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:
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Annual Report July 31, 2021
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AlphaDEX(R) Sector Funds
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First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
AlphaDEX(R)
FAMILY OF ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
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
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
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SHAREHOLDER LETTER
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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
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MARKET OVERVIEW
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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
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer
Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in the
common stocks that comprise the Consumer Discretionary Index. The shares of the
Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the
"Exchange") under the ticker symbol "FXD."
The Consumer Discretionary Index is a modified equal-dollar weighted index
designed by ICE Data Indices, LLC or its affiliates ("IDI") to objectively
identify and select stocks from the Russell 1000(R) Index in the consumer
discretionary sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Consumer
Discretionary Index using the Industry Classification Benchmark ("ICB") sector
scheme to determine a stock's sector membership.
<TABLE>
<CAPTION>
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PERFORMANCE
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AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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
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</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.
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Consumer Discretionary 84.3%
Communication Services 9.5
Industrials 3.6
Consumer Staples 2.0
Information Technology 0.6
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Total 100.0%
=======
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% 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
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Total 15.3%
=======
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(1) On or about September 18, 2008, Russell Investment Group ("Russell") began
calculating its Russell U.S. Indices using an enhanced Russell sector scheme,
the Russell Global Sectors ("RGS"). The RGS and the former U.S. sector scheme
ran in tandem until June 30, 2009, when Russell officially transitioned to the
RGS and ceased calculating its indices using the U.S. sector scheme. In addition
to the implementation of the RGS, Russell changed the name of the Russell
1000(R) Consumer Discretionary and Services Index to the Russell 1000(R)
Consumer Discretionary Index. Consequently, performance data is not available
for all the periods shown in the table for the Russell 1000(R) Consumer
Discretionary Index because performance data does not exist for each of the
entire periods using solely the U.S. sector scheme, or alternatively, using
solely the RGS.
StrataQuant(R) and StrataQuant(R) Consumer Discretionary Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 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
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its net assets (including investment borrowings) in the common stocks that
comprise the Consumer Staples Index. The shares of the Fund are listed and trade
on the NYSE Arca under the ticker symbol "FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by
IDI to objectively identify and select stocks from the Russell 1000(R) Index in
the consumer staples sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Consumer Staples Index using the ICB sector scheme to determine a stock's
sector membership.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------
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>
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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.
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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
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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
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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
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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
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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.
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ADDITIONAL INFORMATION (CONTINUED)
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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
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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.
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ADDITIONAL INFORMATION (CONTINUED)
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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.
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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.
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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.
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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
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FIRST TRUST
First Trust Exchange-Traded AlphaDEX(R) Fund
Sector Funds
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
<PAGE>
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<PAGE>
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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>
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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>
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--------------------------------------------------------------------------------
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks in investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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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>
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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>
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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>
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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>
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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
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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;
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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.
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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
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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.
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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>
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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
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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. |
| (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. |
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.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (registrant) | | First Trust Exchange-Traded AlphaDEX® Fund |
| By (Signature and Title)* | | /s/ James M. Dykas |
| | | James M. Dykas, President and Chief Executive Officer
(principal executive officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | | /s/ James M. Dykas |
| | | James M. Dykas, President and Chief Executive Officer
(principal executive officer) |
| By (Signature and Title)* | | /s/ Donald P. Swade |
| | | Donald P. Swade, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer) |
