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)
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: July 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.
The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
-------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Annual Report July 31, 2021 -------------------------------------------------------------------------------- AlphaDEX(R) Sector Funds ------------------------ 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. <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS ANNUAL REPORT JULY 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).......................... 40 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 Report of Independent Registered Public Accounting Firm...................... 65 Additional Information....................................................... 66 Board of Trustees and Officers............................................... 73 Privacy Policy............................................................... 75 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the 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 12-month period ended July 31, 2021. I often mention at the end of my shareholder letters that investors should stay the course. I do so because First Trust believes in the buy and hold investment philosophy, and the math supports our view. The S&P 500(R) Index (the "Index") has never failed to fully recover the losses sustained in any correction or bear market. As of July 31, 2021, the Index stood just 0.61% below its all-time closing high set on July 26, 2021. Whether you believe that history repeats itself or simply rhymes, it provides us with valuable insight either way. When it comes to setting realistic expectations about equity returns over time, we know that the Index delivered an average annual total return of 10.28% from 1926-2020 (95 years), according to data from Morningstar/Ibbotson Associates. That is our long-term performance benchmark for stocks in the U.S. Why is that relevant in today's climate? It is important to note that this very Index has posted a total return of 17.99% year-to-date and 36.45% for the 12-month period ended July 31, 2021, according to Bloomberg. Using industry jargon, these are sometimes referred to as "outsized" returns, or well-above the norm. As previously noted, the stock market experiences selloffs of various degrees on an ongoing basis. The more severe declines are referred to as corrections and bear markets. Corrections are defined as a 10.00% to 19.99% decline in the price of an index or security from its most recent closing high. Bear markets entail price declines of 20% or more. Since 1950, the Index has endured 38 selloffs totaling 10% or more, with nine of them being bear markets, according to The Motley Fool, a private financial and investing advice company. Over that 71-year period, on average, the stock market experienced a correction every 1.84 years, compared to every 7.78 years for bear markets. The last major selloff occurred in the first quarter of 2020 (17 months ago), when the Index plunged 33.79%, due to the initial shock from the onset of the coronavirus ("COVID-19") pandemic. While that qualified as a bear market, some investors may be thinking we are due for a correction in the coming months. Remember, these statistics represent averages. A June 2021 survey by the CFA Institute found that 45% of the chartered financial analysts it polled believe we will have a correction within 1-3 years. I offer this forecast to show investors how challenging it is to make such market calls, even for highly credentialled professionals. A 1-3 year projection isn't exactly actionable information, in my opinion. The bottom line is that those individuals who have remained invested in the stock and bond markets throughout the COVID-19 pandemic have likely prospered beyond what they might have imagined. Suffice it to say that the markets have exceeded expectations over the past 12 months. I think your average investor would have been content with just being in positive territory. Looking ahead, I see more tailwinds for the markets than headwinds, particularly with respect to the stock market. There is plenty of liquidity in the economy thanks to the accommodative monetary policy of the Federal Reserve (the "Fed") and fiscal stimulus from Congress. We have the potential for another $4 to $5 trillion in fiscal stimulus from President Joe Biden's bipartisan infrastructure bill and the Democrat-driven budget package, including funds earmarked for climate change projects (green energy), health care, education, and more. Perhaps the biggest headwind moving forward is rising inflation. We should know in the next few months if it is transitory, as Fed Chairman Jerome Powell believes, or if it will be with us for a sustained period. Stay tuned and 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 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 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 We have learned recently that the reopening process for the economy from the coronavirus ("COVID-19") pandemic, while underway, is likely to be more of a work in progress than a foregone conclusion. It has to do with the spread of the highly contagious Delta variant, now found in all 50 states. The Delta variant, which was first identified in India in 2020, appears to be more problematic for those individuals who have yet to be vaccinated. As of the end of July 2021, only 50% of the U.S. population was fully vaccinated, according to Science magazine. In the last two weeks of July 2021, 80% to 87% of all COVID-19 cases were caused by the Delta variant, according to the Centers for Disease Control and Prevention. The Biden Administration is advocating for a third shot (booster) for those who have already been fully vaccinated. It should come as no surprise that it is receiving plenty of resistance, including some from the scientific community. We intend to monitor this closely in the months ahead. The global growth forecast from the International Monetary Fund ("IMF") released in July 2021 projected a 6.0% real growth rate for gross domestic product for 2021, up from -3.2% in 2020. The IMF is calling for a 7.0% growth rate for the U.S. in 2021, up from -3.5% the previous year. Advanced Economies are expected to register a 5.6% growth rate, up from -4.6%. 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 -2.1% a year ago. Data from Refinitiv, a global provider of financial market data, indicates that global mergers and acquisitions ("M&A") activity set a record high in the first seven months of 2021, with announced deals valued at $3.3 trillion, according to The Motley Fool, a private financial and investing advice company. Activity was up 116% from the same period a year ago. U.S. M&A activity totaled $1.6 trillion for the period. The total number of deals also set a record high by topping 33,000. Technology companies accounted for 23% of all global M&A deals. M&A serves as a good barometer of economic and business confidence levels, in our opinion. ETFGI, an independent research and consultancy firm, reported that total assets invested in exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") listed in the U.S. stood at an all-time high of $6.60 trillion in July 2021, up from $4.61 trillion a year ago, according to its own release. Net inflows to U.S. listed ETFs/ETPs totaled $788.00 billion for the 12-month period ended July 31, 2021. SECTOR/EQUITY INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end mutual funds and ETFs. The flows are reported over time on a rolling 12-month basis. For the 12-month period ended July 31, 2021, U.S. Equity funds/ETFs reported estimated net outflows totaling $27.93 billion, according to data from Morningstar. Investors continue to overwhelmingly favor passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported estimated net inflows totaling $198.00 billion, compared to estimated net outflows totaling $225.93 billion for actively managed U.S. Equity funds/ETFs for the same period. Investors were net buyers of sector funds and ETFs over the past year. For the 12-month period ended July 31, 2021, Sector Equity funds/ETFs reported estimated net inflows totaling an impressive $117.25 billion. Passive Sector Equity funds/ETFs reported estimated net inflows totaling $107.23 billion, compared to estimated net inflows totaling $10.02 billion for actively managed Sector Equity funds/ETFs for the same period. For the 12-month period ended July 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 36.45% over the same period. Six of the 11 sectors outperformed the broader index. Those six sectors were as follows: Financials (55.21%); Industrials (46.43%); Energy (44.43%); Communication Services (43.91%); Materials (41.53%); and Information Technology (40.03%). While up for the period, the Utilities sector delivered the worst results with a total return of 12.03%. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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> ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 54.99% 12.18% 12.09% 9.03% 77.62% 213.07% 242.06% Market Price 54.93% 12.18% 12.09% 9.03% 77.64% 213.02% 242.00% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index 56.01% 12.88% 12.82% 9.79% 83.24% 234.15% 277.61% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Consumer Discretionary Index 26.40% 18.74% 18.12% 13.03% 136.07% 428.73% 471.31% Russell 1000(R) Consumer Discretionary Index(1) 34.98% 20.04% 18.38% N/A 149.28% 440.49% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a net asset value ("NAV") return of 54.99% during the period covered by this report. During the same period, the S&P 500(R) Consumer Discretionary Index (the "Benchmark") generated a return of 26.40%. Specialty Retail was the industry with the greatest allocation in the Fund during the same period. This industry had an average weight of 19.4% in the Fund, which led to this industry being the top contributing industry to the Fund's performance with a 10.5% contribution. The top performing industry in the Fund was the Automobiles industry with a 109.4% return. The worst performing industry in the Fund was the IT Services industry with a -12.1% return. On a relative basis, the Fund outperformed the Benchmark. The majority of the outperformance is attributable to the Fund under allocating the Benchmark by 32.2% among the relatively poor-performing Internet & Direct Marketing Retail industry. Investments in this industry led to 7.3% of relative outperformance for the Fund. The Fund underperformed the Benchmark among the securities in the Textiles, Apparel & Luxury Goods industry, which led to -0.9% of relative drag. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 84.3% Communication Services 9.5 Industrials 3.6 Consumer Staples 2.0 Information Technology 0.6 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- AutoNation, Inc. 1.8% Penske Automotive Group, Inc. 1.6 Carvana Co. 1.5 L Brands, Inc. 1.5 Tempur Sealy International, Inc. 1.5 Target Corp. 1.5 Deckers Outdoor Corp. 1.5 Lennar Corp., Class A 1.5 D.R. Horton, Inc. 1.5 YETI Holdings, Inc. 1.4 ------- Total 15.3% ======= ----------------------------- (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. Page 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 31, 2021 First Trust Russell 1000(R) Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index Discretionary Index <S> <C> <C> <C> <C> <C> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 9,793 9,839 10,229 10,524 10,490 7/31/12 9,694 9,754 10,796 11,189 11,252 1/31/13 11,585 11,704 11,971 13,014 13,140 7/31/13 13,782 13,973 13,627 15,519 15,531 1/31/14 14,588 14,849 14,633 16,575 16,601 7/31/14 15,487 15,817 15,953 17,489 17,464 1/31/15 16,693 17,106 16,646 18,731 18,655 7/31/15 18,049 18,560 17,745 21,631 21,088 1/31/16 15,692 16,184 16,345 20,188 19,412 7/31/16 17,628 18,235 18,604 22,395 21,681 1/31/17 17,633 18,300 19,746 23,514 22,596 7/31/17 18,526 19,289 21,571 25,508 24,677 1/31/18 21,842 22,816 24,847 30,332 29,346 7/31/18 21,151 22,162 25,061 31,503 29,880 1/31/19 20,430 21,466 24,307 30,851 29,551 7/31/19 21,813 23,003 27,067 34,415 33,234 1/31/20 22,029 23,316 29,506 36,022 35,126 7/31/20 20,199 21,417 30,324 41,834 40,045 1/31/21 26,775 28,488 35,361 47,904 49,548 7/31/21 31,307 33,415 41,837 52,873 54,049 </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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 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> ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 16.88% 4.44% 10.37% 9.08% 24.25% 168.29% 244.59% Market Price 16.95% 4.44% 10.38% 9.08% 24.27% 168.45% 244.64% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 17.57% 5.14% 11.16% 9.87% 28.46% 188.15% 281.80% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Consumer Staples Index 18.20% 8.74% 11.94% 10.13% 52.06% 208.81% 294.96% Russell 1000(R) Consumer Staples Index(1) 17.40% 6.55% 10.98% N/A 37.34% 183.49% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 16.88% during the period covered by this report. During the same period, the S&P 500(R) Consumer Staples Index (the "Benchmark") generated a return of 18.20%. The Food Products industry received the greatest allocation in the Fund during the period, with an average weight of 40.5%. The Food Products industry was also the greatest contributor to the Fund's performance over the period with a 5.1% contribution, stemming from its 13.1% return. The top performing industry in the Fund was the Chemicals industry with a 52.4% return. The worst performing industry in the Fund was the Household Products industry with a -10.2% return. The Household Products industry was also the least contributing industry stemming from its 11.2% allocation. On a relative basis, the Fund underperformed the Benchmark during the period. The greatest source of underperformance came from investments in the Tobacco industry. This industry caused -1.2% of underperformance for the Fund versus the Benchmark. Meanwhile, some underperformance was recovered by the investments in the Beverage industry, which caused 1.1% of outperformance for the Fund. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 91.6% Health Care 5.1 Materials 3.3 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Spectrum Brands Holdings, Inc. 4.4% J.M. Smucker (The) Co. 4.3 Bunge Ltd. 4.2 CVS Health Corp. 4.2 Archer-Daniels-Midland Co. 4.2 Tyson Foods, Inc., Class A 4.1 Reynolds Consumer Products, Inc. 4.0 Conagra Brands, Inc. 3.9 Kroger (The) Co. 3.6 Casey's General Stores, Inc. 3.4 ------- Total 40.3% ======= ----------------------------- (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, 2011 - JULY 31, 2021 S&P 500(R) Russell 1000(R) First Trust Consumer StrataQuant(R) Russell 1000(R) Consumer Staples Consumer Staples Staples AlphaDEX(R) Fund Consumer Staples Index Index Index Index <S> <C> <C> <C> <C> <C> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 9,662 9,700 10,229 10,559 10,420 7/31/12 9,697 9,803 10,796 11,967 11,667 1/31/13 11,296 11,460 11,971 12,567 12,389 7/31/13 13,953 14,220 13,627 14,231 14,078 1/31/14 14,459 14,789 14,633 14,208 14,133 7/31/14 16,065 16,496 15,953 15,244 15,316 1/31/15 18,173 18,704 16,646 17,179 17,209 7/31/15 19,776 20,420 17,745 18,185 18,520 1/31/16 18,940 19,607 16,345 18,636 18,895 7/31/16 21,595 22,430 18,604 20,308 20,642 1/31/17 20,215 21,064 19,746 19,835 20,225 7/31/17 20,880 21,829 21,571 21,201 21,398 1/31/18 22,640 23,748 24,847 22,497 22,068 7/31/18 20,992 22,104 25,061 21,077 20,583 1/31/19 20,631 21,784 24,307 21,345 20,721 7/31/19 21,165 22,433 27,067 24,162 22,667 1/31/20 22,279 23,699 29,506 25,987 24,457 7/31/20 22,954 24,509 30,324 26,124 24,147 1/31/21 24,790 26,545 35,361 27,190 25,168 7/31/21 26,829 28,815 41,837 30,881 28,349 </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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 66.66% -4.53% -6.38% -3.25% -20.68% -48.28% -37.56% Market Price 66.51% -4.54% -6.40% -3.26% -20.75% -48.37% -37.61% INDEX PERFORMANCE StrataQuant(R) Energy Index 68.15% -3.93% -5.85% -2.67% -18.15% -45.27% -31.94% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Energy Index 44.43% -2.12% -0.95% 0.76% -10.15% -9.10% 11.32% Russell 1000(R) Energy Index(1) 47.00% -1.89% -1.30% N/A -9.09% -12.28% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 66.66% during the period covered by this report. During the same period, the S&P 500(R) Energy Index (the "Benchmark") generated a return of 44.43%. During the same period covered by this report, the Fund invested 76.7% in the Oil, Gas & Consumable Fuels industry. Investments in this industry generated 41.4% of contribution to the Fund's total return. The Fund also allocated 0.7% to the Semiconductors & Semiconductor Equipment industry which contributed 19.8% to the Fund's total return. The Semiconductors & Semiconductor Equipment industry was the top performing industry with a 108.8% return, while the Electrical Equipment industry was the worst performing industry with a -56.0% return. On a relative basis, the Fund outperformed the Benchmark. The majority of the outperformance is attributable to the Fund over allocating the Benchmark among the well performing Semiconductors & Semiconductor Equipment industry by 11.8%, which generated 14.7% of relative outperformance. The Fund's allocation to securities in the Electrical Equipment industry caused -2.1% of underperformance due to the industry's poor performance and the Benchmark's 0% allocation to the industry. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 88.6% Information Technology 8.3 Industrials 3.1 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Cheniere Energy, Inc. 5.2% Kinder Morgan, Inc. 5.0 First Solar, Inc. 5.0 Antero Midstream Corp. 4.8 Cimarex Energy Co. 4.8 Continental Resources, Inc. 4.7 Occidental Petroleum Corp. 4.4 Williams (The) Cos., Inc. 4.0 Cabot Oil & Gas Corp. 3.9 Hess Corp. 3.7 ------- Total 45.5% ======= ----------------------------- (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, 2011 - JULY 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> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 8,374 8,405 10,229 9,476 9,378 7/31/12 7,850 7,910 10,796 9,498 9,334 1/31/13 9,342 9,452 11,971 10,511 10,357 7/31/13 9,704 9,845 13,627 11,266 11,094 1/31/14 10,270 10,457 14,633 11,446 11,327 7/31/14 12,158 12,418 15,953 13,343 13,257 1/31/15 8,746 8,946 16,646 10,722 10,507 7/31/15 7,466 7,643 17,745 9,915 9,711 1/31/16 5,755 5,893 16,345 8,617 8,262 7/31/16 6,520 6,687 18,604 10,117 9,648 1/31/17 7,223 7,437 19,746 10,909 10,426 7/31/17 6,195 6,402 21,571 10,136 9,603 1/31/18 6,921 7,182 24,847 11,629 11,014 7/31/18 7,834 8,158 25,061 12,135 11,597 1/31/19 6,097 6,354 24,307 10,194 9,680 7/31/19 5,031 5,263 27,067 10,194 9,561 1/31/20 4,145 4,355 29,506 9,123 8,544 7/31/20 3,105 3,254 30,324 6,293 5,967 1/31/21 4,176 4,401 35,361 7,061 6,898 7/31/21 5,172 5,473 41,837 9,090 8,772 </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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 71.99% 15.00% 14.07% 7.56% 101.17% 273.12% 182.00% Market Price 71.95% 15.00% 14.08% 7.56% 101.12% 273.30% 181.92% INDEX PERFORMANCE StrataQuant(R) Financials Index 73.24% 15.81% 14.90% 8.42% 108.30% 300.94% 215.87% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Financials Index 55.21% 16.14% 14.07% 3.44% 111.27% 273.14% 61.80% Russell 1000(R) Financials Index(1) 52.82% 17.80% 15.36% N/A 126.82% 317.27% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 71.99% during the period covered by this report. During the same period, S&P 500(R) Financials Index (the "Benchmark") generated a return of 55.21%. The industry that contributed the most was the Banking industry with a 32.6% allocation, a 79.5% total return, and a 32.2% contribution to the Fund's return. The Fund's greatest performing industry was the Consumer Finance industry with a 141.1% return. The Fund's worst performing industry was the IT Services industry with a 15.5% return. On a relative basis, the Fund outperformed the Benchmark. The majority of the Fund's outperformance is due to the Fund performing better among the Banking industry securities by 7.7%, which led to 8.9% of relative outperformance. There was no industry that led to a relative drag on performance against the Benchmark over the period. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 100.0% ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Blackstone Group (The), Inc. 1.9% First American Financial Corp. 1.7 Janus Henderson Group PLC 1.7 Fidelity National Financial, Inc. 1.6 Aflac, Inc. 1.6 MGIC Investment Corp. 1.6 Markel Corp. 1.6 Cincinnati Financial Corp. 1.6 Assured Guaranty Ltd. 1.6 Arch Capital Group Ltd. 1.6 ------- Total 16.5% ======= ----------------------------- (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, 2011 - JULY 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> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 10,083 10,128 10,229 9,598 9,754 7/31/12 10,457 10,544 10,796 10,111 10,378 1/31/13 12,393 12,549 11,971 12,118 12,268 7/31/13 14,582 14,820 13,627 14,402 14,376 1/31/14 15,408 15,720 14,633 14,948 15,060 7/31/14 16,179 16,565 15,953 16,045 16,090 1/31/15 16,870 17,334 16,646 16,634 16,922 7/31/15 18,506 19,083 17,745 18,355 18,657 1/31/16 16,322 16,877 16,345 16,037 16,541 7/31/16 18,547 19,250 18,604 17,663 18,397 1/31/17 21,157 22,033 19,746 21,655 21,138 7/31/17 22,997 24,023 21,571 23,489 23,104 1/31/18 25,488 26,721 24,847 28,107 26,819 7/31/18 25,541 26,868 25,061 26,654 26,451 1/31/19 24,160 25,489 24,307 24,988 25,616 7/31/19 26,315 27,864 27,067 27,574 29,043 1/31/20 27,165 28,867 29,506 29,548 31,269 7/31/20 21,695 23,145 30,324 24,040 27,304 1/31/21 29,824 31,926 35,361 29,320 33,093 7/31/21 37,312 40,094 41,837 37,314 41,727 </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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 28.08% 14.67% 15.69% 13.61% 98.26% 329.49% 514.23% Market Price 28.11% 14.68% 15.69% 13.61% 98.31% 329.45% 514.38% INDEX PERFORMANCE StrataQuant(R) Health Care Index 28.88% 15.44% 16.46% 14.42% 104.97% 359.11% 579.74% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Health Care Index 27.33% 14.06% 16.68% 11.56% 93.01% 367.73% 374.31% Russell 1000(R) Health Care Index(1) 27.50% 14.84% 17.21% N/A 99.70% 389.28% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 28.08% during the period covered by this report. During the same period, the S&P 500(R) Health Care Index (the "Benchmark") generated a return of 27.33%. The Fund's greatest allocation was in the Health Care Providers & Services industry with a 26.0% allocation. It was the Life Sciences Tools & Services industry, however, that had the top performance and largest contribution to the Fund's return at 52.2% and 9.1%, respectively. This industry was given an 18.9% allocation. The Health Care Technology industry was the only industry in the Fund to have a negative return at -7.1% and a negative contribution to the Fund's return at -0.4%. On a relative basis, the Fund outperformed the Benchmark. Outperformance of 0.7% came from the Life Sciences Tools & Services industry, due to its overallocation and outperformance relative to the Benchmark. Outperformance in the amount of -2.3% was reversed due to the investments in Health Care Equipment & Supplies industry, in which the Fund's investments underperformed those in the Benchmark by -10.9%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.0% ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Moderna, Inc. 2.8% Bio-Rad Laboratories, Inc., Class A 2.2 Hologic, Inc. 2.1 Quidel Corp. 2.1 Charles River Laboratories International, Inc. 2.1 Universal Health Services, Inc., Class B 2.1 Quest Diagnostics, Inc. 2.0 Laboratory Corp. of America Holdings 2.0 Cooper (The) Cos., Inc. 2.0 Avantor, Inc. 2.0 ------- Total 21.4% ======= ----------------------------- (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, 2011 - JULY 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> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 10,028 10,070 10,229 10,612 10,564 7/31/12 10,517 10,583 10,796 11,543 11,520 1/31/13 12,493 12,619 11,971 13,041 13,098 7/31/13 14,986 15,200 13,627 15,656 15,795 1/31/14 17,598 17,911 14,633 17,326 17,577 7/31/14 18,700 19,087 15,953 19,010 19,226 1/31/15 21,536 22,054 16,646 21,776 22,152 7/31/15 24,506 25,190 17,745 24,228 24,854 1/31/16 18,872 19,451 16,345 21,248 21,400 7/31/16 21,664 22,398 18,604 24,231 24,500 1/31/17 20,953 21,724 19,746 22,877 23,258 7/31/17 23,553 24,503 21,571 26,171 26,565 1/31/18 26,095 27,235 24,847 29,131 29,525 7/31/18 27,031 28,310 25,061 29,655 30,287 1/31/19 26,294 27,625 24,307 30,489 31,116 7/31/19 27,315 28,819 27,067 30,925 31,879 1/31/20 29,098 30,804 29,506 34,178 34,968 7/31/20 33,529 35,621 30,324 36,734 38,378 1/31/21 38,189 40,697 35,361 40,429 42,700 7/31/21 42,949 45,911 41,837 46,772 48,930 </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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 53.21% 16.53% 13.73% 8.86% 114.90% 261.95% 234.58% Market Price 53.25% 16.53% 13.75% 8.86% 114.90% 262.55% 234.59% INDEX PERFORMANCE StrataQuant(R) Industrials Index 54.23% 17.34% 14.52% 9.64% 122.41% 288.13% 270.35% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Industrials Index 46.43% 13.84% 13.72% 9.15% 91.21% 261.68% 247.83% Russell 1000(R) Industrials Index(1) 46.65% 14.87% 14.24% N/A 100.03% 278.53% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 53.21% during the period covered by this report. During the same period, the S&P 500(R) Industrials Index (the "Benchmark") generated a return of 46.43%. During the period covered by this report, the Machinery industry received the largest allocation at 17.7%. This industry was also the largest contributor to the Fund's performance with an 8.6% contribution, stemming from its 47.8% return. Although the allocation to the Marine industry was only 0.1% in the Fund over the period, it was the Fund's worst performing industry at -2.3%, which contributed -0.0% to the Fund's performance. On a relative basis, the Fund outperformed the Benchmark. The greatest source of the Fund's outperformance came from the Aerospace & Defense industry where the Fund outperformed the Benchmark by 17.1%, creating 2.8% of relative outperformance. The Fund underperformed the Benchmark among the Air Freight & Logistics industry by -9.1%, which created -0.6% of relative drag. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 65.4% Materials 12.0 Information Technology 11.9 Consumer Discretionary 3.6 Financials 3.3 Health Care 2.5 Utilities 1.3 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Carrier Global Corp. 1.4% Bill.com Holdings, Inc. 1.4 Waters Corp. 1.4 Knight-Swift Transportation Holdings, Inc. 1.4 Axon Enterprise, Inc. 1.3 Brunswick Corp. 1.3 Advanced Drainage Systems, Inc. 1.3 Capital One Financial Corp. 1.3 Builders FirstSource, Inc. 1.3 Fortive Corp. 1.3 ------- Total 13.4% ======= ----------------------------- (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, 2011 - JULY 31, 2021 First Trust Industrials/ Russell 1000(R) Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Producer Durables AlphaDEX(R) Fund Industrials Index Index Industrials Index Index <S> <C> <C> <C> <C> <C> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 10,331 10,380 10,229 10,582 10,515 7/31/12 9,928 10,010 10,796 10,665 10,539 1/31/13 11,852 11,996 11,971 12,055 12,085 7/31/13 13,693 13,908 13,627 13,722 13,815 1/31/14 15,793 16,106 14,633 15,333 15,485 7/31/14 16,765 17,161 15,953 16,017 16,165 1/31/15 16,822 17,278 16,646 16,990 17,120 7/31/15 16,983 17,484 17,745 17,124 17,413 1/31/16 14,096 14,552 16,345 16,197 16,262 7/31/16 16,842 17,452 18,604 18,915 18,925 1/31/17 19,685 20,513 19,746 20,712 20,903 7/31/17 20,683 21,625 21,571 22,378 22,680 1/31/18 24,633 25,842 24,847 26,030 26,658 7/31/18 24,318 25,591 25,061 25,285 26,050 1/31/19 22,671 23,910 24,307 23,882 24,701 7/31/19 25,211 26,678 27,067 26,191 27,336 1/31/20 26,275 27,897 29,506 27,605 28,750 7/31/20 23,624 25,166 30,324 24,698 25,812 1/31/21 29,901 31,954 35,361 29,472 30,890 7/31/21 36,195 38,813 41,837 36,168 37,853 </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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 64.02% 12.63% 10.71% 9.27% 81.26% 176.55% 253.11% Market Price 64.00% 12.63% 10.70% 9.27% 81.24% 176.28% 253.05% INDEX PERFORMANCE StrataQuant(R) Materials Index 65.20% 13.44% 11.52% 10.08% 87.83% 197.55% 292.17% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Materials Index 41.53% 13.91% 10.68% 7.81% 91.79% 175.93% 191.67% Russell 1000(R) Basic Materials Index(1) 40.95% 13.69% 11.10% N/A 89.98% 186.39% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 64.02% during the period covered by this report. During the same period, the S&P 500(R) Materials Index (the "Benchmark") generated a return of 41.53%. During the period covered by this report, the Chemicals industry received the largest allocation in the Fund with a weight of 55.6%. The largest contribution to the Fund's return was generated by this industry, stemming from its large allocation and 59.9% return, which led to a 34.7% contribution. No industry had a negative contribution to the Fund's performance over the period covered in this report. The Metals & Mining industry was the top performing industry with an 84.2% return, while the Trading Companies & Distributors industry was the worst performing industry with a 30.7% return. On a relative basis, the Fund outperformed the Benchmark. The majority of the Fund's outperformance is due to the Fund outperforming the Benchmark among the Chemicals industry by 23.6%. Investments in this industry led to 14.2% of outperformance. The Fund did not allocate any weighting to the well-performing Construction Materials industry, which created -0.7% of relative drag. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 92.9% Industrials 7.1 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Steel Dynamics, Inc. 5.1% Celanese Corp. 4.9 Freeport-McMoRan, Inc. 4.9 Olin Corp. 4.8 Huntsman Corp. 4.7 Mosaic (The) Co. 4.6 Chemours (The) Co. 4.5 Nucor Corp. 4.1 Reliance Steel & Aluminum Co. 3.9 Avery Dennison Corp. 3.8 ------- Total 45.3% ======= ----------------------------- (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, 2011 - JULY 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> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 9,880 9,932 10,229 10,013 10,116 7/31/12 9,522 9,609 10,796 9,479 9,617 1/31/13 11,568 11,725 11,971 10,754 11,089 7/31/13 11,941 12,147 13,627 11,255 11,662 1/31/14 13,392 13,677 14,633 12,410 12,813 7/31/14 14,058 14,406 15,953 13,857 13,984 1/31/15 13,050 13,409 16,646 13,640 13,727 7/31/15 13,445 13,865 17,745 13,270 13,577 1/31/16 11,510 11,904 16,345 11,391 11,856 7/31/16 15,256 15,838 18,604 14,385 15,073 1/31/17 16,877 17,578 19,746 15,551 16,398 7/31/17 17,395 18,180 21,571 16,481 17,351 1/31/18 20,508 21,515 24,847 19,168 20,089 7/31/18 19,690 20,729 25,061 18,366 19,350 1/3/119 17,056 18,008 24,307 16,561 17,399 7/31/19 17,707 18,769 27,068 18,340 19,221 1/31/20 17,208 18,313 29,507 18,351 19,310 7/31/20 16,859 18,012 30,324 19,499 20,319 1/31/21 22,580 24,217 35,361 23,058 23,457 7/31/21 27,655 29,755 41,837 27,593 28,639 </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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 40.34% 29.70% 19.61% 14.10% 266.96% 499.22% 553.62% Market Price 40.36% 29.69% 19.61% 14.10% 266.82% 499.16% 553.56% INDEX PERFORMANCE StrataQuant(R) Technology Index 41.38% 30.40% 20.37% 14.92% 277.10% 538.78% 623.70% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Information Technology Index 40.03% 30.22% 22.26% 16.24% 274.44% 646.23% 751.21% Russell 1000(R) Technology Index(1) 45.24% 30.78% 21.92% N/A 282.51% 625.86% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 40.34% during the period covered by this report. During the same period, the S&P 500(R) Information Technology Index (the "Benchmark") generated a return of 40.03%. During the period covered by this report, the Software industry received the largest allocation to the Fund's portfolio with a 38.4% weight. This industry also contributed the most to the Fund's return with a 14.6% contribution, stemming from its 38.9% return. The Fund's worst-performing industry was the Specialty Retail industry with an -11.9% return. The only investment in this industry was an allocation of less than 0.1% to Vroom, Inc. Thus, this industry's allocation was negligible, as was its contribution to the Fund's return. The Specialty Retail industry was the only industry with a negative return in the Fund. On a relative basis, the Fund outperformed the Benchmark. Investments in the IT Services industry caused 1.4% outperformance for the Fund versus the Benchmark, the most of any industry. Meanwhile, the industry that caused the most underperformance for the Fund was the Technology Hardware, Storage and Peripherals industry, which caused -1.2% of underperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 88.5% Communication Services 6.3 Industrials 4.3 Health Care 0.6 Consumer Discretionary 0.3 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Fortinet, Inc. 1.7% Cloudflare, Inc., Class A 1.7 Alphabet, Inc., Class A 1.7 EPAM Systems, Inc. 1.6 Gartner, Inc. 1.6 CACI International, Inc., Class A 1.6 Arrow Electronics, Inc. 1.6 Xerox Holdings Corp. 1.5 Jabil, Inc. 1.5 HubSpot, Inc. 1.5 ------- Total 16.0% ======= ----------------------------- (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, 2011 - JULY 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> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 10,128 10,172 10,229 10,629 10,611 7/31/12 9,620 9,698 10,796 11,305 11,055 1/31/13 10,532 10,661 11,971 11,494 11,127 7/31/13 11,981 12,175 13,627 12,564 12,142 1/31/14 13,794 14,075 14,633 14,197 13,794 7/31/14 14,687 15,038 15,953 16,097 15,693 1/31/15 15,508 15,928 16,646 16,819 16,297 7/31/15 16,262 16,757 17,745 18,153 17,388 1/31/16 14,118 14,597 16,345 17,634 16,678 7/31/16 16,329 16,939 18,604 19,928 18,976 1/31/17 18,579 19,265 19,746 22,027 21,077 7/31/17 21,346 22,201 21,571 25,802 24,542 1/31/18 26,304 27,452 24,847 31,522 29,880 7/31/18 26,799 28,061 25,061 33,149 31,368 1/31/19 28,056 29,380 24,307 31,236 29,953 7/31/19 33,016 34,686 27,068 38,361 35,701 1/31/20 35,007 36,924 29,507 45,631 42,113 7/31/20 42,698 45,187 30,324 53,288 49,980 1/31/21 53,112 56,421 35,361 62,576 59,751 7/31/21 59,922 63,878 41,837 74,623 72,586 </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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 14.80% 5.46% 8.99% 6.30% 30.45% 136.58% 138.54% Market Price 14.80% 5.47% 8.99% 6.30% 30.50% 136.58% 138.51% INDEX PERFORMANCE StrataQuant(R) Utilities Index 15.64% 6.12% 9.81% 7.13% 34.57% 154.85% 166.44% Russell 1000(R) Index 37.97% 17.60% 15.39% 10.21% 124.90% 318.37% 299.08% S&P 500(R) Utilities Index 12.03% 8.47% 11.14% 7.17% 50.17% 187.47% 167.94% Russell 1000(R) Utilities Index(1) 15.48% 6.91% 10.10% N/A 39.67% 161.82% N/A ------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 14.80% during the period covered by this report. During the same period, the S&P 500(R) Utilities Index (the "Benchmark") generated a return of 12.03%. During the period covered by this report, the Electric Utilities industry received the largest allocation to the Fund's portfolio with a 55.6% weight. This industry also contributed the most to the Fund's return with an 8.2% contribution, stemming from its 14.2% return. There was no industry with a significantly negative contribution to the Fund's return during the period covered in this report. On a relative basis, the Fund outperformed the Benchmark. The majority of the Fund's outperformance came from the Commercial Services & Supplies industry where the Fund had a 5.4% greater allocation to this well-performing industry, which led to 1.6% of relative outperformance. Investments in the Independent Power and Renewable Electricity Producers industry caused -0.3% of underperformance for the Fund versus the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 96.7% Industrials 3.3 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Evergy, Inc. 4.4% Public Service Enterprise Group, Inc. 4.2 Entergy Corp. 4.2 Consolidated Edison, Inc. 4.2 Atmos Energy Corp. 4.1 Pinnacle West Capital Corp. 4.1 Avangrid, Inc. 4.1 UGI Corp. 4.0 DTE Energy Co. 3.4 Exelon Corp. 3.4 ------- Total 40.1% ======= ----------------------------- (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, 2011 - JULY 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> 7/31/11 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/12 9,926 9,966 10,229 10,695 10,333 7/31/12 10,664 10,755 10,796 11,929 12,115 1/31/13 11,105 11,238 11,971 11,790 12,021 7/31/13 12,361 12,621 13,627 12,885 13,165 1/31/14 12,713 13,034 14,633 13,109 13,252 7/31/14 13,979 14,390 15,953 14,078 14,452 1/31/15 15,775 16,290 16,646 16,804 15,522 7/31/15 14,784 15,317 17,745 15,549 15,038 1/31/16 14,938 15,535 16,345 16,388 15,921 7/31/16 18,133 18,935 18,604 19,141 18,748 1/31/17 18,267 19,141 19,746 18,389 18,152 7/31/17 18,781 19,743 21,571 20,234 18,915 1/31/18 17,752 18,720 24,847 19,736 18,998 7/31/18 18,575 19,667 25,061 20,805 19,131 1/31/19 19,747 20,983 24,307 21,923 20,015 7/31/19 20,751 22,091 27,068 24,244 21,952 1/31/20 21,688 23,160 29,507 28,565 25,113 7/31/20 20,604 22,037 30,324 25,660 22,677 1/31/21 21,179 22,740 35,361 26,666 23,961 7/31/21 23,658 25,485 41,837 28,747 26,182 </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 JULY 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 July 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 FEBRUARY 1, 2021 JULY 31, 2021 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $1,169.20 0.62% $3.33 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,082.20 0.64% $3.30 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $1,239.10 0.65% $3.61 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $1,251.10 0.60% $3.35 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,124.50 0.61% $3.21 Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06 </TABLE> Page 23 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 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 FEBRUARY 1, 2021 JULY 31, 2021 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $1,210.50 0.61% $3.34 Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $1,224.70 0.63% $3.48 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,128.30 0.60% $3.17 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $1,116.90 0.59% $3.10 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2021 through July 31, 2021), multiplied by 181/365 (to reflect the six-month period). Page 24 <PAGE> FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 4.2% 136,212 Aptiv PLC (a) $ 22,726,972 441,496 BorgWarner, Inc. 21,624,474 647,642 Gentex Corp. 22,039,257 88,027 Lear Corp. 15,402,965 --------------- 81,793,668 --------------- AUTOMOBILES -- 4.8% 1,442,150 Ford Motor Co. (a) 20,117,993 452,729 General Motors Co. (a) 25,733,117 233,855 Harley-Davidson, Inc. 9,265,335 15,766 Tesla, Inc. (a) 10,834,395 237,062 Thor Industries, Inc. 28,058,658 --------------- 94,009,498 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 81,282 Copart, Inc. (a) 11,948,454 150,392 Rollins, Inc. 5,764,525 --------------- 17,712,979 --------------- DISTRIBUTORS -- 2.8% 40,668 Genuine Parts Co. 5,161,583 435,402 LKQ Corp. (a) 22,096,651 58,406 Pool Corp. 27,907,555 --------------- 55,165,789 --------------- DIVERSIFIED CONSUMER SERVICES -- 4.3% 103,235 Frontdoor, Inc. (a) 5,052,321 297,741 Grand Canyon Education, Inc. (a) 27,502,336 1,140,882 H&R Block, Inc. 28,008,653 287,925 Service Corp. International 17,992,433 107,807 Terminix Global Holdings, Inc. (a) 5,659,868 --------------- 84,215,611 --------------- ENTERTAINMENT -- 2.7% 112,275 Activision Blizzard, Inc. 9,388,435 35,758 Electronic Arts, Inc. 5,147,722 106,686 Liberty Media Corp.-Liberty Formula One, Class C (a) 5,006,774 58,717 Live Nation Entertainment, Inc. (a) 4,632,184 18,660 Spotify Technology S.A. (a) 4,266,982 60,529 Take-Two Interactive Software, Inc. (a) 10,496,939 185,094 World Wrestling Entertainment, Inc., Class A 9,139,942 483,847 Zynga, Inc., Class A (a) 4,886,855 --------------- 52,965,833 --------------- FOOD & STAPLES RETAILING -- 1.4% 38,994 Costco Wholesale Corp. 16,756,502 75,987 Walmart, Inc. 10,831,947 --------------- 27,588,449 --------------- HOTELS, RESTAURANTS & LEISURE -- 8.2% 250,935 Boyd Gaming Corp. (a) 14,303,295 258,197 Caesars Entertainment, Inc. (a) 22,556,090 6,913 Chipotle Mexican Grill, Inc. (a) 12,881,961 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 43,271 Choice Hotels International, Inc. $ 5,188,193 73,394 Darden Restaurants, Inc. 10,706,717 33,076 Domino's Pizza, Inc. 17,381,107 31,414 Expedia Group, Inc. (a) 5,053,570 22,266 McDonald's Corp. 5,404,181 67,243 Penn National Gaming, Inc. (a) 4,598,076 118,838 Six Flags Entertainment Corp. (a) 4,937,719 45,998 Starbucks Corp. 5,585,537 180,235 Travel + Leisure Co. 9,336,173 16,253 Vail Resorts, Inc. (a) 4,960,415 457,527 Wendy's (The) Co. 10,619,202 71,149 Wyndham Hotels & Resorts, Inc. 5,126,997 232,901 Yum China Holdings, Inc. 14,484,113 44,710 Yum! Brands, Inc. 5,874,447 --------------- 158,997,793 --------------- HOUSEHOLD DURABLES -- 11.2% 296,424 D.R. Horton, Inc. 28,287,742 106,679 Garmin Ltd. 16,769,939 297,814 Leggett & Platt, Inc. 14,304,007 269,632 Lennar Corp., Class A 28,351,805 561,696 Newell Brands, Inc. 13,901,976 3,104 NVR, Inc. (a) 16,210,950 490,891 PulteGroup, Inc. 26,935,189 683,540 Tempur Sealy International, Inc. 29,576,776 370,704 Toll Brothers, Inc. 21,971,626 98,298 Whirlpool Corp. 21,776,939 --------------- 218,086,949 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 127,627 TripAdvisor, Inc. (a) 4,843,445 --------------- INTERNET & DIRECT MARKETING RETAIL -- 4.4% 3,115 Amazon.com, Inc. (a) 10,365,443 305,232 eBay, Inc. 20,819,875 74,961 Etsy, Inc. (a) 13,756,093 2,046,447 Qurate Retail, Inc., Series A 24,270,861 67,881 Wayfair, Inc., Class A (a) 16,383,758 --------------- 85,596,030 --------------- LEISURE PRODUCTS -- 5.0% 113,363 Hasbro, Inc. 11,272,817 1,066,188 Mattel, Inc. (a) 23,157,603 124,416 Peloton Interactive, Inc., Class A (a) 14,687,309 156,471 Polaris, Inc. 20,508,654 291,745 YETI Holdings, Inc. (a) 28,103,796 --------------- 97,730,179 --------------- MEDIA -- 6.6% 698,515 Discovery, Inc., Class A (a) (b) 20,263,920 721,466 Fox Corp., Class A 25,727,478 329,801 Interpublic Group of (The) Cos., Inc. 11,661,763 118,102 New York Times (The) Co., Class A 5,170,506 See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 199,585 News Corp., Class A $ 4,915,779 181,147 Nexstar Media Group, Inc., Class A 26,641,289 133,959 Omnicom Group, Inc. 9,754,894 592,653 ViacomCBS, Inc., Class B 24,257,287 --------------- 128,392,916 --------------- MULTILINE RETAIL -- 5.8% 71,304 Dollar General Corp. 16,588,163 215,382 Dollar Tree, Inc. (a) 21,492,970 388,868 Kohl's Corp. 19,754,494 293,005 Nordstrom, Inc. (a) 9,698,465 183,402 Ollie's Bargain Outlet Holdings, Inc. (a) 17,074,726 110,812 Target Corp. 28,927,473 --------------- 113,536,291 --------------- PERSONAL PRODUCTS -- 0.6% 33,687 Estee Lauder (The) Cos., Inc., Class A 11,245,731 --------------- PROFESSIONAL SERVICES -- 0.8% 625,452 Nielsen Holdings PLC 14,816,958 --------------- ROAD & RAIL -- 1.3% 36,358 AMERCO 21,377,049 85,043 Lyft, Inc., Class A (a) 4,704,579 --------------- 26,081,628 --------------- SOFTWARE -- 0.6% 138,511 Trade Desk (The), Inc., Class A (a) 11,345,436 --------------- SPECIALTY RETAIL -- 26.0% 75,214 Advance Auto Parts, Inc. 15,949,881 282,541 AutoNation, Inc. (a) 34,280,700 10,338 AutoZone, Inc. (a) 16,784,467 186,383 Best Buy Co., Inc. 20,940,130 66,559 Burlington Stores, Inc. (a) 22,283,953 165,934 CarMax, Inc. (a) 22,226,859 88,758 Carvana Co. (a) 29,961,151 267,375 Dick's Sporting Goods, Inc. 27,844,433 79,839 Five Below, Inc. (a) 15,522,298 202,748 Floor & Decor Holdings, Inc., Class A (a) 24,737,284 434,661 Foot Locker, Inc. 24,801,757 100,074 GameStop Corp., Class A (a) 16,123,923 318,432 Gap (The), Inc. 9,288,661 48,385 Home Depot (The), Inc. 15,879,473 371,747 L Brands, Inc. 29,765,782 62,362 Lithia Motors, Inc. 23,524,194 79,546 Lowe's Cos., Inc. 15,327,719 27,252 O'Reilly Automotive, Inc. (a) 16,455,848 354,854 Penske Automotive Group, Inc. 31,440,064 39,452 RH (a) 26,199,284 41,476 Ross Stores, Inc. 5,088,690 76,287 TJX (The) Cos., Inc. 5,249,309 115,179 Tractor Supply Co. 20,839,336 44,623 Ulta Beauty, Inc. (a) 14,984,403 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 134,232 Williams-Sonoma, Inc. $ 20,362,994 --------------- 505,862,593 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 7.5% 149,556 Carter's, Inc. 14,617,603 108,937 Columbia Sportswear Co. 10,852,304 69,750 Deckers Outdoor Corp. (a) 28,656,787 826,454 Hanesbrands, Inc. 15,091,050 29,357 Lululemon Athletica, Inc. (a) 11,747,791 69,358 NIKE, Inc., Class B 11,618,159 99,595 PVH Corp. (a) 10,419,629 430,067 Skechers U.S.A., Inc., Class A (a) 23,085,996 354,872 Tapestry, Inc. (a) 15,011,086 243,178 Under Armour, Inc., Class A (a) 4,972,990 --------------- 146,073,395 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 63,309 SiteOne Landscape Supply, Inc. (a) 11,065,147 --------------- TOTAL COMMON STOCKS -- 100.0% 1,947,126,318 (Cost $1,564,895,541) --------------- MONEY MARKET FUNDS -- 0.9% 15,795,768 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 15,795,768 2,130,682 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 2,130,682 --------------- TOTAL MONEY MARKET FUNDS -- 0.9% 17,926,450 (Cost $17,926,450) --------------- TOTAL INVESTMENTS -- 100.9% 1,965,052,768 (Cost $1,582,821,991) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (16,916,923) --------------- NET ASSETS -- 100.0% $ 1,948,135,845 =============== (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 $14,841,516 and the total value of the collateral held by the Fund is $15,795,768. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 (e) Aggregate cost for federal income tax purposes is $1,594,658,470. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $404,924,698 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $34,530,400. The net unrealized appreciation was $370,394,298. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,947,126,318 $ -- $ -- Money Market Funds 17,926,450 -- -- -------------------------------------------- Total Investments $1,965,052,768 $ -- $ -- ============================================ * 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) $ 14,841,516 Non-cash Collateral(2) (14,841,516) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% BEVERAGES -- 7.3% 2,048 Boston Beer (The) Co., Inc., Class A (a) $ 1,454,080 26,813 Constellation Brands, Inc., Class A 6,015,228 118,642 Keurig Dr Pepper, Inc. 4,177,385 45,769 Monster Beverage Corp. (a) 4,316,932 14,109 PepsiCo, Inc. 2,214,408 --------------- 18,178,033 --------------- CHEMICALS -- 3.3% 188,542 Corteva, Inc. 8,065,827 --------------- FOOD & STAPLES RETAILING -- 11.4% 318,993 Albertsons Cos., Inc., Class A (b) 6,890,249 42,961 Casey's General Stores, Inc. 8,493,819 120,627 Grocery Outlet Holding Corp. (a) 3,995,166 218,269 Kroger (The) Co. 8,883,548 --------------- 28,262,782 --------------- FOOD PRODUCTS -- 51.6% 172,481 Archer-Daniels-Midland Co. 10,300,565 26,547 Beyond Meat, Inc. (a) 3,257,317 133,747 Bunge Ltd. 10,382,779 137,561 Campbell Soup Co. 6,014,167 287,310 Conagra Brands, Inc. 9,622,012 92,909 Darling Ingredients, Inc. (a) 6,417,224 345,532 Flowers Foods, Inc. 8,140,734 25,655 Freshpet, Inc. (a) 3,757,175 137,236 General Mills, Inc. 8,077,711 12,003 Hershey (The) Co. 2,147,097 131,339 Hormel Foods Corp. 6,091,503 80,669 J.M. Smucker (The) Co. 10,576,512 97,488 Kellogg Co. 6,176,840 51,261 Kraft Heinz (The) Co. 1,972,011 23,669 McCormick & Co., Inc. 1,992,220 100,440 Mondelez International, Inc., Class A 6,353,834 377,001 Pilgrim's Pride Corp. (a) 8,350,572 77,089 Post Holdings, Inc. (a) 7,889,288 141,708 Tyson Foods, Inc., Class A 10,126,454 --------------- 127,646,015 --------------- HEALTH CARE PROVIDERS & SERVICES -- 5.1% 125,268 CVS Health Corp. 10,317,072 10,932 McKesson Corp. 2,228,270 --------------- 12,545,342 --------------- HOUSEHOLD PRODUCTS -- 16.1% 49,060 Church & Dwight Co., Inc. 4,247,615 11,620 Clorox (The) Co. 2,101,942 25,697 Colgate-Palmolive Co. 2,042,911 31,253 Kimberly-Clark Corp. 4,241,657 46,479 Procter & Gamble (The) Co. 6,610,708 344,393 Reynolds Consumer Products, Inc. 9,797,981 122,910 Spectrum Brands Holdings, Inc. 10,736,189 --------------- 39,779,003 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- PERSONAL PRODUCTS -- 3.3% 158,579 Herbalife Nutrition Ltd. (a) $ 8,078,014 --------------- TOBACCO -- 1.7% 42,186 Philip Morris International, Inc. 4,222,397 --------------- TOTAL COMMON STOCKS -- 99.8% 246,777,413 (Cost $234,241,018) --------------- MONEY MARKET FUNDS -- 0.8% 1,580,433 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 1,580,433 437,581 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class -0.01% (c) 437,581 --------------- TOTAL MONEY MARKET FUNDS -- 0.8% 2,018,014 (Cost $2,018,014) --------------- TOTAL INVESTMENTS -- 100.6% 248,795,427 (Cost $236,259,032) (e) NET OTHER ASSETS AND LIABILITIES -- (0.6)% (1,484,649) --------------- NET ASSETS -- 100.0% $ 247,310,778 =============== (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 $1,547,964 and the total value of the collateral held by the Fund is $1,580,433. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $236,975,566. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $20,189,647 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $8,369,786. The net unrealized appreciation was $11,819,861. Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 246,777,413 $ -- $ -- Money Market Funds 2,018,014 -- -- -------------------------------------------- Total Investments $ 248,795,427 $ -- $ -- ============================================ * 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) $ 1,547,964 Non-cash Collateral(2) (1,547,964) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.6% ELECTRICAL EQUIPMENT -- 3.1% 87,288 ChargePoint Holdings, Inc. (a) (b) $ 2,064,361 202,727 Plug Power, Inc. (b) 5,530,393 85,420 Shoals Technologies Group, Inc., Class A (b) 2,484,868 --------------- 10,079,622 --------------- ENERGY EQUIPMENT & SERVICES -- 7.4% 454,596 Baker Hughes Co. 9,655,619 449,684 Halliburton Co. 9,299,465 197,932 NOV, Inc. (b) 2,733,441 94,729 Schlumberger N.V. 2,731,037 --------------- 24,419,562 --------------- OIL, GAS & CONSUMABLE FUELS -- 80.8% 1,667,743 Antero Midstream Corp. 15,843,558 140,194 APA Corp. 2,628,637 793,950 Cabot Oil & Gas Corp. 12,703,200 199,763 Cheniere Energy, Inc. (b) 16,965,872 66,173 Chevron Corp. 6,737,073 239,175 Cimarex Energy Co. 15,594,210 170,718 ConocoPhillips 9,570,451 455,639 Continental Resources, Inc. 15,560,072 103,885 Devon Energy Corp. 2,684,388 147,641 Diamondback Energy, Inc. 11,387,550 166,132 EOG Resources, Inc. 12,104,378 622,739 EQT Corp. (b) 11,452,170 48,077 Exxon Mobil Corp. 2,767,793 158,755 Hess Corp. 12,135,232 316,010 HollyFrontier Corp. 9,290,694 950,515 Kinder Morgan, Inc. 16,519,951 1,017,786 Marathon Oil Corp. 11,796,140 114,717 Marathon Petroleum Corp. 6,334,673 182,979 New Fortress Energy, Inc. 5,546,093 554,136 Occidental Petroleum Corp. 14,462,950 186,861 ONEOK, Inc. 9,711,166 35,339 Phillips 66 2,594,943 42,647 Pioneer Natural Resources Co. 6,199,594 233,899 Targa Resources Corp. 9,849,487 4,331 Texas Pacific Land Corp. 6,464,234 88,774 Valero Energy Corp. 5,945,195 522,115 Williams (The) Cos., Inc. 13,078,981 --------------- 265,928,685 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 8.3% 56,616 Enphase Energy, Inc. (b) 10,734,393 191,441 First Solar, Inc. (b) 16,471,584 --------------- 27,205,977 --------------- TOTAL COMMON STOCKS -- 99.6% 327,633,846 (Cost $303,170,594) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.8% 1,891,120 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) $ 1,891,120 717,435 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 717,435 --------------- TOTAL MONEY MARKET FUNDS -- 0.8% 2,608,555 (Cost $2,608,555) --------------- TOTAL INVESTMENTS -- 100.4% 330,242,401 (Cost $305,779,149) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (1,276,189) --------------- NET ASSETS -- 100.0% $ 328,966,212 =============== (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 $1,821,050 and the total value of the collateral held by the Fund is $1,891,120. (b) Non-income producing security. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $310,946,317. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $40,290,762 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $20,994,678. The net unrealized appreciation was $19,296,084. Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 327,633,846 $ -- $ -- Money Market Funds 2,608,555 -- -- -------------------------------------------- Total Investments $ 330,242,401 $ -- $ -- ============================================ * 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) $ 1,821,050 Non-cash Collateral(2) (1,821,050) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 20.7% 101,476 Bank of America Corp. $ 3,892,619 99,239 Bank OZK 4,040,020 144,938 BOK Financial Corp. 12,176,241 236,546 Citigroup, Inc. 15,995,241 182,423 Citizens Financial Group, Inc. 7,690,954 117,294 Comerica, Inc. 8,053,406 37,356 Cullen/Frost Bankers, Inc. 4,009,046 58,362 East West Bancorp, Inc. 4,152,456 1,017,979 F.N.B. Corp. 11,666,039 218,880 Fifth Third Bancorp 7,943,155 5,025 First Citizens BancShares, Inc., Class A 3,932,515 147,632 First Hawaiian, Inc. 4,064,309 968,495 First Horizon Corp. 14,963,248 879,586 Huntington Bancshares, Inc. 12,384,571 53,798 JPMorgan Chase & Co. 8,165,460 405,220 KeyCorp 7,966,625 86,378 M&T Bank Corp. 11,561,695 203,299 PacWest Bancorp 8,095,366 47,389 Pinnacle Financial Partners, Inc. 4,246,528 21,933 PNC Financial Services Group (The), Inc. 4,000,799 222,992 Popular, Inc. 16,224,898 174,815 Prosperity Bancshares, Inc. 11,920,635 414,659 Regions Financial Corp. 7,982,186 337,547 Sterling Bancorp 7,328,145 190,698 Synovus Financial Corp. 7,799,548 150,771 Truist Financial Corp. 8,206,466 73,441 U.S. Bancorp 4,078,913 680,310 Umpqua Holdings Corp. 12,837,450 78,438 Webster Financial Corp. 3,772,868 184,761 Wells Fargo & Co. 8,487,920 45,062 Western Alliance Bancorp 4,182,655 110,641 Wintrust Financial Corp. 7,899,767 237,453 Zions Bancorp N.A. 12,383,174 --------------- 272,104,918 --------------- CAPITAL MARKETS -- 26.0% 54,262 Affiliated Managers Group, Inc. 8,597,271 16,810 Ameriprise Financial, Inc. 4,329,584 269,060 Apollo Global Management, Inc. 15,836,872 263,180 Ares Management Corp., Class A 18,846,320 245,007 Bank of New York Mellon (The) Corp. 12,576,209 215,354 Blackstone Group (The), Inc. 24,823,856 360,060 Carlyle Group (The), Inc. 18,172,228 35,144 Cboe Global Markets, Inc. 4,163,510 89,166 Evercore, Inc., Class A 11,787,745 523,150 Franklin Resources, Inc. 15,459,082 55,120 Goldman Sachs Group (The), Inc. 20,663,386 469,574 Invesco Ltd. 11,448,214 539,023 Janus Henderson Group PLC 22,552,722 611,681 Jefferies Financial Group, Inc. 20,301,692 282,505 KKR & Co., Inc. 18,012,519 184,923 Lazard Ltd., Class A 8,728,366 30,997 LPL Financial Holdings, Inc. 4,371,817 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 11,546 Moody's Corp. $ 4,341,296 91,261 Morgan Stanley 8,759,231 16,272 Morningstar, Inc. 4,110,795 7,849 MSCI, Inc. 4,677,690 96,625 Raymond James Financial, Inc. 12,511,005 202,544 SEI Investments Co. 12,314,675 152,549 State Street Corp. 13,293,120 129,014 Stifel Financial Corp. 8,584,592 63,402 T. Rowe Price Group, Inc. 12,944,152 757,131 Virtu Financial, Inc., Class A 19,488,552 --------------- 341,696,501 --------------- CONSUMER FINANCE -- 7.6% 335,787 Ally Financial, Inc. 17,246,020 36,854 Credit Acceptance Corp. (a) (b) 17,865,714 141,479 Discover Financial Services 17,588,669 279,345 OneMain Holdings, Inc. 17,040,045 460,781 Santander Consumer USA Holdings, Inc. 18,905,845 599,412 SLM Corp. 11,286,928 --------------- 99,933,221 --------------- DIVERSIFIED FINANCIAL SERVICES -- 2.9% 75,272 Berkshire Hathaway, Inc., Class B (b) 20,947,445 272,123 Voya Financial, Inc. 17,524,721 --------------- 38,472,166 --------------- INSURANCE -- 35.5% 389,853 Aflac, Inc. 21,441,915 25,089 Alleghany Corp. (b) 16,636,516 160,376 Allstate (The) Corp. 20,856,899 100,639 American Financial Group, Inc. 12,729,827 537,224 Arch Capital Group Ltd. (b) 20,951,736 440,596 Assured Guaranty Ltd. 21,064,895 309,919 Athene Holding Ltd., Class A (b) 20,026,966 78,970 Chubb Ltd. 13,325,398 179,383 Cincinnati Financial Corp. 21,145,668 49,807 Everest Re Group Ltd. 12,592,704 481,350 Fidelity National Financial, Inc. 21,473,023 335,516 First American Financial Corp. 22,583,582 131,776 Globe Life, Inc. 12,269,663 123,382 Hanover Insurance Group (The), Inc. 16,767,614 270,060 Hartford Financial Services Group (The), Inc. 17,181,217 226,463 Kemper Corp. 14,948,823 66,580 Lincoln National Corp. 4,102,660 17,628 Markel Corp. (b) 21,262,365 322,087 Mercury General Corp. 19,592,552 839,803 Old Republic International Corp. 20,709,542 27,321 Primerica, Inc. 3,994,877 132,422 Principal Financial Group, Inc. 8,227,379 170,405 Progressive (The) Corp. 16,215,740 81,661 Prudential Financial, Inc. 8,188,965 73,402 Reinsurance Group of America, Inc. 8,087,432 Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 56,228 RenaissanceRe Holdings Ltd. $ 8,585,453 83,839 Travelers (The) Cos., Inc. 12,485,304 589,282 Unum Group 16,146,327 56,212 W.R. Berkley Corp. 4,113,032 18,222 White Mountains Insurance Group Ltd. 20,619,468 36,379 Willis Towers Watson PLC 7,496,984 --------------- 465,824,526 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 4.5% 1,238,573 AGNC Investment Corp. 19,656,153 2,355,799 Annaly Capital Management, Inc. 20,000,734 1,580,321 New Residential Investment Corp. 15,423,933 159,875 Starwood Property Trust, Inc. 4,161,546 --------------- 59,242,366 --------------- THRIFTS & MORTGAGE FINANCE -- 2.7% 1,538,199 MGIC Investment Corp. 21,288,674 1,138,991 New York Community Bancorp, Inc. 13,417,314 --------------- 34,705,988 --------------- TOTAL COMMON STOCKS -- 99.9% 1,311,979,686 (Cost $1,158,844,355) --------------- MONEY MARKET FUNDS -- 1.0% 11,886,285 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 11,886,285 682,615 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 682,615 --------------- TOTAL MONEY MARKET FUNDS -- 1.0% 12,568,900 (Cost $12,568,900) --------------- TOTAL INVESTMENTS -- 100.9% 1,324,548,586 (Cost $1,171,413,255) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (11,662,516) --------------- NET ASSETS -- 100.0% $ 1,312,886,070 =============== (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 $11,729,495 and the total value of the collateral held by the Fund is $11,886,285. (b) Non-income producing security. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,189,180,820. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $170,887,342 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $35,519,576. The net unrealized appreciation was $135,367,766. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,311,979,686 $ -- $ -- Money Market Funds 12,568,900 -- -- -------------------------------------------- Total Investments $1,324,548,586 $ -- $ -- ============================================ * 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) $ 11,729,495 Non-cash Collateral(2) (11,729,495) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 17.9% 50,783 AbbVie, Inc. $ 5,906,063 107,185 Alnylam Pharmaceuticals, Inc. (a) 19,179,684 49,696 Amgen, Inc. 12,003,572 52,474 Biogen, Inc. (a) 17,144,830 290,349 BioMarin Pharmaceutical, Inc. (a) 22,278,479 194,042 Horizon Therapeutics PLC (a) 19,408,081 67,992 Incyte Corp. (a) 5,259,181 128,877 Moderna, Inc. (a) 45,570,907 160,047 Natera, Inc. (a) 18,328,582 142,638 Novavax, Inc. (a) 25,579,273 43,375 Regeneron Pharmaceuticals, Inc. (a) 24,923,709 533,066 Sage Therapeutics, Inc. (a) 23,310,976 36,231 Seagen, Inc. (a) 5,557,473 135,036 United Therapeutics Corp. (a) 24,567,099 90,116 Vertex Pharmaceuticals, Inc. (a) 18,165,583 --------------- 287,183,492 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 24.9% 104,489 Abbott Laboratories 12,641,079 29,738 Align Technology, Inc. (a) 20,691,700 71,059 Baxter International, Inc. 5,496,414 49,810 Becton, Dickinson and Co. 12,738,908 76,421 Cooper (The) Cos., Inc. 32,232,085 90,277 Danaher Corp. 26,856,505 90,424 DENTSPLY SIRONA, Inc. 5,971,601 13,396 Dexcom, Inc. (a) 6,905,772 55,230 Edwards Lifesciences Corp. (a) 6,200,672 132,382 Envista Holdings Corp. (a) 5,703,017 234,362 Globus Medical, Inc., Class A (a) 19,491,888 106,641 Hill-Rom Holdings, Inc. 14,765,513 453,889 Hologic, Inc. (a) 34,059,831 58,860 ICU Medical, Inc. (a) 11,965,649 38,361 IDEXX Laboratories, Inc. (a) 26,029,089 177,511 Integra LifeSciences Holdings Corp. (a) 12,850,021 6,220 Intuitive Surgical, Inc. (a) 6,166,881 23,593 Masimo Corp. (a) 6,426,497 46,083 Medtronic PLC 6,051,159 136,523 Novocure Ltd. (a) 21,025,907 44,200 Penumbra, Inc. (a) 11,767,366 236,368 Quidel Corp. (a) 33,438,981 49,138 ResMed, Inc. 13,355,708 27,728 STERIS PLC 6,043,318 67,465 West Pharmaceutical Services, Inc. 27,777,364 75,323 Zimmer Biomet Holdings, Inc. 12,309,285 --------------- 398,962,210 --------------- HEALTH CARE PROVIDERS & SERVICES -- 23.9% 91,159 Acadia Healthcare Co., Inc. (a) 5,626,333 23,355 Amedisys, Inc. (a) 6,086,780 47,591 Anthem, Inc. 18,275,420 212,181 Cardinal Health, Inc. 12,599,308 332,192 Centene Corp. (a) 22,791,693 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 38,293 Chemed Corp. $ 18,228,234 127,741 Cigna Corp. 29,315,282 100,585 DaVita, Inc. (a) 12,095,346 155,240 Encompass Health Corp. 12,923,730 117,185 HCA Healthcare, Inc. 29,085,317 244,913 Henry Schein, Inc. (a) 19,629,777 54,722 Humana, Inc. 23,303,911 109,782 Laboratory Corp. of America Holdings (a) 32,511,939 95,735 Molina Healthcare, Inc. (a) 26,136,612 870,465 Premier, Inc., Class A 31,023,373 229,472 Quest Diagnostics, Inc. 32,539,130 45,376 UnitedHealth Group, Inc. 18,704,895 206,812 Universal Health Services, Inc., Class B 33,174,713 --------------- 384,051,793 --------------- HEALTH CARE TECHNOLOGY -- 2.0% 232,473 Cerner Corp. 18,688,504 38,956 Veeva Systems, Inc., Class A (a) 12,961,051 --------------- 31,649,555 --------------- LIFE SCIENCES TOOLS & SERVICES -- 22.8% 123,720 10X Genomics, Inc., Class A (a) 22,669,216 163,905 Agilent Technologies, Inc. 25,115,163 852,815 Avantor, Inc. (a) 32,048,788 47,003 Bio-Rad Laboratories, Inc., Class A (a) 34,759,189 53,806 Bio-Techne Corp. 25,947,406 318,857 Bruker Corp. 26,225,988 81,865 Charles River Laboratories International, Inc. (a) 33,312,506 12,088 Illumina, Inc. (a) 5,992,626 124,973 IQVIA Holdings, Inc. (a) 30,955,812 156,899 PerkinElmer, Inc. 28,591,705 657,051 PPD, Inc. (a) 30,303,192 375,570 QIAGEN N.V. (a) 19,826,340 28,656 Repligen Corp. (a) 7,040,779 270,720 Syneos Health, Inc. (a) 24,275,462 36,018 Thermo Fisher Scientific, Inc. 19,450,080 --------------- 366,514,252 --------------- PHARMACEUTICALS -- 8.4% 752 AstraZeneca PLC, ADR 43,044 112,037 Catalent, Inc. (a) 13,423,153 79,166 Eli Lilly and Co. 19,276,921 136,382 Jazz Pharmaceuticals PLC (a) 23,119,477 73,530 Johnson & Johnson 12,661,866 155,759 Merck & Co., Inc. 11,973,194 309,331 Pfizer, Inc. 13,242,460 443,281 Royalty Pharma PLC, Class A 16,933,334 1,271,524 Viatris, Inc. 17,890,343 30,694 Zoetis, Inc. 6,221,674 --------------- 134,785,466 --------------- TOTAL COMMON STOCKS -- 99.9% 1,603,146,768 (Cost $1,303,906,103) --------------- Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 2,581,269 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) $ 2,581,269 (Cost $2,581,269) --------------- TOTAL INVESTMENTS -- 100.1% 1,605,728,037 (Cost $1,306,487,372) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (980,165) --------------- NET ASSETS -- 100.0% $ 1,604,747,872 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2021. (c) Aggregate cost for federal income tax purposes is $1,310,591,130. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $330,786,997 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $35,650,090. The net unrealized appreciation was $295,136,907. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,603,146,768 $ -- $ -- Money Market Funds 2,581,269 -- -- -------------------------------------------- Total Investments $1,605,728,037 $ -- $ -- ============================================ * 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 10.2% 126,918 Axon Enterprise, Inc. (a) $ 23,609,286 231,650 BWX Technologies, Inc. 13,303,660 151,158 Curtiss-Wright Corp. 17,881,991 95,352 General Dynamics Corp. 18,691,853 260,393 Howmet Aerospace, Inc. (a) 8,546,098 106,474 Huntington Ingalls Industries, Inc. 21,841,012 62,288 L3Harris Technologies, Inc. 14,123,181 35,584 Lockheed Martin Corp. 13,225,505 65,202 Mercury Systems, Inc. (a) 4,303,332 49,395 Northrop Grumman Corp. 17,931,373 91,580 Spirit AeroSystems Holdings, Inc., Class A 3,957,172 10,320 Teledyne Technologies, Inc. (a) 4,672,586 130,516 Textron, Inc. 9,006,909 292,684 Virgin Galactic Holdings, Inc. (a) (b) 8,777,593 --------------- 179,871,551 --------------- AIR FREIGHT & LOGISTICS -- 5.6% 143,734 C.H. Robinson Worldwide, Inc. 12,816,761 177,246 Expeditors International of Washington, Inc. 22,731,800 75,215 FedEx Corp. 21,056,439 107,895 United Parcel Service, Inc., Class B 20,646,787 160,407 XPO Logistics, Inc. (a) 22,246,847 --------------- 99,498,634 --------------- BUILDING PRODUCTS -- 9.2% 124,557 A.O. Smith Corp. 8,760,094 192,496 Advanced Drainage Systems, Inc. 23,501,837 83,681 Armstrong World Industries, Inc. 9,052,610 526,000 Builders FirstSource, Inc. (a) 23,407,000 461,714 Carrier Global Corp. 25,509,698 135,160 Fortune Brands Home & Security, Inc. 13,174,045 73,359 Masco Corp. 4,380,266 229,205 Owens Corning 22,040,353 97,488 Trane Technologies PLC 19,849,532 131,723 Trex Co., Inc. (a) 12,790,303 --------------- 162,465,738 --------------- CHEMICALS -- 1.0% 52,870 PPG Industries, Inc. 8,645,302 48,733 RPM International, Inc. 4,219,791 15,861 Sherwin-Williams (The) Co. 4,616,027 --------------- 17,481,120 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 831,854 ADT, Inc. 8,726,148 --------------- CONSTRUCTION & ENGINEERING -- 2.2% 169,192 MasTec, Inc. (a) 17,127,306 198,203 Quanta Services, Inc. 18,016,653 18,308 Valmont Industries, Inc. 4,338,080 --------------- 39,482,039 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSTRUCTION MATERIALS -- 2.3% 126,319 Eagle Materials, Inc. $ 17,851,401 38,271 Martin Marietta Materials, Inc. 13,903,854 51,563 Vulcan Materials Co. 9,280,825 --------------- 41,036,080 --------------- CONSUMER FINANCE -- 3.3% 81,485 American Express Co. 13,895,637 145,060 Capital One Financial Corp. 23,456,202 462,472 Synchrony Financial 21,745,433 --------------- 59,097,272 --------------- CONTAINERS & PACKAGING -- 7.5% 1,174,828 Amcor PLC 13,581,012 30,683 AptarGroup, Inc. 3,955,652 344,056 Berry Global Group, Inc. (a) 22,119,360 87,815 Crown Holdings, Inc. 8,760,425 989,602 Graphic Packaging Holding Co. 18,970,670 99,422 Packaging Corp. of America 14,068,213 378,720 Sealed Air Corp. 21,492,360 432,565 Silgan Holdings, Inc. 17,527,534 134,165 Sonoco Products Co. 8,558,385 81,202 WestRock Co. 3,995,951 --------------- 133,029,562 --------------- ELECTRICAL EQUIPMENT -- 5.5% 71,987 Acuity Brands, Inc. 12,625,080 32,373 AMETEK, Inc. 4,501,466 29,165 Eaton Corp. PLC 4,609,528 93,264 Emerson Electric Co. 9,409,405 54,051 Generac Holdings, Inc. (a) 22,666,827 48,039 Hubbell, Inc. 9,629,898 134,459 Regal Beloit Corp. 19,796,399 31,381 Rockwell Automation, Inc. 9,647,147 74,547 Sensata Technologies Holding PLC (a) 4,369,945 --------------- 97,255,695 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.5% 67,911 Coherent, Inc. (a) 16,702,031 58,129 Keysight Technologies, Inc. (a) 9,565,127 16,960 Littelfuse, Inc. 4,511,191 413,244 Vontier Corp. 13,368,443 33,903 Zebra Technologies Corp., Class A (a) 18,730,730 --------------- 62,877,522 --------------- HOUSEHOLD DURABLES -- 1.8% 116,754 Mohawk Industries, Inc. (a) 22,755,355 45,384 TopBuild Corp. (a) 9,198,883 --------------- 31,954,238 --------------- INDUSTRIAL CONGLOMERATES -- 1.6% 67,782 3M Co. 13,416,769 70,351 Carlisle Cos., Inc. 14,227,786 --------------- 27,644,555 --------------- IT SERVICES -- 6.2% 14,659 Accenture PLC, Class A 4,656,871 172,295 Alliance Data Systems Corp. 16,066,509 Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 40,431 Fiserv, Inc. (a) $ 4,654,012 16,879 FleetCor Technologies, Inc. (a) 4,358,495 197,571 Genpact Ltd. 9,841,011 23,043 Global Payments, Inc. 4,456,747 26,433 Jack Henry & Associates, Inc. 4,601,721 61,586 PayPal Holdings, Inc. (a) 16,968,791 191,545 Shift4 Payments, Inc., Class A (a) 17,083,899 73,631 Square, Inc., Class A (a) 18,206,001 390,756 Western Union (The) Co. 9,069,447 --------------- 109,963,504 --------------- LEISURE PRODUCTS -- 1.8% 225,249 Brunswick Corp. 23,515,995 344,952 Hayward Holdings, Inc. (a) 8,309,894 --------------- 31,825,889 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.5% 12,957 Mettler-Toledo International, Inc. (a) 19,094,860 64,928 Waters Corp. (a) 25,309,584 --------------- 44,404,444 --------------- MACHINERY -- 16.4% 137,685 AGCO Corp. 18,189,565 338,792 Allison Transmission Holdings, Inc. 13,521,189 195,933 Colfax Corp. (a) 8,989,406 145,758 Crane Co. 14,172,050 73,629 Cummins, Inc. 17,089,291 38,173 Deere & Co. 13,802,975 141,282 Donaldson Co., Inc. 9,351,455 28,697 Dover Corp. 4,795,843 321,754 Fortive Corp. 23,378,646 496,719 Gates Industrial Corp. PLC (a) 8,995,581 57,089 Graco, Inc. 4,457,509 32,813 Lincoln Electric Holdings, Inc. 4,575,117 77,706 Middleby (The) Corp. (a) 14,879,922 108,019 Oshkosh Corp. 12,913,671 201,135 PACCAR, Inc. 16,692,194 29,227 Parker-Hannifin Corp. 9,119,701 132,992 Pentair PLC 9,797,521 100,431 Snap-on, Inc. 21,891,949 87,574 Stanley Black & Decker, Inc. 17,256,457 122,530 Toro (The) Co. 13,936,562 163,593 Westinghouse Air Brake Technologies Corp. 13,884,138 35,171 Woodward, Inc. 4,275,387 112,233 Xylem, Inc. 14,124,523 --------------- 290,090,652 --------------- MARINE -- 1.0% 296,034 Kirby Corp. (a) 17,143,329 --------------- MULTI-UTILITIES -- 1.3% 715,995 MDU Resources Group, Inc. 22,711,361 --------------- PAPER & FOREST PRODUCTS -- 1.2% 372,186 Louisiana-Pacific Corp. 20,633,992 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- PROFESSIONAL SERVICES -- 3.3% 74,951 Equifax, Inc. $ 19,532,231 98,554 FTI Consulting, Inc. (a) 14,359,318 32,389 Jacobs Engineering Group, Inc. 4,380,612 201,768 Robert Half International, Inc. 19,815,635 --------------- 58,087,796 --------------- ROAD & RAIL -- 6.8% 279,791 CSX Corp. 9,042,845 82,624 J.B. Hunt Transport Services, Inc. 13,918,013 15,250 Kansas City Southern 4,083,950 493,604 Knight-Swift Transportation Holdings, Inc. 24,527,183 56,799 Landstar System, Inc. 8,917,443 33,818 Norfolk Southern Corp. 8,719,295 17,026 Old Dominion Freight Line, Inc. 4,582,548 241,507 Ryder System, Inc. 18,390,758 1,030,742 Schneider National, Inc., Class B 23,129,850 19,651 Union Pacific Corp. 4,298,853 --------------- 119,610,738 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.7% 75,661 MKS Instruments, Inc. 11,836,407 --------------- SOFTWARE -- 1.4% 122,499 Bill.com Holdings, Inc. (a) 25,335,243 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.1% 537,596 Air Lease Corp. 22,772,567 100,032 MSC Industrial Direct Co., Inc., Class A 8,919,853 56,271 United Rentals, Inc. (a) 18,544,108 9,865 W.W. Grainger, Inc. 4,385,782 --------------- 54,622,310 --------------- TOTAL COMMON STOCKS -- 99.9% 1,766,685,819 (Cost $1,605,725,686) --------------- MONEY MARKET FUNDS -- 0.3% 2,736,950 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 2,736,950 1,780,489 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 1,780,489 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 4,517,439 (Cost $4,517,439) --------------- TOTAL INVESTMENTS -- 100.2% 1,771,203,258 (Cost $1,610,243,125) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (3,598,769) --------------- NET ASSETS -- 100.0% $ 1,767,604,489 =============== See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 (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 $2,614,049 and the total value of the collateral held by the Fund is $2,736,950. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,616,376,536. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $182,447,769 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $27,621,047. The net unrealized appreciation was $154,826,722. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,766,685,819 $ -- $ -- Money Market Funds 4,517,439 -- -- -------------------------------------------- Total Investments $1,771,203,258 $ -- $ -- ============================================ * 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) $ 2,614,049 Non-cash Collateral(2) (2,614,049) --------------- 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 July 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 38 See Notes to Financial Statements <PAGE> FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.7% 61,134 Hexcel Corp. (a) $ 3,326,912 --------------- CHEMICALS -- 55.8% 30,308 Air Products and Chemicals, Inc. 8,820,537 22,648 Albemarle Corp. 4,666,394 130,792 Ashland Global Holdings, Inc. 11,126,475 143,795 Celanese Corp. 22,398,947 222,439 CF Industries Holdings, Inc. 10,510,243 626,407 Chemours (The) Co. 20,828,033 180,858 Dow, Inc. 11,242,133 98,023 Eastman Chemical Co. 11,049,153 18,524 Ecolab, Inc. 4,090,655 372,949 Element Solutions, Inc. 8,723,277 80,587 FMC Corp. 8,618,780 821,983 Huntsman Corp. 21,708,571 25,532 International Flavors & Fragrances, Inc. 3,846,140 169,528 LyondellBasell Industries N.V., Class A 16,839,216 683,144 Mosaic (The) Co. 21,334,587 54,160 NewMarket Corp. 17,109,686 471,227 Olin Corp. 22,161,806 19,877 Scotts Miracle-Gro (The) Co. 3,517,434 117,525 Valvoline, Inc. 3,605,667 126,154 W.R. Grace & Co. 8,780,318 193,578 Westlake Chemical Corp. 16,051,488 --------------- 257,029,540 --------------- CONTAINERS & PACKAGING -- 6.2% 82,947 Avery Dennison Corp. 17,475,274 186,666 International Paper Co. 10,781,828 --------------- 28,257,102 --------------- MACHINERY -- 2.5% 142,010 Timken (The) Co. 11,289,795 --------------- METALS & MINING -- 30.9% 236,686 Alcoa Corp. (a) 9,502,943 176,939 Cleveland-Cliffs, Inc. (a) 4,423,475 587,419 Freeport-McMoRan, Inc. 22,380,664 275,150 Newmont Corp. 17,284,923 181,793 Nucor Corp. 18,910,108 115,567 Reliance Steel & Aluminum Co. 18,161,354 100,301 Royal Gold, Inc. 12,188,577 177,931 Southern Copper Corp. 11,679,391 365,758 Steel Dynamics, Inc. 23,573,103 158,949 United States Steel Corp. 4,208,970 --------------- 142,313,508 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.9% 167,683 Fastenal Co. 9,183,998 357,657 Univar Solutions, Inc. (a) 8,776,903 --------------- 17,960,901 --------------- TOTAL COMMON STOCKS -- 100.0% 460,177,758 (Cost $422,021,013) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.0% 219,494 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) $ 219,494 (Cost $219,494) --------------- TOTAL INVESTMENTS -- 100.0% 460,397,252 (Cost $422,240,507) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (35,431) --------------- NET ASSETS -- 100.0% $ 460,361,821 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2021. (c) Aggregate cost for federal income tax purposes is $424,448,499. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $50,010,241 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $14,061,488. The net unrealized appreciation was $35,948,753. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 460,177,758 $ -- $ -- Money Market Funds 219,494 -- -- -------------------------------------------- Total Investments $ 460,397,252 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 0.3% 42,860 F5 Networks, Inc. (a) $ 8,851,018 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 8.9% 233,890 Amphenol Corp., Class A 16,954,686 351,410 Arrow Electronics, Inc. (a) 41,666,684 798,424 Avnet, Inc. 32,990,879 183,228 CDW Corp. 33,594,854 782,416 Corning, Inc. 32,751,934 37,957 IPG Photonics Corp. (a) 8,280,699 688,248 Jabil, Inc. 40,978,286 262,819 SYNNEX Corp. 31,417,383 --------------- 238,635,405 --------------- HEALTH CARE TECHNOLOGY -- 0.6% 694,462 Change Healthcare, Inc. (a) 15,076,770 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 17,014 Roper Technologies, Inc. 8,359,659 --------------- INTERACTIVE MEDIA & SERVICES -- 6.3% 16,382 Alphabet, Inc., Class A (a) 44,141,791 92,033 Facebook, Inc., Class A (a) 32,791,358 259,460 IAC/InterActiveCorp. (a) 35,621,263 405,330 Pinterest, Inc., Class A (a) 23,873,937 465,060 Twitter, Inc. (a) 32,437,935 --------------- 168,866,284 --------------- IT SERVICES -- 15.1% 205,837 Akamai Technologies, Inc. (a) 24,683,973 517,077 Amdocs Ltd. 39,871,807 462,039 Cognizant Technology Solutions Corp., Class A 33,973,728 99,505 Concentrix Corp. (a) 16,291,954 821,798 DXC Technology Co. (a) 32,855,484 78,286 EPAM Systems, Inc. (a) 43,824,503 165,157 Gartner, Inc. (a) 43,722,012 36,500 Globant S.A. (a) 8,729,340 91,999 GoDaddy, Inc., Class A (a) 7,714,116 109,150 International Business Machines Corp. 15,385,784 66,388 MongoDB, Inc. (a) 23,827,981 32,697 Okta, Inc. (a) 8,101,990 3,055,588 SolarWinds Corp. (a) 34,344,809 1,136,931 Switch, Inc., Class A 23,488,994 81,188 Twilio, Inc., Class A (a) 30,331,025 35,137 VeriSign, Inc. (a) 7,602,593 27,561 Wix.com Ltd. (a) 8,230,817 --------------- 402,980,910 --------------- PROFESSIONAL SERVICES -- 4.0% 156,793 CACI International, Inc., Class A (a) 41,857,459 374,366 Dun & Bradstreet Holdings, Inc. (a) 7,846,711 237,395 Leidos Holdings, Inc. 25,263,576 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PROFESSIONAL SERVICES (CONTINUED) 364,765 Science Applications International Corp. $ 31,843,985 --------------- 106,811,731 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 20.4% 255,516 Advanced Micro Devices, Inc. (a) 27,133,244 92,939 Analog Devices, Inc. 15,559,848 280,906 Applied Materials, Inc. 39,307,177 16,778 Broadcom, Inc. 8,144,041 419,826 Brooks Automation, Inc. 37,368,712 375,950 Cirrus Logic, Inc. (a) 31,049,711 260,233 Entegris, Inc. 31,394,509 712,522 Intel Corp. 38,276,682 49,352 KLA Corp. 17,182,392 61,474 Lam Research Corp. 39,184,142 227,796 Maxim Integrated Products, Inc. 22,759,098 470,711 Micron Technology, Inc. (a) 36,517,759 21,422 Monolithic Power Systems, Inc. 9,624,048 199,981 NVIDIA Corp. 38,994,295 116,666 NXP Semiconductors N.V. 24,078,696 417,984 ON Semiconductor Corp. (a) 16,326,455 122,671 Qorvo, Inc. (a) 23,257,195 111,945 QUALCOMM, Inc. 16,769,361 125,166 Skyworks Solutions, Inc. 23,094,379 179,162 Teradyne, Inc. 22,753,574 83,205 Texas Instruments, Inc. 15,860,537 55,311 Xilinx, Inc. 8,287,800 --------------- 542,923,655 --------------- SOFTWARE -- 34.4% 27,321 Adobe, Inc. (a) 16,983,553 23,052 ANSYS, Inc. (a) 8,493,740 62,292 Atlassian Corp. PLC, Class A (a) 20,252,375 49,445 Avalara, Inc. (a) 8,265,721 102,593 Black Knight, Inc. (a) 8,495,726 161,002 CDK Global, Inc. 7,726,486 68,220 Citrix Systems, Inc. 6,873,165 377,939 Cloudflare, Inc., Class A (a) 44,834,904 127,336 Crowdstrike Holdings, Inc., Class A (a) 32,293,683 153,732 Datadog, Inc., Class A (a) 17,018,132 114,465 DocuSign, Inc. (a) 34,115,149 244,182 Dolby Laboratories, Inc., Class A 23,710,072 1,055,784 Dropbox, Inc., Class A (a) 33,246,638 547,772 Dynatrace, Inc. (a) 34,986,198 164,658 Elastic N.V. (a) 24,379,263 395,658 FireEye, Inc. (a) 7,992,292 130,872 Five9, Inc. (a) 26,343,225 167,937 Fortinet, Inc. (a) 45,719,169 68,646 HubSpot, Inc. (a) 40,914,389 65,285 Intuit, Inc. 34,599,091 165,704 Manhattan Associates, Inc. (a) 26,451,329 474,086 Medallia, Inc. (a) 16,057,293 59,064 Microsoft Corp. 16,827,924 881,727 NortonLifeLock, Inc. 21,884,464 440,863 Nuance Communications, Inc. (a) 24,203,379 627,960 Nutanix, Inc., Class A (a) 22,619,119 Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 205,555 Oracle Corp. $ 17,912,063 64,683 Palo Alto Networks, Inc. (a) 25,811,751 114,954 Pegasystems, Inc. 14,672,728 184,167 Proofpoint, Inc. (a) 32,166,608 113,269 PTC, Inc. (a) 15,342,286 79,517 salesforce.com, Inc. (a) 19,237,548 14,558 ServiceNow, Inc. (a) 8,558,503 221,245 Smartsheet, Inc., Class A (a) 16,051,325 333,064 SS&C Technologies Holdings, Inc. 26,108,887 29,009 Synopsys, Inc. (a) 8,354,302 800,501 Teradata Corp. (a) 39,752,880 100,021 VMware, Inc., Class A (a) (b) 15,377,228 110,852 Zendesk, Inc. (a) 14,469,512 62,012 Zoom Video Communications, Inc., Class A (a) 23,446,737 148,111 Zscaler, Inc. (a) 34,940,866 --------------- 917,489,703 --------------- SPECIALTY RETAIL -- 0.3% 191,118 Vroom, Inc. (a) 7,079,011 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 9.4% 116,825 Apple, Inc. 17,040,095 401,335 Dell Technologies, Inc., Class C (a) 38,776,988 2,743,554 Hewlett Packard Enterprise Co. 39,781,533 794,986 HP, Inc. 22,951,246 877,023 NCR Corp. (a) 38,939,821 391,112 NetApp, Inc. 31,128,604 337,229 Western Digital Corp. (a) 21,896,279 1,702,896 Xerox Holdings Corp. 41,090,880 --------------- 251,605,446 --------------- TOTAL COMMON STOCKS -- 100.0% 2,668,679,592 (Cost $2,176,887,705) --------------- MONEY MARKET FUNDS -- 0.6% 14,177,832 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 14,177,832 934,093 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 934,093 --------------- TOTAL MONEY MARKET FUNDS -- 0.6% 15,111,925 (Cost $15,111,925) --------------- TOTAL INVESTMENTS -- 100.6% 2,683,791,517 (Cost $2,191,999,630) (e) NET OTHER ASSETS AND LIABILITIES -- (0.6)% (15,717,952) --------------- NET ASSETS -- 100.0% $ 2,668,073,565 =============== (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 $13,803,238 and the total value of the collateral held by the Fund is $14,177,832. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $2,208,965,653. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $518,873,164 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $44,047,300. The net unrealized appreciation was $474,825,864. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $2,668,679,592 $ -- $ -- Money Market Funds 15,111,925 -- -- -------------------------------------------- Total Investments $2,683,791,517 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 --------------------------------- 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) $ 13,803,238 Non-cash Collateral(2) (13,803,238) --------------- 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 July 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 42 See Notes to Financial Statements <PAGE> FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% COMMERCIAL SERVICES & SUPPLIES -- 3.4% 15,103 Clean Harbors, Inc. (a) $ 1,434,785 12,787 Republic Services, Inc. 1,513,469 19,660 Stericycle, Inc. (a) 1,387,013 10,040 Waste Management, Inc. 1,488,531 --------------- 5,823,798 --------------- ELECTRIC UTILITIES -- 56.5% 75,683 Alliant Energy Corp. 4,429,726 66,518 American Electric Power Co., Inc. 5,861,566 136,757 Avangrid, Inc. 7,130,510 28,498 Duke Energy Corp. 2,995,425 97,315 Edison International 5,303,667 70,546 Entergy Corp. 7,260,594 116,390 Evergy, Inc. 7,590,956 52,592 Eversource Energy 4,537,112 126,986 Exelon Corp. 5,942,945 113,412 FirstEnergy Corp. 4,345,948 99,812 Hawaiian Electric Industries, Inc. 4,325,852 43,283 IDACORP, Inc. 4,564,192 19,196 NextEra Energy, Inc. 1,495,368 69,811 NRG Energy, Inc. 2,879,006 167,214 OGE Energy Corp. 5,643,472 276,634 PG&E Corp. (a) 2,431,613 85,805 Pinnacle West Capital Corp. 7,169,008 201,170 PPL Corp. 5,707,193 69,741 Southern (The) Co. 4,454,358 64,057 Xcel Energy, Inc. 4,371,890 --------------- 98,440,401 --------------- GAS UTILITIES -- 9.0% 73,181 Atmos Energy Corp. 7,214,915 26,922 National Fuel Gas Co. 1,384,599 151,877 UGI Corp. 6,984,823 --------------- 15,584,337 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.8% 75,832 Vistra Corp. 1,452,183 --------------- MULTI-UTILITIES -- 27.6% 52,725 Ameren Corp. 4,424,682 229,476 CenterPoint Energy, Inc. 5,842,459 47,619 CMS Energy Corp. 2,942,378 98,068 Consolidated Edison, Inc. 7,234,476 38,240 Dominion Energy, Inc. 2,863,029 51,027 DTE Energy Co. 5,986,487 114,831 NiSource, Inc. 2,844,364 117,734 Public Service Enterprise Group, Inc. 7,326,587 42,472 Sempra Energy 5,548,967 31,629 WEC Energy Group, Inc. 2,977,554 --------------- 47,990,983 --------------- WATER UTILITIES -- 2.6% 9,127 American Water Works Co., Inc. 1,552,594 61,562 Essential Utilities, Inc. 3,023,925 --------------- 4,576,519 --------------- TOTAL COMMON STOCKS -- 99.9% 173,868,221 (Cost $171,452,992) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 239,657 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) $ 239,657 (Cost $239,657) --------------- TOTAL INVESTMENTS -- 100.0% 174,107,878 (Cost $171,692,649) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 38,500 --------------- NET ASSETS -- 100.0% $ 174,146,378 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2021. (c) Aggregate cost for federal income tax purposes is $173,141,282. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $9,100,319 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $8,133,723. The net unrealized appreciation was $966,596. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 173,868,221 $ -- $ -- Money Market Funds 239,657 -- -- -------------------------------------------- Total Investments $ 174,107,878 $ -- $ -- ============================================ * 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 JULY 31, 2021 <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) ---------------- ---------------- ---------------- <S> <C> <C> <C> ASSETS: Investments, at value............................................... $ 1,965,052,768 $ 248,795,427 $ 330,242,401 Receivables: Capital shares sold.............................................. 3,067,879 -- -- Investment securities sold....................................... -- -- -- Dividends........................................................ 330,748 331,159 913,000 Securities lending income........................................ 15,063 5,966 814 Prepaid expenses.................................................... 3,249 3,322 2,989 ---------------- ---------------- ---------------- Total Assets..................................................... 1,968,469,707 249,135,874 331,159,204 ---------------- ---------------- ---------------- LIABILITIES: Payables: Investment securities purchased.................................. 3,066,481 -- -- Capital shares redeemed.......................................... -- -- -- Collateral for securities on loan................................ 15,795,768 1,580,433 1,891,120 Investment advisory fees......................................... 809,910 106,718 148,695 Licensing fees................................................... 398,058 60,825 67,041 Shareholder reporting fees....................................... 37,193 10,617 9,822 Audit and tax fees............................................... 29,991 29,991 29,991 Trustees' fees................................................... 2,424 2,145 2,138 Other liabilities................................................... 194,037 34,367 44,185 ---------------- ---------------- ---------------- Total Liabilities................................................ 20,333,862 1,825,096 2,192,992 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,948,135,845 $ 247,310,778 $ 328,966,212 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,940,394,353 $ 485,741,733 $ 775,266,220 Par value........................................................... 317,500 44,000 318,500 Accumulated distributable earnings (loss)........................... 7,423,992 (238,474,955) (446,618,508) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,948,135,845 $ 247,310,778 $ 328,966,212 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 61.36 $ 56.21 $ 10.33 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 31,750,002 4,400,002 31,850,002 ================ ================ ================ Investments, at cost................................................ $ 1,582,821,991 $ 236,259,032 $ 305,779,149 ================ ================ ================ Securities on loan, at value........................................ $ 14,841,516 $ 1,547,964 $ 1,821,050 ================ ================ ================ </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> $ 1,324,548,586 $ 1,605,728,037 $ 1,771,203,258 $ 460,397,252 $ 2,683,791,517 $ 174,107,878 -- -- -- -- -- -- 4,335,464 -- -- 11,600,257 -- -- 1,252,961 347,131 463,647 354,281 497,978 212,415 2,673 -- 2,387 -- 19,436 -- 8,253 3,882 4,689 2,808 6,233 6,477 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 1,330,147,937 1,606,079,050 1,771,673,981 472,354,598 2,684,315,164 174,326,770 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- -- -- -- -- -- -- 4,340,045 -- -- 11,604,928 -- -- 11,886,285 -- 2,736,950 -- 14,177,832 -- 563,510 661,913 747,870 199,034 1,119,449 72,814 258,672 433,187 336,794 82,293 604,155 41,722 29,525 45,589 29,290 10,954 63,695 10,111 29,991 29,991 29,991 29,991 29,991 29,991 2,276 2,403 2,380 2,142 2,658 2,129 151,563 158,095 186,217 63,435 243,819 23,625 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 17,261,867 1,331,178 4,069,492 11,992,777 16,241,599 180,392 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- $ 1,312,886,070 $ 1,604,747,872 $ 1,767,604,489 $ 460,361,821 $ 2,668,073,565 $ 174,146,378 ================ ================ ================= ================ ================ ================ $ 1,413,627,081 $ 1,874,901,836 $ 1,793,533,972 $ 560,696,250 $ 2,727,930,671 $ 364,749,213 302,500 131,500 297,000 79,500 212,550 56,500 (101,043,511) (270,285,464) (26,226,483) (100,413,929) (60,069,656) (190,659,335) ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- $ 1,312,886,070 $ 1,604,747,872 $ 1,767,604,489 $ 460,361,821 $ 2,668,073,565 $ 174,146,378 ================ ================ ================= ================ ================ ================ $ 43.40 $ 122.03 $ 59.52 $ 57.91 $ 125.53 $ 30.82 ================ ================ ================= ================ ================ ================ 30,250,002 13,150,002 29,700,002 7,950,002 21,255,000 5,650,002 ================ ================ ================= ================ ================ ================ $ 1,171,413,255 $ 1,306,487,372 $ 1,610,243,125 $ 422,240,507 $ 2,191,999,630 $ 171,692,649 ================ ================ ================= ================ ================ ================ $ 11,729,495 $ -- $ 2,614,049 $ -- $ 13,803,238 $ -- ================ ================ ================= ================ ================ ================ </TABLE> See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2021 <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) ---------------- ---------------- ---------------- <S> <C> <C> <C> INVESTMENT INCOME: Dividends........................................................... $ 14,568,086 $ 5,036,252 $ 6,482,749 Securities lending income (net of fees)............................. 64,496 305,986 28,023 Foreign withholding tax............................................. -- -- -- ---------------- ---------------- ----------------. Total investment income.......................................... 14,632,582 5,342,238 6,510,772 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 7,360,972 1,289,453 1,392,410 Accounting and administration fees.................................. 691,974 130,502 141,555 Licensing fees...................................................... 588,878 103,156 111,393 Custodian fees...................................................... 112,786 20,763 26,286 Shareholder reporting fees.......................................... 101,836 28,114 42,698 Transfer agent fees................................................. 61,942 12,922 14,022 Legal fees.......................................................... 59,020 6,527 6,225 Audit and tax fees.................................................. 30,118 30,002 30,011 Listing fees........................................................ 9,931 8,806 8,806 Trustees' fees and expenses......................................... 7,317 6,464 6,538 Other expenses...................................................... 18,088 5,433 3,882 ---------------- ---------------- ---------------- Total expenses................................................... 9,042,862 1,642,142 1,783,826 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 5,589,720 3,700,096 4,726,946 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... 103,975,416 23,649,645 (5,186,035) In-kind redemptions.............................................. 116,669,720 17,203,567 (48,554,560) ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 220,645,136 40,853,212 (53,740,595) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. 349,773,051 (6,724,081) 70,852,124 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 570,418,187 34,129,131 17,111,529 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 576,007,907 $ 37,829,227 $ 21,838,475 ================ ================ ================ </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> $ 24,638,087 $ 6,759,467 $ 11,056,886 $ 5,209,095 $ 13,651,391 $ 5,619,178 405,780 13,212 19,388 34,888 50,634 -- (34,696) -- -- -- -- -- ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 25,009,171 6,772,679 11,076,274 5,243,983 13,702,025 5,619,178 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 4,364,865 7,082,289 4,760,250 1,295,729 12,292,225 945,725 429,101 668,177 447,869 131,237 1,080,685 95,772 349,189 566,583 380,820 103,658 983,378 75,658 69,249 108,778 76,868 19,837 184,029 16,434 34,230 111,438 64,370 30,386 135,841 6,692 41,224 60,442 40,036 12,990 86,572 9,446 20,316 28,919 23,285 7,487 54,378 221 30,153 30,091 30,134 30,042 30,053 29,986 11,236 8,806 8,806 8,806 9,616 9,616 6,437 7,496 6,873 6,424 7,992 6,254 10,394 22,127 2,840 3,413 35,417 7,106 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 5,366,394 8,695,146 5,842,151 1,650,009 14,900,186 1,202,910 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 19,642,777 (1,922,467) 5,234,123 3,593,974 (1,198,161) 4,416,268 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 11,670,515 120,554,769 24,859,120 5,616,815 (56,450,294) (678,840) 111,142,103 69,530,869 88,392,026 30,042,738 894,579,535 1,875,865 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 122,812,618 190,085,638 113,251,146 35,659,553 838,129,241 1,197,025 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 222,303,365 162,241,943 153,513,072 39,448,502 (15,385,932) 19,219,926 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 345,115,983 352,327,581 266,764,218 75,108,055 822,743,309 20,416,951 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- $ 364,758,760 $ 350,405,114 $ 271,998,341 $ 78,702,029 $ 821,545,148 $ 24,833,219 ================ ================ ================= ================ ================ ================ </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) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2021 7/31/2020 7/31/2021 7/31/2020 ----------------- ----------------- ----------------- ----------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 5,589,720 $ 2,809,312 $ 3,700,096 $ 5,158,384 Net realized gain (loss)................................ 220,645,136 (32,492,782) 40,853,212 (5,762,995) Net change in unrealized appreciation (depreciation).... 349,773,051 15,417,991 (6,724,081) 23,646,253 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 576,007,907 (14,265,479) 37,829,227 23,041,642 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (4,077,825) (3,533,221) (3,532,571) (5,348,032) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 782,562,374 938,313,476 48,212,403 104,301,401 Cost of shares redeemed................................. (355,304,614) (355,683,320) (93,627,143) (193,358,328) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 427,257,760 582,630,156 (45,414,740) (89,056,927) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 999,187,842 564,831,456 (11,118,084) (71,363,317) NET ASSETS: Beginning of period..................................... 948,948,003 384,116,547 258,428,862 329,792,179 --------------- --------------- --------------- --------------- End of period........................................... $ 1,948,135,845 $ 948,948,003 $ 247,310,778 $ 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............................................. 14,300,000 24,300,000 850,000 2,200,000 Shares redeemed......................................... (6,450,000) (9,250,000) (1,750,000) (4,100,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 31,750,002 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) ------------------------------------ ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2021 7/31/2020 7/31/2021 7/31/2020 7/31/2021 7/31/2020 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- <S> <C> <C> <C> <C> <C> $ 4,726,946 $ 3,636,765 $ 19,642,777 $ 29,800,849 $ (1,922,467) $ 150,451 (53,740,595) (91,359,352) 122,812,618 (316,737,823) 190,085,638 220,856,461 70,852,124 (11,197,032) 222,303,365 (148,910,367) 162,241,943 116,645,310 --------------- --------------- --------------- --------------- --------------- --------------- 21,838,475 (98,919,619) 364,758,760 (435,847,341) 350,405,114 337,652,222 --------------- --------------- --------------- --------------- --------------- --------------- (6,451,416) (2,332,625) (19,322,307) (34,034,992) -- -- --------------- --------------- --------------- --------------- --------------- --------------- 298,299,815 750,311,311 829,324,790 1,178,265,404 212,370,515 1,479,716,526 (600,515,709) (155,637,525) (400,047,202) (1,158,563,694) (306,336,510) (1,652,799,967) --------------- --------------- --------------- --------------- --------------- --------------- (302,215,894) 594,673,786 429,277,588 19,701,710 (93,965,995) (173,083,441) --------------- --------------- --------------- --------------- --------------- --------------- (286,828,835) 493,421,542 774,714,041 (450,180,623) 256,439,119 164,568,781 615,795,047 122,373,505 538,172,029 988,352,652 1,348,308,753 1,183,739,972 --------------- --------------- --------------- --------------- --------------- --------------- $ 328,966,212 $ 615,795,047 $ 1,312,886,070 $ 538,172,029 $ 1,604,747,872 $ 1,348,308,753 =============== =============== =============== =============== =============== =============== 94,150,002 11,250,002 20,800,002 30,550,002 14,150,002 15,250,002 33,500,000 104,100,000 19,850,000 36,650,000 1,950,000 18,650,000 (95,800,000) (21,200,000) (10,400,000) (46,400,000) (2,950,000) (19,750,000) --------------- --------------- --------------- --------------- --------------- --------------- 31,850,002 94,150,002 30,250,002 20,800,002 13,150,002 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) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2021 7/31/2020 7/31/2021 7/31/2020 ----------------- ----------------- ----------------- ----------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 5,234,123 $ 3,504,078 $ 3,593,974 $ 2,093,036 Net realized gain (loss)................................ 113,251,146 (36,167,020) 35,659,553 (21,284,118) Net change in unrealized appreciation (depreciation).... 153,513,072 (2,899,601) 39,448,502 10,549,321 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 271,998,341 (35,562,543) 78,702,029 (8,641,761) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (5,682,851) (4,258,336) (3,372,847) (2,392,541) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 1,711,548,130 68,228,226 360,933,761 55,372,219 Cost of shares redeemed................................. (390,238,248) (226,600,830) (72,695,856) (114,912,380) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 1,321,309,882 (158,372,604) 288,237,905 (59,540,161) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 1,587,625,372 (198,193,483) 363,567,087 (70,574,463) NET ASSETS: Beginning of period..................................... 179,979,117 378,172,600 96,794,734 167,369,197 --------------- --------------- --------------- --------------- End of period........................................... $ 1,767,604,489 $ 179,979,117 $ 460,361,821 $ 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............................................. 32,100,000 1,650,000 6,550,000 1,500,000 Shares redeemed......................................... (7,000,000) (5,950,000) (1,300,000) (3,150,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 29,700,002 4,600,002 7,950,002 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) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2021 7/31/2020 7/31/2021 7/31/2020 ----------------- ----------------- ----------------- ----------------- <S> <C> <C> <C> $ (1,198,161) $ 3,502,665 $ 4,416,268 $ 24,861,547 838,129,241 191,825,093 1,197,025 (60,613,146) (15,385,932) 215,549,299 19,219,926 (34,693,552) --------------- --------------- --------------- --------------- 821,545,148 410,877,057 24,833,219 (70,445,151) --------------- --------------- --------------- --------------- -- (4,987,541) (4,925,266) (30,455,522) --------------- --------------- --------------- --------------- 2,373,439,398 1,227,962,041 10,559,951 1,502,286,878 (2,732,020,436) (1,824,089,056) (86,309,615) (2,520,939,542) --------------- --------------- --------------- --------------- (358,581,038) (596,127,015) (75,749,664) (1,018,652,664) --------------- --------------- --------------- --------------- 462,964,110 (190,237,499) (55,841,711) (1,119,553,337) 2,205,109,455 2,395,346,954 229,988,089 1,349,541,426 --------------- --------------- --------------- --------------- $ 2,668,073,565 $ 2,205,109,455 $ 174,146,378 $ 229,988,089 =============== =============== =============== =============== 24,655,000 34,555,000 8,350,002 46,750,002 21,650,000 15,700,000 350,000 55,350,000 (25,050,000) (25,600,000) (3,050,000) (93,750,000) --------------- --------------- --------------- --------------- 21,255,000 24,655,000 5,650,002 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> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 39.70 $ 43.40 $ 42.42 $ 37.53 $ 36.06 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.20 0.36 0.37 0.43 0.34 Net realized and unrealized gain (loss) 21.61 (3.61) 0.93 4.88 1.48 ---------- ---------- ---------- ---------- ---------- Total from investment operations 21.81 (3.25) 1.30 5.31 1.82 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.15) (0.45) (0.32) (0.42) (0.35) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 61.36 $ 39.70 $ 43.40 $ 42.42 $ 37.53 ========== ========== ========== ========== ========== TOTAL RETURN (a) 54.99% (7.39)% 3.13% 14.17% 5.10% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,948,136 $ 948,948 $ 384,117 $ 409,343 $ 407,197 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.63% 0.64% 0.64% 0.63% Ratio of net expenses to average net assets 0.61% 0.63% 0.64% 0.64% 0.63% Ratio of net investment income (loss) to average net assets 0.38% 0.77% 0.90% 1.03% 0.79% Portfolio turnover rate (b) 88% 115% 97% 101% 93% </TABLE> FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) <TABLE> <CAPTION> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 48.76 $ 45.80 $ 46.50 $ 46.84 $ 49.06 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.79 0.84 0.70 1.00 0.56 Net realized and unrealized gain (loss) 7.40 2.98 (0.32) (0.74) (2.20) ---------- ---------- ---------- ---------- ---------- Total from investment operations 8.19 3.82 0.38 0.26 (1.64) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.74) (0.86) (1.08) (0.60) (0.58) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 56.21 $ 48.76 $ 45.80 $ 46.50 $ 46.84 ========== ========== ========== ========== ========== TOTAL RETURN (a) 16.88% 8.46% 0.83% 0.53% (3.31)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 247,311 $ 258,429 $ 329,792 $ 369,643 $ 461,376 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.63% 0.64% 0.64% 0.62% Ratio of net expenses to average net assets 0.64% 0.63% 0.64% 0.64% 0.62% Ratio of net investment income (loss) to average net assets 1.43% 1.72% 1.51% 2.09% 0.94% Portfolio turnover rate (b) 94% 113% 90% 107% 100% </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) 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> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 6.54 $ 10.88 $ 17.10 $ 13.66 $ 14.54 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.31 0.16 0.16 0.12 0.14 Net realized and unrealized gain (loss) 3.81 (4.31) (6.25) 3.47 (0.85) ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.12 (4.15) (6.09) 3.59 (0.71) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.19) (0.13) (0.15) (0.17) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 10.33 $ 6.54 $ 10.88 $ 17.10 $ 13.66 ========== ========== ========== ========== ========== TOTAL RETURN (a) 66.66% (38.32)% (35.77)% 26.45% (4.99)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 328,966 $ 615,795 $ 122,374 $ 437,773 $ 249,296 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.64% 0.65% 0.63% 0.63% Ratio of net expenses to average net assets 0.64% 0.64% 0.65% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 1.70% 2.39% 1.17% 0.68% 1.03% Portfolio turnover rate (b) 71% 165% 99% 108% 55% </TABLE> FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) <TABLE> <CAPTION> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 25.87 $ 32.35 $ 32.04 $ 29.39 $ 24.09 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.81 0.72 0.65 0.62 0.44 Net realized and unrealized gain (loss) 17.55 (6.37) 0.25 2.61 5.30 ---------- ---------- ---------- ---------- ---------- Total from investment operations 18.36 (5.65) 0.90 3.23 5.74 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.83) (0.83) (0.59) (0.58) (0.44) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 43.40 $ 25.87 $ 32.35 $ 32.04 $ 29.39 ========== ========== ========== ========== ========== TOTAL RETURN (a) 71.99% (17.56)% 3.03% 11.06% 24.00% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,312,886 $ 538,172 $ 988,353 $1,252,910 $1,121,234 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.63% Ratio of net expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 2.25% 2.36% 2.06% 1.99% 1.72% Portfolio turnover rate (b) 86% 90% 81% 70% 80% </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) 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> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 95.29 $ 77.62 $ 76.80 $ 66.92 $ 61.55 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.15) 0.01 (0.11) (0.02) (0.03) Net realized and unrealized gain (loss) 26.89 17.66 0.93 9.90 5.40 ---------- ---------- ---------- ---------- ---------- Total from investment operations 26.74 17.67 0.82 9.88 5.37 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 122.03 $ 95.29 $ 77.62 $ 76.80 $ 66.92 ========== ========== ========== ========== ========== TOTAL RETURN (a) 28.08% 22.75% 1.07% 14.76% 8.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,604,748 $1,348,309 $1,183,740 $1,063,745 $1,067,382 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.61% 0.62% 0.63% 0.62% Ratio of net expenses to average net assets 0.61% 0.61% 0.62% 0.63% 0.62% Ratio of net investment income (loss) to average net assets (0.14)% 0.01% (0.11)% (0.03)% (0.05)% Portfolio turnover rate (b) 103% 107% 123% 107% 112% </TABLE> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) <TABLE> <CAPTION> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 39.13 $ 42.49 $ 41.28 $ 35.36 $ 28.94 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.33 0.58 0.30 0.28 0.17 Net realized and unrealized gain (loss) 20.42 (3.29) 1.17 5.92 6.42 ---------- ---------- ---------- ---------- ---------- Total from investment operations 20.75 (2.71) 1.47 6.20 6.59 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.65) (0.26) (0.28) (0.17) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 59.52 $ 39.13 $ 42.49 $ 41.28 $ 35.36 ========== ========== ========== ========== ========== TOTAL RETURN (a) 53.21% (6.30)% 3.67% 17.57% 22.81% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,767,604 $ 179,979 $ 378,173 $1,579,093 $1,444,369 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.64% 0.63% 0.62% 0.63% Ratio of net expenses to average net assets 0.61% 0.64% 0.63% 0.62% 0.63% Ratio of net investment income (loss) to average net assets 0.55% 1.30% 0.71% 0.70% 0.53% Portfolio turnover rate (b) 91% 97% 79% 91% 101% </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) 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> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 35.85 $ 38.48 $ 43.31 $ 38.63 $ 34.32 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.72 0.71 0.50 0.40 0.48 Net realized and unrealized gain (loss) 22.05 (2.57) (4.88) 4.69 4.30 ---------- ---------- ---------- ---------- ---------- Total from investment operations 22.77 (1.86) (4.38) 5.09 4.78 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.71) (0.77) (0.45) (0.41) (0.47) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 57.91 $ 35.85 $ 38.48 $ 43.31 $ 38.63 ========== ========== ========== ========== ========== TOTAL RETURN (a) 64.02% (4.78)% (10.08)% 13.20% 14.01% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 460,362 $ 96,795 $ 167,369 $ 314,026 $ 260,726 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.67% 0.65% 0.64% 0.65% Ratio of net expenses to average net assets 0.64% 0.67% 0.65% 0.64% 0.65% Ratio of net investment income (loss) to average net assets 1.39% 1.95% 1.27% 0.92% 1.40% Portfolio turnover rate (b) 77% 84% 82% 92% 84% </TABLE> FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) <TABLE> <CAPTION> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 89.44 $ 69.32 $ 56.54 $ 45.12 $ 34.84 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.06) 0.11 0.31 0.09 0.32 Net realized and unrealized gain (loss) 36.15 20.17 12.75 11.43 10.32 ---------- ---------- ---------- ---------- ---------- Total from investment operations 36.09 20.28 13.06 11.52 10.64 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- (0.16) (0.28) (0.10) (0.36) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 125.53 $ 89.44 $ 69.32 $ 56.54 $ 45.12 ========== ========== ========== ========== ========== TOTAL RETURN (a) 40.34% 29.33% 23.20% 25.55% 30.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,668,074 $2,205,109 $2,395,347 $1,996,201 $ 607,101 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.61% 0.61% 0.63% 0.63% Ratio of net expenses to average net assets 0.61% 0.61% 0.61% 0.63% 0.63% Ratio of net investment income (loss) to average net assets (0.05)% 0.16% 0.50% 0.17% 0.82% Portfolio turnover rate (b) 92% 110% 91% 127% 115% </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) 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> YEAR ENDED JULY 31, -------------------------------------------------------------- 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 27.54 $ 28.87 $ 26.37 $ 27.64 $ 27.46 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.68 1.05 0.63 0.98 0.76 Net realized and unrealized gain (loss) 3.32 (1.29) 2.43 (1.30) 0.19 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.00 (0.24) 3.06 (0.32) 0.95 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.72) (1.09) (0.56) (0.95) (0.77) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.82 $ 27.54 $ 28.87 $ 26.37 $ 27.64 ========== ========== ========== ========== ========== TOTAL RETURN (a) 14.80% (0.70)% 11.71% (1.09)% 3.57% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 174,146 $ 229,988 $1,349,541 $ 308,540 $1,350,332 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.62% 0.63% 0.63% 0.62% Ratio of net expenses to average net assets 0.64% 0.62% 0.63% 0.63% 0.62% Ratio of net investment income (loss) to average net assets 2.33% 2.42% 2.23% 2.67% 2.74% Portfolio turnover rate (b) 38% 64% 60% 76% 57% </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) 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 JULY 31, 2021 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 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 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 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 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 July 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 July 31, 2021, all the Funds except FXH, FXZ, and FXU had securities in the securities lending program. During the fiscal year ended July 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 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 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 fiscal year ended July 31, 2021, were received as collateral for lending securities. There were no repurchase agreements held by the Funds as of July 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, 2021 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 $ 4,077,825 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 3,532,571 -- -- First Trust Energy AlphaDEX(R) Fund 6,451,416 -- -- First Trust Financials AlphaDEX(R) Fund 19,322,307 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 5,682,851 -- -- First Trust Materials AlphaDEX(R) Fund 3,372,847 -- -- First Trust Technology AlphaDEX(R) Fund -- -- -- First Trust Utilities AlphaDEX(R) Fund 4,925,266 -- -- </TABLE> 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> Page 60 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 As of July 31, 2021, 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 $ 1,610,866 $ (364,581,172) $ 370,394,298 First Trust Consumer Staples AlphaDEX(R) Fund 366,031 (250,660,847) 11,819,861 First Trust Energy AlphaDEX(R) Fund 103,016 (466,017,608) 19,296,084 First Trust Financials AlphaDEX(R) Fund 2,234,373 (238,645,650) 135,367,766 First Trust Health Care AlphaDEX(R) Fund (453,844) (564,968,527) 295,136,907 First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- (181,053,205) 154,826,722 First Trust Materials AlphaDEX(R) Fund 303,902 (136,666,584) 35,948,753 First Trust Technology AlphaDEX(R) Fund (676,460) (534,219,060) 474,825,864 First Trust Utilities AlphaDEX(R) Fund 309,266 (191,935,197) 966,596 </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 ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of July 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, 2021, 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 Carryforward -------------------- <S> <C> First Trust Consumer Discretionary AlphaDEX(R) Fund $ 364,581,172 First Trust Consumer Staples AlphaDEX(R) Fund 250,660,847 First Trust Energy AlphaDEX(R) Fund 466,017,608 First Trust Financials AlphaDEX(R) Fund 238,645,650 First Trust Health Care AlphaDEX(R) Fund 564,968,527 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 181,053,205 First Trust Materials AlphaDEX(R) Fund 136,666,584 First Trust Technology AlphaDEX(R) Fund 534,219,060 First Trust Utilities AlphaDEX(R) Fund 191,935,197 </TABLE> Page 61 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 During the taxable year ended July 31, 2021, the following Funds utilized post-enactment capital loss carryforwards in the following amounts: <TABLE> <CAPTION> Capital Loss Carryforward Utilized -------------------- <S> <C> First Trust Consumer Discretionary AlphaDEX(R) Fund $ 101,716,487 First Trust Consumer Staples AlphaDEX(R) Fund 23,413,331 First Trust Energy AlphaDEX(R) Fund 3,321,616 First Trust Financials AlphaDEX(R) Fund 25,098,162 First Trust Health Care AlphaDEX(R) Fund 110,489,727 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 30,198,576 First Trust Materials AlphaDEX(R) Fund 7,143,048 First Trust Technology AlphaDEX(R) Fund -- First Trust Utilities AlphaDEX(R) Fund -- </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, 2021, the following Funds 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 $ 453,844 $ -- First Trust Technology AlphaDEX(R) Fund 676,460 -- </TABLE> In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2021, the adjustments for each Fund were as follows: <TABLE> <CAPTION> Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ------------------ ------------------ ------------------ <S> <C> <C> <C> First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (114,213,339) $ 114,213,339 First Trust Consumer Staples AlphaDEX(R) Fund -- (16,773,690) 16,773,690 First Trust Energy AlphaDEX(R) Fund -- 74,417,770 (74,417,770) First Trust Financials AlphaDEX(R) Fund (152,243) (107,999,916) 108,152,159 First Trust Health Care AlphaDEX(R) Fund 1,499,547 (63,907,311) 62,407,764 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 363,473 (86,314,296) 85,950,823 First Trust Materials AlphaDEX(R) Fund -- (29,558,378) 29,558,378 First Trust Technology AlphaDEX(R) Fund 521,701 (879,304,043) 878,782,342 First Trust Utilities AlphaDEX(R) Fund -- (825,162) 825,162 </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. Page 62 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 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 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, 2022. 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 fiscal year ended July 31, 2021, there were no fees waived or expenses reimbursed by First Trust for the Funds. As of July 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 fiscal year ended July 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 $ 1,286,511,899 $ 1,286,111,114 First Trust Consumer Staples AlphaDEX(R) Fund 239,742,261 239,735,203 First Trust Energy AlphaDEX(R) Fund 206,154,743 204,490,573 First Trust Financials AlphaDEX(R) Fund 747,110,079 742,490,714 First Trust Health Care AlphaDEX(R) Fund 1,457,097,704 1,459,181,825 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 876,176,107 877,496,924 First Trust Materials AlphaDEX(R) Fund 196,948,478 196,293,887 First Trust Technology AlphaDEX(R) Fund 2,248,067,857 2,247,605,573 First Trust Utilities AlphaDEX(R) Fund 72,397,962 72,340,165 </TABLE> For the fiscal year ended July 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 $ 782,072,649 $ 354,224,917 First Trust Consumer Staples AlphaDEX(R) Fund 48,053,026 93,368,652 First Trust Energy AlphaDEX(R) Fund 297,373,799 599,132,602 First Trust Financials AlphaDEX(R) Fund 825,786,950 398,653,044 First Trust Health Care AlphaDEX(R) Fund 211,717,734 305,756,222 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,710,883,741 389,313,587 First Trust Materials AlphaDEX(R) Fund 360,344,219 72,594,163 First Trust Technology AlphaDEX(R) Fund 2,372,678,953 2,730,816,168 First Trust Utilities AlphaDEX(R) Fund 10,534,799 86,047,838 </TABLE> Page 63 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 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, 2022. 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. Page 64 <PAGE> -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities 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, and First Trust Utilities AlphaDEX(R) Fund (the "Funds"), each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund, including the portfolios of investments, as of July 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois September 23, 2021 We have served as the auditor of one or more First Trust investment companies since 2001. Page 65 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 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. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2021, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations: <TABLE> <CAPTION> Dividends Received Deduction --------------------- <S> <C> First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 100.00% First Trust Energy AlphaDEX(R) Fund 100.00% First Trust Financials AlphaDEX(R) Fund 100.00% First Trust Health Care AlphaDEX(R) Fund 0.00% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 0.00% First Trust Utilities AlphaDEX(R) Fund 100.00% </TABLE> For the taxable year ended July 31, 2021, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income: <TABLE> <CAPTION> Qualified Dividend Income --------------------- <S> <C> First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 100.00% First Trust Energy AlphaDEX(R) Fund 100.00% First Trust Financials AlphaDEX(R) Fund 100.00% First Trust Health Care AlphaDEX(R) Fund 0.00% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 0.00% First Trust Utilities AlphaDEX(R) Fund 100.00% </TABLE> A portion of each of the First Trust Exchange-Traded AlphaDEX(R) Sector Funds' 2021 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year-ended July 31, 2021, may be eligible for the Qualified Business Income Deduction (QBI) under the Internal Revenue Code of 1986, as amended, Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. Page 66 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 (UNAUDITED) 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 significant 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 more broadly diversified. 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. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. 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. 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 Page 67 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 (UNAUDITED) 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 OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. 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 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. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. 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. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. 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; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign Page 68 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 (UNAUDITED) governments; 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. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment 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 REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2020, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $3,342,972. This figure is comprised of $200,067 paid (or to be paid) in fixed compensation and $3,142,905 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $1,745,625 paid (or to be paid) to senior management of First Trust Advisors L.P. and $1,597,347 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. Page 69 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): 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) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2022 at a meeting held on June 6-7, 2021. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 26, 2021 and June 6-7, 2021, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 26, 2021, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 6-7, 2021 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 26, 2021 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the Page 70 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 (UNAUDITED) considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. The Board considered the advisory fee rate payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2022. For each Fund, the Board noted that expenses reimbursed and fees waived are subject to recovery by the Advisor for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment will be made by the Fund if it would result in the Fund 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. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 26, 2021 meeting, discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2020 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark index, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase during the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2020 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis. Page 71 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2021 (UNAUDITED) LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 26, 2021 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 20, 2020 through the Liquidity Committee's annual meeting held on March 16, 2021 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted any highly liquid investment minimums. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 72 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2021 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. <TABLE> <CAPTION> NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 211 None (1951) Limited Partner, Gundersen Real Estate o Since Inception Limited Partnership (June 1992 to December 2016) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 211 Director of ADM (1957) (Futures Commission Merchant) Investor Services, o Since Inception Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial and 211 Director of Trust (1956) Management Consulting) Company of o Since Inception Illinois Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 211 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 211 None Chairman of the Board Advisors L.P. and First Trust (1955) o Since Inception Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) </TABLE> ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 73 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer (1966) Executive Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief Accounting President (April 2012 to July 2016), First Trust Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary,Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception </TABLE> ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 74 <PAGE> -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2021 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2021 Page 75 <PAGE> This page is intentionally left blank. <PAGE> -------------------------------------------------------------------------------- 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 <PAGE> [BLANK BACK COVER] <PAGE>
-------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Annual Report July 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. <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS ANNUAL REPORT JULY 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)...................... 77 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 81 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 86 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 91 Statements of Assets and Liabilities........................................ 98 Statements of Operations.................................................... 101 Statements of Changes in Net Assets......................................... 104 Financial Highlights........................................................ 108 Notes to Financial Statements............................................... 114 Report of Independent Registered Public Accounting Firm..................... 124 Additional Information...................................................... 125 Board of Trustees and Officers.............................................. 132 Privacy Policy.............................................................. 134 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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. Page 1 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the 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 12-month period ended July 31, 2021. I often mention at the end of my shareholder letters that investors should stay the course. I do so because First Trust believes in the buy and hold investment philosophy, and the math supports our view. The S&P 500(R) Index (the "Index") has never failed to fully recover the losses sustained in any correction or bear market. As of July 31, 2021, the Index stood just 0.61% below its all-time closing high set on July 26, 2021. Whether you believe that history repeats itself or simply rhymes, it provides us with valuable insight either way. When it comes to setting realistic expectations about equity returns over time, we know that the Index delivered an average annual total return of 10.28% from 1926-2020 (95 years), according to data from Morningstar/Ibbotson Associates. That is our long-term performance benchmark for stocks in the U.S. Why is that relevant in today's climate? It is important to note that this very Index has posted a total return of 17.99% year-to-date and 36.45% for the 12-month period ended July 31, 2021, according to Bloomberg. Using industry jargon, these are sometimes referred to as "outsized" returns, or well-above the norm. As previously noted, the stock market experiences selloffs of various degrees on an ongoing basis. The more severe declines are referred to as corrections and bear markets. Corrections are defined as a 10.00% to 19.99% decline in the price of an index or security from its most recent closing high. Bear markets entail price declines of 20% or more. Since 1950, the Index has endured 38 selloffs totaling 10% or more, with nine of them being bear markets, according to The Motley Fool, a private financial and investing advice company. Over that 71-year period, on average, the stock market experienced a correction every 1.84 years, compared to every 7.78 years for bear markets. The last major selloff occurred in the first quarter of 2020 (17 months ago), when the Index plunged 33.79%, due to the initial shock from the onset of the coronavirus ("COVID-19") pandemic. While that qualified as a bear market, some investors may be thinking we are due for a correction in the coming months. Remember, these statistics represent averages. A June 2021 survey by the CFA Institute found that 45% of the chartered financial analysts it polled believe we will have a correction within 1-3 years. I offer this forecast to show investors how challenging it is to make such market calls, even for highly credentialled professionals. A 1-3 year projection isn't exactly actionable information, in my opinion. The bottom line is that those individuals who have remained invested in the stock and bond markets throughout the COVID-19 pandemic have likely prospered beyond what they might have imagined. Suffice it to say that the markets have exceeded expectations over the past 12 months. I think your average investor would have been content with just being in positive territory. Looking ahead, I see more tailwinds for the markets than headwinds, particularly with respect to the stock market. There is plenty of liquidity in the economy thanks to the accommodative monetary policy of the Federal Reserve (the "Fed") and fiscal stimulus from Congress. We have the potential for another $4 to $5 trillion in fiscal stimulus from President Joe Biden's bipartisan infrastructure bill and the Democrat-driven budget package, including funds earmarked for climate change projects (green energy), health care, education, and more. Perhaps the biggest headwind moving forward is rising inflation. We should know in the next few months if it is transitory, as Fed Chairman Jerome Powell believes, or if it will be with us for a sustained period. Stay tuned and 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 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 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 We have learned recently that the reopening process for the economy from the coronavirus ("COVID-19") pandemic, while underway, is likely to be more of a work in progress than a foregone conclusion. It has to do with the spread of the highly contagious Delta variant, now found in all 50 states. The Delta variant, which was first identified in India in 2020, appears to be more problematic for those individuals who have yet to be vaccinated. As of the end of July 2021, only 50% of the U.S. population was fully vaccinated, according to Science magazine. In the last two weeks of July 2021, 80% to 87% of all COVID-19 cases were caused by the Delta variant, according to the Centers for Disease Control and Prevention. The Biden Administration is advocating for a third shot (booster) for those who have already been fully vaccinated. It should come as no surprise that it is receiving plenty of resistance, including some from the scientific community. We intend to monitor this closely in the months ahead. The global growth forecast from the International Monetary Fund ("IMF") released in July 2021 projected a 6.0% real growth rate for gross domestic product for 2021, up from -3.2% in 2020. The IMF is calling for a 7.0% growth rate for the U.S. in 2021, up from -3.5% the previous year. Advanced Economies are expected to register a 5.6% growth rate, up from -4.6%. 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 -2.1% a year ago. Data from Refinitiv, a global provider of financial market data, indicates that global mergers and acquisitions ("M&A") activity set a record high in the first seven months of 2021, with announced deals valued at $3.3 trillion, according to The Motley Fool, a private financial and investing advice company. Activity was up 116% from the same period a year ago. U.S. M&A activity totaled $1.6 trillion for the period. The total number of deals also set a record high by topping 33,000. Technology companies accounted for 23% of all global M&A deals. M&A serves as a good barometer of economic and business confidence levels, in our opinion. ETFGI, an independent research and consultancy firm, reported that total assets invested in exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") listed in the U.S. stood at an all-time high of $6.60 trillion in July 2021, up from $4.61 trillion a year ago, according to its own release. Net inflows to U.S. listed ETFs/ETPs totaled $788.00 billion for the 12-month period ended July 31, 2021. STYLE/EQUITY INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end mutual funds and ETFs. The flows are reported over time on a rolling 12-month basis. For the 12-month period ended July 31, 2021, U.S. Equity funds/ETFs reported estimated net outflows totaling $27.93 billion, according to data from Morningstar. Investors continue to overwhelmingly favor passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported estimated net inflows totaling $198.00 billion, compared to estimated net outflows totaling $225.93 billion for actively managed U.S. Equity funds/ETFs. For the 12-month period ended July 31, 2021, U.S. Large Blend, U.S. Large Growth and U.S. Large Value equity funds/ETFs reported estimated net flows totaling -$3.23 billion, -$79.02 billion and $37.66 billion, respectively, according to Morningstar. U.S. Mid-Cap Blend, U.S. Mid-Cap Growth and U.S. Mid-Cap Value equity funds/ETFs reported estimated net flows totaling $4.96 billion, -$1.29 billion and -$10.53 billion, respectively. U.S. Small Blend, U.S. Small Growth and U.S. Small Value equity funds/ETFs reported estimated net flows totaling $14.45 billion, $1.21 billion and $7.89 billion, respectively for the same period. Overall, style-driven portfolios were a bit of a mixed bag over the past year in that there were no distinct patterns of preference. For the 12-month period ended July 31, 2021, the S&P 500(R) Index posted a total return of 36.45%, according to Bloomberg. Growth stocks slightly outperformed value stocks in the same period. The S&P 500(R) Growth Index posted a total return of 37.13%, compared to 35.68% for the S&P 500(R) Value Index for the same period. The S&P MidCap 400(R) Index posted a total return of 46.99% in the same period. Growth stocks significantly underperformed value stocks in the period. The S&P MidCap 400(R) Growth Index posted a total return of 38.36%, compared to 56.85% 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 56.95% in the same period. Growth stocks significantly underperformed value stocks in the period. The S&P SmallCap 600(R) Growth Index posted a total return of 49.11%, compared to 65.47% for the S&P SmallCap 600(R) Value Index for the same period. 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 40.77% 14.53% 13.27% 9.07% 97.04% 247.80% 244.00% Market Price 40.81% 14.53% 13.28% 9.07% 97.04% 248.04% 244.06% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Core Index(1) 41.71% 15.26% N/A N/A 103.40% N/A N/A Nasdaq US 500 Large Cap Index(1) 36.53% 17.79% N/A N/A 126.76% N/A N/A S&P 500(R) Index 36.45% 17.35% 15.35% 10.07% 122.51% 316.89% 291.56% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a net asset value ("NAV") return of 40.77% during the period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of 36.45%. During the period covered by this report, the Fund allocated 20.1% to the Information Technology sector and 16.1% to the Financials sector, the two largest allocations during the period. The allocation to the Information Technology sector also contributed 8.9% to the Fund's return, while investments in the Financials sector generated a 9.0% contribution to the Fund's return, which were the two greatest contributions of any sector during the period. The worst performing and least contributing sector was the Utilities sector with a 9.8% total return and a 0.8% contribution, stemming from its 7.0% allocation. On a relative basis, the Fund outperformed the Benchmark. The most significant source of outperformance for the Fund came from investments in the Consumer Discretionary sector. In this sector, the investments in the Fund outperformed those in the Benchmark and investments in this sector led to 1.8% of outperformance for the Fund versus the Benchmark. The Fund overweighted, with respect to the Benchmark, the relatively poor-performing Utilities sector by 4.2%. Investments in this sector caused -1.1% of relative drag. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 17.8% Financials 17.5 Health Care 15.8 Industrials 10.4 Consumer Discretionary 10.0 Utilities 7.2 Communication Services 5.8 Consumer Staples 4.7 Materials 4.4 Real Estate 3.7 Energy 2.7 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Moderna, Inc. 0.7% Blackstone Group (The), Inc. 0.5 Fortinet, Inc. 0.5 Waters Corp. 0.5 Cloudflare, Inc., Class A 0.5 Alphabet, Inc., Class A 0.5 Charles River Laboratories International, Inc. 0.5 EPAM Systems, Inc. 0.5 Gartner, Inc. 0.5 Snap, Inc., Class A 0.5 ------- Total 5.2% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 31, 2021 First Trust Large Cap S&P 500(R) Core AlphaDEX(R) Fund Index <S> <C> <C> 7/11 $10,000 $10,000 1/12 10,073 10,271 7/12 10,220 10,913 1/13 11,751 11,994 7/13 13,429 13,641 1/14 14,434 14,576 7/14 15,824 15,952 1/15 16,444 16,649 7/15 17,037 17,739 1/16 15,254 16,538 7/16 17,650 18,736 1/17 18,905 19,853 7/17 20,593 21,741 1/18 23,573 25,095 7/18 23,418 25,271 1/19 22,163 24,515 7/19 24,235 27,291 1/20 25,201 29,832 7/20 24,710 30,555 1/21 29,464 34,978 7/21 34,780 41,689 </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) (CONTINUED) -------------------------------------------------------------------------------- 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 54.62% 14.65% 12.31% 9.70% 98.06% 219.37% 273.44% Market Price 54.63% 14.64% 12.32% 9.70% 98.02% 219.49% 273.38% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Core Index(1) 55.61% 15.39% N/A N/A 104.60% N/A N/A Nasdaq US 600 Mid Cap Index(1) 48.41% 14.96% N/A N/A 100.78% N/A N/A S&P MidCap 400(R) Index 46.99% 13.42% 12.85% 9.78% 87.65% 234.92% 277.03% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 54.62% during the period covered by this report. During the same period, the S&P MidCap 400(R) Index (the "Benchmark") generated a return of 46.99%. During the period covered by this report, the Financials sector received the largest allocation within the Fund at a weight of 19.0%. This sector also generated the largest contribution to the Fund during the period with a 12.4% contribution, stemming from its 65.5% total return. The Fund's allocation to the Energy sector generated the least amount of return for the Fund during the period with a 0.4% contribution, stemming from its 1.7% allocation and 60.8% return. On a relative basis, the Fund outperformed the Benchmark. The Fund outperformed the Benchmark among the Financials sector by 13.4%, and investments in this sector created 2.5% of relative outperformance. The Fund's underweight, relative to the Benchmark, to the relatively well-performing Information Technology sector, caused -0.2% of relative underperformance. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 20.2% Consumer Discretionary 15.4 Industrials 15.3 Information Technology 10.6 Health Care 9.3 Real Estate 7.7 Materials 6.9 Utilities 5.4 Consumer Staples 4.5 Energy 2.6 Communication Services 2.1 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- AutoNation, Inc. 0.5% Penske Automotive Group, Inc. 0.4 Crocs, Inc. 0.4 Cleveland-Cliffs, Inc. 0.4 Santander Consumer USA Holdings, Inc. 0.4 Ares Management Corp., Class A 0.4 L Brands, Inc. 0.4 Tempur Sealy International, Inc. 0.4 Universal Health Services, Inc., Class B 0.4 Knight-Swift Transportation Holdings, Inc. 0.4 ------- Total 4.1% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 31, 2021 First Trust Mid Cap S&P MidCap 400(R) Core AlphaDEX(R) Fund Index <S> <C> <C> 7/11 $10,000 $10,000 1/12 10,160 10,003 7/12 10,067 10,120 1/13 11,754 11,860 7/13 13,359 13,460 1/14 14,590 14,453 7/14 15,162 15,194 1/15 15,422 16,025 7/15 16,002 16,910 1/16 13,771 14,952 7/16 16,124 17,845 1/17 17,636 19,462 7/17 18,479 20,466 1/18 21,037 22,889 7/18 21,681 23,441 1/19 20,383 21,862 7/19 21,946 23,629 1/20 22,325 24,328 7/20 20,656 22,790 1/21 27,266 28,814 7/21 31,937 33,492 </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) (CONTINUED) -------------------------------------------------------------------------------- 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 64.45% 14.32% 12.32% 8.85% 95.28% 219.69% 234.38% Market Price 64.41% 14.33% 12.33% 8.85% 95.32% 219.76% 234.25% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Core Index(1) 65.68% 15.09% N/A N/A 101.89% N/A N/A Nasdaq US 700 Small Cap Index(1) 62.58% 15.82% N/A N/A 108.41% N/A N/A S&P SmallCap 600(R) Index 56.95% 14.13% 13.59% 9.74% 93.62% 257.48% 275.14% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 64.45% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Index (the "Benchmark") generated a return of 56.95%. The Financials sector received an allocation of 21.5%, which was the greatest weight of any sector in the Fund during the period covered by this report. Investments in this sector contributed 15.1% to the Fund's return, which was the greatest contribution to the Fund's return of any sector. No sector had a negative contribution to the Fund's return during the period covered by this report. On a relative basis, the Fund outperformed the Benchmark. Investments in the Industrials sector led to 3.9% of this outperformance. Meanwhile, -1.7% of underperformance for the Fund came from investments in Consumer Discretionary. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 22.5% Industrials 18.1 Consumer Discretionary 14.7 Information Technology 11.7 Health Care 8.5 Real Estate 6.2 Materials 5.0 Consumer Staples 4.5 Energy 3.5 Utilities 2.7 Communication Services 2.6 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Sonic Automotive, Inc., Class A 0.4% Perficient, Inc. 0.4 Meritage Homes Corp. 0.4 Tri Pointe Homes, Inc. 0.4 Group 1 Automotive, Inc. 0.4 Mr. Cooper Group, Inc. 0.4 American National Group, Inc. 0.4 Herc Holdings, Inc. 0.4 XPEL, Inc. 0.4 M/I Homes, Inc. 0.4 ------- Total 4.0% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 31, 2021 First Trust Small Cap S&P SmallCap 600(R) Core AlphaDEX(R) Fund Index <S> <C> <C> 7/11 $10,000 $10,000 1/12 10,403 10,344 7/12 10,142 10,400 1/13 11,800 11,943 7/13 13,852 14,017 1/14 15,201 15,340 7/14 15,189 15,564 1/15 15,546 16,284 7/15 16,019 17,427 1/16 13,704 15,521 7/16 16,371 18,465 1/17 18,158 20,851 7/17 18,996 21,727 1/18 21,095 24,303 7/18 22,738 26,743 1/19 20,719 23,999 7/19 21,252 24,938 1/20 21,325 25,571 7/20 19,438 22,775 1/21 28,238 31,500 7/21 31,969 35,748 </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) (CONTINUED) -------------------------------------------------------------------------------- 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 44.43% 11.53% 11.26% 7.58% 72.54% 190.71% 182.99% Market Price 44.43% 11.53% 11.26% 7.58% 72.54% 190.71% 182.98% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Value Index(1) 45.48% 12.26% N/A N/A 78.26% N/A N/A Nasdaq US 500 Large Cap Value Index(1) 40.23% 13.66% N/A N/A 89.68% N/A N/A S&P 500(R) Index 36.45% 17.35% 15.35% 10.07% 122.51% 316.89% 291.56% S&P 500(R) Value Index 35.68% 12.11% 12.35% 6.98% 77.11% 220.40% 161.23% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 44.43% during the period covered by this report. During the same period, the S&P 500(R) Value Index (the "Benchmark") generated a return of 35.68%. During the period covered by this report, the Fund's largest allocation was to the Financials sector with a 25.4% weight. This allocation also generated the largest contribution to the Fund's return at 16.0%, stemming from its 66.3% total return. The least-contributing sector to the Fund's return for the period was found within its allocation to the Consumer Staples sector, which generated a 1.2% contribution to the Fund's return due to its 7.1% allocation and 15.7% total return. On a relative basis, the Fund outperformed the Benchmark. The majority of the outperformance is attributable to the Fund outperforming and over-allocating the Benchmark among securities in the Financials sector, which led to 3.3% of relative outperformance. The Fund over-allocated the Benchmark among the relatively poor-performing Utilities sector by 7.2%, which created -1.8% of relative drag. 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 25.4% Utilities 13.8 Industrials 11.6 Health Care 10.2 Consumer Staples 7.1 Consumer Discretionary 6.9 Materials 6.8 Communication Services 6.2 Information Technology 6.1 Real Estate 3.2 Energy 2.7 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Quest Diagnostics, Inc. 1.0% Laboratory Corp. of America Holdings 1.0 Lennar Corp., Class A 1.0 D.R. Horton, Inc. 1.0 Capital One Financial Corp. 0.9 Fortive Corp. 0.9 Public Service Enterprise Group, Inc. 0.9 Entergy Corp. 0.9 Ally Financial, Inc. 0.9 Consolidated Edison, Inc. 0.9 ------- Total 9.4% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 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> 7/11 $10,000 $10,000 $10,000 1/12 10,348 10,271 10,288 7/12 10,496 10,913 10,774 1/13 12,284 11,994 12,291 7/13 13,975 13,641 14,038 1/14 14,757 14,576 14,622 7/14 16,415 15,952 16,043 1/15 16,554 16,649 16,355 7/15 16,367 17,739 17,102 1/16 14,415 16,538 15,768 7/16 16,848 18,736 18,091 1/17 19,287 19,853 19,591 7/17 20,780 21,741 20,686 1/18 23,186 25,095 23,383 7/18 22,468 25,271 22,843 1/19 21,322 24,513 22,194 7/19 22,322 27,288 24,276 1/20 23,159 29,828 26,257 7/20 20,129 30,554 23,615 1/21 24,425 34,975 26,903 7/21 29,071 41,689 32,040 </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 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 37.30% 17.50% 15.13% 10.40% 123.99% 309.23% 308.62% Market Price 37.34% 17.51% 15.14% 10.40% 124.03% 309.36% 308.61% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Growth Index(1) 38.16% 18.24% N/A N/A 131.09% N/A N/A Nasdaq US 500 Large Cap Growth Index(1) 34.51% 21.06% N/A N/A 159.96% N/A N/A S&P 500(R) Index 36.45% 17.35% 15.35% 10.07% 122.51% 316.89% 291.56% S&P 500(R) Growth Index 37.13% 21.63% 17.79% 12.76% 166.15% 414.30% 452.38% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 37.30% during the period covered by this report. During the same period, the S&P 500(R) Growth Index (the "Benchmark") generated a return of 37.13%. During the period covered by this report, the Fund allocated 38.3% to the Information Technology sector which was the largest sector weight for the Fund as well as the largest contributor to the Fund's return with a 16.8% contribution during the period. The Fund's allocation to the Utilities sector provided the only negative contribution to the Fund's return with a -0.1% contribution to the Fund's return during the period, stemming from its -9.1% return and 0.3% allocation. On a relative basis, the Fund outperformed the Benchmark. The greatest source of outperformance were investments in the Consumer Discretionary sector, which caused 1.8% of outperformance for the Fund versus the Benchmark. The greatest drag on the Fund, relative to the Benchmark, were investments in the Industrials sector, which caused -0.9% of underperformance for the Fund during this same period. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 34.9% Health Care 22.9 Consumer Discretionary 13.7 Financials 8.4 Industrials 6.5 Communication Services 5.9 Real Estate 3.3 Energy 1.6 Consumer Staples 1.6 Materials 1.2 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Moderna, Inc. 1.3% Blackstone Group (The), Inc. 1.0 PerkinElmer, Inc. 1.0 West Pharmaceutical Services, Inc. 1.0 Fortinet, Inc. 1.0 Waters Corp. 1.0 Cloudflare, Inc., Class A 1.0 Alphabet, Inc., Class A 1.0 Charles River Laboratories International, Inc. 1.0 EPAM Systems, Inc. 1.0 ------- Total 10.3% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 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> 7/11 $10,000 $10,000 $10,000 1/12 9,688 10,271 10,264 7/12 9,811 10,913 11,038 1/13 10,986 11,994 11,743 7/13 12,600 13,641 13,300 1/14 13,838 14,576 14,556 7/14 14,979 15,952 15,892 1/15 16,083 16,649 16,944 7/15 17,574 17,739 18,354 1/16 16,101 16,538 17,267 7/16 18,272 18,736 19,324 1/17 18,065 19,853 20,020 7/17 19,933 21,741 22,604 1/18 23,492 25,095 26,562 7/18 23,957 25,271 27,489 1/19 22,474 24,515 26,635 7/19 25,670 27,291 30,116 1/20 26,815 29,832 33,220 7/20 29,804 30,555 37,508 1/21 35,048 34,978 43,131 7/21 40,923 41,689 51,430 </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 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 Index, Nasdaq US 600 Mid Cap Index, and Nasdaq US 700 Small Cap 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 54.35% 11.46% 10.96% 7.84% 72.03% 182.98% 192.73% Market Price 54.30% 11.46% 10.97% 7.84% 72.04% 183.23% 192.67% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Value Index(1) 55.57% 12.29% N/A N/A 78.52% N/A N/A Nasdaq US Multi Cap Value Index(1) 43.27% 13.55% N/A N/A 88.80% N/A N/A S&P Composite 1500(R) Index 37.52% 17.01% 15.13% 10.07% 119.30% 309.05% 291.50% S&P Composite 1500(R) Value Index 37.70% 12.10% 12.36% 7.17% 77.01% 220.57% 167.82% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 54.35% during the period covered by this report. During the same period, the S&P Composite 1500(R) Value Index (the "Benchmark") generated a return of 37.70%. During the period covered by this report, the Fund's greatest sector allocation was in the investments in the Financials sector. These investments received an allocation of 28.1% and also contributed more to the Fund's return than any other sector, with a contribution to the Fund's return of 20.2%. No sector had a negative contribution to Fund return during the period. On a relative basis the Fund outperformed the Benchmark. Much of this outperformance came from the heavily weighted Financials sector, which contributed 5.3% to the Fund's performance versus the Benchmark. Allocations in almost every sector resulted in outperformance for the Fund versus the Benchmark. The only two exceptions were the Utilities sector, which caused -0.6% of underperformance for the Fund and the Energy sector, which caused -0.2% of underperformance for the Fund versus the Benchmark. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 28.2% Industrials 13.7 Consumer Discretionary 10.7 Utilities 10.3 Materials 6.9 Health Care 6.6 Information Technology 6.2 Consumer Staples 5.8 Real Estate 4.8 Communication Services 4.3 Energy 2.5 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Quest Diagnostics, Inc. 0.5% Laboratory Corp. of America Holdings 0.5 Lennar Corp., Class A 0.5 D.R. Horton, Inc. 0.5 Capital One Financial Corp. 0.5 Fortive Corp. 0.5 Public Service Enterprise Group, Inc. 0.5 Entergy Corp. 0.5 Ally Financial, Inc. 0.5 Consolidated Edison, Inc. 0.5 ------- Total 5.0% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 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> 7/11 $10,000 $10,000 $10,000 1/12 10,439 10,251 10,284 7/12 10,363 10,827 10,718 1/13 12,218 11,981 12,273 7/13 14,086 13,639 14,039 1/14 15,090 14,593 14,681 7/14 16,252 15,877 16,036 1/15 16,250 16,587 16,368 7/15 16,132 17,663 17,081 1/16 13,928 16,377 15,689 7/16 16,451 18,652 18,110 1/17 18,811 19,848 19,689 7/17 19,652 21,638 20,727 1/18 21,737 24,899 23,361 7/18 21,674 25,168 22,984 1/19 20,361 24,292 22,216 7/19 20,890 26,941 24,199 1/20 21,344 29,292 26,031 7/20 18,333 29,746 23,280 1/21 23,517 34,411 26,894 7/21 28,298 40,905 32,057 </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 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 Index, Nasdaq US 600 Mid Cap Index and Nasdaq US 700 Small Cap 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 44.10% 17.95% 14.70% 10.60% 128.34% 294.25% 319.66% Market Price 44.07% 17.97% 14.71% 10.61% 128.48% 294.53% 319.83% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Growth Index(1) 45.12% 18.78% N/A N/A 136.47% N/A N/A Nasdaq US Multi Cap Growth Index(1) 35.28% 20.61% N/A N/A 155.25% N/A N/A S&P Composite 1500(R) Index 37.52% 17.01% 15.13% 10.07% 119.30% 309.05% 291.50% S&P Composite 1500(R) Growth Index 37.49% 21.03% 17.40% 12.62% 159.73% 397.22% 442.35% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 44.10% during the period covered by this report. During the same period, the S&P Composite 1500(R) Growth Index (the "Benchmark") generated a return of 37.49%. The Information Technology sector received the greatest allocation in the Fund during the period, with an average weight of 30.2%. This sector was also the greatest driver to the Fund's return, with a contribution of 13.5% to the Fund's return. No sector had a negative contribution to the Fund's return during the period covered by this report. On a relative basis, the Fund outperformed the Benchmark. Investments in the Consumer Discretionary sector led to 2.9% of outperformance. The most underperformance for the Fund versus the Benchmark came from investments in the Information Technology sector, which caused -0.6% of underperformance. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 27.6% Health Care 21.2 Consumer Discretionary 14.8 Industrials 9.7 Financials 8.8 Real Estate 4.9 Communication Services 4.3 Consumer Staples 3.0 Materials 2.9 Energy 2.4 Utilities 0.4 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Moderna, Inc. 0.7% Blackstone Group (The), Inc. 0.5 PerkinElmer, Inc. 0.5 West Pharmaceutical Services, Inc. 0.5 Fortinet, Inc. 0.5 Waters Corp. 0.5 Cloudflare, Inc., Class A 0.5 Alphabet, Inc., Class A 0.5 Charles River Laboratories International, Inc. 0.5 EPAM Systems, Inc. 0.5 ------- Total 5.2% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 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> 7/11 $10,000 $10,000 $10,000 1/12 9,806 10,251 10,228 7/12 9,890 10,827 10,926 1/13 11,136 11,981 11,731 7/13 12,660 13,639 13,291 1/14 13,959 14,593 14,531 7/14 14,513 15,877 15,752 1/15 15,445 16,587 16,807 7/15 16,818 17,663 18,220 1/16 15,064 16,377 17,027 7/16 17,265 18,652 19,143 1/17 17,593 19,848 19,915 7/17 19,310 21,638 22,360 1/18 22,579 24,899 26,193 7/18 23,714 25,170 27,136 1/19 22,059 24,294 26,162 7/19 24,819 26,942 29,484 1/20 25,602 29,290 32,349 7/20 27,360 29,745 36,166 1/21 35,120 34,411 41,928 7/21 39,425 40,905 49,722 </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 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 63.76% 10.46% 10.26% 9.56% 64.47% 165.54% 155.59% Market Price 63.75% 10.45% 10.24% 9.55% 64.40% 165.13% 155.46% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Value Index(1) 65.08% 11.30% N/A N/A 70.81% N/A N/A Nasdaq US 600 Mid Cap Value Index(1) 56.98% 11.33% N/A N/A 71.05% N/A N/A S&P MidCap 400(R) Value Index 56.85% 11.87% 12.31% 11.49% 75.18% 219.40% 206.04% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 63.76% during the period covered by this report. During the same period, the S&P MidCap 400(R) Value Index (the "Benchmark") generated a return of 56.85%. The Fund allocated 30.9% to the Financials sector during the period covered by this report, which was more weight than was given to investments in any other sector. These investments caused a 24.5% contribution to the Fund's return, the most of any sector. Investments in the Energy sector caused -0.1% drag in the Fund during the period covered by this report and this sector was the only sector to have a negative contribution to the Fund's return. On a relative basis, the Fund outperformed the Benchmark. The most significant source of outperformance was investments in the Financials sector, which earned 3.5% of outperformance for the Fund versus the Benchmark. The greatest source of underperformance for the Fund were the investments in the Information Technology sector, which caused -0.6% of underperformance for the Fund. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 30.0% Consumer Discretionary 14.4 Industrials 14.0 Utilities 8.5 Materials 8.1 Information Technology 6.9 Real Estate 6.3 Consumer Staples 4.1 Health Care 3.7 Energy 2.1 Communication Services 1.9 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- AutoNation, Inc. 0.9% Penske Automotive Group, Inc. 0.9 Santander Consumer USA Holdings, Inc. 0.8 Universal Health Services, Inc., Class B 0.8 Knight-Swift Transportation Holdings, Inc. 0.8 First American Financial Corp. 0.8 Enstar Group Ltd. 0.8 Seaboard Corp. 0.8 Thor Industries, Inc. 0.8 Builders FirstSource, Inc. 0.8 ------- Total 8.2% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 31, 2021 First Trust Mid Cap S&P MidCap 400(R) Value AlphaDEX(R) Fund Value Index <S> <C> <C> 7/11 $10,000 $10,000 1/12 10,371 10,145 7/12 10,322 10,300 1/13 12,224 12,149 7/13 14,077 13,942 1/14 15,228 14,931 7/14 16,090 15,980 1/15 15,797 16,508 7/15 15,949 16,912 1/16 13,601 15,005 7/16 16,145 18,232 1/17 18,394 20,378 7/17 18,684 20,951 1/18 20,519 22,874 7/18 20,702 23,569 1/19 19,528 22,226 7/19 19,821 23,516 1/20 19,782 24,052 7/20 16,215 20,366 1/21 21,459 26,324 7/21 26,554 31,940 </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) (CONTINUED) -------------------------------------------------------------------------------- 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 44.02% 19.01% 14.30% 13.75% 138.75% 280.59% 276.06% Market Price 43.96% 19.02% 14.28% 13.74% 138.88% 280.05% 275.91% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) 45.10% 19.89% N/A N/A 147.70% N/A N/A Nasdaq US 600 Mid Cap Growth Index(1) 39.14% 17.77% N/A N/A 126.57% N/A N/A S&P MidCap 400(R) Growth Index 38.36% 14.45% 13.09% 12.61% 96.41% 242.21% 239.14% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 44.02% during the period covered by this report. During the same period, the S&P MidCap 400(R) Growth Index (the "Benchmark") generated a return of 38.36%. During the period covered by this report, the Fund's greatest allocation was to the Information Technology sector, which received an average weight of 25.0% and contributed 10.6% to the Fund's return, which was the greatest contribution to the Fund's return of any sector during the period covered by this report. No sector had a negative contribution to the Fund's return during the period. On a relative basis, the Fund outperformed the Benchmark. The greatest source of outperformance was from investments in the Communication Services sector which earned 3.5% of outperformance for the Fund compared to the Benchmark. The largest source of underperformance for the Fund came from the Industrials sector, which caused -1.3% of underperformance for the Fund versus the Benchmark. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 19.5% Health Care 19.0 Consumer Discretionary 16.2 Industrials 12.8 Real Estate 8.4 Financials 8.0 Materials 5.1 Consumer Staples 4.9 Communication Services 2.9 Energy 2.9 Utilities 0.3 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Crocs, Inc. 0.9% Cleveland-Cliffs, Inc. 0.9 Floor & Decor Holdings, Inc., Class A 0.9 Ares Management Corp., Class A 0.8 L Brands, Inc. 0.8 Tempur Sealy International, Inc. 0.8 Carlyle Group (The), Inc. 0.8 Bruker Corp. 0.8 Mattel, Inc. 0.8 Tenet Healthcare Corp. 0.8 ------- Total 8.3% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 31, 2021 First Trust Mid Cap S&P MidCap 400(R) Growth AlphaDEX(R) Fund Growth Index <S> <C> <C> 7/11 $10,000 $10,000 1/12 9,922 9,868 7/12 9,789 9,951 1/13 11,183 11,589 7/13 12,438 13,011 1/14 13,776 14,009 7/14 13,991 14,475 1/15 14,822 15,554 7/15 15,938 16,863 1/16 13,909 14,858 7/16 15,943 17,423 1/17 16,528 18,461 7/17 18,005 19,812 1/18 21,300 22,661 7/18 22,519 23,053 1/19 21,047 21,284 7/19 23,964 23,472 1/20 24,866 24,293 7/20 26,427 24,733 1/21 35,070 30,748 7/21 38,059 34,221 </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 21 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 65.22% 12.27% 10.96% 10.57% 78.34% 182.92% 180.92% Market Price 65.14% 12.26% 10.93% 10.56% 78.31% 182.13% 180.71% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Value Index(1) 66.50% 13.10% N/A N/A 85.06% N/A N/A Nasdaq US 700 Small Cap Value Index(1) 72.47% 13.63% N/A N/A 89.47% N/A N/A S&P SmallCap 600(R) Value Index 65.47% 12.27% 12.71% 12.13% 78.39% 230.78% 224.60% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 65.22% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Value Index (the "Benchmark") generated a return of 65.47%. The Fund allocated the greatest weight to the Financials sector. Investments in this sector received an allocation of 32.2% and contributed 23.0% to the Fund's performance, which was the greatest contribution of any sector. No sector had a negative contribution to the Fund's return during the period covered by this report. On a relative basis, the Fund underperformed the Benchmark. The greatest source of underperformance for the Fund versus the Benchmark came from investments in the Consumer Discretionary sector, which caused -3.4% of underperformance for the Fund versus the Benchmark. Meanwhile, investments in the Financials sector caused 4.1% of outperformance for the Fund during the period. 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 32.2% Industrials 18.5 Consumer Discretionary 14.8 Real Estate 6.8 Information Technology 5.5 Materials 5.3 Consumer Staples 5.1 Utilities 4.2 Communication Services 3.2 Energy 2.7 Health Care 1.7 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Meritage Homes Corp. 0.8% Tri Pointe Homes, Inc. 0.7 Mr. Cooper Group, Inc. 0.7 Group 1 Automotive, Inc. 0.7 American National Group, Inc. 0.7 M/I Homes, Inc. 0.7 Commercial Metals Co. 0.7 Innoviva, Inc. 0.7 Southwest Gas Holdings, Inc. 0.7 M.D.C. Holdings, Inc. 0.7 ------- Total 7.1% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 31, 2021 First Trust Small Cap S&P SmallCap 600(R) Value AlphaDEX(R) Fund Value Index <S> <C> <C> 7/11 $10,000 $10,000 1/12 10,767 10,528 7/12 10,076 10,426 1/13 12,029 12,172 7/13 14,342 14,322 1/14 15,687 15,569 7/14 16,043 16,022 1/15 16,109 16,461 7/15 15,740 17,019 1/16 13,182 15,258 7/16 15,865 18,541 1/17 18,187 21,056 7/17 18,309 21,620 1/18 20,023 24,085 7/18 21,030 26,100 1/19 19,146 23,292 7/19 18,992 23,888 1/20 19,320 24,169 7/20 17,123 19,991 1/21 23,865 28,148 7/21 28,292 33,078 </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) (CONTINUED) -------------------------------------------------------------------------------- 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 7/31/21 7/31/21 7/31/21 to 7/31/21 7/31/21 7/31/21 to 7/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 60.24% 16.66% 13.78% 13.29% 116.11% 263.49% 260.60% Market Price 60.13% 16.64% 13.75% 13.28% 115.89% 262.69% 260.35% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Growth Index(1) 61.57% 17.57% N/A N/A 124.68% N/A N/A Nasdaq US 700 Small Cap Growth Index(1) 52.12% 17.67% N/A N/A 125.57% N/A N/A S&P SmallCap 600(R) Growth Index 49.11% 15.75% 14.35% 13.91% 107.78% 282.19% 281.51% ------------------------------------------------------------------------------------------------------------------ </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.) PERFORMANCE REVIEW The Fund generated a NAV return of 60.24% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Growth Index (the "Benchmark") generated a return of 49.11%. The Health Care sector received the greatest allocation in the Fund, with an average weight in the Fund of 22.8%. Investments in this sector were also the greatest contribution to the Fund's return, with a contribution to return of 13.3%. No sector had a negative contribution to the Fund's return during the period covered by this report. On a relative basis, the Fund outperformed the Benchmark. Most of the outperformance came from investments in the Industrials sector, which earned 6.7% of outperformance for the Fund versus the Benchmark. The Fund outperformed the Benchmark with regards to most sectors, but investments in the Consumer Discretionary sector did cause -0.2% of underperformance for the Fund versus the Benchmark. ----------------------------- 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) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 21.1% Health Care 19.7 Consumer Discretionary 15.5 Industrials 13.3 Financials 10.8 Real Estate 4.0 Energy 3.9 Materials 3.9 Consumer Staples 3.9 Communication Services 2.5 Utilities 1.4 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Perficient, Inc. 0.8% MaxLinear, Inc. 0.7 Herc Holdings, Inc. 0.7 XPEL, Inc. 0.7 Domo, Inc., Class B 0.7 Ameresco, Inc., Class A 0.7 Owens & Minor, Inc. 0.7 Evolent Health, Inc., Class A 0.7 Avis Budget Group, Inc. 0.7 Skyline Champion Corp. 0.7 ------- Total 7.1% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JULY 31, 2021 First Trust Small Cap S&P SmallCap 600(R) Growth AlphaDEX(R) Fund Growth Index <S> <C> <C> 7/11 $10,000 $10,000 1/12 9,905 10,173 7/12 10,239 10,381 1/13 11,430 11,731 7/13 13,119 13,735 1/14 14,529 15,134 7/14 14,105 15,121 1/15 14,755 16,100 7/15 16,245 17,810 1/16 14,301 15,766 7/16 16,819 18,394 1/17 17,953 20,634 7/17 19,698 21,796 1/18 22,186 24,475 7/18 24,790 27,360 1/19 22,398 24,731 7/19 23,820 26,044 1/20 23,546 27,018 7/20 22,685 25,632 1/21 34,086 34,907 7/21 36,349 38,219 </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 JULY 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 July 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 FEBRUARY 1, 2021 JULY 31, 2021 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,180.40 0.58% $3.14 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $1,171.30 0.59% $3.18 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $1,132.10 0.59% $3.12 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $1,190.40 0.59% $3.20 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,167.60 0.59% $3.17 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 </TABLE> Page 27 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 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 FEBRUARY 1, 2021 JULY 31, 2021 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $1,203.30 0.69% $3.77 Hypothetical (5% return before expenses) $1,000.00 $1,021.37 0.69% $3.46 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,122.60 0.64% $3.37 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $1,237.40 0.70% $3.88 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,085.30 0.70% $3.62 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $1,185.40 0.70% $3.79 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $1,066.40 0.70% $3.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 </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 (February 1, 2021 through July 31, 2021), multiplied by 181/365 (to reflect the six-month period). Page 28 <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.3% 22,127 General Dynamics Corp. $ 4,337,556 14,454 L3Harris Technologies, Inc. 3,277,300 8,258 Lockheed Martin Corp. 3,069,251 11,462 Northrop Grumman Corp. 4,160,935 2,487 Teledyne Technologies, Inc. (a) 1,126,039 --------------- 15,971,081 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 24,680 Expeditors International of Washington, Inc. 3,165,210 17,455 FedEx Corp. 4,886,527 5,009 United Parcel Service, Inc., Class B 958,522 --------------- 9,010,259 --------------- AUTO COMPONENTS -- 0.3% 19,861 Aptiv PLC (a) 3,313,808 --------------- AUTOMOBILES -- 0.8% 280,346 Ford Motor Co. (a) 3,910,827 88,008 General Motors Co. (a) 5,002,375 1,531 Tesla, Inc. (a) 1,052,103 --------------- 9,965,305 --------------- BANKS -- 5.0% 75,780 Bank of America Corp. 2,906,921 73,602 Citigroup, Inc. 4,976,967 113,527 Citizens Financial Group, Inc. 4,786,298 108,969 Fifth Third Bancorp 3,954,485 16,693 First Republic Bank 3,255,469 218,953 Huntington Bancshares, Inc. 3,082,858 26,782 JPMorgan Chase & Co. 4,064,972 201,742 KeyCorp 3,966,248 28,669 M&T Bank Corp. 3,837,346 21,838 PNC Financial Services Group (The), Inc. 3,983,469 206,440 Regions Financial Corp. 3,973,970 9,359 SVB Financial Group (a) 5,147,076 75,062 Truist Financial Corp. 4,085,625 54,844 U.S. Bancorp 3,046,036 91,982 Wells Fargo & Co. 4,225,653 --------------- 59,293,393 --------------- BEVERAGES -- 0.4% 13,357 Constellation Brands, Inc., Class A 2,996,509 29,554 Keurig Dr Pepper, Inc. 1,040,596 7,028 PepsiCo, Inc. 1,103,045 --------------- 5,140,150 --------------- BIOTECHNOLOGY -- 2.3% 9,245 AbbVie, Inc. 1,075,193 18,432 Alnylam Pharmaceuticals, Inc. (a) 3,298,222 12,030 Biogen, Inc. (a) 3,930,562 33,366 Horizon Therapeutics PLC (a) 3,337,267 22,161 Moderna, Inc. (a) 7,836,130 24,526 Novavax, Inc. (a) 4,398,248 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 3,728 Regeneron Pharmaceuticals, Inc. (a) $ 2,142,146 6,597 Seagen, Inc. (a) 1,011,914 --------------- 27,029,682 --------------- BUILDING PRODUCTS -- 0.7% 64,289 Carrier Global Corp. 3,551,967 15,177 Johnson Controls International PLC 1,083,941 35,359 Masco Corp. 2,111,286 5,655 Trane Technologies PLC 1,151,415 --------------- 7,898,609 --------------- CAPITAL MARKETS -- 5.4% 81,318 Bank of New York Mellon (The) Corp. 4,174,053 4,763 BlackRock, Inc. 4,130,331 53,606 Blackstone Group (The), Inc. 6,179,164 14,304 Charles Schwab (The) Corp. 971,957 4,896 CME Group, Inc. 1,038,588 162,783 Franklin Resources, Inc. 4,810,238 10,976 Goldman Sachs Group (The), Inc. 4,114,683 8,775 Intercontinental Exchange, Inc. 1,051,508 87,903 KKR & Co., Inc. 5,604,695 8,624 Moody's Corp. 3,242,624 45,435 Morgan Stanley 4,360,851 5,862 MSCI, Inc. 3,493,518 29,621 Nasdaq, Inc. 5,531,129 18,015 Northern Trust Corp. 2,032,993 24,053 Raymond James Financial, Inc. 3,114,382 5,073 S&P Global, Inc. 2,174,897 50,631 State Street Corp. 4,411,985 21,043 T. Rowe Price Group, Inc. 4,296,139 --------------- 64,733,735 --------------- CHEMICALS -- 2.6% 6,182 Albemarle Corp. 1,273,739 34,351 Celanese Corp. 5,350,855 70,451 Corteva, Inc. 3,013,894 49,376 Dow, Inc. 3,069,212 67,269 DuPont de Nemours, Inc. 5,048,539 26,761 Eastman Chemical Co. 3,016,500 19,251 FMC Corp. 2,058,894 50,620 LyondellBasell Industries N.V., Class A 5,028,085 6,136 PPG Industries, Inc. 1,003,359 7,645 Sherwin-Williams (The) Co. 2,224,924 --------------- 31,088,001 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.8% 2,726 Cintas Corp. 1,074,535 15,799 Copart, Inc. (a) 2,322,453 28,400 Republic Services, Inc. 3,361,424 14,867 Waste Management, Inc. 2,204,181 --------------- 8,962,593 --------------- See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 0.6% 8,625 Arista Networks, Inc. (a) $ 3,280,864 14,407 Motorola Solutions, Inc. 3,226,015 3,336 Ubiquiti, Inc. 1,044,502 --------------- 7,551,381 --------------- CONSTRUCTION MATERIALS -- 0.4% 5,919 Martin Marietta Materials, Inc. 2,150,373 11,965 Vulcan Materials Co. 2,153,580 --------------- 4,303,953 --------------- CONSUMER FINANCE -- 1.5% 104,484 Ally Financial, Inc. 5,366,298 6,304 American Express Co. 1,075,021 33,663 Capital One Financial Corp. 5,443,307 26,414 Discover Financial Services 3,283,789 64,395 Synchrony Financial 3,027,853 --------------- 18,196,268 --------------- CONTAINERS & PACKAGING -- 0.7% 9,908 Avery Dennison Corp. 2,087,417 50,962 International Paper Co. 2,943,565 23,073 Packaging Corp. of America 3,264,830 --------------- 8,295,812 --------------- DISTRIBUTORS -- 0.5% 11,355 Pool Corp. 5,425,646 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 18,739 Berkshire Hathaway, Inc., Class B (a) 5,214,876 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 144,753 AT&T, Inc. 4,060,321 306,544 Lumen Technologies, Inc. 3,822,604 92,941 Verizon Communications, Inc. 5,184,249 --------------- 13,067,174 --------------- ELECTRIC UTILITIES -- 4.4% 49,248 American Electric Power Co., Inc. 4,339,734 81,001 Avangrid, Inc. 4,223,392 31,648 Duke Energy Corp. 3,326,521 72,051 Edison International 3,926,779 52,230 Entergy Corp. 5,375,512 51,921 Eversource Energy 4,479,225 94,019 Exelon Corp. 4,400,089 111,957 FirstEnergy Corp. 4,290,192 28,424 NextEra Energy, Inc. 2,214,230 409,630 PG&E Corp. (a) 3,600,648 111,706 PPL Corp. 3,169,099 68,848 Southern (The) Co. 4,397,322 63,234 Xcel Energy, Inc. 4,315,720 --------------- 52,058,463 --------------- ELECTRICAL EQUIPMENT -- 1.0% 14,057 Eaton Corp. PLC 2,221,709 32,467 Emerson Electric Co. 3,275,596 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRICAL EQUIPMENT (CONTINUED) 12,543 Generac Holdings, Inc. (a) $ 5,260,032 3,642 Rockwell Automation, Inc. 1,119,624 --------------- 11,876,961 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 15,223 Amphenol Corp., Class A 1,103,515 5,963 CDW Corp. 1,093,316 76,392 Corning, Inc. 3,197,769 13,490 Keysight Technologies, Inc. (a) 2,219,780 15,406 TE Connectivity Ltd. 2,271,923 25,454 Trimble, Inc. (a) 2,176,317 7,867 Zebra Technologies Corp., Class A (a) 4,346,360 --------------- 16,408,980 --------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 45,540 Baker Hughes Co. 967,270 --------------- ENTERTAINMENT -- 0.5% 10,912 Activision Blizzard, Inc. 912,461 11,341 Roku, Inc. (a) 4,857,464 --------------- 5,769,925 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.5% 3,855 American Tower Corp. 1,090,194 14,971 AvalonBay Communities, Inc. 3,410,843 18,178 Boston Properties, Inc. 2,133,734 5,340 Crown Castle International Corp. 1,031,100 6,923 Digital Realty Trust, Inc. 1,067,250 21,997 Duke Realty Corp. 1,119,207 1,297 Equinix, Inc. 1,064,072 27,051 Equity Residential 2,275,801 3,471 Essex Property Trust, Inc. 1,138,835 6,358 Extra Space Storage, Inc. 1,107,182 62,572 Healthpeak Properties, Inc. 2,313,287 27,929 Invitation Homes, Inc. 1,136,152 6,183 Mid-America Apartment Communities, Inc. 1,193,937 17,425 Prologis, Inc. 2,231,097 10,390 Public Storage 3,246,667 31,210 Realty Income Corp. 2,193,751 3,268 SBA Communications Corp. 1,114,355 18,238 Ventas, Inc. 1,090,268 167,873 VICI Properties, Inc. 5,235,959 25,067 Welltower, Inc. 2,177,320 121,032 Weyerhaeuser Co. 4,082,409 --------------- 41,453,420 --------------- FOOD & STAPLES RETAILING -- 0.6% 2,632 Costco Wholesale Corp. 1,131,023 108,742 Kroger (The) Co. 4,425,799 7,385 Walmart, Inc. 1,052,732 --------------- 6,609,554 --------------- FOOD PRODUCTS -- 3.2% 85,930 Archer-Daniels-Midland Co. 5,131,740 143,141 Conagra Brands, Inc. 4,793,792 Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 68,371 General Mills, Inc. $ 4,024,317 11,958 Hershey (The) Co. 2,139,047 65,433 Hormel Foods Corp. 3,034,783 40,189 J.M. Smucker (The) Co. 5,269,180 48,570 Kellogg Co. 3,077,395 25,540 Kraft Heinz (The) Co. 982,524 23,585 McCormick & Co., Inc. 1,985,149 50,039 Mondelez International, Inc., Class A 3,165,467 70,598 Tyson Foods, Inc., Class A 5,044,933 --------------- 38,648,327 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.2% 5,112 Align Technology, Inc. (a) 3,556,930 25,876 Baxter International, Inc. 2,001,509 8,566 Becton, Dickinson and Co. 2,190,754 2,627 Cooper (The) Cos., Inc. 1,107,990 15,522 Danaher Corp. 4,617,640 2,439 Dexcom, Inc. (a) 1,257,329 20,113 Edwards Lifesciences Corp. (a) 2,258,087 6,597 IDEXX Laboratories, Inc. (a) 4,476,262 3,793 Insulet Corp. (a) 1,060,864 1,133 Intuitive Surgical, Inc. (a) 1,123,324 16,781 Medtronic PLC 2,203,513 23,475 Novocure Ltd. (a) 3,615,385 4,226 ResMed, Inc. 1,148,627 5,050 STERIS PLC 1,100,647 11,602 West Pharmaceutical Services, Inc. 4,776,891 12,952 Zimmer Biomet Holdings, Inc. 2,116,616 --------------- 38,612,368 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 8,183 Anthem, Inc. 3,142,354 18,242 Cardinal Health, Inc. 1,083,210 57,124 Centene Corp. (a) 3,919,278 21,966 Cigna Corp. 5,040,977 62,408 CVS Health Corp. 5,139,923 25,943 DaVita, Inc. (a) 3,119,646 10,075 HCA Healthcare, Inc. 2,500,615 9,411 Humana, Inc. 4,007,768 18,878 Laboratory Corp. of America Holdings (a) 5,590,720 12,347 Molina Healthcare, Inc. (a) 3,370,854 39,460 Quest Diagnostics, Inc. 5,595,428 7,804 UnitedHealth Group, Inc. 3,216,965 --------------- 45,727,738 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 53,299 Cerner Corp. 4,284,707 6,700 Veeva Systems, Inc., Class A (a) 2,229,157 --------------- 6,513,864 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.2% 40,152 Caesars Entertainment, Inc. (a) 3,507,679 1,344 Chipotle Mexican Grill, Inc. (a) 2,504,463 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 14,268 Darden Restaurants, Inc. $ 2,081,416 8,929 Domino's Pizza, Inc. 4,692,100 9,054 Yum! Brands, Inc. 1,189,605 --------------- 13,975,263 --------------- HOUSEHOLD DURABLES -- 1.6% 57,625 D.R. Horton, Inc. 5,499,154 21,602 Garmin Ltd. 3,395,834 52,416 Lennar Corp., Class A 5,511,542 838 NVR, Inc. (a) 4,376,539 --------------- 18,783,069 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 15,731 3M Co. 3,113,794 77,377 General Electric Co. 1,002,032 4,749 Honeywell International, Inc. 1,110,269 2,215 Roper Technologies, Inc. 1,088,318 --------------- 6,314,413 --------------- INSURANCE -- 5.0% 97,045 Aflac, Inc. 5,337,475 39,921 Allstate (The) Corp. 5,191,726 4,362 Aon PLC, Class A 1,134,251 133,730 Arch Capital Group Ltd. (a) 5,215,470 14,870 Arthur J. Gallagher & Co. 2,071,540 32,762 Chubb Ltd. 5,528,260 44,652 Cincinnati Financial Corp. 5,263,578 84,030 Hartford Financial Services Group (The), Inc. 5,345,989 4,388 Markel Corp. (a) 5,292,674 14,807 Marsh & McLennan Cos., Inc. 2,179,886 17,400 MetLife, Inc. 1,003,980 65,926 Principal Financial Group, Inc. 4,095,982 53,021 Progressive (The) Corp. 5,045,478 30,492 Prudential Financial, Inc. 3,057,738 27,826 Travelers (The) Cos., Inc. 4,143,848 --------------- 59,907,875 --------------- INTERACTIVE MEDIA & SERVICES -- 1.8% 2,132 Alphabet, Inc., Class A (a) 5,744,738 11,981 Facebook, Inc., Class A (a) 4,268,830 39,577 Pinterest, Inc., Class A (a) 2,331,085 76,422 Snap, Inc., Class A (a) 5,687,325 45,406 Twitter, Inc. (a) 3,167,069 --------------- 21,199,047 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.1% 606 Amazon.com, Inc. (a) 2,016,520 59,334 eBay, Inc. 4,047,172 15,180 Etsy, Inc. (a) 2,785,682 16,495 Wayfair, Inc., Class A (a) 3,981,233 --------------- 12,830,607 --------------- IT SERVICES -- 3.4% 7,066 Accenture PLC, Class A 2,244,727 8,930 Akamai Technologies, Inc. (a) 1,070,885 5,244 Automatic Data Processing, Inc. 1,099,300 See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 12,896 Broadridge Financial Solutions, Inc. $ 2,237,327 60,147 Cognizant Technology Solutions Corp., Class A 4,422,609 10,192 EPAM Systems, Inc. (a) 5,705,482 7,351 Fidelity National Information Services, Inc. 1,095,666 21,502 Gartner, Inc. (a) 5,692,224 11,976 GoDaddy, Inc., Class A (a) 1,004,188 14,210 International Business Machines Corp. 2,003,042 5,762 MongoDB, Inc. (a) 2,068,097 9,707 Paychex, Inc. 1,104,851 14,293 PayPal Holdings, Inc. (a) 3,938,150 17,089 Square, Inc., Class A (a) 4,225,426 7,926 Twilio, Inc., Class A (a) 2,961,074 --------------- 40,873,048 --------------- LEISURE PRODUCTS -- 0.4% 33,055 Hasbro, Inc. 3,286,989 16,797 Peloton Interactive, Inc., Class A (a) 1,982,886 --------------- 5,269,875 --------------- LIFE SCIENCES TOOLS & SERVICES -- 4.1% 15,957 10X Genomics, Inc., Class A (a) 2,923,801 28,184 Agilent Technologies, Inc. 4,318,634 146,647 Avantor, Inc. (a) 5,510,994 3,232 Bio-Rad Laboratories, Inc., Class A (a) 2,390,096 9,252 Bio-Techne Corp. 4,461,685 14,079 Charles River Laboratories International, Inc. (a) 5,729,027 2,200 Illumina, Inc. (a) 1,090,650 21,491 IQVIA Holdings, Inc. (a) 5,323,321 3,008 Mettler-Toledo International, Inc. (a) 4,432,920 26,981 PerkinElmer, Inc. 4,916,748 4,129 Thermo Fisher Scientific, Inc. 2,229,701 15,068 Waters Corp. (a) 5,873,657 --------------- 49,201,234 --------------- MACHINERY -- 3.0% 4,786 Caterpillar, Inc. 989,506 17,088 Cummins, Inc. 3,966,125 8,860 Deere & Co. 3,203,687 13,833 Dover Corp. 2,311,771 74,668 Fortive Corp. 5,425,377 4,659 Illinois Tool Works, Inc. 1,056,056 50,946 Otis Worldwide Corp. 4,562,214 46,678 PACCAR, Inc. 3,873,807 10,174 Parker-Hannifin Corp. 3,174,593 20,323 Stanley Black & Decker, Inc. 4,004,647 37,963 Westinghouse Air Brake Technologies Corp. 3,221,920 --------------- 35,789,703 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MEDIA -- 2.2% 4,330 Charter Communications, Inc., Class A (a) $ 3,221,737 73,060 Comcast Corp., Class A 4,298,120 169,736 Discovery, Inc., Class A (a) (b) 4,924,041 140,249 Fox Corp., Class A 5,001,279 11,994 Liberty Broadband Corp., Class C (a) 2,128,815 26,041 Omnicom Group, Inc. 1,896,306 115,210 ViacomCBS, Inc., Class B 4,715,545 --------------- 26,185,843 --------------- METALS & MINING -- 0.7% 56,130 Freeport-McMoRan, Inc. 2,138,553 16,433 Newmont Corp. 1,032,321 54,284 Nucor Corp. 5,646,622 --------------- 8,817,496 --------------- MULTILINE RETAIL -- 0.9% 9,627 Dollar General Corp. 2,239,625 52,336 Dollar Tree, Inc. (a) 5,222,610 12,925 Target Corp. 3,374,071 --------------- 10,836,306 --------------- MULTI-UTILITIES -- 2.8% 52,048 Ameren Corp. 4,367,868 70,515 CMS Energy Corp. 4,357,122 72,607 Consolidated Edison, Inc. 5,356,218 28,313 Dominion Energy, Inc. 2,119,794 32,146 DTE Energy Co. 3,771,369 87,168 Public Service Enterprise Group, Inc. 5,424,465 39,309 Sempra Energy 5,135,721 35,126 WEC Energy Group, Inc. 3,306,762 --------------- 33,839,319 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.7% 60,036 Cheniere Energy, Inc. (a) 5,098,858 9,945 Chevron Corp. 1,012,501 51,306 ConocoPhillips 2,876,214 24,964 EOG Resources, Inc. 1,818,877 11,926 Hess Corp. 911,623 285,650 Kinder Morgan, Inc. 4,964,597 34,475 Marathon Petroleum Corp. 1,903,710 166,530 Occidental Petroleum Corp. 4,346,433 56,155 ONEOK, Inc. 2,918,375 6,409 Pioneer Natural Resources Co. 931,676 26,679 Valero Energy Corp. 1,786,693 117,683 Williams (The) Cos., Inc. 2,947,959 --------------- 31,517,516 --------------- PERSONAL PRODUCTS -- 0.2% 6,548 Estee Lauder (The) Cos., Inc., Class A 2,185,919 --------------- PHARMACEUTICALS -- 1.8% 31,172 Bristol-Myers Squibb Co. 2,115,644 9,633 Catalent, Inc. (a) 1,154,130 18,151 Eli Lilly and Co. 4,419,769 18,967 Johnson & Johnson 3,266,117 106,384 Pfizer, Inc. 4,554,299 Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 218,647 Viatris, Inc. $ 3,076,363 11,176 Zoetis, Inc. 2,265,375 --------------- 20,851,697 --------------- PROFESSIONAL SERVICES -- 0.9% 17,395 Equifax, Inc. 4,533,137 15,612 Jacobs Engineering Group, Inc. 2,111,523 30,905 Leidos Holdings, Inc. 3,288,910 9,484 TransUnion 1,138,649 --------------- 11,072,219 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 24,296 CBRE Group, Inc., Class A (a) 2,343,592 --------------- ROAD & RAIL -- 1.0% 97,398 CSX Corp. 3,147,903 19,174 J.B. Hunt Transport Services, Inc. 3,229,860 11,772 Norfolk Southern Corp. 3,035,175 8,207 Old Dominion Freight Line, Inc. 2,208,914 --------------- 11,621,852 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.9% 33,265 Advanced Micro Devices, Inc. (a) 3,532,410 12,099 Analog Devices, Inc. 2,025,615 36,570 Applied Materials, Inc. 5,117,240 4,368 Broadcom, Inc. 2,120,227 11,344 Enphase Energy, Inc. (a) 2,150,823 33,877 Entegris, Inc. 4,086,921 92,756 Intel Corp. 4,982,852 6,426 KLA Corp. 2,237,276 8,003 Lam Research Corp. 5,101,192 35,711 Marvell Technology, Inc. 2,160,873 61,277 Micron Technology, Inc. (a) 4,753,870 2,789 Monolithic Power Systems, Inc. 1,252,986 26,035 NVIDIA Corp. 5,076,565 54,412 ON Semiconductor Corp. (a) 2,125,333 21,292 Qorvo, Inc. (a) 4,036,750 7,285 QUALCOMM, Inc. 1,091,293 16,296 Skyworks Solutions, Inc. 3,006,775 23,324 Teradyne, Inc. 2,962,148 5,415 Texas Instruments, Inc. 1,032,207 --------------- 58,853,356 --------------- SOFTWARE -- 5.3% 3,557 Adobe, Inc. (a) 2,211,138 6,439 Avalara, Inc. (a) 1,076,408 49,200 Cloudflare, Inc., Class A (a) 5,836,596 20,720 Crowdstrike Holdings, Inc., Class A (a) 5,254,799 10,005 Datadog, Inc., Class A (a) 1,107,553 14,902 DocuSign, Inc. (a) 4,441,392 14,291 Elastic N.V. (a) 2,115,925 21,862 Fortinet, Inc. (a) 5,951,711 8,935 HubSpot, Inc. (a) 5,325,439 8,499 Intuit, Inc. 4,504,215 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 7,689 Microsoft Corp. $ 2,190,673 40,141 Oracle Corp. 3,497,887 5,615 Palo Alto Networks, Inc. (a) 2,240,666 14,745 PTC, Inc. (a) 1,997,210 8,528 salesforce.com, Inc. (a) 2,063,179 1,894 ServiceNow, Inc. (a) 1,113,464 3,776 Synopsys, Inc. (a) 1,087,450 26,927 Trade Desk (The), Inc., Class A (a) 2,205,591 6,510 VMware, Inc., Class A (a) (b) 1,000,847 7,216 Zendesk, Inc. (a) 941,904 8,074 Zoom Video Communications, Inc., Class A (a) 3,052,779 14,460 Zscaler, Inc. (a) 3,411,259 --------------- 62,628,085 --------------- SPECIALTY RETAIL -- 3.0% 2,793 AutoZone, Inc. (a) 4,534,631 36,232 Best Buy Co., Inc. 4,070,665 24,194 CarMax, Inc. (a) 3,240,786 10,351 Carvana Co. (a) 3,494,083 24,317 GameStop Corp., Class A (a) 3,917,955 9,797 Home Depot (The), Inc. 3,215,277 21,478 Lowe's Cos., Inc. 4,138,596 7,358 O'Reilly Automotive, Inc. (a) 4,443,055 22,390 Tractor Supply Co. 4,051,023 3,012 Ulta Beauty, Inc. (a) 1,011,430 --------------- 36,117,501 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.1% 15,207 Apple, Inc. 2,218,093 52,246 Dell Technologies, Inc., Class C (a) 5,048,009 357,161 Hewlett Packard Enterprise Co. 5,178,834 68,994 HP, Inc. 1,991,857 50,916 NetApp, Inc. 4,052,404 35,532 Seagate Technology Holdings PLC 3,123,263 43,902 Western Digital Corp. (a) 2,850,557 --------------- 24,463,017 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 13,483 NIKE, Inc., Class B 2,258,537 --------------- TOBACCO -- 0.3% 21,843 Altria Group, Inc. 1,049,338 21,015 Philip Morris International, Inc. 2,103,391 --------------- 3,152,729 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 13,058 United Rentals, Inc. (a) 4,303,264 2,376 W.W. Grainger, Inc. 1,056,322 --------------- 5,359,586 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 21,572 T-Mobile US, Inc. (a) 3,106,799 --------------- See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 DESCRIPTION VALUE ------------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $ 1,188,464,099 (Cost $962,031,795) --------------- MONEY MARKET FUNDS -- 0.5% 5,557,401 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 5,557,401 1,202,071 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 1,202,071 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 6,759,472 (Cost $6,759,472) --------------- TOTAL INVESTMENTS -- 100.4% 1,195,223,571 (Cost $968,791,267) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (5,315,044) --------------- NET ASSETS -- 100.0% $ 1,189,908,527 =============== (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 $5,264,140 and the total value of the collateral held by the Fund is $5,557,401. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $974,363,445. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $236,802,396 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $15,942,270. The net unrealized appreciation was $220,860,126. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,188,464,099 $ -- $ -- Money Market Funds 6,759,472 -- -- ------------------------------------------------ Total Investments $1,195,223,571 $ -- $ -- ================================================ * 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) $ 5,264,140 Non-cash Collateral(2) (5,264,140) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.5% 17,232 Axon Enterprise, Inc. (a) $ 3,205,497 25,652 Curtiss-Wright Corp. 3,034,632 12,206 Hexcel Corp. (a) 664,250 22,095 Howmet Aerospace, Inc. (a) 725,158 14,455 Huntington Ingalls Industries, Inc. 2,965,154 58,051 Parsons Corp. (a) 2,241,930 22,150 Textron, Inc. 1,528,571 49,671 Virgin Galactic Holdings, Inc. (a) (b) 1,489,633 --------------- 15,854,825 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 24,393 C.H. Robinson Worldwide, Inc. 2,175,124 5,444 XPO Logistics, Inc. (a) 755,028 --------------- 2,930,152 --------------- AIRLINES -- 0.1% 71,817 American Airlines Group, Inc. (a) 1,463,630 --------------- AUTO COMPONENTS -- 1.2% 62,763 BorgWarner, Inc. 3,074,132 24,465 Fox Factory Holding Corp. (a) 3,952,076 92,068 Gentex Corp. 3,133,074 13,035 Lear Corp. 2,280,864 --------------- 12,440,146 --------------- AUTOMOBILES -- 0.5% 16,622 Harley-Davidson, Inc. 658,563 33,700 Thor Industries, Inc. 3,988,732 45,909 Workhorse Group, Inc. (a) (b) 529,790 --------------- 5,177,085 --------------- BANKS -- 5.1% 72,261 Bank OZK 2,941,745 35,179 BOK Financial Corp. 2,955,388 42,704 Comerica, Inc. 2,932,057 20,430 Commerce Bancshares, Inc. 1,445,014 20,400 Cullen/Frost Bankers, Inc. 2,189,328 31,872 East West Bancorp, Inc. 2,267,693 2,744 First Citizens BancShares, Inc., Class A 2,147,427 46,506 First Financial Bankshares, Inc. 2,271,353 176,303 First Horizon Corp. 2,723,881 27,655 Glacier Bancorp, Inc. 1,425,892 25,880 Pinnacle Financial Partners, Inc. 2,319,107 50,741 Popular, Inc. 3,691,915 42,431 Prosperity Bancshares, Inc. 2,893,370 12,402 Signature Bank 2,814,882 18,631 South State Corp. 1,282,558 69,428 Synovus Financial Corp. 2,839,605 83,466 United Bankshares, Inc. 2,882,916 226,844 Valley National Bancorp 2,924,019 42,836 Webster Financial Corp. 2,060,412 24,608 Western Alliance Bancorp 2,284,114 57,633 Zions Bancorp N.A. 3,005,561 --------------- 52,298,237 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- BEVERAGES -- 0.6% 1,492 Boston Beer (The) Co., Inc., Class A (a) $ 1,059,320 50,047 Celsius Holdings, Inc. (a) 3,434,726 14,186 Molson Coors Beverage Co., Class B (a) 693,554 32,251 National Beverage Corp. 1,463,550 --------------- 6,651,150 --------------- BIOTECHNOLOGY -- 2.9% 9,196 Arrowhead Pharmaceuticals, Inc. (a) 637,191 29,587 Beam Therapeutics, Inc. (a) 2,722,004 23,536 Biohaven Pharmaceutical Holding Co., Ltd. (a) 2,965,771 41,610 CareDx, Inc. (a) 3,496,904 4,705 CRISPR Therapeutics AG (a) 569,399 38,839 Denali Therapeutics, Inc. (a) 1,981,954 40,340 Editas Medicine, Inc. (a) 1,688,632 41,801 Exelixis, Inc. (a) 704,347 17,551 Fate Therapeutics, Inc. (a) 1,453,223 50,317 Halozyme Therapeutics, Inc. (a) 2,079,602 18,816 Intellia Therapeutics, Inc. (a) 2,669,050 20,126 Natera, Inc. (a) 2,304,830 376,112 OPKO Health, Inc. (a) (b) 1,293,825 13,407 Sage Therapeutics, Inc. (a) 586,288 11,431 Twist Bioscience Corp. (a) 1,406,585 16,981 United Therapeutics Corp. (a) 3,089,353 16,109 Vir Biotechnology, Inc. (a) 574,286 --------------- 30,223,244 --------------- BUILDING PRODUCTS -- 2.4% 21,139 A.O. Smith Corp. 1,486,706 32,668 Advanced Drainage Systems, Inc. 3,988,436 5,468 Allegion PLC 746,929 14,201 Armstrong World Industries, Inc. 1,536,264 17,938 AZEK (The) Co., Inc. (a) 652,405 89,267 Builders FirstSource, Inc. (a) 3,972,381 22,938 Fortune Brands Home & Security, Inc. 2,235,767 6,514 Lennox International, Inc. 2,145,907 38,898 Owens Corning 3,740,432 20,689 Simpson Manufacturing Co., Inc. 2,327,099 22,355 Trex Co., Inc. (a) 2,170,670 --------------- 25,002,996 --------------- CAPITAL MARKETS -- 4.0% 19,756 Affiliated Managers Group, Inc. 3,130,141 48,979 Apollo Global Management, Inc. 2,882,904 59,885 Ares Management Corp., Class A 4,288,365 81,931 Carlyle Group (The), Inc. 4,135,058 19,192 Cboe Global Markets, Inc. 2,273,676 21,641 Evercore, Inc., Class A 2,860,940 142,467 Invesco Ltd. 3,473,345 111,349 Jefferies Financial Group, Inc. 3,695,673 50,495 Lazard Ltd., Class A 2,383,364 See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 11,285 LPL Financial Holdings, Inc. $ 1,591,636 8,887 Morningstar, Inc. 2,245,123 49,161 SEI Investments Co. 2,988,989 46,970 Stifel Financial Corp. 3,125,384 18,014 Tradeweb Markets, Inc., Class A 1,562,354 --------------- 40,636,952 --------------- CHEMICALS -- 3.2% 34,817 Ashland Global Holdings, Inc. 2,961,882 24,980 Axalta Coating Systems Ltd. (a) 751,898 44,410 CF Industries Holdings, Inc. 2,098,372 43,771 Chemours (The) Co. 1,455,386 97,728 Element Solutions, Inc. 2,285,858 143,595 Huntsman Corp. 3,792,344 5,098 International Flavors & Fragrances, Inc. 767,963 119,340 Mosaic (The) Co. 3,726,988 9,461 NewMarket Corp. 2,988,825 82,320 Olin Corp. 3,871,510 3,211 Quaker Chemical Corp. 808,337 3,969 Scotts Miracle-Gro (The) Co. 702,354 117,318 Valvoline, Inc. 3,599,316 33,816 Westlake Chemical Corp. 2,804,023 --------------- 32,615,056 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.8% 282,346 ADT, Inc. 2,961,810 24,532 Clean Harbors, Inc. (a) 2,330,540 9,199 MSA Safety, Inc. 1,513,051 10,645 Stericycle, Inc. (a) 751,005 6,241 Tetra Tech, Inc. 833,298 --------------- 8,389,704 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 40,163 Ciena Corp. (a) 2,335,077 55,695 Juniper Networks, Inc. 1,567,257 --------------- 3,902,334 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 12,028 AECOM (a) 757,283 12,365 EMCOR Group, Inc. 1,506,181 28,713 MasTec, Inc. (a) 2,906,617 25,228 Quanta Services, Inc. 2,293,225 6,453 Valmont Industries, Inc. 1,529,038 54,656 WillScot Mobile Mini Holdings Corp. (a) 1,569,174 --------------- 10,561,518 --------------- CONSTRUCTION MATERIALS -- 0.3% 21,438 Eagle Materials, Inc. 3,029,618 --------------- CONSUMER FINANCE -- 1.5% 8,386 Credit Acceptance Corp. (a) (b) 4,065,281 63,564 OneMain Holdings, Inc. 3,877,404 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSUMER FINANCE (CONTINUED) 104,849 Santander Consumer USA Holdings, Inc. $ 4,301,955 145,488 SLM Corp. 2,739,539 --------------- 14,984,179 --------------- CONTAINERS & PACKAGING -- 1.7% 5,407 AptarGroup, Inc. 697,070 46,711 Berry Global Group, Inc. (a) 3,003,050 14,903 Crown Holdings, Inc. 1,486,723 125,958 Graphic Packaging Holding Co. 2,414,615 64,273 Sealed Air Corp. 3,647,493 73,410 Silgan Holdings, Inc. 2,974,573 34,154 Sonoco Products Co. 2,178,684 28,622 WestRock Co. 1,408,489 --------------- 17,810,697 --------------- DISTRIBUTORS -- 0.3% 61,895 LKQ Corp. (a) 3,141,171 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 42,327 Grand Canyon Education, Inc. (a) 3,909,745 42,636 Service Corp. International 2,664,324 --------------- 6,574,069 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 49,536 Voya Financial, Inc. 3,190,118 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 5,522 Bandwidth, Inc., Class A (a) 715,982 --------------- ELECTRIC UTILITIES -- 2.6% 54,636 Alliant Energy Corp. 3,197,845 63,017 Evergy, Inc. 4,109,969 72,056 Hawaiian Electric Industries, Inc. 3,122,907 31,246 IDACORP, Inc. 3,294,891 37,798 NRG Energy, Inc. 1,558,789 113,168 OGE Energy Corp. 3,819,420 46,458 Pinnacle West Capital Corp. 3,881,566 82,642 Portland General Electric Co. 4,041,194 --------------- 27,026,581 --------------- ELECTRICAL EQUIPMENT -- 1.1% 12,217 Acuity Brands, Inc. 2,142,618 8,153 Hubbell, Inc. 1,634,350 22,819 Regal Beloit Corp. 3,359,641 139,492 Vertiv Holdings Co. 3,911,356 --------------- 11,047,965 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 27,029 Advanced Energy Industries, Inc. 2,804,259 33,454 Arrow Electronics, Inc. (a) 3,966,641 31,476 II-VI, Inc. (a) 2,197,339 39,313 Jabil, Inc. 2,340,696 5,979 Littelfuse, Inc. 1,590,354 25,020 SYNNEX Corp. 2,990,891 46,754 Vontier Corp. 1,512,492 --------------- 17,402,672 --------------- Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 0.1% 49,714 NOV, Inc. (a) $ 686,550 --------------- ENTERTAINMENT -- 0.4% 40,311 AMC Entertainment Holdings, Inc., Class A (a) (b) 1,492,313 21,133 Warner Music Group Corp., Class A 798,616 143,298 Zynga, Inc., Class A (a) 1,447,310 --------------- 3,738,239 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.9% 32,604 American Campus Communities, Inc. 1,640,307 39,208 American Homes 4 Rent, Class A 1,646,736 20,122 Americold Realty Trust 781,740 66,547 Brixmor Property Group, Inc. 1,531,912 17,222 Camden Property Trust 2,572,795 62,123 Cousins Properties, Inc. 2,467,525 65,771 CubeSmart 3,266,188 22,654 Douglas Emmett, Inc. 756,644 9,263 EastGroup Properties, Inc. 1,632,326 20,499 Equity LifeStyle Properties, Inc. 1,717,816 6,500 Federal Realty Investment Trust 763,945 29,165 First Industrial Realty Trust, Inc. 1,597,659 16,439 Gaming and Leisure Properties, Inc. 778,222 100,877 Healthcare Realty Trust, Inc. 3,215,959 57,051 Healthcare Trust of America, Inc., Class A 1,631,088 33,723 Highwoods Properties, Inc. 1,608,250 11,961 Innovative Industrial Properties, Inc. 2,571,495 71,987 Iron Mountain, Inc. 3,150,151 24,171 JBG SMITH Properties 788,700 54,684 Kilroy Realty Corp. 3,787,961 182,645 Kimco Realty Corp. 3,895,818 14,588 Lamar Advertising Co., Class A 1,555,081 21,285 Life Storage, Inc. 2,498,008 64,985 National Retail Properties, Inc. 3,175,817 62,962 Omega Healthcare Investors, Inc. 2,284,261 164,943 Physicians Realty Trust 3,125,670 10,287 PS Business Parks, Inc. 1,580,803 21,197 Rayonier, Inc. 799,339 13,374 Rexford Industrial Realty, Inc. 822,768 19,404 Safehold, Inc. 1,752,569 38,081 SL Green Realty Corp. 2,835,511 31,840 Spirit Realty Capital, Inc. 1,599,005 40,696 STAG Industrial, Inc. 1,681,559 44,139 STORE Capital Corp. 1,597,390 11,805 Terreno Realty Corp. 806,990 16,320 Vornado Realty Trust 709,920 30,621 WP Carey, Inc. 2,470,808 --------------- 71,098,736 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD & STAPLES RETAILING -- 1.0% 116,220 Albertsons Cos., Inc., Class A (b) $ 2,510,352 64,029 BJ's Wholesale Club Holdings, Inc. (a) 3,242,429 15,652 Casey's General Stores, Inc. 3,094,557 15,707 Performance Food Group Co. (a) 719,695 19,854 US Foods Holding Corp. (a) 681,786 --------------- 10,248,819 --------------- FOOD PRODUCTS -- 2.2% 9,672 Beyond Meat, Inc. (a) 1,186,755 48,728 Bunge Ltd. 3,782,755 33,850 Darling Ingredients, Inc. (a) 2,338,020 94,416 Flowers Foods, Inc. 2,224,441 9,347 Freshpet, Inc. (a) 1,368,868 8,416 Ingredion, Inc. 739,009 9,442 Lamb Weston Holdings, Inc. 630,442 3,936 Lancaster Colony Corp. 778,816 137,354 Pilgrim's Pride Corp. (a) 3,042,391 28,086 Post Holdings, Inc. (a) 2,874,321 984 Seaboard Corp. 4,044,240 --------------- 23,010,058 --------------- GAS UTILITIES -- 1.3% 39,623 Atmos Energy Corp. 3,906,432 43,730 National Fuel Gas Co. 2,249,034 41,102 ONE Gas, Inc. 3,032,505 82,231 UGI Corp. 3,781,804 --------------- 12,969,775 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 12,039 DENTSPLY SIRONA, Inc. 795,056 35,253 Envista Holdings Corp. (a) 1,518,699 8,978 Glaukos Corp. (a) 457,878 29,471 Globus Medical, Inc., Class A (a) 2,451,103 20,116 Hill-Rom Holdings, Inc. 2,785,262 8,165 Inari Medical, Inc. (a) 733,135 16,543 Neogen Corp. (a) 720,613 5,558 Penumbra, Inc. (a) 1,479,706 5,945 Quidel Corp. (a) 841,039 20,071 Shockwave Medical, Inc. (a) 3,652,922 24,972 STAAR Surgical Co. (a) 3,194,418 7,819 Tandem Diabetes Care, Inc. (a) 849,691 --------------- 19,479,522 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.3% 36,413 Acadia Healthcare Co., Inc. (a) 2,247,410 27,786 AdaptHealth Corp. (a) 622,129 19,521 Encompass Health Corp. 1,625,123 17,575 Ensign Group (The), Inc. 1,495,105 9,464 HealthEquity, Inc. (a) 700,147 30,798 Henry Schein, Inc. (a) 2,468,460 87,568 Premier, Inc., Class A 3,120,923 64,545 Progyny, Inc. (a) 3,594,511 56,846 Tenet Healthcare Corp. (a) 4,083,817 See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 26,006 Universal Health Services, Inc., Class B $ 4,171,622 --------------- 24,129,247 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 3,941 Inspire Medical Systems, Inc. (a) 721,834 80,003 Multiplan Corp. (a) 644,024 20,116 Omnicell, Inc. (a) 2,946,994 --------------- 4,312,852 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.0% 37,159 Boyd Gaming Corp. (a) 2,118,063 49,176 Scientific Games Corp. (a) 3,034,651 7,117 Shake Shack, Inc., Class A (a) 715,543 7,917 Texas Roadhouse, Inc. 729,710 25,623 Travel + Leisure Co. 1,327,271 32,521 Wendy's (The) Co. 754,812 9,663 Wingstop, Inc. 1,655,369 --------------- 10,335,419 --------------- HOUSEHOLD DURABLES -- 3.0% 6,677 Helen of Troy Ltd. (a) 1,491,575 93,520 KB Home 3,968,989 44,101 Leggett & Platt, Inc. 2,118,171 19,814 Mohawk Industries, Inc. (a) 3,861,749 83,177 Newell Brands, Inc. 2,058,631 69,785 PulteGroup, Inc. 3,829,103 97,171 Tempur Sealy International, Inc. 4,204,589 65,873 Toll Brothers, Inc. 3,904,293 7,702 TopBuild Corp. (a) 1,561,118 17,467 Whirlpool Corp. 3,869,639 --------------- 30,867,857 --------------- HOUSEHOLD PRODUCTS -- 0.3% 100,379 Reynolds Consumer Products, Inc. 2,855,783 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 82,116 Vistra Corp. 1,572,521 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 7,959 Carlisle Cos., Inc. 1,609,628 --------------- INSURANCE -- 6.4% 5,709 Alleghany Corp. (a) 3,785,638 30,533 American Financial Group, Inc. 3,862,119 14,630 Assurant, Inc. 2,308,760 46,620 Axis Capital Holdings Ltd. 2,371,559 28,665 Brown & Brown, Inc. 1,559,376 66,971 CNA Financial Corp. 2,947,394 15,939 Enstar Group Ltd. (a) 4,096,642 12,089 Everest Re Group Ltd. 3,056,462 87,624 Fidelity National Financial, Inc. 3,908,907 61,077 First American Financial Corp. 4,111,093 31,984 Globe Life, Inc. 2,978,030 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 28,075 Hanover Insurance Group (The), Inc. $ 3,815,393 51,531 Kemper Corp. 3,401,561 36,360 Lincoln National Corp. 2,240,503 152,875 Old Republic International Corp. 3,769,898 14,920 Primerica, Inc. 2,181,602 26,724 Reinsurance Group of America, Inc. 2,944,450 7,282 RLI Corp. 789,223 37,542 Selective Insurance Group, Inc. 3,054,042 26,469 Trupanion, Inc. (a) 3,044,464 134,089 Unum Group 3,674,039 30,699 W.R. Berkley Corp. 2,246,246 --------------- 66,147,401 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 118,596 fuboTV, Inc. (a) (b) 3,088,240 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.9% 19,110 Chewy, Inc., Class A (a) 1,599,507 290,919 Qurate Retail, Inc., Series A 3,450,299 3,802 Stamps.com, Inc. (a) 1,242,342 50,522 Stitch Fix, Inc., Class A (a) 2,724,146 --------------- 9,016,294 --------------- IT SERVICES -- 1.2% 78,235 DXC Technology Co. (a) 3,127,835 33,529 Genpact Ltd. 1,670,079 34,632 MAXIMUS, Inc. 3,082,248 284,873 SolarWinds Corp. (a) 3,201,973 66,315 Western Union (The) Co. 1,539,171 --------------- 12,621,306 --------------- LEISURE PRODUCTS -- 1.2% 30,582 Brunswick Corp. 3,192,761 151,567 Mattel, Inc. (a) 3,292,035 11,122 Polaris, Inc. 1,457,761 41,474 YETI Holdings, Inc. (a) 3,995,190 --------------- 11,937,747 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.2% 40,097 Bruker Corp. 3,297,978 12,936 Medpace Holdings, Inc. (a) 2,275,960 43,559 Pacific Biosciences of California, Inc. (a) 1,400,422 7,631 Repligen Corp. (a) 1,874,936 34,043 Syneos Health, Inc. (a) 3,052,636 --------------- 11,901,932 --------------- MACHINERY -- 3.5% 23,367 AGCO Corp. 3,087,014 57,496 Allison Transmission Holdings, Inc. 2,294,665 15,615 Chart Industries, Inc. (a) 2,427,352 33,252 Colfax Corp. (a) 1,525,602 24,736 Crane Co. 2,405,081 23,977 Donaldson Co., Inc. 1,587,038 Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 37,779 Flowserve Corp. $ 1,590,118 20,122 Graco, Inc. 1,571,126 8,316 ITT, Inc. 814,219 5,340 John Bean Technologies Corp. 782,737 5,783 Lincoln Electric Holdings, Inc. 806,324 4,396 Middleby (The) Corp. (a) 841,790 6,939 Nordson Corp. 1,569,116 18,332 Oshkosh Corp. 2,191,591 7,638 RBC Bearings, Inc. (a) 1,794,930 15,220 Rexnord Corp. 857,343 13,635 Snap-on, Inc. 2,972,157 37,803 Timken (The) Co. 3,005,338 20,794 Toro (The) Co. 2,365,110 12,396 Woodward, Inc. 1,506,858 --------------- 35,995,509 --------------- MEDIA -- 1.3% 66,926 Altice USA, Inc., Class A (a) 2,056,636 91,103 DISH Network Corp., Class A (a) 3,816,305 46,884 Interpublic Group of (The) Cos., Inc. 1,657,818 88,664 News Corp., Class A 2,183,794 25,751 Nexstar Media Group, Inc., Class A 3,787,200 --------------- 13,501,753 --------------- METALS & MINING -- 1.4% 176,630 Cleveland-Cliffs, Inc. (a) 4,415,750 20,663 MP Materials Corp. (a) (b) 777,342 25,236 Reliance Steel & Aluminum Co. 3,965,838 63,895 Steel Dynamics, Inc. 4,118,033 31,734 United States Steel Corp. 840,316 --------------- 14,117,279 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.3% 225,467 AGNC Investment Corp. 3,578,161 428,844 Annaly Capital Management, Inc. 3,640,886 71,649 Blackstone Mortgage Trust, Inc., Class A 2,322,861 13,564 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 770,435 71,919 New Residential Investment Corp. 701,929 87,309 Starwood Property Trust, Inc. 2,272,653 --------------- 13,286,925 --------------- MULTILINE RETAIL -- 0.6% 69,101 Kohl's Corp. 3,510,331 120,511 Macy's, Inc. (a) 2,048,687 9,053 Ollie's Bargain Outlet Holdings, Inc. (a) 842,834 --------------- 6,401,852 --------------- MULTI-UTILITIES -- 1.3% 58,024 Black Hills Corp. 3,925,324 124,246 CenterPoint Energy, Inc. 3,163,303 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 121,510 MDU Resources Group, Inc. $ 3,854,297 93,261 NiSource, Inc. 2,310,075 --------------- 13,252,999 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.5% 293,215 Antero Midstream Corp. 2,785,543 140,846 APA Corp. 2,640,863 174,485 Cabot Oil & Gas Corp. 2,791,760 60,081 Continental Resources, Inc. 2,051,766 26,093 Devon Energy Corp. 674,243 32,448 Diamondback Energy, Inc. 2,502,714 102,645 EQT Corp. (a) 1,887,642 69,450 HollyFrontier Corp. 2,041,830 167,760 Marathon Oil Corp. 1,944,338 121,008 Ovintiv, Inc. 3,105,065 51,404 Targa Resources Corp. 2,164,622 952 Texas Pacific Land Corp. 1,420,908 --------------- 26,011,294 --------------- PAPER & FOREST PRODUCTS -- 0.3% 63,163 Louisiana-Pacific Corp. 3,501,757 --------------- PERSONAL PRODUCTS -- 0.4% 81,544 Coty, Inc., Class A (a) 711,879 57,775 Herbalife Nutrition Ltd. (a) 2,943,059 --------------- 3,654,938 --------------- PHARMACEUTICALS -- 0.5% 9,891 Arvinas, Inc. (a) 999,980 17,150 Jazz Pharmaceuticals PLC (a) 2,907,268 16,612 Perrigo Co. PLC 797,874 --------------- 4,705,122 --------------- PROFESSIONAL SERVICES -- 2.0% 23,572 ASGN, Inc. (a) 2,383,836 17,882 Booz Allen Hamilton Holding Corp. 1,534,454 14,926 CACI International, Inc., Class A (a) 3,984,645 16,726 FTI Consulting, Inc. (a) 2,436,978 19,964 KBR, Inc. 772,607 6,405 ManpowerGroup, Inc. 759,505 17,120 Robert Half International, Inc. 1,681,355 26,044 Science Applications International Corp. 2,273,641 10,508 TriNet Group, Inc. (a) 871,954 65,331 Upwork, Inc. (a) 3,383,493 --------------- 20,082,468 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 78,579 eXp World Holdings, Inc. (a) 2,822,558 15,630 Howard Hughes (The) Corp. (a) 1,449,057 15,586 Jones Lang LaSalle, Inc. (a) 3,468,976 --------------- 7,740,591 --------------- ROAD & RAIL -- 1.0% 5,169 AMERCO 3,039,165 83,769 Knight-Swift Transportation Holdings, Inc. 4,162,482 See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 9,639 Landstar System, Inc. $ 1,513,323 7,271 Saia, Inc. (a) 1,643,246 --------------- 10,358,216 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 160,884 Amkor Technology, Inc. 3,964,182 39,968 Brooks Automation, Inc. 3,557,552 8,947 Cirrus Logic, Inc. (a) 738,933 28,643 Diodes, Inc. (a) 2,348,726 8,415 First Solar, Inc. (a) 724,027 40,670 Lattice Semiconductor Corp. (a) 2,308,022 47,542 MACOM Technology Solutions Holdings, Inc. (a) 2,934,292 8,560 MKS Instruments, Inc. 1,339,126 9,282 Power Integrations, Inc. 900,261 11,071 Semtech Corp. (a) 685,406 26,065 SunPower Corp. (a) (b) 645,630 --------------- 20,146,157 --------------- SOFTWARE -- 4.9% 5,529 Appian Corp. (a) 643,742 5,538 Aspen Technology, Inc. (a) 809,988 16,631 Bill.com Holdings, Inc. (a) 3,439,624 61,310 CDK Global, Inc. 2,942,267 21,412 Cerence, Inc. (a) 2,302,004 30,052 Digital Turbine, Inc. (a) 1,891,773 100,511 Dropbox, Inc., Class A (a) 3,165,091 52,148 Dynatrace, Inc. (a) 3,330,693 5,596 Everbridge, Inc. (a) 790,267 37,667 FireEye, Inc. (a) 760,873 8,306 Five9, Inc. (a) 1,671,915 27,685 J2 Global, Inc. (a) 3,911,060 24,087 LivePerson, Inc. (a) 1,534,101 10,516 Manhattan Associates, Inc. (a) 1,678,669 22,567 Medallia, Inc. (a) 764,344 3,438 MicroStrategy, Inc., Class A (a) (b) 2,152,222 36,147 Momentive Global, Inc. (a) 759,087 11,373 New Relic, Inc. (a) 785,647 59,782 Nutanix, Inc., Class A (a) 2,153,348 17,887 PagerDuty, Inc. (a) 726,033 10,944 Pegasystems, Inc. 1,396,892 24,145 Rapid7, Inc. (a) 2,746,494 29,827 Sailpoint Technologies Holdings, Inc. (a) 1,491,052 21,063 Smartsheet, Inc., Class A (a) 1,528,121 18,419 Tenable Holdings, Inc. (a) 788,333 26,436 Varonis Systems, Inc. (a) 1,617,883 16,898 Verint Systems, Inc. (a) 721,038 27,364 Workiva, Inc. (a) 3,551,026 --------------- 50,053,587 --------------- SPECIALTY RETAIL -- 4.4% 11,138 Advance Auto Parts, Inc. 2,361,924 20,294 American Eagle Outfitters, Inc. 699,534 40,165 AutoNation, Inc. (a) 4,873,220 45,757 Bed Bath & Beyond, Inc. (a) 1,305,905 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 38,009 Dick's Sporting Goods, Inc. $ 3,958,257 11,822 Five Below, Inc. (a) 2,298,433 28,822 Floor & Decor Holdings, Inc., Class A (a) 3,516,572 61,790 Foot Locker, Inc. 3,525,738 45,267 Gap (The), Inc. 1,320,438 52,846 L Brands, Inc. 4,231,379 6,649 Lithia Motors, Inc. 2,508,136 44,687 National Vision Holdings, Inc. (a) 2,412,204 50,445 Penske Automotive Group, Inc. 4,469,427 5,609 RH (a) 3,724,825 18,195 Vroom, Inc. (a) 673,943 19,082 Williams-Sonoma, Inc. 2,894,739 --------------- 44,774,674 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 16,699 NCR Corp. (a) 741,436 162,118 Xerox Holdings Corp. 3,911,907 --------------- 4,653,343 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 22,146 Carter's, Inc. 2,164,550 15,487 Columbia Sportswear Co. 1,542,815 32,682 Crocs, Inc. (a) 4,438,542 9,915 Deckers Outdoor Corp. (a) 4,073,578 14,158 PVH Corp. (a) 1,481,210 30,569 Skechers U.S.A., Inc., Class A (a) 1,640,944 35,034 Tapestry, Inc. (a) 1,481,938 36,011 Under Armour, Inc., Class A (a) 736,425 --------------- 17,560,002 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 84,719 Essent Group Ltd. 3,826,757 280,010 MGIC Investment Corp. 3,875,338 276,452 New York Community Bancorp, Inc. 3,256,605 24,680 PennyMac Financial Services, Inc. 1,552,125 171,153 Radian Group, Inc. 3,864,635 --------------- 16,375,460 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% 91,235 Air Lease Corp. 3,864,715 25,464 MSC Industrial Direct Co., Inc., Class A 2,270,625 9,000 SiteOne Landscape Supply, Inc. (a) 1,573,020 13,285 Watsco, Inc. 3,752,215 22,222 WESCO International, Inc. (a) 2,365,532 --------------- 13,826,107 --------------- WATER UTILITIES -- 0.1% 16,666 Essential Utilities, Inc. 818,634 --------------- Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TOTAL COMMON STOCKS -- 99.8% $ 1,025,516,674 (Cost $849,041,200) --------------- MONEY MARKET FUNDS -- 1.1% 9,012,662 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 9,012,662 1,913,916 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 1,913,916 --------------- TOTAL MONEY MARKET FUNDS -- 1.1% 10,926,578 (Cost $10,926,578) --------------- TOTAL INVESTMENTS -- 100.9% 1,036,443,252 (Cost $859,967,778) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (9,140,390) --------------- NET ASSETS -- 100.0% $ 1,027,302,862 =============== (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 $8,678,463 and the total value of the collateral held by the Fund is $9,012,662. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $864,837,713. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $189,784,611 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $18,179,072. The net unrealized appreciation was $171,605,539. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,025,516,674 $ -- $ -- Money Market Funds 10,926,578 -- -- ------------------------------------------------ Total Investments $1,036,443,252 $ -- $ -- ================================================ * 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) $ 8,678,463 Non-cash Collateral(2) (8,678,463) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.4% 15,322 AAR Corp. (a) $ 547,915 11,775 Kaman Corp. 522,221 20,834 Kratos Defense & Security Solutions, Inc. (a) 566,685 29,743 Maxar Technologies, Inc. 1,078,778 7,064 Moog, Inc., Class A 550,074 --------------- 3,265,673 --------------- AIR FREIGHT & LOGISTICS -- 0.6% 43,579 Atlas Air Worldwide Holdings, Inc. (a) 2,918,485 6,613 Forward Air Corp. 584,854 26,996 Hub Group, Inc., Class A (a) 1,789,295 --------------- 5,292,634 --------------- AIRLINES -- 0.3% 55,137 SkyWest, Inc. (a) 2,232,497 --------------- AUTO COMPONENTS -- 1.4% 13,138 Adient PLC (a) 553,504 49,967 Dana, Inc. 1,207,203 11,453 Dorman Products, Inc. (a) 1,158,471 16,713 Gentherm, Inc. (a) 1,386,009 34,618 Goodyear Tire & Rubber (The) Co. (a) 543,849 9,034 LCI Industries 1,317,338 32,528 Patrick Industries, Inc. 2,687,788 4,913 Visteon Corp. (a) 560,328 35,392 XPEL, Inc. (a) (b) 3,277,299 --------------- 12,691,789 --------------- AUTOMOBILES -- 0.3% 43,680 Winnebago Industries, Inc. 3,139,282 --------------- BANKS -- 10.6% 46,906 Ameris Bancorp 2,280,101 144,937 Associated Banc-Corp. 2,869,753 65,563 Atlantic Union Bankshares Corp. 2,325,520 19,014 BancFirst Corp. 1,054,897 83,820 BancorpSouth Bank 2,162,556 7,050 Bank of Hawaii Corp. 590,156 55,622 BankUnited, Inc. 2,201,519 43,804 Banner Corp. 2,323,364 60,332 Cathay General Bancorp 2,284,773 46,185 Columbia Banking System, Inc. 1,613,704 15,696 Community Bank System, Inc. 1,124,461 86,501 CVB Financial Corp. 1,648,709 42,341 Eagle Bancorp, Inc. 2,330,025 192,592 F.N.B. Corp. 2,207,104 47,726 FB Financial Corp. 1,804,520 149,414 First BanCorp 1,812,392 100,492 First Financial Bancorp 2,261,070 62,840 First Hawaiian, Inc. 1,729,985 42,575 First Interstate BancSystem, Inc., Class A 1,784,744 42,737 First Merchants Corp. 1,740,678 150,481 Fulton Financial Corp. 2,305,369 72,423 Great Western Bancorp, Inc. 2,230,628 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 26,716 Hancock Whitney Corp. $ 1,167,756 50,539 Heartland Financial USA, Inc. 2,305,589 81,543 Hilltop Holdings, Inc. 2,583,282 72,163 Home BancShares, Inc. 1,528,412 125,596 Hope Bancorp, Inc. 1,664,147 15,728 Independent Bank Corp. 1,111,655 24,072 Independent Bank Group, Inc. 1,677,818 41,480 International Bancshares Corp. 1,621,038 124,897 Investors Bancorp, Inc. 1,726,077 30,188 Live Oak Bancshares, Inc. 1,817,016 66,022 NBT Bancorp, Inc. 2,300,867 134,845 Old National Bancorp 2,169,656 14,036 Pacific Premier Bancorp, Inc. 533,087 43,272 PacWest Bancorp 1,723,091 15,172 Park National Corp. 1,728,243 44,522 Renasant Corp. 1,566,284 40,356 Sandy Spring Bancorp, Inc. 1,678,406 17,387 Seacoast Banking Corp. of Florida 528,391 26,202 ServisFirst Bancshares, Inc. 1,862,438 5,240 Silvergate Capital Corp., Class A (a) 538,672 80,931 Simmons First National Corp., Class A 2,202,942 28,047 Texas Capital Bancshares, Inc. (a) 1,766,400 78,065 TowneBank 2,327,118 31,982 Triumph Bancorp, Inc. (a) 2,451,740 77,094 Trustmark Corp. 2,314,362 19,140 UMB Financial Corp. 1,791,504 96,532 Umpqua Holdings Corp. 1,821,559 55,636 United Community Banks, Inc. 1,602,873 50,299 Veritex Holdings, Inc. 1,687,531 49,982 WesBanco, Inc. 1,613,419 20,458 Westamerica BanCorp 1,136,442 31,400 Wintrust Financial Corp. 2,241,960 --------------- 97,475,803 --------------- BEVERAGES -- 0.1% 2,950 Coca-Cola Consolidated, Inc. 1,177,493 --------------- BIOTECHNOLOGY -- 1.6% 48,422 Alkermes PLC (a) 1,252,677 112,653 BioCryst Pharmaceuticals, Inc. (a) 1,815,966 63,625 Dicerna Pharmaceuticals, Inc. (a) 2,386,574 46,130 Ironwood Pharmaceuticals, Inc. (a) 612,145 4,523 Ligand Pharmaceuticals, Inc. (a) 513,406 142,877 Organogenesis Holdings, Inc. (a) 2,191,733 15,281 REGENXBIO, Inc. (a) 493,882 24,889 Seres Therapeutics, Inc. (a) 176,712 122,527 Sorrento Therapeutics, Inc. (a) (c) 1,005,947 86,225 Translate Bio, Inc. (a) 2,383,259 33,921 Vericel Corp. (a) 1,795,778 --------------- 14,628,079 --------------- Page 42 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BUILDING PRODUCTS -- 1.6% 29,065 American Woodmark Corp. (a) $ 2,158,076 163,276 Cornerstone Building Brands, Inc. (a) 2,746,303 5,011 CSW Industrials, Inc. 592,751 7,776 Gibraltar Industries, Inc. (a) 580,712 92,650 Griffon Corp. 2,142,068 67,825 JELD-WEN Holding, Inc. (a) 1,796,006 51,114 PGT Innovations, Inc. (a) 1,154,154 39,576 Resideo Technologies, Inc. (a) 1,167,492 31,942 UFP Industries, Inc. 2,372,013 --------------- 14,709,575 --------------- CAPITAL MARKETS -- 2.9% 11,683 Artisan Partners Asset Management, Inc., Class A 561,835 23,688 AssetMark Financial Holdings, Inc. (a) 618,257 39,311 B. Riley Financial, Inc. 2,655,851 76,015 Brightsphere Investment Group, Inc. 1,899,615 7,231 Cohen & Steers, Inc. 601,692 70,032 Federated Hermes, Inc. 2,271,838 24,478 Focus Financial Partners, Inc., Class A (a) 1,256,456 192,539 Golub Capital BDC, Inc. (c) 3,038,265 6,519 Hamilton Lane, Inc., Class A 606,267 29,038 Houlihan Lokey, Inc. 2,587,286 31,303 Moelis & Co., Class A 1,854,703 13,750 Piper Sandler Cos. 1,686,987 16,631 PJT Partners, Inc., Class A 1,300,045 85,940 Virtu Financial, Inc., Class A 2,212,096 10,688 Virtus Investment Partners, Inc. 2,951,277 --------------- 26,102,470 --------------- CHEMICALS -- 2.0% 108,798 Amyris, Inc. (a) 1,586,275 24,154 Avient Corp. 1,171,952 4,523 Balchem Corp. 610,107 102,091 GCP Applied Technologies, Inc. (a) 2,373,616 28,001 H.B. Fuller Co. 1,809,425 14,590 Ingevity Corp. (a) 1,239,274 6,548 Innospec, Inc. 579,170 124,368 Kronos Worldwide, Inc. 1,729,959 30,659 Livent Corp. (a) 598,157 22,635 Minerals Technologies, Inc. 1,815,780 13,719 Sensient Technologies Corp. 1,196,022 19,747 Stepan Co. 2,329,159 29,763 Trinseo S.A. 1,617,917 --------------- 18,656,813 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.5% 53,547 ABM Industries, Inc. 2,489,400 31,781 Brady Corp., Class A 1,737,785 73,659 BrightView Holdings, Inc. (a) 1,180,754 15,451 Brink's (The) Co. 1,189,109 10,955 Cimpress PLC (a) 1,120,149 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 33,709 Covanta Holding Corp. $ 677,551 37,286 Deluxe Corp. 1,636,855 58,148 Harsco Corp. (a) 1,169,938 37,610 Healthcare Services Group, Inc. 981,621 37,780 Herman Miller, Inc. 1,630,207 40,502 HNI Corp. 1,510,724 101,479 KAR Auction Services, Inc. (a) 1,672,374 338,459 Pitney Bowes, Inc. 2,707,672 78,578 Steelcase, Inc., Class A 1,080,447 7,588 UniFirst Corp. 1,652,439 --------------- 22,437,025 --------------- COMMUNICATIONS EQUIPMENT -- 1.6% 62,490 Calix, Inc. (a) 2,923,282 139,291 CommScope Holding Co., Inc. (a) 2,947,398 116,405 Infinera Corp. (a) 1,153,574 30,986 NETGEAR, Inc. (a) 1,061,270 62,407 NetScout Systems, Inc. (a) 1,794,825 71,130 Plantronics, Inc. (a) 2,218,545 35,732 Viasat, Inc. (a) 1,773,736 67,235 Viavi Solutions, Inc. (a) 1,122,152 --------------- 14,994,782 --------------- CONSTRUCTION & ENGINEERING -- 1.4% 37,864 Ameresco, Inc., Class A (a) 2,594,820 56,834 API Group Corp. (a) (b) (d) 1,302,635 30,318 Arcosa, Inc. 1,660,214 22,609 Comfort Systems USA, Inc. 1,690,023 23,895 Dycom Industries, Inc. (a) 1,658,313 12,563 NV5 Global, Inc. (a) 1,193,485 100,858 Primoris Services Corp. 3,015,654 --------------- 13,115,144 --------------- CONSTRUCTION MATERIALS -- 0.3% 85,171 Summit Materials, Inc., Class A (a) 2,861,746 --------------- CONSUMER FINANCE -- 1.4% 15,535 FirstCash, Inc. 1,230,372 12,672 Green Dot Corp., Class A (a) 583,799 122,850 Navient Corp. 2,509,825 39,460 Nelnet, Inc., Class A 2,971,338 77,158 PRA Group, Inc. (a) 2,992,959 49,343 PROG Holdings, Inc. 2,159,743 --------------- 12,448,036 --------------- CONTAINERS & PACKAGING -- 0.7% 49,021 Greif, Inc., Class A 2,971,653 36,353 O-I Glass, Inc. (a) 537,661 118,590 Ranpak Holdings Corp. (a) 3,038,276 --------------- 6,547,590 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 14,246 2U, Inc. (a) 618,276 83,289 Adtalem Global Education, Inc. (a) 3,026,722 See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 4,686 Graham Holdings Co., Class B $ 3,114,597 75,855 H&R Block, Inc. 1,862,240 31,224 Strategic Education, Inc. 2,475,751 49,282 WW International, Inc. (a) 1,514,929 --------------- 12,612,515 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 87,536 Cannae Holdings, Inc. (a) 2,910,572 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 15,440 Cogent Communications Holdings, Inc. 1,198,298 126,314 Liberty Latin America Ltd., Class C (a) 1,746,923 --------------- 2,945,221 --------------- ELECTRIC UTILITIES -- 0.6% 33,932 ALLETE, Inc. 2,386,098 15,954 MGE Energy, Inc. 1,246,326 36,483 Otter Tail Corp. 1,852,972 --------------- 5,485,396 --------------- ELECTRICAL EQUIPMENT -- 1.4% 41,807 Atkore, Inc. (a) 3,140,124 34,397 AZZ, Inc. 1,822,697 39,163 Encore Wire Corp. 3,071,554 12,153 EnerSys 1,199,015 153,264 GrafTech International Ltd. 1,742,612 24,522 TPI Composites, Inc. (a) 959,791 11,227 Vicor Corp. (a) 1,297,953 --------------- 13,233,746 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7% 74,064 Avnet, Inc. 3,060,324 6,051 Badger Meter, Inc. 611,333 11,743 Belden, Inc. 575,407 7,633 FARO Technologies, Inc. (a) 556,369 11,873 Insight Enterprises, Inc. (a) 1,191,812 5,933 Itron, Inc. (a) 585,112 60,150 Knowles Corp. (a) 1,205,406 60,320 Methode Electronics, Inc. 2,885,106 49,092 nLight, Inc. (a) 1,703,001 5,842 OSI Systems, Inc. (a) 584,492 16,981 PAR Technology Corp. (a) 1,036,690 38,492 PC Connection, Inc. 1,830,680 19,483 Plexus Corp. (a) 1,759,705 5,917 Rogers Corp. (a) 1,127,780 76,189 Sanmina Corp. (a) 2,927,181 83,030 TTM Technologies, Inc. (a) 1,161,590 105,305 Vishay Intertechnology, Inc. 2,330,400 --------------- 25,132,388 --------------- ENERGY EQUIPMENT & SERVICES -- 0.9% 199,890 Archrock, Inc. 1,721,053 16,172 Cactus, Inc., Class A 582,839 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 92,574 ChampionX Corp. (a) $ 2,151,420 18,191 Helmerich & Payne, Inc. 521,536 119,452 Patterson-UTI Energy, Inc. 958,005 525,360 Transocean Ltd. (a) 1,896,549 --------------- 7,831,402 --------------- ENTERTAINMENT -- 0.1% 7,071 Madison Square Garden Entertainment Corp. (a) 494,687 10,255 World Wrestling Entertainment, Inc., Class A 506,392 --------------- 1,001,079 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.4% 54,067 Acadia Realty Trust 1,157,034 15,923 American Assets Trust, Inc. 588,036 38,899 Apple Hospitality REIT, Inc. 581,540 216,508 Brandywine Realty Trust 3,022,452 170,692 Columbia Property Trust, Inc. 2,845,436 300,592 DigitalBridge Group, Inc. (a) 2,092,120 98,946 Empire State Realty Trust, Inc., Class A 1,130,953 11,269 EPR Properties 566,831 22,656 Equity Commonwealth 595,626 65,861 Essential Properties Realty Trust, Inc. 1,962,658 96,269 Global Net Lease, Inc. 1,778,088 42,682 Hudson Pacific Properties, Inc. 1,163,511 32,565 Independence Realty Trust, Inc. 627,853 22,710 Industrial Logistics Properties Trust 615,441 80,913 Kite Realty Group Trust 1,631,206 248,391 Lexington Realty Trust 3,266,342 61,853 LTC Properties, Inc. 2,341,136 32,528 Macerich (The) Co. 530,206 69,236 Mack-Cali Realty Corp. (a) 1,246,248 35,227 National Storage Affiliates Trust 1,908,247 176,859 Paramount Group, Inc. 1,726,144 25,213 Pebblebrook Hotel Trust 567,040 160,705 Piedmont Office Realty Trust, Inc., Class A 3,056,609 22,341 PotlatchDeltic Corp. 1,160,392 33,618 Retail Opportunity Investments Corp. 594,030 155,543 Retail Properties of America, Inc., Class A 1,961,397 38,979 RLJ Lodging Trust 559,349 7,523 Ryman Hospitality Properties, Inc. (a) 577,014 130,476 Sabra Health Care REIT, Inc. 2,425,549 47,120 Service Properties Trust 524,446 78,842 SITE Centers Corp. 1,250,434 125,973 Tanger Factory Outlet Centers, Inc. (c) 2,162,956 62,166 Urban Edge Properties 1,181,154 51,620 Washington Real Estate Investment Trust 1,253,850 Page 44 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 31,693 Xenia Hotels & Resorts, Inc. (a) $ 560,332 --------------- 49,211,660 --------------- FOOD & STAPLES RETAILING -- 1.0% 6,527 PriceSmart, Inc. 585,733 36,423 Rite Aid Corp. (a) 553,630 95,564 Sprouts Farmers Market, Inc. (a) 2,348,963 80,271 United Natural Foods, Inc. (a) 2,658,575 57,457 Weis Markets, Inc. 3,025,111 --------------- 9,172,012 --------------- FOOD PRODUCTS -- 1.8% 54,300 B&G Foods, Inc. (c) 1,559,496 9,356 Calavo Growers, Inc. 527,117 65,583 Cal-Maine Foods, Inc. 2,288,191 90,278 Fresh Del Monte Produce, Inc. 2,785,979 110,008 Hostess Brands, Inc. (a) 1,770,029 9,476 Sanderson Farms, Inc. 1,770,496 65,036 Simply Good Foods (The) Co. (a) 2,437,549 35,015 Tootsie Roll Industries, Inc. 1,204,166 40,004 TreeHouse Foods, Inc. (a) 1,776,177 --------------- 16,119,200 --------------- GAS UTILITIES -- 1.4% 9,868 Chesapeake Utilities Corp. 1,229,454 60,007 New Jersey Resources Corp. 2,311,469 45,213 Northwest Natural Holding Co. 2,364,188 45,788 South Jersey Industries, Inc. 1,152,484 44,846 Southwest Gas Holdings, Inc. 3,136,081 32,863 Spire, Inc. 2,331,630 --------------- 12,525,306 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5% 38,749 Alphatec Holdings, Inc. (a) 571,160 14,971 AtriCure, Inc. (a) 1,264,450 28,084 Axonics, Inc. (a) 1,908,308 26,672 BioLife Solutions, Inc. (a) 1,250,917 47,042 CryoPort, Inc. (a) 2,903,432 12,924 Heska Corp. (a) 3,110,807 12,601 Integer Holdings Corp. (a) 1,233,512 18,366 Merit Medical Systems, Inc. (a) 1,287,273 --------------- 13,529,859 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 6,126 AMN Healthcare Services, Inc. (a) 616,031 8,098 Castle Biosciences, Inc. (a) 565,645 13,261 CorVel Corp. (a) 1,867,414 32,185 Fulgent Genetics, Inc. (a) (c) 2,969,066 59,069 MEDNAX, Inc. (a) 1,720,089 13,967 ModivCare, Inc. (a) 2,374,390 135,727 Option Care Health, Inc. (a) 2,812,263 70,122 Owens & Minor, Inc. 3,243,143 39,073 Patterson Cos., Inc. 1,216,343 14,517 Pennant Group (The), Inc. (a) 496,772 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 70,244 Select Medical Holdings Corp. $ 2,771,126 44,552 Surgery Partners, Inc. (a) 2,430,757 5,126 US Physical Therapy, Inc. 605,688 --------------- 23,688,727 --------------- HEALTH CARE TECHNOLOGY -- 1.5% 160,360 Allscripts Healthcare Solutions, Inc. (a) 2,738,949 140,547 Evolent Health, Inc., Class A (a) 3,224,148 32,080 Health Catalyst, Inc. (a) 1,862,565 69,675 Inovalon Holdings, Inc., Class A (a) 2,639,289 71,569 NextGen Healthcare, Inc. (a) 1,160,849 19,372 Phreesia, Inc. (a) 1,324,076 11,873 Tabula Rasa HealthCare, Inc. (a) 510,064 14,899 Vocera Communications, Inc. (a) 625,162 --------------- 14,085,102 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.4% 87,499 Bloomin' Brands, Inc. (a) 2,198,850 32,867 Cheesecake Factory (The), Inc. (a) 1,487,560 11,993 Cracker Barrel Old Country Store, Inc. 1,633,207 15,980 Jack in the Box, Inc. 1,739,583 22,738 Papa John's International, Inc. 2,594,860 55,873 Red Rock Resorts, Inc., Class A (a) 2,201,396 23,777 SeaWorld Entertainment, Inc. (a) 1,127,268 --------------- 12,982,724 --------------- HOUSEHOLD DURABLES -- 3.8% 5,339 Cavco Industries, Inc. (a) 1,254,665 44,609 Century Communities, Inc. 3,098,095 19,403 Installed Building Products, Inc. 2,328,360 6,353 iRobot Corp. (a) 555,888 64,110 La-Z-Boy, Inc. 2,152,814 18,332 LGI Homes, Inc. (a) 3,132,939 58,660 M.D.C. Holdings, Inc. 3,127,751 50,590 M/I Homes, Inc. (a) 3,273,679 31,551 Meritage Homes Corp. (a) 3,425,808 55,691 Skyline Champion Corp. (a) 3,140,972 67,408 Sonos, Inc. (a) 2,250,079 112,350 Taylor Morrison Home Corp. (a) 3,013,227 138,512 Tri Pointe Homes, Inc. (a) 3,340,909 49,990 Tupperware Brands Corp. (a) 1,044,291 --------------- 35,139,477 --------------- HOUSEHOLD PRODUCTS -- 0.6% 49,160 Central Garden & Pet Co., Class A (a) 2,129,119 13,809 Energizer Holdings, Inc. 591,716 27,923 Spectrum Brands Holdings, Inc. 2,439,074 --------------- 5,159,909 --------------- INSURANCE -- 3.1% 91,840 American Equity Investment Life Holding Co. 2,947,145 See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 19,986 American National Group, Inc. $ 3,297,290 11,454 Argo Group International Holdings Ltd. 597,097 62,517 Assured Guaranty Ltd. 2,988,938 13,035 Brighthouse Financial, Inc. (a) 561,287 125,671 CNO Financial Group, Inc. 2,870,326 761,098 Genworth Financial, Inc., Class A (a) 2,542,067 9,331 Goosehead Insurance, Inc., Class A 1,121,493 63,457 Horace Mann Educators Corp. 2,526,223 45,705 Mercury General Corp. 2,780,235 52,361 Stewart Information Services Corp. 3,089,823 2,584 White Mountains Insurance Group Ltd. 2,923,977 --------------- 28,245,901 --------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 14,856 Yelp, Inc. (a) 555,615 11,375 ZoomInfo Technologies, Inc., Class A (a) 611,406 --------------- 1,167,021 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.5% 32,196 Overstock.com, Inc. (a) 2,242,130 24,192 Shutterstock, Inc. 2,624,590 --------------- 4,866,720 --------------- IT SERVICES -- 1.8% 17,094 Alliance Data Systems Corp. 1,594,015 25,168 CSG Systems International, Inc. 1,141,620 27,204 EVERTEC, Inc. 1,188,815 16,764 ExlService Holdings, Inc. (a) 1,898,020 36,906 Perficient, Inc. (a) 3,479,867 18,999 Shift4 Payments, Inc., Class A (a) 1,694,521 28,122 Switch, Inc., Class A 581,001 28,795 TTEC Holdings, Inc. 3,009,078 70,367 Unisys Corp. (a) 1,572,702 38,626 Verra Mobility Corp. (a) 591,364 --------------- 16,751,003 --------------- LEISURE PRODUCTS -- 0.8% 48,072 Acushnet Holdings Corp. 2,462,728 52,798 Callaway Golf Co. (a) 1,672,641 8,098 Malibu Boats, Inc., Class A (a) 677,479 64,139 Vista Outdoor, Inc. (a) 2,590,574 --------------- 7,403,422 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% 80,989 Bionano Genomics, Inc. (a) (c) 480,265 26,202 Codexis, Inc. (a) 554,434 30,361 Quanterix Corp. (a) 1,613,687 --------------- 2,648,386 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY -- 3.7% 7,773 Alamo Group, Inc. $ 1,140,843 13,303 Albany International Corp., Class A 1,148,714 36,519 Altra Industrial Motion Corp. 2,289,011 18,862 Astec Industries, Inc. 1,156,429 23,169 Barnes Group, Inc. 1,173,973 22,301 Enerpac Tool Group Corp. 572,467 6,114 EnPro Industries, Inc. 569,336 6,331 ESCO Technologies, Inc. 597,457 70,295 Evoqua Water Technologies Corp. (a) 2,320,438 29,512 Federal Signal Corp. 1,168,970 14,730 Franklin Electric Co., Inc. 1,204,325 40,870 Greenbrier (The) Cos., Inc. 1,749,236 7,605 Helios Technologies, Inc. 614,864 40,403 Hillenbrand, Inc. 1,830,256 16,269 Hyster-Yale Materials Handling, Inc. 1,165,511 418,070 Ideanomics, Inc. (a) (c) 990,826 6,738 Kadant, Inc. 1,213,716 33,059 Kennametal, Inc. 1,198,389 10,771 Lindsay Corp. 1,730,792 50,699 Meritor, Inc. (a) 1,233,507 54,827 Mueller Industries, Inc. 2,379,492 82,335 Mueller Water Products, Inc., Class A 1,220,205 9,723 SPX Corp. (a) 648,135 9,102 SPX FLOW, Inc. (c) 747,729 14,869 Tennant Co. 1,176,435 12,467 Terex Corp. 597,419 22,076 Trinity Industries, Inc. 598,480 12,203 Watts Water Technologies, Inc., Class A 1,839,724 --------------- 34,276,679 --------------- MARINE -- 0.5% 39,158 Kirby Corp. (a) 2,267,640 37,100 Matson, Inc. 2,490,152 --------------- 4,757,792 --------------- MEDIA -- 1.4% 26,657 AMC Networks, Inc., Class A (a) 1,333,916 126,852 Gray Television, Inc. 2,812,309 29,596 John Wiley & Sons, Inc., Class A 1,739,653 71,478 Sinclair Broadcast Group, Inc., Class A 2,022,113 30,649 TechTarget, Inc. (a) 2,239,829 158,227 TEGNA, Inc. 2,803,782 --------------- 12,951,602 --------------- METALS & MINING -- 1.6% 32,232 Alcoa Corp. (a) 1,294,115 56,949 Allegheny Technologies, Inc. (a) 1,169,163 16,666 Arconic Corp. (a) 598,976 14,764 Carpenter Technology Corp. 563,247 66,850 Coeur Mining, Inc. (a) 504,049 96,622 Commercial Metals Co. 3,169,202 Page 46 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 319,171 Hecla Mining Co. $ 2,135,254 4,806 Kaiser Aluminum Corp. 584,794 15,762 Materion Corp. 1,124,776 34,512 Warrior Met Coal, Inc. 644,339 48,522 Worthington Industries, Inc. 3,103,952 --------------- 14,891,867 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.0% 148,877 Apollo Commercial Real Estate Finance, Inc. 2,265,908 133,257 Arbor Realty Trust, Inc. 2,435,938 56,058 Broadmark Realty Capital, Inc. 581,321 197,094 Chimera Investment Corp. 2,901,224 102,886 Ladder Capital Corp. 1,174,958 646,692 MFA Financial, Inc. 3,020,052 664,046 New York Mortgage Trust, Inc. 2,901,881 140,947 PennyMac Mortgage Investment Trust 2,779,475 --------------- 18,060,757 --------------- MULTILINE RETAIL -- 0.8% 44,965 Big Lots, Inc. 2,590,434 13,132 Dillard's, Inc., Class A 2,406,701 67,327 Franchise Group, Inc. 2,286,425 --------------- 7,283,560 --------------- MULTI-UTILITIES -- 0.5% 55,650 Avista Corp. 2,383,489 39,434 NorthWestern Corp. 2,444,514 --------------- 4,828,003 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.6% 197,487 Antero Resources Corp. (a) 2,685,823 58,489 Clean Energy Fuels Corp. (a) 439,252 173,837 CNX Resources Corp. (a) 2,103,428 33,059 CVR Energy, Inc. 451,586 27,455 Delek US Holdings, Inc. 477,168 348,805 Equitrans Midstream Corp. 2,867,177 81,661 Gevo, Inc. (a) 497,315 151,927 Magnolia Oil & Gas Corp., Class A (a) 2,126,978 82,431 Matador Resources Co. 2,547,118 25,499 Murphy Oil Corp. 553,583 25,930 PDC Energy, Inc. 1,025,532 177,107 Range Resources Corp. (a) 2,697,340 9,527 Renewable Energy Group, Inc. (a) 583,529 523,505 Southwestern Energy Co. (a) 2,465,709 74,842 World Fuel Services Corp. 2,579,055 --------------- 24,100,593 --------------- PAPER & FOREST PRODUCTS -- 0.3% 73,506 Schweitzer-Mauduit International, Inc. 2,890,991 --------------- PERSONAL PRODUCTS -- 0.9% 27,042 Edgewell Personal Care Co. 1,110,885 8,245 Inter Parfums, Inc. 633,793 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PERSONAL PRODUCTS (CONTINUED) 10,491 Medifast, Inc. $ 2,995,285 31,442 Nu Skin Enterprises, Inc., Class A 1,688,121 17,387 USANA Health Sciences, Inc. (a) 1,656,460 --------------- 8,084,544 --------------- PHARMACEUTICALS -- 1.0% 221,352 Innoviva, Inc. (a) 3,138,771 58,178 Intra-Cellular Therapies, Inc. (a) 1,997,251 34,185 Prestige Consumer Healthcare, Inc. (a) 1,796,422 20,025 Revance Therapeutics, Inc. (a) 582,327 77,121 Supernus Pharmaceuticals, Inc. (a) 2,030,596 --------------- 9,545,367 --------------- PROFESSIONAL SERVICES -- 0.9% 54,352 CBIZ, Inc. (a) 1,757,744 24,159 Huron Consulting Group, Inc. (a) 1,186,932 13,516 ICF International, Inc. 1,237,660 13,142 Insperity, Inc. 1,301,715 16,370 Korn Ferry 1,125,274 20,584 ManTech International Corp., Class A 1,800,276 --------------- 8,409,601 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 89,631 Kennedy-Wilson Holdings, Inc. 1,809,650 30,546 Marcus & Millichap, Inc. (a) 1,215,425 162,911 Realogy Holdings Corp. (a) 2,886,783 26,619 St Joe (The) Co. 1,205,042 --------------- 7,116,900 --------------- ROAD & RAIL -- 2.2% 51,008 ArcBest Corp. 3,015,083 30,484 Avis Budget Group, Inc. (a) 2,523,161 173,282 Heartland Express, Inc. 2,950,992 180,002 Marten Transport Ltd. 2,847,631 31,947 Ryder System, Inc. 2,432,764 136,352 Schneider National, Inc., Class B 3,059,739 66,670 Werner Enterprises, Inc. 3,047,486 --------------- 19,876,856 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.2% 23,226 ACM Research, Inc., Class A (a) 2,156,766 11,139 Ambarella, Inc. (a) 1,097,080 29,376 Axcelis Technologies, Inc. (a) 1,132,445 16,139 Cohu, Inc. (a) 571,482 55,887 MaxLinear, Inc. (a) 2,695,430 40,641 Onto Innovation, Inc. (a) 2,848,121 75,112 Rambus, Inc. (a) 1,777,150 18,762 SiTime Corp. (a) 2,544,878 15,263 Synaptics, Inc. (a) 2,318,755 55,254 Ultra Clean Holdings, Inc. (a) 2,984,269 --------------- 20,126,376 --------------- See Notes to Financial Statements Page 47 <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE -- 3.1% 17,212 Altair Engineering, Inc., Class A (a) $ 1,200,709 88,278 Avaya Holdings Corp. (a) 2,138,093 46,472 Box, Inc., Class A (a) 1,111,610 30,379 CommVault Systems, Inc. (a) 2,296,349 34,526 Cornerstone OnDemand, Inc. (a) 1,655,176 29,380 Domo, Inc., Class B (a) 2,595,135 87,557 Ebix, Inc. 2,645,973 16,257 InterDigital, Inc. 1,071,174 18,926 Marathon Digital Holdings, Inc. (a) (c) 522,925 11,187 Mimecast Ltd. (a) 621,438 12,834 Progress Software Corp. 585,102 47,280 Riot Blockchain, Inc. (a) (c) 1,557,876 33,196 Sprout Social, Inc., Class A (a) 2,949,133 59,397 Teradata Corp. (a) 2,949,655 123,592 Vonage Holdings Corp. (a) 1,762,422 53,383 Xperi Holding Corp. 1,108,765 68,835 Zuora, Inc., Class A (a) 1,190,157 --------------- 27,961,692 --------------- SPECIALTY RETAIL -- 3.8% 51,149 Abercrombie & Fitch Co., Class A (a) 1,933,944 13,856 Asbury Automotive Group, Inc. (a) 2,846,854 28,844 Blink Charging Co. (a) (c) 995,983 35,312 Boot Barn Holdings, Inc. (a) 3,051,663 35,800 Buckle (The), Inc. 1,506,464 72,418 Camping World Holdings, Inc., Class A 2,850,373 19,217 Group 1 Automotive, Inc. 3,338,762 37,029 GrowGeneration Corp. (a) 1,505,969 44,972 Guess?, Inc. 1,003,775 9,347 Monro, Inc. 542,126 17,800 Murphy USA, Inc. 2,625,678 12,361 ODP (The) Corp. (a) 585,046 33,558 Rent-A-Center, Inc. 1,920,189 26,897 Sally Beauty Holdings, Inc. (a) 508,891 29,395 Signet Jewelers Ltd. 1,891,274 21,602 Sleep Number Corp. (a) 2,143,134 66,347 Sonic Automotive, Inc., Class A 3,619,229 57,605 Urban Outfitters, Inc. (a) 2,141,754 --------------- 35,011,108 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 67,498 Super Micro Computer, Inc. (a) 2,567,624 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 90,336 G-III Apparel Group Ltd. (a) 2,697,433 10,527 Kontoor Brands, Inc. 582,985 13,568 Steven Madden Ltd. 594,686 --------------- 3,875,104 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE -- 2.3% 25,597 Axos Financial, Inc. (a) $ 1,224,816 100,795 Capitol Federal Financial, Inc. 1,117,817 58,624 Meta Financial Group, Inc. 2,913,613 89,783 Mr. Cooper Group, Inc. (a) 3,338,132 132,041 NMI Holdings, Inc., Class A (a) 2,907,543 130,566 Northwest Bancshares, Inc. 1,737,833 77,807 Provident Financial Services, Inc. 1,680,631 17,061 Walker & Dunlop, Inc. 1,765,472 74,718 Washington Federal, Inc. 2,411,150 50,964 WSFS Financial Corp. 2,231,204 --------------- 21,328,211 --------------- TOBACCO -- 0.2% 125,949 Vector Group Ltd. 1,682,679 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.7% 19,562 Applied Industrial Technologies, Inc. 1,754,711 33,449 Beacon Roofing Supply, Inc. (a) 1,788,853 40,701 Boise Cascade Co. 2,081,856 26,837 GATX Corp. 2,475,713 32,342 Global Industrial Co. 1,278,156 49,332 GMS, Inc. (a) 2,423,681 26,484 Herc Holdings, Inc. (a) 3,285,075 29,110 McGrath RentCorp 2,282,806 68,642 Rush Enterprises, Inc., Class A 3,225,488 56,713 Triton International Ltd. 2,993,879 48,703 Univar Solutions, Inc. (a) 1,195,172 --------------- 24,785,390 --------------- WATER UTILITIES -- 0.2% 10,691 California Water Service Group 670,112 7,266 Middlesex Water Co. 739,243 --------------- 1,409,355 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 130,990 Telephone and Data Systems, Inc. 2,927,626 81,746 United States Cellular Corp. (a) 2,972,285 --------------- 5,899,911 --------------- TOTAL COMMON STOCKS -- 100.0% 917,347,741 (Cost $795,903,650) --------------- MONEY MARKET FUNDS -- 1.3% 11,567,801 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f) 11,567,801 712,853 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (e) 712,853 --------------- TOTAL MONEY MARKET FUNDS -- 1.3% 12,280,654 (Cost $12,280,654) --------------- Page 48 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 101.3% $ 929,628,395 (Cost $808,184,304) (g) NET OTHER ASSETS AND LIABILITIES -- (1.3)% (11,928,808) --------------- NET ASSETS -- 100.0% $ 917,699,587 =============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the "1933 Act"). (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statement. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $11,247,640 and the total value of the collateral held by the Fund is $11,567,801. (d) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (e) Rate shown reflects yield as of July 31, 2021. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for federal income tax purposes is $813,245,325. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $144,252,388 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $27,869,318. The net unrealized appreciation was $116,383,070. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 917,347,741 $ -- $ -- Money Market Funds 12,280,654 -- -- ------------------------------------------------ Total Investments $ 929,628,395 $ -- $ -- ================================================ * 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) $ 11,247,640 Non-cash Collateral(2) (11,247,640) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 2.2% 29,769 General Dynamics Corp. $ 5,835,617 17,753 L3Harris Technologies, Inc. 4,025,315 14,813 Lockheed Martin Corp. 5,505,548 21,115 Northrop Grumman Corp. 7,665,167 --------------- 23,031,647 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 30,310 Expeditors International of Washington, Inc. 3,887,257 25,723 FedEx Corp. 7,201,154 --------------- 11,088,411 --------------- AUTOMOBILES -- 1.5% 516,431 Ford Motor Co. (a) 7,204,212 162,120 General Motors Co. (a) 9,214,901 --------------- 16,419,113 --------------- BANKS -- 7.7% 93,064 Bank of America Corp. 3,569,935 135,585 Citigroup, Inc. 9,168,258 209,127 Citizens Financial Group, Inc. 8,816,794 200,738 Fifth Third Bancorp 7,284,782 268,892 Huntington Bancshares, Inc. 3,785,999 36,030 JPMorgan Chase & Co. 5,468,633 371,630 KeyCorp 7,306,246 52,813 M&T Bank Corp. 7,069,020 40,229 PNC Financial Services Group (The), Inc. 7,338,172 380,287 Regions Financial Corp. 7,320,525 100,977 Truist Financial Corp. 5,496,178 67,353 U.S. Bancorp 3,740,786 123,740 Wells Fargo & Co. 5,684,616 --------------- 82,049,944 --------------- BEVERAGES -- 0.7% 23,961 Constellation Brands, Inc., Class A 5,375,411 12,607 PepsiCo, Inc. 1,978,668 --------------- 7,354,079 --------------- BIOTECHNOLOGY -- 0.5% 16,185 Biogen, Inc. (a) 5,288,125 --------------- BUILDING PRODUCTS -- 0.8% 78,953 Carrier Global Corp. 4,362,153 65,134 Masco Corp. 3,889,151 --------------- 8,251,304 --------------- CAPITAL MARKETS -- 4.3% 149,797 Bank of New York Mellon (The) Corp. 7,689,080 299,868 Franklin Resources, Inc. 8,861,099 20,219 Goldman Sachs Group (The), Inc. 7,579,699 61,122 Morgan Stanley 5,866,490 33,186 Northern Trust Corp. 3,745,040 29,538 Raymond James Financial, Inc. 3,824,580 93,270 State Street Corp. 8,127,548 --------------- 45,693,536 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS -- 4.2% 63,275 Celanese Corp. $ 9,856,347 126,362 Corteva, Inc. 5,405,766 88,561 Dow, Inc. 5,504,952 123,919 DuPont de Nemours, Inc. 9,300,121 32,865 Eastman Chemical Co. 3,704,543 17,264 FMC Corp. 1,846,385 74,600 LyondellBasell Industries N.V., Class A 7,410,018 11,004 PPG Industries, Inc. 1,799,374 --------------- 44,827,506 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 34,880 Republic Services, Inc. 4,128,397 13,332 Waste Management, Inc. 1,976,602 --------------- 6,104,999 --------------- CONSTRUCTION MATERIALS -- 0.4% 22,043 Vulcan Materials Co. 3,967,520 --------------- CONSUMER FINANCE -- 2.7% 192,470 Ally Financial, Inc. 9,885,259 62,011 Capital One Financial Corp. 10,027,179 32,437 Discover Financial Services 4,032,568 115,501 Synchrony Financial 5,430,857 --------------- 29,375,863 --------------- CONTAINERS & PACKAGING -- 1.2% 8,884 Avery Dennison Corp. 1,871,681 91,407 International Paper Co. 5,279,668 41,384 Packaging Corp. of America 5,855,836 --------------- 13,007,185 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 34,518 Berkshire Hathaway, Inc., Class B (a) 9,606,014 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.3% 266,649 AT&T, Inc. 7,479,504 564,693 Lumen Technologies, Inc. 7,041,722 171,205 Verizon Communications, Inc. 9,549,815 --------------- 24,071,041 --------------- ELECTRIC UTILITIES -- 8.4% 90,722 American Electric Power Co., Inc. 7,994,423 149,217 Avangrid, Inc. 7,780,174 56,768 Duke Energy Corp. 5,966,884 132,726 Edison International 7,233,567 96,216 Entergy Corp. 9,902,551 69,844 Eversource Energy 6,025,442 173,194 Exelon Corp. 8,105,479 206,241 FirstEnergy Corp. 7,903,155 25,493 NextEra Energy, Inc. 1,985,905 754,588 PG&E Corp. (a) 6,632,829 200,363 PPL Corp. 5,684,298 126,824 Southern (The) Co. 8,100,249 85,067 Xcel Energy, Inc. 5,805,823 --------------- 89,120,779 --------------- Page 50 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 0.6% 12,607 Eaton Corp. PLC $ 1,992,537 39,870 Emerson Electric Co. 4,022,484 --------------- 6,015,021 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 10,696 CDW Corp. 1,961,112 137,022 Corning, Inc. 5,735,741 13,817 TE Connectivity Ltd. 2,037,593 --------------- 9,734,446 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.9% 18,388 AvalonBay Communities, Inc. 4,189,338 16,301 Boston Properties, Inc. 1,913,411 24,261 Equity Residential 2,041,078 56,114 Healthpeak Properties, Inc. 2,074,534 27,989 Realty Income Corp. 1,967,347 309,241 VICI Properties, Inc. 9,645,227 22,479 Welltower, Inc. 1,952,526 222,956 Weyerhaeuser Co. 7,520,306 --------------- 31,303,767 --------------- FOOD & STAPLES RETAILING -- 0.8% 200,317 Kroger (The) Co. 8,152,902 --------------- FOOD PRODUCTS -- 5.4% 126,637 Archer-Daniels-Midland Co. 7,562,762 210,944 Conagra Brands, Inc. 7,064,515 91,977 General Mills, Inc. 5,413,766 22,029 Hershey (The) Co. 3,940,547 80,358 Hormel Foods Corp. 3,727,004 74,032 J.M. Smucker (The) Co. 9,706,336 59,646 Kellogg Co. 3,779,171 45,807 Kraft Heinz (The) Co. 1,762,195 21,150 McCormick & Co., Inc. 1,780,195 61,453 Mondelez International, Inc., Class A 3,887,517 130,051 Tyson Foods, Inc., Class A 9,293,444 --------------- 57,917,452 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.7% 23,207 Baxter International, Inc. 1,795,061 7,682 Becton, Dickinson and Co. 1,964,671 15,047 Medtronic PLC 1,975,822 11,616 Zimmer Biomet Holdings, Inc. 1,898,287 --------------- 7,633,841 --------------- HEALTH CARE PROVIDERS & SERVICES -- 7.0% 14,677 Anthem, Inc. 5,636,115 105,228 Centene Corp. (a) 7,219,693 40,463 Cigna Corp. 9,285,854 114,966 CVS Health Corp. 9,468,600 27,108 HCA Healthcare, Inc. 6,728,206 17,332 Humana, Inc. 7,381,005 34,774 Laboratory Corp. of America Holdings (a) 10,298,320 15,163 Molina Healthcare, Inc. (a) 4,139,651 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 72,688 Quest Diagnostics, Inc. $ 10,307,158 9,583 UnitedHealth Group, Inc. 3,950,304 --------------- 74,414,906 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 71,700 Cerner Corp. 5,763,963 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.2% 12,794 Darden Restaurants, Inc. 1,866,389 --------------- HOUSEHOLD DURABLES -- 2.3% 106,150 D.R. Horton, Inc. 10,129,894 96,555 Lennar Corp., Class A 10,152,758 771 NVR, Inc. (a) 4,026,625 --------------- 24,309,277 --------------- INDUSTRIAL CONGLOMERATES -- 0.4% 19,319 3M Co. 3,824,003 --------------- INSURANCE -- 9.7% 178,769 Aflac, Inc. 9,832,295 73,541 Allstate (The) Corp. 9,564,007 39,245 American International Group, Inc. 1,858,251 246,345 Arch Capital Group Ltd. (a) 9,607,455 13,335 Arthur J. Gallagher & Co. 1,857,699 48,283 Chubb Ltd. 8,147,273 82,257 Cincinnati Financial Corp. 9,696,455 154,797 Hartford Financial Services Group (The), Inc. 9,848,185 34,180 Loews Corp. 1,833,073 8,084 Markel Corp. (a) 9,750,678 31,211 MetLife, Inc. 1,800,875 121,446 Principal Financial Group, Inc. 7,545,440 97,674 Progressive (The) Corp. 9,294,658 54,691 Prudential Financial, Inc. 5,484,414 51,259 Travelers (The) Cos., Inc. 7,633,490 --------------- 103,754,248 --------------- IT SERVICES -- 0.9% 80,915 Cognizant Technology Solutions Corp., Class A 5,949,680 26,176 International Business Machines Corp. 3,689,769 --------------- 9,639,449 --------------- LEISURE PRODUCTS -- 0.4% 40,594 Hasbro, Inc. 4,036,667 --------------- MACHINERY -- 3.7% 22,986 Cummins, Inc. 5,335,051 12,403 Dover Corp. 2,072,789 137,551 Fortive Corp. 9,994,456 8,356 Illinois Tool Works, Inc. 1,894,054 62,792 PACCAR, Inc. 5,211,108 12,496 Parker-Hannifin Corp. 3,899,127 27,337 Stanley Black & Decker, Inc. 5,386,756 68,094 Westinghouse Air Brake Technologies Corp. 5,779,138 --------------- 39,572,479 --------------- See Notes to Financial Statements Page 51 <PAGE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 3.4% 134,586 Comcast Corp., Class A $ 7,917,694 312,669 Discovery, Inc., Class A (a) (b) 9,070,528 258,353 Fox Corp., Class A 9,212,868 23,354 Omnicom Group, Inc. 1,700,638 212,228 ViacomCBS, Inc., Class B 8,686,492 --------------- 36,588,220 --------------- METALS & MINING -- 1.0% 50,337 Freeport-McMoRan, Inc. 1,917,840 79,998 Nucor Corp. 8,321,392 --------------- 10,239,232 --------------- MULTILINE RETAIL -- 1.3% 77,127 Dollar Tree, Inc. (a) 7,696,504 23,184 Target Corp. 6,052,183 --------------- 13,748,687 --------------- MULTI-UTILITIES -- 5.4% 95,879 Ameren Corp. 8,046,166 94,858 CMS Energy Corp. 5,861,276 133,753 Consolidated Edison, Inc. 9,866,959 25,390 Dominion Energy, Inc. 1,900,949 59,215 DTE Energy Co. 6,947,104 160,576 Public Service Enterprise Group, Inc. 9,992,644 72,407 Sempra Energy 9,459,975 63,002 WEC Energy Group, Inc. 5,931,008 --------------- 58,006,081 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.6% 63,004 ConocoPhillips 3,532,004 45,986 EOG Resources, Inc. 3,350,540 420,963 Kinder Morgan, Inc. 7,316,337 30,917 Marathon Petroleum Corp. 1,707,237 68,963 ONEOK, Inc. 3,584,007 49,144 Valero Energy Corp. 3,291,174 211,078 Williams (The) Cos., Inc. 5,287,504 --------------- 28,068,803 --------------- PHARMACEUTICALS -- 1.5% 23,292 Johnson & Johnson 4,010,883 143,110 Pfizer, Inc. 6,126,539 392,173 Viatris, Inc. 5,517,874 --------------- 15,655,296 --------------- PROFESSIONAL SERVICES -- 0.6% 14,000 Jacobs Engineering Group, Inc. 1,893,500 37,953 Leidos Holdings, Inc. 4,038,958 --------------- 5,932,458 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 21,789 CBRE Group, Inc., Class A (a) 2,101,767 --------------- ROAD & RAIL -- 1.1% 119,610 CSX Corp. 3,865,795 23,549 J.B. Hunt Transport Services, Inc. 3,966,829 14,458 Norfolk Southern Corp. 3,727,706 --------------- 11,560,330 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 3,917 Broadcom, Inc. $ 1,901,312 170,870 Intel Corp. 9,179,137 112,880 Micron Technology, Inc. (a) 8,757,230 48,801 ON Semiconductor Corp. (a) 1,906,167 --------------- 21,743,846 --------------- SPECIALTY RETAIL -- 1.2% 66,743 Best Buy Co., Inc. 7,498,576 29,711 CarMax, Inc. (a) 3,979,789 5,404 Ulta Beauty, Inc. (a) 1,814,663 --------------- 13,293,028 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.2% 657,937 Hewlett Packard Enterprise Co. 9,540,086 185,629 HP, Inc. 5,359,109 63,735 Seagate Technology Holdings PLC 5,602,307 53,913 Western Digital Corp. (a) 3,500,571 --------------- 24,002,073 --------------- TOBACCO -- 0.2% 39,179 Altria Group, Inc. 1,882,159 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 17,566 United Rentals, Inc. (a) 5,788,875 4,264 W.W. Grainger, Inc. 1,895,689 --------------- 7,684,564 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 38,693 T-Mobile US, Inc. (a) 5,572,566 --------------- TOTAL COMMON STOCKS -- 99.7% 1,063,274,986 (Cost $906,138,723) --------------- MONEY MARKET FUNDS -- 1.0% 8,494,532 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 8,494,532 2,017,511 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 2,017,511 --------------- TOTAL MONEY MARKET FUNDS -- 1.0% 10,512,043 (Cost $10,512,043) --------------- TOTAL INVESTMENTS -- 100.7% 1,073,787,029 (Cost $916,650,766) (e) NET OTHER ASSETS AND LIABILITIES -- (0.7)% (7,806,212) --------------- NET ASSETS -- 100.0% $ 1,065,980,817 =============== Page 52 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 (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 $8,002,960 and the total value of the collateral held by the Fund is $8,494,532. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $919,727,983. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $172,118,168 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $18,059,122. The net unrealized appreciation was $154,059,046. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,063,274,986 $ -- $ -- Money Market Funds 10,512,043 -- -- ------------------------------------------------ Total Investments $1,073,787,029 $ -- $ -- ================================================ * 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) $ 8,002,960 Non-cash Collateral(2) (8,002,960) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.3% 14,528 HEICO Corp. $ 1,964,912 3,128 TransDigm Group, Inc. (a) 2,005,330 --------------- 3,970,242 --------------- AUTO COMPONENTS -- 0.7% 52,894 Aptiv PLC (a) 8,825,364 --------------- AUTOMOBILES -- 0.3% 6,122 Tesla, Inc. (a) 4,207,038 --------------- BANKS -- 1.6% 44,461 First Republic Bank 8,670,784 18,696 SVB Financial Group (a) 10,282,052 --------------- 18,952,836 --------------- BEVERAGES -- 0.2% 57,484 Keurig Dr Pepper, Inc. 2,024,012 --------------- BIOTECHNOLOGY -- 4.5% 36,941 AbbVie, Inc. 4,296,238 35,849 Alnylam Pharmaceuticals, Inc. (a) 6,414,820 16,295 Exact Sciences Corp. (a) 1,757,253 88,872 Horizon Therapeutics PLC (a) 8,888,978 44,268 Moderna, Inc. (a) 15,653,165 48,996 Novavax, Inc. (a) 8,786,453 10,881 Regeneron Pharmaceuticals, Inc. (a) 6,252,331 12,829 Seagen, Inc. (a) 1,967,840 --------------- 54,017,078 --------------- CAPITAL MARKETS -- 5.9% 9,511 BlackRock, Inc. 8,247,654 107,088 Blackstone Group (The), Inc. 12,344,034 17,066 Intercontinental Exchange, Inc. 2,045,019 175,598 KKR & Co., Inc. 11,196,128 16,771 Moody's Corp. 6,305,896 11,399 MSCI, Inc. 6,793,348 59,172 Nasdaq, Inc. 11,049,187 10,137 S&P Global, Inc. 4,345,935 42,038 T. Rowe Price Group, Inc. 8,582,478 --------------- 70,909,679 --------------- CHEMICALS -- 0.5% 22,307 Sherwin-Williams (The) Co. 6,492,006 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.7% 10,894 Cintas Corp. 4,294,197 31,563 Copart, Inc. (a) 4,639,761 --------------- 8,933,958 --------------- COMMUNICATIONS EQUIPMENT -- 1.8% 22,970 Arista Networks, Inc. (a) 8,737,558 38,223 Cisco Systems, Inc. 2,116,408 38,377 Motorola Solutions, Inc. 8,593,378 6,488 Ubiquiti, Inc. 2,031,393 --------------- 21,478,737 --------------- CONSTRUCTION MATERIALS -- 0.5% 17,275 Martin Marietta Materials, Inc. 6,276,008 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DISTRIBUTORS -- 0.9% 22,680 Pool Corp. $ 10,836,958 --------------- ELECTRICAL EQUIPMENT -- 1.4% 15,172 AMETEK, Inc. 2,109,666 25,058 Generac Holdings, Inc. (a) 10,508,323 14,547 Rockwell Automation, Inc. 4,472,039 --------------- 17,090,028 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.4% 60,824 Amphenol Corp., Class A 4,409,132 24,100 Cognex Corp. 2,178,881 39,357 Keysight Technologies, Inc. (a) 6,476,194 74,267 Trimble, Inc. (a) 6,349,828 15,718 Zebra Technologies Corp., Class A (a) 8,683,881 --------------- 28,097,916 --------------- ENTERTAINMENT -- 1.0% 21,225 Activision Blizzard, Inc. 1,774,834 22,651 Roku, Inc. (a) 9,701,650 --------------- 11,476,484 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.3% 7,500 American Tower Corp. 2,121,000 10,383 Crown Castle International Corp. 2,004,853 27,657 Digital Realty Trust, Inc. 4,263,603 87,876 Duke Realty Corp. 4,471,131 2,524 Equinix, Inc. 2,070,715 6,752 Essex Property Trust, Inc. 2,215,331 111,585 Invitation Homes, Inc. 4,539,278 50,842 Prologis, Inc. 6,509,810 20,212 Public Storage 6,315,846 6,356 SBA Communications Corp. 2,167,332 11,818 Sun Communities, Inc. 2,317,628 --------------- 38,996,527 --------------- FOOD & STAPLES RETAILING -- 0.2% 14,365 Walmart, Inc. 2,047,731 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.2% 17,475 Abbott Laboratories 2,114,126 9,946 Align Technology, Inc. (a) 6,920,427 5,112 Cooper (The) Cos., Inc. 2,156,088 31,011 Danaher Corp. 9,225,462 9,744 Dexcom, Inc. (a) 5,023,129 40,174 Edwards Lifesciences Corp. (a) 4,510,335 30,363 Hologic, Inc. (a) 2,278,440 13,178 IDEXX Laboratories, Inc. (a) 8,941,668 7,379 Insulet Corp. (a) 2,063,833 4,525 Intuitive Surgical, Inc. (a) 4,486,357 46,896 Novocure Ltd. (a) 7,222,453 16,878 ResMed, Inc. 4,587,440 9,820 STERIS PLC 2,140,269 28,967 West Pharmaceutical Services, Inc. 11,926,583 --------------- 73,596,610 --------------- Page 54 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES -- 0.5% 50,463 DaVita, Inc. (a) $ 6,068,176 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 19,544 Veeva Systems, Inc., Class A (a) 6,502,484 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.3% 100,264 Caesars Entertainment, Inc. (a) 8,759,063 2,682 Chipotle Mexican Grill, Inc. (a) 4,997,746 17,840 Domino's Pizza, Inc. 9,374,742 26,483 Penn National Gaming, Inc. (a) 1,810,908 17,611 Yum! Brands, Inc. 2,313,909 --------------- 27,256,368 --------------- HOUSEHOLD DURABLES -- 0.6% 42,017 Garmin Ltd. 6,605,072 --------------- HOUSEHOLD PRODUCTS -- 0.3% 23,772 Church & Dwight Co., Inc. 2,058,180 24,903 Colgate-Palmolive Co. 1,979,788 --------------- 4,037,968 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 4,309 Roper Technologies, Inc. 2,117,184 --------------- INSURANCE -- 0.9% 17,428 Aon PLC, Class A 4,531,803 43,198 Marsh & McLennan Cos., Inc. 6,359,609 --------------- 10,891,412 --------------- INTERACTIVE MEDIA & SERVICES -- 3.7% 4,261 Alphabet, Inc., Class A (a) 11,481,392 23,934 Facebook, Inc., Class A (a) 8,527,684 105,408 Pinterest, Inc., Class A (a) 6,208,531 152,663 Snap, Inc., Class A (a) 11,361,181 88,317 Twitter, Inc. (a) 6,160,111 --------------- 43,738,899 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.3% 1,768 Amazon.com, Inc. (a) 5,883,179 118,529 eBay, Inc. 8,084,863 29,525 Etsy, Inc. (a) 5,418,133 32,951 Wayfair, Inc., Class A (a) 7,953,053 --------------- 27,339,228 --------------- IT SERVICES -- 7.0% 20,616 Accenture PLC, Class A 6,549,291 35,687 Akamai Technologies, Inc. (a) 4,279,585 20,949 Automatic Data Processing, Inc. 4,391,539 37,624 Broadridge Financial Solutions, Inc. 6,527,388 20,359 EPAM Systems, Inc. (a) 11,396,968 42,949 Gartner, Inc. (a) 11,369,889 47,849 GoDaddy, Inc., Class A (a) 4,012,139 16,811 MongoDB, Inc. (a) 6,033,804 8,279 Okta, Inc. (a) 2,051,453 38,778 Paychex, Inc. 4,413,712 28,549 PayPal Holdings, Inc. (a) 7,866,106 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 34,134 Square, Inc., Class A (a) $ 8,439,973 15,417 Twilio, Inc., Class A (a) 5,759,637 --------------- 83,091,484 --------------- LEISURE PRODUCTS -- 0.5% 49,002 Peloton Interactive, Inc., Class A (a) 5,784,686 --------------- LIFE SCIENCES TOOLS & SERVICES -- 9.2% 31,036 10X Genomics, Inc., Class A (a) 5,686,726 56,300 Agilent Technologies, Inc. 8,626,849 292,942 Avantor, Inc. (a) 11,008,760 9,434 Bio-Rad Laboratories, Inc., Class A (a) 6,976,537 18,483 Bio-Techne Corp. 8,913,242 28,120 Charles River Laboratories International, Inc. (a) 11,442,590 8,794 Illumina, Inc. (a) 4,359,626 42,930 IQVIA Holdings, Inc. (a) 10,633,761 6,008 Mettler-Toledo International, Inc. (a) 8,854,050 67,368 PerkinElmer, Inc. 12,276,471 16,496 Thermo Fisher Scientific, Inc. 8,908,005 30,099 Waters Corp. (a) 11,732,891 --------------- 109,419,508 --------------- MACHINERY -- 1.6% 23,595 Deere & Co. 8,531,716 9,207 IDEX Corp. 2,087,135 101,773 Otis Worldwide Corp. 9,113,772 --------------- 19,732,623 --------------- MEDIA -- 1.2% 11,536 Charter Communications, Inc., Class A (a) 8,583,361 34,995 Liberty Broadband Corp., Class C (a) 6,211,262 --------------- 14,794,623 --------------- METALS & MINING -- 0.2% 31,961 Newmont Corp. 2,007,790 --------------- MULTILINE RETAIL -- 0.4% 19,228 Dollar General Corp. 4,473,202 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.6% 119,925 Cheniere Energy, Inc. (a) 10,185,230 332,665 Occidental Petroleum Corp. 8,682,557 --------------- 18,867,787 --------------- PERSONAL PRODUCTS -- 0.4% 13,080 Estee Lauder (The) Cos., Inc., Class A 4,366,496 --------------- PHARMACEUTICALS -- 2.0% 90,949 Bristol-Myers Squibb Co. 6,172,709 38,484 Catalent, Inc. (a) 4,610,768 36,258 Eli Lilly and Co. 8,828,823 22,329 Zoetis, Inc. 4,526,088 --------------- 24,138,388 --------------- See Notes to Financial Statements Page 55 <PAGE> FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 1.3% 43,431 Equifax, Inc. $ 11,318,119 37,892 TransUnion 4,549,313 --------------- 15,867,432 --------------- ROAD & RAIL -- 0.7% 33,495 Lyft, Inc., Class A (a) 1,852,943 23,944 Old Dominion Freight Line, Inc. 6,444,528 --------------- 8,297,471 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 8.8% 88,597 Advanced Micro Devices, Inc. (a) 9,408,115 24,170 Analog Devices, Inc. 4,046,541 73,050 Applied Materials, Inc. 10,221,887 22,659 Enphase Energy, Inc. (a) 4,296,146 67,675 Entegris, Inc. 8,164,312 18,746 KLA Corp. 6,526,607 15,988 Lam Research Corp. 10,190,911 104,188 Marvell Technology, Inc. 6,304,416 11,140 Monolithic Power Systems, Inc. 5,004,756 52,010 NVIDIA Corp. 10,141,430 42,533 Qorvo, Inc. (a) 8,063,832 29,112 QUALCOMM, Inc. 4,360,978 43,399 Skyworks Solutions, Inc. 8,007,550 62,122 Teradyne, Inc. 7,889,494 10,533 Texas Instruments, Inc. 2,007,800 --------------- 104,634,775 --------------- SOFTWARE -- 12.9% 10,377 Adobe, Inc. (a) 6,450,655 12,520 Avalara, Inc. (a) 2,092,968 14,806 Cadence Design Systems, Inc. (a) 2,186,106 98,283 Cloudflare, Inc., Class A (a) 11,659,312 41,393 Crowdstrike Holdings, Inc., Class A (a) 10,497,679 39,977 Datadog, Inc., Class A (a) 4,425,454 37,208 DocuSign, Inc. (a) 11,089,472 41,692 Elastic N.V. (a) 6,172,918 43,673 Fortinet, Inc. (a) 11,889,538 17,852 HubSpot, Inc. (a) 10,640,149 21,222 Intuit, Inc. 11,247,023 15,361 Microsoft Corp. 4,376,503 78,074 Oracle Corp. 6,803,368 16,379 Palo Alto Networks, Inc. (a) 6,536,040 43,022 PTC, Inc. (a) 5,827,330 17,036 salesforce.com, Inc. (a) 4,121,520 3,687 ServiceNow, Inc. (a) 2,167,550 28,110 SS&C Technologies Holdings, Inc. 2,203,543 15,087 Synopsys, Inc. (a) 4,344,905 53,786 Trade Desk (The), Inc., Class A (a) 4,405,611 26,010 VMware, Inc., Class A (a) (b) 3,998,777 28,827 Zendesk, Inc. (a) 3,762,788 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 21,504 Zoom Video Communications, Inc., Class A (a) $ 8,130,662 38,515 Zscaler, Inc. (a) 9,086,074 --------------- 154,115,945 --------------- SPECIALTY RETAIL -- 5.2% 5,578 AutoZone, Inc. (a) 9,056,274 27,573 Carvana Co. (a) 9,307,542 48,578 GameStop Corp., Class A (a) (b) 7,826,887 26,097 Home Depot (The), Inc. 8,564,774 42,904 Lowe's Cos., Inc. 8,267,172 14,699 O'Reilly Automotive, Inc. (a) 8,875,844 55,908 Tractor Supply Co. 10,115,435 --------------- 62,013,928 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.1% 44,373 Apple, Inc. 6,472,246 104,369 Dell Technologies, Inc., Class C (a) 10,084,133 101,709 NetApp, Inc. 8,095,019 --------------- 24,651,398 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 39,336 NIKE, Inc., Class B 6,589,173 --------------- TOBACCO -- 0.5% 61,318 Philip Morris International, Inc. 6,137,319 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 38,955 Fastenal Co. 2,133,565 --------------- TOTAL COMMON STOCKS -- 100.0% 1,193,903,596 (Cost $936,021,125) --------------- MONEY MARKET FUNDS -- 0.4% 4,562,306 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 4,562,306 563,382 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 563,382 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 5,125,688 (Cost $5,125,688) --------------- TOTAL INVESTMENTS -- 100.4% 1,199,029,284 (Cost $941,146,813) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (4,918,692) --------------- NET ASSETS -- 100.0% $ 1,194,110,592 =============== Page 56 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 (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 $4,425,514 and the total value of the collateral held by the Fund is $4,562,306. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $943,319,986. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $264,514,881 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $8,805,583. The net unrealized appreciation was $255,709,298. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,193,903,596 $ -- $ -- Money Market Funds 5,125,688 -- -- ------------------------------------------------ Total Investments $1,199,029,284 $ -- $ -- ================================================ * 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) $ 4,425,514 Non-cash Collateral(2) (4,425,514) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.5% 1,875 Curtiss-Wright Corp. $ 221,812 2,335 General Dynamics Corp. 457,730 1,409 Huntington Ingalls Industries, Inc. 289,028 1,393 L3Harris Technologies, Inc. 315,849 1,162 Lockheed Martin Corp. 431,881 1,656 Northrop Grumman Corp. 601,161 1,886 Parsons Corp. (a) 72,837 1,079 Textron, Inc. 74,462 --------------- 2,464,760 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 3,144 Atlas Air Worldwide Holdings, Inc. (a) 210,554 1,585 C.H. Robinson Worldwide, Inc. 141,335 2,377 Expeditors International of Washington, Inc. 304,850 2,017 FedEx Corp. 564,659 1,911 Hub Group, Inc., Class A (a) 126,661 --------------- 1,348,059 --------------- AIRLINES -- 0.1% 3,977 SkyWest, Inc. (a) 161,029 --------------- AUTO COMPONENTS -- 0.6% 6,116 BorgWarner, Inc. 299,562 1,769 Dana, Inc. 42,739 6,729 Gentex Corp. 228,988 847 Lear Corp. 148,208 2,346 Patrick Industries, Inc. 193,850 --------------- 913,347 --------------- AUTOMOBILES -- 1.1% 40,499 Ford Motor Co. (a) 564,961 12,713 General Motors Co. (a) 722,607 3,284 Thor Industries, Inc. 388,694 2,521 Winnebago Industries, Inc. 181,184 --------------- 1,857,446 --------------- BANKS -- 9.0% 3,383 Ameris Bancorp 164,448 8,363 Associated Banc-Corp. 165,587 3,480 Atlantic Union Bankshares Corp. 123,436 673 BancFirst Corp. 37,338 6,046 BancorpSouth Bank 155,987 7,298 Bank of America Corp. 279,951 7,042 Bank OZK 286,680 2,953 BankUnited, Inc. 116,880 2,325 Banner Corp. 123,318 3,428 BOK Financial Corp. 287,986 3,202 Cathay General Bancorp 121,260 10,632 Citigroup, Inc. 718,936 16,400 Citizens Financial Group, Inc. 691,424 2,221 Columbia Banking System, Inc. 77,602 4,162 Comerica, Inc. 285,763 995 Commerce Bancshares, Inc. 70,376 555 Community Bank System, Inc. 39,760 1,325 Cullen/Frost Bankers, Inc. 142,199 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 4,159 CVB Financial Corp. $ 79,271 2,248 Eagle Bancorp, Inc. 123,707 2,071 East West Bancorp, Inc. 147,352 13,892 F.N.B. Corp. 159,202 2,295 FB Financial Corp. 86,774 15,742 Fifth Third Bancorp 571,277 7,185 First BanCorp 87,154 178 First Citizens BancShares, Inc., Class A 139,301 7,248 First Financial Bancorp 163,080 3,022 First Hawaiian, Inc. 83,196 17,182 First Horizon Corp. 265,462 2,048 First Interstate BancSystem, Inc., Class A 85,852 2,056 First Merchants Corp. 83,741 10,854 Fulton Financial Corp. 166,283 1,927 Hancock Whitney Corp. 84,229 3,646 Heartland Financial USA, Inc. 166,331 5,882 Hilltop Holdings, Inc. 186,342 3,470 Home BancShares, Inc. 73,495 8,888 Hope Bancorp, Inc. 117,766 21,087 Huntington Bancshares, Inc. 296,905 557 Independent Bank Corp. 39,369 1,158 Independent Bank Group, Inc. 80,713 2,935 International Bancshares Corp. 114,700 6,006 Investors Bancorp, Inc. 83,003 2,825 JPMorgan Chase & Co. 428,778 29,143 KeyCorp 572,951 4,141 M&T Bank Corp. 554,273 3,504 NBT Bancorp, Inc. 122,114 9,727 Old National Bancorp 156,507 993 Pacific Premier Bancorp, Inc. 37,714 3,062 PacWest Bancorp 121,929 730 Park National Corp. 83,154 1,682 Pinnacle Financial Partners, Inc. 150,724 3,155 PNC Financial Services Group (The), Inc. 575,504 3,956 Popular, Inc. 287,839 4,135 Prosperity Bancshares, Inc. 281,966 29,821 Regions Financial Corp. 574,054 3,151 Renasant Corp. 110,852 2,856 Sandy Spring Bancorp, Inc. 118,781 5,838 Simmons First National Corp., Class A 158,910 1,816 South State Corp. 125,013 5,075 Synovus Financial Corp. 207,567 1,349 Texas Capital Bancshares, Inc. (a) 84,960 5,631 TowneBank 167,860 7,918 Truist Financial Corp. 430,977 5,561 Trustmark Corp. 166,941 5,281 U.S. Bancorp 293,307 1,355 UMB Financial Corp. 126,828 6,101 United Bankshares, Inc. 210,729 2,676 United Community Banks, Inc. 77,096 16,580 Valley National Bancorp 213,716 2,783 Webster Financial Corp. 133,862 9,703 Wells Fargo & Co. 445,756 Page 58 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 3,537 WesBanco, Inc. $ 114,174 724 Westamerica BanCorp 40,218 799 Western Alliance Bancorp 74,163 2,265 Wintrust Financial Corp. 161,721 5,616 Zions Bancorp N.A. 292,874 --------------- 15,077,248 --------------- BEVERAGES -- 0.4% 213 Coca-Cola Consolidated, Inc. 85,019 1,879 Constellation Brands, Inc., Class A 421,535 1,382 Molson Coors Beverage Co., Class B (a) 67,566 989 PepsiCo, Inc. 155,223 --------------- 729,343 --------------- BIOTECHNOLOGY -- 0.4% 1,269 Biogen, Inc. (a) 414,621 1,655 United Therapeutics Corp. (a) 301,094 --------------- 715,715 --------------- BUILDING PRODUCTS -- 1.3% 1,030 A.O. Smith Corp. 72,440 533 Allegion PLC 72,808 1,543 American Woodmark Corp. (a) 114,568 692 Armstrong World Industries, Inc. 74,860 8,699 Builders FirstSource, Inc. (a) 387,105 6,192 Carrier Global Corp. 342,108 4,918 Griffon Corp. 113,704 3,261 JELD-WEN Holding, Inc. (a) 86,351 5,108 Masco Corp. 304,999 3,791 Owens Corning 364,543 1,808 PGT Innovations, Inc. (a) 40,825 1,401 Resideo Technologies, Inc. (a) 41,329 1,695 UFP Industries, Inc. 125,871 --------------- 2,141,511 --------------- CAPITAL MARKETS -- 3.7% 1,444 Affiliated Managers Group, Inc. 228,787 11,747 Bank of New York Mellon (The) Corp. 602,973 1,247 Cboe Global Markets, Inc. 147,732 2,109 Evercore, Inc., Class A 278,810 5,051 Federated Hermes, Inc. 163,854 23,515 Franklin Resources, Inc. 694,868 1,586 Goldman Sachs Group (The), Inc. 594,560 13,884 Golub Capital BDC, Inc. (b) 219,090 11,107 Invesco Ltd. 270,789 10,851 Jefferies Financial Group, Inc. 360,145 3,281 Lazard Ltd., Class A 154,863 550 LPL Financial Holdings, Inc. 77,572 4,793 Morgan Stanley 460,032 2,602 Northern Trust Corp. 293,636 661 Piper Sandler Cos. 81,098 2,316 Raymond James Financial, Inc. 299,876 2,396 SEI Investments Co. 145,677 7,315 State Street Corp. 637,429 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 3,433 Stifel Financial Corp. $ 228,432 6,199 Virtu Financial, Inc., Class A 159,562 --------------- 6,099,785 --------------- CHEMICALS -- 3.7% 2,545 Ashland Global Holdings, Inc. 216,503 1,742 Avient Corp. 84,522 4,963 Celanese Corp. 773,087 4,328 CF Industries Holdings, Inc. 204,498 2,132 Chemours (The) Co. 70,889 9,910 Corteva, Inc. 423,950 6,945 Dow, Inc. 431,701 9,718 DuPont de Nemours, Inc. 729,336 2,577 Eastman Chemical Co. 290,479 6,349 Element Solutions, Inc. 148,503 1,354 FMC Corp. 144,810 5,418 GCP Applied Technologies, Inc. (a) 125,968 1,981 H.B. Fuller Co. 128,012 13,994 Huntsman Corp. 369,582 497 International Flavors & Fragrances, Inc. 74,868 5,980 Kronos Worldwide, Inc. 83,182 5,850 LyondellBasell Industries N.V., Class A 581,081 1,602 Minerals Technologies, Inc. 128,512 11,630 Mosaic (The) Co. 363,205 692 NewMarket Corp. 218,610 863 PPG Industries, Inc. 141,118 485 Sensient Technologies Corp. 42,282 1,048 Stepan Co. 123,612 1,431 Trinseo S.A. 77,789 3,295 Westlake Chemical Corp. 273,221 --------------- 6,249,320 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 3,862 ABM Industries, Inc. 179,544 1,529 Brady Corp., Class A 83,606 2,606 BrightView Holdings, Inc. (a) 41,774 1,594 Clean Harbors, Inc. (a) 151,430 1,793 Deluxe Corp. 78,713 1,331 Healthcare Services Group, Inc. 34,739 2,674 Herman Miller, Inc. 115,383 1,947 HNI Corp. 72,623 4,880 KAR Auction Services, Inc. (a) 80,422 2,735 Republic Services, Inc. 323,715 2,780 Steelcase, Inc., Class A 38,225 365 UniFirst Corp. 79,486 1,045 Waste Management, Inc. 154,932 --------------- 1,434,592 --------------- COMMUNICATIONS EQUIPMENT -- 0.3% 3,914 Ciena Corp. (a) 227,560 2,714 Juniper Networks, Inc. 76,372 3,001 NetScout Systems, Inc. (a) 86,309 1,719 Viasat, Inc. (a) 85,331 --------------- 475,572 --------------- See Notes to Financial Statements Page 59 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING -- 0.6% 2,146 Arcosa, Inc. $ 117,515 1,087 Comfort Systems USA, Inc. 81,253 1,149 Dycom Industries, Inc. (a) 79,741 2,099 MasTec, Inc. (a) 212,482 7,275 Primoris Services Corp. 217,522 1,639 Quanta Services, Inc. 148,985 315 Valmont Industries, Inc. 74,639 --------------- 932,137 --------------- CONSTRUCTION MATERIALS -- 0.2% 1,729 Vulcan Materials Co. 311,203 --------------- CONSUMER FINANCE -- 2.7% 15,093 Ally Financial, Inc. 775,176 4,863 Capital One Financial Corp. 786,347 654 Credit Acceptance Corp. (a) 317,040 2,544 Discover Financial Services 316,270 550 FirstCash, Inc. 43,560 8,862 Navient Corp. 181,051 2,846 Nelnet, Inc., Class A 214,304 6,195 OneMain Holdings, Inc. 377,895 5,565 PRA Group, Inc. (a) 215,866 3,559 PROG Holdings, Inc. 155,777 10,218 Santander Consumer USA Holdings, Inc. 419,245 14,179 SLM Corp. 266,991 9,058 Synchrony Financial 425,907 --------------- 4,495,429 --------------- CONTAINERS & PACKAGING -- 1.4% 697 Avery Dennison Corp. 146,844 4,552 Berry Global Group, Inc. (a) 292,648 1,453 Crown Holdings, Inc. 144,951 12,275 Graphic Packaging Holding Co. 235,312 2,829 Greif, Inc., Class A 171,494 7,169 International Paper Co. 414,081 2,573 O-I Glass, Inc. (a) 38,055 3,245 Packaging Corp. of America 459,167 5,365 Silgan Holdings, Inc. 217,390 2,219 Sonoco Products Co. 141,550 1,395 WestRock Co. 68,648 --------------- 2,330,140 --------------- DISTRIBUTORS -- 0.1% 4,524 LKQ Corp. (a) 229,593 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 4,806 Adtalem Global Education, Inc. (a) 174,650 337 Graham Holdings Co., Class B 223,991 3,300 Grand Canyon Education, Inc. (a) 304,821 7,295 H&R Block, Inc. 179,092 2,770 Service Corp. International 173,097 2,252 Strategic Education, Inc. 178,561 --------------- 1,234,212 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 2,707 Berkshire Hathaway, Inc., Class B (a) $ 753,331 6,313 Cannae Holdings, Inc. (a) 209,908 4,828 Voya Financial, Inc. 310,923 --------------- 1,274,162 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 20,911 AT&T, Inc. 586,554 44,283 Lumen Technologies, Inc. 552,209 13,426 Verizon Communications, Inc. 748,902 --------------- 1,887,665 --------------- ELECTRIC UTILITIES -- 5.6% 2,447 ALLETE, Inc. 172,073 3,993 Alliant Energy Corp. 233,710 7,114 American Electric Power Co., Inc. 626,886 11,702 Avangrid, Inc. 610,142 4,452 Duke Energy Corp. 467,950 10,408 Edison International 567,236 7,546 Entergy Corp. 776,634 4,913 Evergy, Inc. 320,426 5,477 Eversource Energy 472,501 13,582 Exelon Corp. 635,638 16,173 FirstEnergy Corp. 619,749 5,267 Hawaiian Electric Industries, Inc. 228,272 2,284 IDACORP, Inc. 240,848 564 MGE Energy, Inc. 44,060 1,999 NextEra Energy, Inc. 155,722 1,842 NRG Energy, Inc. 75,964 8,823 OGE Energy Corp. 297,776 2,582 Otter Tail Corp. 131,140 59,175 PG&E Corp. (a) 520,148 3,622 Pinnacle West Capital Corp. 302,618 6,443 Portland General Electric Co. 315,063 15,712 PPL Corp. 445,749 9,946 Southern (The) Co. 635,251 6,671 Xcel Energy, Inc. 455,296 --------------- 9,350,852 --------------- ELECTRICAL EQUIPMENT -- 0.8% 794 Acuity Brands, Inc. 139,252 1,654 AZZ, Inc. 87,645 989 Eaton Corp. PLC 156,311 3,127 Emerson Electric Co. 315,483 2,260 Encore Wire Corp. 177,252 430 EnerSys 42,424 14,741 GrafTech International Ltd. 167,605 397 Hubbell, Inc. 79,583 1,667 Regal Beloit Corp. 245,432 --------------- 1,410,987 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 3,260 Arrow Electronics, Inc. (a) 386,538 5,342 Avnet, Inc. 220,731 839 CDW Corp. 153,831 Page 60 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 10,746 Corning, Inc. $ 449,828 420 Insight Enterprises, Inc. (a) 42,160 3,832 Jabil, Inc. 228,157 4,338 Knowles Corp. (a) 86,934 291 Littelfuse, Inc. 77,403 3,481 Methode Electronics, Inc. 166,496 1,850 PC Connection, Inc. 87,986 1,378 Plexus Corp. (a) 124,461 5,496 Sanmina Corp. (a) 211,156 2,439 SYNNEX Corp. 291,558 1,083 TE Connectivity Ltd. 159,710 2,937 TTM Technologies, Inc. (a) 41,089 7,596 Vishay Intertechnology, Inc. 168,099 4,556 Vontier Corp. 147,387 --------------- 3,043,524 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 14,146 Archrock, Inc. 121,797 8,616 Patterson-UTI Energy, Inc. 69,100 37,894 Transocean Ltd. (a) 136,798 --------------- 327,695 --------------- ENTERTAINMENT -- 0.0% 501 Madison Square Garden Entertainment Corp. (a) 35,050 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.3% 3,900 Acadia Realty Trust 83,460 1,442 AvalonBay Communities, Inc. 328,531 1,278 Boston Properties, Inc. 150,012 15,616 Brandywine Realty Trust 217,999 3,243 Brixmor Property Group, Inc. 74,654 12,312 Columbia Property Trust, Inc. 205,241 6,054 Cousins Properties, Inc. 240,465 3,501 Empire State Realty Trust, Inc., Class A 40,016 1,603 Equity Commonwealth 42,143 1,902 Equity Residential 160,015 6,813 Global Net Lease, Inc. 125,836 7,373 Healthcare Realty Trust, Inc. 235,051 2,780 Healthcare Trust of America, Inc., Class A 79,480 4,401 Healthpeak Properties, Inc. 162,705 1,643 Highwoods Properties, Inc. 78,355 3,078 Hudson Pacific Properties, Inc. 83,906 5,329 Kilroy Realty Corp. 369,140 17,799 Kimco Realty Corp. 379,653 14,333 Lexington Realty Trust 188,479 3,283 LTC Properties, Inc. 124,262 4,993 Mack-Cali Realty Corp. (a) 89,874 4,750 National Retail Properties, Inc. 232,133 4,091 Omega Healthcare Investors, Inc. 148,421 12,516 Paramount Group, Inc. 122,156 12,055 Physicians Realty Trust 228,442 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 11,592 Piedmont Office Realty Trust, Inc., Class A $ 220,480 502 PS Business Parks, Inc. 77,142 2,195 Realty Income Corp. 154,287 7,480 Retail Properties of America, Inc., Class A 94,323 9,411 Sabra Health Care REIT, Inc. 174,950 2,789 SITE Centers Corp. 44,234 3,711 SL Green Realty Corp. 276,321 1,551 Spirit Realty Capital, Inc. 77,891 2,151 STORE Capital Corp. 77,845 2,200 Urban Edge Properties 41,800 24,251 VICI Properties, Inc. 756,389 1,762 Welltower, Inc. 153,047 17,484 Weyerhaeuser Co. 589,735 1,989 WP Carey, Inc. 160,492 --------------- 7,089,365 --------------- FOOD & STAPLES RETAILING -- 0.9% 7,551 Albertsons Cos., Inc., Class A (b) 163,102 1,144 Casey's General Stores, Inc. 226,180 15,709 Kroger (The) Co. 639,356 6,893 Sprouts Farmers Market, Inc. (a) 169,430 4,144 Weis Markets, Inc. 218,182 --------------- 1,416,250 --------------- FOOD PRODUCTS -- 4.0% 9,930 Archer-Daniels-Midland Co. 593,020 4,749 Bunge Ltd. 368,665 3,481 Cal-Maine Foods, Inc. 121,452 16,542 Conagra Brands, Inc. 553,992 9,201 Flowers Foods, Inc. 216,775 6,512 Fresh Del Monte Produce, Inc. 200,960 7,212 General Mills, Inc. 424,498 1,728 Hershey (The) Co. 309,105 6,302 Hormel Foods Corp. 292,287 7,785 Hostess Brands, Inc. (a) 125,261 5,806 J.M. Smucker (The) Co. 761,225 4,678 Kellogg Co. 296,398 3,592 Kraft Heinz (The) Co. 138,184 1,658 McCormick & Co., Inc. 139,554 4,820 Mondelez International, Inc., Class A 304,913 10,040 Pilgrim's Pride Corp. (a) 222,386 2,053 Post Holdings, Inc. (a) 210,104 670 Sanderson Farms, Inc. 125,183 96 Seaboard Corp. 394,560 1,239 Tootsie Roll Industries, Inc. 42,609 2,831 TreeHouse Foods, Inc. (a) 125,696 10,199 Tyson Foods, Inc., Class A 728,820 --------------- 6,695,647 --------------- GAS UTILITIES -- 1.1% 3,089 Atmos Energy Corp. 304,544 349 Chesapeake Utilities Corp. 43,482 2,841 National Fuel Gas Co. 146,113 3,185 New Jersey Resources Corp. 122,686 See Notes to Financial Statements Page 61 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES (CONTINUED) 3,261 Northwest Natural Holding Co. $ 170,518 4,005 ONE Gas, Inc. 295,489 3,235 Southwest Gas Holdings, Inc. 226,223 1,744 Spire, Inc. 123,737 8,013 UGI Corp. 368,518 --------------- 1,801,310 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.5% 1,820 Baxter International, Inc. 140,777 603 Becton, Dickinson and Co. 154,217 1,718 Envista Holdings Corp. (a) 74,011 1,307 Hill-Rom Holdings, Inc. 180,967 446 Integer Holdings Corp. (a) 43,659 1,180 Medtronic PLC 154,946 911 Zimmer Biomet Holdings, Inc. 148,876 --------------- 897,453 --------------- HEALTH CARE PROVIDERS & SERVICES -- 4.1% 1,183 Acadia Healthcare Co., Inc. (a) 73,015 433 AMN Healthcare Services, Inc. (a) 43,542 1,151 Anthem, Inc. 441,995 8,252 Centene Corp. (a) 566,170 3,174 Cigna Corp. 728,401 9,016 CVS Health Corp. 742,558 951 Encompass Health Corp. 79,171 2,126 HCA Healthcare, Inc. 527,673 2,001 Henry Schein, Inc. (a) 160,380 1,359 Humana, Inc. 578,744 2,727 Laboratory Corp. of America Holdings (a) 807,601 1,189 Molina Healthcare, Inc. (a) 324,609 8,534 Premier, Inc., Class A 304,152 5,700 Quest Diagnostics, Inc. 808,260 752 UnitedHealth Group, Inc. 309,989 2,534 Universal Health Services, Inc., Class B 406,479 --------------- 6,902,739 --------------- HEALTH CARE TECHNOLOGY -- 0.3% 5,623 Cerner Corp. 452,033 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.2% 849 Cracker Barrel Old Country Store, Inc. 115,617 1,003 Darden Restaurants, Inc. 146,317 --------------- 261,934 --------------- HOUSEHOLD DURABLES -- 3.3% 189 Cavco Industries, Inc. (a) 44,415 3,217 Century Communities, Inc. 223,421 8,324 D.R. Horton, Inc. 794,359 9,114 KB Home 386,798 3,402 La-Z-Boy, Inc. 114,239 2,865 Leggett & Platt, Inc. 137,606 7,572 Lennar Corp., Class A 796,196 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOUSEHOLD DURABLES (CONTINUED) 4,231 M.D.C. Holdings, Inc. $ 225,597 3,650 M/I Homes, Inc. (a) 236,192 2,275 Meritage Homes Corp. (a) 247,020 1,931 Mohawk Industries, Inc. (a) 376,352 8,105 Newell Brands, Inc. 200,599 60 NVR, Inc. (a) 313,356 6,801 PulteGroup, Inc. 373,171 8,103 Taylor Morrison Home Corp. (a) 217,322 5,135 Toll Brothers, Inc. 304,351 9,991 Tri Pointe Homes, Inc. (a) 240,983 1,362 Whirlpool Corp. 301,737 --------------- 5,533,714 --------------- HOUSEHOLD PRODUCTS -- 0.3% 2,610 Central Garden & Pet Co., Class A (a) 113,039 7,337 Reynolds Consumer Products, Inc. 208,738 2,014 Spectrum Brands Holdings, Inc. 175,923 --------------- 497,700 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.0% 4,001 Vistra Corp. 76,619 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 1,515 3M Co. 299,879 388 Carlisle Cos., Inc. 78,469 --------------- 378,348 --------------- INSURANCE -- 9.3% 14,019 Aflac, Inc. 771,045 445 Alleghany Corp. (a) 295,080 5,767 Allstate (The) Corp. 749,998 6,625 American Equity Investment Life Holding Co. 212,596 2,975 American Financial Group, Inc. 376,308 3,077 American International Group, Inc. 145,696 1,442 American National Group, Inc. 237,901 19,318 Arch Capital Group Ltd. (a) 753,402 810 Argo Group International Holdings Ltd. 42,225 1,046 Arthur J. Gallagher & Co. 145,718 950 Assurant, Inc. 149,920 4,509 Assured Guaranty Ltd. 215,575 3,028 Axis Capital Holdings Ltd. 154,034 923 Brighthouse Financial, Inc. (a) 39,744 3,787 Chubb Ltd. 639,018 6,450 Cincinnati Financial Corp. 760,326 6,527 CNA Financial Corp. 287,253 9,065 CNO Financial Group, Inc. 207,045 1,553 Enstar Group Ltd. (a) 399,152 1,178 Everest Re Group Ltd. 297,834 8,540 Fidelity National Financial, Inc. 380,969 5,952 First American Financial Corp. 400,629 54,899 Genworth Financial, Inc., Class A (a) 183,363 3,117 Globe Life, Inc. 290,224 Page 62 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 2,736 Hanover Insurance Group (The), Inc. $ 371,822 12,139 Hartford Financial Services Group (The), Inc. 772,283 4,577 Horace Mann Educators Corp. 182,210 5,022 Kemper Corp. 331,502 2,362 Lincoln National Corp. 145,546 2,681 Loews Corp. 143,782 633 Markel Corp. (a) 763,506 3,296 Mercury General Corp. 200,496 2,448 MetLife, Inc. 141,250 14,898 Old Republic International Corp. 367,385 970 Primerica, Inc. 141,833 9,524 Principal Financial Group, Inc. 591,726 7,660 Progressive (The) Corp. 728,926 4,289 Prudential Financial, Inc. 430,101 2,604 Reinsurance Group of America, Inc. 286,909 3,659 Selective Insurance Group, Inc. 297,660 3,776 Stewart Information Services Corp. 222,822 4,020 Travelers (The) Cos., Inc. 598,658 13,067 Unum Group 358,036 1,994 W.R. Berkley Corp. 145,901 187 White Mountains Insurance Group Ltd. 211,604 --------------- 15,569,013 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.2% 28,351 Qurate Retail, Inc., Series A 336,243 --------------- IT SERVICES -- 1.1% 821 Alliance Data Systems Corp. 76,558 6,345 Cognizant Technology Solutions Corp., Class A 466,548 891 CSG Systems International, Inc. 40,416 5,719 DXC Technology Co. (a) 228,646 1,634 Genpact Ltd. 81,389 2,053 International Business Machines Corp. 289,391 2,531 MAXIMUS, Inc. 225,259 20,843 SolarWinds Corp. (a) 234,275 9,694 Western Union (The) Co. 224,998 --------------- 1,867,480 --------------- LEISURE PRODUCTS -- 0.4% 2,236 Brunswick Corp. 233,438 3,184 Hasbro, Inc. 316,617 542 Polaris, Inc. 71,040 --------------- 621,095 --------------- MACHINERY -- 3.4% 1,708 AGCO Corp. 225,644 275 Alamo Group, Inc. 40,362 959 Albany International Corp., Class A 82,810 5,603 Allison Transmission Holdings, Inc. 223,616 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 667 Astec Industries, Inc. $ 40,894 819 Barnes Group, Inc. 41,499 1,620 Colfax Corp. (a) 74,325 1,607 Crane Co. 156,248 1,802 Cummins, Inc. 418,244 1,168 Donaldson Co., Inc. 77,310 973 Dover Corp. 162,608 1,044 Federal Signal Corp. 41,353 1,841 Flowserve Corp. 77,488 10,786 Fortive Corp. 783,711 1,965 Greenbrier (The) Cos., Inc. 84,102 1,943 Hillenbrand, Inc. 88,018 575 Hyster-Yale Materials Handling, Inc. 41,193 655 Illinois Tool Works, Inc. 148,469 1,170 Kennametal, Inc. 42,412 563 Lincoln Electric Holdings, Inc. 78,499 1,794 Meritor, Inc. (a) 43,648 2,910 Mueller Industries, Inc. 126,294 338 Nordson Corp. 76,432 1,191 Oshkosh Corp. 142,384 4,924 PACCAR, Inc. 408,643 980 Parker-Hannifin Corp. 305,789 372 RBC Bearings, Inc. (a) 87,420 996 Snap-on, Inc. 217,108 688 SPX Corp. (a) 45,862 2,144 Stanley Black & Decker, Inc. 422,475 526 Tennant Co. 41,617 2,763 Timken (The) Co. 219,658 5,340 Westinghouse Air Brake Technologies Corp. 453,206 604 Woodward, Inc. 73,422 --------------- 5,592,763 --------------- MARINE -- 0.1% 2,078 Kirby Corp. (a) 120,337 --------------- MEDIA -- 2.6% 1,887 AMC Networks, Inc., Class A (a) 94,425 10,555 Comcast Corp., Class A 620,951 24,520 Discovery, Inc., Class A (a) (b) 711,325 8,878 DISH Network Corp., Class A (a) 371,899 20,260 Fox Corp., Class A 722,472 9,150 Gray Television, Inc. 202,856 1,423 John Wiley & Sons, Inc., Class A 83,644 8,641 News Corp., Class A 212,828 2,509 Nexstar Media Group, Inc., Class A 368,999 1,831 Omnicom Group, Inc. 133,333 11,413 TEGNA, Inc. 202,238 16,643 ViacomCBS, Inc., Class B 681,198 --------------- 4,406,168 --------------- METALS & MINING -- 1.3% 1,140 Alcoa Corp. (a) 45,771 6,969 Commercial Metals Co. 228,583 See Notes to Financial Statements Page 63 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 3,948 Freeport-McMoRan, Inc. $ 150,419 558 Materion Corp. 39,819 6,273 Nucor Corp. 652,518 2,459 Reliance Steel & Aluminum Co. 386,432 4,981 Steel Dynamics, Inc. 321,025 2,443 Warrior Met Coal, Inc. 45,611 3,499 Worthington Industries, Inc. 223,831 --------------- 2,094,009 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.2% 21,972 AGNC Investment Corp. 348,696 41,792 Annaly Capital Management, Inc. 354,814 10,738 Apollo Commercial Real Estate Finance, Inc. 163,432 4,655 Blackstone Mortgage Trust, Inc., Class A 150,915 14,216 Chimera Investment Corp. 209,260 3,640 Ladder Capital Corp. 41,569 46,645 MFA Financial, Inc. 217,832 47,898 New York Mortgage Trust, Inc. 209,314 10,166 PennyMac Mortgage Investment Trust 200,474 5,673 Starwood Property Trust, Inc. 147,668 --------------- 2,043,974 --------------- MULTILINE RETAIL -- 1.1% 3,243 Big Lots, Inc. 186,829 947 Dillard's, Inc., Class A 173,557 6,049 Dollar Tree, Inc. (a) 603,630 6,734 Kohl's Corp. 342,087 7,830 Macy's, Inc. (a) 133,110 1,818 Target Corp. 474,589 --------------- 1,913,802 --------------- MULTI-UTILITIES -- 3.6% 7,519 Ameren Corp. 630,994 4,014 Avista Corp. 171,920 4,523 Black Hills Corp. 305,981 12,108 CenterPoint Energy, Inc. 308,270 7,438 CMS Energy Corp. 459,594 10,489 Consolidated Edison, Inc. 773,773 1,991 Dominion Energy, Inc. 149,066 4,644 DTE Energy Co. 544,834 9,474 MDU Resources Group, Inc. 300,515 6,059 NiSource, Inc. 150,081 2,845 NorthWestern Corp. 176,362 12,592 Public Service Enterprise Group, Inc. 783,600 5,678 Sempra Energy 741,831 4,941 WEC Energy Group, Inc. 465,146 --------------- 5,961,967 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.3% 17,004 Cabot Oil & Gas Corp. 272,064 12,539 CNX Resources Corp. (a) 151,722 4,941 ConocoPhillips 276,993 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 3,903 Continental Resources, Inc. $ 133,287 3,607 EOG Resources, Inc. 262,806 10,003 EQT Corp. (a) 183,955 25,159 Equitrans Midstream Corp. 206,807 4,512 HollyFrontier Corp. 132,653 33,011 Kinder Morgan, Inc. 573,731 16,349 Marathon Oil Corp. 189,485 2,425 Marathon Petroleum Corp. 133,909 5,408 ONEOK, Inc. 281,054 918 PDC Energy, Inc. 36,307 3,340 Targa Resources Corp. 140,647 3,854 Valero Energy Corp. 258,102 16,553 Williams (The) Cos., Inc. 414,653 5,398 World Fuel Services Corp. 186,015 --------------- 3,834,190 --------------- PAPER & FOREST PRODUCTS -- 0.3% 6,156 Louisiana-Pacific Corp. 341,289 4,242 Schweitzer-Mauduit International, Inc. 166,838 --------------- 508,127 --------------- PERSONAL PRODUCTS -- 0.1% 957 Edgewell Personal Care Co. 39,314 583 Inter Parfums, Inc. 44,815 836 USANA Health Sciences, Inc. (a) 79,646 --------------- 163,775 --------------- PHARMACEUTICALS -- 1.2% 15,966 Innoviva, Inc. (a) 226,398 1,254 Jazz Pharmaceuticals PLC (a) 212,578 1,827 Johnson & Johnson 314,609 1,618 Perrigo Co. PLC 77,712 11,223 Pfizer, Inc. 480,457 2,419 Prestige Consumer Healthcare, Inc. (a) 127,118 4,093 Supernus Pharmaceuticals, Inc. (a) 107,769 30,754 Viatris, Inc. 432,709 --------------- 1,979,350 --------------- PROFESSIONAL SERVICES -- 1.0% 1,532 ASGN, Inc. (a) 154,931 1,164 CACI International, Inc., Class A (a) 310,741 2,614 CBIZ, Inc. (a) 84,537 1,087 FTI Consulting, Inc. (a) 158,376 855 Huron Consulting Group, Inc. (a) 42,006 478 ICF International, Inc. 43,771 1,098 Jacobs Engineering Group, Inc. 148,505 579 Korn Ferry 39,801 2,976 Leidos Holdings, Inc. 316,706 990 ManTech International Corp., Class A 86,585 834 Robert Half International, Inc. 81,907 Page 64 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 2,538 Science Applications International Corp. $ 221,567 --------------- 1,689,433 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 1,708 CBRE Group, Inc., Class A (a) 164,753 761 Howard Hughes (The) Corp. (a) 70,552 1,519 Jones Lang LaSalle, Inc. (a) 338,084 4,310 Kennedy-Wilson Holdings, Inc. 87,019 1,081 Marcus & Millichap, Inc. (a) 43,013 11,751 Realogy Holdings Corp. (a) 208,228 --------------- 911,649 --------------- ROAD & RAIL -- 1.7% 504 AMERCO 296,332 2,944 ArcBest Corp. 174,020 9,380 CSX Corp. 303,162 12,499 Heartland Express, Inc. 212,858 1,846 J.B. Hunt Transport Services, Inc. 310,959 8,164 Knight-Swift Transportation Holdings, Inc. 405,669 470 Landstar System, Inc. 73,790 12,984 Marten Transport Ltd. 205,407 1,134 Norfolk Southern Corp. 292,379 1,696 Ryder System, Inc. 129,150 9,835 Schneider National, Inc., Class B 220,697 3,848 Werner Enterprises, Inc. 175,892 --------------- 2,800,315 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.3% 15,679 Amkor Technology, Inc. 386,331 2,119 Axcelis Technologies, Inc. (a) 81,687 308 Broadcom, Inc. 149,503 13,400 Intel Corp. 719,848 8,852 Micron Technology, Inc. (a) 686,738 3,826 ON Semiconductor Corp. (a) 149,444 --------------- 2,173,551 --------------- SOFTWARE -- 0.3% 5,975 CDK Global, Inc. 286,740 5,052 Ebix, Inc. 152,672 --------------- 439,412 --------------- SPECIALTY RETAIL -- 2.6% 2,715 Abercrombie & Fitch Co., Class A (a) 102,654 723 Advance Auto Parts, Inc. 153,319 999 Asbury Automotive Group, Inc. (a) 205,255 3,914 AutoNation, Inc. (a) 474,886 5,234 Best Buy Co., Inc. 588,040 2,534 Buckle (The), Inc. 106,631 2,330 CarMax, Inc. (a) 312,103 3,704 Dick's Sporting Goods, Inc. 385,735 6,021 Foot Locker, Inc. 343,558 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 2,206 Gap (The), Inc. $ 64,349 1,386 Group 1 Automotive, Inc. 240,804 3,244 Guess?, Inc. 72,406 1,284 Murphy USA, Inc. 189,403 4,916 Penske Automotive Group, Inc. 435,558 3,881 Sally Beauty Holdings, Inc. (a) 73,428 1,560 Signet Jewelers Ltd. 100,370 3,828 Sonic Automotive, Inc., Class A 208,817 424 Ulta Beauty, Inc. (a) 142,379 4,155 Urban Outfitters, Inc. (a) 154,483 --------------- 4,354,178 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 51,596 Hewlett Packard Enterprise Co. 748,142 14,557 HP, Inc. 420,261 4,998 Seagate Technology Holdings PLC 439,324 3,582 Super Micro Computer, Inc. (a) 136,259 4,228 Western Digital Corp. (a) 274,524 15,799 Xerox Holdings Corp. 381,230 --------------- 2,399,740 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 2,158 Carter's, Inc. 210,923 755 Columbia Sportswear Co. 75,213 6,516 G-III Apparel Group Ltd. (a) 194,568 745 Kontoor Brands, Inc. 41,258 690 PVH Corp. (a) 72,188 1,707 Tapestry, Inc. (a) 72,206 --------------- 666,356 --------------- THRIFTS & MORTGAGE FINANCE -- 1.4% 3,567 Capitol Federal Financial, Inc. 39,558 8,257 Essent Group Ltd. 372,969 27,288 MGIC Investment Corp. 377,666 6,477 Mr. Cooper Group, Inc. (a) 240,815 26,941 New York Community Bancorp, Inc. 317,365 9,525 NMI Holdings, Inc., Class A (a) 209,740 6,279 Northwest Bancshares, Inc. 83,573 5,506 Provident Financial Services, Inc. 118,929 16,679 Radian Group, Inc. 376,612 3,966 Washington Federal, Inc. 127,983 2,706 WSFS Financial Corp. 118,469 --------------- 2,383,679 --------------- TOBACCO -- 0.1% 3,072 Altria Group, Inc. 147,579 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% 8,891 Air Lease Corp. 376,623 941 Applied Industrial Technologies, Inc. 84,408 1,608 Beacon Roofing Supply, Inc. (a) 85,996 1,936 GATX Corp. 178,596 See Notes to Financial Statements Page 65 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 2,619 GMS, Inc. (a) $ 128,671 1,545 McGrath RentCorp 121,159 1,654 MSC Industrial Direct Co., Inc., Class A 147,487 3,961 Rush Enterprises, Inc., Class A 186,127 4,091 Triton International Ltd. 215,964 1,377 United Rentals, Inc. (a) 453,790 334 W.W. Grainger, Inc. 148,490 1,444 WESCO International, Inc. (a) 153,714 --------------- 2,281,025 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 9,449 Telephone and Data Systems, Inc. 211,185 3,035 T-Mobile US, Inc. (a) 437,101 5,896 United States Cellular Corp. (a) 214,378 --------------- 862,664 --------------- TOTAL COMMON STOCKS -- 99.8% 166,655,362 (Cost $150,990,908) --------------- MONEY MARKET FUNDS -- 0.7% 868,039 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 868,039 290,119 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 290,119 --------------- TOTAL MONEY MARKET FUNDS -- 0.7% 1,158,158 (Cost $1,158,158) --------------- TOTAL INVESTMENTS -- 100.5% 167,813,520 (Cost $152,149,066) (e) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (871,291) --------------- NET ASSETS -- 100.0% $ 166,942,229 =============== (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 $823,742 and the total value of the collateral held by the Fund is $868,039. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $152,580,967. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $19,686,198 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,453,645. The net unrealized appreciation was $15,232,553. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 166,655,362 $ -- $ -- Money Market Funds 1,158,158 -- -- ------------------------------------------------ Total Investments $ 167,813,520 $ -- $ -- ================================================ * 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) $ 823,742 Non-cash Collateral(2) (823,742) --------------- 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 July 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 JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.7% 551 AeroVironment, Inc. (a) $ 55,706 2,756 Axon Enterprise, Inc. (a) 512,671 1,677 BWX Technologies, Inc. 96,310 1,380 HEICO Corp. 186,645 3,946 Kratos Defense & Security Solutions, Inc. (a) 107,331 4,145 Maxar Technologies, Inc. 150,339 297 TransDigm Group, Inc. (a) 190,404 6,355 Virgin Galactic Holdings, Inc. (a) 190,587 --------------- 1,489,993 --------------- AIR FREIGHT & LOGISTICS -- 0.0% 2,374 Air Transport Services Group, Inc. (a) 57,451 --------------- AIRLINES -- 0.1% 13,783 American Airlines Group, Inc. (a) 280,898 --------------- AUTO COMPONENTS -- 1.0% 5,022 Aptiv PLC (a) 837,921 1,596 Dorman Products, Inc. (a) 161,435 3,130 Fox Factory Holding Corp. (a) 505,620 2,329 Gentherm, Inc. (a) 193,144 1,259 LCI Industries 183,587 930 Visteon Corp. (a) 106,067 3,351 XPEL, Inc. (a) (b) 310,303 --------------- 2,298,077 --------------- AUTOMOBILES -- 0.2% 581 Tesla, Inc. (a) 399,263 5,874 Workhorse Group, Inc. (a) (c) 67,786 --------------- 467,049 --------------- BANKS -- 1.9% 7,933 First Financial Bankshares, Inc. 387,448 4,221 First Republic Bank 823,179 5,307 Glacier Bancorp, Inc. 273,629 6,858 Great Western Bancorp, Inc. 211,226 895 Lakeland Financial Corp. 59,849 3,811 Live Oak Bancshares, Inc. 229,384 1,615 Seacoast Banking Corp. of Florida 49,080 3,308 ServisFirst Bancshares, Inc. 235,133 1,587 Signature Bank 360,201 992 Silvergate Capital Corp., Class A (a) 101,978 1,775 SVB Financial Group (a) 976,179 3,028 Triumph Bancorp, Inc. (a) 232,126 8,969 Umpqua Holdings Corp. 169,245 4,673 Veritex Holdings, Inc. 156,779 --------------- 4,265,436 --------------- BEVERAGES -- 0.5% 286 Boston Beer (The) Co., Inc., Class A (a) 203,060 6,403 Celsius Holdings, Inc. (a) 439,438 5,457 Keurig Dr Pepper, Inc. 192,141 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BEVERAGES (CONTINUED) 6,190 National Beverage Corp. $ 280,902 --------------- 1,115,541 --------------- BIOTECHNOLOGY -- 5.5% 3,507 AbbVie, Inc. 407,864 777 Acceleron Pharma, Inc. (a) 97,172 1,001 Agios Pharmaceuticals, Inc. (a) 48,138 6,748 Alkermes PLC (a) 174,571 3,404 Alnylam Pharmaceuticals, Inc. (a) 609,112 2,009 Arcus Biosciences, Inc. (a) 63,103 2,353 Arrowhead Pharmaceuticals, Inc. (a) 163,039 11,939 Athenex, Inc. (a) 45,010 3,785 Beam Therapeutics, Inc. (a) 348,220 14,223 BioCryst Pharmaceuticals, Inc. (a) 229,275 4,015 Biohaven Pharmaceutical Holding Co., Ltd. (a) 505,930 1,725 Bluebird Bio, Inc. (a) 43,832 1,108 Blueprint Medicines Corp. (a) 97,360 5,324 CareDx, Inc. (a) 447,429 1,204 CRISPR Therapeutics AG (a) 145,708 4,969 Denali Therapeutics, Inc. (a) 253,568 7,532 Dicerna Pharmaceuticals, Inc. (a) 282,525 5,161 Editas Medicine, Inc. (a) 216,040 1,547 Emergent BioSolutions, Inc. (a) 101,947 1,547 Exact Sciences Corp. (a) 166,829 3,368 Fate Therapeutics, Inc. (a) 278,870 8,583 Halozyme Therapeutics, Inc. (a) 354,735 8,437 Horizon Therapeutics PLC (a) 843,869 8,370 ImmunoGen, Inc. (a) 46,956 5,950 Inovio Pharmaceuticals, Inc. (a) 49,980 2,407 Intellia Therapeutics, Inc. (a) 341,433 2,762 Intercept Pharmaceuticals, Inc. (a) 47,727 8,736 Ironwood Pharmaceuticals, Inc. (a) 115,927 857 Ligand Pharmaceuticals, Inc. (a) 97,278 2,053 MacroGenics, Inc. (a) 51,243 4,203 Moderna, Inc. (a) 1,486,181 3,433 Natera, Inc. (a) 393,147 1,001 Neurocrine Biosciences, Inc. (a) 93,303 4,652 Novavax, Inc. (a) 834,243 72,180 OPKO Health, Inc. (a) (c) 248,299 13,530 Organogenesis Holdings, Inc. (a) 207,550 1,033 Regeneron Pharmaceuticals, Inc. (a) 593,572 2,894 REGENXBIO, Inc. (a) 93,534 3,431 Sage Therapeutics, Inc. (a) 150,038 1,218 Seagen, Inc. (a) 186,829 4,714 Seres Therapeutics, Inc. (a) 33,469 17,076 Sorrento Therapeutics, Inc. (a) (c) 140,194 2,512 TG Therapeutics, Inc. (a) 87,895 10,206 Translate Bio, Inc. (a) 282,094 2,194 Twist Bioscience Corp. (a) 269,972 See Notes to Financial Statements Page 67 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 7,364 Vaxart, Inc. (a) (c) $ 52,947 3,152 Vericel Corp. (a) 166,867 4,122 Vir Biotechnology, Inc. (a) 146,949 --------------- 12,141,773 --------------- BUILDING PRODUCTS -- 1.2% 4,180 Advanced Drainage Systems, Inc. 510,336 4,590 AZEK (The) Co., Inc. (a) 166,938 15,461 Cornerstone Building Brands, Inc. (a) 260,054 949 CSW Industrials, Inc. 112,257 3,913 Fortune Brands Home & Security, Inc. 381,400 1,473 Gibraltar Industries, Inc. (a) 110,004 1,111 Lennox International, Inc. 365,997 3,529 Simpson Manufacturing Co., Inc. 396,942 3,813 Trex Co., Inc. (a) 370,242 --------------- 2,674,170 --------------- CAPITAL MARKETS -- 4.9% 7,833 Apollo Global Management, Inc. 461,050 7,662 Ares Management Corp., Class A 548,676 2,212 Artisan Partners Asset Management, Inc., Class A 106,375 3,723 B. Riley Financial, Inc. 251,526 903 BlackRock, Inc. 783,054 10,167 Blackstone Group (The), Inc. 1,171,950 9,598 Brightsphere Investment Group, Inc. 239,854 10,482 Carlyle Group (The), Inc. 529,026 1,370 Cohen & Steers, Inc. 113,998 290 FactSet Research Systems, Inc. 103,611 3,412 Focus Financial Partners, Inc., Class A (a) 175,138 1,234 Hamilton Lane, Inc., Class A 114,762 2,749 Houlihan Lokey, Inc. 244,936 1,620 Intercontinental Exchange, Inc. 194,125 16,671 KKR & Co., Inc. 1,062,943 3,953 Moelis & Co., Class A 234,215 1,592 Moody's Corp. 598,592 1,516 Morningstar, Inc. 382,987 1,082 MSCI, Inc. 644,829 5,618 Nasdaq, Inc. 1,049,049 2,318 PJT Partners, Inc., Class A 181,198 962 S&P Global, Inc. 412,429 3,991 T. Rowe Price Group, Inc. 814,802 2,305 Tradeweb Markets, Inc., Class A 199,913 1,012 Virtus Investment Partners, Inc. 279,444 --------------- 10,898,482 --------------- CHEMICALS -- 1.3% 13,737 Amyris, Inc. (a) 200,285 857 Balchem Corp. 115,601 2,034 Ingevity Corp. (a) 172,768 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS (CONTINUED) 5,808 Livent Corp. (a) $ 113,314 10,532 Olin Corp. 495,320 822 Quaker Chemical Corp. 206,930 2,198 RPM International, Inc. 190,325 1,523 Scotts Miracle-Gro (The) Co. 269,510 2,118 Sherwin-Williams (The) Co. 616,402 15,010 Valvoline, Inc. 460,507 --------------- 2,840,962 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 36,124 ADT, Inc. 378,941 2,153 Brink's (The) Co. 165,695 870 Casella Waste Systems, Inc., Class A (a) 59,839 1,526 Cimpress PLC (a) 156,033 1,034 Cintas Corp. 407,582 2,997 Copart, Inc. (a) 440,559 1,787 IAA, Inc. (a) 108,078 1,766 MSA Safety, Inc. 290,472 32,051 Pitney Bowes, Inc. 256,408 1,597 Tetra Tech, Inc. 213,231 --------------- 2,476,838 --------------- COMMUNICATIONS EQUIPMENT -- 1.6% 2,181 Arista Networks, Inc. (a) 829,631 5,918 Calix, Inc. (a) 276,844 3,629 Cisco Systems, Inc. 200,938 13,190 CommScope Holding Co., Inc. (a) 279,100 1,044 F5 Networks, Inc. (a) 215,596 11,023 Infinera Corp. (a) 109,238 5,466 Inseego Corp. (a) 47,499 3,643 Motorola Solutions, Inc. 815,741 4,318 NETGEAR, Inc. (a) 147,891 6,736 Plantronics, Inc. (a) 210,096 616 Ubiquiti, Inc. 192,870 9,370 Viavi Solutions, Inc. (a) 156,385 --------------- 3,481,829 --------------- CONSTRUCTION & ENGINEERING -- 0.4% 4,482 Ameresco, Inc., Class A (a) 307,152 7,921 API Group Corp. (a) (b) (d) 181,549 1,751 NV5 Global, Inc. (a) 166,345 10,489 WillScot Mobile Mini Holdings Corp. (a) 301,139 --------------- 956,185 --------------- CONSTRUCTION MATERIALS -- 0.6% 3,428 Eagle Materials, Inc. 484,445 1,640 Martin Marietta Materials, Inc. 595,812 8,066 Summit Materials, Inc., Class A (a) 271,018 --------------- 1,351,275 --------------- CONTAINERS & PACKAGING -- 0.4% 1,384 AptarGroup, Inc. 178,425 11,230 Ranpak Holdings Corp. (a) 287,713 Page 68 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING (CONTINUED) 8,223 Sealed Air Corp. $ 466,655 --------------- 932,793 --------------- DISTRIBUTORS -- 0.5% 2,153 Pool Corp. 1,028,746 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.3% 2,698 2U, Inc. (a) 117,093 1,173 Chegg, Inc. (a) 103,963 1,956 Frontdoor, Inc. (a) 95,727 2,043 Terminix Global Holdings, Inc. (a) 107,258 7,382 Vivint Smart Home, Inc. (a) 90,577 6,222 WW International, Inc. (a) 191,264 --------------- 705,882 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 1,413 Bandwidth, Inc., Class A (a) 183,210 1,462 Cogent Communications Holdings, Inc. 113,466 2,437 Iridium Communications, Inc. (a) 102,914 15,948 Liberty Latin America Ltd., Class C (a) 220,561 --------------- 620,151 --------------- ELECTRICAL EQUIPMENT -- 1.3% 1,441 AMETEK, Inc. 200,371 3,959 Atkore, Inc. (a) 297,361 7,253 Bloom Energy Corp., Class A (a) 158,115 2,379 Generac Holdings, Inc. (a) 997,657 1,381 Rockwell Automation, Inc. 424,547 3,417 TPI Composites, Inc. (a) 133,741 17,847 Vertiv Holdings Co. 500,430 1,565 Vicor Corp. (a) 180,930 --------------- 2,893,152 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 4,323 Advanced Energy Industries, Inc. 448,511 5,775 Amphenol Corp., Class A 418,630 1,146 Badger Meter, Inc. 115,780 2,288 Cognex Corp. 206,858 5,370 II-VI, Inc. (a) 374,880 1,125 Itron, Inc. (a) 110,948 3,737 Keysight Technologies, Inc. (a) 614,923 4,561 nLight, Inc. (a) 158,221 1,106 OSI Systems, Inc. (a) 110,655 1,608 PAR Technology Corp. (a) 98,169 824 Rogers Corp. (a) 157,054 7,051 Trimble, Inc. (a) 602,861 1,492 Zebra Technologies Corp., Class A (a) 824,300 --------------- 4,241,790 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 10,959 ChampionX Corp. (a) $ 254,687 --------------- ENTERTAINMENT -- 0.9% 2,015 Activision Blizzard, Inc. 168,494 6,877 AMC Entertainment Holdings, Inc., Class A (a) (c) 254,587 2,150 Roku, Inc. (a) 920,867 5,408 Warner Music Group Corp., Class A 204,368 1,942 World Wrestling Entertainment, Inc., Class A 95,896 27,500 Zynga, Inc., Class A (a) 277,750 --------------- 1,921,962 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.6% 7,525 American Homes 4 Rent, Class A 316,050 712 American Tower Corp. 201,354 2,203 Camden Property Trust 329,106 2,374 CareTrust REIT, Inc. 57,261 724 CoreSite Realty Corp. 100,064 1,971 Corporate Office Properties Trust 58,026 986 Crown Castle International Corp. 190,387 8,415 CubeSmart 417,889 1,362 CyrusOne, Inc. 97,070 2,625 Digital Realty Trust, Inc. 404,670 28,464 DigitalBridge Group, Inc. (a) 198,109 8,343 Duke Realty Corp. 424,492 1,778 EastGroup Properties, Inc. 313,319 240 Equinix, Inc. 196,898 2,623 Equity LifeStyle Properties, Inc. 219,807 6,119 Essential Properties Realty Trust, Inc. 182,346 641 Essex Property Trust, Inc. 210,312 5,597 First Industrial Realty Trust, Inc. 306,604 1,998 Four Corners Property Trust, Inc. 57,363 4,206 Gaming and Leisure Properties, Inc. 199,112 4,301 Industrial Logistics Properties Trust 116,557 2,041 Innovative Industrial Properties, Inc. 438,795 10,594 Invitation Homes, Inc. 430,964 9,210 Iron Mountain, Inc. 403,030 7,518 Kite Realty Group Trust 151,563 2,800 Lamar Advertising Co., Class A 298,480 3,631 Life Storage, Inc. 426,134 4,848 Medical Properties Trust, Inc. 101,953 4,448 National Storage Affiliates Trust 240,948 3,113 PotlatchDeltic Corp. 161,689 4,827 Prologis, Inc. 618,049 1,919 Public Storage 599,649 1,711 Rexford Industrial Realty, Inc. 105,261 699 Ryman Hospitality Properties, Inc. (a) 53,613 See Notes to Financial Statements Page 69 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 3,724 Safehold, Inc. $ 336,352 603 SBA Communications Corp. 205,617 7,810 STAG Industrial, Inc. 322,709 1,122 Sun Communities, Inc. 220,035 11,929 Tanger Factory Outlet Centers, Inc. (c) 204,821 3,021 Terreno Realty Corp. 206,516 5,208 Uniti Group, Inc. 60,986 --------------- 10,183,960 --------------- FOOD & STAPLES RETAILING -- 0.6% 10,240 BJ's Wholesale Club Holdings, Inc. (a) 518,554 2,811 Grocery Outlet Holding Corp. (a) 93,100 1,235 PriceSmart, Inc. 110,829 3,384 Rite Aid Corp. (a) 51,437 7,601 United Natural Foods, Inc. (a) 251,745 1,364 Walmart, Inc. 194,438 --------------- 1,220,103 --------------- FOOD PRODUCTS -- 0.8% 6,856 B&G Foods, Inc. (c) 196,904 1,856 Beyond Meat, Inc. (a) 227,731 5,774 Darling Ingredients, Inc. (a) 398,810 1,794 Freshpet, Inc. (a) 262,731 2,429 Hain Celestial Group (The), Inc. (a) 96,942 1,007 Lancaster Colony Corp. 199,255 7,699 Simply Good Foods (The) Co. (a) 288,559 --------------- 1,670,932 --------------- GAS UTILITIES -- 0.1% 6,381 South Jersey Industries, Inc. 160,610 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.1% 1,659 Abbott Laboratories 200,706 944 Align Technology, Inc. (a) 656,835 7,339 Alphatec Holdings, Inc. (a) 108,177 2,086 AtriCure, Inc. (a) 176,184 2,609 Axonics, Inc. (a) 177,282 3,718 BioLife Solutions, Inc. (a) 174,374 1,293 Cardiovascular Systems, Inc. (a) 52,095 485 Cooper (The) Cos., Inc. 204,558 4,455 CryoPort, Inc. (a) 274,963 2,944 Danaher Corp. 875,811 925 Dexcom, Inc. (a) 476,847 3,814 Edwards Lifesciences Corp. (a) 428,198 2,297 Glaukos Corp. (a) 117,147 5,027 Globus Medical, Inc., Class A (a) 418,096 1,224 Heska Corp. (a) 294,617 2,882 Hologic, Inc. (a) 216,265 474 ICU Medical, Inc. (a) 96,359 1,251 IDEXX Laboratories, Inc. (a) 848,841 2,089 Inari Medical, Inc. (a) 187,571 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 700 Insulet Corp. (a) $ 195,783 2,856 Integra LifeSciences Holdings Corp. (a) 206,746 430 Intuitive Surgical, Inc. (a) 426,328 1,739 Merit Medical Systems, Inc. (a) 121,886 203 Mesa Laboratories, Inc. 59,786 4,233 Neogen Corp. (a) 184,389 588 Nevro Corp. (a) 91,140 4,452 Novocure Ltd. (a) 685,652 1,067 Penumbra, Inc. (a) 284,067 1,521 Quidel Corp. (a) 215,176 1,602 ResMed, Inc. 435,424 2,568 Shockwave Medical, Inc. (a) 467,376 3,195 STAAR Surgical Co. (a) 408,704 932 STERIS PLC 203,129 2,001 Tandem Diabetes Care, Inc. (a) 217,449 2,750 West Pharmaceutical Services, Inc. 1,132,257 --------------- 11,320,218 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.3% 7,110 AdaptHealth Corp. (a) 159,193 632 Addus HomeCare Corp. (a) 54,851 398 Amedisys, Inc. (a) 103,727 752 Castle Biosciences, Inc. (a) 52,527 205 Chemed Corp. 97,584 1,674 CorVel Corp. (a) 235,733 3,609 Covetrus, Inc. (a) 91,885 4,791 DaVita, Inc. (a) 576,118 3,373 Ensign Group (The), Inc. 286,941 3,048 Fulgent Genetics, Inc. (a) (c) 281,178 487 LHC Group, Inc. (a) 104,793 5,488 MEDNAX, Inc. (a) 159,810 1,322 ModivCare, Inc. (a) 224,740 1,202 National Research Corp. 63,442 1,698 Ontrak, Inc. (a) 45,863 12,852 Option Care Health, Inc. (a) 266,293 6,640 Owens & Minor, Inc. 307,100 3,700 Patterson Cos., Inc. 115,181 2,749 Pennant Group (The), Inc. (a) 94,071 8,258 Progyny, Inc. (a) 459,888 4,381 R1 RCM, Inc. (a) 93,797 6,651 Select Medical Holdings Corp. 262,382 4,219 Surgery Partners, Inc. (a) 230,189 7,273 Tenet Healthcare Corp. (a) 522,492 970 US Physical Therapy, Inc. 114,615 --------------- 5,004,393 --------------- HEALTH CARE TECHNOLOGY -- 1.2% 15,186 Allscripts Healthcare Solutions, Inc. (a) 259,377 13,309 Evolent Health, Inc., Class A (a) 305,309 4,051 Health Catalyst, Inc. (a) 235,201 6,598 Inovalon Holdings, Inc., Class A (a) 249,932 1,008 Inspire Medical Systems, Inc. (a) 184,625 Page 70 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY (CONTINUED) 20,471 Multiplan Corp. (a) $ 164,792 2,574 Omnicell, Inc. (a) 377,091 1,834 Phreesia, Inc. (a) 125,354 2,249 Tabula Rasa HealthCare, Inc. (a) 96,617 1,855 Veeva Systems, Inc., Class A (a) 617,177 2,821 Vocera Communications, Inc. (a) 118,369 --------------- 2,733,844 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.5% 1,019 Bally's Corp. (a) 50,186 8,286 Bloomin' Brands, Inc. (a) 208,227 6,339 Boyd Gaming Corp. (a) 361,323 9,519 Caesars Entertainment, Inc. (a) 831,580 3,054 Cheesecake Factory (The), Inc. (a) 138,224 255 Chipotle Mexican Grill, Inc. (a) 475,177 1,694 Domino's Pizza, Inc. 890,180 2,018 Jack in the Box, Inc. 219,680 2,153 Papa John's International, Inc. 245,700 2,514 Penn National Gaming, Inc. (a) 171,907 6,614 Red Rock Resorts, Inc., Class A (a) 260,592 6,292 Scientific Games Corp. (a) 388,279 3,313 SeaWorld Entertainment, Inc. (a) 157,069 1,821 Shake Shack, Inc., Class A (a) 183,083 1,274 Six Flags Entertainment Corp. (a) 52,935 4,917 Travel + Leisure Co. 254,701 1,855 Wingstop, Inc. 317,780 1,672 Yum! Brands, Inc. 219,684 --------------- 5,426,307 --------------- HOUSEHOLD DURABLES -- 1.4% 3,989 Garmin Ltd. 627,071 1,709 Helen of Troy Ltd. (a) 381,773 1,838 Installed Building Products, Inc. 220,560 1,204 iRobot Corp. (a) (c) 105,350 1,736 LGI Homes, Inc. (a) 296,682 5,274 Skyline Champion Corp. (a) 297,454 6,383 Sonos, Inc. (a) 213,064 12,432 Tempur Sealy International, Inc. 537,933 1,478 TopBuild Corp. (a) 299,576 6,967 Tupperware Brands Corp. (a) 145,541 --------------- 3,125,004 --------------- HOUSEHOLD PRODUCTS -- 0.2% 2,257 Church & Dwight Co., Inc. 195,411 2,364 Colgate-Palmolive Co. 187,938 2,616 Energizer Holdings, Inc. 112,096 --------------- 495,445 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.0% 2,083 Clearway Energy, Inc., Class C 59,740 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 0.1% 409 Roper Technologies, Inc. $ 200,958 --------------- INSURANCE -- 1.1% 1,654 Aon PLC, Class A 430,090 5,501 Brown & Brown, Inc. 299,254 1,300 Goosehead Insurance, Inc., Class A 156,247 591 Kinsale Capital Group, Inc. 105,579 4,101 Marsh & McLennan Cos., Inc. 603,749 731 Palomar Holdings, Inc. (a) 59,525 655 RenaissanceRe Holdings Ltd. 100,012 1,863 RLI Corp. 201,912 4,233 Trupanion, Inc. (a) 486,880 --------------- 2,443,248 --------------- INTERACTIVE MEDIA & SERVICES -- 2.1% 405 Alphabet, Inc., Class A (a) 1,091,285 2,103 Cargurus, Inc. (a) 60,146 2,272 Facebook, Inc., Class A (a) 809,513 15,173 fuboTV, Inc. (a) (c) 395,105 10,007 Pinterest, Inc., Class A (a) 589,412 14,494 Snap, Inc., Class A (a) 1,078,643 8,385 Twitter, Inc. (a) 584,854 1,057 ZoomInfo Technologies, Inc., Class A (a) 56,814 --------------- 4,665,772 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.9% 168 Amazon.com, Inc. (a) 559,035 3,667 Chewy, Inc., Class A (a) 306,928 11,253 eBay, Inc. 767,567 2,803 Etsy, Inc. (a) 514,379 3,049 Overstock.com, Inc. (a) 212,332 2,791 RealReal (The), Inc. (a) 46,079 2,291 Shutterstock, Inc. 248,551 973 Stamps.com, Inc. (a) 317,937 8,080 Stitch Fix, Inc., Class A (a) 435,674 3,128 Wayfair, Inc., Class A (a) 754,974 --------------- 4,163,456 --------------- IT SERVICES -- 4.3% 1,957 Accenture PLC, Class A 621,700 3,388 Akamai Technologies, Inc. (a) 406,289 1,989 Automatic Data Processing, Inc. 416,954 3,572 Broadridge Financial Solutions, Inc. 619,706 1,933 EPAM Systems, Inc. (a) 1,082,093 3,791 EVERTEC, Inc. 165,667 2,116 ExlService Holdings, Inc. (a) 239,573 4,078 Gartner, Inc. (a) 1,079,569 4,543 GoDaddy, Inc., Class A (a) 380,931 596 Jack Henry & Associates, Inc. 103,758 1,596 MongoDB, Inc. (a) 572,836 786 Okta, Inc. (a) 194,763 3,682 Paychex, Inc. 419,085 2,711 PayPal Holdings, Inc. (a) 746,962 3,495 Perficient, Inc. (a) 329,544 See Notes to Financial Statements Page 71 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 1,766 Shift4 Payments, Inc., Class A (a) $ 157,509 3,241 Square, Inc., Class A (a) 801,370 5,326 Switch, Inc., Class A 110,035 2,727 TTEC Holdings, Inc. 284,971 1,464 Twilio, Inc., Class A (a) 546,936 8,885 Unisys Corp. (a) 198,580 7,315 Verra Mobility Corp. (a) 111,993 --------------- 9,590,824 --------------- LEISURE PRODUCTS -- 1.1% 4,552 Acushnet Holdings Corp. 233,199 6,667 Callaway Golf Co. (a) 211,210 1,533 Malibu Boats, Inc., Class A (a) 128,251 24,239 Mattel, Inc. (a) 526,471 4,652 Peloton Interactive, Inc., Class A (a) 549,169 6,074 Vista Outdoor, Inc. (a) 245,329 5,306 YETI Holdings, Inc. (a) 511,127 --------------- 2,404,756 --------------- LIFE SCIENCES TOOLS & SERVICES -- 5.8% 2,946 10X Genomics, Inc., Class A (a) 539,796 5,345 Agilent Technologies, Inc. 819,014 27,812 Avantor, Inc. (a) 1,045,175 15,339 Bionano Genomics, Inc. (a) (c) 90,960 895 Bio-Rad Laboratories, Inc., Class A (a) 661,862 1,755 Bio-Techne Corp. 846,331 6,412 Bruker Corp. 527,387 2,670 Charles River Laboratories International, Inc. (a) 1,086,476 2,434 Codexis, Inc. (a) 51,503 835 Illumina, Inc. (a) 413,951 4,076 IQVIA Holdings, Inc. (a) 1,009,625 2,207 Medpace Holdings, Inc. (a) 388,300 570 Mettler-Toledo International, Inc. (a) 840,015 851 NanoString Technologies, Inc. (a) 52,711 8,359 Pacific Biosciences of California, Inc. (a) 268,742 6,396 PerkinElmer, Inc. 1,165,543 2,180 Personalis, Inc. (a) 45,758 2,821 Quanterix Corp. (a) 149,936 1,464 Repligen Corp. (a) 359,705 4,356 Syneos Health, Inc. (a) 390,603 1,566 Thermo Fisher Scientific, Inc. 845,656 2,857 Waters Corp. (a) 1,113,687 --------------- 12,712,736 --------------- MACHINERY -- 2.0% 3,458 Altra Industrial Motion Corp. 216,747 2,664 Chart Industries, Inc. (a) 414,119 2,240 Deere & Co. 809,962 6,657 Evoqua Water Technologies Corp. (a) 219,748 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 2,052 Franklin Electric Co., Inc. $ 167,772 3,862 Graco, Inc. 301,545 39,590 Ideanomics, Inc. (a) (c) 93,828 874 IDEX Corp. 198,127 638 Kadant, Inc. 114,923 1,360 Lindsay Corp. 218,538 11,475 Mueller Water Products, Inc., Class A 170,059 376 Omega Flex, Inc. 58,964 9,662 Otis Worldwide Corp. 865,232 3,547 Toro (The) Co. 403,436 1,541 Watts Water Technologies, Inc., Class A 232,321 --------------- 4,485,321 --------------- MARINE -- 0.1% 3,514 Matson, Inc. 235,860 --------------- MEDIA -- 1.1% 11,417 Altice USA, Inc., Class A (a) 350,844 435 Cardlytics, Inc. (a) 54,792 1,095 Charter Communications, Inc., Class A (a) 814,735 3,322 Liberty Broadband Corp., Class C (a) 589,622 2,880 Magnite, Inc. (a) 87,264 8,461 Sinclair Broadcast Group, Inc., Class A 239,362 2,902 TechTarget, Inc. (a) 212,078 --------------- 2,348,697 --------------- METALS & MINING -- 0.6% 7,936 Allegheny Technologies, Inc. (a) 162,926 22,598 Cleveland-Cliffs, Inc. (a) 564,950 12,661 Coeur Mining, Inc. (a) 95,464 37,780 Hecla Mining Co. 252,748 3,034 Newmont Corp. 190,596 --------------- 1,266,684 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 12,619 Arbor Realty Trust, Inc. 230,676 10,617 Broadmark Realty Capital, Inc. 110,098 3,471 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 197,153 18,403 New Residential Investment Corp. 179,613 --------------- 717,540 --------------- MULTILINE RETAIL -- 0.4% 1,826 Dollar General Corp. 424,800 6,376 Franchise Group, Inc. 216,529 2,317 Ollie's Bargain Outlet Holdings, Inc. (a) 215,713 --------------- 857,042 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.3% 37,514 Antero Midstream Corp. 356,383 18,702 Antero Resources Corp. (a) 254,347 22,525 APA Corp. 422,344 Page 72 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 11,386 Cheniere Energy, Inc. (a) $ 967,013 11,077 Clean Energy Fuels Corp. (a) 83,188 5,189 Diamondback Energy, Inc. 400,228 7,587 Gevo, Inc. (a) 46,205 14,387 Magnolia Oil & Gas Corp., Class A (a) 201,418 7,806 Matador Resources Co. 241,205 31,583 Occidental Petroleum Corp. 824,316 15,482 Ovintiv, Inc. 397,268 16,771 Range Resources Corp. (a) 255,422 1,804 Renewable Energy Group, Inc. (a) 110,495 49,574 Southwestern Energy Co. (a) 233,494 183 Texas Pacific Land Corp. 273,137 --------------- 5,066,463 --------------- PERSONAL PRODUCTS -- 0.6% 1,242 Estee Lauder (The) Cos., Inc., Class A 414,617 9,240 Herbalife Nutrition Ltd. (a) 470,686 993 Medifast, Inc. 283,511 3,969 Nu Skin Enterprises, Inc., Class A 213,096 --------------- 1,381,910 --------------- PHARMACEUTICALS -- 1.3% 1,265 Arvinas, Inc. (a) 127,892 8,635 Bristol-Myers Squibb Co. 586,057 3,654 Catalent, Inc. (a) 437,786 3,442 Eli Lilly and Co. 838,127 11,786 Endo International PLC (a) 59,637 5,509 Intra-Cellular Therapies, Inc. (a) 189,124 3,890 Ocular Therapeutix, Inc. (a) 42,829 390 Reata Pharmaceuticals, Inc., Class A (a) 48,871 3,793 Revance Therapeutics, Inc. (a) 110,300 2,120 Zoetis, Inc. 429,724 --------------- 2,870,347 --------------- PROFESSIONAL SERVICES -- 1.1% 3,432 Booz Allen Hamilton Holding Corp. 294,500 4,123 Equifax, Inc. 1,074,454 1,831 Insperity, Inc. 181,360 3,597 TransUnion 431,856 1,344 TriNet Group, Inc. (a) 111,525 8,359 Upwork, Inc. (a) 432,913 --------------- 2,526,608 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 12,567 eXp World Holdings, Inc. (a) 451,407 1,537 Redfin Corp. (a) 90,022 3,709 St Joe (The) Co. 167,906 --------------- 709,335 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ROAD & RAIL -- 0.6% 3,609 Avis Budget Group, Inc. (a) $ 298,717 3,180 Lyft, Inc., Class A (a) 175,917 2,273 Old Dominion Freight Line, Inc. 611,778 1,396 Saia, Inc. (a) 315,496 --------------- 1,401,908 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.8% 2,200 ACM Research, Inc., Class A (a) 204,292 8,411 Advanced Micro Devices, Inc. (a) 893,164 1,054 Ambarella, Inc. (a) 103,809 2,295 Analog Devices, Inc. 384,229 6,935 Applied Materials, Inc. 970,414 5,113 Brooks Automation, Inc. 455,108 1,166 CEVA, Inc. (a) 57,880 3,434 Cirrus Logic, Inc. (a) 283,614 3,056 Cohu, Inc. (a) 108,213 4,886 Diodes, Inc. (a) 400,652 2,151 Enphase Energy, Inc. (a) 407,830 6,425 Entegris, Inc. 775,112 2,153 First Solar, Inc. (a) 185,244 1,513 FormFactor, Inc. (a) 56,374 1,069 Impinj, Inc. (a) 49,174 1,780 KLA Corp. 619,725 1,518 Lam Research Corp. 967,588 6,938 Lattice Semiconductor Corp. (a) 393,732 6,083 MACOM Technology Solutions Holdings, Inc. (a) 375,443 9,891 Marvell Technology, Inc. 598,504 6,615 MaxLinear, Inc. (a) 319,042 2,190 MKS Instruments, Inc. 342,604 1,058 Monolithic Power Systems, Inc. 475,317 4,936 NVIDIA Corp. 962,471 3,848 Onto Innovation, Inc. (a) 269,668 2,375 Power Integrations, Inc. 230,351 4,038 Qorvo, Inc. (a) 765,564 2,764 QUALCOMM, Inc. 414,047 9,484 Rambus, Inc. (a) 224,391 2,833 Semtech Corp. (a) 175,391 1,776 SiTime Corp. (a) 240,897 4,120 Skyworks Solutions, Inc. 760,181 6,670 SunPower Corp. (a) 165,216 1,445 Synaptics, Inc. (a) 219,524 5,898 Teradyne, Inc. 749,046 1,000 Texas Instruments, Inc. 190,620 5,232 Ultra Clean Holdings, Inc. (a) 282,580 --------------- 15,077,011 --------------- SOFTWARE -- 11.9% 3,510 8x8, Inc. (a) 89,716 2,624 ACI Worldwide, Inc. (a) 90,003 985 Adobe, Inc. (a) 612,306 1,150 Alarm.com Holdings, Inc. (a) 95,703 2,399 Altair Engineering, Inc., Class A (a) 167,354 707 Appian Corp. (a) 82,316 1,417 Aspen Technology, Inc. (a) 207,250 1,189 Avalara, Inc. (a) 198,765 See Notes to Financial Statements Page 73 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 8,359 Avaya Holdings Corp. (a) $ 202,455 2,128 Bill.com Holdings, Inc. (a) 440,113 876 Blackline, Inc. (a) 100,206 6,476 Box, Inc., Class A (a) 154,906 1,406 Cadence Design Systems, Inc. (a) 207,596 3,653 Cerence, Inc. (a) 392,734 9,331 Cloudflare, Inc., Class A (a) 1,106,937 3,596 CommVault Systems, Inc. (a) 271,822 4,360 Cornerstone OnDemand, Inc. (a) 209,018 3,930 Crowdstrike Holdings, Inc., Class A (a) 996,687 3,796 Datadog, Inc., Class A (a) 420,217 5,127 Digital Turbine, Inc. (a) 322,745 3,533 DocuSign, Inc. (a) 1,052,975 991 Dolby Laboratories, Inc., Class A 96,226 3,477 Domo, Inc., Class B (a) 307,123 16,074 Dropbox, Inc., Class A (a) 506,170 6,672 Dynatrace, Inc. (a) 426,141 3,958 Elastic N.V. (a) 586,021 1,285 Envestnet, Inc. (a) 96,671 716 Everbridge, Inc. (a) 101,114 9,638 FireEye, Inc. (a) 194,688 1,594 Five9, Inc. (a) 320,856 4,146 Fortinet, Inc. (a) 1,128,707 1,695 HubSpot, Inc. (a) 1,010,254 2,266 InterDigital, Inc. 149,307 2,015 Intuit, Inc. 1,067,890 3,542 J2 Global, Inc. (a) 500,378 4,623 LivePerson, Inc. (a) 294,439 2,018 Manhattan Associates, Inc. (a) 322,133 3,584 Marathon Digital Holdings, Inc. (a) (c) 99,026 5,774 Medallia, Inc. (a) 195,565 1,458 Microsoft Corp. 415,399 586 MicroStrategy, Inc., Class A (a) (c) 366,842 3,119 Mimecast Ltd. (a) 173,260 1,609 Model N, Inc. (a) 52,083 4,625 Momentive Global, Inc. (a) 97,125 2,910 New Relic, Inc. (a) 201,023 10,198 Nutanix, Inc., Class A (a) 367,332 7,412 Oracle Corp. 645,882 4,577 PagerDuty, Inc. (a) 185,780 1,555 Palo Alto Networks, Inc. (a) 620,523 511 Paylocity Holding Corp. (a) 106,012 2,100 Pegasystems, Inc. 268,044 2,431 Progress Software Corp. 110,829 4,084 PTC, Inc. (a) 553,178 4,119 Rapid7, Inc. (a) 468,536 4,393 Riot Blockchain, Inc. (a) (c) 144,749 5,724 Sailpoint Technologies Holdings, Inc. (a) 286,143 1,617 salesforce.com, Inc. (a) 391,201 350 ServiceNow, Inc. (a) 205,761 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 4,042 Smartsheet, Inc., Class A (a) $ 293,247 3,143 Sprout Social, Inc., Class A (a) 279,224 553 SPS Commerce, Inc. (a) 60,249 2,669 SS&C Technologies Holdings, Inc. 209,223 1,432 Synopsys, Inc. (a) 412,402 4,713 Tenable Holdings, Inc. (a) 201,716 5,625 Teradata Corp. (a) 279,337 5,106 Trade Desk (The), Inc., Class A (a) 418,232 1,340 Upland Software, Inc. (a) 48,240 5,073 Varonis Systems, Inc. (a) 310,468 2,469 VMware, Inc., Class A (a) (c) 379,584 15,605 Vonage Holdings Corp. (a) 222,527 3,501 Workiva, Inc. (a) 454,325 7,440 Xperi Holding Corp. 154,529 3,860 Yext, Inc. (a) 50,296 2,737 Zendesk, Inc. (a) 357,261 2,041 Zoom Video Communications, Inc., Class A (a) 771,702 3,657 Zscaler, Inc. (a) 862,723 9,592 Zuora, Inc., Class A (a) 165,846 --------------- 26,415,366 --------------- SPECIALTY RETAIL -- 4.8% 529 AutoZone, Inc. (a) 858,869 2,731 Blink Charging Co. (a) (c) 94,301 3,344 Boot Barn Holdings, Inc. (a) 288,989 6,857 Camping World Holdings, Inc., Class A 269,892 2,618 Carvana Co. (a) 883,732 2,017 Five Below, Inc. (a) 392,145 4,609 Floor & Decor Holdings, Inc., Class A (a) 562,344 4,612 GameStop Corp., Class A (a) 743,085 4,675 GrowGeneration Corp. (a) 190,132 2,477 Home Depot (The), Inc. 812,927 6,761 L Brands, Inc. 541,353 1,134 Lithia Motors, Inc. 427,768 4,073 Lowe's Cos., Inc. 784,826 7,623 National Vision Holdings, Inc. (a) 411,490 1,395 O'Reilly Automotive, Inc. (a) 842,357 3,118 Rent-A-Center, Inc. 178,412 718 RH (a) 476,809 2,045 Sleep Number Corp. (a) 202,885 5,308 Tractor Supply Co. 960,376 4,656 Vroom, Inc. (a) 172,458 3,052 Williams-Sonoma, Inc. 462,988 --------------- 10,558,138 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.1% 4,213 Apple, Inc. 614,508 9,909 Dell Technologies, Inc., Class C (a) 957,408 9,656 NetApp, Inc. 768,521 --------------- 2,340,437 --------------- Page 74 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 4,181 Crocs, Inc. (a) $ 567,821 1,269 Deckers Outdoor Corp. (a) 521,369 3,735 NIKE, Inc., Class B 625,650 --------------- 1,714,840 --------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 3,567 Axos Financial, Inc. (a) 170,681 5,552 Meta Financial Group, Inc. 275,934 4,736 PennyMac Financial Services, Inc. 297,847 4,800 TFS Financial Corp. 93,504 2,154 Walker & Dunlop, Inc. 222,896 --------------- 1,060,862 --------------- TOBACCO -- 0.3% 5,821 Philip Morris International, Inc. 582,624 11,702 Vector Group Ltd. 156,339 --------------- 738,963 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 3,854 Boise Cascade Co. 197,132 3,698 Fastenal Co. 202,540 4,507 Global Industrial Co. 178,117 2,508 Herc Holdings, Inc. (a) 311,092 1,727 SiteOne Landscape Supply, Inc. (a) 301,845 1,700 Watsco, Inc. 480,148 --------------- 1,670,874 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.0% 1,441 Macquarie Infrastructure Corp. 56,920 --------------- WATER UTILITIES -- 0.3% 693 American States Water Co. 61,206 2,024 California Water Service Group 126,864 4,265 Essential Utilities, Inc. 209,497 675 Middlesex Water Co. 68,675 1,776 SJW Group 122,420 --------------- 588,662 --------------- TOTAL COMMON STOCKS -- 99.9% 221,067,216 (Cost $173,567,958) --------------- MONEY MARKET FUNDS -- 1.2% 2,287,678 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f) 2,287,678 273,861 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (e) 273,861 --------------- TOTAL MONEY MARKET FUNDS -- 1.2% 2,561,539 (Cost $2,561,539) --------------- DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 101.1% $ 223,628,755 (Cost $176,129,497) (g) NET OTHER ASSETS AND LIABILITIES -- (1.1)% (2,400,024) --------------- NET ASSETS -- 100.0% $ 221,228,731 =============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the "1933 Act"). (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statement. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $2,204,264 and the total value of the collateral held by the Fund is $2,287,678. (d) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (e) Rate shown reflects yield as of July 31, 2021. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for federal income tax purposes is $177,076,073. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $50,203,579 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,650,897. The net unrealized appreciation was $46,552,682. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 221,067,216 $ -- $ -- Money Market Funds 2,561,539 -- -- ------------------------------------------------ Total Investments $ 223,628,755 $ -- $ -- ================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 75 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 --------------------------------- 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) $ 2,204,264 Non-cash Collateral(2) (2,204,264) --------------- 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 July 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 76 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.3% 5,240 Curtiss-Wright Corp. $ 619,892 3,938 Huntington Ingalls Industries, Inc. 807,802 5,268 Parsons Corp. (a) 203,450 3,015 Textron, Inc. 208,065 --------------- 1,839,209 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 4,430 C.H. Robinson Worldwide, Inc. 395,023 --------------- AUTO COMPONENTS -- 1.3% 17,092 BorgWarner, Inc. 837,166 18,805 Gentex Corp. 639,934 2,365 Lear Corp. 413,828 --------------- 1,890,928 --------------- AUTOMOBILES -- 0.8% 9,176 Thor Industries, Inc. 1,086,071 --------------- BANKS -- 7.2% 19,679 Bank OZK 801,132 9,580 BOK Financial Corp. 804,816 11,627 Comerica, Inc. 798,310 2,782 Commerce Bancshares, Inc. 196,771 3,703 Cullen/Frost Bankers, Inc. 397,406 5,785 East West Bancorp, Inc. 411,603 498 First Citizens BancShares, Inc., Class A 389,730 48,010 First Horizon Corp. 741,754 4,696 Pinnacle Financial Partners, Inc. 420,808 11,056 Popular, Inc. 804,435 11,556 Prosperity Bancshares, Inc. 788,004 5,072 South State Corp. 349,156 14,180 Synovus Financial Corp. 579,962 17,045 United Bankshares, Inc. 588,734 46,331 Valley National Bancorp 597,207 7,778 Webster Financial Corp. 374,122 2,236 Western Alliance Bancorp 207,545 15,695 Zions Bancorp N.A. 818,494 --------------- 10,069,989 --------------- BEVERAGES -- 0.1% 3,864 Molson Coors Beverage Co., Class B (a) 188,911 --------------- BIOTECHNOLOGY -- 0.6% 4,626 United Therapeutics Corp. (a) 841,608 --------------- BUILDING PRODUCTS -- 1.9% 2,877 A.O. Smith Corp. 202,339 1,487 Allegion PLC 203,124 1,932 Armstrong World Industries, Inc. 209,004 24,308 Builders FirstSource, Inc. (a) 1,081,706 10,593 Owens Corning 1,018,623 --------------- 2,714,796 --------------- CAPITAL MARKETS -- 3.8% 4,035 Affiliated Managers Group, Inc. 639,306 3,485 Cboe Global Markets, Inc. 412,868 5,892 Evercore, Inc., Class A 778,922 31,035 Invesco Ltd. 756,633 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 30,323 Jefferies Financial Group, Inc. $ 1,006,420 9,167 Lazard Ltd., Class A 432,682 1,538 LPL Financial Holdings, Inc. 216,920 6,695 SEI Investments Co. 407,056 9,594 Stifel Financial Corp. 638,385 --------------- 5,289,192 --------------- CHEMICALS -- 3.8% 7,110 Ashland Global Holdings, Inc. 604,848 12,093 CF Industries Holdings, Inc. 571,394 5,958 Chemours (The) Co. 198,104 17,740 Element Solutions, Inc. 414,939 39,101 Huntsman Corp. 1,032,658 1,388 International Flavors & Fragrances, Inc. 209,088 32,497 Mosaic (The) Co. 1,014,881 1,931 NewMarket Corp. 610,022 9,209 Westlake Chemical Corp. 763,610 --------------- 5,419,544 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 4,452 Clean Harbors, Inc. (a) 422,940 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 10,935 Ciena Corp. (a) 635,761 7,585 Juniper Networks, Inc. 213,442 --------------- 849,203 --------------- CONSTRUCTION & ENGINEERING -- 0.9% 5,865 MasTec, Inc. (a) 593,714 4,579 Quanta Services, Inc. 416,231 878 Valmont Industries, Inc. 208,042 --------------- 1,217,987 --------------- CONSUMER FINANCE -- 2.7% 1,827 Credit Acceptance Corp. (a) 885,675 17,308 OneMain Holdings, Inc. 1,055,788 28,553 Santander Consumer USA Holdings, Inc. 1,171,529 39,618 SLM Corp. 746,007 --------------- 3,858,999 --------------- CONTAINERS & PACKAGING -- 2.2% 12,720 Berry Global Group, Inc. (a) 817,769 4,060 Crown Holdings, Inc. 405,026 34,302 Graphic Packaging Holding Co. 657,569 14,993 Silgan Holdings, Inc. 607,516 6,202 Sonoco Products Co. 395,626 3,896 WestRock Co. 191,722 --------------- 3,075,228 --------------- DISTRIBUTORS -- 0.5% 12,640 LKQ Corp. (a) 641,480 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 9,222 Grand Canyon Education, Inc. (a) 851,836 See Notes to Financial Statements Page 77 <PAGE> FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 7,740 Service Corp. International $ 483,673 --------------- 1,335,509 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 13,490 Voya Financial, Inc. 868,756 --------------- ELECTRIC UTILITIES -- 4.0% 11,159 Alliant Energy Corp. 653,136 13,728 Evergy, Inc. 895,340 14,715 Hawaiian Electric Industries, Inc. 637,748 6,383 IDACORP, Inc. 673,087 5,145 NRG Energy, Inc. 212,180 24,655 OGE Energy Corp. 832,106 10,119 Pinnacle West Capital Corp. 845,443 18,003 Portland General Electric Co. 880,347 --------------- 5,629,387 --------------- ELECTRICAL EQUIPMENT -- 0.9% 2,219 Acuity Brands, Inc. 389,168 1,109 Hubbell, Inc. 222,310 4,660 Regal Beloit Corp. 686,092 --------------- 1,297,570 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% 9,108 Arrow Electronics, Inc. (a) 1,079,935 10,705 Jabil, Inc. 637,376 814 Littelfuse, Inc. 216,516 6,814 SYNNEX Corp. 814,546 12,732 Vontier Corp. 411,880 --------------- 3,160,253 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.4% 9,060 Brixmor Property Group, Inc. 208,561 16,916 Cousins Properties, Inc. 671,903 20,603 Healthcare Realty Trust, Inc. 656,824 7,769 Healthcare Trust of America, Inc., Class A 222,116 4,591 Highwoods Properties, Inc. 218,945 14,892 Kilroy Realty Corp. 1,031,569 49,738 Kimco Realty Corp. 1,060,912 13,271 National Retail Properties, Inc. 648,554 11,432 Omega Healthcare Investors, Inc. 414,753 33,686 Physicians Realty Trust 638,350 1,402 PS Business Parks, Inc. 215,445 10,368 SL Green Realty Corp. 772,001 4,334 Spirit Realty Capital, Inc. 217,653 6,011 STORE Capital Corp. 217,538 5,560 WP Carey, Inc. 448,636 --------------- 7,643,760 --------------- FOOD & STAPLES RETAILING -- 0.8% 21,098 Albertsons Cos., Inc., Class A 455,717 3,196 Casey's General Stores, Inc. 631,881 --------------- 1,087,598 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS -- 2.8% 13,268 Bunge Ltd. $ 1,029,995 25,711 Flowers Foods, Inc. 605,751 28,054 Pilgrim's Pride Corp. (a) 621,396 5,736 Post Holdings, Inc. (a) 587,022 269 Seaboard Corp. 1,105,590 --------------- 3,949,754 --------------- GAS UTILITIES -- 2.2% 8,632 Atmos Energy Corp. 851,029 7,939 National Fuel Gas Co. 408,303 11,191 ONE Gas, Inc. 825,672 22,394 UGI Corp. 1,029,900 --------------- 3,114,904 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.5% 4,801 Envista Holdings Corp. (a) 206,827 3,652 Hill-Rom Holdings, Inc. 505,656 --------------- 712,483 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.0% 3,307 Acadia Healthcare Co., Inc. (a) 204,108 2,659 Encompass Health Corp. 221,362 5,590 Henry Schein, Inc. (a) 448,039 23,846 Premier, Inc., Class A 849,871 7,084 Universal Health Services, Inc., Class B 1,136,344 --------------- 2,859,724 --------------- HOUSEHOLD DURABLES -- 4.1% 25,468 KB Home 1,080,862 8,007 Leggett & Platt, Inc. 384,576 5,394 Mohawk Industries, Inc. (a) 1,051,291 22,649 Newell Brands, Inc. 560,563 19,002 PulteGroup, Inc. 1,042,640 14,350 Toll Brothers, Inc. 850,524 3,807 Whirlpool Corp. 843,403 --------------- 5,813,859 --------------- HOUSEHOLD PRODUCTS -- 0.4% 20,503 Reynolds Consumer Products, Inc. 583,310 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.2% 11,182 Vistra Corp. 214,135 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 1,085 Carlisle Cos., Inc. 219,431 --------------- INSURANCE -- 10.9% 1,243 Alleghany Corp. (a) 824,233 8,315 American Financial Group, Inc. 1,051,764 2,656 Assurant, Inc. 419,143 8,465 Axis Capital Holdings Ltd. 430,615 18,239 CNA Financial Corp. 802,699 4,340 Enstar Group Ltd. (a) 1,115,467 3,293 Everest Re Group Ltd. 832,569 23,860 Fidelity National Financial, Inc. 1,064,395 16,632 First American Financial Corp. 1,119,500 Page 78 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 8,711 Globe Life, Inc. $ 811,081 7,647 Hanover Insurance Group (The), Inc. 1,039,227 14,032 Kemper Corp. 926,252 6,600 Lincoln National Corp. 406,692 41,629 Old Republic International Corp. 1,026,571 2,709 Primerica, Inc. 396,110 7,277 Reinsurance Group of America, Inc. 801,780 10,224 Selective Insurance Group, Inc. 831,723 36,513 Unum Group 1,000,456 5,575 W.R. Berkley Corp. 407,923 --------------- 15,308,200 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.7% 79,223 Qurate Retail, Inc., Series A 939,585 --------------- IT SERVICES -- 2.0% 15,977 DXC Technology Co. (a) 638,761 4,567 Genpact Ltd. 227,482 7,074 MAXIMUS, Inc. 629,586 58,199 SolarWinds Corp. (a) 654,157 27,087 Western Union (The) Co. 628,689 --------------- 2,778,675 --------------- LEISURE PRODUCTS -- 0.6% 6,246 Brunswick Corp. 652,082 1,514 Polaris, Inc. 198,440 --------------- 850,522 --------------- MACHINERY -- 3.4% 4,771 AGCO Corp. 630,297 15,656 Allison Transmission Holdings, Inc. 624,831 4,527 Colfax Corp. (a) 207,699 4,492 Crane Co. 436,757 3,264 Donaldson Co., Inc. 216,044 5,142 Flowserve Corp. 216,427 1,575 Lincoln Electric Holdings, Inc. 219,602 945 Nordson Corp. 213,693 3,327 Oshkosh Corp. 397,743 1,040 RBC Bearings, Inc. (a) 244,400 2,786 Snap-on, Inc. 607,292 7,719 Timken (The) Co. 613,660 1,687 Woodward, Inc. 205,072 --------------- 4,833,517 --------------- MEDIA -- 1.9% 24,808 DISH Network Corp., Class A (a) 1,039,207 24,145 News Corp., Class A 594,692 7,014 Nexstar Media Group, Inc., Class A 1,031,549 --------------- 2,665,448 --------------- METALS & MINING -- 1.4% 6,872 Reliance Steel & Aluminum Co. 1,079,935 13,919 Steel Dynamics, Inc. 897,079 --------------- 1,977,014 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.0% 61,396 AGNC Investment Corp. $ 974,355 116,778 Annaly Capital Management, Inc. 991,445 13,009 Blackstone Mortgage Trust, Inc., Class A 421,752 15,849 Starwood Property Trust, Inc. 412,549 --------------- 2,800,101 --------------- MULTILINE RETAIL -- 0.9% 18,816 Kohl's Corp. 955,853 21,879 Macy's, Inc. (a) 371,943 --------------- 1,327,796 --------------- MULTI-UTILITIES -- 2.1% 12,639 Black Hills Corp. 855,028 33,834 CenterPoint Energy, Inc. 861,414 26,472 MDU Resources Group, Inc. 839,692 16,930 NiSource, Inc. 419,356 --------------- 2,975,490 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.1% 47,515 Cabot Oil & Gas Corp. 760,240 10,908 Continental Resources, Inc. 372,508 27,950 EQT Corp. (a) 514,000 12,609 HollyFrontier Corp. 370,705 45,684 Marathon Oil Corp. 529,478 9,332 Targa Resources Corp. 392,970 --------------- 2,939,901 --------------- PAPER & FOREST PRODUCTS -- 0.7% 17,200 Louisiana-Pacific Corp. 953,568 --------------- PHARMACEUTICALS -- 0.6% 3,501 Jazz Pharmaceuticals PLC (a) 593,489 4,523 Perrigo Co. PLC 217,240 --------------- 810,729 --------------- PROFESSIONAL SERVICES -- 1.8% 4,279 ASGN, Inc. (a) 432,735 3,250 CACI International, Inc., Class A (a) 867,620 3,037 FTI Consulting, Inc. (a) 442,491 2,331 Robert Half International, Inc. 228,928 7,090 Science Applications International Corp. 618,957 --------------- 2,590,731 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 2,127 Howard Hughes (The) Corp. (a) 197,194 4,246 Jones Lang LaSalle, Inc. (a) 945,033 --------------- 1,142,227 --------------- ROAD & RAIL -- 1.5% 1,409 AMERCO 828,436 22,812 Knight-Swift Transportation Holdings, Inc. 1,133,528 1,312 Landstar System, Inc. 205,984 --------------- 2,167,948 --------------- See Notes to Financial Statements Page 79 <PAGE> FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.8% 43,813 Amkor Technology, Inc. $ 1,079,552 --------------- SOFTWARE -- 0.6% 16,696 CDK Global, Inc. 801,241 --------------- SPECIALTY RETAIL -- 3.7% 2,022 Advance Auto Parts, Inc. 428,785 10,936 AutoNation, Inc. (a) 1,326,865 10,352 Dick's Sporting Goods, Inc. 1,078,057 16,827 Foot Locker, Inc. 960,149 6,163 Gap (The), Inc. 179,775 13,737 Penske Automotive Group, Inc. 1,217,098 --------------- 5,190,729 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.8% 44,146 Xerox Holdings Corp. 1,065,243 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 6,030 Carter's, Inc. 589,372 2,110 Columbia Sportswear Co. 210,198 1,926 PVH Corp. (a) 201,498 4,769 Tapestry, Inc. (a) 201,729 --------------- 1,202,797 --------------- THRIFTS & MORTGAGE FINANCE -- 2.9% 23,071 Essent Group Ltd. 1,042,117 76,252 MGIC Investment Corp. 1,055,328 75,281 New York Community Bancorp, Inc. 886,810 46,606 Radian Group, Inc. 1,052,364 --------------- 4,036,619 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% 24,846 Air Lease Corp. 1,052,477 4,624 MSC Industrial Direct Co., Inc., Class A 412,322 4,034 WESCO International, Inc. (a) 429,419 --------------- 1,894,218 --------------- TOTAL INVESTMENTS -- 99.9% 140,623,392 (Cost $132,267,819) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 150,129 --------------- NET ASSETS -- 100.0% $ 140,773,521 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $132,712,465. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $11,525,845 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,614,918. The net unrealized appreciation was $7,910,927. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 140,623,392 $ -- $ -- ================================================ * See Portfolio of Investments for industry breakout. Page 80 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.2% 19,678 Axon Enterprise, Inc. (a) $ 3,660,502 11,973 BWX Technologies, Inc. 687,609 45,382 Virgin Galactic Holdings, Inc. (a) (b) 1,361,006 --------------- 5,709,117 --------------- AIRLINES -- 0.4% 98,425 American Airlines Group, Inc. (a) 2,005,902 --------------- AUTO COMPONENTS -- 0.8% 22,349 Fox Factory Holding Corp. (a) 3,610,257 --------------- AUTOMOBILES -- 0.1% 41,946 Workhorse Group, Inc. (a) (b) 484,057 --------------- BANKS -- 1.6% 56,659 First Financial Bankshares, Inc. 2,767,225 37,903 Glacier Bancorp, Inc. 1,954,279 11,332 Signature Bank 2,572,024 --------------- 7,293,528 --------------- BEVERAGES -- 1.4% 2,043 Boston Beer (The) Co., Inc., Class A (a) 1,450,530 45,728 Celsius Holdings, Inc. (a) 3,138,313 44,203 National Beverage Corp. 2,005,932 --------------- 6,594,775 --------------- BIOTECHNOLOGY -- 7.3% 5,545 Acceleron Pharma, Inc. (a) 693,458 16,802 Arrowhead Pharmaceuticals, Inc. (a) 1,164,210 27,036 Beam Therapeutics, Inc. (a) 2,487,312 28,676 Biohaven Pharmaceutical Holding Co., Ltd. (a) 3,613,463 7,913 Blueprint Medicines Corp. (a) 695,315 38,020 CareDx, Inc. (a) 3,195,201 8,595 CRISPR Therapeutics AG (a) 1,040,167 35,489 Denali Therapeutics, Inc. (a) 1,811,004 36,862 Editas Medicine, Inc. (a) 1,543,043 11,050 Emergent BioSolutions, Inc. (a) 728,195 24,054 Fate Therapeutics, Inc. (a) 1,991,671 61,293 Halozyme Therapeutics, Inc. (a) 2,533,240 17,188 Intellia Therapeutics, Inc. (a) 2,438,118 24,521 Natera, Inc. (a) 2,808,145 7,152 Neurocrine Biosciences, Inc. (a) 666,638 515,464 OPKO Health, Inc. (a) 1,773,196 24,495 Sage Therapeutics, Inc. (a) 1,071,166 17,936 TG Therapeutics, Inc. (a) 627,581 15,664 Twist Bioscience Corp. (a) 1,927,455 29,439 Vir Biotechnology, Inc. (a) 1,049,500 --------------- 33,858,078 --------------- BUILDING PRODUCTS -- 3.4% 29,849 Advanced Drainage Systems, Inc. 3,644,264 32,777 AZEK (The) Co., Inc. (a) 1,192,100 27,946 Fortune Brands Home & Security, Inc. 2,723,897 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BUILDING PRODUCTS (CONTINUED) 7,935 Lennox International, Inc. $ 2,614,027 25,203 Simpson Manufacturing Co., Inc. 2,834,833 27,232 Trex Co., Inc. (a) 2,644,227 --------------- 15,653,348 --------------- CAPITAL MARKETS -- 3.4% 55,939 Apollo Global Management, Inc. 3,292,569 54,714 Ares Management Corp., Class A 3,918,070 74,857 Carlyle Group (The), Inc. 3,778,033 2,070 FactSet Research Systems, Inc. 739,570 10,827 Morningstar, Inc. 2,735,225 16,462 Tradeweb Markets, Inc., Class A 1,427,749 --------------- 15,891,216 --------------- CHEMICALS -- 2.5% 75,214 Olin Corp. 3,537,314 5,871 Quaker Chemical Corp. 1,477,965 15,698 RPM International, Inc. 1,359,290 10,875 Scotts Miracle-Gro (The) Co. 1,924,440 107,192 Valvoline, Inc. 3,288,651 --------------- 11,587,660 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 257,968 ADT, Inc. 2,706,084 12,757 IAA, Inc. (a) 771,544 12,608 MSA Safety, Inc. 2,073,764 11,408 Tetra Tech, Inc. 1,523,196 --------------- 7,074,588 --------------- COMMUNICATIONS EQUIPMENT -- 0.3% 7,455 F5 Networks, Inc. (a) 1,539,532 --------------- CONSTRUCTION & ENGINEERING -- 0.5% 74,902 WillScot Mobile Mini Holdings Corp. (a) 2,150,436 --------------- CONSTRUCTION MATERIALS -- 0.8% 24,481 Eagle Materials, Inc. 3,459,655 --------------- CONTAINERS & PACKAGING -- 1.0% 9,878 AptarGroup, Inc. 1,273,472 58,723 Sealed Air Corp. 3,332,530 --------------- 4,606,002 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 8,370 Chegg, Inc. (a) 741,833 13,969 Frontdoor, Inc. (a) 683,643 14,588 Terminix Global Holdings, Inc. (a) 765,870 52,715 Vivint Smart Home, Inc. (a) 646,813 --------------- 2,838,159 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 10,090 Bandwidth, Inc., Class A (a) 1,308,269 17,400 Iridium Communications, Inc. (a) 734,802 --------------- 2,043,071 --------------- See Notes to Financial Statements Page 81 <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 1.0% 51,795 Bloom Energy Corp., Class A (a) $ 1,129,131 127,454 Vertiv Holdings Co. 3,573,810 --------------- 4,702,941 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 30,870 Advanced Energy Industries, Inc. 3,202,762 38,343 II-VI, Inc. (a) 2,676,725 --------------- 5,879,487 --------------- ENTERTAINMENT -- 1.1% 49,111 AMC Entertainment Holdings, Inc., Class A (a) (b) 1,818,089 38,613 Warner Music Group Corp., Class A 1,459,185 196,393 Zynga, Inc., Class A (a) 1,983,570 --------------- 5,260,844 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 7.6% 53,732 American Homes 4 Rent, Class A 2,256,744 15,736 Camden Property Trust 2,350,801 5,170 CoreSite Realty Corp. 714,546 60,093 CubeSmart 2,984,218 9,728 CyrusOne, Inc. 693,315 12,697 EastGroup Properties, Inc. 2,237,465 18,732 Equity LifeStyle Properties, Inc. 1,569,742 39,968 First Industrial Realty Trust, Inc. 2,189,447 30,036 Gaming and Leisure Properties, Inc. 1,421,904 14,575 Innovative Industrial Properties, Inc. 3,133,479 65,773 Iron Mountain, Inc. 2,878,226 19,995 Lamar Advertising Co., Class A 2,131,467 25,931 Life Storage, Inc. 3,043,262 34,623 Medical Properties Trust, Inc. 728,122 12,219 Rexford Industrial Realty, Inc. 751,713 26,593 Safehold, Inc. 2,401,880 55,777 STAG Industrial, Inc. 2,304,706 21,569 Terreno Realty Corp. 1,474,457 --------------- 35,265,494 --------------- FOOD & STAPLES RETAILING -- 1.0% 73,124 BJ's Wholesale Club Holdings, Inc. (a) 3,702,999 20,074 Grocery Outlet Holding Corp. (a) 664,851 --------------- 4,367,850 --------------- FOOD PRODUCTS -- 1.8% 13,254 Beyond Meat, Inc. (a) 1,626,266 41,235 Darling Ingredients, Inc. (a) 2,848,101 12,813 Freshpet, Inc. (a) 1,876,464 17,347 Hain Celestial Group (The), Inc. (a) 692,319 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 7,192 Lancaster Colony Corp. $ 1,423,081 --------------- 8,466,231 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.5% 16,405 Glaukos Corp. (a) 836,655 35,903 Globus Medical, Inc., Class A (a) 2,986,053 3,383 ICU Medical, Inc. (a) 687,730 14,917 Inari Medical, Inc. (a) 1,339,397 20,396 Integra LifeSciences Holdings Corp. (a) 1,476,466 30,230 Neogen Corp. (a) 1,316,819 4,195 Nevro Corp. (a) 650,225 7,614 Penumbra, Inc. (a) 2,027,075 10,861 Quidel Corp. (a) 1,536,506 18,342 Shockwave Medical, Inc. (a) 3,338,244 22,815 STAAR Surgical Co. (a) 2,918,495 14,286 Tandem Diabetes Care, Inc. (a) 1,552,460 --------------- 20,666,125 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 50,776 AdaptHealth Corp. (a) 1,136,875 2,845 Amedisys, Inc. (a) 741,464 1,469 Chemed Corp. 699,273 25,777 Covetrus, Inc. (a) 656,282 24,086 Ensign Group (The), Inc. 2,048,996 3,478 LHC Group, Inc. (a) 748,396 58,972 Progyny, Inc. (a) 3,284,151 31,287 R1 RCM, Inc. (a) 669,855 51,937 Tenet Healthcare Corp. (a) 3,731,154 --------------- 13,716,446 --------------- HEALTH CARE TECHNOLOGY -- 1.1% 7,200 Inspire Medical Systems, Inc. (a) 1,318,752 146,191 Multiplan Corp. (a) 1,176,838 18,380 Omnicell, Inc. (a) 2,692,670 --------------- 5,188,260 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.3% 45,265 Boyd Gaming Corp. (a) 2,580,105 44,934 Scientific Games Corp. (a) 2,772,877 13,003 Shake Shack, Inc., Class A (a) 1,307,322 35,118 Travel + Leisure Co. 1,819,113 13,243 Wingstop, Inc. 2,268,658 --------------- 10,748,075 --------------- HOUSEHOLD DURABLES -- 1.9% 12,203 Helen of Troy Ltd. (a) 2,726,028 88,786 Tempur Sealy International, Inc. 3,841,770 10,557 TopBuild Corp. (a) 2,139,799 --------------- 8,707,597 --------------- INSURANCE -- 1.8% 39,287 Brown & Brown, Inc. 2,137,213 4,227 Kinsale Capital Group, Inc. 755,132 4,675 RenaissanceRe Holdings Ltd. 713,826 13,310 RLI Corp. 1,442,538 Page 82 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 30,230 Trupanion, Inc. (a) $ 3,477,054 --------------- 8,525,763 --------------- INTERACTIVE MEDIA & SERVICES -- 0.6% 108,358 fuboTV, Inc. (a) (b) 2,821,642 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.6% 26,192 Chewy, Inc., Class A (a) 2,192,270 6,947 Stamps.com, Inc. (a) 2,270,002 57,702 Stitch Fix, Inc., Class A (a) 3,111,292 --------------- 7,573,564 --------------- IT SERVICES -- 0.2% 4,257 Jack Henry & Associates, Inc. 741,101 --------------- LEISURE PRODUCTS -- 1.6% 173,105 Mattel, Inc. (a) 3,759,840 37,896 YETI Holdings, Inc. (a) 3,650,522 --------------- 7,410,362 --------------- LIFE SCIENCES TOOLS & SERVICES -- 3.0% 45,790 Bruker Corp. 3,766,227 15,758 Medpace Holdings, Inc. (a) 2,772,463 59,699 Pacific Biosciences of California, Inc. (a) 1,919,323 10,458 Repligen Corp. (a) 2,569,531 31,105 Syneos Health, Inc. (a) 2,789,185 --------------- 13,816,729 --------------- MACHINERY -- 1.7% 19,024 Chart Industries, Inc. (a) 2,957,281 27,579 Graco, Inc. 2,153,368 25,332 Toro (The) Co. 2,881,262 --------------- 7,991,911 --------------- MEDIA -- 0.7% 81,531 Altice USA, Inc., Class A (a) 2,505,448 20,562 Magnite, Inc. (a) 623,028 --------------- 3,128,476 --------------- METALS & MINING -- 0.9% 161,383 Cleveland-Cliffs, Inc. (a) 4,034,575 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.6% 24,789 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 1,408,015 131,421 New Residential Investment Corp. 1,282,669 --------------- 2,690,684 --------------- MULTILINE RETAIL -- 0.3% 16,541 Ollie's Bargain Outlet Holdings, Inc. (a) 1,539,967 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.9% 267,901 Antero Midstream Corp. 2,545,060 160,862 APA Corp. 3,016,163 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 37,057 Diamondback Energy, Inc. $ 2,858,206 110,558 Ovintiv, Inc. 2,836,918 1,302 Texas Pacific Land Corp. 1,943,300 --------------- 13,199,647 --------------- PERSONAL PRODUCTS -- 0.7% 65,987 Herbalife Nutrition Ltd. (a) 3,361,378 --------------- PHARMACEUTICALS -- 0.2% 9,040 Arvinas, Inc. (a) 913,944 --------------- PROFESSIONAL SERVICES -- 1.3% 24,512 Booz Allen Hamilton Holding Corp. 2,103,375 9,599 TriNet Group, Inc. (a) 796,525 59,693 Upwork, Inc. (a) 3,091,500 --------------- 5,991,400 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 89,742 eXp World Holdings, Inc. (a) 3,223,533 10,974 Redfin Corp. (a) 642,747 --------------- 3,866,280 --------------- ROAD & RAIL -- 0.5% 9,965 Saia, Inc. (a) 2,252,090 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.6% 36,519 Brooks Automation, Inc. 3,250,556 24,529 Cirrus Logic, Inc. (a) 2,025,850 34,895 Diodes, Inc. (a) 2,861,390 15,376 First Solar, Inc. (a) 1,322,951 49,544 Lattice Semiconductor Corp. (a) 2,811,622 43,440 MACOM Technology Solutions Holdings, Inc. (a) 2,681,117 15,641 MKS Instruments, Inc. 2,446,878 16,963 Power Integrations, Inc. 1,645,242 20,232 Semtech Corp. (a) 1,252,563 47,630 SunPower Corp. (a) 1,179,795 --------------- 21,477,964 --------------- SOFTWARE -- 13.1% 25,068 8x8, Inc. (a) 640,738 18,739 ACI Worldwide, Inc. (a) 642,748 8,214 Alarm.com Holdings, Inc. (a) 683,569 5,051 Appian Corp. (a) 588,088 10,117 Aspen Technology, Inc. (a) 1,479,712 15,199 Bill.com Holdings, Inc. (a) 3,143,457 6,257 Blackline, Inc. (a) 715,738 26,085 Cerence, Inc. (a) 2,804,398 36,614 Digital Turbine, Inc. (a) 2,304,851 7,079 Dolby Laboratories, Inc., Class A 687,371 114,793 Dropbox, Inc., Class A (a) 3,614,832 47,645 Dynatrace, Inc. (a) 3,043,086 9,175 Envestnet, Inc. (a) 690,235 5,117 Everbridge, Inc. (a) 722,623 68,828 FireEye, Inc. (a) 1,390,326 11,381 Five9, Inc. (a) 2,290,882 See Notes to Financial Statements Page 83 <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 25,297 J2 Global, Inc. (a) $ 3,573,707 33,011 LivePerson, Inc. (a) 2,102,471 14,410 Manhattan Associates, Inc. (a) 2,300,268 41,235 Medallia, Inc. (a) 1,396,629 4,187 MicroStrategy, Inc., Class A (a) (b) 2,621,104 33,026 Momentive Global, Inc. (a) 693,546 20,782 New Relic, Inc. (a) 1,435,621 72,829 Nutanix, Inc., Class A (a) 2,623,301 32,682 PagerDuty, Inc. (a) 1,326,562 3,648 Paylocity Holding Corp. (a) 756,814 14,998 Pegasystems, Inc. 1,914,345 29,411 Rapid7, Inc. (a) 3,345,501 40,875 Sailpoint Technologies Holdings, Inc. (a) 2,043,341 28,866 Smartsheet, Inc., Class A (a) 2,094,228 33,657 Tenable Holdings, Inc. (a) 1,440,520 36,235 Varonis Systems, Inc. (a) 2,217,582 24,999 Workiva, Inc. (a) 3,244,120 --------------- 60,572,314 --------------- SPECIALTY RETAIL -- 5.3% 14,400 Five Below, Inc. (a) 2,799,648 32,916 Floor & Decor Holdings, Inc., Class A (a) 4,016,081 48,283 L Brands, Inc. 3,866,020 8,098 Lithia Motors, Inc. 3,054,728 54,439 National Vision Holdings, Inc. (a) 2,938,617 5,127 RH (a) 3,404,738 33,249 Vroom, Inc. (a) 1,231,543 21,794 Williams-Sonoma, Inc. 3,306,150 --------------- 24,617,525 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 29,861 Crocs, Inc. (a) 4,055,422 9,060 Deckers Outdoor Corp. (a) 3,722,301 --------------- 7,777,723 --------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 33,821 PennyMac Financial Services, Inc. 2,127,003 34,279 TFS Financial Corp. 667,755 --------------- 2,794,758 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 12,335 SiteOne Landscape Supply, Inc. (a) 2,155,911 12,136 Watsco, Inc. 3,427,692 --------------- 5,583,603 --------------- WATER UTILITIES -- 0.3% 30,456 Essential Utilities, Inc. 1,495,999 --------------- TOTAL COMMON STOCKS -- 100.0% 463,548,130 (Cost $402,991,144) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 1.7% 8,090,705 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) $ 8,090,705 (Cost $8,090,705) --------------- TOTAL INVESTMENTS -- 101.7% 471,638,835 (Cost $411,081,849) (e) NET OTHER ASSETS AND LIABILITIES -- (1.7)% (8,066,715) --------------- NET ASSETS -- 100.0% $ 463,572,120 =============== (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 $7,746,456 and the total value of the collateral held by the Fund is $8,090,705. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $415,193,335. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $71,018,908 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $14,573,408. The net unrealized appreciation was $56,445,500. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 463,548,130 $ -- $ -- Money Market Funds 8,090,705 -- -- ------------------------------------------------ Total Investments $ 471,638,835 $ -- $ -- ================================================ * See Portfolio of Investments for industry breakout. Page 84 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 --------------------------------- 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) $ 7,746,456 Non-cash Collateral(2) (7,746,456) --------------- 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 July 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 85 <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AIR FREIGHT & LOGISTICS -- 1.0% 25,627 Atlas Air Worldwide Holdings, Inc. (a) $ 1,716,240 15,569 Hub Group, Inc., Class A (a) 1,031,914 --------------- 2,748,154 --------------- AIRLINES -- 0.5% 32,420 SkyWest, Inc. (a) 1,312,686 --------------- AUTO COMPONENTS -- 0.7% 14,410 Dana, Inc. 348,146 19,123 Patrick Industries, Inc. 1,580,133 --------------- 1,928,279 --------------- AUTOMOBILES -- 0.5% 20,547 Winnebago Industries, Inc. 1,476,713 --------------- BANKS -- 15.3% 27,575 Ameris Bancorp 1,340,421 68,184 Associated Banc-Corp. 1,350,043 28,370 Atlantic Union Bankshares Corp. 1,006,284 5,491 BancFirst Corp. 304,641 49,281 BancorpSouth Bank 1,271,450 24,067 BankUnited, Inc. 952,572 18,956 Banner Corp. 1,005,426 26,104 Cathay General Bancorp 988,559 18,110 Columbia Banking System, Inc. 632,763 4,533 Community Bank System, Inc. 324,744 33,906 CVB Financial Corp. 646,248 18,326 Eagle Bancorp, Inc. 1,008,480 113,253 F.N.B. Corp. 1,297,879 18,705 FB Financial Corp. 707,236 58,578 First BanCorp 710,551 59,096 First Financial Bancorp 1,329,660 24,639 First Hawaiian, Inc. 678,312 16,690 First Interstate BancSystem, Inc., Class A 699,645 16,747 First Merchants Corp. 682,105 88,487 Fulton Financial Corp. 1,355,621 15,707 Hancock Whitney Corp. 686,553 29,710 Heartland Financial USA, Inc. 1,355,370 47,953 Hilltop Holdings, Inc. 1,519,151 28,295 Home BancShares, Inc. 599,288 72,464 Hope Bancorp, Inc. 960,148 4,543 Independent Bank Corp. 321,099 9,441 Independent Bank Group, Inc. 658,038 23,922 International Bancshares Corp. 934,872 48,953 Investors Bancorp, Inc. 676,530 28,564 NBT Bancorp, Inc. 995,455 79,292 Old National Bancorp 1,275,808 8,093 Pacific Premier Bancorp, Inc. 307,372 24,969 PacWest Bancorp 994,266 5,939 Park National Corp. 676,512 25,688 Renasant Corp. 903,704 23,276 Sandy Spring Bancorp, Inc. 968,049 47,587 Simmons First National Corp., Class A 1,295,318 10,992 Texas Capital Bancshares, Inc. (a) 692,276 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 45,901 TowneBank $ 1,368,309 45,330 Trustmark Corp. 1,360,807 11,044 UMB Financial Corp. 1,033,718 21,808 United Community Banks, Inc. 628,289 28,837 WesBanco, Inc. 930,858 5,905 Westamerica BanCorp 328,023 18,458 Wintrust Financial Corp. 1,317,901 --------------- 41,080,354 --------------- BEVERAGES -- 0.3% 1,740 Coca-Cola Consolidated, Inc. 694,521 --------------- BUILDING PRODUCTS -- 1.6% 12,573 American Woodmark Corp. (a) 933,545 40,083 Griffon Corp. 926,719 26,590 JELD-WEN Holding, Inc. (a) 704,103 14,740 PGT Innovations, Inc. (a) 332,829 11,411 Resideo Technologies, Inc. (a) 336,625 13,824 UFP Industries, Inc. 1,026,570 --------------- 4,260,391 --------------- CAPITAL MARKETS -- 1.9% 41,174 Federated Hermes, Inc. 1,335,685 113,189 Golub Capital BDC, Inc. (b) 1,786,122 5,395 Piper Sandler Cos. 661,913 50,542 Virtu Financial, Inc., Class A 1,300,951 --------------- 5,084,671 --------------- CHEMICALS -- 2.4% 14,197 Avient Corp. 688,838 44,171 GCP Applied Technologies, Inc. (a) 1,026,976 16,152 H.B. Fuller Co. 1,043,742 48,748 Kronos Worldwide, Inc. 678,085 13,062 Minerals Technologies, Inc. 1,047,834 3,956 Sensient Technologies Corp. 344,884 8,540 Stepan Co. 1,007,293 11,668 Trinseo S.A. 634,272 --------------- 6,471,924 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% 31,489 ABM Industries, Inc. 1,463,924 12,466 Brady Corp., Class A 681,641 21,240 BrightView Holdings, Inc. (a) 340,477 14,608 Deluxe Corp. 641,291 10,856 Healthcare Services Group, Inc. 283,342 21,791 Herman Miller, Inc. 940,282 15,885 HNI Corp. 592,511 39,778 KAR Auction Services, Inc. (a) 655,541 22,664 Steelcase, Inc., Class A 311,630 2,972 UniFirst Corp. 647,212 --------------- 6,557,851 --------------- COMMUNICATIONS EQUIPMENT -- 0.5% 24,456 NetScout Systems, Inc. (a) 703,355 14,007 Viasat, Inc. (a) 695,307 --------------- 1,398,662 --------------- Page 86 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING -- 1.5% 17,495 Arcosa, Inc. $ 958,026 8,858 Comfort Systems USA, Inc. 662,136 9,363 Dycom Industries, Inc. (a) 649,792 59,312 Primoris Services Corp. 1,773,429 --------------- 4,043,383 --------------- CONSUMER FINANCE -- 2.5% 4,478 FirstCash, Inc. 354,658 72,238 Navient Corp. 1,475,822 23,198 Nelnet, Inc., Class A 1,746,809 45,371 PRA Group, Inc. (a) 1,759,941 29,014 PROG Holdings, Inc. 1,269,943 --------------- 6,607,173 --------------- CONTAINERS & PACKAGING -- 0.6% 23,059 Greif, Inc., Class A 1,397,837 20,974 O-I Glass, Inc. (a) 310,205 --------------- 1,708,042 --------------- DIVERSIFIED CONSUMER SERVICES -- 2.3% 39,181 Adtalem Global Education, Inc. (a) 1,423,837 2,749 Graham Holdings Co., Class B 1,827,150 59,465 H&R Block, Inc. 1,459,866 18,351 Strategic Education, Inc. 1,455,051 --------------- 6,165,904 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 51,472 Cannae Holdings, Inc. (a) 1,711,444 --------------- ELECTRIC UTILITIES -- 1.1% 19,956 ALLETE, Inc. 1,403,306 4,601 MGE Energy, Inc. 359,430 21,046 Otter Tail Corp. 1,068,926 --------------- 2,831,662 --------------- ELECTRICAL EQUIPMENT -- 1.4% 13,483 AZZ, Inc. 714,464 18,427 Encore Wire Corp. 1,445,230 3,500 EnerSys 345,310 120,167 GrafTech International Ltd. 1,366,299 --------------- 3,871,303 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.5% 43,548 Avnet, Inc. 1,799,403 3,425 Insight Enterprises, Inc. (a) 343,801 35,364 Knowles Corp. (a) 708,695 28,378 Methode Electronics, Inc. 1,357,320 15,089 PC Connection, Inc. 717,633 11,241 Plexus Corp. (a) 1,015,287 44,794 Sanmina Corp. (a) 1,720,985 23,948 TTM Technologies, Inc. (a) 335,033 61,916 Vishay Intertechnology, Inc. 1,370,201 --------------- 9,368,358 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES -- 1.0% 115,313 Archrock, Inc. $ 992,845 70,245 Patterson-UTI Energy, Inc. 563,365 308,924 Transocean Ltd. (a) 1,115,216 --------------- 2,671,426 --------------- ENTERTAINMENT -- 0.1% 4,081 Madison Square Garden Entertainment Corp. (a) 285,507 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.8% 31,795 Acadia Realty Trust 680,413 127,306 Brandywine Realty Trust 1,777,192 100,369 Columbia Property Trust, Inc. 1,673,151 28,537 Empire State Realty Trust, Inc., Class A 326,178 13,075 Equity Commonwealth 343,742 55,541 Global Net Lease, Inc. 1,025,842 25,092 Hudson Pacific Properties, Inc. 684,008 116,848 Lexington Realty Trust 1,536,551 26,767 LTC Properties, Inc. 1,013,131 40,714 Mack-Cali Realty Corp. (a) 732,852 102,027 Paramount Group, Inc. 995,783 94,503 Piedmont Office Realty Trust, Inc., Class A 1,797,447 60,972 Retail Properties of America, Inc., Class A 768,857 76,722 Sabra Health Care REIT, Inc. 1,426,262 22,738 SITE Centers Corp. 360,625 17,924 Urban Edge Properties 340,556 --------------- 15,482,590 --------------- FOOD & STAPLES RETAILING -- 1.2% 56,193 Sprouts Farmers Market, Inc. (a) 1,381,224 33,782 Weis Markets, Inc. 1,778,622 --------------- 3,159,846 --------------- FOOD PRODUCTS -- 2.2% 28,379 Cal-Maine Foods, Inc. 990,143 53,086 Fresh Del Monte Produce, Inc. 1,638,234 63,466 Hostess Brands, Inc. (a) 1,021,168 5,468 Sanderson Farms, Inc. 1,021,641 10,107 Tootsie Roll Industries, Inc. 347,580 23,074 TreeHouse Foods, Inc. (a) 1,024,486 --------------- 6,043,252 --------------- GAS UTILITIES -- 2.1% 2,839 Chesapeake Utilities Corp. 353,711 25,960 New Jersey Resources Corp. 999,979 26,590 Northwest Natural Holding Co. 1,390,391 26,376 Southwest Gas Holdings, Inc. 1,844,474 14,215 Spire, Inc. 1,008,554 --------------- 5,597,109 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1% 3,635 Integer Holdings Corp. (a) 355,830 --------------- See Notes to Financial Statements Page 87 <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES -- 0.1% 3,532 AMN Healthcare Services, Inc. (a) $ 355,178 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.3% 6,915 Cracker Barrel Old Country Store, Inc. 941,685 --------------- HOUSEHOLD DURABLES -- 4.7% 1,549 Cavco Industries, Inc. (a) 364,015 26,234 Century Communities, Inc. 1,821,951 27,744 La-Z-Boy, Inc. 931,644 34,501 M.D.C. Holdings, Inc. 1,839,593 29,750 M/I Homes, Inc. (a) 1,925,123 18,559 Meritage Homes Corp. (a) 2,015,136 66,071 Taylor Morrison Home Corp. (a) 1,772,024 81,450 Tri Pointe Homes, Inc. (a) 1,964,574 --------------- 12,634,060 --------------- HOUSEHOLD PRODUCTS -- 0.9% 21,270 Central Garden & Pet Co., Class A (a) 921,203 16,425 Spectrum Brands Holdings, Inc. 1,434,724 --------------- 2,355,927 --------------- INSURANCE -- 5.9% 53,999 American Equity Investment Life Holding Co. 1,732,828 11,746 American National Group, Inc. 1,937,855 6,604 Argo Group International Holdings Ltd. 344,266 36,755 Assured Guaranty Ltd. 1,757,256 7,526 Brighthouse Financial, Inc. (a) 324,070 73,888 CNO Financial Group, Inc. 1,687,602 447,533 Genworth Financial, Inc., Class A (a) 1,494,760 37,310 Horace Mann Educators Corp. 1,485,311 26,876 Mercury General Corp. 1,634,867 30,784 Stewart Information Services Corp. 1,816,564 1,524 White Mountains Insurance Group Ltd. 1,724,513 --------------- 15,939,892 --------------- IT SERVICES -- 0.4% 6,694 Alliance Data Systems Corp. 624,215 7,257 CSG Systems International, Inc. 329,178 --------------- 953,393 --------------- MACHINERY -- 2.3% 2,243 Alamo Group, Inc. 329,205 7,823 Albany International Corp., Class A 675,516 5,439 Astec Industries, Inc. 333,465 6,688 Barnes Group, Inc. 338,881 8,507 Federal Signal Corp. 336,962 16,015 Greenbrier (The) Cos., Inc. 685,442 15,839 Hillenbrand, Inc. 717,507 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 4,691 Hyster-Yale Materials Handling, Inc. $ 336,063 9,537 Kennametal, Inc. 345,716 14,618 Meritor, Inc. (a) 355,656 23,719 Mueller Industries, Inc. 1,029,405 5,615 SPX Corp. (a) 374,296 4,291 Tennant Co. 339,504 --------------- 6,197,618 --------------- MARINE -- 0.4% 16,950 Kirby Corp. (a) 981,575 --------------- MEDIA -- 1.8% 15,377 AMC Networks, Inc., Class A (a) 769,465 74,592 Gray Television, Inc. 1,653,704 11,609 John Wiley & Sons, Inc., Class A 682,377 93,037 TEGNA, Inc. 1,648,616 --------------- 4,754,162 --------------- METALS & MINING -- 1.8% 9,295 Alcoa Corp. (a) 373,194 56,816 Commercial Metals Co. 1,863,565 4,548 Materion Corp. 324,545 19,914 Warrior Met Coal, Inc. 371,795 28,522 Worthington Industries, Inc. 1,824,552 --------------- 4,757,651 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 3.2% 87,547 Apollo Commercial Real Estate Finance, Inc. 1,332,466 115,900 Chimera Investment Corp. 1,706,048 29,686 Ladder Capital Corp. 339,014 380,260 MFA Financial, Inc. 1,775,814 390,476 New York Mortgage Trust, Inc. 1,706,380 82,872 PennyMac Mortgage Investment Trust 1,634,236 --------------- 8,493,958 --------------- MULTILINE RETAIL -- 1.1% 26,444 Big Lots, Inc. 1,523,439 7,722 Dillard's, Inc., Class A 1,415,211 --------------- 2,938,650 --------------- MULTI-UTILITIES -- 1.1% 32,721 Avista Corp. 1,401,441 23,182 NorthWestern Corp. 1,437,052 --------------- 2,838,493 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.8% 102,226 CNX Resources Corp. (a) 1,236,935 205,098 Equitrans Midstream Corp. 1,685,905 7,478 PDC Energy, Inc. 295,755 44,011 World Fuel Services Corp. 1,516,619 --------------- 4,735,214 --------------- PAPER & FOREST PRODUCTS -- 0.5% 34,583 Schweitzer-Mauduit International, Inc. 1,360,149 --------------- Page 88 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS -- 0.5% 7,800 Edgewell Personal Care Co. $ 320,424 4,762 Inter Parfums, Inc. 366,055 6,811 USANA Health Sciences, Inc. (a) 648,884 --------------- 1,335,363 --------------- PHARMACEUTICALS -- 1.4% 130,165 Innoviva, Inc. (a) 1,845,739 19,727 Prestige Consumer Healthcare, Inc. (a) 1,036,654 33,369 Supernus Pharmaceuticals, Inc. (a) 878,606 --------------- 3,760,999 --------------- PROFESSIONAL SERVICES -- 0.9% 21,307 CBIZ, Inc. (a) 689,068 6,971 Huron Consulting Group, Inc. (a) 342,485 3,906 ICF International, Inc. 357,673 4,723 Korn Ferry 324,659 8,075 ManTech International Corp., Class A 706,240 --------------- 2,420,125 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% 35,143 Kennedy-Wilson Holdings, Inc. 709,537 8,818 Marcus & Millichap, Inc. (a) 350,868 95,801 Realogy Holdings Corp. (a) 1,697,594 --------------- 2,757,999 --------------- ROAD & RAIL -- 3.4% 24,001 ArcBest Corp. 1,418,699 101,896 Heartland Express, Inc. 1,735,289 105,850 Marten Transport Ltd. 1,674,547 13,827 Ryder System, Inc. 1,052,926 80,180 Schneider National, Inc., Class B 1,799,239 31,366 Werner Enterprises, Inc. 1,433,740 --------------- 9,114,440 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.2% 17,280 Axcelis Technologies, Inc. (a) 666,144 --------------- SOFTWARE -- 0.5% 41,188 Ebix, Inc. 1,244,701 --------------- SPECIALTY RETAIL -- 4.4% 22,127 Abercrombie & Fitch Co., Class A (a) 836,622 8,151 Asbury Automotive Group, Inc. (a) 1,674,705 20,653 Buckle (The), Inc. 869,078 11,296 Group 1 Automotive, Inc. 1,962,567 26,448 Guess?, Inc. 590,319 10,467 Murphy USA, Inc. 1,543,987 31,627 Sally Beauty Holdings, Inc. (a) 598,383 12,716 Signet Jewelers Ltd. 818,148 31,204 Sonic Automotive, Inc., Class A 1,702,178 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 33,868 Urban Outfitters, Inc. (a) $ 1,259,212 --------------- 11,855,199 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 29,206 Super Micro Computer, Inc. (a) 1,110,996 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 53,124 G-III Apparel Group Ltd. (a) 1,586,283 6,067 Kontoor Brands, Inc. 335,990 --------------- 1,922,273 --------------- THRIFTS & MORTGAGE FINANCE -- 2.8% 29,069 Capitol Federal Financial, Inc. 322,375 52,803 Mr. Cooper Group, Inc. (a) 1,963,216 77,636 NMI Holdings, Inc., Class A (a) 1,709,545 51,191 Northwest Bancshares, Inc. 681,352 44,887 Provident Financial Services, Inc. 969,559 32,334 Washington Federal, Inc. 1,043,418 22,056 WSFS Financial Corp. 965,612 --------------- 7,655,077 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.0% 7,661 Applied Industrial Technologies, Inc. 687,192 13,108 Beacon Roofing Supply, Inc. (a) 701,016 15,783 GATX Corp. 1,455,982 21,347 GMS, Inc. (a) 1,048,778 12,591 McGrath RentCorp 987,386 32,289 Rush Enterprises, Inc., Class A 1,517,260 33,341 Triton International Ltd. 1,760,071 --------------- 8,157,685 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.3% 77,024 Telephone and Data Systems, Inc. 1,721,486 48,074 United States Cellular Corp. (a) 1,747,971 --------------- 3,469,457 --------------- TOTAL COMMON STOCKS -- 99.9% 268,625,098 (Cost $261,907,344) --------------- MONEY MARKET FUNDS -- 0.5% 1,339,894 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 1,339,894 (Cost $1,339,894) --------------- TOTAL INVESTMENTS -- 100.4% 269,964,992 (Cost $263,247,238) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (973,795) --------------- NET ASSETS -- 100.0% $ 268,991,197 =============== See Notes to Financial Statements Page 89 <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 (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 $1,301,140 and the total value of the collateral held by the Fund is $1,339,894. (c) Rate shown reflects yield as of July 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $265,929,604. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $16,341,961 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $12,306,573. The net unrealized appreciation was $4,035,388. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 268,625,098 $ -- $ -- Money Market Funds 1,339,894 -- -- ------------------------------------------------ Total Investments $ 269,964,992 $ -- $ -- ================================================ * 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) $ 1,301,140 Non-cash Collateral(2) (1,301,140) --------------- 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 July 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 90 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.7% 5,076 AeroVironment, Inc. (a) $ 513,184 36,387 Kratos Defense & Security Solutions, Inc. (a) 989,726 38,223 Maxar Technologies, Inc. 1,386,348 --------------- 2,889,258 --------------- AIR FREIGHT & LOGISTICS -- 0.1% 21,895 Air Transport Services Group, Inc. (a) 529,859 --------------- AUTO COMPONENTS -- 2.2% 14,714 Dorman Products, Inc. (a) 1,488,321 21,478 Gentherm, Inc. (a) 1,781,170 11,606 LCI Industries 1,692,387 8,574 Visteon Corp. (a) 977,865 30,906 XPEL, Inc. (a) (b) 2,861,896 --------------- 8,801,639 --------------- BANKS -- 3.4% 63,231 Great Western Bancorp, Inc. 1,947,515 8,254 Lakeland Financial Corp. 551,945 35,140 Live Oak Bancshares, Inc. 2,115,076 14,894 Seacoast Banking Corp. of Florida 452,629 30,499 ServisFirst Bancshares, Inc. 2,167,869 9,152 Silvergate Capital Corp., Class A (a) 940,826 27,921 Triumph Bancorp, Inc. (a) 2,140,424 82,696 Umpqua Holdings Corp. 1,560,473 43,089 Veritex Holdings, Inc. 1,445,636 --------------- 13,322,393 --------------- BIOTECHNOLOGY -- 5.3% 9,230 Agios Pharmaceuticals, Inc. (a) 443,871 62,220 Alkermes PLC (a) 1,609,631 18,519 Arcus Biosciences, Inc. (a) 581,682 110,080 Athenex, Inc. (a) 415,002 131,147 BioCryst Pharmaceuticals, Inc. (a) 2,114,090 15,906 Bluebird Bio, Inc. (a) 404,171 69,445 Dicerna Pharmaceuticals, Inc. (a) 2,604,882 77,177 ImmunoGen, Inc. (a) 432,963 54,866 Inovio Pharmaceuticals, Inc. (a) (c) 460,874 25,471 Intercept Pharmaceuticals, Inc. (a) 440,139 80,551 Ironwood Pharmaceuticals, Inc. (a) 1,068,912 7,904 Ligand Pharmaceuticals, Inc. (a) 897,183 18,931 MacroGenics, Inc. (a) 472,518 124,755 Organogenesis Holdings, Inc. (a) 1,913,742 26,689 REGENXBIO, Inc. (a) 862,588 43,465 Seres Therapeutics, Inc. (a) 308,601 157,455 Sorrento Therapeutics, Inc. (a) (c) 1,292,706 94,109 Translate Bio, Inc. (a) 2,601,173 67,899 Vaxart, Inc. (a) (c) 488,194 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 29,060 Vericel Corp. (a) $ 1,538,436 --------------- 20,951,358 --------------- BUILDING PRODUCTS -- 1.1% 142,567 Cornerstone Building Brands, Inc. (a) 2,397,977 8,750 CSW Industrials, Inc. 1,035,037 13,589 Gibraltar Industries, Inc. (a) 1,014,827 --------------- 4,447,841 --------------- CAPITAL MARKETS -- 4.5% 20,398 Artisan Partners Asset Management, Inc., Class A 980,940 34,331 B. Riley Financial, Inc. 2,319,402 88,497 Brightsphere Investment Group, Inc. 2,211,540 12,627 Cohen & Steers, Inc. 1,050,693 31,462 Focus Financial Partners, Inc., Class A (a) 1,614,945 11,378 Hamilton Lane, Inc., Class A 1,058,154 25,354 Houlihan Lokey, Inc. 2,259,041 36,449 Moelis & Co., Class A 2,159,603 21,371 PJT Partners, Inc., Class A 1,670,571 9,331 Virtus Investment Partners, Inc. 2,576,569 --------------- 17,901,458 --------------- CHEMICALS -- 1.4% 126,662 Amyris, Inc. (a) 1,846,732 7,900 Balchem Corp. 1,065,631 18,752 Ingevity Corp. (a) 1,592,795 53,553 Livent Corp. (a) 1,044,819 --------------- 5,549,977 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 19,855 Brink's (The) Co. 1,528,041 8,020 Casella Waste Systems, Inc., Class A (a) 551,615 14,072 Cimpress PLC (a) 1,438,862 295,535 Pitney Bowes, Inc. 2,364,280 --------------- 5,882,798 --------------- COMMUNICATIONS EQUIPMENT -- 2.9% 54,561 Calix, Inc. (a) 2,552,364 121,621 CommScope Holding Co., Inc. (a) 2,573,500 101,637 Infinera Corp. (a) 1,007,223 50,405 Inseego Corp. (a) 438,019 39,813 NETGEAR, Inc. (a) 1,363,595 62,105 Plantronics, Inc. (a) 1,937,055 86,398 Viavi Solutions, Inc. (a) 1,441,983 --------------- 11,313,739 --------------- CONSTRUCTION & ENGINEERING -- 1.5% 41,326 Ameresco, Inc., Class A (a) 2,832,071 73,037 API Group Corp. (a) (b) (d) 1,674,008 16,148 NV5 Global, Inc. (a) 1,534,060 --------------- 6,040,139 --------------- See Notes to Financial Statements Page 91 <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS -- 0.6% 74,370 Summit Materials, Inc., Class A (a) $ 2,498,832 --------------- CONTAINERS & PACKAGING -- 0.7% 103,547 Ranpak Holdings Corp. (a) 2,652,874 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 24,881 2U, Inc. (a) 1,079,835 57,371 WW International, Inc. (a) 1,763,585 --------------- 2,843,420 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 13,488 Cogent Communications Holdings, Inc. 1,046,804 147,051 Liberty Latin America Ltd., Class C (a) 2,033,715 --------------- 3,080,519 --------------- ELECTRICAL EQUIPMENT -- 1.4% 36,503 Atkore, Inc. (a) 2,741,740 31,509 TPI Composites, Inc. (a) 1,233,262 14,429 Vicor Corp. (a) 1,668,137 --------------- 5,643,139 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 10,567 Badger Meter, Inc. 1,067,584 10,373 Itron, Inc. (a) 1,022,985 42,054 nLight, Inc. (a) 1,458,853 10,199 OSI Systems, Inc. (a) 1,020,410 14,819 PAR Technology Corp. (a) 904,700 7,603 Rogers Corp. (a) 1,449,132 --------------- 6,923,664 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 101,048 ChampionX Corp. (a) 2,348,356 --------------- ENTERTAINMENT -- 0.2% 17,912 World Wrestling Entertainment, Inc., Class A 884,495 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.6% 21,895 CareTrust REIT, Inc. 528,107 18,167 Corporate Office Properties Trust 534,837 262,461 DigitalBridge Group, Inc. (a) 1,826,729 56,429 Essential Properties Realty Trust, Inc. 1,681,584 18,420 Four Corners Property Trust, Inc. 528,838 39,663 Industrial Logistics Properties Trust 1,074,867 69,320 Kite Realty Group Trust 1,397,491 41,014 National Storage Affiliates Trust 2,221,728 28,703 PotlatchDeltic Corp. 1,490,834 6,441 Ryman Hospitality Properties, Inc. (a) 494,025 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 109,997 Tanger Factory Outlet Centers, Inc. (c) $ 1,888,649 48,021 Uniti Group, Inc. 562,326 --------------- 14,230,015 --------------- FOOD & STAPLES RETAILING -- 1.0% 11,388 PriceSmart, Inc. 1,021,959 31,202 Rite Aid Corp. (a) 474,270 70,090 United Natural Foods, Inc. (a) 2,321,381 --------------- 3,817,610 --------------- FOOD PRODUCTS -- 1.1% 63,215 B&G Foods, Inc. (c) 1,815,535 70,985 Simply Good Foods (The) Co. (a) 2,660,518 --------------- 4,476,053 --------------- GAS UTILITIES -- 0.4% 58,842 South Jersey Industries, Inc. 1,481,053 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.4% 67,668 Alphatec Holdings, Inc. (a) 997,426 19,235 AtriCure, Inc. (a) 1,624,588 24,060 Axonics, Inc. (a) 1,634,877 34,277 BioLife Solutions, Inc. (a) 1,607,591 11,929 Cardiovascular Systems, Inc. (a) 480,620 41,075 CryoPort, Inc. (a) 2,535,149 11,279 Heska Corp. (a) 2,714,855 16,037 Merit Medical Systems, Inc. (a) 1,124,034 1,875 Mesa Laboratories, Inc. 552,206 --------------- 13,271,346 --------------- HEALTH CARE PROVIDERS & SERVICES -- 5.9% 5,829 Addus HomeCare Corp. (a) 505,899 6,939 Castle Biosciences, Inc. (a) 484,689 15,440 CorVel Corp. (a) 2,174,261 28,103 Fulgent Genetics, Inc. (a) (c) 2,592,502 50,604 MEDNAX, Inc. (a) 1,473,588 12,190 ModivCare, Inc. (a) 2,072,300 11,078 National Research Corp. 584,697 15,659 Ontrak, Inc. (a) (c) 422,950 118,506 Option Care Health, Inc. (a) 2,455,444 61,225 Owens & Minor, Inc. 2,831,656 34,117 Patterson Cos., Inc. 1,062,062 25,351 Pennant Group (The), Inc. (a) 867,511 61,329 Select Medical Holdings Corp. 2,419,429 38,905 Surgery Partners, Inc. (a) 2,122,657 8,944 US Physical Therapy, Inc. 1,056,823 --------------- 23,126,468 --------------- HEALTH CARE TECHNOLOGY -- 3.2% 140,026 Allscripts Healthcare Solutions, Inc. (a) 2,391,644 122,714 Evolent Health, Inc., Class A (a) 2,815,059 37,352 Health Catalyst, Inc. (a) 2,168,657 60,842 Inovalon Holdings, Inc., Class A (a) 2,304,695 16,916 Phreesia, Inc. (a) 1,156,209 Page 92 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY (CONTINUED) 20,733 Tabula Rasa HealthCare, Inc. (a) (c) $ 890,690 26,019 Vocera Communications, Inc. (a) 1,091,757 --------------- 12,818,711 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.1% 9,396 Bally's Corp. (a) 462,753 76,401 Bloomin' Brands, Inc. (a) 1,919,957 28,158 Cheesecake Factory (The), Inc. (a) 1,274,431 18,603 Jack in the Box, Inc. 2,025,123 19,852 Papa John's International, Inc. 2,265,510 60,987 Red Rock Resorts, Inc., Class A (a) 2,402,888 30,553 SeaWorld Entertainment, Inc. (a) 1,448,518 11,750 Six Flags Entertainment Corp. (a) 488,212 --------------- 12,287,392 --------------- HOUSEHOLD DURABLES -- 3.0% 16,942 Installed Building Products, Inc. 2,033,040 11,101 iRobot Corp. (a) 971,337 16,006 LGI Homes, Inc. (a) 2,735,425 48,627 Skyline Champion Corp. (a) 2,742,563 58,857 Sonos, Inc. (a) 1,964,647 64,240 Tupperware Brands Corp. (a) 1,341,974 --------------- 11,788,986 --------------- HOUSEHOLD PRODUCTS -- 0.3% 24,124 Energizer Holdings, Inc. 1,033,713 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 19,206 Clearway Energy, Inc., Class C 550,828 --------------- INSURANCE -- 0.5% 11,985 Goosehead Insurance, Inc., Class A 1,440,477 6,737 Palomar Holdings, Inc. (a) 548,594 --------------- 1,989,071 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 19,386 Cargurus, Inc. (a) 554,440 9,747 ZoomInfo Technologies, Inc., Class A (a) 523,901 --------------- 1,078,341 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.2% 28,113 Overstock.com, Inc. (a) 1,957,789 25,737 RealReal (The), Inc. (a) 424,918 21,123 Shutterstock, Inc. 2,291,634 --------------- 4,674,341 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES -- 3.7% 34,953 EVERTEC, Inc. $ 1,527,446 19,511 ExlService Holdings, Inc. (a) 2,209,035 32,232 Perficient, Inc. (a) 3,039,155 16,277 Shift4 Payments, Inc., Class A (a) 1,451,746 49,114 Switch, Inc., Class A 1,014,695 25,142 TTEC Holdings, Inc. 2,627,339 81,922 Unisys Corp. (a) 1,830,957 67,448 Verra Mobility Corp. (a) 1,032,629 --------------- 14,733,002 --------------- LEISURE PRODUCTS -- 1.9% 41,974 Acushnet Holdings Corp. 2,150,328 61,470 Callaway Golf Co. (a) 1,947,370 14,141 Malibu Boats, Inc., Class A (a) 1,183,036 56,001 Vista Outdoor, Inc. (a) 2,261,880 --------------- 7,542,614 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 141,437 Bionano Genomics, Inc. (a) (c) 838,722 22,446 Codexis, Inc. (a) 474,957 7,847 NanoString Technologies, Inc. (a) 486,043 20,103 Personalis, Inc. (a) 421,962 26,013 Quanterix Corp. (a) 1,382,591 --------------- 3,604,275 --------------- MACHINERY -- 3.5% 31,892 Altra Industrial Motion Corp. 1,998,990 61,381 Evoqua Water Technologies Corp. (a) 2,026,187 18,926 Franklin Electric Co., Inc. 1,547,390 365,040 Ideanomics, Inc. (a) (c) 865,145 5,888 Kadant, Inc. 1,060,605 12,545 Lindsay Corp. 2,015,856 105,809 Mueller Water Products, Inc., Class A 1,568,089 3,469 Omega Flex, Inc. 544,009 14,210 Watts Water Technologies, Inc., Class A 2,142,300 --------------- 13,768,571 --------------- MARINE -- 0.5% 32,396 Matson, Inc. 2,174,420 --------------- MEDIA -- 1.2% 4,008 Cardlytics, Inc. (a) 504,848 78,018 Sinclair Broadcast Group, Inc., Class A 2,207,129 26,758 TechTarget, Inc. (a) 1,955,475 --------------- 4,667,452 --------------- METALS & MINING -- 1.2% 73,179 Allegheny Technologies, Inc. (a) 1,502,365 116,746 Coeur Mining, Inc. (a) 880,265 348,365 Hecla Mining Co. 2,330,562 --------------- 4,713,192 --------------- See Notes to Financial Statements Page 93 <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.8% 116,357 Arbor Realty Trust, Inc. $ 2,127,006 97,896 Broadmark Realty Capital, Inc. 1,015,181 --------------- 3,142,187 --------------- MULTILINE RETAIL -- 0.5% 58,785 Franchise Group, Inc. 1,996,339 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 172,438 Antero Resources Corp. (a) 2,345,157 102,142 Clean Energy Fuels Corp. (a) 767,087 69,958 Gevo, Inc. (a) 426,044 132,659 Magnolia Oil & Gas Corp., Class A (a) 1,857,226 71,978 Matador Resources Co. 2,224,120 154,644 Range Resources Corp. (a) 2,355,228 16,629 Renewable Energy Group, Inc. (a) 1,018,526 457,109 Southwestern Energy Co. (a) 2,152,983 --------------- 13,146,371 --------------- PERSONAL PRODUCTS -- 1.2% 9,159 Medifast, Inc. 2,614,986 36,598 Nu Skin Enterprises, Inc., Class A 1,964,947 --------------- 4,579,933 --------------- PHARMACEUTICALS -- 1.1% 108,671 Endo International PLC (a) 549,875 50,791 Intra-Cellular Therapies, Inc. (a) 1,743,655 35,867 Ocular Therapeutix, Inc. (a) 394,896 3,597 Reata Pharmaceuticals, Inc., Class A (a) 450,740 34,978 Revance Therapeutics, Inc. (a) 1,017,160 --------------- 4,156,326 --------------- PROFESSIONAL SERVICES -- 0.4% 16,884 Insperity, Inc. 1,672,360 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 34,203 St Joe (The) Co. 1,548,370 --------------- ROAD & RAIL -- 0.7% 33,273 Avis Budget Group, Inc. (a) 2,754,006 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.0% 20,282 ACM Research, Inc., Class A (a) 1,883,386 9,719 Ambarella, Inc. (a) 957,224 10,751 CEVA, Inc. (a) 533,680 28,178 Cohu, Inc. (a) 997,783 13,946 FormFactor, Inc. (a) 519,628 9,856 Impinj, Inc. (a) 453,376 60,994 MaxLinear, Inc. (a) 2,941,741 35,482 Onto Innovation, Inc. (a) 2,486,579 87,449 Rambus, Inc. (a) 2,069,043 16,375 SiTime Corp. (a) 2,221,105 13,328 Synaptics, Inc. (a) 2,024,790 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 48,243 Ultra Clean Holdings, Inc. (a) $ 2,605,604 --------------- 19,693,939 --------------- SOFTWARE -- 7.7% 22,124 Altair Engineering, Inc., Class A (a) 1,543,370 77,084 Avaya Holdings Corp. (a) 1,866,974 59,716 Box, Inc., Class A (a) 1,428,407 33,153 CommVault Systems, Inc. (a) 2,506,035 40,200 Cornerstone OnDemand, Inc. (a) 1,927,188 32,064 Domo, Inc., Class B (a) 2,832,213 20,894 InterDigital, Inc. 1,376,706 33,046 Marathon Digital Holdings, Inc. (a) (c) 913,061 28,762 Mimecast Ltd. (a) 1,597,729 14,837 Model N, Inc. (a) 480,274 22,415 Progress Software Corp. 1,021,900 40,502 Riot Blockchain, Inc. (a) (c) 1,334,541 28,986 Sprout Social, Inc., Class A (a) 2,575,116 5,093 SPS Commerce, Inc. (a) 554,882 51,870 Teradata Corp. (a) 2,575,864 12,356 Upland Software, Inc. (a) 444,816 143,892 Vonage Holdings Corp. (a) 2,051,900 68,604 Xperi Holding Corp. 1,424,905 35,587 Yext, Inc. (a) 463,699 88,448 Zuora, Inc., Class A (a) 1,529,266 --------------- 30,448,846 --------------- SPECIALTY RETAIL -- 2.9% 25,180 Blink Charging Co. (a) (c) 869,465 30,835 Boot Barn Holdings, Inc. (a) 2,664,760 63,227 Camping World Holdings, Inc., Class A 2,488,615 43,110 GrowGeneration Corp. (a) 1,753,284 28,750 Rent-A-Center, Inc. 1,645,075 18,857 Sleep Number Corp. (a) 1,870,803 --------------- 11,292,002 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 32,892 Axos Financial, Inc. (a) 1,573,882 51,193 Meta Financial Group, Inc. 2,544,292 19,864 Walker & Dunlop, Inc. 2,055,527 --------------- 6,173,701 --------------- TOBACCO -- 0.4% 107,903 Vector Group Ltd. 1,441,584 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 35,536 Boise Cascade Co. 1,817,667 41,566 Global Industrial Co. 1,642,688 23,130 Herc Holdings, Inc. (a) 2,869,045 --------------- 6,329,400 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.1% 13,287 Macquarie Infrastructure Corp. 524,837 --------------- Page 94 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) WATER UTILITIES -- 0.9% 6,389 American States Water Co. $ 564,277 18,668 California Water Service Group 1,170,110 6,223 Middlesex Water Co. 633,128 16,374 SJW Group 1,128,660 --------------- 3,496,175 --------------- TOTAL COMMON STOCKS -- 100.0% 394,729,588 (Cost $354,555,069) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.7% $ 333,332 Bank of America Corp., 0.05% (e), dated 07/30/21, due 08/02/21, with a maturity value of $333,332. Collateralized by U.S. Treasury Securities, interest rate of 0.125% to 0.625%, due 07/15/2022 to 07/15/2025. The value of the collateral including accrued interest is $339,999. (f) 333,332 5,209,889 Citigroup, Inc., 0.05% (e), dated 07/30/21, due 08/02/21, with a maturity value of $5,209,896. Collateralized by U.S. Treasury Securities, interest rate of 0.125% to 7.250%, due 08/31/2021 to 02/15/2050. The value of the collateral including accrued interest is $5,314,087. (f) 5,209,889 5,209,889 JPMorgan Chase & Co., 0.05% (e), dated 07/30/21, due 08/02/21, with a maturity value of $5,209,896. Collateralized by U.S. Treasury Securities, interest rate of 0.000% to 2.125%, due 07/31/2021 to 05/31/2026. The value of the collateral including accrued interest is $5,314,087. (f) 5,209,889 --------------- TOTAL REPURCHASE AGREEMENTS -- 2.7% 10,753,110 (Cost $10,753,110) --------------- TOTAL INVESTMENTS -- 102.7% 405,482,698 (Cost $365,308,179) (g) NET OTHER ASSETS AND LIABILITIES -- (2.7)% (10,655,780) --------------- NET ASSETS -- 100.0% $ 394,826,918 =============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the "1933 Act"). (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statement. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $10,371,696 and the total value of the collateral held by the Fund is $10,753,110. (d) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (e) Rate shown reflects yield as of July 31, 2021. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for federal income tax purposes is $366,832,660. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $55,188,683 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $16,538,645. The net unrealized appreciation was $38,650,038. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 394,729,588 $ -- $ -- Repurchase Agreements -- 10,753,110 -- ------------------------------------------------ Total Investments $ 394,729,588 $ 10,753,110 $ -- ================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 95 <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2021 --------------------------------- 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) $ 10,371,696 Non-cash Collateral(2) (10,371,696) --------------- 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 July 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. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 10,753,110 Non-cash Collateral(4) (10,753,110) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 96 See Notes to Financial Statements <PAGE> This page is intentionally left blank. <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2021 <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............................................... $ 1,195,223,571 $ 1,036,443,252 $ 929,628,395 Cash................................................................ -- -- -- Receivables: Capital shares sold........................................... -- -- -- Investment securities sold.................................... -- -- 9,179,708 Dividends..................................................... 980,415 511,694 235,170 Securities lending income..................................... 4,417 9,613 21,873 Prepaid expenses.................................................... 3,828 2,341 1,700 ---------------- ---------------- ---------------- Total Assets.................................................. 1,196,212,231 1,036,966,900 939,066,846 ---------------- ---------------- ---------------- LIABILITIES: Payables: Capital shares redeemed....................................... -- -- 9,183,937 Investment securities purchased............................... -- -- -- Collateral for securities on loan............................. 5,557,401 9,012,662 11,567,801 Investment advisory fees...................................... 503,617 432,309 402,926 Shareholder reporting fees.................................... 38,318 36,086 33,534 Licensing fees................................................ 36,799 31,126 29,477 Audit and tax fees............................................ 29,991 29,991 29,991 Trustees' fees................................................ 2,321 2,274 2,269 Other liabilities................................................... 135,257 119,590 117,324 ---------------- ---------------- ---------------- Total Liabilities............................................. 6,303,704 9,664,038 21,367,259 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,189,908,527 $ 1,027,302,862 $ 917,699,587 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,270,946,377 $ 1,100,644,892 $ 1,075,150,510 Par value........................................................... 137,000 103,500 100,500 Accumulated distributable earnings (loss)........................... (81,174,850) (73,445,530) (157,551,423) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,189,908,527 $ 1,027,302,862 $ 917,699,587 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 86.85 $ 99.26 $ 91.31 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 13,700,002 10,350,002 10,050,002 ================ ================ ================ Investments, at cost................................................ $ 968,791,267 $ 859,967,778 $ 808,184,304 ================ ================ ================ Securities on loan, at value........................................ $ 5,264,140 $ 8,678,463 $ 11,247,640 ================ ================ ================ </TABLE> Page 98 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> $ 1,073,787,029 $ 1,199,029,284 $ 167,813,520 $ 223,628,755 $ 140,623,392 $ 471,638,835 -- -- -- -- 139,775 179,183 13,160,045 -- -- -- -- -- -- -- -- -- -- -- 1,305,684 373,078 144,274 60,452 95,524 102,368 5,396 5,100 622 3,628 434 6,523 3,472 1,985 253 377 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,088,261,626 1,199,409,447 167,958,669 223,693,212 140,859,125 471,926,909 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- -- -- -- -- -- 13,117,584 -- -- -- -- -- 8,494,532 4,562,306 868,039 2,287,678 -- 8,090,705 447,023 502,241 78,472 93,240 85,604 264,084 35,009 41,126 5,081 10,045 -- -- 32,427 35,156 1,879 4,272 -- -- 29,991 29,991 29,991 29,991 -- -- 2,273 2,323 2,110 2,141 -- -- 121,970 125,712 30,868 37,114 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 22,280,809 5,298,855 1,016,440 2,464,481 85,604 8,354,789 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,065,980,817 $ 1,194,110,592 $ 166,942,229 $ 221,228,731 $ 140,773,521 $ 463,572,120 ================ ================ ================ ================ ================ ================ $ 1,152,533,226 $ 1,118,765,906 $ 187,634,414 $ 214,589,274 $ 160,611,692 $ 493,903,471 162,000 106,000 23,500 18,500 31,500 63,000 (86,714,409) 75,238,686 (20,715,685) 6,620,957 (19,869,671) (30,394,351) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,065,980,817 $ 1,194,110,592 $ 166,942,229 $ 221,228,731 $ 140,773,521 $ 463,572,120 ================ ================ ================ ================ ================ ================ $ 65.80 $ 112.65 $ 71.04 $ 119.58 $ 44.69 $ 73.58 ================ ================ ================ ================ ================ ================ 16,200,002 10,600,002 2,350,002 1,850,002 3,150,002 6,300,002 ================ ================ ================ ================ ================ ================ $ 916,650,766 $ 941,146,813 $ 152,149,066 $ 176,129,497 $ 132,267,819 $ 411,081,849 ================ ================ ================ ================ ================ ================ $ 8,002,960 $ 4,425,514 $ 823,742 $ 2,204,264 $ -- $ 7,746,456 ================ ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 99 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JULY 31, 2021 <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............................................... $ 269,964,992 $ 405,482,698 Cash................................................................ 477,592 216,709 Receivables: Capital shares sold........................................... -- -- Investment securities sold.................................... 2,510,270 10,729,791 Dividends..................................................... 69,789 111,663 Securities lending income..................................... 689 20,422 Prepaid expenses.................................................... -- -- ---------------- ---------------- Total Assets.................................................. 273,023,332 416,561,283 ---------------- ---------------- LIABILITIES: Payables: Capital shares redeemed....................................... 2,513,881 10,732,524 Investment securities purchased............................... -- -- Collateral for securities on loan............................. 1,339,894 10,753,110 Investment advisory fees...................................... 178,360 248,731 Shareholder reporting fees.................................... -- -- Licensing fees................................................ -- -- Audit and tax fees............................................ -- -- Trustees' fees................................................ -- -- Other liabilities................................................... -- -- ---------------- ---------------- Total Liabilities............................................. 4,032,135 21,734,365 ---------------- ---------------- NET ASSETS.......................................................... $ 268,991,197 $ 394,826,918 ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 305,546,708 $ 477,154,747 Par value........................................................... 53,500 55,500 Accumulated distributable earnings (loss)........................... (36,609,011) (82,383,329) ---------------- ---------------- NET ASSETS.......................................................... $ 268,991,197 $ 394,826,918 ================ ================ NET ASSET VALUE, per share.......................................... $ 50.28 $ 71.14 ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 5,350,002 5,550,002 ================ ================ Investments, at cost................................................ $ 263,247,238 $ 365,308,179 ================ ================ Securities on loan, at value........................................ $ 1,301,140 $ 10,371,696 ================ ================ </TABLE> Page 100 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2021 <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........................................................... $ 15,997,910 $ 11,069,879 $ 9,326,267 Securities lending income (net of fees)............................. 40,920 119,140 459,319 Foreign withholding tax............................................. (375) (8,543) (7,061) ---------------- ---------------- ---------------- Total investment income....................................... 16,038,455 11,180,476 9,778,525 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 5,260,115 4,053,936 3,579,316 Accounting and administration fees.................................. 521,510 408,594 362,352 Licensing fees...................................................... 112,702 88,579 79,086 Custodian fees...................................................... 92,129 76,143 73,197 Shareholder reporting fees.......................................... 79,813 74,757 72,964 Transfer agent fees................................................. 50,820 40,505 35,850 Audit and tax fees.................................................. 30,261 30,315 30,250 Legal fees.......................................................... 23,347 18,866 17,232 Trustees' fees and expenses......................................... 6,921 6,772 6,735 Listing fees........................................................ 5,308 4,982 3,885 Registration and filing fees........................................ -- -- -- Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... 16,094 11,450 8,349 ---------------- ---------------- ---------------- Total expenses................................................ 6,199,020 4,814,899 4,269,216 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 9,839,435 6,365,577 5,509,309 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 26,859,066 15,873,784 13,153,781 In-kind redemptions........................................... 170,514,701 166,136,711 178,038,444 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 197,373,767 182,010,495 191,192,225 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. 146,237,892 136,431,833 92,126,425 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 343,611,659 318,442,328 283,318,650 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 353,451,094 $ 324,807,905 $ 288,827,959 ================ ================ ================ </TABLE> See Notes to Financial Statements Page 101 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE YEAR ENDED JULY 31, 2021 <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........................................................... $ 19,620,212 $ 5,552,944 $ 1,980,047 Securities lending income (net of fees)............................. 43,617 22,978 9,388 Foreign withholding tax............................................. -- -- (806) ---------------- ---------------- ---------------- Total investment income....................................... 19,663,829 5,575,922 1,988,629 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 4,172,945 5,385,568 469,032 Accounting and administration fees.................................. 418,493 533,180 50,683 Licensing fees...................................................... 90,959 115,211 16,881 Custodian fees...................................................... 69,350 83,409 24,670 Shareholder reporting fees.......................................... 68,313 97,095 18,238 Transfer agent fees................................................. 41,503 51,993 4,701 Audit and tax fees.................................................. 30,171 30,068 30,500 Legal fees.......................................................... 18,972 -- 3,067 Trustees' fees and expenses......................................... 6,745 7,030 6,338 Listing fees........................................................ 5,297 5,104 6,552 Registration and filing fees........................................ -- 24,248 -- Expenses previously waived or reimbursed............................ -- -- 17,635 Other expenses...................................................... 10,929 16,254 3,116 ---------------- ---------------- ---------------- Total expenses................................................ 4,933,677 6,349,160 651,413 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 14,730,152 (773,238) 1,337,216 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 65,570,476 5,848,983 5,755,959 In-kind redemptions........................................... 10,502,739 316,489,995 2,946,915 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 76,073,215 322,338,978 8,702,874 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. 191,447,205 34,243,661 18,733,553 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 267,520,420 356,582,639 27,436,427 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 282,250,572 $ 355,809,401 $ 28,773,643 ================ ================ ================ </TABLE> (a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 102 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> $ 1,030,162 $ 1,547,824 $ 1,891,604 $ 3,165,538 $ 1,962,487 62,789 5,316 123,307 35,605 290,133 (4) (1,365) -- (1,945) (111) ---------------- ---------------- ---------------- ---------------- ---------------- 1,092,947 1,551,775 2,014,911 3,199,198 2,252,509 ---------------- ---------------- ---------------- ---------------- ---------------- 1,007,781 534,319 (a) 3,038,601 (a) 1,257,285 (a) 2,203,504 (a) 104,723 -- -- -- -- 27,656 -- -- -- -- 42,582 -- -- -- -- 30,212 -- -- -- -- 10,090 -- -- -- -- 30,311 -- -- -- -- 5,075 -- -- -- -- 6,434 -- -- -- -- 6,588 -- -- -- -- -- -- -- -- -- -- -- -- -- -- 4,743 -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 1,276,195 534,319 3,038,601 1,257,285 2,203,504 ---------------- ---------------- ---------------- ---------------- ---------------- (183,248) 1,017,456 (1,023,690) 1,941,913 49,005 ---------------- ---------------- ---------------- ---------------- ---------------- 1,777,759 (917,911) (13,776,493) (5,113,139) (9,094,086) 63,170,244 10,638,941 184,793,795 48,842,840 97,003,065 ---------------- ---------------- ---------------- ---------------- ---------------- 64,948,003 9,721,030 171,017,302 43,729,701 87,908,979 ---------------- ---------------- ---------------- ---------------- ---------------- 7,972,067 12,493,205 (13,848,396) 6,337,206 14,992,709 ---------------- ---------------- ---------------- ---------------- ---------------- 72,920,070 22,214,235 157,168,906 50,066,907 102,901,688 ---------------- ---------------- ---------------- ---------------- ---------------- $ 72,736,822 $ 23,231,691 $ 156,145,216 $ 52,008,820 $ 102,950,693 ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 103 <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) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2021 7/31/2020 7/31/2021 7/31/2020 ----------------- ----------------- ----------------- ----------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 9,839,435 $ 17,509,928 $ 6,365,577 $ 9,831,102 Net realized gain (loss)................................ 197,373,767 (10,784,655) 182,010,495 (71,357,094) Net change in unrealized appreciation (depreciation).... 146,237,892 (46,535,745) 136,431,833 (23,184,194) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 353,451,094 (39,810,472) 324,807,905 (84,710,186) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (9,797,516) (18,540,837) (7,128,332) (11,195,657) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 483,630,605 240,421,955 626,570,191 6,753,067 Cost of shares redeemed................................. (562,355,482) (691,769,709) (506,859,355) (208,111,148) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (78,724,877) (451,347,754) 119,710,836 (201,358,081) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 264,928,701 (509,699,063) 437,390,409 (297,263,924) NET ASSETS: Beginning of period..................................... 924,979,826 1,434,678,889 589,912,453 887,176,377 --------------- --------------- --------------- --------------- End of period........................................... $ 1,189,908,527 $ 924,979,826 $ 1,027,302,862 $ 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............................................. 6,100,000 3,700,000 7,250,000 100,000 Shares redeemed......................................... (7,250,000) (11,950,000) (6,000,000) (3,700,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 13,700,002 14,850,002 10,350,002 9,100,002 =============== =============== =============== =============== </TABLE> Page 104 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) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2021 7/31/2020 7/31/2021 7/31/2020 7/31/2021 7/31/2020 7/31/2021 7/31/2020 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> <C> <C> $ 5,509,309 $ 4,460,056 $ 14,730,152 $ 19,367,531 $ (773,238) $ 7,413,475 $ 1,337,216 $ 1,323,010 191,192,225 (87,384,504) 76,073,215 (106,433,068) 322,338,978 41,472,460 8,702,874 (9,388,387) 92,126,425 13,740,440 191,447,205 (56,133,633) 34,243,661 80,486,123 18,733,553 (2,828,463) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 288,827,959 (69,184,008) 282,250,572 (143,199,170) 355,809,401 129,372,058 28,773,643 (10,893,840) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (5,553,651) (5,394,021) (14,484,287) (23,055,097) (444,000) (8,241,982) (1,263,172) (1,551,937) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 760,120,351 32,895,792 230,930,876 25,870,706 934,609,338 230,961,993 99,958,491 -- (523,165,471) (163,765,527) (49,732,235) (409,169,376) (1,085,011,131) (404,670,821) (11,914,066) (20,467,579) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 236,954,880 (130,869,735) 181,198,641 (383,298,670) (150,401,793) (173,708,828) 88,044,425 (20,467,579) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 520,229,188 (205,447,764) 448,964,926 (549,552,937) 204,963,608 (52,578,752) 115,554,896 (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 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 917,699,587 $ 397,470,399 $1,065,980,817 $ 617,015,891 $1,194,110,592 $ 989,146,984 $ 66,942,229 $ 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 9,350,000 600,000 3,800,000 500,000 9,900,000 3,000,000 1,450,000 -- (6,400,000) (3,250,000) (900,000) (9,300,000) (11,350,000) (5,550,000) (200,000) (450,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 10,050,002 7,100,002 16,200,002 13,300,002 10,600,002 12,050,002 2,350,002 1,100,002 ============== ============== ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 105 <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) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2021 7/31/2020 7/31/2021 7/31/2020 ----------------- ----------------- ----------------- ----------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ (183,248) $ 951,302 $ 1,017,456 $ 931,139 Net realized gain (loss)................................ 64,948,003 500,664 9,721,030 (8,378,179) Net change in unrealized appreciation (depreciation).... 7,972,067 10,219,297 12,493,205 (2,884,268) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 72,736,822 11,671,263 23,231,691 (10,331,308) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (257,400) (1,097,351) (943,116) (1,096,681) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 160,211,179 66,588,015 133,213,906 21,058,255 Cost of shares redeemed................................. (181,828,533) (92,750,744) (49,365,250) (30,467,047) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (21,617,354) (26,162,729) 83,848,656 (9,408,792) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 50,862,068 (15,588,817) 106,137,231 (20,836,781) NET ASSETS: Beginning of period..................................... 170,366,663 185,955,480 34,636,290 55,473,071 --------------- --------------- --------------- --------------- End of period........................................... $ 221,228,731 $ 170,366,663 $ 140,773,521 $ 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............................................. 1,550,000 850,000 3,100,000 700,000 Shares redeemed......................................... (1,750,000) (1,250,000) (1,200,000) (1,050,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 1,850,002 2,050,002 3,150,002 1,250,002 =============== =============== =============== =============== </TABLE> Page 106 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) ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2021 7/31/2020 7/31/2021 7/31/2020 7/31/2021 7/31/2020 -------------- -------------- -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> $ (1,023,690) $ 696,609 $ 1,941,913 $ 632,126 $ 49,005 $ 857,714 171,017,302 (8,655,479) 43,729,701 (15,405,299) 87,908,979 (31,811,152) (13,848,396) 37,231,806 6,337,206 4,825,237 14,992,709 3,251,788 -------------- -------------- -------------- -------------- -------------- -------------- 156,145,216 29,272,936 52,008,820 (9,947,936) 102,950,693 (27,701,650) -------------- -------------- -------------- -------------- -------------- -------------- (1,105,830) (906,911) (1,841,246) (854,116) (269,720) (937,821) -------------- -------------- -------------- -------------- -------------- -------------- 534,511,489 120,090,749 385,564,740 12,338,992 485,985,913 12,604,591 (564,127,777) (120,133,429) (212,916,907) (16,020,220) (340,543,806) (116,112,612) -------------- -------------- -------------- -------------- -------------- -------------- (29,616,288) (42,680) 172,647,833 (3,681,228) 145,442,107 (103,508,021) -------------- -------------- -------------- -------------- -------------- -------------- 125,423,098 28,323,345 222,815,407 (14,483,280) 248,123,080 (132,147,492) 338,149,022 309,825,677 46,175,790 60,659,070 146,703,838 278,851,330 -------------- -------------- -------------- -------------- -------------- -------------- $ 463,572,120 $ 338,149,022 $ 268,991,197 $ 46,175,790 $ 394,826,918 $ 146,703,838 ============== ============== ============== ============== ============== ============== 6,600,002 6,650,002 1,500,002 1,750,002 3,300,002 5,950,002 8,350,000 2,600,000 8,200,000 350,000 7,450,000 300,000 (8,650,000) (2,650,000) (4,350,000) (600,000) (5,200,000) (2,950,000) -------------- -------------- -------------- -------------- -------------- -------------- 6,300,002 6,600,002 5,350,002 1,500,002 5,550,002 3,300,002 ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 107 <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> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 62.29 $ 62.11 $ 60.79 $ 54.07 $ 46.93 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.71 0.93 0.77 0.69 0.61 Net realized and unrealized gain (loss) 24.55 0.20 1.28 6.69 7.16 ---------- ---------- ---------- ---------- ---------- Total from investment operations 25.26 1.13 2.05 7.38 7.77 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.70) (0.95) (0.73) (0.66) (0.63) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 86.85 $ 62.29 $ 62.11 $ 60.79 $ 54.07 ========== ========== ========== ========== ========== TOTAL RETURN (a) 40.77% 1.95% 3.48% 13.72% 16.68% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,189,909 $ 924,980 $1,434,679 $1,540,924 $1,554,447 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.61% Ratio of net expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.61% Ratio of net investment income (loss) to average net assets 0.94% 1.49% 1.29% 1.17% 1.21% Portfolio turnover rate (b) 91% 104% 102% 87% 90% </TABLE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) <TABLE> <CAPTION> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 64.83 $ 69.86 $ 69.63 $ 59.91 $ 52.80 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.70 0.85 0.63 0.61 0.56 Net realized and unrealized gain (loss) 34.51 (4.93) 0.16 9.71 7.12 ---------- ---------- ---------- ---------- ---------- Total from investment operations 35.21 (4.08) 0.79 10.32 7.68 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.78) (0.95) (0.56) (0.60) (0.57) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 99.26 $ 64.83 $ 69.86 $ 69.63 $ 59.91 ========== ========== ========== ========== ========== TOTAL RETURN (a) 54.62% (5.86)% 1.22% 17.30% 14.61% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,027,303 $ 589,912 $ 887,176 $ 901,732 $ 697,995 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.60% 0.61% 0.62% 0.63% Ratio of net expenses to average net assets 0.59% 0.60% 0.61% 0.62% 0.63% Ratio of net investment income (loss) to average net assets 0.79% 1.32% 0.94% 0.94% 1.00% Portfolio turnover rate (b) 114% 115% 114% 101% 103% </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) 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 CORE ALPHADEX(R) FUND (FYX) <TABLE> <CAPTION> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 55.98 $ 61.84 $ 66.80 $ 56.23 $ 48.91 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.61 0.51 0.60 0.52 0.41 Net realized and unrealized gain (loss) 35.35 (5.75) (4.98) 10.53 7.40 ---------- ---------- ---------- ---------- ---------- Total from investment operations 35.96 (5.24) (4.38) 11.05 7.81 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.63) (0.62) (0.58) (0.48) (0.49) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 91.31 $ 55.98 $ 61.84 $ 66.80 $ 56.23 ========== ========== ========== ========== ========== TOTAL RETURN (a) 64.45% (8.55)% (6.52)% 19.72%(b) 16.03% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 917,700 $ 397,470 $ 602,918 $ 728,102 $ 491,997 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% 0.61% 0.62% 0.63% 0.63% Ratio of net expenses to average net assets 0.60% 0.61% 0.62% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 0.77% 0.93% 0.96% 0.87% 0.78% Portfolio turnover rate (c) 116% 123% 117% 116% 111% </TABLE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) <TABLE> <CAPTION> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 46.39 $ 52.79 $ 54.07 $ 50.94 $ 41.98 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.01 1.11 1.02 1.02 0.77 Net realized and unrealized gain (loss) 19.41 (6.28) (1.43) 3.08 8.96 ---------- ---------- ---------- ---------- ---------- Total from investment operations 20.42 (5.17) (0.41) 4.10 9.73 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.01) (1.23) (0.87) (0.97) (0.77) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 65.80 $ 46.39 $ 52.79 $ 54.07 $ 50.94 ========== ========== ========== ========== ========== TOTAL RETURN (a) 44.43% (9.84)% (0.65)% 8.12% 23.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,065,981 $ 617,016 $1,166,569 $1,146,354 $1,056,997 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.60% 0.60% 0.61% 0.62% Ratio of net expenses to average net assets 0.59% 0.60% 0.60% 0.61% 0.62% Ratio of net investment income (loss) to average net assets 1.76% 2.12% 1.99% 1.92% 1.63% Portfolio turnover rate (c) 91% 94% 96% 82% 72% </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) 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 109 <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> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 82.09 $ 71.35 $ 66.91 $ 55.88 $ 51.56 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.07) 0.55 0.37 0.23 0.33 Net realized and unrealized gain (loss) 30.67 10.80 4.39 11.03 4.33 ---------- ---------- ---------- ---------- ---------- Total from investment operations 30.60 11.35 4.76 11.26 4.66 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.04) (0.61) (0.32) (0.23) (0.34) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 112.65 $ 82.09 $ 71.35 $ 66.91 $ 55.88 ========== ========== ========== ========== ========== TOTAL RETURN (a) 37.30% 16.10% 7.16% 20.19% 9.10% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,194,111 $ 989,147 $1,041,726 $ 899,998 $ 650,949 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.60% 0.61% 0.61% 0.62% Ratio of net expenses to average net assets 0.59% 0.60% 0.61% 0.61% 0.62% Ratio of net investment income (loss) to average net assets (0.07)% 0.76% 0.56% 0.36% 0.63% Portfolio turnover rate (b) 116% 138% 132% 119% 148% </TABLE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) <TABLE> <CAPTION> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 46.72 $ 54.39 $ 57.35 $ 52.84 $ 44.91 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.84 0.95 0.92 0.96 0.73 Net realized and unrealized gain (loss) 24.34 (7.54) (3.04) 4.45 7.96 ---------- ---------- ---------- ---------- ---------- Total from investment operations 25.18 (6.59) (2.12) 5.41 8.69 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.86) (1.08) (0.84) (0.90) (0.76) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 71.04 $ 46.72 $ 54.39 $ 57.35 $ 52.84 ========== ========== ========== ========== ========== TOTAL RETURN (a) 54.35% (12.24)% (3.62)% 10.30% 19.46% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 166,942 $ 51,387 $ 84,301 $ 91,766 $ 110,959 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.69% 0.74% 0.73% 0.70% 0.66% Ratio of net expenses to average net assets 0.69% 0.70% 0.70% 0.70% 0.66% Ratio of net investment income (loss) to average net assets 1.43% 1.86% 1.69% 1.67% 1.45% Portfolio turnover rate (b) 92% 98% 96% 89% 81% </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) 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 110 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> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 83.11 $ 75.90 $ 72.71 $ 59.33 $ 53.31 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.11) 0.42 0.22 0.12 0.25 Net realized and unrealized gain (loss) 36.71 7.27 3.14 13.40 6.04 ---------- ---------- ---------- ---------- ---------- Total from investment operations 36.60 7.69 3.36 13.52 6.29 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.13) (0.48) (0.17) (0.14) (0.27) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 119.58 $ 83.11 $ 75.90 $ 72.71 $ 59.33 ========== ========== ========== ========== ========== TOTAL RETURN (a) 44.10% 10.23% 4.65% 22.82% 11.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 221,229 $ 170,367 $ 185,955 $ 192,685 $ 103,829 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.63% 0.66% 0.69% 0.70% Ratio of net expenses to average net assets 0.63% 0.63% 0.66% 0.69% 0.70% Ratio of net investment income (loss) to average net assets (0.09)% 0.56% 0.31% 0.18% 0.44% Portfolio turnover rate (b) 104% 123% 130% 118% 142% </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) 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 111 <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> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 27.71 $ 34.67 $ 36.71 $ 33.65 $ 29.47 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.54 0.63 0.51 0.58 0.44 Net realized and unrealized gain (loss) 16.98 (6.86) (2.10) 3.04 4.17 ---------- ---------- ---------- ---------- ---------- Total from investment operations 17.52 (6.23) (1.59) 3.62 4.61 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.54) (0.73) (0.45) (0.56) (0.43) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 44.69 $ 27.71 $ 34.67 $ 36.71 $ 33.65 ========== ========== ========== ========== ========== TOTAL RETURN (a) 63.76% (18.19)% (4.26)% 10.80% 15.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 140,774 $ 34,636 $ 55,473 $ 49,565 $ 57,201 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.33% 2.04% 1.49% 1.61% 1.31% Portfolio turnover rate (b) 102% 107% 113% 94% 95% </TABLE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) <TABLE> <CAPTION> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 51.23 $ 46.59 $ 43.80 $ 35.07 $ 31.22 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.18) 0.11 0.04 0.03 0.15 Net realized and unrealized gain (loss) 22.69 4.67 2.77 8.75 3.87 ---------- ---------- ---------- ---------- ---------- Total from investment operations 22.51 4.78 2.81 8.78 4.02 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.14) (0.02) (0.05) (0.17) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 73.58 $ 51.23 $ 46.59 $ 43.80 $ 35.07 ========== ========== ========== ========== ========== TOTAL RETURN (a) 44.02% 10.28% 6.43% 25.06% 12.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 463,572 $ 338,149 $ 309,826 $ 214,639 $ 94,700 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets (0.24)% 0.23% 0.09% 0.02% 0.48% Portfolio turnover rate (b) 138% 135% 144% 124% 153% </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) 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 112 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> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 30.78 $ 34.66 $ 38.98 $ 34.33 $ 30.19 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.45 0.38 0.57 0.48 0.41 Net realized and unrealized gain (loss) 19.52 (3.75) (4.36) 4.60 4.23 ---------- ---------- ---------- ---------- ---------- Total from investment operations 19.97 (3.37) (3.79) 5.08 4.64 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.47) (0.51) (0.53) (0.43) (0.50) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 50.28 $ 30.78 $ 34.66 $ 38.98 $ 34.33 ========== ========== ========== ========== ========== TOTAL RETURN (a) 65.22% (9.83)% (9.69)% 14.86%(b) 15.41% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 268,991 $ 46,176 $ 60,659 $ 76,003 $ 61,802 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.08% 1.18% 1.58% 1.28% 1.22% Portfolio turnover rate (c) 109% 120% 120% 123% 110% </TABLE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) <TABLE> <CAPTION> YEAR ENDED JULY 31, ------------------------------------------------------------------ 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 44.46 $ 46.87 $ 48.79 $ 38.83 $ 33.24 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.03 0.17 0.02 0.06 0.05 Net realized and unrealized gain (loss) 26.72 (2.40) (1.93) 9.97 5.63 ---------- ---------- ---------- ---------- ---------- Total from investment operations 26.75 (2.23) (1.91) 10.03 5.68 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.07) (0.18) (0.01) (0.07) (0.09) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 71.14 $ 44.46 $ 46.87 $ 48.79 $ 38.83 ========== ========== ========== ========== ========== TOTAL RETURN (a) 60.24% (4.79)% (3.90)% 25.85%(d) 17.12% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 394,827 $ 146,704 $ 278,851 $ 361,010 $ 116,483 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.02% 0.44% 0.04% 0.11% 0.12% Portfolio turnover rate (c) 151% 137% 152% 141% 162% </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) 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. (d) 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 113 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 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 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 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 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 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 114 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 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. 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 115 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 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 July 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 with the exception of FYC. The Bank of New York Mellon ("BNYM") acts as FYC's 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 July 31, 2021, all the Funds except FNK had securities in the securities lending program. During the fiscal year ended July 31, 2021, all the Funds participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH or BNYM 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 Page 116 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 and BNYM to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH or BNYM 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 or BNYM. 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 or BNYM 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 fiscal year ended July 31, 2021, were received as collateral for lending securities. 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, 2021, 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 $ 9,797,516 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 7,128,332 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 5,553,651 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 14,484,287 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 444,000 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,263,172 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 257,400 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 943,116 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 1,105,830 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 1,841,246 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 269,720 -- -- </TABLE> Page 117 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 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> As of July 31, 2021, 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 $ 1,049,775 $ (303,084,751) $ 220,860,126 First Trust Mid Cap Core AlphaDEX(R) Fund 2,028,628 (247,079,697) 171,605,539 First Trust Small Cap Core AlphaDEX(R) Fund 402,457 (274,336,950) 116,383,070 First Trust Large Cap Value AlphaDEX(R) Fund 1,665,771 (242,439,226) 154,059,046 First Trust Large Cap Growth AlphaDEX(R) Fund (372,692) (180,097,920) 255,709,298 First Trust Multi Cap Value AlphaDEX(R) Fund 177,769 (36,126,007) 15,232,553 First Trust Multi Cap Growth AlphaDEX(R) Fund (142,880) (39,788,845) 46,552,682 First Trust Mid Cap Value AlphaDEX(R) Fund 127,956 (27,908,554) 7,910,927 First Trust Mid Cap Growth AlphaDEX(R) Fund (1,059,445) (85,780,406) 56,445,500 First Trust Small Cap Value AlphaDEX(R) Fund 191,228 (40,835,627) 4,035,388 First Trust Small Cap Growth AlphaDEX(R) Fund (14,356) (121,019,011) 38,650,038 </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 ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of July 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, 2021, 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. Page 118 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforwards ------------- <S> <C> First Trust Large Cap Core AlphaDEX(R) Fund $ 303,084,751 First Trust Mid Cap Core AlphaDEX(R) Fund 247,079,697 First Trust Small Cap Core AlphaDEX(R) Fund 274,336,950 First Trust Large Cap Value AlphaDEX(R) Fund 242,439,226 First Trust Large Cap Growth AlphaDEX(R) Fund 180,097,920 First Trust Multi Cap Value AlphaDEX(R) Fund 36,126,007 First Trust Multi Cap Growth AlphaDEX(R) Fund 39,788,845 First Trust Mid Cap Value AlphaDEX(R) Fund 27,908,554 First Trust Mid Cap Growth AlphaDEX(R) Fund 85,780,406 First Trust Small Cap Value AlphaDEX(R) Fund 40,835,627 First Trust Small Cap Growth AlphaDEX(R) Fund 121,019,011 </TABLE> During the taxable year ended July 31, 2021, the following Funds utilized post-enactment capital loss carryforwards in the following amounts: <TABLE> <CAPTION> Capital Loss Carryforward Utilized ------------- <S> <C> First Trust Large Cap Core AlphaDEX(R) Fund $ 29,292,111 First Trust Mid Cap Core AlphaDEX(R) Fund 19,934,641 First Trust Small Cap Core AlphaDEX(R) Fund 20,317,248 First Trust Large Cap Value AlphaDEX(R) Fund 65,638,208 First Trust Large Cap Growth AlphaDEX(R) Fund 10,654,938 First Trust Multi Cap Value AlphaDEX(R) Fund 6,043,006 First Trust Multi Cap Growth AlphaDEX(R) Fund 2,805,004 First Trust Mid Cap Value AlphaDEX(R) Fund -- First Trust Mid Cap Growth AlphaDEX(R) Fund -- First Trust Small Cap Value AlphaDEX(R) Fund -- First Trust Small Cap Growth AlphaDEX(R) Fund -- </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, 2021, the following Funds 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 Large Cap Growth AlphaDEX(R) Fund $ 372,692 $ -- First Trust Multi Cap Growth AlphaDEX(R) Fund 142,880 -- First Trust Mid Cap Growth AlphaDEX(R) Fund 1,059,445 -- First Trust Small Cap Growth AlphaDEX(R) Fund 14,356 -- </TABLE> In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2021, the adjustments for each Fund were as follows: Page 119 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 <TABLE> <CAPTION> Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ---------------- ---------------- ---------------- <S> <C> <C> <C> First Trust Large Cap Core AlphaDEX(R) Fund $ -- $ (169,350,934) $ 169,350,934 First Trust Mid Cap Core AlphaDEX(R) Fund 2,205,464 (164,635,436) 162,429,972 First Trust Small Cap Core AlphaDEX(R) Fund -- (172,727,201) 172,727,201 First Trust Large Cap Value AlphaDEX(R) Fund -- (10,131,109) 10,131,109 First Trust Large Cap Growth AlphaDEX(R) Fund 844,546 (312,709,896) 311,865,350 First Trust Multi Cap Value AlphaDEX(R) Fund (5,619) (2,857,178) 2,862,797 First Trust Multi Cap Growth AlphaDEX(R) Fund 317,374 (62,545,628) 62,228,254 First Trust Mid Cap Value AlphaDEX(R) Fund (2,153) (9,938,273) 9,940,426 First Trust Mid Cap Growth AlphaDEX(R) Fund 1,202,372 (181,459,494) 180,257,122 First Trust Small Cap Value AlphaDEX(R) Fund -- (46,635,258) 46,635,258 First Trust Small Cap Growth AlphaDEX(R) Fund 206,359 (91,666,445) 91,460,086 </TABLE> 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, 2022. 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. Page 120 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 The advisory fee waivers and expense reimbursements for the fiscal year ended July 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 ----------------------------------------------------- Advisory Expense Year Ended Year Ended Year Ended Fee Waivers Reimbursements 7/31/2019 7/31/2020 7/31/2021 Total ----------- -------------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> First Trust Multi Cap Value AlphaDEX(R) Fund $ -- $ -- $ 5,579 $ 27,452 $ -- $ 33,031 </TABLE> During the fiscal year ended July 31, 2021, First Trust recovered fees that were previously waived from First Trust Multi Cap Value AlphaDEX(R) Fund of $17,635. The Trust has multiple service agreements with 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. PURCH6ASES AND SALES OF SECURITIES For the fiscal year ended July 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 $ 952,225,693 $ 949,088,512 First Trust Mid Cap Core AlphaDEX(R) Fund 910,541,611 910,171,221 First Trust Small Cap Core AlphaDEX(R) Fund 811,261,269 808,165,498 First Trust Large Cap Value AlphaDEX(R) Fund 753,057,034 752,319,823 First Trust Large Cap Growth AlphaDEX(R) Fund 1,237,468,491 1,237,876,695 First Trust Multi Cap Value AlphaDEX(R) Fund 86,323,783 86,052,382 First Trust Multi Cap Growth AlphaDEX(R) Fund 207,901,012 207,955,427 First Trust Mid Cap Value AlphaDEX(R) Fund 76,146,392 75,726,403 First Trust Mid Cap Growth AlphaDEX(R) Fund 589,910,184 589,612,237 First Trust Small Cap Value AlphaDEX(R) Fund 191,776,930 190,319,093 First Trust Small Cap Growth AlphaDEX(R) Fund 461,996,088 461,471,168 </TABLE> Page 121 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 For the fiscal year ended July 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 $ 482,873,750 $ 563,562,446 First Trust Mid Cap Core AlphaDEX(R) Fund 624,984,610 505,755,219 First Trust Small Cap Core AlphaDEX(R) Fund 759,485,630 524,697,561 First Trust Large Cap Value AlphaDEX(R) Fund 230,489,849 49,627,944 First Trust Large Cap Growth AlphaDEX(R) Fund 934,580,367 1,085,145,409 First Trust Multi Cap Value AlphaDEX(R) Fund 99,677,985 11,877,517 First Trust Multi Cap Growth AlphaDEX(R) Fund 159,961,295 181,891,328 First Trust Mid Cap Value AlphaDEX(R) Fund 132,887,168 49,298,444 First Trust Mid Cap Growth AlphaDEX(R) Fund 534,086,617 565,237,573 First Trust Small Cap Value AlphaDEX(R) Fund 384,756,482 213,379,374 First Trust Small Cap Growth AlphaDEX(R) Fund 485,898,682 340,962,582 </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 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, 2022. Page 122 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 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. Page 123 <PAGE> -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities 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, and First Trust Small Cap Growth AlphaDEX(R) Fund (the "Funds"), each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund, including the portfolios of investments, as of July 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois September 23, 2021 We have served as the auditor of one or more First Trust investment companies since 2001. Page 124 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 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. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2021, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations: <TABLE> <CAPTION> Dividends Received Deduction --------------------- <S> <C> First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 96.51% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 95.85% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% </TABLE> For the taxable year ended July 31, 2021, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income: <TABLE> <CAPTION> Qualified Dividend Income --------------------- <S> <C> First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 100.00% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 100.00% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% </TABLE> A portion of each of the First Trust Exchange-Traded AlphaDEX(R) Style Funds' 2021 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2021, may be eligible for the Qualified Business Income Deduction (QBI) under the Internal Revenue Code of 1986, as amended, Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. Page 125 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 (UNAUDITED) 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 significant 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 more broadly diversified. 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. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. 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. 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 Page 126 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 (UNAUDITED) 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 OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. 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 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. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. 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. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. 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; capital controls; lack of liquidity; Page 127 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 (UNAUDITED) currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; 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. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment 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 REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2020, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $2,401,225. This figure is comprised of $143,706 paid (or to be paid) in fixed compensation and $2,257,519 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $1,253,865 paid (or to be paid) to senior management of First Trust Advisors L.P. and $1,147,360 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. Page 128 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor") on behalf of the following eleven series of the Trust (each a "Fund" and collectively, the "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 Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2022 at a meeting held on June 6-7, 2021. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 26, 2021 and June 6-7, 2021, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory or unitary fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 26, 2021, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 6-7, 2021 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory or unitary fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board Page 129 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 (UNAUDITED) also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 26, 2021 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. For FEX, FNX, FYX, FAD, FAB, FTC and FTA (the "Non-Unitary Fee Funds"), the Board considered the advisory fee rate payable by each Non-Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Non-Unitary Fee Fund through November 30, 2022. For each Non-Unitary Fee Fund, the Board noted that expenses reimbursed and fees waived are subject to recovery by the Advisor for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment will be made by the Non-Unitary Fee Fund if it would result in the Non-Unitary Fee Fund 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. For FNY, FNK, FYC and FYT (the "Unitary Fee Funds"), the Board considered the unitary fee rate payable by each Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Unitary Fee Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the applicable Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee and because each Unitary Fee Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Non-Unitary Fee Fund and the unitary fee rate for each Unitary Fee Fund were above the median total (net) expense ratio of the peer funds in each Fund's respective Expense Group. With respect to the Expense Groups, the Board, at the April 26, 2021 meeting, discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory and unitary fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2020 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board noted that, effective April 8, 2016, each Fund changed its underlying index to an index developed and maintained by Nasdaq, Inc. using the AlphaDEX(R) stock selection methodology, and that the performance information included a blend of the old and new indexes. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark index, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory or unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreements. Page 130 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2021 (UNAUDITED) The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase during the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. For the Unitary Fee Funds, the Board noted that any reduction in fixed costs associated with the management of the Unitary Fee Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Unitary Fee Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2020 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board's analysis. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 26, 2021 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 20, 2020 through the Liquidity Committee's annual meeting held on March 16, 2021 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted any highly liquid investment minimums. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 131 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2021 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. <TABLE> <CAPTION> NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 211 None (1951) Limited Partner, Gundersen Real Estate o Since Inception Limited Partnership (June 1992 to December 2016) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 211 Director of ADM (1957) (Futures Commission Merchant) Investor Services, o Since Inception Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial and 211 Director of Trust (1956) Management Consulting) Company of o Since Inception Illinois Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 211 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 211 None Chairman of the Board Advisors L.P. and First Trust (1955) o Since Inception Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) </TABLE> ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 132 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer (1966) Executive Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief Accounting President (April 2012 to July 2016), First Trust Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary,Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception </TABLE> ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 133 <PAGE> -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2021 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2021 Page 134 <PAGE> This page is intentionally left blank. <PAGE> This page is intentionally left blank. <PAGE> -------------------------------------------------------------------------------- FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Style 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 <PAGE> [BLANK BACK COVER] <PAGE>
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $399,000 for the fiscal year ended July 31, 2020 and $380,000 for the fiscal year ended July 31, 2021.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
Audit-Related Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $62,950.00 for the fiscal year ended July 31, 2020 and $63,177.00 for the fiscal year ended July 31, 2021. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor and distributor were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
(d) All Other Fees (Registrant) -- All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
All Other Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant’s investment advisor and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: Advisor and Distributor:
(b) 0% (b) 0%
(c) 0% (c) 0%
(d) 0% (d) 0%
(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended July 31, 2020, were $62,950 for the registrant, $47,170 for the registrant’s investment advisor and $70,330 for the registrant’s distributor, and for the fiscal year ended July 31, 2021 were $63,177 for the registrant, $23,200 for the registrant’s investment advisor and $29,500 for the registrant’s distributor.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
Item 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. |
(b) | Not applicable. |
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 have 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.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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) |
Date: | October 7, 2021 |
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) |
Date: | October 7, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | October 7, 2021 |