a) 5,859,794
---------------
57,725,592
---------------
MEDIA -- 0.8%
2,463 Cable One, Inc. 4,926,000
588,890 Sirius XM Holdings, Inc. (b) 3,686,451
---------------
8,612,451
---------------
METALS & MINING -- 0.4%
62,634 Newmont Corp. 3,732,986
---------------
MULTILINE RETAIL -- 0.5%
26,049 Dollar General Corp. 5,069,396
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.4%
124,975 Cheniere Energy, Inc. (a) 7,914,667
34,596 Hess Corp. 1,867,492
216,709 Occidental Petroleum Corp. 4,347,182
---------------
14,129,341
---------------
PHARMACEUTICALS -- 2.3%
29,444 Bristol-Myers Squibb Co. 1,808,745
90,114 Catalent, Inc. (a) 10,367,616
10,817 Eli Lilly and Co. 2,249,611
102,560 Horizon Therapeutics PLC (a) 7,433,549
11,036 Zoetis, Inc. 1,702,303
---------------
23,561,824
---------------
PROFESSIONAL SERVICES -- 1.5%
4,057 CoStar Group, Inc. (a) 3,650,123
38,906 Equifax, Inc. 6,890,642
18,408 TransUnion 1,602,232
18,067 Verisk Analytics, Inc. 3,315,295
---------------
15,458,292
---------------
ROAD & RAIL -- 1.1%
19,219 Old Dominion Freight Line, Inc. 3,728,486
147,107 Uber Technologies, Inc. (a) 7,492,160
---------------
11,220,646
---------------
See Notes to Financial Statements Page 55
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 9.7%
102,261 Advanced Micro Devices,
Inc. (a) $ 8,757,632
12,364 Analog Devices, Inc. 1,821,588
108,669 Applied Materials, Inc. 10,506,119
36,219 KLA Corp. 10,143,855
19,857 Lam Research Corp. 9,609,795
157,810 Marvell Technology Group Ltd. 8,120,903
39,666 Microchip Technology, Inc. 5,398,939
25,603 Monolithic Power Systems, Inc. 9,096,490
14,364 NVIDIA Corp. 7,463,391
56,403 Qorvo, Inc. (a) 9,638,145
49,248 QUALCOMM, Inc. 7,696,477
11,949 Skyworks Solutions, Inc. 2,022,368
78,223 Teradyne, Inc. 8,876,746
11,124 Texas Instruments, Inc. 1,843,136
---------------
100,995,584
---------------
SOFTWARE -- 17.3%
3,651 Adobe, Inc. (a) 1,674,969
5,021 ANSYS, Inc. (a) 1,779,292
24,569 Autodesk, Inc. (a) 6,816,178
45,497 Avalara, Inc. (a) 6,824,550
54,988 Cadence Design Systems,
Inc. (a) 7,169,885
51,414 Ceridian HCM Holding, Inc. (a) 4,776,875
14,037 Citrix Systems, Inc. 1,871,272
22,140 Coupa Software, Inc. (a) 6,860,522
44,273 Crowdstrike Holdings, Inc.,
Class A (a) 9,554,113
38,110 Datadog, Inc., Class A (a) 3,915,802
24,647 DocuSign, Inc. (a) 5,740,040
86,696 Dynatrace, Inc. (a) 3,598,751
10,718 Fair Isaac Corp. (a) 4,824,279
36,885 Fortinet, Inc. (a) 5,339,104
23,652 HubSpot, Inc. (a) 8,803,274
14,422 Intuit, Inc. 5,209,659
57,991 Oracle Corp. 3,504,396
26,390 Palo Alto Networks, Inc. (a) 9,256,293
20,736 Paycom Software, Inc. (a) 7,874,289
24,742 RingCentral, Inc., Class A (a) 9,226,787
8,207 salesforce.com, Inc. (a) 1,851,171
13,631 ServiceNow, Inc. (a) 7,403,814
75,307 SS&C Technologies Holdings,
Inc. 4,735,304
28,940 Synopsys, Inc. (a) 7,392,723
11,709 Trade Desk (The), Inc.,
Class A (a) 8,968,977
12,552 Tyler Technologies, Inc. (a) 5,306,860
22,865 Workday, Inc., Class A (a) 5,202,473
65,528 Zendesk, Inc. (a) 9,451,759
16,244 Zoom Video Communications,
Inc., Class A (a) 6,043,905
46,961 Zscaler, Inc. (a) 9,378,112
---------------
180,355,428
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SPECIALTY RETAIL -- 2.8%
1,542 AutoZone, Inc. (a) $ 1,724,527
31,320 Carvana Co. (a) 8,180,471
14,126 Home Depot (The), Inc. 3,825,603
46,744 Lowe's Cos., Inc. 7,799,236
4,032 O'Reilly Automotive, Inc. (a) 1,715,495
38,976 Tractor Supply Co. 5,524,458
---------------
28,769,790
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.7%
56,539 Apple, Inc. 7,460,886
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.5%
38,729 NIKE, Inc., Class B 5,173,807
---------------
TOBACCO -- 0.2%
22,060 Philip Morris International,
Inc. 1,757,079
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.3%
76,819 Fastenal Co. 3,502,178
---------------
WATER UTILITIES -- 0.5%
11,900 American Water Works Co., Inc. 1,892,338
79,325 Essential Utilities, Inc. 3,672,748
---------------
5,565,086
---------------
TOTAL COMMON STOCKS
-- 99.8% $1,039,898,619
(Cost $835,946,231) ---------------
MONEY MARKET FUNDS -- 0.5%
2,335,850 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 2,335,850
2,608,167 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 2,608,167
---------------
TOTAL MONEY MARKET FUNDS
-- 0.5% 4,944,017
(Cost $4,944,017) ---------------
TOTAL INVESTMENTS -- 100.3% 1,044,842,636
(Cost $840,890,248) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.3)% (2,857,850)
---------------
NET ASSETS -- 100.0% $ 1,041,984,786
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $2,232,316 and the
total value of the collateral held by the Fund is $2,335,850.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
Page 56 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $215,266,150 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $11,313,762. The net unrealized
appreciation was $203,952,388.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $1,039,898,619 $ -- $ --
Money Market
Funds 4,944,017 -- --
---------------------------------------------
Total Investments $1,044,842,636 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 2,232,316
Non-cash Collateral(2) (2,232,316)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 57
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.1%
807 Curtiss-Wright Corp. $ 83,759
1,706 General Dynamics Corp. 250,236
1,291 Hexcel Corp. 56,365
1,097 Howmet Aerospace, Inc. 26,964
734 Huntington Ingalls Industries,
Inc. 115,480
417 Northrop Grumman Corp. 119,516
1,719 Parsons Corp. (a) 61,300
1,295 Textron, Inc. 58,612
---------------
772,232
---------------
AIR FREIGHT & LOGISTICS -- 0.7%
659 C.H. Robinson Worldwide, Inc. 56,384
1,334 Expeditors International of
Washington, Inc. 119,419
714 FedEx Corp. 168,033
230 Forward Air Corp. 16,489
1,267 Hub Group, Inc., Class A (a) 66,682
367 United Parcel Service, Inc.,
Class B 56,885
---------------
483,892
---------------
AIRLINES -- 0.1%
2,240 SkyWest, Inc. 87,338
725 Spirit Airlines, Inc. (a) 18,806
---------------
106,144
---------------
AUTO COMPONENTS -- 1.0%
1,423 Aptiv PLC 190,113
2,431 BorgWarner, Inc. 102,078
2,229 Cooper Tire & Rubber Co. 81,916
1,850 Dana, Inc. 35,816
721 Dorman Products, Inc. (a) 65,488
1,845 Gentex Corp. 60,977
272 Gentherm, Inc. (a) 16,663
483 LCI Industries 62,490
197 Lear Corp. 29,700
1,786 Standard Motor Products, Inc. 70,065
---------------
715,306
---------------
AUTOMOBILES -- 1.0%
28,874 Ford Motor Co. (a) 304,043
7,619 General Motors Co. 386,131
---------------
690,174
---------------
BANKS -- 11.4%
1,792 1st Source Corp. 70,515
1,898 Ameris Bancorp 74,231
5,296 Associated Banc-Corp. 95,010
1,614 Atlantic Union Bankshares Corp. 53,004
301 BancFirst Corp. 17,347
2,632 BancorpSouth Bank 72,775
6,115 Bank of America Corp. 181,310
231 Bank of Hawaii Corp. 18,062
3,003 Bank OZK 111,591
1,528 BankUnited, Inc. 52,945
1,140 Banner Corp. 50,422
1,829 BOK Financial Corp. 135,090
2,244 Cathay General Bancorp 75,892
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
BANKS (CONTINUED)
5,146 Citigroup, Inc. $ 298,417
7,097 Citizens Financial Group, Inc. 258,615
1,006 Columbia Banking System, Inc. 38,751
1,681 Comerica, Inc. 96,153
476 Commerce Bancshares, Inc. 31,821
1,005 Community Bank System, Inc. 65,174
1,076 Cullen/Frost Bankers, Inc. 99,250
2,725 CVB Financial Corp. 52,947
1,749 Eagle Bancorp, Inc. 74,315
1,852 East West Bancorp, Inc. 111,009
9,505 F.N.B. Corp. 93,719
510 FB Financial Corp. 19,054
9,205 Fifth Third Bancorp 266,301
3,918 First BanCorp 35,654
3,352 First Busey Corp. 69,286
163 First Citizens BancShares, Inc.,
Class A 97,146
5,151 First Financial Bancorp 94,366
2,254 First Hawaiian, Inc. 52,406
9,812 First Horizon Corp. 136,289
1,304 First Interstate BancSystem,
Inc., Class A 50,413
1,421 First Merchants Corp. 53,529
4,538 First Midwest Bancorp, Inc. 75,013
5,679 Fulton Financial Corp. 76,099
521 Hancock Whitney Corp. 17,787
2,237 Heartland Financial USA, Inc. 95,430
3,282 Hilltop Holdings, Inc. 98,591
4,821 Home BancShares, Inc. 102,205
6,621 Hope Bancorp, Inc. 74,023
7,435 Huntington Bancshares, Inc. 98,328
851 Independent Bank Group, Inc. 52,268
1,930 International Bancshares Corp. 72,973
5,033 Investors Bancorp, Inc. 57,930
1,458 JPMorgan Chase & Co. 187,601
15,467 KeyCorp 260,774
1,994 M&T Bank Corp. 264,145
1,656 NBT Bancorp, Inc. 54,665
2,853 OceanFirst Financial Corp. 51,810
4,362 Old National Bancorp 73,238
565 Pacific Premier Bancorp, Inc. 18,786
344 Park National Corp. 37,155
9,684 People's United Financial, Inc. 132,283
1,458 Pinnacle Financial Partners,
Inc. 99,917
2,129 PNC Financial Services Group
(The), Inc. 305,554
2,223 Popular, Inc. 126,155
1,805 Prosperity Bancshares, Inc. 121,729
15,745 Regions Financial Corp. 267,822
1,072 Renasant Corp. 37,949
713 S&T Bancorp, Inc. 18,110
1,122 Sandy Spring Bancorp, Inc. 37,284
1,226 Seacoast Banking Corp. of
Florida (a) 37,332
463 Signature Bank 76,483
4,183 Simmons First National Corp.,
Class A 103,320
433 South State Corp. 30,197
Page 58 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
1,713 Southside Bancshares, Inc. $ 53,737
4,018 Sterling Bancorp 74,172
159 SVB Financial Group (a) 69,607
2,901 Synovus Financial Corp. 107,917
298 Texas Capital Bancshares,
Inc. (a) 17,946
512 Tompkins Financial Corp. 34,237
3,077 TowneBank 71,386
1,506 TriCo Bancshares 56,174
5,295 Truist Financial Corp. 254,054
2,645 Trustmark Corp. 72,658
3,978 U.S. Bancorp 170,457
523 UMB Financial Corp. 37,117
2,898 United Bankshares, Inc. 91,751
1,270 United Community Banks, Inc. 37,884
12,842 Valley National Bancorp 131,117
857 Webster Financial Corp. 40,065
8,410 Wells Fargo & Co. 251,291
1,774 WesBanco, Inc. 51,446
1,044 Western Alliance Bancorp 71,180
1,183 Wintrust Financial Corp. 71,205
2,162 Zions Bancorp N.A. 95,431
---------------
8,126,597
---------------
BEVERAGES -- 0.5%
135 Coca-Cola Consolidated, Inc. 36,026
282 Constellation Brands, Inc.,
Class A 59,482
1,931 Keurig Dr Pepper, Inc. 61,406
3,464 Molson Coors Beverage Co.,
Class B 173,754
---------------
330,668
---------------
BIOTECHNOLOGY -- 0.2%
825 United Therapeutics Corp. (a) 135,152
---------------
BUILDING PRODUCTS -- 1.0%
571 A.O. Smith Corp. 31,005
770 American Woodmark Corp. (a) 66,613
1,534 Builders FirstSource, Inc. (a) 58,675
3,364 Carrier Global Corp. 129,514
1,480 Fortune Brands Home &
Security, Inc. 127,650
699 JELD-WEN Holding, Inc. (a) 18,167
1,326 Johnson Controls International
PLC 66,061
226 Lennox International, Inc. 62,261
1,125 Masco Corp. 61,099
2,254 UFP Industries, Inc. 121,581
---------------
742,626
---------------
CAPITAL MARKETS -- 3.6%
615 Affiliated Managers Group, Inc. 67,767
318 Ameriprise Financial, Inc. 62,923
7,476 Bank of New York Mellon
(The) Corp. 297,769
9,030 BGC Partners, Inc., Class A 32,056
1,008 Cboe Global Markets, Inc. 92,464
339 CME Group, Inc. 61,610
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
329 Evercore, Inc., Class A $ 35,894
5,417 Federated Hermes, Inc. 146,259
12,695 Franklin Resources, Inc. 333,751
963 Goldman Sachs Group (The),
Inc. 261,137
8,980 Invesco Ltd. 184,898
1,525 KKR & Co., Inc. 59,399
740 Lazard Ltd., Class A 30,488
3,704 Morgan Stanley 248,353
176 Piper Sandler Cos. 16,074
655 Raymond James Financial, Inc. 65,454
4,359 State Street Corp. 305,130
1,861 Stifel Financial Corp. 96,437
4,975 Virtu Financial, Inc., Class A 138,156
---------------
2,536,019
---------------
CHEMICALS -- 2.1%
440 Avient Corp. 16,909
976 Celanese Corp. 119,218
2,426 CF Industries Holdings, Inc. 100,388
4,787 Corteva, Inc. 190,810
1,848 Eastman Chemical Co. 181,751
3,531 Element Solutions, Inc. 60,133
1,024 H.B. Fuller Co. 52,111
1,245 Huntsman Corp. 32,893
477 Ingevity Corp. (a) 31,334
195 Innospec, Inc. 17,119
1,166 International Flavors &
Fragrances, Inc. (b) 131,035
1,384 LyondellBasell Industries N.V.,
Class A 118,692
1,163 Minerals Technologies, Inc. 71,676
157 NewMarket Corp. 61,574
428 PPG Industries, Inc. 57,656
5,066 PQ Group Holdings, Inc. 69,810
681 RPM International, Inc. 56,162
240 Sensient Technologies Corp. 16,927
445 Stepan Co. 50,143
1,151 Westlake Chemical Corp. 88,005
---------------
1,524,346
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.2%
1,172 BrightView Holdings, Inc. (a) 16,619
823 Clean Harbors, Inc. (a) 63,750
13,786 CoreCivic, Inc. 98,018
1,350 Covanta Holding Corp. 19,103
1,820 Deluxe Corp. 61,680
986 Harsco Corp. (a) 16,397
1,285 Healthcare Services Group, Inc. 41,660
1,543 HNI Corp. 49,777
1,941 KAR Auction Services, Inc. 35,831
1,076 McGrath RentCorp 75,094
1,318 Republic Services, Inc. 119,305
5,331 Steelcase, Inc., Class A 68,930
271 Tetra Tech, Inc. 32,945
444 UniFirst Corp. 94,483
524 Waste Management, Inc. 58,332
---------------
851,924
---------------
See Notes to Financial Statements Page 59
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT
-- 0.8%
4,141 Cisco Systems, Inc. $ 184,606
4,261 EchoStar Corp., Class A (a) 89,225
5,562 Juniper Networks, Inc. 135,824
436 NETGEAR, Inc. (a) 18,046
1,938 NetScout Systems, Inc. (a) 56,658
2,213 Viasat, Inc. (a) 96,354
---------------
580,713
---------------
CONSTRUCTION & ENGINEERING
-- 0.7%
1,315 Arcosa, Inc. 73,364
478 Dycom Industries, Inc. (a) 38,785
342 EMCOR Group, Inc. 30,199
567 Jacobs Engineering Group, Inc. 57,244
1,836 MasTec, Inc. (a) 141,647
869 Quanta Services, Inc. 61,239
358 Valmont Industries, Inc. 69,065
---------------
471,543
---------------
CONSTRUCTION MATERIALS -- 0.7%
617 Eagle Materials, Inc. 67,888
653 Martin Marietta Materials, Inc. 187,679
4,497 Summit Materials, Inc.,
Class A (a) 92,323
855 Vulcan Materials Co. 127,515
---------------
475,405
---------------
CONSUMER FINANCE -- 1.6%
3,512 Ally Financial, Inc. 132,894
2,568 Capital One Financial Corp. 267,740
2,318 Encore Capital Group, Inc. (a) 68,845
516 FirstCash, Inc. 30,382
561 Green Dot Corp., Class A (a) 28,179
9,195 Navient Corp. 103,490
746 Nelnet, Inc., Class A 51,317
2,600 OneMain Holdings, Inc. 121,056
4,264 Santander Consumer USA
Holdings, Inc. 94,234
4,290 SLM Corp. 59,545
5,340 Synchrony Financial 179,691
---------------
1,137,373
---------------
CONTAINERS & PACKAGING -- 0.8%
228 AptarGroup, Inc. 30,317
3,696 Graphic Packaging Holding Co. 57,879
1,541 Greif, Inc., Class A 69,592
2,553 International Paper Co. 128,442
454 Packaging Corp. of America 61,045
2,532 Silgan Holdings, Inc. 92,241
1,585 Sonoco Products Co. 91,787
1,438 WestRock Co. 59,576
---------------
590,879
---------------
DISTRIBUTORS -- 0.3%
1,810 Core-Mark Holding Co., Inc. 55,513
3,553 LKQ Corp. (a) 124,675
---------------
180,188
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES
-- 0.9%
2,659 Adtalem Global Education,
Inc. (a) $ 102,611
169 Graham Holdings Co., Class B 96,010
1,009 Grand Canyon Education,
Inc. (a) 85,704
5,921 H&R Block, Inc. 102,019
7,149 Perdoceo Education Corp. (a) 84,573
1,275 Service Corp. International 64,298
4,253 Stride, Inc. (a) 109,515
---------------
644,730
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.0%
1,368 Berkshire Hathaway, Inc.,
Class B (a) 311,726
3,536 Cannae Holdings, Inc. (a) 134,333
4,893 Equitable Holdings, Inc. 121,248
6,362 Jefferies Financial Group, Inc. 148,553
532 Voya Financial, Inc. 29,505
---------------
745,365
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.6%
11,031 AT&T, Inc. 315,818
1,730 ATN International, Inc. 74,701
3,257 Liberty Latin America Ltd.,
Class C (a) 32,212
32,538 Lumen Technologies, Inc. 402,820
5,400 Verizon Communications, Inc. 295,650
---------------
1,121,201
---------------
ELECTRIC UTILITIES -- 5.5%
2,527 ALLETE, Inc. 158,797
4,926 Alliant Energy Corp. 239,650
3,048 American Electric Power Co.,
Inc. 246,614
2,772 Duke Energy Corp. 260,568
2,950 Edison International 171,572
3,178 Entergy Corp. 302,959
5,715 Evergy, Inc. 307,067
2,143 Eversource Energy 187,512
7,514 Exelon Corp. 312,282
6,055 FirstEnergy Corp. 186,252
3,538 Hawaiian Electric Industries,
Inc. 116,966
978 IDACORP, Inc. 86,357
801 NextEra Energy, Inc. 64,777
4,168 NRG Energy, Inc. 172,597
1,695 Otter Tail Corp. 67,275
1,957 Pinnacle West Capital Corp. 147,264
2,927 Portland General Electric Co. 123,783
11,250 PPL Corp. 311,287
4,132 Southern (The) Co. 243,457
3,806 Xcel Energy, Inc. 243,546
---------------
3,950,582
---------------
ELECTRICAL EQUIPMENT -- 0.9%
1,034 Acuity Brands, Inc. 124,328
511 AMETEK, Inc. 57,876
Page 60 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
1,757 Atkore International Group,
Inc. (a) $ 77,941
373 AZZ, Inc. 17,751
515 Eaton Corp. PLC 60,615
1,579 Emerson Electric Co. 125,294
1,192 Encore Wire Corp. 68,838
377 EnerSys 31,001
765 Regal Beloit Corp. 95,992
---------------
659,636
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.6%
1,286 Arrow Electronics, Inc. (a) 125,552
1,783 Avnet, Inc. 62,958
963 CDW Corp. 126,788
1,716 Corning, Inc. 61,553
605 ePlus, Inc. (a) 50,844
714 FLIR Systems, Inc. 37,164
699 Insight Enterprises, Inc. (a) 53,194
2,208 Jabil, Inc. 91,345
961 Knowles Corp. (a) 18,538
2,359 Methode Electronics, Inc. 89,052
388 OSI Systems, Inc. (a) 34,928
1,132 PC Connection, Inc. 55,570
2,831 Sanmina Corp. (a) 88,044
1,922 SYNNEX Corp. 156,874
1,284 TTM Technologies, Inc. (a) 17,218
2,567 Vishay Intertechnology, Inc. 55,319
---------------
1,124,941
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.2%
6,138 Archrock, Inc. 54,444
680 Cactus, Inc., Class A 17,816
598 Dril-Quip, Inc. (a) 18,012
765 Helmerich & Payne, Inc. 18,574
---------------
108,846
---------------
ENTERTAINMENT -- 0.0%
344 Madison Square Garden
Entertainment Corp. (a) 30,530
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.4%
5,091 Acadia Realty Trust 73,819
1,031 Alexander & Baldwin, Inc. 15,589
732 American Campus
Communities, Inc. 30,129
12,153 American Finance Trust, Inc. 88,474
1,373 Apple Hospitality REIT, Inc. 17,135
791 AvalonBay Communities, Inc. 129,463
2,685 Boston Properties, Inc. 245,060
7,581 Brandywine Realty Trust 83,391
5,675 Brixmor Property Group, Inc. 96,078
2,519 Columbia Property Trust, Inc. 34,258
2,148 DiamondRock Hospitality
Co. (a) 17,614
12,901 Diversified Healthcare Trust 51,862
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
5,703 Empire State Realty Trust, Inc.,
Class A $ 56,232
545 EPR Properties 21,604
5,737 Equity Commonwealth 163,562
10,191 GEO Group (The), Inc. (b) 91,108
3,909 Hudson Pacific Properties, Inc. 91,627
1,001 JBG SMITH Properties 29,890
10,428 Kimco Realty Corp. 172,166
3,553 Kite Realty Group Trust 56,635
8,462 Macerich (The) Co. (b) 132,853
1,422 Mack-Cali Realty Corp. 18,102
1,001 Mid-America Apartment
Communities, Inc. 132,883
1,530 National Retail Properties, Inc. 59,670
5,880 Paramount Group, Inc. 52,273
943 Pebblebrook Hotel Trust 17,332
626 PotlatchDeltic Corp. 29,898
1,066 Rayonier, Inc. 32,780
686 Regency Centers Corp. 32,365
2,698 Retail Opportunity Investments
Corp. 38,015
6,209 Retail Properties of America,
Inc., Class A 57,185
7,209 Sabra Health Care REIT, Inc. 121,039
6,287 Service Properties Trust 66,705
725 Simon Property Group, Inc. 67,374
7,138 SITE Centers Corp. 79,160
2,628 SL Green Realty Corp. 177,337
780 Spirit Realty Capital, Inc. 30,077
5,582 Urban Edge Properties 76,976
2,587 Ventas, Inc. 119,183
3,313 VEREIT, Inc. 116,717
3,333 Weingarten Realty Investors 75,026
1,842 Weyerhaeuser Co. 57,452
---------------
3,156,098
---------------
FOOD & STAPLES RETAILING -- 1.3%
526 Casey's General Stores, Inc. 98,614
9,989 Kroger (The) Co. 344,620
195 PriceSmart, Inc. 18,307
3,182 Walgreens Boots Alliance, Inc. 159,895
1,285 Walmart, Inc. 180,530
1,888 Weis Markets, Inc. 93,041
---------------
895,007
---------------
FOOD PRODUCTS -- 4.0%
6,294 Archer-Daniels-Midland Co. 314,763
1,432 Bunge Ltd. 93,710
962 Cal-Maine Foods, Inc. (a) 36,883
2,625 Campbell Soup Co. 126,289
6,999 Conagra Brands, Inc. 242,165
1,383 Flowers Foods, Inc. 31,754
3,001 Fresh Del Monte Produce, Inc. 73,434
4,316 General Mills, Inc. 250,760
406 Hershey (The) Co. 59,049
2,723 Hormel Foods Corp. 127,600
3,631 Hostess Brands, Inc. (a) 55,736
1,989 Ingredion, Inc. 150,110
See Notes to Financial Statements Page 61
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
2,745 J.M. Smucker (The) Co. $ 319,545
2,039 Kellogg Co. 120,179
1,783 Kraft Heinz (The) Co. 59,748
2,171 Mondelez International, Inc.,
Class A 120,360
6,385 Pilgrim's Pride Corp. (a) 123,741
134 Sanderson Farms, Inc. 18,249
52 Seaboard Corp. 163,603
850 TreeHouse Foods, Inc. (a) 35,896
4,923 Tyson Foods, Inc., Class A 316,598
---------------
2,840,172
---------------
GAS UTILITIES -- 1.3%
2,659 Atmos Energy Corp. 236,651
334 Chesapeake Utilities Corp. 33,878
3,522 New Jersey Resources Corp. 123,305
1,631 ONE Gas, Inc. 119,275
2,577 Southwest Gas Holdings, Inc. 154,517
1,466 Spire, Inc. 89,705
4,476 UGI Corp. 161,091
---------------
918,422
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.3%
386 Avanos Medical, Inc. (a) 17,486
770 Baxter International, Inc. 59,159
146 ICU Medical, Inc. (a) 29,854
444 Integer Holdings Corp. (a) 32,767
527 Medtronic PLC 58,671
---------------
197,937
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.8%
1,246 Acadia Healthcare Co., Inc. (a) 63,147
259 AMN Healthcare Services,
Inc. (a) 18,679
790 Anthem, Inc. 234,614
5,285 Centene Corp. (a) 318,686
4,645 CVS Health Corp. 332,814
378 Encompass Health Corp. 30,391
1,127 HCA Healthcare, Inc. 183,115
936 Henry Schein, Inc. (a) 61,636
1,247 Laboratory Corp. of America
Holdings (a) 285,451
1,090 Magellan Health, Inc. (a) 102,438
1,066 McKesson Corp. 185,985
128 ModivCare, Inc. (a) 20,297
872 Molina Healthcare, Inc. (a) 186,268
801 National HealthCare Corp. 51,304
2,662 Quest Diagnostics, Inc. 343,797
1,306 Select Medical Holdings
Corp. (a) 33,564
362 UnitedHealth Group, Inc. 120,756
1,139 Universal Health Services, Inc.,
Class B 142,011
---------------
2,714,953
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HEALTH CARE TECHNOLOGY -- 0.3%
1,227 Allscripts Healthcare Solutions,
Inc. (a) $ 20,245
2,362 Cerner Corp. 189,220
---------------
209,465
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.3%
313 Brinker International, Inc. 18,429
474 Cracker Barrel Old Country
Store, Inc. 64,137
3,973 MGM Resorts International 113,469
---------------
196,035
---------------
HOUSEHOLD DURABLES -- 4.0%
2,062 Century Communities, Inc. (a) 96,790
4,603 D.R. Horton, Inc. 353,510
4,669 KB Home 194,417
906 La-Z-Boy, Inc. 35,080
1,413 Leggett & Platt, Inc. 57,933
4,162 Lennar Corp., Class A 346,070
3,221 M.D.C. Holdings, Inc. 167,556
2,039 M/I Homes, Inc. (a) 100,666
1,890 Meritage Homes Corp. (a) 151,691
1,111 Mohawk Industries, Inc. (a) 159,540
45 NVR, Inc. (a) 200,092
7,357 PulteGroup, Inc. 320,030
4,882 Taylor Morrison Home Corp. (a) 126,834
3,600 Toll Brothers, Inc. 183,960
5,235 Tri Pointe Homes, Inc. (a) 105,747
1,406 Whirlpool Corp. 260,237
---------------
2,860,153
---------------
HOUSEHOLD PRODUCTS -- 0.1%
2,084 Reynolds Consumer Products,
Inc. 62,520
225 Spectrum Brands Holdings, Inc. 17,003
---------------
79,523
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.2%
7,961 Vistra Corp. 158,981
---------------
INDUSTRIAL CONGLOMERATES -- 0.5%
726 3M Co. 127,529
401 Carlisle Cos., Inc. 58,117
17,161 General Electric Co. 183,280
---------------
368,926
---------------
INSURANCE -- 7.9%
7,134 Aflac, Inc. 322,314
52 Alleghany Corp. 29,476
2,886 Allstate (The) Corp. 309,322
3,264 American Equity Investment
Life Holding Co. 95,276
1,071 American Financial Group, Inc. 100,824
940 American National Group, Inc. 83,077
8,796 Arch Capital Group Ltd. (a) 276,282
405 Argo Group International
Holdings Ltd. 16,342
499 Arthur J. Gallagher & Co. 57,590
460 Assurant, Inc. 62,316
Page 62 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
2,868 Assured Guaranty Ltd. $ 102,531
2,902 Athene Holding Ltd., Class A (a) 118,663
621 Axis Capital Holdings Ltd. 28,504
865 Brighthouse Financial, Inc. (a) 30,586
401 Chubb Ltd. 58,414
2,122 Cincinnati Financial Corp. 178,439
4,062 CNO Financial Group, Inc. 86,155
2,805 Employers Holdings, Inc. 85,553
764 Enstar Group Ltd. (a) 152,960
535 Everest Re Group Ltd. 112,928
1,012 FBL Financial Group, Inc.,
Class A 56,713
3,204 Fidelity National Financial,
Inc. 116,305
3,032 First American Financial Corp. 158,543
1,318 Globe Life, Inc. 119,134
804 Hanover Insurance Group (The),
Inc. 90,426
6,477 Hartford Financial Services
Group (The), Inc. 311,026
1,264 Horace Mann Educators Corp. 49,511
360 James River Group Holdings
Ltd. 16,013
2,037 Kemper Corp. 143,303
1,866 Lincoln National Corp. 84,884
123 Markel Corp. (a) 119,246
1,383 Mercury General Corp. 73,313
6,757 MetLife, Inc. 325,350
4,764 Old Republic International Corp. 86,228
468 Primerica, Inc. 65,197
5,116 Principal Financial Group, Inc. 252,065
3,208 Progressive (The) Corp. 279,706
791 Prudential Financial, Inc. 61,919
810 Reinsurance Group of America,
Inc. 85,091
1,159 Safety Insurance Group, Inc. 85,117
935 Selective Insurance Group, Inc. 60,756
1,494 Stewart Information Services
Corp. 69,292
1,808 Travelers (The) Cos., Inc. 246,430
6,823 Unum Group 158,498
930 W.R. Berkley Corp. 57,790
156 White Mountains Insurance
Group Ltd. 159,120
---------------
5,638,528
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.3%
14,268 Qurate Retail, Inc., Series A 179,777
---------------
IT SERVICES -- 1.5%
488 Alliance Data Systems Corp. 33,013
502 CACI International, Inc.,
Class A (a) 121,092
1,548 Cognizant Technology Solutions
Corp., Class A 120,667
2,016 International Business Machines
Corp. 240,126
1,207 Leidos Holdings, Inc. 128,014
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
IT SERVICES (CONTINUED)
406 ManTech International Corp.,
Class A $ 36,414
1,283 MAXIMUS, Inc. 96,302
331 Science Applications
International Corp. 31,786
1,411 Sykes Enterprises, Inc. (a) 54,451
8,448 Western Union (The) Co. 188,137
---------------
1,050,002
---------------
LEISURE PRODUCTS -- 0.4%
772 Acushnet Holdings Corp. 31,513
1,232 Brunswick Corp. 106,519
1,356 Hasbro, Inc. 127,220
---------------
265,252
---------------
MACHINERY -- 3.3%
303 AGCO Corp. 33,603
262 Alamo Group, Inc. 36,572
492 Albany International Corp.,
Class A 34,204
2,177 Allison Transmission Holdings,
Inc. 88,604
712 Barnes Group, Inc. 34,226
340 Caterpillar, Inc. 62,166
151 Chart Industries, Inc. (a) 18,137
819 Colfax Corp. (a) 30,401
816 Cummins, Inc. 191,287
490 Dover Corp. 57,080
850 Flowserve Corp. 30,226
873 Fortive Corp. 57,688
1,113 Gorman-Rupp (The) Co. 35,059
2,482 Greenbrier (The) Cos., Inc. 89,799
310 IDEX Corp. 57,719
406 ITT, Inc. 30,332
275 John Bean Technologies Corp. 31,867
269 Lincoln Electric Holdings, Inc. 30,800
2,588 Meritor, Inc. (a) 66,796
486 Middleby (The) Corp. (a) 65,960
1,514 Mueller Industries, Inc. 51,703
2,917 Mueller Water Products, Inc.,
Class A 34,975
1,091 Oshkosh Corp. 99,925
2,941 PACCAR, Inc. 268,278
466 Parker-Hannifin Corp. 123,308
732 Snap-on, Inc. 131,753
324 SPX Corp. (a) 16,754
710 Stanley Black & Decker, Inc. 123,178
1,619 Timken (The) Co. 122,493
1,369 Trinity Industries, Inc. 38,072
2,532 Westinghouse Air Brake
Technologies Corp. 187,900
516 Woodward, Inc. 57,766
---------------
2,338,631
---------------
MARINE -- 0.1%
1,268 Matson, Inc. 75,826
---------------
MEDIA -- 3.0%
2,020 AMC Networks, Inc.,
Class A (a) (b) 99,828
See Notes to Financial Statements Page 63
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
93 Charter Communications, Inc.,
Class A (a) $ 56,503
4,843 Comcast Corp., Class A 240,068
5,201 Discovery, Inc., Class A (a) 215,426
4,839 DISH Network Corp.,
Class A (a) 140,428
3,476 E.W. Scripps (The) Co., Class A 51,480
10,895 Fox Corp., Class A 339,706
5,048 Gray Television, Inc. (a) 86,068
2,662 Interpublic Group of (The) Cos.,
Inc. 64,074
5,226 News Corp., Class A 101,384
1,433 Nexstar Media Group, Inc.,
Class A 162,889
2,034 Omnicom Group, Inc. 126,881
6,472 TEGNA, Inc. 103,746
6,811 ViacomCBS, Inc., Class B 330,334
---------------
2,118,815
---------------
METALS & MINING -- 1.0%
2,424 Arconic Corp. (a) 61,085
278 Materion Corp. 18,957
3,485 Nucor Corp. 169,824
1,045 Reliance Steel & Aluminum Co. 121,303
4,245 Steel Dynamics, Inc. 145,476
3,388 Warrior Met Coal, Inc. 77,992
1,759 Worthington Industries, Inc. 92,066
---------------
686,703
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.5%
3,233 Apollo Commercial Real Estate
Finance, Inc. 36,145
2,547 Arbor Realty Trust, Inc. 36,320
2,274 Blackstone Mortgage Trust, Inc.,
Class A 60,625
7,082 Broadmark Realty Capital, Inc. 72,874
3,524 Chimera Investment Corp. 35,593
5,435 Ladder Capital Corp. 53,426
4,865 Starwood Property Trust, Inc. 91,267
---------------
386,250
---------------
MULTILINE RETAIL -- 0.5%
1,175 Dollar Tree, Inc. (a) 119,451
2,308 Kohl's Corp. 101,690
719 Target Corp. 130,261
---------------
351,402
---------------
MULTI-UTILITIES -- 3.3%
3,252 Ameren Corp. 236,486
1,800 Avista Corp. 67,464
2,037 Black Hills Corp. 120,427
3,038 CMS Energy Corp. 172,801
4,390 Consolidated Edison, Inc. 310,724
2,613 DTE Energy Co. 310,215
5,942 MDU Resources Group, Inc. 156,215
1,364 NiSource, Inc. 30,213
2,148 NorthWestern Corp. 117,002
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MULTI-UTILITIES (CONTINUED)
5,441 Public Service Enterprise
Group, Inc. $ 307,036
2,490 Sempra Energy 308,162
2,014 WEC Energy Group, Inc. 179,045
---------------
2,315,790
---------------
OIL, GAS & CONSUMABLE FUELS
-- 3.3%
2,195 Chevron Corp. 187,014
4,635 ConocoPhillips 185,539
1,189 CVR Energy, Inc. 20,332
1,103 Delek US Holdings, Inc. 20,692
3,716 EOG Resources, Inc. 189,367
2,462 EQT Corp. 40,155
7,696 Exxon Mobil Corp. 345,089
1,211 HollyFrontier Corp. 34,465
13,558 Kinder Morgan, Inc. 190,897
18,772 Marathon Oil Corp. 135,909
2,985 Murphy Oil Corp. 36,924
3,306 ONEOK, Inc. 131,678
3,518 PDC Energy, Inc. (a) 76,376
1,627 Pioneer Natural Resources Co. 196,704
1,275 Renewable Energy Group,
Inc. (a) 114,240
4,486 Valero Energy Corp. 253,145
6,329 Williams (The) Cos., Inc. 134,365
2,898 World Fuel Services Corp. 88,650
---------------
2,381,541
---------------
PAPER & FOREST PRODUCTS -- 0.3%
1,679 Domtar Corp. 50,320
2,527 Louisiana-Pacific Corp. 96,051
2,245 Schweitzer-Mauduit
International, Inc. 83,379
---------------
229,750
---------------
PERSONAL PRODUCTS -- 0.4%
22,295 Coty, Inc., Class A 142,019
2,089 Edgewell Personal Care Co. 69,773
293 Inter Parfums, Inc. 18,219
973 Nu Skin Enterprises, Inc.,
Class A 56,307
---------------
286,318
---------------
PHARMACEUTICALS -- 0.6%
379 Jazz Pharmaceuticals PLC (a) 58,935
1,400 Perrigo Co. PLC 59,780
5,035 Pfizer, Inc. 180,756
2,589 Prestige Consumer Healthcare,
Inc. (a) 103,560
---------------
403,031
---------------
PROFESSIONAL SERVICES -- 0.5%
750 ASGN, Inc. (a) 62,183
1,998 CBIZ, Inc. (a) 51,768
715 ICF International, Inc. 55,148
769 Insperity, Inc. 60,359
1,002 Robert Half International, Inc. 67,635
777 TriNet Group, Inc. (a) 57,583
---------------
354,676
---------------
Page 64 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.8%
4,046 CBRE Group, Inc., Class A (a) $ 246,725
3,580 Forestar Group, Inc. (a) 76,934
396 Howard Hughes (The) Corp. (a) 34,123
844 Jones Lang LaSalle, Inc. (a) 123,401
2,971 Kennedy-Wilson Holdings, Inc. 51,072
971 Marcus & Millichap, Inc. (a) 34,694
---------------
566,949
---------------
ROAD & RAIL -- 1.9%
276 AMERCO 127,633
1,399 CSX Corp. 119,971
4,989 Heartland Express, Inc. 93,643
1,356 J.B. Hunt Transport Services,
Inc. 182,599
622 Kansas City Southern 126,061
3,742 Knight-Swift Transportation
Holdings, Inc. 149,680
232 Landstar System, Inc. 32,341
4,192 Marten Transport Ltd. 66,443
534 Norfolk Southern Corp. 126,355
861 Ryder System, Inc. 53,890
4,362 Schneider National, Inc.,
Class B 91,602
297 Union Pacific Corp. 58,649
3,991 Werner Enterprises, Inc. 156,607
---------------
1,385,474
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.0%
10,379 Amkor Technology, Inc. 161,082
1,240 Axcelis Technologies, Inc. (a) 42,458
462 Brooks Automation, Inc. 35,001
633 First Solar, Inc. (a) 62,762
4,220 Micron Technology, Inc. (a) 330,299
956 ON Semiconductor Corp. (a) 32,973
1,160 Ultra Clean Holdings, Inc. (a) 44,776
---------------
709,351
---------------
SOFTWARE -- 0.5%
595 InterDigital, Inc. 38,205
12,214 NortonLifeLock, Inc. 257,349
1,607 Teradata Corp. (a) 43,228
---------------
338,782
---------------
SPECIALTY RETAIL -- 2.5%
1,177 Advance Auto Parts, Inc. 175,538
365 Asbury Automotive Group,
Inc. (a) 52,053
1,794 AutoNation, Inc. (a) 127,876
997 Bed Bath & Beyond, Inc. (b) 35,224
2,543 Best Buy Co., Inc. 276,729
1,820 Buckle (The), Inc. 71,562
1,343 CarMax, Inc. (a) 158,179
2,784 Dick's Sporting Goods, Inc. 186,556
3,870 Foot Locker, Inc. 169,583
688 Group 1 Automotive, Inc. 94,683
107 Lithia Motors, Inc., Class A 34,099
332 Monro, Inc. 19,412
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
957 Murphy USA, Inc. $ 119,213
605 ODP (The) Corp. 25,827
2,108 Penske Automotive Group, Inc. 126,143
4,076 Sally Beauty Holdings, Inc. (a) 61,548
1,411 Urban Outfitters, Inc. (a) 38,704
---------------
1,772,929
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.5%
843 Dell Technologies, Inc.,
Class C (a) 61,446
21,418 Hewlett Packard Enterprise Co. 264,298
7,537 HP, Inc. 183,451
1,923 NCR Corp. (a) 64,151
2,982 Seagate Technology PLC 197,170
2,282 Super Micro Computer, Inc. (a) 70,742
1,116 Western Digital Corp. 62,976
6,749 Xerox Holdings Corp. 141,931
---------------
1,046,165
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.3%
333 Carter's, Inc. 29,317
358 Columbia Sportswear Co. 31,311
871 Skechers U.S.A., Inc.,
Class A (a) 30,032
4,028 Tapestry, Inc. 127,365
---------------
218,025
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.3%
1,416 Axos Financial, Inc. (a) 55,153
1,418 Capitol Federal Financial, Inc. 17,612
3,623 Essent Group Ltd. 151,550
12,471 MGIC Investment Corp. 146,160
11,868 New York Community Bancorp,
Inc. 124,139
2,835 Northwest Bancshares, Inc. 36,146
2,960 Provident Financial Services,
Inc. 54,819
7,729 Radian Group, Inc. 148,397
785 Walker & Dunlop, Inc. 64,621
3,508 Washington Federal, Inc. 91,840
804 WSFS Financial Corp. 34,548
---------------
924,985
---------------
TOBACCO -- 0.1%
1,858 Universal Corp. 85,227
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.6%
3,523 Air Lease Corp. 139,616
463 Applied Industrial Technologies,
Inc. 32,591
441 Beacon Roofing Supply, Inc. (a) 17,539
1,889 Boise Cascade Co. 89,973
1,086 GATX Corp. 100,781
1,744 GMS, Inc. (a) 50,558
801 Herc Holdings, Inc. (a) 51,248
1,113 MSC Industrial Direct Co., Inc.,
Class A 86,335
See Notes to Financial Statements Page 65
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES
& DISTRIBUTORS (CONTINUED)
1,744 Rush Enterprises, Inc., Class A $ 73,230
493 Systemax, Inc. 18,946
1,861 Triton International Ltd. 86,239
1,094 United Rentals, Inc. (a) 265,853
3,293 Univar Solutions, Inc. (a) 61,217
152 W.W. Grainger, Inc. 55,387
460 WESCO International, Inc. (a) 35,011
---------------
1,164,524
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.5%
4,862 Telephone and Data Systems,
Inc. 91,162
1,375 T-Mobile US, Inc. (a) 173,360
2,942 United States Cellular Corp. (a) 91,732
---------------
356,254
---------------
TOTAL COMMON STOCKS
-- 99.9% 71,063,641
(Cost $62,594,874) ---------------
MONEY MARKET FUNDS -- 0.7%
372,254 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 372,254
165,369 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 165,369
---------------
TOTAL MONEY MARKET FUNDS
-- 0.7% 537,623
(Cost $537,623) ---------------
TOTAL INVESTMENTS -- 100.6% 71,601,264
(Cost $63,132,497) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.6)% (441,461)
---------------
NET ASSETS -- 100.0% $ 71,159,803
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $338,069 and the
total value of the collateral held by the Fund is $372,254.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $9,724,358 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $1,255,591. The net unrealized
appreciation was $8,468,767.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 71,063,641 $ -- $ --
Money Market
Funds 537,623 -- --
---------------------------------------------
Total Investments $ 71,601,264 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 338,069
Non-cash Collateral(2) (338,069)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
Page 66 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.4%
1,759 AeroVironment, Inc. (a) $ 201,880
2,939 Axon Enterprise, Inc. (a) 482,466
1,493 BWX Technologies, Inc. 80,503
2,757 HEICO Corp. 324,609
5,573 Kratos Defense & Security
Solutions, Inc. (a) 147,907
1,931 L3Harris Technologies, Inc. 331,186
6,730 Maxar Technologies, Inc. 281,785
2,045 Mercury Systems, Inc. (a) 145,318
1,360 Teledyne Technologies, Inc. (a) 485,534
861 TransDigm Group, Inc. (a) 476,374
---------------
2,957,562
---------------
AIR FREIGHT & LOGISTICS -- 0.2%
6,629 Air Transport Services Group,
Inc. (a) 168,443
3,809 Atlas Air Worldwide Holdings,
Inc. (a) 197,382
---------------
365,825
---------------
AIRLINES -- 0.1%
5,709 American Airlines Group, Inc. 98,024
---------------
AUTO COMPONENTS -- 0.4%
12,455 American Axle & Manufacturing
Holdings, Inc. (a) 109,729
3,406 Fox Factory Holding Corp. (a) 407,494
2,237 Patrick Industries, Inc. 154,487
2,576 Workhorse Group, Inc. (a) (b) 88,408
---------------
760,118
---------------
AUTOMOBILES -- 0.6%
1,293 Tesla, Inc. (a) 1,026,034
968 Thor Industries, Inc. 117,138
2,550 Winnebago Industries, Inc. 176,103
---------------
1,319,275
---------------
BANKS -- 0.9%
733 City Holding Co. 50,614
4,977 First Financial Bankshares, Inc. 188,529
4,968 First Republic Bank 720,310
5,870 Glacier Bancorp, Inc. 273,835
1,422 Independent Bank Corp. 106,764
951 Lakeland Financial Corp. 55,824
3,171 National Bank Holdings Corp.,
Class A 105,499
1,265 ServisFirst Bancshares, Inc. 51,966
1,259 Stock Yards Bancorp, Inc. 56,907
10,098 Umpqua Holdings Corp. 146,522
8,096 Veritex Holdings, Inc. 206,934
---------------
1,963,704
---------------
BEVERAGES -- 0.8%
453 Boston Beer (The) Co., Inc.,
Class A (a) 415,351
5,764 Monster Beverage Corp. (a) 500,488
4,242 National Beverage Corp. (b) 642,833
1,198 PepsiCo, Inc. 163,611
---------------
1,722,283
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
BIOTECHNOLOGY -- 6.3%
3,406 AbbVie, Inc. $ 349,047
3,368 ACADIA Pharmaceuticals,
Inc. (a) 161,832
2,815 Acceleron Pharma, Inc. (a) 325,217
2,078 Agios Pharmaceuticals, Inc. (a) 97,604
9,025 Alkermes PLC (a) 189,435
19,495 Amicus Therapeutics, Inc. (a) 368,650
8,003 Arcus Biosciences, Inc. (a) 277,944
2,347 Arrowhead Pharmaceuticals,
Inc. (a) 181,118
2,026 BioMarin Pharmaceutical,
Inc. (a) 167,712
3,211 Blueprint Medicines Corp. (a) 310,664
3,585 CareDx, Inc. (a) 274,002
2,908 ChemoCentryx, Inc. (a) 165,785
5,977 Coherus Biosciences, Inc. (a) 112,368
2,352 CRISPR Therapeutics AG (a) 389,726
2,452 Cytokinetics, Inc. (a) 48,231
2,480 Denali Therapeutics, Inc. (a) 169,880
2,313 Dicerna Pharmaceuticals,
Inc. (a) 51,973
3,704 Editas Medicine, Inc. (a) 227,240
3,014 Emergent BioSolutions, Inc. (a) 322,046
6,887 Exact Sciences Corp. (a) 944,621
4,950 Fate Therapeutics, Inc. (a) 448,619
8,431 Halozyme Therapeutics, Inc. (a) 401,231
2,408 Heron Therapeutics, Inc. (a) 41,803
5,409 Insmed, Inc. (a) 203,324
4,774 Intellia Therapeutics, Inc. (a) 298,948
2,153 Invitae Corp. (a) 106,617
1,592 Ionis Pharmaceuticals, Inc. (a) 95,631
4,474 Ironwood Pharmaceuticals,
Inc. (a) 45,724
2,229 MacroGenics, Inc. (a) 45,561
3,904 Mersana Therapeutics, Inc. (a) 74,410
2,050 Mirati Therapeutics, Inc. (a) 420,927
8,734 Moderna, Inc. (a) 1,512,379
15,586 NantKwest, Inc. (a) (b) 294,186
3,619 Natera, Inc. (a) 385,930
2,422 Novavax, Inc. (a) 535,117
91,167 OPKO Health, Inc. (a) (b) 493,214
4,425 PTC Therapeutics, Inc. (a) 255,854
4,580 REGENXBIO, Inc. (a) 189,291
16,642 Sangamo Therapeutics, Inc. (a) 227,330
2,141 Sarepta Therapeutics, Inc. (a) 191,405
1,015 Seagen, Inc. (a) 166,734
3,994 TG Therapeutics, Inc. (a) 192,790
11,273 Translate Bio, Inc. (a) 269,199
5,609 Travere Therapeutics, Inc. (a) 141,627
1,838 Twist Bioscience Corp. (a) 302,425
3,252 Ultragenyx Pharmaceutical,
Inc. (a) 450,695
3,124 Veracyte, Inc. (a) 177,131
---------------
13,103,197
---------------
BUILDING PRODUCTS -- 0.9%
2,702 AAON, Inc. 199,948
5,386 Advanced Drainage Systems,
Inc. 444,237
See Notes to Financial Statements Page 67
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BUILDING PRODUCTS (CONTINUED)
774 Allegion PLC $ 82,826
1,856 CSW Industrials, Inc. 216,261
2,888 Gibraltar Industries, Inc. (a) 258,852
2,500 Griffon Corp. 56,150
10,214 PGT Innovations, Inc. (a) 211,532
1,927 Simpson Manufacturing Co.,
Inc. 177,284
3,226 Trex Co., Inc. (a) 296,050
---------------
1,943,140
---------------
CAPITAL MARKETS -- 3.4%
3,628 Apollo Global Management,
Inc. 166,670
4,127 Artisan Partners Asset
Management, Inc., Class A 199,747
2,106 Assetmark Financial Holdings,
Inc. (a) 48,480
1,265 BlackRock, Inc. 887,094
13,470 Brightsphere Investment Group,
Inc. 246,905
2,863 Carlyle Group (The), Inc. 92,389
2,423 Cohen & Steers, Inc. 158,706
4,776 Focus Financial Partners, Inc.,
Class A (a) 227,242
653 Hamilton Lane, Inc., Class A 49,217
2,678 Houlihan Lokey, Inc. 173,668
4,624 Intercontinental Exchange, Inc. 510,258
3,455 LPL Financial Holdings, Inc. 374,315
934 MarketAxess Holdings, Inc. 505,070
3,269 Moelis & Co., Class A 162,502
1,944 Morningstar, Inc. 446,906
1,635 MSCI, Inc. 646,316
4,016 Nasdaq, Inc. 543,244
1,908 Northern Trust Corp. 170,175
3,451 PJT Partners, Inc., Class A 238,084
1,567 SEI Investments Co. 82,816
3,588 StoneX Group, Inc. (a) 192,030
4,822 T. Rowe Price Group, Inc. 754,547
1,197 Virtus Investment Partners, Inc. 251,370
---------------
7,127,751
---------------
CHEMICALS -- 1.5%
3,051 Albemarle Corp. 496,276
24,757 Amyris, Inc. (a) (b) 232,716
1,563 Balchem Corp. 167,288
1,546 FMC Corp. 167,416
4,392 GCP Applied Technologies,
Inc. (a) 108,878
1,776 Quaker Chemical Corp. 465,543
2,260 Scotts Miracle-Gro (The) Co. 500,386
725 Sherwin-Williams (The) Co. 501,555
11,672 Valvoline, Inc. 277,093
1,642 W.R. Grace & Co. 95,269
---------------
3,012,420
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.2%
1,967 Brady Corp., Class A $ 90,305
2,886 Brink's (The) Co. 196,623
2,906 Casella Waste Systems, Inc.,
Class A (a) 166,339
1,026 Cimpress PLC (a) 93,766
1,033 Cintas Corp. 328,618
4,189 Copart, Inc. (a) 459,743
4,156 IAA, Inc. (a) 237,474
1,205 MSA Safety, Inc. 188,125
18,683 Rollins, Inc. 672,962
2,859 US Ecology, Inc. (a) 94,347
---------------
2,528,302
---------------
COMMUNICATIONS EQUIPMENT
-- 1.5%
1,835 Arista Networks, Inc. (a) 564,372
8,726 Calix, Inc. (a) 263,525
3,407 Ciena Corp. (a) 181,900
19,380 CommScope Holding Co.,
Inc. (a) 284,692
2,047 F5 Networks, Inc. (a) 401,110
24,780 Infinera Corp. (a) 244,083
13,430 Inseego Corp. (a) (b) 246,575
2,849 Lumentum Holdings, Inc. (a) 267,236
1,045 Motorola Solutions, Inc. 175,090
7,686 Plantronics, Inc. 243,800
12,024 Viavi Solutions, Inc. (a) 185,771
---------------
3,058,154
---------------
CONSTRUCTION & ENGINEERING
-- 0.4%
4,971 Ameresco, Inc., Class A (a) 278,823
2,903 Comfort Systems USA, Inc. 160,913
15,542 WillScot Mobile Mini Holdings
Corp. (a) 368,501
---------------
808,237
---------------
CONSTRUCTION MATERIALS -- 0.1%
15,103 Forterra, Inc. (a) 276,385
---------------
CONSUMER FINANCE -- 0.1%
260 Credit Acceptance Corp. (a) (b) 100,300
1,285 PRA Group, Inc. (a) 42,367
---------------
142,667
---------------
CONTAINERS & PACKAGING -- 0.6%
1,741 Avery Dennison Corp. 262,665
6,409 Berry Global Group, Inc. (a) 316,412
3,594 Crown Holdings, Inc. (a) 323,999
8,729 O-I Glass, Inc. 110,335
5,898 Sealed Air Corp. 249,308
---------------
1,262,719
---------------
DISTRIBUTORS -- 0.4%
2,450 Pool Corp. 867,741
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.6%
10,101 Chegg, Inc. (a) 962,221
5,379 frontdoor, Inc. (a) 296,060
Page 68 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
2,088 WW International, Inc. (a) $ 55,458
---------------
1,313,739
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.3%
1,172 Bandwidth, Inc., Class A (a) 208,780
9,157 Iridium Communications,
Inc. (a) 451,165
---------------
659,945
---------------
ELECTRICAL EQUIPMENT -- 1.1%
7,249 Bloom Energy Corp., Class A (a) 253,062
1,584 Generac Holdings, Inc. (a) 390,329
14,341 GrafTech International Ltd. 139,108
1,148 Hubbell, Inc. 178,629
7,658 Plug Power, Inc. (a) 483,756
1,455 Rockwell Automation, Inc. 361,611
2,595 Sunrun, Inc. (a) 179,756
4,920 TPI Composites, Inc. (a) 294,757
1,126 Vicor Corp. (a) 97,444
---------------
2,378,452
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.3%
4,076 Amphenol Corp., Class A 509,011
1,625 Badger Meter, Inc. 149,029
4,546 Cognex Corp. 373,363
2,781 Dolby Laboratories, Inc.,
Class A 244,811
1,471 FARO Technologies, Inc. (a) 103,808
5,926 II-VI, Inc. (a) 498,199
5,526 Keysight Technologies, Inc. (a) 782,426
2,049 National Instruments Corp. 84,829
6,363 nLight, Inc. (a) 201,580
1,328 Plexus Corp. (a) 102,150
13,665 Trimble, Inc. (a) 900,660
2,374 Zebra Technologies Corp.,
Class A (a) 920,708
---------------
4,870,574
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.2%
9,992 ChampionX Corp. (a) 152,777
89,938 Transocean Ltd. (a) (b) 302,192
---------------
454,969
---------------
ENTERTAINMENT -- 2.0%
5,741 Activision Blizzard, Inc. 522,431
2,542 Electronic Arts, Inc. 364,014
11,529 Glu Mobile, Inc. (a) 101,571
986 Netflix, Inc. (a) 524,937
2,748 Roku, Inc. (a) 1,069,054
4,391 Take-Two Interactive Software,
Inc. (a) 880,176
2,162 World Wrestling Entertainment,
Inc., Class A 121,786
54,008 Zynga, Inc., Class A (a) 535,219
---------------
4,119,188
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.4%
1,765 American Assets Trust, Inc. $ 48,767
2,412 Americold Realty Trust 84,203
17,051 Apartment Investment and
Management Co., Class A 78,264
4,683 CareTrust REIT, Inc. 105,180
1,082 Community Healthcare Trust,
Inc. 48,387
2,687 Cousins Properties, Inc. 84,748
2,679 CubeSmart 93,337
2,404 Essential Properties Realty
Trust, Inc. 50,051
1,712 Four Corners Property Trust,
Inc. 45,128
2,973 Global Net Lease, Inc. 47,895
5,878 Healthpeak Properties, Inc. 174,283
3,794 Independence Realty Trust, Inc. 50,384
4,460 Industrial Logistics Properties
Trust 94,597
1,418 Innovative Industrial
Properties, Inc. 265,336
3,054 Iron Mountain, Inc. 102,828
3,432 iStar, Inc. 52,098
1,082 Lamar Advertising Co., Class A 87,404
1,131 Life Storage, Inc. 92,267
16,750 Medical Properties Trust, Inc. 353,593
5,998 Monmouth Real Estate
Investment Corp. 103,945
1,414 National Storage Affiliates
Trust 51,668
1,204 NexPoint Residential Trust, Inc. 47,522
3,140 Piedmont Office Realty Trust,
Inc., Class A 48,293
1,833 Rexford Industrial Realty, Inc. 89,707
2,109 Safehold, Inc. 155,180
2,650 STORE Capital Corp. 82,203
8,856 Uniti Group, Inc. 109,017
6,968 VICI Properties, Inc. 176,151
---------------
2,822,436
---------------
FOOD & STAPLES RETAILING -- 0.6%
7,245 BJ's Wholesale Club Holdings,
Inc. (a) 304,797
4,587 Grocery Outlet Holding Corp. (a) 195,819
13,124 Rite Aid Corp. (a) 345,030
4,479 Sprouts Farmers Market, Inc. (a) 101,449
9,573 United Natural Foods, Inc. (a) 259,237
---------------
1,206,332
---------------
FOOD PRODUCTS -- 0.8%
5,513 B&G Foods, Inc. (b) 209,935
720 Beyond Meat, Inc. (a) 128,218
7,804 Darling Ingredients, Inc. (a) 483,926
2,536 Freshpet, Inc. (a) 353,290
6,727 Hain Celestial Group (The),
Inc. (a) 279,742
1,143 Lamb Weston Holdings, Inc. 85,382
980 Lancaster Colony Corp. 171,089
---------------
1,711,582
---------------
See Notes to Financial Statements Page 69
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT &
SUPPLIES -- 5.5%
1,623 Abbott Laboratories $ 200,587
1,126 ABIOMED, Inc. (a) 392,129
1,366 Align Technology, Inc. (a) 717,669
1,866 AtriCure, Inc. (a) 108,657
3,063 Axonics Modulation
Technologies, Inc. (a) 158,357
1,165 Cardiovascular Systems, Inc. (a) 52,413
7,364 Cerus Corp. (a) 48,529
489 Cooper (The) Cos., Inc. 178,016
3,484 CryoPort, Inc. (a) 237,609
1,643 Danaher Corp. 390,771
481 DexCom, Inc. (a) 180,303
4,001 Edwards Lifesciences Corp. (a) 330,403
10,471 GenMark Diagnostics, Inc. (a) 144,604
2,031 Glaukos Corp. (a) 180,129
2,761 Globus Medical, Inc.,
Class A (a) 170,326
1,516 Haemonetics Corp. (a) 173,264
1,426 Heska Corp. (a) 238,655
919 Hill-Rom Holdings, Inc. 88,261
10,023 Hologic, Inc. (a) 799,134
1,460 IDEXX Laboratories, Inc. (a) 698,873
2,085 Insulet Corp. (a) 557,070
446 Intuitive Surgical, Inc. (a) 333,447
1,139 iRhythm Technologies, Inc. (a) 191,830
1,986 Masimo Corp. (a) 508,257
8,180 Meridian Bioscience, Inc. (a) 180,778
2,754 Merit Medical Systems, Inc. (a) 149,129
362 Mesa Laboratories, Inc. 100,325
1,040 Nevro Corp. (a) 168,262
2,601 Novocure Ltd. (a) 418,657
2,032 Quidel Corp. (a) 509,971
836 ResMed, Inc. 168,512
2,504 Shockwave Medical, Inc. (a) 290,564
1,649 Silk Road Medical, Inc. (a) 89,920
4,268 SmileDirectClub, Inc. (a) 56,679
4,546 STAAR Surgical Co. (a) 466,329
1,926 STERIS PLC 360,374
1,489 Stryker Corp. 329,084
941 Tandem Diabetes Care, Inc. (a) 87,184
432 Teleflex, Inc. 163,136
3,867 Vapotherm, Inc. (a) 133,605
1,882 West Pharmaceutical Services,
Inc. 563,640
---------------
11,315,442
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.2%
1,774 Addus HomeCare Corp. (a) 199,664
1,228 Amedisys, Inc. (a) 352,817
338 Chemed Corp. 175,050
3,506 Cigna Corp. 760,977
1,442 CorVel Corp. (a) 142,498
7,229 Covetrus, Inc. (a) 246,292
7,772 DaVita, Inc. (a) 912,200
3,561 Ensign Group (The), Inc. 278,755
2,096 Guardant Health, Inc. (a) 325,928
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
3,874 HealthEquity, Inc. (a) $ 323,673
890 Humana, Inc. 340,968
844 LHC Group, Inc. (a) 168,142
6,230 MEDNAX, Inc. (a) 169,892
13,284 Option Care Health, Inc. (a) 245,488
9,601 Owens & Minor, Inc. 279,197
7,012 Patterson Cos., Inc. 222,140
3,976 PetIQ, Inc. (a) 137,808
6,126 Progyny, Inc. (a) 286,513
10,812 R1 RCM, Inc. (a) 272,787
5,308 RadNet, Inc. (a) 95,066
11,273 Tenet Healthcare Corp. (a) 532,875
1,271 US Physical Therapy, Inc. 152,952
---------------
6,621,682
---------------
HEALTH CARE TECHNOLOGY -- 1.4%
16,201 Evolent Health, Inc.,
Class A (a) 276,551
3,512 Health Catalyst, Inc. (a) 174,476
2,393 Inspire Medical Systems,
Inc. (a) 482,214
11,390 NextGen Healthcare, Inc. (a) 225,294
3,750 Omnicell, Inc. (a) 441,750
3,829 Phreesia, Inc. (a) 249,996
1,444 Simulations Plus, Inc. 114,278
889 Teladoc Health, Inc. (a) 234,545
1,341 Veeva Systems, Inc., Class A (a) 370,706
6,253 Vocera Communications, Inc. (a) 274,819
---------------
2,844,629
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.6%
526 Chipotle Mexican Grill, Inc. (a) 778,480
843 Choice Hotels International,
Inc. 84,839
924 Churchill Downs, Inc. 173,204
463 Domino's Pizza, Inc. 171,662
1,647 Jack in the Box, Inc. 155,049
2,122 Papa John's International, Inc. 217,038
4,169 Penn National Gaming, Inc. (a) 432,409
1,160 Planet Fitness, Inc.,
Class A (a) 83,520
5,007 Scientific Games Corp. (a) 196,375
1,803 Shake Shack, Inc., Class A (a) 204,496
3,046 Six Flags Entertainment Corp. 104,173
4,107 Wendy's (The) Co. 83,783
679 Wingstop, Inc. 101,884
3,408 Wyndham Destinations, Inc. 150,770
3,362 Yum! Brands, Inc. 341,209
---------------
3,278,891
---------------
HOUSEHOLD DURABLES -- 1.4%
290 Cavco Industries, Inc. (a) 54,711
6,100 Garmin Ltd. 700,646
1,216 Helen of Troy Ltd. (a) 297,008
1,500 Installed Building Products,
Inc. (a) 157,395
1,294 iRobot Corp. (a) 155,409
2,551 LGI Homes, Inc. (a) 272,217
3,357 Skyline Champion Corp. (a) 112,896
11,103 Sonos, Inc. (a) 290,344
Page 70 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES (CONTINUED)
16,672 Tempur Sealy International,
Inc. (a) $ 440,141
1,956 TopBuild Corp. (a) 391,102
---------------
2,871,869
---------------
HOUSEHOLD PRODUCTS -- 0.7%
4,208 Central Garden & Pet Co.,
Class A (a) 164,112
2,037 Church & Dwight Co., Inc. 171,984
880 Clorox (The) Co. 184,325
4,268 Colgate-Palmolive Co. 332,904
2,134 Energizer Holdings, Inc. 93,554
1,277 Procter & Gamble (The) Co. 163,724
1,017 WD-40 Co. 309,585
---------------
1,420,188
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.3%
8,459 Clearway Energy, Inc., Class C 262,060
5,754 Sunnova Energy International,
Inc. (a) 252,313
---------------
514,373
---------------
INDUSTRIAL CONGLOMERATES -- 0.3%
3,432 Honeywell International, Inc. 670,510
---------------
INSURANCE -- 1.0%
7,698 Brown & Brown, Inc. 331,707
722 eHealth, Inc. (a) 34,548
1,100 Erie Indemnity Co., Class A 267,410
2,082 Goosehead Insurance, Inc.,
Class A 278,155
1,349 Kinsale Capital Group, Inc. 253,018
1,519 Marsh & McLennan Cos., Inc. 166,953
574 Palomar Holdings, Inc. (a) 57,165
543 RenaissanceRe Holdings Ltd. 81,689
2,593 RLI Corp. 250,950
2,169 Trupanion, Inc. (a) 243,362
---------------
1,964,957
---------------
INTERACTIVE MEDIA & SERVICES
-- 2.1%
416 Alphabet, Inc., Class A (a) 760,182
11,586 ANGI Homeservices, Inc.,
Class A (a) 161,972
5,675 Cargurus, Inc. (a) 165,994
1,364 EverQuote, Inc., Class A (a) 61,462
1,336 Facebook, Inc., Class A (a) 345,129
13,846 Pinterest, Inc., Class A (a) 948,589
18,223 Snap, Inc., Class A (a) 964,725
7,030 Zillow Group, Inc., Class C (a) 917,134
---------------
4,325,187
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 2.7%
7,991 1-800-Flowers.com, Inc.,
Class A (a) 245,563
224 Amazon.com, Inc. (a) 718,189
5,008 Chewy, Inc., Class A (a) 509,914
7,263 eBay, Inc. 410,432
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
INTERNET & DIRECT MARKETING
RETAIL (CONTINUED)
5,129 Etsy, Inc. (a) $ 1,021,133
9,384 Overstock.com, Inc. (a) 728,198
10,632 RealReal (The), Inc. (a) 251,766
2,898 Shutterstock, Inc. 188,341
918 Stamps.com, Inc. (a) 209,589
4,423 Stitch Fix, Inc., Class A (a) 422,131
3,233 Wayfair, Inc., Class A (a) 880,411
---------------
5,585,667
---------------
IT SERVICES -- 5.0%
2,041 Accenture PLC, Class A 493,759
1,008 Automatic Data Processing, Inc. 166,441
4,187 Booz Allen Hamilton Holding
Corp. 356,607
2,382 Broadridge Financial Solutions,
Inc. 336,600
1,131 CSG Systems International, Inc. 48,735
2,037 EPAM Systems, Inc. (a) 701,604
2,642 EVERTEC, Inc. 91,677
1,796 ExlService Holdings, Inc. (a) 137,717
2,061 Fastly, Inc., Class A (a) 225,370
4,682 Fiserv, Inc. (a) 480,795
3,328 Gartner, Inc. (a) 505,557
4,353 Genpact Ltd. 166,633
3,388 Global Payments, Inc. 598,050
6,426 GoDaddy, Inc., Class A (a) 504,955
2,541 MongoDB, Inc. (a) 939,179
5,919 NIC, Inc. 159,339
2,871 Okta, Inc. (a) 743,618
1,907 Paychex, Inc. 166,519
3,117 PayPal Holdings, Inc. (a) 730,344
2,180 Perficient, Inc. (a) 119,050
7,477 Perspecta, Inc. 216,459
5,610 Repay Holdings Corp. (a) 124,262
12,718 Sabre Corp. 137,100
4,192 Square, Inc., Class A (a) 905,304
3,561 TTEC Holdings, Inc. 269,140
2,695 Twilio, Inc., Class A (a) 968,664
7,741 Verra Mobility Corp. (a) 99,085
---------------
10,392,563
---------------
LEISURE PRODUCTS -- 1.3%
6,367 Callaway Golf Co. 177,576
2,448 Malibu Boats, Inc., Class A (a) 171,629
25,796 Mattel, Inc. (a) 467,423
6,014 Peloton Interactive, Inc.,
Class A (a) 878,826
11,705 Smith & Wesson Brands, Inc. 193,835
1,596 Sturm Ruger & Co., Inc. 101,122
10,930 Vista Outdoor, Inc. (a) 318,828
6,574 YETI Holdings, Inc. (a) 432,701
---------------
2,741,940
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 4.4%
1,907 10X Genomics, Inc., Class A (a) 326,383
4,568 Adaptive Biotechnologies
Corp. (a) 253,387
See Notes to Financial Statements Page 71
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES
(CONTINUED)
6,161 Agilent Technologies, Inc. $ 740,367
32,414 Avantor, Inc. (a) 955,889
914 Bio-Rad Laboratories, Inc.,
Class A (a) 524,426
1,679 Bio-Techne Corp. 545,524
4,990 Bruker Corp. 288,871
1,441 Charles River Laboratories
International, Inc. (a) 373,291
2,204 Luminex Corp. 61,910
2,587 Medpace Holdings, Inc. (a) 343,528
468 Mettler-Toledo International,
Inc. (a) 546,671
3,106 NanoString Technologies,
Inc. (a) 217,513
6,689 NeoGenomics, Inc. (a) 354,651
6,358 PerkinElmer, Inc. 935,071
2,153 PRA Health Sciences, Inc. (a) 265,336
4,468 Quanterix Corp. (a) 289,258
1,879 Repligen Corp. (a) 375,800
3,964 Syneos Health, Inc. (a) 294,723
1,567 Thermo Fisher Scientific, Inc. 798,700
2,154 Waters Corp. (a) 570,099
---------------
9,061,398
---------------
MACHINERY -- 1.3%
3,748 Altra Industrial Motion Corp. 192,685
1,795 Astec Industries, Inc. 106,749
1,611 Donaldson Co., Inc. 95,758
1,191 Douglas Dynamics, Inc. 48,593
1,006 ESCO Technologies, Inc. 95,650
5,666 Evoqua Water Technologies
Corp. (a) 154,398
3,132 Federal Signal Corp. 102,385
1,501 Franklin Electric Co., Inc. 104,199
2,489 Graco, Inc. 171,592
2,869 Helios Technologies, Inc. 156,504
1,084 Kadant, Inc. 154,958
1,617 Lindsay Corp. 226,105
1,174 Proto Labs, Inc. (a) 248,653
1,006 RBC Bearings, Inc. (a) 168,334
6,839 Rexnord Corp. 258,925
726 Tennant Co. 49,186
2,848 Toro (The) Co. 268,424
1,256 Watts Water Technologies, Inc.,
Class A 150,808
---------------
2,753,906
---------------
MEDIA -- 0.7%
239 Cable One, Inc. 478,000
1,455 Cardlytics, Inc. (a) 177,903
5,217 New York Times (The) Co.,
Class A 258,711
57,296 Sirius XM Holdings, Inc. 358,673
3,515 TechTarget, Inc. (a) 262,570
---------------
1,535,857
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
METALS & MINING -- 0.5%
25,091 Coeur Mining, Inc. (a) $ 227,074
2,481 Commercial Metals Co. 48,851
1,683 Compass Minerals International,
Inc. 98,052
69,466 Hecla Mining Co. 395,261
6,094 Newmont Corp. 363,202
---------------
1,132,440
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.2%
6,795 Colony Credit Real Estate, Inc. 53,681
3,275 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 193,716
2,844 KKR Real Estate Finance Trust,
Inc. 48,689
13,810 New York Mortgage Trust, Inc. 51,511
5,804 Redwood Trust, Inc. 49,799
---------------
397,396
---------------
MULTILINE RETAIL -- 0.4%
3,561 Big Lots, Inc. 212,521
2,535 Dollar General Corp. 493,336
1,101 Ollie's Bargain Outlet Holdings,
Inc. (a) 104,298
---------------
810,155
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.3%
58,384 Antero Midstream Corp. 472,910
6,344 Apache Corp. 90,592
12,160 Cheniere Energy, Inc. (a) 770,093
2,769 Cimarex Energy Co. 116,796
11,661 Comstock Resources, Inc. (a) 53,058
3,720 Diamondback Energy, Inc. 210,887
3,366 Hess Corp. 181,697
7,218 Magnolia Oil & Gas Corp.,
Class A (a) 61,136
21,085 Occidental Petroleum Corp. 422,965
15,504 Range Resources Corp. (a) 142,792
34,858 Southwestern Energy Co. (a) 131,415
---------------
2,654,341
---------------
PERSONAL PRODUCTS -- 0.3%
8,248 elf Beauty, Inc. (a) 179,477
3,747 Herbalife Nutrition Ltd. (a) 190,947
1,058 Medifast, Inc. 248,281
661 USANA Health Sciences,
Inc. (a) 54,704
---------------
673,409
---------------
PHARMACEUTICALS -- 1.7%
2,534 Amphastar Pharmaceuticals,
Inc. (a) 46,068
2,446 Arvinas, Inc. (a) 184,526
2,864 Bristol-Myers Squibb Co. 175,936
8,768 Catalent, Inc. (a) 1,008,758
9,927 Corcept Therapeutics, Inc. (a) 280,537
1,052 Eli Lilly and Co. 218,785
36,169 Endo International PLC (a) 263,310
9,979 Horizon Therapeutics PLC (a) 723,278
Page 72 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
4,113 Innoviva, Inc. (a) $ 49,397
5,046 NGM Biopharmaceuticals,
Inc. (a) 129,480
852 Pacira BioSciences, Inc. (a) 56,300
3,665 Revance Therapeutics, Inc. (a) 93,238
4,129 Supernus Pharmaceuticals,
Inc. (a) 121,351
2,868 Theravance Biopharma, Inc. (a) 53,460
1,074 Zoetis, Inc. 165,665
---------------
3,570,089
---------------
PROFESSIONAL SERVICES -- 1.1%
3,493 CoreLogic, Inc. 262,988
395 CoStar Group, Inc. (a) 355,386
3,785 Equifax, Inc. 670,361
1,000 Exponent, Inc. 82,580
806 FTI Consulting, Inc. (a) 88,636
1,791 TransUnion 155,889
7,523 Upwork, Inc. (a) 311,828
1,758 Verisk Analytics, Inc. 322,593
---------------
2,250,261
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.7%
4,114 eXp World Holdings, Inc. (a) 438,511
19,794 Realogy Holdings Corp. (a) 281,075
6,559 Redfin Corp. (a) 467,066
6,118 St Joe (The) Co. 272,251
---------------
1,458,903
---------------
ROAD & RAIL -- 1.0%
5,570 Avis Budget Group, Inc. (a) 230,264
5,497 Lyft, Inc., Class A (a) 244,397
1,870 Old Dominion Freight Line, Inc. 362,780
2,490 Saia, Inc. (a) 440,107
14,313 Uber Technologies, Inc. (a) 728,961
---------------
2,006,509
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 7.8%
2,557 ACM Research, Inc., Class A (a) 230,130
4,642 Advanced Energy Industries,
Inc. (a) 476,176
9,949 Advanced Micro Devices,
Inc. (a) 852,032
2,263 Ambarella, Inc. (a) 213,537
1,203 Analog Devices, Inc. 177,238
10,573 Applied Materials, Inc. 1,022,198
3,360 CEVA, Inc. (a) 197,534
3,286 Cirrus Logic, Inc. (a) 307,865
595 CMC Materials, Inc. 87,649
3,400 Cree, Inc. (a) 343,672
3,831 Diodes, Inc. (a) 271,158
2,565 Enphase Energy, Inc. (a) 467,728
4,684 Entegris, Inc. 460,859
6,037 FormFactor, Inc. (a) 246,732
3,524 KLA Corp. 986,967
1,932 Lam Research Corp. 934,991
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
7,859 Lattice Semiconductor Corp. (a) $ 315,224
8,178 MACOM Technology Solutions
Holdings, Inc. (a) 465,001
15,355 Marvell Technology Group Ltd. 790,168
5,440 MaxLinear, Inc. (a) 170,762
3,860 Microchip Technology, Inc. 525,385
2,393 MKS Instruments, Inc. 378,262
2,492 Monolithic Power Systems, Inc. 885,383
1,398 NVIDIA Corp. 726,387
3,215 Onto Innovation, Inc. (a) 173,771
2,359 PDF Solutions, Inc. (a) 45,576
4,399 Power Integrations, Inc. 354,339
5,488 Qorvo, Inc. (a) 937,789
4,792 QUALCOMM, Inc. 748,894
5,949 Rambus, Inc. (a) 113,001
3,746 Semtech Corp. (a) 265,779
1,856 SiTime Corp. (a) 226,525
1,162 Skyworks Solutions, Inc. 196,669
3,736 Synaptics, Inc. (a) 370,686
7,611 Teradyne, Inc. 863,696
1,083 Texas Instruments, Inc. 179,442
784 Universal Display Corp. 180,963
---------------
16,190,168
---------------
SOFTWARE -- 16.2%
9,000 2U, Inc. (a) 368,100
7,534 8x8, Inc. (a) 265,574
9,371 ACI Worldwide, Inc. (a) 359,753
355 Adobe, Inc. (a) 162,863
4,351 Alarm.com Holdings, Inc. (a) 404,295
2,628 Altair Engineering, Inc.,
Class A (a) 146,984
739 Alteryx, Inc., Class A (a) 93,151
3,759 Anaplan, Inc. (a) 250,725
488 ANSYS, Inc. (a) 172,933
849 Appfolio, Inc., Class A (a) 129,736
1,602 Appian Corp. (a) (b) 349,973
2,391 Autodesk, Inc. (a) 663,335
4,427 Avalara, Inc. (a) 664,050
13,561 Avaya Holdings Corp. (a) 301,597
3,298 Bill.com Holdings, Inc. (a) 401,960
3,375 Blackline, Inc. (a) 437,468
966 Bottomline Technologies DE,
Inc. (a) 46,156
4,988 Box, Inc., Class A (a) 86,492
5,350 Cadence Design Systems,
Inc. (a) 697,587
3,474 CDK Global, Inc. 173,353
2,584 Cerence, Inc. (a) 289,175
5,002 Ceridian HCM Holding, Inc. (a) 464,736
1,366 Citrix Systems, Inc. 182,101
19,416 Cloudera, Inc. (a) 296,482
5,924 Cloudflare, Inc., Class A (a) 454,134
2,761 CommVault Systems, Inc. (a) 173,336
2,359 Cornerstone OnDemand, Inc. (a) 96,483
2,154 Coupa Software, Inc. (a) 667,460
4,308 Crowdstrike Holdings, Inc.,
Class A (a) 929,666
See Notes to Financial Statements Page 73
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
3,708 Datadog, Inc., Class A (a) $ 380,997
4,591 Digital Turbine, Inc. (a) 262,651
2,398 DocuSign, Inc. (a) 558,470
4,072 Domo, Inc., Class B (a) 258,124
8,114 Dropbox, Inc., Class A (a) 183,620
8,435 Dynatrace, Inc. (a) 350,137
3,080 Elastic N.V. (a) 468,037
2,188 Envestnet, Inc. (a) 167,885
1,812 Everbridge, Inc. (a) 240,869
1,043 Fair Isaac Corp. (a) 469,465
19,520 FireEye, Inc. (a) 409,920
2,581 Five9, Inc. (a) 429,091
3,589 Fortinet, Inc. (a) 519,508
699 Guidewire Software, Inc. (a) 80,203
2,302 HubSpot, Inc. (a) 856,804
1,403 Intuit, Inc. 506,806
4,608 J2 Global, Inc. (a) 472,965
5,787 LivePerson, Inc. (a) 366,664
856 Manhattan Associates, Inc. (a) 96,925
5,420 Medallia, Inc. (a) 224,930
4,752 Mimecast Ltd. (a) 204,621
1,428 Model N, Inc. (a) 48,523
1,377 New Relic, Inc. (a) 103,523
8,168 Nuance Communications,
Inc. (a) 371,971
8,475 Nutanix, Inc., Class A (a) 258,657
5,642 Oracle Corp. 340,946
4,982 PagerDuty, Inc. (a) 242,773
2,567 Palo Alto Networks, Inc. (a) 900,375
2,018 Paycom Software, Inc. (a) 766,315
1,749 Paylocity Holding Corp. (a) 327,868
2,027 Pegasystems, Inc. 258,341
2,299 Progress Software Corp. 92,374
1,980 Proofpoint, Inc. (a) 255,578
2,046 PROS Holdings, Inc. (a) 86,218
3,763 PTC, Inc. (a) 500,140
2,846 Q2 Holdings, Inc. (a) 364,260
1,477 Qualys, Inc. (a) 204,520
4,993 Rapid7, Inc. (a) 433,492
2,408 RingCentral, Inc., Class A (a) 897,991
8,455 Sailpoint Technologies
Holdings, Inc. (a) 467,646
799 salesforce.com, Inc. (a) 180,222
1,326 ServiceNow, Inc. (a) 720,230
5,197 Smartsheet, Inc., Class A (a) 362,439
4,575 Sprout Social, Inc., Class A (a) 301,950
3,316 SPS Commerce, Inc. (a) 327,919
7,327 SS&C Technologies Holdings,
Inc. 460,722
7,047 SVMK, Inc. (a) 177,655
2,816 Synopsys, Inc. (a) 719,347
8,613 Tenable Holdings, Inc. (a) 426,257
1,139 Trade Desk (The), Inc.,
Class A (a) 872,463
1,221 Tyler Technologies, Inc. (a) 516,227
3,331 Upland Software, Inc. (a) 158,855
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SOFTWARE (CONTINUED)
2,201 Varonis Systems, Inc. (a) $ 389,071
5,360 Verint Systems, Inc. (a) 395,729
2,225 Workday, Inc., Class A (a) 506,254
2,834 Workiva, Inc. (a) 276,230
7,315 Xperi Holding Corp. 140,887
3,242 Yext, Inc. (a) 54,693
6,375 Zendesk, Inc. (a) 919,530
1,580 Zoom Video Communications,
Inc., Class A (a) 587,871
4,569 Zscaler, Inc. (a) 912,429
7,457 Zuora, Inc., Class A (a) 109,991
---------------
33,676,832
---------------
SPECIALTY RETAIL -- 2.9%
16,798 At Home Group, Inc. (a) 409,367
150 AutoZone, Inc. (a) 167,755
3,988 Camping World Holdings, Inc.,
Class A 136,230
3,047 Carvana Co. (a) 795,846
2,058 Five Below, Inc. (a) 361,652
4,848 Floor & Decor Holdings, Inc.,
Class A (a) 446,355
1,374 Home Depot (The), Inc. 372,107
4,548 Lowe's Cos., Inc. 758,834
19,961 Michaels (The) Cos., Inc. (a) 309,396
3,376 National Vision Holdings,
Inc. (a) 156,545
393 O'Reilly Automotive, Inc. (a) 167,210
5,426 Rent-A-Center, Inc. 234,946
805 RH (a) 382,665
3,173 Sleep Number Corp. (a) 341,859
3,792 Tractor Supply Co. 537,478
3,536 Williams-Sonoma, Inc. 455,861
---------------
6,034,106
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.7%
5,501 Apple, Inc. 725,912
5,436 NetApp, Inc. 361,168
15,927 Pure Storage, Inc., Class A (a) 368,391
---------------
1,455,471
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.7%
4,144 Crocs, Inc. (a) 290,163
1,570 Deckers Outdoor Corp. (a) 458,408
6,175 Hanesbrands, Inc. 94,416
3,768 NIKE, Inc., Class B 503,367
---------------
1,346,354
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.5%
6,676 Columbia Financial, Inc. (a) 102,944
6,371 Flagstar Bancorp, Inc. 272,997
8,369 Mr. Cooper Group, Inc. (a) 227,888
4,586 NMI Holdings, Inc., Class A (a) 97,269
6,860 PennyMac Financial Services,
Inc. 397,880
---------------
1,098,978
---------------
Page 74 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TOBACCO -- 0.1%
2,146 Philip Morris International,
Inc. $ 170,929
8,917 Vector Group Ltd. 104,685
---------------
275,614
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.5%
7,474 Fastenal Co. 340,740
2,838 SiteOne Landscape Supply,
Inc. (a) 447,496
1,192 Watsco, Inc. 284,280
---------------
1,072,516
---------------
WATER UTILITIES -- 0.4%
1,158 American Water Works Co., Inc. 184,145
1,923 California Water Service Group 105,073
7,718 Essential Utilities, Inc. 357,343
703 Middlesex Water Co. 55,959
1,498 SJW Group 99,123
---------------
801,643
---------------
TOTAL COMMON STOCKS
-- 100.0% 207,658,965
(Cost $153,859,027) ---------------
MONEY MARKET FUNDS -- 1.2%
2,332,567 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 2,332,567
186,231 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 186,231
---------------
TOTAL MONEY MARKET FUNDS
-- 1.2% 2,518,798
(Cost $2,518,798) ---------------
TOTAL INVESTMENTS -- 101.2% 210,177,763
(Cost $156,377,825) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.2)% (2,461,936)
---------------
NET ASSETS -- 100.0% $ 207,715,827
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $2,259,979 and the
total value of the collateral held by the Fund is $2,332,567.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $55,323,803 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $1,523,865. The net unrealized
appreciation was $53,799,938.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 207,658,965 $ -- $ --
Money Market
Funds 2,518,798 -- --
---------------------------------------------
Total Investments $ 210,177,763 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 2,259,979
Non-cash Collateral(2) (2,259,979)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 75
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.9%
2,053 Curtiss-Wright Corp. $ 213,081
3,289 Hexcel Corp. 143,598
2,792 Howmet Aerospace, Inc. 68,627
1,868 Huntington Ingalls Industries,
Inc. 293,892
4,378 Parsons Corp. (a) 156,120
3,298 Textron, Inc. 149,267
---------------
1,024,585
---------------
AUTO COMPONENTS -- 1.5%
6,187 BorgWarner, Inc. 259,792
1,835 Dorman Products, Inc. (a) 166,673
4,700 Gentex Corp. 155,335
1,229 LCI Industries 159,008
503 Lear Corp. 75,832
---------------
816,640
---------------
BANKS -- 10.2%
7,647 Bank OZK 284,163
4,655 BOK Financial Corp. 343,818
4,282 Comerica, Inc. 244,930
1,211 Commerce Bancshares, Inc. 80,955
2,557 Community Bank System, Inc. 165,821
2,739 Cullen/Frost Bankers, Inc. 252,645
4,714 East West Bancorp, Inc. 282,557
417 First Citizens BancShares, Inc.,
Class A 248,528
24,985 First Horizon Corp. 347,042
12,274 Home BancShares, Inc. 260,209
18,931 Huntington Bancshares, Inc. 250,362
24,657 People's United Financial, Inc. 336,815
3,714 Pinnacle Financial Partners,
Inc. 254,520
5,662 Popular, Inc. 321,319
4,595 Prosperity Bancshares, Inc. 309,887
1,177 Signature Bank 194,429
1,104 South State Corp. 76,993
7,385 Synovus Financial Corp. 274,722
7,380 United Bankshares, Inc. 233,651
32,698 Valley National Bancorp 333,847
2,661 Western Alliance Bancorp 181,427
5,502 Zions Bancorp N.A. 242,858
---------------
5,521,498
---------------
BEVERAGES -- 0.8%
8,819 Molson Coors Beverage Co.,
Class B 442,361
---------------
BIOTECHNOLOGY -- 0.6%
2,100 United Therapeutics Corp. (a) 344,022
---------------
BUILDING PRODUCTS -- 1.0%
1,452 A.O. Smith Corp. 78,844
3,905 Builders FirstSource, Inc. (a) 149,366
5,738 UFP Industries, Inc. 309,508
---------------
537,718
---------------
CAPITAL MARKETS -- 3.8%
1,566 Affiliated Managers Group, Inc. 172,558
2,570 Cboe Global Markets, Inc. 235,746
13,795 Federated Hermes, Inc. 372,465
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
22,863 Invesco Ltd. $ 470,749
1,885 Lazard Ltd., Class A 77,662
1,668 Raymond James Financial, Inc. 166,683
4,739 Stifel Financial Corp. 245,575
12,665 Virtu Financial, Inc., Class A 351,707
---------------
2,093,145
---------------
CHEMICALS -- 1.6%
6,177 CF Industries Holdings, Inc. 255,604
8,992 Element Solutions, Inc. 153,134
3,172 Huntsman Corp. 83,804
399 NewMarket Corp. 156,484
2,932 Westlake Chemical Corp. 224,181
---------------
873,207
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.9%
2,096 Clean Harbors, Inc. (a) 162,356
689 Tetra Tech, Inc. 83,762
1,131 UniFirst Corp. 240,677
---------------
486,795
---------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
14,162 Juniper Networks, Inc. 345,836
---------------
CONSTRUCTION & ENGINEERING
-- 1.4%
871 EMCOR Group, Inc. 76,909
4,677 MasTec, Inc. (a) 360,831
2,214 Quanta Services, Inc. 156,021
909 Valmont Industries, Inc. 175,364
---------------
769,125
---------------
CONSTRUCTION MATERIALS -- 0.3%
1,571 Eagle Materials, Inc. 172,857
---------------
CONSUMER FINANCE -- 1.8%
8,940 Ally Financial, Inc. 338,289
1,430 Green Dot Corp., Class A (a) 71,829
6,621 OneMain Holdings, Inc. 308,274
10,859 Santander Consumer USA
Holdings, Inc. 239,984
---------------
958,376
---------------
CONTAINERS & PACKAGING -- 1.8%
580 AptarGroup, Inc. 77,122
9,411 Graphic Packaging Holding Co. 147,376
1,158 Packaging Corp. of America 155,705
6,449 Silgan Holdings, Inc. 234,937
4,033 Sonoco Products Co. 233,551
3,662 WestRock Co. 151,717
---------------
1,000,408
---------------
DISTRIBUTORS -- 0.6%
9,044 LKQ Corp. (a) 317,354
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.2%
2,570 Grand Canyon Education,
Inc. (a) 218,296
15,073 H&R Block, Inc. 259,708
Page 76 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
3,245 Service Corp. International $ 163,645
---------------
641,649
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 2.0%
9,001 Cannae Holdings, Inc. (a) 341,948
12,457 Equitable Holdings, Inc. 308,684
16,199 Jefferies Financial Group, Inc. 378,247
1,354 Voya Financial, Inc. 75,093
---------------
1,103,972
---------------
ELECTRIC UTILITIES -- 3.8%
6,431 ALLETE, Inc. 404,124
9,007 Hawaiian Electric Industries,
Inc. 297,771
2,490 IDACORP, Inc. 219,867
10,614 NRG Energy, Inc. 439,526
4,984 Pinnacle West Capital Corp. 375,046
7,452 Portland General Electric Co. 315,145
---------------
2,051,479
---------------
ELECTRICAL EQUIPMENT -- 1.2%
2,634 Acuity Brands, Inc. 316,712
960 EnerSys 78,941
1,947 Regal Beloit Corp. 244,309
---------------
639,962
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.2%
3,275 Arrow Electronics, Inc. (a) 319,738
4,538 Avnet, Inc. 160,237
1,820 FLIR Systems, Inc. 94,731
5,620 Jabil, Inc. 232,499
4,893 SYNNEX Corp. 399,367
---------------
1,206,572
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.5%
1,863 American Campus
Communities, Inc. 76,681
14,444 Brixmor Property Group, Inc. 244,537
14,608 Equity Commonwealth 416,474
9,955 Hudson Pacific Properties, Inc. 233,345
2,549 JBG SMITH Properties 76,113
26,549 Kimco Realty Corp. 438,324
3,896 National Retail Properties, Inc. 151,944
1,593 PotlatchDeltic Corp. 76,082
2,711 Rayonier, Inc. 83,363
1,747 Regency Centers Corp. 82,424
18,355 Sabra Health Care REIT, Inc. 308,180
6,619 SL Green Realty Corp. 446,650
1,983 Spirit Realty Capital, Inc. 76,465
8,435 VEREIT, Inc. 297,165
---------------
3,007,747
---------------
FOOD & STAPLES RETAILING -- 0.5%
1,340 Casey's General Stores, Inc. 251,223
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
FOOD PRODUCTS -- 2.6%
3,643 Bunge Ltd. $ 238,398
3,520 Flowers Foods, Inc. 80,819
5,066 Ingredion, Inc. 382,331
16,258 Pilgrim's Pride Corp. (a) 315,080
130 Seaboard Corp. 409,007
---------------
1,425,635
---------------
GAS UTILITIES -- 3.0%
8,968 New Jersey Resources Corp. 313,970
4,151 ONE Gas, Inc. 303,563
6,561 Southwest Gas Holdings, Inc. 393,397
3,731 Spire, Inc. 228,300
11,399 UGI Corp. 410,250
---------------
1,649,480
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.1%
370 ICU Medical, Inc. (a) 75,658
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 1.4%
3,173 Acadia Healthcare Co., Inc. (a) 160,808
963 Encompass Health Corp. 77,425
2,382 Henry Schein, Inc. (a) 156,855
2,900 Universal Health Services, Inc.,
Class B 361,572
---------------
756,660
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.8%
1,207 Cracker Barrel Old Country
Store, Inc. 163,319
10,116 MGM Resorts International 288,913
---------------
452,232
---------------
HOUSEHOLD DURABLES -- 4.9%
11,887 KB Home 494,975
3,599 Leggett & Platt, Inc. 147,559
8,198 M.D.C. Holdings, Inc. 426,460
4,810 Meritage Homes Corp. (a) 386,051
2,826 Mohawk Industries, Inc. (a) 405,814
12,427 Taylor Morrison Home Corp. (a) 322,853
9,164 Toll Brothers, Inc. 468,280
---------------
2,651,992
---------------
HOUSEHOLD PRODUCTS -- 0.3%
5,307 Reynolds Consumer Products,
Inc. 159,210
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.7%
20,267 Vistra Corp. 404,732
---------------
INDUSTRIAL CONGLOMERATES -- 0.3%
1,021 Carlisle Cos., Inc. 147,974
---------------
INSURANCE -- 9.2%
130 Alleghany Corp. 73,690
2,729 American Financial Group, Inc. 256,908
1,170 Assurant, Inc. 158,500
7,388 Athene Holding Ltd., Class A (a) 302,095
1,583 Axis Capital Holdings Ltd. 72,660
See Notes to Financial Statements Page 77
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
2,199 Brighthouse Financial, Inc. (a) $ 77,757
1,946 Enstar Group Ltd. (a) 389,609
1,360 Everest Re Group Ltd. 287,069
8,156 Fidelity National Financial,
Inc. 296,063
7,717 First American Financial Corp. 403,522
3,358 Globe Life, Inc. 303,530
2,044 Hanover Insurance Group (The),
Inc. 229,889
5,187 Kemper Corp. 364,905
4,750 Lincoln National Corp. 216,077
12,129 Old Republic International Corp. 219,535
1,192 Primerica, Inc. 166,058
2,064 Reinsurance Group of America,
Inc. 216,823
2,378 Selective Insurance Group, Inc. 154,522
17,371 Unum Group 403,528
397 White Mountains Insurance
Group Ltd. 404,940
---------------
4,997,680
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.8%
36,323 Qurate Retail, Inc., Series A 457,670
---------------
IT SERVICES -- 1.2%
1,281 CACI International, Inc.,
Class A (a) 309,003
3,267 MAXIMUS, Inc. 245,221
842 Science Applications
International Corp. 80,857
---------------
635,081
---------------
LEISURE PRODUCTS -- 0.6%
1,968 Acushnet Holdings Corp. 80,334
3,138 Brunswick Corp. 271,311
---------------
351,645
---------------
MACHINERY -- 3.5%
774 AGCO Corp. 85,837
5,545 Allison Transmission Holdings,
Inc. 225,681
2,082 Colfax Corp. (a) 77,284
2,162 Flowserve Corp. 76,881
1,032 ITT, Inc. 77,101
698 John Bean Technologies Corp. 80,884
686 Lincoln Electric Holdings, Inc. 78,547
1,235 Middleby (The) Corp. (a) 167,614
2,780 Oshkosh Corp. 254,620
1,862 Snap-on, Inc. 335,141
4,119 Timken (The) Co. 311,644
1,313 Woodward, Inc. 146,990
---------------
1,918,224
---------------
MEDIA -- 3.2%
13,241 Discovery, Inc., Class A (a) 548,442
12,324 DISH Network Corp.,
Class A (a) 357,643
6,778 Interpublic Group of (The) Cos.,
Inc. 163,147
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MEDIA (CONTINUED)
13,303 News Corp., Class A $ 258,078
3,651 Nexstar Media Group, Inc.,
Class A 415,009
---------------
1,742,319
---------------
METALS & MINING -- 1.3%
2,664 Reliance Steel & Aluminum Co. 309,237
10,807 Steel Dynamics, Inc. 370,356
---------------
679,593
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.7%
5,790 Blackstone Mortgage Trust, Inc.,
Class A 154,361
12,389 Starwood Property Trust, Inc. 232,418
---------------
386,779
---------------
MULTILINE RETAIL -- 0.5%
5,877 Kohl's Corp. 258,941
---------------
MULTI-UTILITIES -- 2.0%
5,188 Black Hills Corp. 306,715
15,128 MDU Resources Group, Inc. 397,715
3,475 NiSource, Inc. 76,971
5,466 NorthWestern Corp. 297,733
---------------
1,079,134
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.0%
6,271 EQT Corp. 102,280
3,084 HollyFrontier Corp. 87,770
47,795 Marathon Oil Corp. 346,036
---------------
536,086
---------------
PAPER & FOREST PRODUCTS -- 0.4%
6,431 Louisiana-Pacific Corp. 244,442
---------------
PERSONAL PRODUCTS -- 0.7%
56,766 Coty, Inc., Class A 361,599
---------------
PHARMACEUTICALS -- 0.6%
965 Jazz Pharmaceuticals PLC (a) 150,057
3,565 Perrigo Co. PLC 152,226
---------------
302,283
---------------
PROFESSIONAL SERVICES -- 1.2%
1,910 ASGN, Inc. (a) 158,358
1,956 Insperity, Inc. 153,526
2,551 Robert Half International, Inc. 172,193
1,978 TriNet Group, Inc. (a) 146,590
---------------
630,667
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.7%
1,011 Howard Hughes (The) Corp. (a) 87,118
2,151 Jones Lang LaSalle, Inc. (a) 314,498
---------------
401,616
---------------
ROAD & RAIL -- 2.2%
700 AMERCO 323,708
9,531 Knight-Swift Transportation
Holdings, Inc. 381,240
593 Landstar System, Inc. 82,664
Page 78 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL (CONTINUED)
10,162 Werner Enterprises, Inc. $ 398,757
---------------
1,186,369
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.4%
26,427 Amkor Technology, Inc. 410,147
1,174 Brooks Automation, Inc. 88,942
1,613 First Solar, Inc. (a) 159,929
2,434 ON Semiconductor Corp. (a) 83,949
---------------
742,967
---------------
SPECIALTY RETAIL -- 3.6%
4,567 AutoNation, Inc. (a) 325,536
7,088 Dick's Sporting Goods, Inc. 474,967
9,852 Foot Locker, Inc. 431,714
272 Lithia Motors, Inc., Class A 86,681
2,435 Murphy USA, Inc. 303,328
5,368 Penske Automotive Group, Inc. 321,221
---------------
1,943,447
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.7%
17,185 Xerox Holdings Corp. 361,401
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.0%
846 Carter's, Inc. 74,482
910 Columbia Sportswear Co. 79,588
2,218 Skechers U.S.A., Inc.,
Class A (a) 76,477
10,258 Tapestry, Inc. 324,358
---------------
554,905
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.7%
9,222 Essent Group Ltd. 385,756
31,751 MGIC Investment Corp. 372,122
30,217 New York Community Bancorp,
Inc. 316,070
19,679 Radian Group, Inc. 377,837
---------------
1,451,785
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.3%
8,971 Air Lease Corp. 355,521
2,831 MSC Industrial Direct Co., Inc.,
Class A 219,600
8,383 Univar Solutions, Inc. (a) 155,840
---------------
730,961
---------------
TOTAL INVESTMENTS -- 99.8% 54,285,698
(Cost $49,762,943) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.2% 106,086
---------------
NET ASSETS -- 100.0% $ 54,391,784
===============
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $5,233,033 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $710,278. The net unrealized
appreciation was $4,522,755.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 54,285,698 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 79
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.1%
22,848 Axon Enterprise, Inc. (a) $ 3,750,728
11,611 BWX Technologies, Inc. 626,065
15,894 Mercury Systems, Inc. (a) 1,129,427
---------------
5,506,220
---------------
AIRLINES -- 0.2%
44,379 American Airlines Group, Inc. 761,987
---------------
AUTO COMPONENTS -- 0.6%
26,483 Fox Factory Holding Corp. (a) 3,168,426
---------------
AUTOMOBILES -- 0.2%
7,526 Thor Industries, Inc. 910,721
---------------
BANKS -- 0.7%
38,694 First Financial Bankshares, Inc. 1,465,729
45,634 Glacier Bancorp, Inc. 2,128,826
---------------
3,594,555
---------------
BEVERAGES -- 1.7%
3,519 Boston Beer (The) Co., Inc.,
Class A (a) 3,226,536
32,974 National Beverage Corp. (b) 4,996,880
---------------
8,223,416
---------------
BIOTECHNOLOGY -- 10.0%
26,183 ACADIA Pharmaceuticals,
Inc. (a) 1,258,093
21,881 Acceleron Pharma, Inc. (a) 2,527,912
16,152 Agios Pharmaceuticals, Inc. (a) 758,659
70,161 Alkermes PLC (a) 1,472,679
151,550 Amicus Therapeutics, Inc. (a) 2,865,811
18,243 Arrowhead Pharmaceuticals,
Inc. (a) 1,407,812
24,961 Blueprint Medicines Corp. (a) 2,414,977
22,605 ChemoCentryx, Inc. (a) 1,288,711
18,284 CRISPR Therapeutics AG (a) 3,029,659
23,433 Emergent BioSolutions, Inc. (a) 2,503,816
38,483 Fate Therapeutics, Inc. (a) 3,487,714
65,546 Halozyme Therapeutics, Inc. (a) 3,119,334
42,047 Insmed, Inc. (a) 1,580,547
16,739 Invitae Corp. (a) 828,915
12,378 Ionis Pharmaceuticals, Inc. (a) 743,547
15,933 Mirati Therapeutics, Inc. (a) 3,271,523
28,129 Natera, Inc. (a) 2,999,677
18,829 Novavax, Inc. (a) 4,160,079
708,723 OPKO Health, Inc. (a) (b) 3,834,191
34,403 PTC Therapeutics, Inc. (a) 1,989,182
25,280 Ultragenyx Pharmaceutical,
Inc. (a) 3,503,555
---------------
49,046,393
---------------
BUILDING PRODUCTS -- 1.9%
21,008 AAON, Inc. 1,554,592
41,869 Advanced Drainage Systems,
Inc. 3,453,355
6,014 Allegion PLC 643,558
14,978 Simpson Manufacturing Co.,
Inc. 1,377,976
25,078 Trex Co., Inc. (a) 2,301,408
---------------
9,330,889
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CAPITAL MARKETS -- 2.1%
22,261 Carlyle Group (The), Inc. $ 718,362
18,839 Cohen & Steers, Inc. 1,233,955
20,821 Houlihan Lokey, Inc. 1,350,242
26,862 LPL Financial Holdings, Inc. 2,910,229
15,112 Morningstar, Inc. 3,474,098
12,179 SEI Investments Co. 643,660
---------------
10,330,546
---------------
CHEMICALS -- 3.2%
23,722 Albemarle Corp. 3,858,621
12,148 Balchem Corp. 1,300,200
13,810 Quaker Chemical Corp. 3,620,015
17,572 Scotts Miracle-Gro (The) Co. 3,890,617
90,735 Valvoline, Inc. 2,154,049
12,767 W.R. Grace & Co. 740,741
---------------
15,564,243
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.1%
22,595 Casella Waste Systems, Inc.,
Class A (a) 1,293,338
7,976 Cimpress PLC (a) 728,927
32,310 IAA, Inc. (a) 1,846,193
9,370 MSA Safety, Inc. 1,462,844
---------------
5,331,302
---------------
COMMUNICATIONS EQUIPMENT
-- 1.6%
26,485 Ciena Corp. (a) 1,414,034
15,910 F5 Networks, Inc. (a) 3,117,565
22,148 Lumentum Holdings, Inc. (a) 2,077,482
93,471 Viavi Solutions, Inc. (a) 1,444,127
---------------
8,053,208
---------------
CONSTRUCTION & ENGINEERING
-- 0.6%
120,823 WillScot Mobile Mini Holdings
Corp. (a) 2,864,713
---------------
CONSUMER FINANCE -- 0.2%
2,022 Credit Acceptance Corp. (a) (b) 780,027
---------------
CONTAINERS & PACKAGING -- 1.8%
13,536 Avery Dennison Corp. 2,042,176
49,821 Berry Global Group, Inc. (a) 2,459,663
27,939 Crown Holdings, Inc. (a) 2,518,701
45,851 Sealed Air Corp. 1,938,122
---------------
8,958,662
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
41,814 frontdoor, Inc. (a) 2,301,443
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.0%
9,108 Bandwidth, Inc., Class A (a) 1,622,499
71,186 Iridium Communications,
Inc. (a) 3,507,334
---------------
5,129,833
---------------
ELECTRICAL EQUIPMENT -- 1.2%
12,308 Generac Holdings, Inc. (a) 3,032,937
8,928 Hubbell, Inc. 1,389,197
Page 80 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
20,175 Sunrun, Inc. (a) $ 1,397,522
---------------
5,819,656
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.3%
21,616 Dolby Laboratories, Inc.,
Class A 1,902,856
46,068 II-VI, Inc. (a) 3,872,937
15,929 National Instruments Corp. 659,461
---------------
6,435,254
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.3%
18,748 Americold Realty Trust 654,493
132,549 Apartment Investment and
Management Co., Class A 608,400
20,891 Cousins Properties, Inc. 658,902
20,824 CubeSmart 725,508
23,741 Iron Mountain, Inc. 799,359
8,409 Lamar Advertising Co., Class A 679,279
8,794 Life Storage, Inc. 717,374
14,251 Rexford Industrial Realty, Inc. 697,444
20,597 STORE Capital Corp. 638,919
---------------
6,179,678
---------------
FOOD & STAPLES RETAILING -- 1.0%
56,320 BJ's Wholesale Club Holdings,
Inc. (a) 2,369,382
35,663 Grocery Outlet Holding
Corp. (a) 1,522,454
34,820 Sprouts Farmers Market, Inc. (a) 788,673
---------------
4,680,509
---------------
FOOD PRODUCTS -- 2.4%
5,599 Beyond Meat, Inc. (a) 997,070
60,666 Darling Ingredients, Inc. (a) 3,761,899
19,716 Freshpet, Inc. (a) 2,746,636
52,294 Hain Celestial Group (The),
Inc. (a) 2,174,646
8,889 Lamb Weston Holdings, Inc. 664,008
7,619 Lancaster Colony Corp. 1,330,125
---------------
11,674,384
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.8%
21,461 Globus Medical, Inc.,
Class A (a) 1,323,929
11,787 Haemonetics Corp. (a) 1,347,136
7,145 Hill-Rom Holdings, Inc. 686,206
8,850 iRhythm Technologies, Inc. (a) 1,490,517
8,086 Nevro Corp. (a) 1,308,234
20,221 Novocure Ltd. (a) 3,254,772
35,336 STAAR Surgical Co. (a) 3,624,767
7,315 Tandem Diabetes Care, Inc. (a) 677,735
---------------
13,713,296
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.0%
9,543 Amedisys, Inc. (a) 2,741,799
2,628 Chemed Corp. 1,361,041
16,291 Guardant Health, Inc. (a) 2,533,251
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
30,119 HealthEquity, Inc. (a) $ 2,516,443
6,563 LHC Group, Inc. (a) 1,307,481
87,638 Tenet Healthcare Corp. (a) 4,142,648
---------------
14,602,663
---------------
HEALTH CARE TECHNOLOGY -- 1.5%
18,604 Inspire Medical Systems,
Inc. (a) 3,748,892
29,154 Omnicell, Inc. (a) 3,434,341
---------------
7,183,233
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.9%
6,558 Choice Hotels International,
Inc. 659,997
7,186 Churchill Downs, Inc. 1,347,016
16,497 Papa John's International, Inc. 1,687,313
32,412 Penn National Gaming, Inc. (a) 3,361,773
9,016 Planet Fitness, Inc.,
Class A (a) 649,152
31,929 Wendy's (The) Co. 651,351
5,281 Wingstop, Inc. 792,414
---------------
9,149,016
---------------
HOUSEHOLD DURABLES -- 2.2%
9,450 Helen of Troy Ltd. (a) 2,308,162
19,836 LGI Homes, Inc. (a) 2,116,700
129,604 Tempur Sealy International,
Inc. (a) 3,421,546
15,209 TopBuild Corp. (a) 3,041,039
---------------
10,887,447
---------------
HOUSEHOLD PRODUCTS -- 0.6%
16,592 Energizer Holdings, Inc. 727,394
7,903 WD-40 Co. 2,405,752
---------------
3,133,146
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.4%
65,757 Clearway Energy, Inc., Class C 2,037,152
---------------
INSURANCE -- 1.4%
8,548 Erie Indemnity Co., Class A 2,078,019
10,492 Kinsale Capital Group, Inc. 1,967,879
4,220 RenaissanceRe Holdings Ltd. 634,857
20,159 RLI Corp. 1,950,988
---------------
6,631,743
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.3%
44,112 Cargurus, Inc. (a) 1,290,276
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 2.3%
38,928 Chewy, Inc., Class A (a) 3,963,649
72,949 Overstock.com, Inc. (a) 5,660,843
7,136 Stamps.com, Inc. (a) 1,629,220
---------------
11,253,712
---------------
IT SERVICES -- 1.0%
16,020 Fastly, Inc., Class A (a) 1,751,787
33,842 Genpact Ltd. 1,295,472
58,129 Perspecta, Inc. 1,682,834
---------------
4,730,093
---------------
See Notes to Financial Statements Page 81
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LEISURE PRODUCTS -- 1.4%
200,535 Mattel, Inc. (a) $ 3,633,694
51,108 YETI Holdings, Inc. (a) 3,363,929
---------------
6,997,623
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 4.6%
14,828 10X Genomics, Inc., Class A (a) 2,537,812
35,509 Adaptive Biotechnologies
Corp. (a) 1,969,684
38,786 Bruker Corp. 2,245,322
11,205 Charles River Laboratories
International, Inc. (a) 2,902,655
20,112 Medpace Holdings, Inc. (a) 2,670,673
51,996 NeoGenomics, Inc. (a) 2,756,828
16,737 PRA Health Sciences, Inc. (a) 2,062,668
14,607 Repligen Corp. (a) 2,921,400
30,818 Syneos Health, Inc. (a) 2,291,318
---------------
22,358,360
---------------
MACHINERY -- 1.9%
12,525 Donaldson Co., Inc. 744,486
19,346 Graco, Inc. 1,333,713
9,124 Proto Labs, Inc. (a) 1,932,463
7,817 RBC Bearings, Inc. (a) 1,308,018
53,167 Rexnord Corp. 2,012,903
22,139 Toro (The) Co. 2,086,601
---------------
9,418,184
---------------
MEDIA -- 0.4%
40,557 New York Times (The) Co.,
Class A 2,011,222
---------------
METALS & MINING -- 0.6%
540,018 Hecla Mining Co. 3,072,702
---------------
MULTILINE RETAIL -- 0.2%
8,558 Ollie's Bargain Outlet Holdings,
Inc. (a) 810,699
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.2%
453,867 Antero Midstream Corp. 3,676,323
49,322 Apache Corp. 704,318
28,920 Diamondback Energy, Inc. 1,639,475
---------------
6,020,116
---------------
PERSONAL PRODUCTS -- 0.3%
29,130 Herbalife Nutrition Ltd. (a) 1,484,465
---------------
PROFESSIONAL SERVICES -- 0.7%
27,155 CoreLogic, Inc. 2,044,500
7,774 Exponent, Inc. 641,977
6,266 FTI Consulting, Inc. (a) 689,072
---------------
3,375,549
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.7%
50,988 Redfin Corp. (a) 3,630,855
---------------
ROAD & RAIL -- 1.1%
42,736 Lyft, Inc., Class A (a) 1,900,043
19,354 Saia, Inc. (a) 3,420,819
---------------
5,320,862
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 7.6%
36,088 Advanced Energy Industries,
Inc. (a) $ 3,701,907
25,542 Cirrus Logic, Inc. (a) 2,393,030
4,626 CMC Materials, Inc. 681,456
26,436 Cree, Inc. (a) 2,672,151
29,782 Diodes, Inc. (a) 2,107,970
19,941 Enphase Energy, Inc. (a) 3,636,241
36,414 Entegris, Inc. 3,582,773
61,096 Lattice Semiconductor Corp. (a) 2,450,561
63,579 MACOM Technology Solutions
Holdings, Inc. (a) 3,615,102
18,607 MKS Instruments, Inc. 2,941,208
34,196 Power Integrations, Inc. 2,754,488
29,124 Semtech Corp. (a) 2,066,348
29,041 Synaptics, Inc. (a) 2,881,448
6,091 Universal Display Corp. 1,405,925
---------------
36,890,608
---------------
SOFTWARE -- 19.6%
69,969 2U, Inc. (a) 2,861,732
72,846 ACI Worldwide, Inc. (a) 2,796,558
33,827 Alarm.com Holdings, Inc. (a) 3,143,205
5,747 Alteryx, Inc., Class A (a) 724,409
29,222 Anaplan, Inc. (a) 1,949,107
25,636 Bill.com Holdings, Inc. (a) 3,124,516
26,235 Blackline, Inc. (a) 3,400,581
38,773 Box, Inc., Class A (a) 672,324
27,007 CDK Global, Inc. 1,347,649
150,940 Cloudera, Inc. (a) 2,304,854
46,050 Cloudflare, Inc., Class A (a) 3,530,193
63,079 Dropbox, Inc., Class A (a) 1,427,478
23,946 Elastic N.V. (a) 3,638,834
17,009 Envestnet, Inc. (a) 1,305,101
14,085 Everbridge, Inc. (a) 1,872,319
151,749 FireEye, Inc. (a) 3,186,729
20,064 Five9, Inc. (a) 3,335,640
5,437 Guidewire Software, Inc. (a) 623,841
35,821 J2 Global, Inc. (a) 3,676,668
44,984 LivePerson, Inc. (a) 2,850,186
6,653 Manhattan Associates, Inc. (a) 753,319
42,136 Medallia, Inc. (a) 1,748,644
36,940 Mimecast Ltd. (a) 1,590,636
10,701 New Relic, Inc. (a) 804,501
63,494 Nuance Communications,
Inc. (a) 2,891,517
65,878 Nutanix, Inc., Class A (a) 2,010,597
13,595 Paylocity Holding Corp. (a) 2,548,519
15,755 Pegasystems, Inc. 2,007,975
15,392 Proofpoint, Inc. (a) 1,986,799
29,256 PTC, Inc. (a) 3,888,415
22,126 Q2 Holdings, Inc. (a) 2,831,907
11,486 Qualys, Inc. (a) 1,590,466
38,813 Rapid7, Inc. (a) 3,369,745
65,725 Sailpoint Technologies
Holdings, Inc. (a) 3,635,250
40,403 Smartsheet, Inc., Class A (a) 2,817,705
25,780 SPS Commerce, Inc. (a) 2,549,384
54,782 SVMK, Inc. (a) 1,381,054
66,960 Tenable Holdings, Inc. (a) 3,313,850
Page 82 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
17,111 Varonis Systems, Inc. (a) $ 3,024,712
41,669 Verint Systems, Inc. (a) 3,076,422
---------------
95,593,341
---------------
SPECIALTY RETAIL -- 2.6%
15,998 Five Below, Inc. (a) 2,811,328
37,688 Floor & Decor Holdings, Inc.,
Class A (a) 3,469,934
6,255 RH (a) 2,973,377
27,489 Williams-Sonoma, Inc. 3,543,882
---------------
12,798,521
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.2%
42,260 NetApp, Inc. 2,807,755
123,816 Pure Storage, Inc., Class A (a) 2,863,864
---------------
5,671,619
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.9%
12,203 Deckers Outdoor Corp. (a) 3,563,032
48,000 Hanesbrands, Inc. 733,920
---------------
4,296,952
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.6%
53,325 PennyMac Financial Services,
Inc. 3,092,850
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.2%
22,059 SiteOne Landscape Supply,
Inc. (a) 3,478,263
9,267 Watsco, Inc. 2,210,087
---------------
5,688,350
---------------
TOTAL COMMON STOCKS
-- 99.9% 487,790,720
(Cost $384,258,841) ---------------
MONEY MARKET FUNDS -- 1.8%
8,680,412 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 8,680,412
(Cost $8,680,412) ---------------
TOTAL INVESTMENTS -- 101.7% 496,471,132
(Cost $392,939,253) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.7)% (8,335,115)
---------------
NET ASSETS -- 100.0% $ 488,136,017
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $8,378,358 and the
total value of the collateral held by the Fund is $8,680,412.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $108,128,443 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $4,596,564. The net unrealized
appreciation was $103,531,879.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 487,790,720 $ -- $ --
Money Market
Funds 8,680,412 -- --
---------------------------------------------
Total Investments $ 496,471,132 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 8,378,358
Non-cash Collateral(2) (8,378,358)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 83
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
AIR FREIGHT & LOGISTICS -- 0.6%
2,455 Forward Air Corp. $ 175,999
13,495 Hub Group, Inc., Class A (a) 710,242
---------------
886,241
---------------
AIRLINES -- 0.7%
23,857 SkyWest, Inc. 930,184
7,717 Spirit Airlines, Inc. (a) 200,179
---------------
1,130,363
---------------
AUTO COMPONENTS -- 1.4%
23,749 Cooper Tire & Rubber Co. 872,776
19,709 Dana, Inc. 381,566
2,892 Gentherm, Inc. (a) 177,164
19,016 Standard Motor Products, Inc. 745,998
---------------
2,177,504
---------------
BANKS -- 20.3%
19,091 1st Source Corp. 751,231
20,212 Ameris Bancorp 790,491
56,406 Associated Banc-Corp. 1,011,924
17,189 Atlantic Union Bankshares Corp. 564,487
3,218 BancFirst Corp. 185,453
28,037 BancorpSouth Bank 775,223
2,462 Bank of Hawaii Corp. 192,504
16,278 BankUnited, Inc. 564,033
12,154 Banner Corp. 537,571
23,903 Cathay General Bancorp 808,399
10,717 Columbia Banking System, Inc. 412,819
29,033 CVB Financial Corp. 564,111
18,632 Eagle Bancorp, Inc. 791,674
101,237 F.N.B. Corp. 998,197
5,431 FB Financial Corp. 202,902
41,728 First BanCorp 379,725
35,704 First Busey Corp. 738,002
54,863 First Financial Bancorp 1,005,090
24,007 First Hawaiian, Inc. 558,163
13,888 First Interstate BancSystem,
Inc., Class A 536,910
15,133 First Merchants Corp. 570,060
48,328 First Midwest Bancorp, Inc. 798,862
60,487 Fulton Financial Corp. 810,526
5,547 Hancock Whitney Corp. 189,374
23,825 Heartland Financial USA, Inc. 1,016,374
34,963 Hilltop Holdings, Inc. 1,050,288
70,521 Hope Bancorp, Inc. 788,425
9,057 Independent Bank Group, Inc. 556,281
20,548 International Bancshares Corp. 776,920
53,616 Investors Bancorp, Inc. 617,120
17,638 NBT Bancorp, Inc. 582,230
30,390 OceanFirst Financial Corp. 551,882
46,460 Old National Bancorp 780,063
6,026 Pacific Premier Bancorp, Inc. 200,364
3,664 Park National Corp. 395,749
11,424 Renasant Corp. 404,410
7,600 S&T Bancorp, Inc. 193,040
11,951 Sandy Spring Bancorp, Inc. 397,132
13,060 Seacoast Banking Corp. of
Florida (a) 397,677
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
BANKS (CONTINUED)
44,548 Simmons First National Corp.,
Class A $ 1,100,336
18,243 Southside Bancshares, Inc. 572,283
42,791 Sterling Bancorp 789,922
3,172 Texas Capital Bancshares,
Inc. (a) 191,018
5,451 Tompkins Financial Corp. 364,508
32,768 TowneBank 760,218
16,049 TriCo Bancshares 598,628
28,171 Trustmark Corp. 773,857
5,573 UMB Financial Corp. 395,516
13,528 United Community Banks, Inc. 403,540
9,129 Webster Financial Corp. 426,781
18,894 WesBanco, Inc. 547,926
12,595 Wintrust Financial Corp. 758,093
---------------
31,128,312
---------------
BEVERAGES -- 0.3%
1,444 Coca-Cola Consolidated, Inc. 385,346
---------------
BUILDING PRODUCTS -- 0.6%
8,199 American Woodmark Corp. (a) 709,295
7,439 JELD-WEN Holding, Inc. (a) 193,340
---------------
902,635
---------------
CAPITAL MARKETS -- 0.6%
96,178 BGC Partners, Inc., Class A 341,432
3,511 Evercore, Inc., Class A 383,050
1,871 Piper Sandler Cos. 170,878
---------------
895,360
---------------
CHEMICALS -- 2.3%
4,685 Avient Corp. 180,045
10,915 H.B. Fuller Co. 555,464
5,082 Ingevity Corp. (a) 333,837
2,081 Innospec, Inc. 182,691
12,386 Minerals Technologies, Inc. 763,349
53,954 PQ Group Holdings, Inc. 743,486
2,561 Sensient Technologies Corp. 180,627
4,746 Stepan Co. 534,779
---------------
3,474,278
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.4%
12,479 BrightView Holdings, Inc. (a) 176,952
146,831 CoreCivic, Inc. 1,043,968
14,375 Covanta Holding Corp. 203,406
19,387 Deluxe Corp. 657,026
10,498 Harsco Corp. (a) 174,582
13,690 Healthcare Services Group, Inc . 443,830
16,429 HNI Corp. 530,000
20,671 KAR Auction Services, Inc. 381,587
11,465 McGrath RentCorp 800,142
56,785 Steelcase, Inc., Class A 734,230
---------------
5,145,723
---------------
COMMUNICATIONS EQUIPMENT
-- 1.8%
45,385 EchoStar Corp., Class A (a) 950,362
4,641 NETGEAR, Inc. (a) 192,091
20,650 NetScout Systems, Inc. (a) 603,703
Page 84 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT
(CONTINUED)
23,564 Viasat, Inc. (a) $ 1,025,976
---------------
2,772,132
---------------
CONSTRUCTION & ENGINEERING
-- 0.8%
14,009 Arcosa, Inc. 781,562
5,096 Dycom Industries, Inc. (a) 413,490
---------------
1,195,052
---------------
CONSTRUCTION MATERIALS -- 0.6%
47,895 Summit Materials, Inc.,
Class A (a) 983,284
---------------
CONSUMER FINANCE -- 2.2%
24,693 Encore Capital Group, Inc. (a) 733,382
5,491 FirstCash, Inc. 323,310
97,937 Navient Corp. 1,102,281
7,945 Nelnet, Inc., Class A 546,537
45,697 SLM Corp. 634,274
---------------
3,339,784
---------------
CONTAINERS & PACKAGING -- 0.5%
16,413 Greif, Inc., Class A 741,211
---------------
DISTRIBUTORS -- 0.4%
19,278 Core-Mark Holding Co., Inc. 591,256
---------------
DIVERSIFIED CONSUMER SERVICES
-- 2.7%
28,326 Adtalem Global Education,
Inc. (a) 1,093,101
1,803 Graham Holdings Co., Class B 1,024,302
76,151 Perdoceo Education Corp. (a) 900,866
45,301 Stride, Inc. (a) 1,166,501
---------------
4,184,770
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.7%
18,425 ATN International, Inc. 795,592
34,690 Liberty Latin America Ltd.,
Class C (a) 343,084
---------------
1,138,676
---------------
ELECTRIC UTILITIES -- 0.5%
18,059 Otter Tail Corp. 716,762
---------------
ELECTRICAL EQUIPMENT -- 1.1%
18,716 Atkore International Group,
Inc. (a) 830,242
3,976 AZZ, Inc. 189,218
12,700 Encore Wire Corp. 733,425
---------------
1,752,885
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 3.2%
6,435 ePlus, Inc. (a) 540,797
7,438 Insight Enterprises, Inc. (a) 566,032
10,239 Knowles Corp. (a) 197,510
25,125 Methode Electronics, Inc. 948,469
4,125 OSI Systems, Inc. (a) 371,333
12,049 PC Connection, Inc. 591,485
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS (CONTINUED)
30,159 Sanmina Corp. (a) $ 937,945
13,681 TTM Technologies, Inc. (a) 183,462
27,339 Vishay Intertechnology, Inc. 589,156
---------------
4,926,189
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.8%
65,377 Archrock, Inc. 579,894
7,241 Cactus, Inc., Class A 189,714
6,368 Dril-Quip, Inc. (a) 191,804
8,148 Helmerich & Payne, Inc. 197,834
---------------
1,159,246
---------------
ENTERTAINMENT -- 0.2%
3,663 Madison Square Garden
Entertainment Corp. (a) 325,091
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 8.5%
54,221 Acadia Realty Trust 786,205
10,987 Alexander & Baldwin, Inc. 166,123
129,444 American Finance Trust, Inc. 942,352
14,618 Apple Hospitality REIT, Inc. 182,433
80,755 Brandywine Realty Trust 888,305
26,829 Columbia Property Trust, Inc. 364,874
22,877 DiamondRock Hospitality
Co. (a) 187,591
137,422 Diversified Healthcare Trust 552,436
60,749 Empire State Realty Trust, Inc.,
Class A 598,985
5,809 EPR Properties 230,269
108,552 GEO Group (The), Inc. (b) 970,455
37,847 Kite Realty Group Trust 603,281
90,138 Macerich (The) Co. (b) 1,415,167
15,144 Mack-Cali Realty Corp. 192,783
62,630 Paramount Group, Inc. 556,781
10,036 Pebblebrook Hotel Trust 184,462
28,731 Retail Opportunity Investments
Corp. 404,820
66,143 Retail Properties of America,
Inc., Class A 609,177
66,963 Service Properties Trust 710,477
76,029 SITE Centers Corp. 843,162
59,460 Urban Edge Properties 819,953
35,505 Weingarten Realty Investors 799,218
---------------
13,009,309
---------------
FOOD & STAPLES RETAILING -- 0.8%
2,073 PriceSmart, Inc. 194,613
20,114 Weis Markets, Inc. 991,218
---------------
1,185,831
---------------
FOOD PRODUCTS -- 1.5%
10,246 Cal-Maine Foods, Inc. (a) 392,832
31,966 Fresh Del Monte Produce, Inc. 782,208
38,672 Hostess Brands, Inc. (a) 593,615
1,429 Sanderson Farms, Inc. 194,615
9,056 TreeHouse Foods, Inc. (a) 382,435
---------------
2,345,705
---------------
See Notes to Financial Statements Page 85
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
GAS UTILITIES -- 0.2%
3,553 Chesapeake Utilities Corp. $ 360,381
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.3%
4,112 Avanos Medical, Inc. (a) 186,274
4,740 Integer Holdings Corp. (a) 349,812
---------------
536,086
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 1.6%
2,762 AMN Healthcare Services,
Inc. (a) 199,196
11,608 Magellan Health, Inc. (a) 1,090,920
1,362 ModivCare, Inc. (a) 215,972
8,202 National HealthCare Corp. 525,338
13,907 Select Medical Holdings
Corp. (a) 357,410
---------------
2,388,836
---------------
HEALTH CARE TECHNOLOGY -- 0.1%
13,072 Allscripts Healthcare Solutions,
Inc. (a) 215,688
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.1%
3,334 Brinker International, Inc. 196,306
---------------
HOUSEHOLD DURABLES -- 2.3%
21,968 Century Communities, Inc. (a) 1,031,178
9,656 La-Z-Boy, Inc. 373,880
21,717 M/I Homes, Inc. (a) 1,072,168
55,752 Tri Pointe Homes, Inc. (a) 1,126,191
---------------
3,603,417
---------------
HOUSEHOLD PRODUCTS -- 0.1%
2,388 Spectrum Brands Holdings, Inc. 180,461
---------------
INSURANCE -- 5.7%
34,771 American Equity Investment
Life Holding Co. 1,014,966
10,006 American National Group, Inc. 884,330
4,319 Argo Group International
Holdings Ltd. 174,272
30,541 Assured Guaranty Ltd. 1,091,841
43,264 CNO Financial Group, Inc. 917,629
29,878 Employers Holdings, Inc. 911,279
10,784 FBL Financial Group, Inc.,
Class A 604,335
13,467 Horace Mann Educators Corp. 527,502
3,837 James River Group Holdings
Ltd. 170,670
14,738 Mercury General Corp. 781,261
12,343 Safety Insurance Group, Inc. 906,470
15,910 Stewart Information Services
Corp. 737,906
---------------
8,722,461
---------------
IT SERVICES -- 0.9%
5,191 Alliance Data Systems Corp. 351,171
4,325 ManTech International Corp.,
Class A 387,909
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
IT SERVICES (CONTINUED)
15,032 Sykes Enterprises, Inc. (a) $ 580,085
---------------
1,319,165
---------------
MACHINERY -- 3.2%
2,791 Alamo Group, Inc. 389,596
5,241 Albany International Corp.,
Class A 364,354
7,587 Barnes Group, Inc. 364,707
1,600 Chart Industries, Inc. (a) 192,176
11,858 Gorman-Rupp (The) Co. 373,527
26,436 Greenbrier (The) Cos., Inc. 956,454
27,569 Meritor, Inc. (a) 711,556
16,126 Mueller Industries, Inc. 550,703
31,077 Mueller Water Products, Inc.,
Class A 372,613
3,460 SPX Corp. (a) 178,917
14,575 Trinity Industries, Inc. 405,331
---------------
4,859,934
---------------
MARINE -- 0.5%
13,508 Matson, Inc. 807,778
---------------
MEDIA -- 2.4%
21,511 AMC Networks, Inc.,
Class A (a) (b) 1,063,074
37,027 E.W. Scripps (The) Co., Class A 548,370
53,762 Gray Television, Inc. (a) 916,642
68,946 TEGNA, Inc. 1,105,204
---------------
3,633,290
---------------
METALS & MINING -- 1.7%
25,821 Arconic Corp. (a) 650,689
2,961 Materion Corp. 201,910
36,087 Warrior Met Coal, Inc. 830,723
18,732 Worthington Industries, Inc. 980,433
---------------
2,663,755
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.6%
34,439 Apollo Commercial Real Estate
Finance, Inc. 385,028
27,131 Arbor Realty Trust, Inc. 386,888
75,434 Broadmark Realty Capital, Inc. 776,216
37,531 Chimera Investment Corp. 379,063
57,890 Ladder Capital Corp. 569,059
---------------
2,496,254
---------------
MULTI-UTILITIES -- 0.5%
19,167 Avista Corp. 718,379
---------------
OIL, GAS & CONSUMABLE FUELS
-- 2.5%
12,667 CVR Energy, Inc. 216,606
11,743 Delek US Holdings, Inc. 220,299
31,796 Murphy Oil Corp. 393,316
37,480 PDC Energy, Inc. (a) 813,691
13,582 Renewable Energy Group,
Inc. (a) 1,216,947
30,867 World Fuel Services Corp. 944,221
---------------
3,805,080
---------------
Page 86 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PAPER & FOREST PRODUCTS -- 0.9%
17,886 Domtar Corp. $ 536,044
23,917 Schweitzer-Mauduit
International, Inc. 888,277
---------------
1,424,321
---------------
PERSONAL PRODUCTS -- 1.0%
22,250 Edgewell Personal Care Co. 743,150
3,118 Inter Parfums, Inc. 193,877
10,364 Nu Skin Enterprises, Inc.,
Class A 599,765
---------------
1,536,792
---------------
PHARMACEUTICALS -- 0.7%
27,581 Prestige Consumer Healthcare,
Inc. (a) 1,103,240
---------------
PROFESSIONAL SERVICES -- 0.7%
21,273 CBIZ, Inc. (a) 551,183
7,619 ICF International, Inc. 587,654
---------------
1,138,837
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 1.1%
38,130 Forestar Group, Inc. (a) 819,414
31,650 Kennedy-Wilson Holdings, Inc. 544,064
10,336 Marcus & Millichap, Inc. (a) 369,305
---------------
1,732,783
---------------
ROAD & RAIL -- 2.1%
53,136 Heartland Express, Inc. 997,363
44,654 Marten Transport Ltd. 707,766
9,165 Ryder System, Inc. 573,637
46,460 Schneider National, Inc.,
Class B 975,660
---------------
3,254,426
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.6%
13,208 Axcelis Technologies, Inc. (a) 452,242
12,353 Ultra Clean Holdings, Inc. (a) 476,826
---------------
929,068
---------------
SOFTWARE -- 0.6%
6,340 InterDigital, Inc. 407,091
17,122 Teradata Corp. (a) 460,582
---------------
867,673
---------------
SPECIALTY RETAIL -- 2.8%
3,885 Asbury Automotive Group,
Inc. (a) 554,040
10,628 Bed Bath & Beyond, Inc. (b) 375,487
19,387 Buckle (The), Inc. 762,297
7,335 Group 1 Automotive, Inc. 1,009,442
3,540 Monro, Inc. 206,984
6,438 ODP (The) Corp. 274,838
43,417 Sally Beauty Holdings, Inc. (a) 655,597
15,030 Urban Outfitters, Inc. (a) 412,273
---------------
4,250,958
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.9%
20,476 NCR Corp. (a) $ 683,079
24,305 Super Micro Computer, Inc. (a) 753,455
---------------
1,436,534
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.5%
15,088 Axos Financial, Inc. (a) 587,678
15,099 Capitol Federal Financial, Inc. 187,530
30,194 Northwest Bancshares, Inc. 384,973
31,524 Provident Financial Services,
Inc. 583,824
8,360 Walker & Dunlop, Inc. 688,195
37,364 Washington Federal, Inc. 978,190
8,572 WSFS Financial Corp. 368,339
---------------
3,778,729
---------------
TOBACCO -- 0.6%
19,787 Universal Corp. 907,630
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 3.9%
4,929 Applied Industrial Technologies,
Inc. 346,952
4,694 Beacon Roofing Supply, Inc. (a) 186,681
20,118 Boise Cascade Co. 958,220
11,564 GATX Corp. 1,073,139
18,575 GMS, Inc. (a) 538,489
8,523 Herc Holdings, Inc. (a) 545,302
18,576 Rush Enterprises, Inc., Class A 780,006
5,258 Systemax, Inc. 202,065
19,824 Triton International Ltd. 918,644
4,900 WESCO International, Inc. (a) 372,939
---------------
5,922,437
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.3%
51,789 Telephone and Data Systems,
Inc. 971,044
31,336 United States Cellular Corp. (a) 977,056
---------------
1,948,100
---------------
TOTAL COMMON STOCKS
-- 99.9% 153,231,744
(Cost $138,774,469) ---------------
MONEY MARKET FUNDS -- 1.9%
2,877,834 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 2,877,834
(Cost $2,877,834) ---------------
TOTAL INVESTMENTS -- 101.8% 156,109,578
(Cost $141,652,303) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.8)% (2,742,901)
---------------
NET ASSETS -- 100.0% $ 153,366,677
===============
See Notes to Financial Statements Page 87
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $2,589,604 and the
total value of the collateral held by the Fund is $2,877,834.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $16,175,218 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $1,717,943. The net unrealized
appreciation was $14,457,275.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 153,231,744 $ -- $ --
Money Market
Funds 2,877,834 -- --
---------------------------------------------
Total Investments $ 156,109,578 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 2,589,604
Non-cash Collateral(2) (2,589,604)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
Page 88 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.4%
13,548 AeroVironment, Inc. (a) $ 1,554,904
42,925 Kratos Defense & Security
Solutions, Inc. (a) 1,139,229
51,833 Maxar Technologies, Inc. 2,170,248
---------------
4,864,381
---------------
AIR FREIGHT & LOGISTICS -- 0.8%
51,060 Air Transport Services Group,
Inc. (a) 1,297,435
29,338 Atlas Air Worldwide Holdings,
Inc. (a) 1,520,295
---------------
2,817,730
---------------
AUTO COMPONENTS -- 0.8%
95,935 American Axle & Manufacturing
Holdings, Inc. (a) 845,187
17,230 Patrick Industries, Inc. 1,189,904
19,843 Workhorse Group, Inc. (a) (b) 681,012
---------------
2,716,103
---------------
AUTOMOBILES -- 0.4%
19,648 Winnebago Industries, Inc. 1,356,891
---------------
BANKS -- 1.8%
5,644 City Holding Co. 389,718
10,954 Independent Bank Corp. 822,426
7,329 Lakeland Financial Corp. 430,212
24,423 National Bank Holdings Corp.,
Class A 812,553
9,742 ServisFirst Bancshares, Inc. 400,202
9,696 Stock Yards Bancorp, Inc. 438,259
77,774 Umpqua Holdings Corp. 1,128,501
62,358 Veritex Holdings, Inc. 1,593,871
---------------
6,015,742
---------------
BIOTECHNOLOGY -- 7.9%
61,639 Arcus Biosciences, Inc. (a) 2,140,723
27,608 CareDx, Inc. (a) 2,110,079
46,035 Coherus Biosciences, Inc. (a) 865,458
18,887 Cytokinetics, Inc. (a) 371,507
19,102 Denali Therapeutics, Inc. (a) 1,308,487
17,817 Dicerna Pharmaceuticals,
Inc. (a) 400,348
28,529 Editas Medicine, Inc. (a) 1,750,254
18,547 Heron Therapeutics, Inc. (a) 321,976
36,767 Intellia Therapeutics, Inc. (a) 2,302,350
34,457 Ironwood Pharmaceuticals,
Inc. (a) 352,151
17,169 MacroGenics, Inc. (a) 350,934
30,068 Mersana Therapeutics, Inc. (a) 573,096
120,046 NantKwest, Inc. (a) (b) 2,265,868
35,278 REGENXBIO, Inc. (a) 1,458,040
128,176 Sangamo Therapeutics, Inc. (a) 1,750,884
30,763 TG Therapeutics, Inc. (a) 1,484,930
86,823 Translate Bio, Inc. (a) 2,073,333
43,203 Travere Therapeutics, Inc. (a) 1,090,876
14,155 Twist Bioscience Corp. (a) 2,329,064
24,057 Veracyte, Inc. (a) 1,364,032
---------------
26,664,390
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
BUILDING PRODUCTS -- 1.7%
14,301 CSW Industrials, Inc. $ 1,666,352
22,240 Gibraltar Industries, Inc. (a) 1,993,371
19,260 Griffon Corp. 432,580
78,672 PGT Innovations, Inc. (a) 1,629,297
---------------
5,721,600
---------------
CAPITAL MARKETS -- 3.7%
31,788 Artisan Partners Asset
Management, Inc., Class A 1,538,539
16,222 Assetmark Financial Holdings,
Inc. (a) 373,431
103,744 Brightsphere Investment Group,
Inc. 1,901,628
36,786 Focus Financial Partners, Inc.,
Class A (a) 1,750,278
5,030 Hamilton Lane, Inc., Class A 379,111
25,182 Moelis & Co., Class A 1,251,797
26,578 PJT Partners, Inc., Class A 1,833,616
27,639 StoneX Group, Inc. (a) 1,479,239
9,215 Virtus Investment Partners, Inc. 1,935,150
---------------
12,442,789
---------------
CHEMICALS -- 0.8%
190,686 Amyris, Inc. (a) (b) 1,792,448
33,829 GCP Applied Technologies,
Inc. (a) 838,621
---------------
2,631,069
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.9%
15,147 Brady Corp., Class A 695,399
22,223 Brink's (The) Co. 1,514,053
22,021 US Ecology, Inc. (a) 726,693
---------------
2,936,145
---------------
COMMUNICATIONS EQUIPMENT
-- 2.9%
67,209 Calix, Inc. (a) 2,029,712
149,268 CommScope Holding Co.,
Inc. (a) 2,192,747
190,859 Infinera Corp. (a) 1,879,961
103,436 Inseego Corp. (a) (b) 1,899,085
59,200 Plantronics, Inc. 1,877,824
---------------
9,879,329
---------------
CONSTRUCTION & ENGINEERING
-- 1.0%
38,287 Ameresco, Inc., Class A (a) 2,147,518
22,360 Comfort Systems USA, Inc. 1,239,415
---------------
3,386,933
---------------
CONSTRUCTION MATERIALS -- 0.6%
116,327 Forterra, Inc. (a) 2,128,784
---------------
CONSUMER FINANCE -- 0.1%
9,896 PRA Group, Inc. (a) 326,271
---------------
CONTAINERS & PACKAGING -- 0.3%
67,234 O-I Glass, Inc. 849,838
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.1%
16,083 WW International, Inc. (a) 427,165
---------------
See Notes to Financial Statements Page 89
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT -- 2.9%
55,832 Bloom Energy Corp.,
Class A (a) $ 1,949,095
110,460 GrafTech International Ltd. 1,071,462
58,987 Plug Power, Inc. (a) 3,726,209
37,898 TPI Composites, Inc. (a) 2,270,469
8,676 Vicor Corp. (a) 750,821
---------------
9,768,056
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.3%
12,518 Badger Meter, Inc. 1,148,025
11,326 FARO Technologies, Inc. (a) 799,276
49,010 nLight, Inc. (a) 1,552,637
10,227 Plexus Corp. (a) 786,661
---------------
4,286,599
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.0%
76,961 ChampionX Corp. (a) 1,176,734
692,713 Transocean Ltd. (a) (b) 2,327,515
---------------
3,504,249
---------------
ENTERTAINMENT -- 0.5%
88,798 Glu Mobile, Inc. (a) 782,310
16,651 World Wrestling Entertainment,
Inc., Class A 937,951
---------------
1,720,261
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.0%
13,594 American Assets Trust, Inc. 375,602
36,070 CareTrust REIT, Inc. 810,132
8,335 Community Healthcare Trust,
Inc. 372,741
18,511 Essential Properties Realty
Trust, Inc. 385,399
13,187 Four Corners Property Trust,
Inc. 347,609
22,900 Global Net Lease, Inc. 368,919
29,225 Independence Realty Trust, Inc. 388,108
34,351 Industrial Logistics Properties
Trust 728,585
10,921 Innovative Industrial
Properties, Inc. 2,043,537
26,432 iStar, Inc. 401,238
46,193 Monmouth Real Estate
Investment Corp. 800,525
10,894 National Storage Affiliates
Trust 398,067
9,278 NexPoint Residential Trust, Inc. 366,203
24,183 Piedmont Office Realty Trust,
Inc., Class A 371,935
16,244 Safehold, Inc. 1,195,233
68,207 Uniti Group, Inc. 839,628
---------------
10,193,461
---------------
FOOD & STAPLES RETAILING -- 1.4%
101,086 Rite Aid Corp. (a) 2,657,551
73,732 United Natural Foods, Inc. (a) 1,996,663
---------------
4,654,214
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
FOOD PRODUCTS -- 0.5%
42,461 B&G Foods, Inc. (b) $ 1,616,915
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 5.0%
14,369 AtriCure, Inc. (a) 836,707
23,590 Axonics Modulation
Technologies, Inc. (a) 1,219,603
8,971 Cardiovascular Systems, Inc. (a) 403,605
56,720 Cerus Corp. (a) 373,785
26,836 CryoPort, Inc. (a) 1,830,215
80,646 GenMark Diagnostics, Inc. (a) 1,113,721
15,646 Glaukos Corp. (a) 1,387,644
10,988 Heska Corp. (a) 1,838,952
63,000 Meridian Bioscience, Inc. (a) 1,392,300
21,211 Merit Medical Systems, Inc. (a) 1,148,575
2,794 Mesa Laboratories, Inc. 774,329
19,284 Shockwave Medical, Inc. (a) 2,237,715
12,705 Silk Road Medical, Inc. (a) 692,804
32,871 SmileDirectClub, Inc. (a) 436,527
29,787 Vapotherm, Inc. (a) 1,029,141
---------------
16,715,623
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 6.2%
13,663 Addus HomeCare Corp. (a) 1,537,771
11,108 CorVel Corp. (a) 1,097,693
55,677 Covetrus, Inc. (a) 1,896,915
27,432 Ensign Group (The), Inc. 2,147,377
47,984 MEDNAX, Inc. (a) 1,308,524
102,312 Option Care Health, Inc. (a) 1,890,726
73,945 Owens & Minor, Inc. 2,150,321
54,005 Patterson Cos., Inc. 1,710,878
30,621 PetIQ, Inc. (a) 1,061,324
47,187 Progyny, Inc. (a) 2,206,936
83,270 R1 RCM, Inc. (a) 2,100,902
40,883 RadNet, Inc. (a) 732,214
9,792 US Physical Therapy, Inc. 1,178,369
---------------
21,019,950
---------------
HEALTH CARE TECHNOLOGY -- 3.0%
124,779 Evolent Health, Inc.,
Class A (a) 2,129,978
27,050 Health Catalyst, Inc. (a) 1,343,844
87,728 NextGen Healthcare, Inc. (a) 1,735,260
29,490 Phreesia, Inc. (a) 1,925,402
11,123 Simulations Plus, Inc. 880,274
48,162 Vocera Communications,
Inc. (a) 2,116,720
---------------
10,131,478
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.9%
12,691 Jack in the Box, Inc. 1,194,731
38,567 Scientific Games Corp. (a) 1,512,598
13,892 Shake Shack, Inc., Class A (a) 1,575,630
23,464 Six Flags Entertainment Corp. 802,469
26,248 Wyndham Destinations, Inc. 1,161,211
---------------
6,246,639
---------------
Page 90 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES -- 1.8%
2,236 Cavco Industries, Inc. (a) $ 421,844
11,548 Installed Building Products,
Inc. (a) 1,211,732
9,967 iRobot Corp. (a) 1,197,037
25,858 Skyline Champion Corp. (a) 869,604
85,515 Sonos, Inc. (a) 2,236,217
---------------
5,936,434
---------------
HOUSEHOLD PRODUCTS -- 0.4%
32,410 Central Garden & Pet Co.,
Class A (a) 1,263,990
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.6%
44,321 Sunnova Energy International,
Inc. (a) 1,943,476
---------------
INSURANCE -- 1.4%
5,558 eHealth, Inc. (a) 265,950
16,034 Goosehead Insurance, Inc.,
Class A 2,142,142
4,420 Palomar Holdings, Inc. (a) 440,188
16,709 Trupanion, Inc. (a) 1,874,750
---------------
4,723,030
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.5%
89,237 ANGI Homeservices, Inc.,
Class A (a) 1,247,533
10,508 EverQuote, Inc., Class A (a) 473,491
---------------
1,721,024
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 2.5%
61,544 1-800-Flowers.com, Inc.,
Class A (a) 1,891,247
81,894 RealReal (The), Inc. (a) 1,939,250
22,317 Shutterstock, Inc. 1,450,382
34,064 Stitch Fix, Inc., Class A (a) 3,251,068
---------------
8,531,947
---------------
IT SERVICES -- 2.7%
8,706 CSG Systems International, Inc. 375,142
20,347 EVERTEC, Inc. 706,041
13,831 ExlService Holdings, Inc. (a) 1,060,561
45,585 NIC, Inc. 1,227,148
16,788 Perficient, Inc. (a) 916,793
43,210 Repay Holdings Corp. (a) 957,101
97,961 Sabre Corp. 1,056,020
27,429 TTEC Holdings, Inc. 2,073,084
59,618 Verra Mobility Corp. (a) 763,110
---------------
9,135,000
---------------
LEISURE PRODUCTS -- 2.2%
49,043 Callaway Golf Co. 1,367,809
18,859 Malibu Boats, Inc., Class A (a) 1,322,205
90,150 Smith & Wesson Brands, Inc. 1,492,884
12,297 Sturm Ruger & Co., Inc. 779,138
84,181 Vista Outdoor, Inc. (a) 2,455,560
---------------
7,417,596
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.3%
16,975 Luminex Corp. $ 476,828
23,926 NanoString Technologies,
Inc. (a) 1,675,538
34,413 Quanterix Corp. (a) 2,227,897
---------------
4,380,263
---------------
MACHINERY -- 3.5%
28,869 Altra Industrial Motion Corp. 1,484,155
13,824 Astec Industries, Inc. 822,113
9,178 Douglas Dynamics, Inc. 374,463
7,753 ESCO Technologies, Inc. 737,155
43,644 Evoqua Water Technologies
Corp. (a) 1,189,299
24,121 Federal Signal Corp. 788,516
11,560 Franklin Electric Co., Inc. 802,495
22,097 Helios Technologies, Inc. 1,205,391
8,354 Kadant, Inc. 1,194,204
12,453 Lindsay Corp. 1,741,303
5,590 Tennant Co. 378,723
9,676 Watts Water Technologies, Inc.,
Class A 1,161,797
---------------
11,879,614
---------------
MEDIA -- 1.0%
11,208 Cardlytics, Inc. (a) 1,370,402
27,070 TechTarget, Inc. (a) 2,022,129
---------------
3,392,531
---------------
METALS & MINING -- 0.9%
193,254 Coeur Mining, Inc. (a) 1,748,949
19,107 Commercial Metals Co. 376,217
12,960 Compass Minerals International,
Inc. 755,049
---------------
2,880,215
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.9%
52,333 Colony Credit Real Estate, Inc. 413,431
25,228 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 1,492,236
21,903 KKR Real Estate Finance Trust,
Inc. 374,980
106,366 New York Mortgage Trust, Inc. 396,745
44,704 Redwood Trust, Inc. 383,560
---------------
3,060,952
---------------
MULTILINE RETAIL -- 0.5%
27,430 Big Lots, Inc. 1,637,022
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.2%
21,328 Cimarex Energy Co. 899,615
89,814 Comstock Resources, Inc. (a) 408,654
55,592 Magnolia Oil & Gas Corp.,
Class A (a) 470,864
119,412 Range Resources Corp. (a) 1,099,784
268,484 Southwestern Energy Co. (a) 1,012,185
---------------
3,891,102
---------------
See Notes to Financial Statements Page 91
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PERSONAL PRODUCTS -- 1.1%
63,526 elf Beauty, Inc. (a) $ 1,382,326
8,152 Medifast, Inc. 1,913,030
5,087 USANA Health Sciences, Inc. (a) 421,000
---------------
3,716,356
---------------
PHARMACEUTICALS -- 2.9%
19,515 Amphastar Pharmaceuticals,
Inc. (a) 354,783
18,844 Arvinas, Inc. (a) 1,421,591
76,461 Corcept Therapeutics, Inc. (a) 2,160,788
278,580 Endo International PLC (a) 2,028,062
31,680 Innoviva, Inc. (a) 380,477
38,867 NGM Biopharmaceuticals,
Inc. (a) 997,327
6,559 Pacira BioSciences, Inc. (a) 433,419
28,234 Revance Therapeutics, Inc. (a) 718,273
31,800 Supernus Pharmaceuticals,
Inc. (a) 934,602
22,089 Theravance Biopharma, Inc. (a) 411,739
---------------
9,841,061
---------------
PROFESSIONAL SERVICES -- 0.7%
57,944 Upwork, Inc. (a) 2,401,779
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 2.3%
31,690 eXp World Holdings, Inc. (a) 3,377,837
152,453 Realogy Holdings Corp. (a) 2,164,833
47,121 St Joe (The) Co. 2,096,884
---------------
7,639,554
---------------
ROAD & RAIL -- 0.5%
42,900 Avis Budget Group, Inc. (a) 1,773,486
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.7%
19,694 ACM Research, Inc., Class A (a) 1,772,460
17,430 Ambarella, Inc. (a) 1,644,695
25,876 CEVA, Inc. (a) 1,521,250
46,494 FormFactor, Inc. (a) 1,900,210
41,900 MaxLinear, Inc. (a) 1,315,241
24,761 Onto Innovation, Inc. (a) 1,338,332
18,171 PDF Solutions, Inc. (a) 351,063
45,824 Rambus, Inc. (a) 870,427
14,299 SiTime Corp. (a) 1,745,193
---------------
12,458,871
---------------
SOFTWARE -- 8.8%
58,029 8x8, Inc. (a) 2,045,522
20,239 Altair Engineering, Inc.,
Class A (a) 1,131,967
6,542 Appfolio, Inc., Class A (a) 999,683
12,338 Appian Corp. (a) (b) 2,695,359
104,448 Avaya Holdings Corp. (a) 2,322,924
7,444 Bottomline Technologies DE,
Inc. (a) 355,674
19,905 Cerence, Inc. (a) 2,227,569
21,268 CommVault Systems, Inc. (a) 1,335,205
18,167 Cornerstone OnDemand, Inc. (a) 743,030
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SOFTWARE (CONTINUED)
35,362 Digital Turbine, Inc. (a) $ 2,023,060
31,368 Domo, Inc., Class B (a) 1,988,418
11,001 Model N, Inc. (a) 373,814
38,372 PagerDuty, Inc. (a) 1,869,868
17,702 Progress Software Corp. 711,266
15,758 PROS Holdings, Inc. (a) 664,042
35,238 Sprout Social, Inc., Class A (a) 2,325,708
25,657 Upland Software, Inc. (a) 1,223,582
21,830 Workiva, Inc. (a) 2,127,770
56,338 Xperi Holding Corp. 1,085,070
24,965 Yext, Inc. (a) 421,160
57,436 Zuora, Inc., Class A (a) 847,181
---------------
29,517,872
---------------
SPECIALTY RETAIL -- 3.6%
129,379 At Home Group, Inc. (a) 3,152,966
30,711 Camping World Holdings, Inc.,
Class A 1,049,088
153,744 Michaels (The) Cos., Inc. (a) 2,383,032
25,998 National Vision Holdings,
Inc. (a) 1,205,527
41,791 Rent-A-Center, Inc. 1,809,551
24,434 Sleep Number Corp. (a) 2,632,519
---------------
12,232,683
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.7%
31,920 Crocs, Inc. (a) 2,235,038
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.6%
51,420 Columbia Financial, Inc. (a) 792,896
49,072 Flagstar Bancorp, Inc. 2,102,735
64,460 Mr. Cooper Group, Inc. (a) 1,755,246
35,324 NMI Holdings, Inc., Class A (a) 749,222
---------------
5,400,099
---------------
TOBACCO -- 0.2%
68,678 Vector Group Ltd. 806,280
---------------
WATER UTILITIES -- 0.6%
14,811 California Water Service Group 809,273
5,419 Middlesex Water Co. 431,352
11,533 SJW Group 763,139
---------------
2,003,764
---------------
TOTAL COMMON STOCKS
-- 100.0% 336,843,644
(Cost $262,062,334) ---------------
MONEY MARKET FUNDS -- 2.9%
9,913,408 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 9,913,408
(Cost $9,913,408) ---------------
TOTAL INVESTMENTS -- 102.9% 346,757,052
(Cost $271,975,742) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.9)% (9,854,896)
---------------
NET ASSETS -- 100.0% $ 336,902,156
===============
Page 92 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $9,737,580 and the total value of the collateral held by the
Fund is $9,913,408.
(c) Rate shown reflects yield as of January 31, 2021.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of January 31, 2021, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $77,637,341 and the aggregate
gross unrealized depreciation for all investments in which there was an
excess of tax cost over value was $2,856,031. The net unrealized
appreciation was $74,781,310.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
---------------------------------------------
Common Stocks* $ 336,843,644 $ -- $ --
Money Market
Funds 9,913,408 -- --
---------------------------------------------
Total Investments $ 346,757,052 $ -- $ --
=============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 9,737,580
Non-cash Collateral(2) (9,737,580)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At January 31, 2021, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 93
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2021 (UNAUDITED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX) (FYX)
---------------- ---------------- ----------------
<S> <C> <C> <C>
ASSETS:
Investments, at value............................................... $ 1,009,444,512 $ 809,504,557 $ 758,185,062
Cash................................................................ -- -- --
Receivables:
Capital shares sold........................................... -- -- 8,282,174
Investment securities sold.................................... -- -- --
Dividends..................................................... 781,217 240,438 242,167
Securities lending income..................................... 9,966 2,661 37,244
Prepaid expenses.................................................... 4,812 3,226 2,238
---------------- ---------------- ----------------
Total Assets.................................................. 1,010,240,507 809,750,882 766,748,885
---------------- ---------------- ----------------
LIABILITIES:
Payables:
Capital shares redeemed....................................... -- -- --
Investment securities purchased............................... -- -- 8,266,341
Collateral for securities on loan............................. 2,138,350 6,159,476 17,729,005
Investment advisory fees...................................... 446,949 340,033 303,719
Shareholder reporting fees.................................... 56,878 46,318 31,670
Licensing fees................................................ 34,823 24,917 20,507
Audit and tax fees............................................ 14,098 14,044 14,109
Trustees' fees................................................ 900 815 753
Other liabilities................................................... 182,411 885,894 108,837
---------------- ---------------- ----------------
Total Liabilities............................................. 2,874,409 7,471,497 26,474,941
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 1,007,366,098 $ 802,279,385 $ 740,273,944
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 1,099,987,752 $ 852,471,332 $ 819,652,662
Par value........................................................... 136,500 94,500 91,500
Accumulated distributable earnings (loss)........................... (92,758,154) (50,286,447) (79,470,218)
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 1,007,366,098 $ 802,279,385 $ 740,273,944
================ ================ ================
NET ASSET VALUE, per share.......................................... $ 73.80 $ 84.90 $ 80.90
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 13,650,002 9,450,002 9,150,002
================ ================ ================
Investments, at cost................................................ $ 855,080,374 $ 664,420,749 $ 607,402,424
================ ================ ================
Securities on loan, at value........................................ $ 2,045,393 $ 5,908,256 $ 16,508,369
================ ================ ================
</TABLE>
Page 94 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE MID CAP GROWTH
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FTA) (FTC) (FAB) (FAD) (FNK) (FNY)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
$ 777,380,570 $ 1,044,842,636 $ 71,601,264 $ 210,177,763 $ 54,285,698 $ 496,471,132
-- -- -- -- 196,252 606,517
-- -- -- -- -- 6,779,544
-- 4,814,780 -- -- -- --
974,627 231,676 13,500 33,887 27,366 22,007
8,549 165 1,421 2,482 51 4,507
2,667 7,073 255 1,223 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
778,366,413 1,049,896,330 71,616,440 210,215,355 54,509,367 503,883,707
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
-- 4,824,003 -- -- -- --
-- -- -- -- -- 6,772,954
1,974,538 2,335,850 372,254 2,332,567 -- 8,680,412
333,109 473,108 31,845 91,241 30,486 294,324
54,502 39,906 8,693 12,162 -- --
26,299 37,611 2,848 7,638 -- --
14,188 14,291 13,859 14,048 -- --
861 804 706 714 -- --
135,158 185,971 26,432 41,158 87,097 --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
2,538,655 7,911,544 456,637 2,499,528 117,583 15,747,690
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 775,827,758 $ 1,041,984,786 $ 71,159,803 $ 207,715,827 $ 54,391,784 $ 488,136,017
================ ================ ================ ================ ================ ================
$ 996,787,467 $ 832,590,754 $ 102,163,467 $ 163,095,790 $ 77,553,212 $ 375,381,294
139,500 108,000 12,000 19,500 15,000 72,000
(221,099,209) 209,286,032 (31,015,664) 44,600,537 (23,176,428) 112,682,723
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 775,827,758 $ 1,041,984,786 $ 71,159,803 $ 207,715,827 $ 54,391,784 $ 488,136,017
================ ================ ================ ================ ================ ================
$ 55.61 $ 96.48 $ 59.30 $ 106.52 $ 36.26 $ 67.80
================ ================ ================ ================ ================ ================
13,950,002 10,800,002 1,200,002 1,950,002 1,500,002 7,200,002
================ ================ ================ ================ ================ ================
$ 704,381,358 $ 840,890,248 $ 63,132,497 $ 156,377,825 $ 49,762,943 $ 392,939,253
================ ================ ================ ================ ================ ================
$ 1,890,794 $ 2,232,316 $ 338,069 $ 2,259,979 $ -- $ 8,378,358
================ ================ ================ ================ ================ ================
</TABLE>
See Notes to Financial Statements Page 95
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JANUARY 31, 2021 (UNAUDITED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
SMALL CAP VALUE SMALL CAP GROWTH
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FYT) (FYC)
---------------- ----------------
<S> <C> <C>
ASSETS:
Investments, at value............................................... $ 156,109,578 $ 346,757,052
Cash................................................................ 136,426 175,995
Receivables:
Capital shares sold........................................... -- --
Investment securities sold.................................... -- --
Dividends..................................................... 78,874 56,264
Securities lending income..................................... 9,133 12,794
Prepaid expenses.................................................... -- --
---------------- ----------------
Total Assets.................................................. 156,334,011 347,002,105
---------------- ----------------
LIABILITIES:
Payables:
Capital shares redeemed....................................... -- --
Investment securities purchased............................... -- --
Collateral for securities on loan............................. 2,877,834 9,913,408
Investment advisory fees...................................... 89,500 186,541
Shareholder reporting fees.................................... -- --
Licensing fees................................................ -- --
Audit and tax fees............................................ -- --
Trustees' fees................................................ -- --
Other liabilities................................................... -- --
---------------- ----------------
Total Liabilities............................................. 2,967,334 10,099,949
---------------- ----------------
NET ASSETS.......................................................... $ 153,366,677 $ 336,902,156
================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 168,188,546 $ 348,560,820
Par value........................................................... 36,000 50,500
Accumulated distributable earnings (loss)........................... (14,857,869) (11,709,164)
---------------- ----------------
NET ASSETS.......................................................... $ 153,366,677 $ 336,902,156
================ ================
NET ASSET VALUE, per share.......................................... $ 42.60 $ 66.71
================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 3,600,002 5,050,002
================ ================
Investments, at cost................................................ $ 141,652,303 $ 271,975,742
================ ================
Securities on loan, at value........................................ $ 2,589,604 $ 9,737,580
================ ================
</TABLE>
Page 96 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX) (FYX)
---------------- ---------------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 8,320,512 $ 5,573,429 $ 3,885,758
Securities lending income (net of fees)............................. 23,275 38,566 224,162
Foreign withholding tax............................................. (376) (4,595) (4,565)
---------------- ---------------- ----------------
Total investment income....................................... 8,343,411 5,607,400 4,105,355
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................ 2,435,488 1,676,679 1,301,625
Accounting and administration fees.................................. 244,860 169,569 132,475
Licensing fees...................................................... 52,491 37,315 29,814
Shareholder reporting fees.......................................... 52,154 40,917 29,522
Custodian fees...................................................... 45,385 30,260 31,505
Transfer agent fees................................................. 24,288 16,816 13,052
Legal fees.......................................................... 12,693 7,930 5,216
Audit and tax fees.................................................. 11,184 11,184 11,184
Trustees' fees and expenses......................................... 3,740 3,590 3,502
Listing fees........................................................ 2,835 2,595 1,996
Other expenses...................................................... 13,227 8,798 6,532
---------------- ---------------- ----------------
Total expenses................................................ 2,898,345 2,005,653 1,566,423
Less fees waived and expenses reimbursed by the investment
advisor ................................................... -- -- --
---------------- ---------------- ----------------
Net expenses.................................................. 2,898,345 2,005,653 1,566,423
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)........................................ 5,445,066 3,601,747 2,538,932
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... 12,504,099 9,341,854 17,556,914
In-kind redemptions........................................... 76,864,990 65,645,237 49,775,165
---------------- ---------------- ----------------
Net realized gain (loss)............................................ 89,369,089 74,987,091 67,332,079
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments. 74,169,726 105,040,167 121,464,972
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 163,538,815 180,027,258 188,797,051
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 168,983,881 $ 183,629,005 $ 191,335,983
================ ================ ================
</TABLE>
See Notes to Financial Statements Page 97
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FTA) (FTC) (FAB)
---------------- ---------------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 9,555,645 $ 3,079,977 $ 778,525
Securities lending income (net of fees)............................. 26,444 3,362 7,013
Foreign withholding tax............................................. -- -- (446)
---------------- ---------------- ----------------
Total investment income....................................... 9,582,089 3,083,339 785,092
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................ 1,750,740 2,644,839 152,681
Accounting and administration fees.................................. 176,475 263,537 17,209
Licensing fees...................................................... 38,796 56,678 6,835
Shareholder reporting fees.......................................... 44,868 46,775 8,674
Custodian fees...................................................... 30,259 43,311 16,298
Transfer agent fees................................................. 17,559 25,884 1,531
Legal fees.......................................................... 8,862 12,324 719
Audit and tax fees.................................................. 11,184 11,184 11,184
Trustees' fees and expenses......................................... 3,610 3,750 3,349
Listing fees........................................................ 2,822 2,662 3,313
Other expenses...................................................... 10,772 10,519 1,949
---------------- ---------------- ----------------
Total expenses................................................ 2,095,947 3,121,463 223,742
Less fees waived and expenses reimbursed by the investment
advisor ................................................... -- -- (10,032)
---------------- ---------------- ----------------
Net expenses.................................................. 2,095,947 3,121,463 213,710
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)........................................ 7,486,142 (38,124) 571,382
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... 11,673,826 (1,766,664) 1,731,691
In-kind redemptions........................................... 5,256,705 199,482,607 1,154,867
---------------- ---------------- ----------------
Net realized gain (loss)............................................ 16,930,531 197,715,943 2,886,558
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments. 107,310,154 (19,686,422) 11,537,866
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 124,240,685 178,029,521 14,424,424
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 131,726,827 $ 177,991,397 $ 14,995,806
================ ================ ================
</TABLE>
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
Statements).
Page 98 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP
GROWTH VALUE GROWTH VALUE GROWTH
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FAD) (FNK) (FNY) (FYT) (FYC)
---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
$ 612,326 $ 469,648 $ 1,437,769 $ 1,007,642 $ 687,017
27,938 3,282 42,645 30,333 107,184
-- (503) -- (1,131) --
---------------- ---------------- ---------------- ---------------- ----------------
640,264 472,427 1,480,414 1,036,844 794,201
---------------- ---------------- ---------------- ---------------- ----------------
477,968 133,520 (a) 1,463,513 (a) 315,555 (a) 701,907 (a)
49,889 -- -- -- --
13,341 -- -- -- --
13,278 -- -- -- --
19,106 -- -- -- --
4,792 -- -- -- --
2,108 -- -- -- --
11,184 -- -- -- --
3,399 -- -- -- --
3,335 -- -- -- --
2,871 -- -- -- --
---------------- ---------------- ---------------- ---------------- ----------------
601,271 133,520 1,463,513 315,555 701,907
-- -- -- -- --
---------------- ---------------- ---------------- ---------------- ----------------
601,271 133,520 1,463,513 315,555 701,907
---------------- ---------------- ---------------- ---------------- ----------------
38,993 338,907 16,901 721,289 92,294
---------------- ---------------- ---------------- ---------------- ----------------
(144,330) (702,771) 3,164,285 1,075,889 8,512,173
34,320,739 1,143,445 86,657,485 10,050,489 23,960,805
---------------- ---------------- ---------------- ---------------- ----------------
34,176,409 440,674 89,821,770 11,126,378 32,472,978
---------------- ---------------- ---------------- ---------------- ----------------
14,272,747 8,660,387 29,126,497 14,076,727 49,599,500
---------------- ---------------- ---------------- ---------------- ----------------
48,449,156 9,101,061 118,948,267 25,203,105 82,072,478
---------------- ---------------- ---------------- ---------------- ----------------
$ 48,488,149 $ 9,439,968 $ 118,965,168 $ 25,924,394 $ 82,164,772
================ ================ ================ ================ ================
</TABLE>
See Notes to Financial Statements Page 99
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX)
------------------------------- -------------------------------
Six Months Six Months
Ended Ended
1/31/2021 Year Ended 1/31/2021 Year Ended
(Unaudited) 7/31/2020 (Unaudited) 7/31/2020
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................................ $ 5,445,066 $ 17,509,928 $ 3,601,747 $ 9,831,102
Net realized gain (loss).................................... 89,369,089 (10,784,655) 74,987,091 (71,357,094)
Net change in unrealized appreciation (depreciation)........ 74,169,726 (46,535,745) 105,040,167 (23,184,194)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... 168,983,881 (39,810,472) 183,629,005 (84,710,186)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (6,264,541) (18,540,837) (5,220,321) (11,195,657)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 169,867,253 240,421,955 212,551,904 6,753,067
Cost of shares redeemed..................................... (250,200,321) (691,769,709) (178,593,656) (208,111,148)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions............................ (80,333,068) (451,347,754) 33,958,248 (201,358,081)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... 82,386,272 (509,699,063) 212,366,932 (297,263,924)
NET ASSETS:
Beginning of period......................................... 924,979,826 1,434,678,889 589,912,453 887,176,377
-------------- -------------- -------------- --------------
End of period............................................... $1,007,366,098 $ 924,979,826 $ 802,279,385 $ 589,912,453
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 14,850,002 23,100,002 9,100,002 12,700,002
Shares sold................................................. 2,250,000 3,700,000 2,900,000 100,000
Shares redeemed............................................. (3,450,000) (11,950,000) (2,550,000) (3,700,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................... 13,650,002 14,850,002 9,450,002 9,100,002
============== ============== ============== ==============
</TABLE>
Page 100 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FYX) (FTA) (FTC) (FAB)
------------------------------- ------------------------------- ------------------------------- -------------------------------
Six Months Six Months Six Months Six Months
Ended Ended Ended Ended
1/31/2021 Year Ended 1/31/2021 Year Ended 1/31/2021 Year Ended 1/31/2021 Year Ended
(Unaudited) 7/31/2020 (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 (Unaudited) 7/31/20
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,538,932 $ 4,460,056 $ 7,486,142 $ 19,367,531 $ (38,124) $ 7,413,475 $ 571,382 $ 1,323,010
67,332,079 (87,384,504) 16,930,531 (106,433,068) 197,715,943 41,472,460 2,886,558 (9,388,387)
121,464,972 13,740,440 107,310,154 (56,133,633) (19,686,422) 80,486,123 11,537,866 (2,828,463)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
191,335,983 (69,184,008) 131,726,827 (143,199,170) 177,991,397 129,372,058 14,995,806 (10,893,840)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(2,707,671) (5,394,021) (8,476,451) (23,055,097) (444,000) (8,241,982) (648,111) (1,551,937)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
277,717,772 32,895,792 65,693,934 25,870,706 544,746,266 230,961,993 10,973,112 --
(123,542,539) (163,765,527) (30,132,443) (409,169,376) (669,455,861) (404,670,821) (5,548,337) (20,467,579)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
154,175,233 (130,869,735) 35,561,491 (383,298,670) (124,709,595) (173,708,828) 5,424,775 (20,467,579)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
342,803,545 (205,447,764) 158,811,867 (549,552,937) 52,837,802 (52,578,752) 19,772,470 (32,913,356)
397,470,399 602,918,163 617,015,891 1,166,568,828 989,146,984 1,041,725,736 51,387,333 84,300,689
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 740,273,944 $ 397,470,399 $ 775,827,758 $ 617,015,891 $1,041,984,786 $ 989,146,984 $ 71,159,803 $ 51,387,333
============== ============== ============== ============== ============== ============== ============== ==============
7,100,002 9,750,002 13,300,002 22,100,002 12,050,002 14,600,002 1,100,002 1,550,002
4,050,000 600,000 1,250,000 500,000 6,050,000 3,000,000 200,000 --
(2,000,000) (3,250,000) (600,000) (9,300,000) (7,300,000) (5,550,000) (100,000) (450,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
9,150,002 7,100,002 13,950,002 13,300,002 10,800,002 12,050,002 1,200,002 1,100,002
============== ============== ============== ============== ============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 101
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
MULTI CAP GROWTH MID CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FAD) (FNK)
------------------------------- -------------------------------
Six Months Six Months
Ended Ended
1/31/2021 Year Ended 1/31/2021 Year Ended
(Unaudited) 7/31/2020 (Unaudited) 7/31/2020
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................................ $ 38,993 $ 951,302 $ 338,907 $ 931,139
Net realized gain (loss).................................... 34,176,409 500,664 440,674 (8,378,179)
Net change in unrealized appreciation (depreciation)........ 14,272,747 10,219,297 8,660,387 (2,884,268)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... 48,488,149 11,671,263 9,439,968 (10,331,308)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (257,401) (1,097,351) (398,576) (1,096,681)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 86,228,635 66,588,015 18,458,870 21,058,255
Cost of shares redeemed..................................... (97,110,219) (92,750,744) (7,744,768) (30,467,047)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions............................ (10,881,584) (26,162,729) 10,714,102 (9,408,792)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... 37,349,164 (15,588,817) 19,755,494 (20,836,781)
NET ASSETS:
Beginning of period......................................... 170,366,663 185,955,480 34,636,290 55,473,071
-------------- -------------- -------------- --------------
End of period............................................... $ 207,715,827 $ 170,366,663 $ 54,391,784 $ 34,636,290
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 2,050,002 2,450,002 1,250,002 1,600,002
Shares sold................................................. 900,000 850,000 500,000 700,000
Shares redeemed............................................. (1,000,000) (1,250,000) (250,000) (1,050,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................... 1,950,002 2,050,002 1,500,002 1,250,002
============== ============== ============== ==============
</TABLE>
Page 102 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FNY) (FYT) (FYC)
------------------------------- ------------------------------- -------------------------------
Six Months Six Months Six Months
Ended Ended Ended
1/31/2021 Year Ended 1/31/2021 Year Ended 1/31/2021 Year Ended
(Unaudited) 7/31/2020 (Unaudited) 7/31/2020 (Unaudited) 7/31/2020
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
$ 16,901 $ 696,609 $ 721,289 $ 632,126 $ 92,294 $ 857,714
89,821,770 (8,655,479) 11,126,378 (15,405,299) 32,472,978 (31,811,152)
29,126,497 37,231,806 14,076,727 4,825,237 49,599,500 3,251,788
-------------- -------------- -------------- -------------- -------------- --------------
118,965,168 29,272,936 25,924,394 (9,947,936) 82,164,772 (27,701,650)
-------------- -------------- -------------- -------------- -------------- --------------
(1,105,830) (906,911) (640,936) (854,116) (269,720) (937,821)
-------------- -------------- -------------- -------------- -------------- --------------
277,305,952 120,090,749 112,309,923 12,338,992 167,809,381 12,604,591
(245,178,295) (120,133,429) (30,402,494) (16,020,220) (59,506,115) (116,112,612)
-------------- -------------- -------------- -------------- -------------- --------------
32,127,657 (42,680) 81,907,429 (3,681,228) 108,303,266 (103,508,021)
-------------- -------------- -------------- -------------- -------------- --------------
149,986,995 28,323,345 107,190,887 (14,483,280) 190,198,318 (132,147,492)
338,149,022 309,825,677 46,175,790 60,659,070 146,703,838 278,851,330
-------------- -------------- -------------- -------------- -------------- --------------
$ 488,136,017 $ 338,149,022 $ 153,366,677 $ 46,175,790 $ 336,902,156 $ 146,703,838
============== ============== ============== ============== ============== ==============
6,600,002 6,650,002 1,500,002 1,750,002 3,300,002 5,950,002
4,700,000 2,600,000 2,800,000 350,000 2,950,000 300,000
(4,100,000) (2,650,000) (700,000) (600,000) (1,200,000) (2,950,000)
-------------- -------------- -------------- -------------- -------------- --------------
7,200,002 6,600,002 3,600,002 1,500,002 5,050,002 3,300,002
============== ============== ============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 103
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 62.29 $ 62.11 $ 60.79 $ 54.07 $ 46.93 $ 45.96
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.40 0.93 0.77 0.69 0.61 0.64
Net realized and unrealized gain (loss) 11.56 0.20 1.28 6.69 7.16 0.95
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 11.96 1.13 2.05 7.38 7.77 1.59
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.45) (0.95) (0.73) (0.66) (0.63) (0.62)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 73.80 $ 62.29 $ 62.11 $ 60.79 $ 54.07 $ 46.93
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 19.25% 1.95% 3.48% 13.72% 16.68% 3.59%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,007,366 $ 924,980 $1,434,679 $1,540,924 $1,554,447 $1,506,341
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.60% (b) 0.59% 0.60% 0.61% 0.61% 0.61%
Ratio of net expenses to average net
assets 0.60% (b) 0.59% 0.60% 0.61% 0.61% 0.61%
Ratio of net investment income (loss) to
average net assets 1.12% (b) 1.49% 1.29% 1.17% 1.21% 1.43%
Portfolio turnover rate (c) 50% 104% 102% 87% 90% 109%
</TABLE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 64.83 $ 69.86 $ 69.63 $ 59.91 $ 52.80 $ 52.97
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.42 0.85 0.63 0.61 0.56 0.56
Net realized and unrealized gain (loss) 20.24 (4.93) 0.16 9.71 7.12 (0.21)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 20.66 (4.08) 0.79 10.32 7.68 0.35
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.59) (0.95) (0.56) (0.60) (0.57) (0.52)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 84.90 $ 64.83 $ 69.86 $ 69.63 $ 59.91 $ 52.80
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 32.00% (5.86)% 1.22% 17.30% 14.61% 0.76%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 802,279 $ 589,912 $ 887,176 $ 901,732 $ 697,995 $ 644,144
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.60% (b) 0.60% 0.61% 0.62% 0.63% 0.63%
Ratio of net expenses to average net
assets 0.60% (b) 0.60% 0.61% 0.62% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 1.07% (b) 1.32% 0.94% 0.94% 1.00% 1.10%
Portfolio turnover rate (c) 64% 115% 114% 101% 103% 126%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 104 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 55.98 $ 61.84 $ 66.80 $ 56.23 $ 48.91 $ 48.24
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.32 0.51 0.60 0.52 0.41 0.39
Net realized and unrealized gain (loss) 24.95 (5.75) (4.98) 10.53 7.40 0.64
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 25.27 (5.24) (4.38) 11.05 7.81 1.03
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.35) (0.62) (0.58) (0.48) (0.49) (0.36)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 80.90 $ 55.98 $ 61.84 $ 66.80 $ 56.23 $ 48.91
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 45.27% (8.55)% (6.52)% 19.72% (b) 16.03% 2.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 740,274 $ 397,470 $ 602,918 $ 728,102 $ 491,997 $ 442,627
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.60% (c) 0.61% 0.62% 0.63% 0.63% 0.64%
Ratio of net expenses to average net
assets 0.60% (c) 0.61% 0.62% 0.63% 0.63% 0.64%
Ratio of net investment income (loss) to
average net assets 0.98% (c) 0.93% 0.96% 0.87% 0.78% 0.86%
Portfolio turnover rate (d) 64% 123% 117% 116% 111% 126%
</TABLE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 46.39 $ 52.79 $ 54.07 $ 50.94 $ 41.98 $ 41.61
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.54 1.11 1.02 1.02 0.77 0.78 (e)
Net realized and unrealized gain (loss) 9.30 (6.28) (1.43) 3.08 8.96 0.38
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 9.84 (5.17) (0.41) 4.10 9.73 1.16
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.62) (1.23) (0.87) (0.97) (0.77) (0.79)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 55.61 $ 46.39 $ 52.79 $ 54.07 $ 50.94 $ 41.98
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 21.34% (9.84)% (0.65)% 8.12% 23.35% 2.94%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 775,828 $ 617,016 $1,166,569 $1,146,354 $1,056,997 $ 831,256
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.60% (c) 0.60% 0.60% 0.61% 0.62% 0.62%
Ratio of net expenses to average net
assets 0.60% (c) 0.60% 0.60% 0.61% 0.62% 0.62%
Ratio of net investment income (loss) to
average net assets 2.14% (c) 2.12% 1.99% 1.92% 1.63% 2.00%
Portfolio turnover rate (d) 55% 94% 96% 82% 72% 94%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) The Fund received a payment from the Advisor in the amount of $3,456,678
in connection with a broker error, which represents $0.38 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(e) Based on average shares outstanding.
See Notes to Financial Statements Page 105
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 82.09 $ 71.35 $ 66.91 $ 55.88 $ 51.56 $ 49.95
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00) (a) 0.55 0.37 0.23 0.33 0.35
Net realized and unrealized gain (loss) 14.43 10.80 4.39 11.03 4.33 1.60
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 14.43 11.35 4.76 11.26 4.66 1.95
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.04) (0.61) (0.32) (0.23) (0.34) (0.34)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 96.48 $ 82.09 $ 71.35 $ 66.91 $ 55.88 $ 51.56
========== ========== ========== ========== ========== ==========
TOTAL RETURN (b) 17.60% 16.10% 7.16% 20.19% 9.10% 3.96%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,041,985 $ 989,147 $1,041,726 $ 899,998 $ 650,949 $ 618,698
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.59% (c) 0.60% 0.61% 0.61% 0.62% 0.62%
Ratio of net expenses to average net
assets 0.59% (c) 0.60% 0.61% 0.61% 0.62% 0.62%
Ratio of net investment income (loss) to
average net assets (0.01)%(c) 0.76% 0.56% 0.36% 0.63% 0.73%
Portfolio turnover rate (d) 58% 138% 132% 119% 148% 149%
</TABLE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 46.72 $ 54.39 $ 57.35 $ 52.84 $ 44.91 $ 44.75
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.48 0.95 0.92 0.96 0.73 0.70
Net realized and unrealized gain (loss) 12.65 (7.54) (3.04) 4.45 7.96 0.13
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 13.13 (6.59) (2.12) 5.41 8.69 0.83
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.55) (1.08) (0.84) (0.90) (0.76) (0.67)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 59.30 $ 46.72 $ 54.39 $ 57.35 $ 52.84 $ 44.91
========== ========== ========== ========== ========== ==========
TOTAL RETURN (b) 28.28% (12.24)% (3.62)% 10.30% 19.46% 1.98%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 71,160 $ 51,387 $ 84,301 $ 91,766 $ 110,959 $ 103,296
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.73% (c) 0.74% 0.73% 0.70% 0.66% 0.68%
Ratio of net expenses to average net
assets 0.70% (c) 0.70% 0.70% 0.70% 0.66% 0.68%
Ratio of net investment income (loss) to
average net assets 1.87% (c) 1.86% 1.69% 1.67% 1.45% 1.61%
Portfolio turnover rate (d) 55% 98% 96% 89% 81% 96%
</TABLE>
(a) Amount is less than $(0.01).
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 106 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 83.11 $ 75.90 $ 72.71 $ 59.33 $ 53.31 $ 52.16
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02 0.42 0.22 0.12 0.25 0.24
Net realized and unrealized gain (loss) 23.52 7.27 3.14 13.40 6.04 1.13
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 23.54 7.69 3.36 13.52 6.29 1.37
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.48) (0.17) (0.14) (0.27) (0.22)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 106.52 $ 83.11 $ 75.90 $ 72.71 $ 59.33 $ 53.31
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 28.36% 10.23% 4.65% 22.82% 11.85% 2.66%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 207,716 $ 170,367 $ 185,955 $ 192,685 $ 103,829 $ 85,293
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.63% (b) 0.63% 0.66% 0.69% 0.70% 0.70%
Ratio of net expenses to average net
assets 0.63% (b) 0.63% 0.66% 0.69% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.04% (b) 0.56% 0.31% 0.18% 0.44% 0.50%
Portfolio turnover rate (c) 52% 123% 130% 118% 142% 160%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 107
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 27.71 $ 34.67 $ 36.71 $ 33.65 $ 29.47 $ 29.56
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.31 0.63 0.51 0.58 0.44 0.43
Net realized and unrealized gain (loss) 8.60 (6.86) (2.10) 3.04 4.17 (0.10)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 8.91 (6.23) (1.59) 3.62 4.61 0.33
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.36) (0.73) (0.45) (0.56) (0.43) (0.42)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 36.26 $ 27.71 $ 34.67 $ 36.71 $ 33.65 $ 29.47
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 32.34% (18.19)% (4.26)% 10.80% 15.72% 1.22%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 54,392 $ 34,636 $ 55,473 $ 49,565 $ 57,201 $ 47,156
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net
assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.78% (b) 2.04% 1.49% 1.61% 1.31% 1.49%
Portfolio turnover rate (c) 69% 107% 113% 94% 95% 114%
</TABLE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 51.23 $ 46.59 $ 43.80 $ 35.07 $ 31.22 $ 31.31
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01 0.11 0.04 0.03 0.15 0.11
Net realized and unrealized gain (loss) 16.72 4.67 2.77 8.75 3.87 (0.11)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 16.73 4.78 2.81 8.78 4.02 0.00
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.16) (0.14) (0.02) (0.05) (0.17) (0.09)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 67.80 $ 51.23 $ 46.59 $ 43.80 $ 35.07 $ 31.22
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 32.71% 10.28% 6.43% 25.06% 12.94% 0.03%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 488,136 $ 338,149 $ 309,826 $ 214,639 $ 94,700 $ 82,725
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net
assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.01% (b) 0.23% 0.09% 0.02% 0.48% 0.35%
Portfolio turnover rate (c) 72% 135% 144% 124% 153% 193%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 108 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 30.78 $ 34.66 $ 38.98 $ 34.33 $ 30.19 $ 30.20
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.24 0.38 0.57 0.48 0.41 0.26
Net realized and unrealized gain (loss) 11.83 (3.75) (4.36) 4.60 4.23 (0.04)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 12.07 (3.37) (3.79) 5.08 4.64 0.22
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.25) (0.51) (0.53) (0.43) (0.50) (0.23)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 42.60 $ 30.78 $ 34.66 $ 38.98 $ 34.33 $ 30.19
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 39.38% (9.83)% (9.69)% 14.86% (b) 15.41% 0.79%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 153,367 $ 46,176 $ 60,659 $ 76,003 $ 61,802 $ 54,341
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net
assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.60% (c) 1.18% 1.58% 1.28% 1.22% 0.89%
Portfolio turnover rate (d) 58% 120% 120% 123% 110% 125%
</TABLE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2021 -------------------------------------------------------------------
(UNAUDITED) 2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 44.46 $ 46.87 $ 48.79 $ 38.83 $ 33.24 $ 32.18
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.03 0.17 0.02 0.06 0.05 0.09
Net realized and unrealized gain (loss) 22.29 (2.40) (1.93) 9.97 5.63 1.04
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 22.32 (2.23) (1.91) 10.03 5.68 1.13
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.07) (0.18) (0.01) (0.07) (0.09) (0.07)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 66.71 $ 44.46 $ 46.87 $ 48.79 $ 38.83 $ 33.24
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 50.26% (4.79)% (3.90)% 25.85% (e) 17.12% 3.54%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 336,902 $ 146,704 $ 278,851 $ 361,010 $ 116,483 $ 56,502
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net
assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.09% (c) 0.44% 0.04% 0.11% 0.12% 0.32%
Portfolio turnover rate (d) 76% 137% 152% 141% 162% 161%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) The Fund received a payment from the Advisor in the amount of $519,907 in
connection with a broker error, which represents $0.27 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(e) The Fund received a payment from the Advisor in the amount of $1,053,251
in connection with a broker error, which represents $0.25 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
See Notes to Financial Statements Page 109
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty exchange-traded funds considered either a
Sector Fund or Style Fund. This report covers the eleven Style Funds (each a
"Fund" and collectively, the "Funds") listed below. The shares of each Style
Fund are listed and traded on The Nasdaq Stock Market LLC ("Nasdaq").
First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX")
First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX")
First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX")
First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA")
First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC")
First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB")
First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD")
First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK")
First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY")
First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT")
First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC")
Each Fund represents a separate series of beneficial interest in the Trust.
Unlike conventional mutual funds, each Fund issues and redeems shares on a
continuous basis at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units." The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:
<TABLE>
<CAPTION>
FUND INDEX
<S> <C>
First Trust Large Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Core Index
First Trust Mid Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Core Index
First Trust Small Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Core Index
First Trust Large Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Value Index
First Trust Large Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Growth Index
First Trust Multi Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Value Index
First Trust Multi Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Growth Index
First Trust Mid Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Value Index
First Trust Mid Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Growth Index
First Trust Small Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Value Index
First Trust Small Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Growth Index
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
Page 110
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
Page 111
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of January 31, 2021, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At January 31, 2021, all the
Funds except FNK had securities in the securities lending program. During the
six months ended January 31, 2021, all the Funds participated in the securities
lending program.
Page 112
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the six months ended January 31, 2021, were received as
collateral for lending securities. There were no repurchase agreements held by
the Funds as of January 31, 2021.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on significantly modified portfolio securities
held by the Funds and have no impact on net assets or NAV per share. Temporary
differences, which arise from recognizing certain items of income, expense and
gain/loss in different periods for financial statement and tax purposes, will
reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2020, was as follows:
<TABLE>
<CAPTION>
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
<S> <C> <C> <C>
First Trust Large Cap Core AlphaDEX(R) Fund $ 18,540,837 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 11,195,657 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 5,394,021 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 23,055,097 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 8,241,982 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 1,551,937 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 1,097,351 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 1,096,681 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 906,911 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 854,116 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 937,821 -- --
</TABLE>
Page 113
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
As of July 31, 2020, the components of distributable earnings on a tax basis for
each Fund were as follows:
<TABLE>
<CAPTION>
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
----------------------- ----------------------- -----------------------
<S> <C> <C> <C>
First Trust Large Cap Core AlphaDEX(R) Fund $ 1,007,856 $ (332,483,001) $ 75,997,651
First Trust Mid Cap Core AlphaDEX(R) Fund 1,093,337 (267,315,539) 37,527,071
First Trust Small Cap Core AlphaDEX(R) Fund 446,799 (294,653,725) 26,108,396
First Trust Large Cap Value AlphaDEX(R) Fund 1,419,906 (308,180,525) (37,588,966)
First Trust Large Cap Growth AlphaDEX(R) Fund -- (190,918,637) 222,657,272
First Trust Multi Cap Value AlphaDEX(R) Fund 102,665 (42,163,763) (3,302,261)
First Trust Multi Cap Growth AlphaDEX(R) Fund 89,962 (42,635,787) 38,915,614
First Trust Mid Cap Value AlphaDEX(R) Fund 51,319 (27,406,849) (4,862,290)
First Trust Mid Cap Growth AlphaDEX(R) Fund 537,262 (77,991,357) 72,277,480
First Trust Small Cap Value AlphaDEX(R) Fund 90,561 (40,129,197) (102,691)
First Trust Small Cap Growth AlphaDEX(R) Fund -- (118,465,502) 24,861,286
</TABLE>
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2017, 2018,
2019, and 2020 remain open to federal and state audit. As of January 31, 2021,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At July 31, 2020, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
<TABLE>
<CAPTION>
Non-Expiring Capital
Loss Carryforwards
---------------------
<S> <C>
First Trust Large Cap Core AlphaDEX(R) Fund $ 332,483,001
First Trust Mid Cap Core AlphaDEX(R) Fund 267,315,539
First Trust Small Cap Core AlphaDEX(R) Fund 294,653,725
First Trust Large Cap Value AlphaDEX(R) Fund 308,180,525
First Trust Large Cap Growth AlphaDEX(R) Fund 190,918,637
First Trust Multi Cap Value AlphaDEX(R) Fund 42,163,763
First Trust Multi Cap Growth AlphaDEX(R) Fund 42,635,787
First Trust Mid Cap Value AlphaDEX(R) Fund 27,406,849
First Trust Mid Cap Growth AlphaDEX(R) Fund 77,991,357
First Trust Small Cap Value AlphaDEX(R) Fund 40,129,197
First Trust Small Cap Growth AlphaDEX(R) Fund 118,465,502
</TABLE>
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended July 31, 2020, the Funds had no
net late year ordinary or capital losses.
Page 114
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund, except for the First Trust Mid Cap Value AlphaDEX(R) Fund,
First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value
AlphaDEX(R) Fund and First Trust Small Cap Growth AlphaDEX(R) Fund (the "Unitary
Fee Funds"), for which expenses other than excluded expenses (discussed in Note
3) are paid by the Advisor. General expenses of the Trust are allocated to all
the Funds based upon the net assets of each Fund.
First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with
Nasdaq, Inc. for each of the Style Funds. The license agreements allow for the
use by FTP of certain trademarks and trade names. The Funds and First Trust are
sub-licensees to the applicable license agreement. The Funds, except for the
Unitary Fee Funds, are required to pay licensing fees, which are shown on the
Statements of Operations. The licensing fees for the Unitary Fee Funds are paid
by First Trust from the unitary investment advisory fees it receives from each
of these Funds.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For the Unitary Fee Funds, First Trust is paid an annual unitary management fee
of 0.70% of such Fund's average daily net assets and is responsible for the
expenses of such Fund including the cost of transfer agency, custody, fund
administration, legal, audit, license and other services, and excluding fee
payments under the Investment Management Agreement, distribution and service
fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund
fees and expenses, taxes, interest, and extraordinary expenses.
For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core
AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large
Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First
Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each
Fund's average daily net assets. For such Funds, the Trust and First Trust have
entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement
("Recovery Agreement") in which First Trust has agreed to waive fees and/or
reimburse Fund expenses to the extent that the operating expenses of each such
Fund (excluding interest expense, brokerage commissions and other trading
expenses, acquired fund fees and expenses, taxes and extraordinary expenses)
exceed 0.70% of average daily net assets per year (the "Expense Cap"). These
Funds will have the Expense Cap in effect until at least November 30, 2021.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee was waived or expense was incurred, but no reimbursement payment will be
made by a Fund if it results in the Fund's expenses exceeding (i) the applicable
expense limitation in place for the most recent fiscal year for which such
expense limitation was in place (ii) the applicable expense limitation in place
at the time the fees were waived, or (iii) the current expense limitation. These
amounts would be included in "Expenses previously waived or reimbursed" on the
Statements of Operations.
The advisory fee waivers and expense reimbursements for the six months ended
January 31, 2021 and fees waived or expenses borne by First Trust subject to
recovery from the applicable Fund for the periods indicated were as follows:
<TABLE>
<CAPTION>
Fees Waived or Expenses Borne by First Trust
Subject to Recovery
-------------------------------------------------------------
Six Six
Advisory Expense Months Year Year Months
Fee Reim- Ended Ended Ended Ended
Waivers bursements 7/31/2018 7/31/2019 7/31/2020 1/31/2021 Total
--------- ---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
First Trust Multi Cap Value
AlphaDEX(R) Fund $ 10,032 $ -- $ -- $ 23,214 $ 27,452 $ 10,032 $ 60,698
</TABLE>
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Page 115
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended January 31, 2021, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ---------------
<S> <C> <C>
First Trust Large Cap Core AlphaDEX(R) Fund $ 478,608,971 $ 479,301,436
First Trust Mid Cap Core AlphaDEX(R) Fund 416,170,101 418,290,385
First Trust Small Cap Core AlphaDEX(R) Fund 325,276,079 325,518,193
First Trust Large Cap Value AlphaDEX(R) Fund 377,833,095 378,605,365
First Trust Large Cap Growth AlphaDEX(R) Fund 598,525,841 600,842,286
First Trust Multi Cap Value AlphaDEX(R) Fund 32,757,827 32,841,670
First Trust Multi Cap Growth AlphaDEX(R) Fund 97,507,835 97,577,060
First Trust Mid Cap Value AlphaDEX(R) Fund 25,266,578 25,339,719
First Trust Mid Cap Growth AlphaDEX(R) Fund 293,055,061 294,040,710
First Trust Small Cap Value AlphaDEX(R) Fund 50,818,325 50,381,325
First Trust Small Cap Growth AlphaDEX(R) Fund 150,484,595 150,309,413
</TABLE>
For the six months ended January 31, 2021, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ---------------
<S> <C> <C>
First Trust Large Cap Core AlphaDEX(R) Fund $ 169,714,698 $ 250,410,550
First Trust Mid Cap Core AlphaDEX(R) Fund 211,904,835 177,108,906
First Trust Small Cap Core AlphaDEX(R) Fund 277,397,529 124,093,920
First Trust Large Cap Value AlphaDEX(R) Fund 65,518,518 30,055,400
First Trust Large Cap Growth AlphaDEX(R) Fund 544,791,177 669,717,171
First Trust Multi Cap Value AlphaDEX(R) Fund 10,927,180 5,525,866
First Trust Multi Cap Growth AlphaDEX(R) Fund 86,052,028 97,130,423
First Trust Mid Cap Value AlphaDEX(R) Fund 18,413,347 7,726,958
First Trust Mid Cap Growth AlphaDEX(R) Fund 277,027,708 245,211,107
First Trust Small Cap Value AlphaDEX(R) Fund 112,010,854 30,452,952
First Trust Small Cap Growth AlphaDEX(R) Fund 167,802,592 59,837,788
</TABLE>
5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
authorized participant redeems a Creation Unit of a Fund's shares for a basket
Page 116
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP, the distributor of the Funds, for amounts expended to
finance activities primarily intended to result in the sale of Creation Units or
the provision of investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before November 30, 2021.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
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<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT 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
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. 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.
Page 118
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a
reference rate over a phase-out period that will begin immediately after
December 31, 2021. The unavailability or replacement of LIBOR may affect the
value, liquidity or return on certain fund investments and may result in costs
incurred in connection with closing out positions and entering into new trades.
Any potential effects of the transition away from LIBOR on the fund or on
certain instruments in which the fund invests can be difficult to ascertain, and
they may vary depending on a variety of factors, and they could result in losses
to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such 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 of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. 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.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JANUARY 31, 2021 (UNAUDITED)
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Although the funds and the Advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
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INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Items 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (registrant) | | First Trust Exchange-Traded AlphaDEX® Fund |
| By (Signature and Title)* | | /s/ James M. Dykas |
| | | James M. Dykas, President and Chief Executive Officer
(principal executive officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | | /s/ James M. Dykas |
| | | James M. Dykas, President and Chief Executive Officer
(principal executive officer) |
| By (Signature and Title)* | | /s/ Donald P. Swade |
| | | Donald P. Swade, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer) |
