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, 2022
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, 2022
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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, 2022
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).............................. 29
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 31
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...................... 66
Additional Information....................................................... 67
Board of Trustees and Officers............................................... 74
Privacy Policy............................................................... 76
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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, 2022
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, 2022.
When it comes to investing one's capital, it is natural to want to find some
analyst, economist, or other pundit who claims to know exactly where the
securities markets are headed at any given time. You can find them if you search
hard enough, but watch your step. Relying on someone else's crystal ball
predictions, even if they have been fortunate enough to have made a celebrated
market call or two in the past, is a fool's errand, in my opinion. It is tough
to reproduce such success. I am, as I have been for my entire career in the
financial services industry, an advocate for individual investors seeking out
professional assistance to help them meet their goals. If anything, the endless
amounts of information flowing through the financial media via the internet and
cable channels these days is likely making things more confusing for the average
investor looking to get ahead. While some individuals may be adept at sifting
through the noise to find those timely nuggets of information that can
potentially move the markets, most are not, and one's financial future is too
important to gamble on meme stocks and black swans, in my opinion.
Having said all that, for those investors who do want to steer their own ship,
there are now a plethora of packaged products available to meet almost any need
or strategy, such as mutual funds, unit investment trusts and exchange-traded
funds. With respect to equities, investors can choose from portfolios featuring
style investing (growth and value), sectors, subsectors (i.e., Semiconductors
are a subsector of the Technology sector), long/short strategies, dividend
strategies and many more. There are products out there for both bullish and
bearish investors. Again, for those individuals that are not savvy when it comes
to investing, know that financial representatives have more of these, and other
tools, at their disposal than ever before.
The markets have moved up and down in dramatic fashion in 2022. The stock
market, as measured by the S&P 500(R) Index, declined in price by 20.80% from
the close on March 23, 2022 through June 16, 2022, only to reverse course and
rise by 17.41% from the close on June 16, 2022 through August 16, 2022,
according to data from Bloomberg. So much for the adage "the trend is your
friend." The action in the bond market has been just as frantic. In the U.S.
Treasury market, the yield on the 10-Year Treasury Note ("T-Note") rose 114
basis points ("bps") from the close on March 31, 2022 through June 14, 2022,
only to reverse course and drop by 90 bps from the close on June 14, 2022
through August 1, 2022, according to data from Bloomberg. Suffice it to say that
yield swings of this magnitude are not all that common. What is driving these
divergent trading patterns? Robust inflation. The Consumer Price Index stood at
8.5% year-over-year in July 2022. A level not seen since the early 1980s. In the
hopes of reducing it, the Federal Reserve (the "Fed") is in the process of
hiking interest rates and, in September, is expected to reduce the size of its
balance sheet to the tune of $95 billion per month. The concern in the markets
is whether or not the Fed's tightening of monetary policy will push the U.S.
economy into a serious recession. Some economists and others in the financial
media believe the U.S. is already in a recession. We expect this battle (fight
inflation at the expense of economic growth) to continue to play out over the
coming months. Keep an eye on the 10-Year T-Note. If the yield rises moving
forward, expect the stock and bond markets to struggle and vice versa. If you
have not already, I encourage you to forge an investment plan 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, 2022
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
The first seven months of 2022 was likely a tumultuous time for most investors.
The returns on stocks and bonds were so dismal they dragged down the results for
the last 12 months. The latest hot topic appears to be whether or not the U.S.
economy is in a recession. After all, real gross domestic product ("GDP") growth
did come in at an annualized -1.6% in the first quarter of 2022 and -0.9% in the
second quarter of 2022, according to data from the U.S. Bureau of Economic
Analysis. The traditional definition of a recession is two consecutive quarters
of negative GDP growth. Opinions on this topic vary. Some pundits believe the
U.S. economy is already in recession. Brian Wesbury, Chief Economist at First
Trust, is not one of them. While he acknowledges that a recession is inevitable,
he believes we are not there yet. Wesbury notes that the official arbiter of
recessions, the National Bureau of Economic Research, considers other factors
beyond just real GDP, including the job market, manufacturing activity and real
income, which reflect strength in the current climate. We are anticipating
additional interest rate hikes from the Federal Reserve to combat the surge in
inflation, which stood at an elevated 8.5% on a trailing 12-month basis in July
2022, as measured by the Consumer Price Index. Will the U.S. economy be
resilient to said rate hikes, or succumb to them? We should know more in the
coming months.
Economic headwinds extend beyond what is transpiring in the U.S. Two of the most
critical events to surface so far in 2022 are the war between Russia and
Ukraine, which commenced in late February 2022, and the coronavirus-induced
("COVID-19") shutdown in China. The war has helped drive the relative value of
the U.S. Dollar higher against other major world currencies, in our opinion. A
strong U.S. Dollar can put downward pressure on commodity prices. Historically
speaking, it is common for foreign investors to funnel capital into U.S. assets
when wars break out or during periods of great uncertainty. The U.S. is still
viewed by many as a safe haven for capital. The U.S. Dollar increased by 14.9%
against a basket of major currencies for the 12-month period ended July 31,
2022, as measured by the U.S. Dollar Index. An end to the Russian conflict and
the reopening of China's economy would be a net gain for the economy, in our
opinion.
The global growth forecast from the International Monetary Fund ("IMF") released
in July 2022 projected a 3.2% real GDP growth rate for 2022, down from 6.1% in
2021. Economic growth activity was elevated in 2021 following the
COVID-19-induced downturn (real GDP was -3.1%) in 2020. The IMF is calling for a
2.3% growth rate for the U.S. in 2022, down from 5.7% the previous year.
Advanced Economies are expected to register a 2.5% growth rate in 2022, down
from 5.2% the previous year. While the gap has narrowed from prior years,
Emerging Market and Developing Economies are still expected to grow faster than
Advanced Economies. Their 2022 growth rate estimate is 3.6%, down from 6.8% a
year ago. These estimates do not reflect a recession.
ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at $9.37 trillion in July 2022, up from $6.36
trillion as of the close of 2019 (prior to the COVID-19 pandemic), according to
its own release. U.S. listed ETFs/ETPs had assets under management totaling
$6.61 trillion in July 2022. The U.S accounts for roughly 70.5% of total global
ETF/ETP assets.
SECTOR/EQUITY INVESTING
For the 12-month period ended July 31, 2022, just four of the 11 major sectors
that comprise the S&P 500(R) Index generated positive total returns, according
to Bloomberg. The S&P 500(R) Index posted a total return of -4.64% over the same
period. Five of the 11 sectors outperformed the broader index. Those five
sectors were as follows: Energy (67.44%); Utilities (15.58%); Consumer Staples
(7.43%); Health Care (1.82%); and Real Estate (-1.64%). The Communication
Services sector had the worst showing, with a total return of -28.96% during the
period.
Some of the headwind endured by the stock market year-to-date has stemmed from
the rise in the yield on the benchmark 10-Year Treasury Note ("T-Note"). When
bond yields trend higher, the cost of capital also rises for businesses, and
that can trim future corporate earnings and put downward pressure on stock
valuations. Year-to-date through July 31, 2022, the yield on the 10-Year T-Note
increased by 114 basis points, from 1.51% to 2.65%. It reached as high as 3.48%
in June 2022. That is a substantial move higher in just seven months. With
economic growth in negative territory in the first two quarters of 2022, it
stands to reason that the top performing sectors, excluding Energy, would be
characterized as defensive in nature. These sectors tend to be less cyclical, so
demand for their goods and services isn't as dependent on the economy as other
more growth-oriented sectors, such as Communication Services. Keep an eye on the
10-Year T-Note yield in the months ahead.
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>
------------------------------------------------------------------------------------------------------------------
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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -18.43% 6.63% 10.17% 6.97% 37.85% 163.43% 179.01%
Market Price -18.43% 6.63% 10.18% 6.97% 37.83% 163.63% 178.95%
INDEX PERFORMANCE
StrataQuant(R) Consumer
Discretionary Index -17.99% 7.27% 10.88% 7.70% 42.05% 180.91% 209.66%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Consumer
Discretionary Index -10.29% 13.21% 15.54% 11.33% 85.93% 323.90% 412.52%
Russell 1000(R) Consumer
Discretionary Index(1) -15.50% 13.10% 15.04% N/A 85.05% 305.87% 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 -18.43% 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 -10.29%. The
Specialty Retail industry received an allocation of 23.1% in the Fund, which was
the greatest allocation to any industry during the period covered by this
report. Investments in this industry had the greatest negative contribution to
the Fund's return, causing a -4.1% contribution to the Fund's overall return.
Almost every industry had a negative contribution to return. Investments in the
Food & Staples Retailing industry had the greatest positive contribution during
the period with a 0.3% contribution to the Fund's return.
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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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed along with the StrataQuant(R) Consumer
Discretionary Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Consumer Discretionary AlphaDEX(R) Fund ("FXD").
Neither FTP, the Trust, nor FXD is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXD particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXD or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXD into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXD to be issued or in the determination or calculation of the equation by which
FXD is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXD. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Discretionary 73.6%
Communication Services 13.2
Industrials 9.7
Consumer Staples 3.5
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Total 100.0%
=======
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Ford Motor Co. 1.7%
Dick's Sporting Goods, Inc. 1.6
Lennar Corp., Class A 1.5
Capri Holdings Ltd. 1.5
D.R. Horton, Inc. 1.5
Genuine Parts Co. 1.4
General Motors Co. 1.4
Thor Industries, Inc. 1.4
AMERCO 1.4
Warner Bros Discovery, Inc. 1.4
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Total 14.8%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,951 11,999 11,089 11,631 11,678
7/31/13 14,217 14,324 12,623 13,870 13,803
1/31/14 15,049 15,223 13,554 14,813 14,754
7/31/14 15,976 16,215 14,777 15,631 15,522
1/31/15 17,220 17,537 15,420 16,741 16,580
7/31/15 18,618 19,027 16,437 19,332 18,742
1/31/16 16,187 16,592 15,140 18,043 17,252
7/31/16 18,184 18,694 17,233 20,015 19,269
1/31/17 18,190 18,761 18,291 21,015 20,082
7/31/17 19,110 19,774 19,981 22,797 21,932
1/31/18 22,531 23,391 23,016 27,108 26,081
7/31/18 21,819 22,720 23,214 28,155 26,556
1/31/19 21,075 22,006 22,515 27,572 26,264
7/31/19 22,502 23,582 25,072 30,758 29,538
1/31/20 22,724 23,903 27,331 32,195 31,219
7/31/20 20,836 21,956 28,089 37,389 35,592
1/31/21 27,621 29,206 32,755 42,814 44,038
7/31/21 32,295 34,257 38,753 47,255 48,038
1/31/22 30,419 32,338 39,408 47,922 46,823
7/31/22 26,343 28,091 36,092 42,390 40,587
</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.
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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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 14.95% 8.12% 12.27% 9.46% 47.72% 218.04% 296.11%
Market Price 14.93% 8.12% 12.28% 9.46% 47.72% 218.44% 296.09%
INDEX PERFORMANCE
StrataQuant(R) Consumer
Staples Index 15.42% 8.78% 12.99% 10.23% 52.35% 239.26% 340.67%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Consumer
Staples Index 7.43% 9.37% 10.73% 9.95% 56.49% 177.23% 324.31%
Russell 1000(R) Consumer
Staples Index(1) 9.18% 7.66% 10.25% N/A 44.65% 165.31% N/A
------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 14.95% 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 7.43%. The Food Products industry received an
allocation in the Fund of 50.9% during the period covered by this report. This
was by far the greatest allocation to any industry in the Fund during the period
and it contributed 9.1% to the Fund's overall return, which was also the
greatest contribution of any industry to the Fund's return. The industry with
the greatest drag on the Fund's return was the Personal Products industry, which
received an allocation of 2.4% and contributed -2.2% to the Fund's overall
return for the same period.
-----------------------------
(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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Consumer
Staples Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Consumer Staples AlphaDEX(R) Fund ("FXG").
Neither FTP, the Trust nor FXG is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXG particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXG or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXG into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXG to be issued or in the determination or calculation of the equation by which
FXG is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXG. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 6
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Staples 87.5%
Health Care 10.8
Materials 1.7
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Performance Food Group Co. 4.3%
McKesson Corp. 4.2
Walgreens Boots Alliance, Inc. 4.2
AmerisourceBergen Corp. 4.1
Tyson Foods, Inc., Class A 4.1
Pilgrim's Pride Corp. 4.0
Sysco Corp. 4.0
Grocery Outlet Holding Corp. 4.0
Darling Ingredients, Inc. 3.7
Molson Coors Beverage Co., Class B 3.5
-------
Total 40.1%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
S&P 500(R) Russell 1000(R)
First Trust Consumer StrataQuant(R) Russell 1000(R) Consumer Staples Consumer
Staples AlphaDEX(R) Fund Consumer Staples Index Index Index Staples Index
<S> <C> <C> <C> <C> <C>
7/31/12 $10,002 $10,000 $10,000 $10,000 $10,000
1/31/13 11,651 11,691 11,089 10,502 10,619
7/31/13 14,392 14,506 12,623 11,892 12,066
1/31/14 14,914 15,086 13,554 11,873 12,113
7/31/14 16,571 16,827 14,777 12,739 13,127
1/31/15 18,745 19,081 15,420 14,356 14,750
7/31/15 20,399 20,830 16,437 15,197 15,874
1/31/16 19,536 20,001 15,140 15,574 16,194
7/31/16 22,275 22,881 17,233 16,971 17,692
1/31/17 20,851 21,488 18,291 16,575 17,335
7/31/17 21,537 22,268 19,981 17,717 18,340
1/31/18 23,353 24,225 23,016 18,800 18,915
7/31/18 21,653 22,549 23,214 17,614 17,642
1/31/19 21,280 22,222 22,515 17,837 17,760
7/31/19 21,832 22,884 25,072 20,192 19,427
1/31/20 22,980 24,176 27,331 21,716 20,962
7/31/20 23,677 25,002 28,089 21,830 20,696
1/31/21 25,571 27,079 32,755 22,720 21,571
7/31/21 27,674 29,395 38,753 25,805 24,298
1/31/22 30,689 32,625 39,408 28,035 26,796
7/31/22 31,804 33,926 36,092 27,723 26,531
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 65.76% 6.71% 0.88% 0.23% 38.39% 9.21% 3.51%
Market Price 65.83% 6.70% 0.89% 0.22% 38.32% 9.22% 3.46%
INDEX PERFORMANCE
StrataQuant(R) Energy Index 67.28% 7.42% 1.47% 0.86% 43.02% 15.75% 13.85%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Energy Index 67.44% 8.47% 4.83% 4.17% 50.16% 60.26% 86.39%
Russell 1000(R) Energy Index(1) 65.10% 8.56% 4.49% N/A 50.79% 55.15% N/A
------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 65.76% during the period covered by this
report. During the same period, the S&P 500(R) Energy Index (the "Benchmark")
generated a return of 67.44%. The Oil, Gas, & Consumable Fuels industry received
the greatest allocation of any industry in the Fund during the period covered by
this report. During the period, this industry's allocation in the Fund was 83.9%
and contributed 64.5% to the Fund's overall return. Investments in the
Electrical Equipment industry were the only investments with a negative
contribution to the Fund's return. This industry received an allocation of 2.4%
and caused a -2.5% contribution to the Fund's overall return for the same
period.
-----------------------------
(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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Energy Index
("Index") for use by First Trust Portfolios L.P. ("FTP") in connection with the
First Trust Energy AlphaDEX(R) Fund ("FXN"). Neither FTP, the Trust nor FXN is
sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third
Party Suppliers including without limitation Frank Russell Company ("ICE Data
and its Suppliers"). ICE Data and its Suppliers make no representations or
warranties regarding the advisability of investing in securities generally, in
FXN particularly, the Trust or the ability of the Index to track general stock
market performance. ICE Data's only relationship to FTP is the licensing of
certain trademarks, trade names and the Index or components thereof. The Index
is determined, composed and calculated by ICE Data without regard to FTP or FXN
or its holders. ICE Data has no obligation to take the needs of FTP or the
holders of FXN into consideration in determining, composing or calculating the
Index. ICE Data is not responsible for and has not participated in the
determination of the timing of, prices of, or quantities of FXN to be issued or
in the determination or calculation of the equation by which FXN is to be
priced, sold, purchased, or redeemed. Except for certain custom index
calculation services, all information provided by ICE Data is general in nature
and not tailored to the needs of FTP or any other person, entity or group of
persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXN. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 8
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Energy 95.7%
Information Technology 4.3
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Antero Resources Corp. 4.8%
Devon Energy Corp. 4.2
Southwestern Energy Co. 4.2
Cheniere Energy, Inc. 4.2
Occidental Petroleum Corp. 4.1
Marathon Oil Corp. 4.1
Pioneer Natural Resources Co. 3.9
Continental Resources, Inc. 3.9
Coterra Energy, Inc. 3.5
Targa Resources Corp. 3.4
-------
Total 40.3%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,901 11,949 11,089 11,067 11,096
7/31/13 12,362 12,446 12,623 11,862 11,886
1/31/14 13,083 13,220 13,554 12,051 12,136
7/31/14 15,488 15,699 14,777 14,048 14,204
1/31/15 11,142 11,310 15,420 11,289 11,256
7/31/15 9,511 9,663 16,437 10,439 10,404
1/31/16 7,332 7,450 15,140 9,073 8,852
7/31/16 8,306 8,454 17,233 10,652 10,336
1/31/17 9,202 9,402 18,291 11,486 11,169
7/31/17 7,892 8,093 19,981 10,672 10,288
1/31/18 8,816 9,080 23,016 12,244 11,800
7/31/18 9,979 10,314 23,214 12,776 12,425
1/31/19 7,767 8,033 22,515 10,734 10,371
7/31/19 6,409 6,653 25,072 10,734 10,243
1/31/20 5,281 5,506 27,331 9,605 9,154
7/31/20 3,955 4,114 28,089 6,626 6,393
1/31/21 5,319 5,564 32,755 7,434 7,391
7/31/21 6,589 6,920 38,753 9,571 9,398
1/31/22 8,645 9,125 39,408 13,194 12,580
7/31/22 10,921 11,575 36,092 16,026 15,515
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -2.52% 9.60% 13.28% 6.87% 58.15% 247.81% 174.90%
Market Price -2.52% 9.60% 13.27% 6.86% 58.12% 247.73% 174.82%
INDEX PERFORMANCE
StrataQuant(R) Financials Index -1.93% 10.36% 14.07% 7.71% 63.70% 272.95% 209.79%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Financials Index -5.97% 8.36% 13.25% 2.79% 49.37% 246.98% 52.14%
Russell 1000(R) Financials
Index(1) -4.97% 11.41% 14.34% N/A 71.65% 282.09% N/A
------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -2.52% during the period covered by this
report. During the same period, the S&P 500(R) Financials Index (the
"Benchmark") generated a return of -5.97%. The greatest allocation in the Fund
was 36.6% to the Insurance industry. Investments in this industry caused a 0.5%
contribution to the Fund's overall return. The industry with the greatest
contribution to the Fund's return was the Banking industry. The Banking industry
received an allocation of 19.6% and contributed 0.7% to the Fund's return.
Meanwhile, the Capital Markets industry carried an average weight of 26.3% and
caused a -1.9% contribution to the Fund's return, which was the worst of any
industry during the period covered by this report.
-----------------------------
(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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed along with the StrataQuant(R) Financials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Financials AlphaDEX(R) Fund ("FXO"). Neither FTP, the Trust
nor FXO is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXO particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXO or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXO into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXO to be issued or in the determination or calculation of the equation by which
FXO is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXO. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 10
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 99.6%
Information Technology 0.4
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Coinbase Global, Inc., Class A 2.1%
Carlyle Group (The), Inc. 1.9
Jefferies Financial Group, Inc. 1.8
Franklin Resources, Inc. 1.8
New Residential Investment Corp. 1.8
Annaly Capital Management, Inc. 1.8
LPL Financial Holdings, Inc. 1.8
MGIC Investment Corp. 1.8
Berkshire Hathaway, Inc., Class B 1.7
Invesco Ltd. 1.7
-------
Total 18.2%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,851 11,901 11,089 11,984 11,821
7/31/13 13,944 14,055 12,623 14,243 13,852
1/31/14 14,735 14,908 13,554 14,783 14,511
7/31/14 15,472 15,710 14,777 15,868 15,504
1/31/15 16,132 16,439 15,420 16,450 16,305
7/31/15 17,697 18,098 16,437 18,153 17,977
1/31/16 15,609 16,006 15,140 15,860 15,938
7/31/16 17,736 18,256 17,233 17,468 17,726
1/31/17 20,232 20,896 18,291 21,416 20,368
7/31/17 21,992 22,783 19,981 23,230 22,262
1/31/18 24,374 25,342 23,016 27,797 25,841
7/31/18 24,425 25,481 23,214 26,360 25,487
1/31/19 23,104 24,174 22,515 24,713 24,682
7/31/19 25,165 26,426 25,072 27,270 27,985
1/31/20 25,978 27,377 27,331 29,222 30,130
7/31/20 20,746 21,950 28,089 23,775 26,309
1/31/21 28,520 30,278 32,755 28,996 31,887
7/31/21 35,680 38,024 38,753 36,903 40,206
1/31/22 38,406 41,070 39,408 39,844 43,615
7/31/22 34,781 37,295 36,092 34,698 38,209
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -11.03% 10.16% 13.77% 11.80% 62.24% 263.32% 446.48%
Market Price -11.02% 10.17% 13.78% 11.80% 62.27% 263.58% 446.68%
INDEX PERFORMANCE
StrataQuant(R) Health Care
Index -10.45% 10.90% 14.53% 12.59% 67.79% 288.47% 508.69%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Health Care Index 1.82% 12.72% 15.23% 10.89% 81.95% 312.59% 382.92%
Russell 1000(R) Health Care
Index(1) -1.46% 12.66% 15.39% N/A 81.48% 318.55% N/A
------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -11.03% 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 1.82%. Two industries received significant,
and very similar allocations, in the Fund. The Health Care Equipment & Supplies
industry carried an average weight of 26.3% while the Health Care Providers &
Services industry had an allocation of 25.4%. The contributions to return,
however, were quite different for these two industries. The Health Care
Equipment & Supplies industry accounted for -6.8% of underperformance in the
Fund, the worst contribution to return of any industry. Meanwhile, the Health
Care Providers & Services industry accounted for 0.7% of overperformance in the
Fund, which was the best of any invested industry.
-----------------------------
(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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Health Care
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Health Care AlphaDEX(R) Fund ("FXH"). Neither FTP, the
Trust nor FXH is sponsored, endorsed, sold or promoted by ICE Data, its
affiliates or its Third Party Suppliers including without limitation Frank
Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make
no representations or warranties regarding the advisability of investing in
securities generally, in FXH particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXH or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXH into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXH to be issued or in the determination or calculation of the equation by which
FXH is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXH. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 12
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 100.0%
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Molina Healthcare, Inc. 2.3%
Moderna, Inc. 2.3
Laboratory Corp. of America Holdings 2.2
Universal Health Services, Inc., Class B 2.2
UnitedHealth Group, Inc. 2.1
QuidelOrtho Corp. 2.1
Cigna Corp. 2.1
Hologic, Inc. 2.0
Humana, Inc. 2.0
Quest Diagnostics, Inc. 2.0
-------
Total 21.3%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,878 11,924 11,089 11,298 11,370
7/31/13 14,249 14,364 12,623 13,563 13,711
1/31/14 16,732 16,925 13,554 15,010 15,258
7/31/14 17,780 18,037 14,777 16,469 16,689
1/31/15 20,477 20,840 15,420 18,865 19,229
7/31/15 23,301 23,803 16,437 20,990 21,575
1/31/16 17,944 18,381 15,140 18,408 18,576
7/31/16 20,598 21,165 17,233 20,992 21,268
1/31/17 19,922 20,528 18,291 19,819 20,189
7/31/17 22,395 23,154 19,981 22,673 23,060
1/31/18 24,811 25,735 23,016 25,237 25,629
7/31/18 25,702 26,752 23,214 25,691 26,290
1/31/19 25,000 26,105 22,515 26,413 27,011
7/31/19 25,971 27,232 25,072 26,791 27,673
1/31/20 27,666 29,109 27,331 29,609 30,354
7/31/20 31,879 33,660 28,089 31,824 33,314
1/31/21 36,310 38,457 32,755 35,026 37,066
7/31/21 40,836 43,384 38,753 40,521 42,474
1/31/22 37,001 39,419 39,408 40,618 41,454
7/31/22 36,332 38,847 36,092 41,259 41,855
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -9.16% 9.71% 12.72% 7.57% 58.95% 231.17% 203.93%
Market Price -9.16% 9.71% 12.72% 7.57% 58.95% 231.17% 203.94%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index -8.62% 10.40% 13.49% 8.33% 64.04% 254.35% 238.44%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Industrials Index -6.03% 8.72% 12.29% 8.09% 51.87% 218.70% 226.86%
Russell 1000(R) Industrials
Index(1) -13.07% 7.73% 12.06% N/A 45.11% 212.24% N/A
------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -9.16% during the period covered by this
report. During the same period, the S&P 500(R) Industrials Index (the
"Benchmark") generated a return of -6.03%. The industry with the greatest
allocation in the Fund was the Machinery industry, which carried an average
weight of 17.6% and contributed -2.3% to the Fund's overall return, which was
the worst of any industry during the period covered by this report. The greatest
contribution to the Fund's return came from investments in the Construction &
Engineering industry. These securities contributed 0.8% to the Fund's return
during the same period.
-----------------------------
(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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Industrials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Industrials/Producer Durables AlphaDEX(R) Fund ("FXR").
Neither FTP, the Trust nor FXR is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXR particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXR or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXR into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXR to be issued or in the determination or calculation of the equation by which
FXR is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXR. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 14
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 69.9%
Materials 11.4
Information Technology 10.8
Consumer Discretionary 4.3
Financials 2.9
Health Care 0.7
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Builders FirstSource, Inc. 1.5%
Owens Corning 1.4
Carlisle Cos., Inc. 1.4
Brunswick Corp. 1.4
Louisiana-Pacific Corp. 1.4
Synchrony Financial 1.4
Valmont Industries, Inc. 1.4
WESCO International, Inc. 1.4
Knight-Swift Transportation Holdings, Inc. 1.4
MKS Instruments, Inc. 1.3
-------
Total 14.0%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,938 11,983 11,089 11,304 11,467
7/31/13 13,792 13,893 12,623 12,867 13,108
1/31/14 15,908 16,090 13,554 14,378 14,693
7/31/14 16,886 17,143 14,777 15,019 15,338
1/31/15 16,943 17,260 15,420 15,931 16,244
7/31/15 17,106 17,465 16,437 16,057 16,522
1/31/16 14,198 14,536 15,140 15,188 15,430
7/31/16 16,964 17,434 17,233 17,737 17,957
1/31/17 19,827 20,491 18,291 19,422 19,834
7/31/17 20,832 21,602 19,981 20,983 21,520
1/31/18 24,811 25,814 23,016 24,408 25,294
7/31/18 24,494 25,564 23,214 23,710 24,717
1/31/19 22,836 23,885 22,515 22,394 23,437
7/31/19 25,393 26,650 25,072 24,559 25,938
1/31/20 26,465 27,868 27,331 25,885 27,279
7/31/20 23,795 25,140 28,089 23,159 24,492
1/31/21 30,117 31,920 32,755 27,635 29,309
7/31/21 36,457 38,772 38,753 33,914 35,916
1/31/22 35,494 37,873 39,408 33,324 34,074
7/31/22 33,117 35,435 36,092 31,870 31,224
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 8.37% 1.50% 12.15% 9.21% 72.30% 214.73% 282.68%
Market Price 8.39% 1.50% 12.16% 9.21% 72.35% 215.01% 282.68%
INDEX PERFORMANCE
StrataQuant(R) Materials Index 9.15% 12.30% 12.95% 10.02% 78.62% 237.99% 328.07%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Materials Index -5.06% 9.71% 10.70% 6.92% 58.92% 176.35% 176.92%
Russell 1000(R) Basic
Materials Index(1) -5.53% 9.29% 10.90% N/A 55.93% 181.33% N/A
------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 8.37% during the period covered by this
report. During the same period, the S&P 500(R) Materials Index (the "Benchmark")
generated a return of -5.06%. Two industries received the majority of the Fund's
allocation during the period covered by this report. Investments in the
Chemicals industry received an allocation of 50.2% and caused a 4.2%
contribution to the Fund's overall return. The Metals & Mining industry carried
an average weight of 35.2% and contributed 5.8% to the Fund's return, the
greatest contribution of any industry. The most significant drag on the Fund's
return came from investments in the Containers & Packaging industry, which
contributed -0.7% to Fund return during the same period.
-----------------------------
(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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Materials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Materials AlphaDEX(R) Fund ("FXZ"). Neither FTP, the Trust
nor FXZ is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXZ particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXZ or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXZ into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXZ to be issued or in the determination or calculation of the equation by which
FXZ is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXZ. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 16
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Materials 93.1%
Industrials 6.9
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
United States Steel Corp. 5.7%
Nucor Corp. 5.6
Steel Dynamics, Inc. 5.1
Cleveland-Cliffs, Inc. 5.0
Reliance Steel & Aluminum Co. 4.9
Huntsman Corp. 4.4
Westlake Corp. 4.3
Olin Corp. 3.4
Mosaic (The) Co. 3.4
CF Industries Holdings, Inc. 3.4
-------
Total 45.2%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 12,148 12,202 11,089 11,345 11,530
7/31/13 12,540 12,641 12,623 11,874 12,126
1/31/14 14,063 14,233 13,554 13,092 13,323
7/31/14 14,764 14,991 14,777 14,618 14,541
1/31/15 13,705 13,954 15,420 14,389 14,273
7/31/15 14,119 14,428 16,437 13,999 14,118
1/31/16 12,087 12,388 15,140 12,017 12,327
7/31/16 16,022 16,483 17,233 15,175 15,673
1/31/17 17,723 18,292 18,291 16,405 17,051
7/31/17 18,267 18,920 19,981 17,386 18,041
1/31/18 21,537 22,390 23,016 20,220 20,888
7/31/18 20,678 21,572 23,214 19,375 20,120
1/3/119 17,911 18,740 22,515 17,471 18,092
7/31/19 18,595 19,533 25,073 19,347 19,986
1/31/20 18,071 19,058 27,332 19,359 20,079
7/31/20 17,705 18,744 28,089 20,570 21,128
1/31/21 23,712 25,201 32,755 24,324 24,390
7/31/21 29,040 30,965 38,755 29,111 29,780
1/31/22 29,697 31,776 39,410 29,547 29,408
7/31/22 31,473 33,799 36,092 27,635 28,133
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -16.64% 18.53% 17.91% 11.77% 134.00% 419.23% 444.84%
Market Price -16.64% 18.53% 17.91% 11.77% 133.93% 419.42% 444.78%
INDEX PERFORMANCE
StrataQuant(R) Technology Index -16.16% 19.26% 18.64% 12.57% 141.24% 452.25% 506.77%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Information
Technology Index -5.51% 22.27% 20.09% 14.67% 173.26% 523.70% 704.30%
Russell 1000(R) Technology
Index(1) -11.86% 21.12% 19.19% N/A 160.71% 478.78% N/A
------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -16.64% 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 -5.51%. The Software industry received an
allocation of 31.1%, the greatest allocation of any industry in the Fund, during
the period covered by this report. Investments in the Software industry earned a
-7.8% contribution to the Fund's return, the worst contribution to return of any
invested industry. No industry had a significantly positive contribution to the
Fund's return, although a few had small positive contributions. The most
significant positive contribution to the Fund's return was the 0.4% contribution
from Vertiv Holdings Co., which was the only representative of the Electrical
Equipment industry in the Fund, making this the best contributing industry
during the same period.
-----------------------------
(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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Technology
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Technology AlphaDEX(R) Fund ("FXL"). Neither FTP, the Trust
nor FXL is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXL particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXL or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXL into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXL to be issued or in the determination or calculation of the equation by which
FXL is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXL. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 18
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 87.0%
Industrials 8.3
Communication Services 4.1
Health Care 0.6
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
ON Semiconductor Corp. 2.0%
Cirrus Logic, Inc. 1.8
Skyworks Solutions, Inc. 1.8
Corning, Inc. 1.8
Jabil, Inc. 1.7
Arrow Electronics, Inc. 1.7
IPG Photonics Corp. 1.7
Micron Technology, Inc. 1.7
Avnet, Inc. 1.7
Qorvo, Inc. 1.7
-------
Total 17.6%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 10,948 10,993 11,089 10,167 10,066
7/31/13 12,454 12,554 12,623 11,114 10,984
1/31/14 14,340 14,514 13,554 12,558 12,478
7/31/14 15,268 15,506 14,777 14,239 14,196
1/31/15 16,121 16,424 15,420 14,878 14,743
7/31/15 16,905 17,278 16,437 16,058 15,729
1/31/16 14,677 15,051 15,140 15,598 15,087
7/31/16 16,975 17,467 17,233 17,628 17,166
1/31/17 19,314 19,865 18,291 19,484 19,066
7/31/17 22,190 22,893 19,981 22,824 22,201
1/31/18 27,345 28,307 23,016 27,884 27,030
7/31/18 27,859 28,935 23,214 29,322 28,376
1/31/19 29,165 30,295 22,515 27,631 27,096
7/31/19 34,322 35,766 25,073 33,933 32,296
1/31/20 36,391 38,073 27,332 40,363 38,096
7/31/20 44,387 46,594 28,089 47,136 45,212
1/31/21 55,213 58,178 32,755 55,352 54,051
7/31/21 62,296 65,874 38,755 66,008 65,667
1/31/22 58,372 61,915 39,410 69,981 67,946
7/31/22 51,923 55,225 36,092 62,370 57,878
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 13.69% 7.45% 9.69% 6.77% 43.20% 152.21% 171.19%
Market Price 13.72% 7.45% 9.70% 6.77% 43.25% 152.28% 171.24%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index 14.57% 8.14% 10.50% 7.60% 47.89% 171.48% 205.26%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Utilities Index 15.58% 10.43% 10.79% 7.70% 64.20% 178.53% 209.67%
Russell 1000(R) Utilities
Index(1) 14.55% 9.66% 9.49% N/A 58.58% 147.56% N/A
------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 13.69% during the period covered by this
report. During the same period, the S&P 500(R) Utilities Index (the "Benchmark")
generated a return of 15.58%. The Fund allocated 56.9% to the Electric Utilities
industry during the same period. This was by far the largest allocation of any
industry during the period covered by this report. Investments in this industry
caused a 6.3% contribution to the Fund's return, which is also the greatest of
any industry during the period. Almost every invested industry had a positive
contribution to the Fund's return during the period covered by this report. The
most negative contribution to the Fund's return came from the small allocation
to the Electrical Equipment industry. The only holding in this industry was
Sunrun, Inc. and its contribution to the Fund's return was -0.1%.
-----------------------------
(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.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Utilities
Index (the "Utilities Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Utilities AlphaDEX(R) Fund ("FXU"). Neither FTP,
the Trust nor FXU is sponsored, endorsed, sold or promoted by ICE Data, its
affiliates or its Third Party Suppliers including without limitation Frank
Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make
no representations or warranties regarding the advisability of investing in
securities generally, in FXU particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXU or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXU into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXU to be issued or in the determination or calculation of the equation by which
FXU is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXU. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 20
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Utilities 87.0%
Industrials 13.0
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Vistra Corp. 4.4%
UGI Corp. 4.4
National Fuel Gas Co. 4.3
Waste Management, Inc. 4.2
OGE Energy Corp. 4.2
Republic Services, Inc. 4.2
Pinnacle West Capital Corp. 4.0
NRG Energy, Inc. 3.9
PG&E Corp. 3.4
Avangrid, Inc. 3.3
-------
Total 40.3%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 10,413 10,449 11,089 9,883 9,922
7/31/13 11,591 11,734 12,623 10,801 10,867
1/31/14 11,920 12,119 13,554 10,989 10,938
7/31/14 13,108 13,379 14,777 11,801 11,928
1/31/15 14,792 15,146 15,420 14,086 12,812
7/31/15 13,863 14,241 16,437 13,033 12,412
1/31/16 14,007 14,444 15,140 13,737 13,141
7/31/16 17,003 17,605 17,233 16,045 15,475
1/31/17 17,129 17,797 18,291 15,414 14,983
7/31/17 17,611 18,356 19,981 16,961 15,612
1/31/18 16,645 17,405 23,016 16,543 15,681
7/31/18 17,418 18,286 23,214 17,440 15,790
1/31/19 18,517 19,509 22,515 18,376 16,520
7/31/19 19,458 20,539 25,073 20,323 18,119
1/31/20 20,337 21,533 27,332 23,944 20,728
7/31/20 19,320 20,489 28,089 21,509 18,718
1/31/21 19,859 21,143 32,755 22,352 19,777
7/31/21 22,181 23,695 38,755 24,096 21,616
1/31/22 23,456 25,119 39,410 25,676 22,902
7/31/22 25,221 27,148 36,092 27,853 24,756
</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, 2022 (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, 2022.
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, 2022 JULY 31, 2022 PERIOD PERIOD (a)
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
Actual $1,000.00 $ 866.00 0.63% $2.91
Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
Actual $1,000.00 $1,036.50 0.62% $3.13
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
Actual $1,000.00 $1,263.40 0.61% $3.42
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
Actual $1,000.00 $ 905.60 0.62% $2.93
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
Actual $1,000.00 $ 981.90 0.61% $3.00
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, 2022 (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, 2022 JULY 31, 2022 PERIOD PERIOD (a)
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
Actual $1,000.00 $ 933.00 0.62% $2.97
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
Actual $1,000.00 $1,059.80 0.61% $3.12
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
Actual $1,000.00 $ 889.60 0.62% $2.90
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
Actual $1,000.00 $1,075.00 0.63% $3.24
Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
</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,
2022 through July 31, 2022), 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, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AIRLINES -- 3.7%
98,690 Alaska Air Group, Inc. (a) $ 4,374,928
44,916 Copa Holdings S.A., Class A (a) 3,019,253
68,221 Delta Air Lines, Inc. (a) 2,169,428
340,021 JetBlue Airways Corp. (a) 2,862,977
54,718 Southwest Airlines Co. (a) 2,085,850
---------------
14,512,436
---------------
AUTO COMPONENTS -- 2.5%
118,450 BorgWarner, Inc. 4,555,587
101,749 Gentex Corp. 2,871,357
15,696 Lear Corp. 2,372,293
---------------
9,799,237
---------------
AUTOMOBILES -- 5.7%
443,923 Ford Motor Co. 6,521,229
155,574 General Motors Co. (a) 5,641,113
124,851 Harley-Davidson, Inc. 4,720,616
66,114 Thor Industries, Inc. 5,575,394
---------------
22,458,352
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.8%
8,729 Copart, Inc. (a) 1,118,185
143,522 Driven Brands Holdings, Inc. (a) 4,360,198
60,313 IAA, Inc. (a) 2,275,609
81,494 Rollins, Inc. 3,143,224
---------------
10,897,216
---------------
DISTRIBUTORS -- 2.8%
37,145 Genuine Parts Co. 5,678,356
80,525 LKQ Corp. 4,415,991
2,701 Pool Corp. 966,148
---------------
11,060,495
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.0%
30,215 Grand Canyon Education, Inc. (a) 2,902,755
13,729 Service Corp. International 1,022,261
---------------
3,925,016
---------------
ENTERTAINMENT -- 7.0%
23,396 Electronic Arts, Inc. 3,070,257
62,272 Liberty Media Corp.-Liberty
Formula One, Class C (a) 4,220,173
23,929 Live Nation Entertainment,
Inc. (a) 2,249,087
18,841 Madison Square Garden Sports
Corp. (a) 2,897,369
11,303 Netflix, Inc. (a) 2,542,045
149,268 Playtika Holding Corp. (a) 1,831,518
7,738 Take-Two Interactive Software,
Inc. (a) 1,027,065
368,166 Warner Bros Discovery,
Inc. (a) (b) 5,522,490
63,251 World Wrestling Entertainment,
Inc., Class A 4,383,927
---------------
27,743,931
---------------
FOOD & STAPLES RETAILING -- 2.8%
79,277 BJ's Wholesale Club Holdings,
Inc. (a) 5,367,053
8,246 Costco Wholesale Corp. 4,463,560
7,804 Walmart, Inc. 1,030,518
---------------
10,861,131
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
-- 10.3%
30,968 Aramark $ 1,034,331
548 Booking Holdings, Inc. (a) 1,060,758
57,202 Boyd Gaming Corp. 3,175,283
720 Chipotle Mexican Grill, Inc. (a) 1,126,238
8,504 Choice Hotels International,
Inc. 1,027,878
10,317 Churchill Downs, Inc. 2,164,507
17,470 Darden Restaurants, Inc. 2,174,840
2,438 Domino's Pizza, Inc. 955,964
8,506 Hilton Worldwide Holdings, Inc. 1,089,363
28,237 Las Vegas Sands Corp. (a) 1,064,253
20,919 Marriott International, Inc.,
Class A 3,322,356
8,168 Marriott Vacations Worldwide
Corp. 1,118,363
11,527 McDonald's Corp. 3,035,866
98,309 MGM Resorts International 3,217,654
129,940 Penn National Gaming, Inc. (a) 4,489,427
13,945 Planet Fitness, Inc.,
Class A (a) 1,099,005
43,716 Six Flags Entertainment
Corp. (a) 991,042
12,420 Starbucks Corp. 1,052,968
24,433 Travel + Leisure Co. 1,053,307
4,355 Vail Resorts, Inc. 1,032,701
50,246 Wendy's (The) Co. 1,056,673
14,432 Wyndham Hotels & Resorts, Inc. 1,001,725
16,645 Wynn Resorts Ltd. (a) 1,056,625
17,410 Yum! Brands, Inc. 2,133,421
---------------
40,534,548
---------------
HOUSEHOLD DURABLES -- 12.1%
74,650 D.R. Horton, Inc. 5,824,939
28,969 Garmin Ltd. 2,827,954
114,304 Leggett & Platt, Inc. 4,531,011
70,018 Lennar Corp., Class A 5,951,530
207,595 Newell Brands, Inc. 4,195,495
990 NVR, Inc. (a) 4,349,169
124,676 PulteGroup, Inc. 5,438,367
133,170 Tempur Sealy International, Inc. 3,659,512
110,778 Toll Brothers, Inc. 5,448,062
31,899 Whirlpool Corp. 5,514,380
---------------
47,740,419
---------------
LEISURE PRODUCTS -- 2.2%
221,261 Mattel, Inc. (a) 5,133,255
28,670 Polaris, Inc. 3,362,418
---------------
8,495,673
---------------
MEDIA -- 6.1%
88,488 Fox Corp., Class A 2,929,838
71,788 Interpublic Group of (The) Cos.,
Inc. 2,144,308
70,834 New York Times (The) Co.,
Class A 2,263,146
253,698 News Corp., Class A 4,348,384
24,263 Nexstar Media Group, Inc.,
Class A 4,570,421
31,075 Omnicom Group, Inc. 2,170,278
200,198 Paramount Global, Class B 4,734,683
154,758 Sirius XM Holdings, Inc. (b) 1,033,783
---------------
24,194,841
---------------
See Notes to Financial Statements Page 25
<PAGE>
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL -- 6.4%
16,108 Dollar General Corp. $ 4,001,710
25,360 Dollar Tree, Inc. (a) 4,193,530
138,435 Kohl's Corp. 4,033,996
269,700 Macy's, Inc. 4,760,205
134,688 Nordstrom, Inc. 3,166,515
33,634 Ollie's Bargain Outlet Holdings,
Inc. (a) 1,982,724
20,148 Target Corp. 3,291,780
---------------
25,430,460
---------------
PERSONAL PRODUCTS -- 0.7%
246,733 Coty, Inc., Class A (a) 1,806,086
3,731 Estee Lauder (The) Cos., Inc.,
Class A 1,018,936
---------------
2,825,022
---------------
ROAD & RAIL -- 2.7%
10,331 AMERCO 5,548,574
13,435 Avis Budget Group, Inc. (a) 2,445,573
124,765 Hertz Global Holdings,
Inc. (a) (b) 2,672,466
---------------
10,666,613
---------------
SPECIALTY RETAIL -- 19.3%
5,485 Advance Auto Parts, Inc. 1,062,006
44,210 AutoNation, Inc. (a) 5,249,495
1,834 AutoZone, Inc. (a) 3,919,973
105,717 Bath & Body Works, Inc. 3,757,182
60,638 Best Buy Co., Inc. 4,668,520
31,451 CarMax, Inc. (a) 3,130,633
65,558 Dick's Sporting Goods, Inc. (b) 6,135,573
345,383 Gap (The), Inc. 3,322,584
3,456 Home Depot (The), Inc. 1,040,049
17,980 Lithia Motors, Inc. 4,769,734
11,317 Lowe's Cos., Inc. 2,167,545
4,509 O'Reilly Automotive, Inc. (a) 3,172,487
47,193 Penske Automotive Group, Inc. 5,403,127
134,084 Petco Health & Wellness Co.,
Inc. (a) (b) 1,866,449
18,623 RH (a) 5,203,825
28,141 Ross Stores, Inc. 2,286,738
50,959 TJX (The) Cos., Inc. 3,116,652
10,197 Tractor Supply Co. 1,952,522
12,812 Ulta Beauty, Inc. (a) 4,982,715
101,749 Victoria's Secret & Co. (a) 3,760,643
35,627 Williams-Sonoma, Inc. 5,145,251
---------------
76,113,703
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 11.3%
120,476 Capri Holdings Ltd. (a) 5,864,772
56,079 Carter's, Inc. 4,569,317
55,224 Columbia Sportswear Co. 4,087,128
11,146 Deckers Outdoor Corp. (a) 3,491,039
276,579 Hanesbrands, Inc. 3,092,153
86,836 PVH Corp. 5,376,885
44,094 Ralph Lauren Corp. 4,348,991
138,871 Skechers U.S.A., Inc.,
Class A (a) 5,271,543
129,505 Tapestry, Inc. 4,355,253
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS
(CONTINUED)
237,258 Under Armour, Inc., Class A (a) $ 2,197,009
44,749 VF Corp. 1,999,386
---------------
44,653,476
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.6%
16,620 SiteOne Landscape Supply,
Inc. (a) 2,315,664
---------------
TOTAL COMMON STOCKS -- 100.0% 394,228,233
(Cost $453,732,412) ---------------
MONEY MARKET FUNDS -- 1.4%
5,242,585 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 5,242,585
207,555 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 207,555
---------------
TOTAL MONEY MARKET FUNDS
-- 1.4% 5,450,140
(Cost $5,450,140) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.2%
$ 4,618,278 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$4,619,110. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $4,716,166. (d) 4,618,278
(Cost $4,618,278) ---------------
TOTAL INVESTMENTS -- 102.6% 404,296,651
(Cost $463,800,830)
NET OTHER ASSETS AND
LIABILITIES -- (2.6)% (10,179,732)
---------------
NET ASSETS -- 100.0% $ 394,116,919
===============
(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 $9,817,113 and the
total value of the collateral held by the Fund is $9,860,863.
(c) Rate shown reflects yield as of July 31, 2022.
(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, 2022
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 9,817,113
Non-cash Collateral(2) (9,817,113)
---------------
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, 2022, 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) $ 4,618,278
Non-cash Collateral(4) (4,618,278)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 394,228,233 $ 394,228,233 $ -- $ --
Money Market Funds.............................. 5,450,140 5,450,140 -- --
Repurchase Agreements........................... 4,618,278 -- 4,618,278 --
-----------------------------------------------------------------------------
Total Investments............................... $ 404,296,651 $ 399,678,373 $ 4,618,278 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
<PAGE>
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BEVERAGES -- 15.3%
148,652 Brown-Forman Corp., Class B $ 11,032,951
331,566 Coca-Cola (The) Co. 21,276,590
147,351 Keurig Dr Pepper, Inc. 5,708,378
382,660 Molson Coors Beverage Co.,
Class B 22,863,935
168,760 Monster Beverage Corp. (a) 16,811,871
125,157 PepsiCo, Inc. 21,897,469
---------------
99,591,194
---------------
CHEMICALS -- 1.7%
192,638 Corteva, Inc. 11,086,317
---------------
FOOD & STAPLES RETAILING
-- 23.1%
585,483 Albertsons Cos., Inc., Class A 15,720,219
56,382 Casey's General Stores, Inc. 11,425,812
611,624 Grocery Outlet Holding Corp. (a) 26,128,577
220,356 Kroger (The) Co. 10,233,333
567,062 Performance Food Group Co. (a) 28,188,652
307,797 Sysco Corp. 26,131,965
169,971 US Foods Holding Corp. (a) 5,354,086
687,956 Walgreens Boots Alliance, Inc. 27,256,817
---------------
150,439,461
---------------
FOOD PRODUCTS -- 40.3%
201,600 Archer-Daniels-Midland Co. 16,686,432
230,002 Bunge Ltd. 21,236,085
108,527 Campbell Soup Co. 5,355,807
456,895 Conagra Brands, Inc. 15,630,378
348,810 Darling Ingredients, Inc. (a) 24,165,557
198,128 Flowers Foods, Inc. 5,628,816
72,711 Hershey (The) Co. 16,575,200
236,602 Ingredion, Inc. 21,526,050
81,473 J.M. Smucker (The) Co. 10,780,507
292,387 Kellogg Co. 21,613,247
136,726 Kraft Heinz (The) Co. 5,035,619
218,922 Lamb Weston Holdings, Inc. 17,439,327
83,987 Mondelez International, Inc.,
Class A 5,378,527
834,887 Pilgrim's Pride Corp. (a) 26,190,405
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
253,295 Post Holdings, Inc. (a) $ 22,021,467
302,970 Tyson Foods, Inc., Class A 26,664,390
---------------
261,927,814
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 10.8%
184,291 AmerisourceBergen Corp. 26,893,586
168,834 CVS Health Corp. 16,154,037
79,929 McKesson Corp. 27,302,148
---------------
70,349,771
---------------
HOUSEHOLD PRODUCTS -- 8.7%
112,555 Church & Dwight Co., Inc. 9,901,463
36,990 Clorox (The) Co. 5,246,662
130,139 Colgate-Palmolive Co. 10,247,145
115,754 Kimberly-Clark Corp. 15,255,220
72,532 Procter & Gamble (The) Co. 10,075,420
191,225 Reynolds Consumer Products,
Inc. 5,556,998
---------------
56,282,908
---------------
TOTAL COMMON STOCKS -- 99.9% 649,677,465
(Cost $623,024,925) ---------------
MONEY MARKET FUNDS -- 0.1%
901,283 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 901,283
(Cost $901,283) ---------------
TOTAL INVESTMENTS -- 100.0% 650,578,748
(Cost $623,926,208)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 74,740
---------------
NET ASSETS -- 100.0% $ 650,653,488
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 649,677,465 $ 649,677,465 $ -- $ --
Money Market Funds.............................. 901,283 901,283 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 650,578,748 $ 650,578,748 $ -- $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 28 See Notes to Financial Statements
<PAGE>
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
ENERGY EQUIPMENT & SERVICES
-- 4.3%
425,113 Baker Hughes Co. $ 10,921,153
1,174,005 Halliburton Co. 34,398,346
725,740 NOV, Inc. 13,506,021
343,186 Schlumberger N.V. 12,708,178
---------------
71,533,698
---------------
OIL, GAS & CONSUMABLE FUELS
-- 91.2%
2,712,076 Antero Midstream Corp. 27,283,485
2,001,966 Antero Resources Corp. (a) 79,357,932
703,256 APA Corp. 26,140,026
461,232 Cheniere Energy, Inc. 68,991,083
151,346 Chesapeake Energy Corp. 14,252,253
254,312 Chevron Corp. 41,651,219
546,563 ConocoPhillips 53,251,633
938,955 Continental Resources, Inc. 64,684,610
1,903,402 Coterra Energy, Inc. 58,225,067
1,113,460 Devon Energy Corp. 69,980,961
405,216 Diamondback Energy, Inc. 51,875,752
500,713 DT Midstream, Inc. 27,554,236
214,484 Enviva, Inc. (b) 14,934,521
444,493 EOG Resources, Inc. 49,436,511
356,741 EQT Corp. 15,707,306
429,892 Exxon Mobil Corp. 41,669,432
463,344 Hess Corp. 52,112,300
543,502 HF Sinclair Corp. 25,990,266
1,464,455 Kinder Morgan, Inc. 26,345,545
2,729,595 Marathon Oil Corp. 67,693,956
298,531 Marathon Petroleum Corp. 27,363,351
930,438 New Fortress Energy, Inc. 45,563,549
1,042,114 Occidental Petroleum Corp. 68,518,995
663,332 ONEOK, Inc. 39,627,454
1,110,878 Ovintiv, Inc. 56,754,757
796,756 PDC Energy, Inc. 52,338,902
299,355 Phillips 66 26,642,595
275,049 Pioneer Natural Resources Co. 65,172,861
1,487,552 Range Resources Corp. (a) 49,193,345
9,817,806 Southwestern Energy Co. (a) 69,313,710
822,665 Targa Resources Corp. 56,854,378
24,779 Texas Pacific Land Corp. 45,440,969
230,978 Valero Energy Corp. 25,585,433
393,234 Williams (The) Cos., Inc. 13,405,347
---------------
1,518,913,740
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.3%
188,578 Enphase Energy, Inc. (a) 53,590,096
180,115 First Solar, Inc. (a) 17,862,005
---------------
71,452,101
---------------
TOTAL COMMON STOCKS -- 99.8% 1,661,899,539
(Cost $1,431,911,287) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.2%
141,319 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) $ 141,319
2,422,101 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 2,422,101
---------------
TOTAL MONEY MARKET FUNDS
-- 0.2% 2,563,420
(Cost $2,563,420) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.0%
$ 124,491 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$124,513. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $127,129. (d) 124,491
(Cost $124,491) ---------------
TOTAL INVESTMENTS -- 100.0% 1,664,587,450
(Cost $1,434,599,198)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 703,455
---------------
NET ASSETS -- 100.0% $ 1,665,290,905
===============
(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 $264,594 and the
total value of the collateral held by the Fund is $265,810.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
See Notes to Financial Statements Page 29
<PAGE>
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
---------------------------------
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) $ 264,594
Non-cash Collateral(2) (264,594)
---------------
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, 2022, 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) $ 124,491
Non-cash Collateral(4) (124,491)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 1,661,899,539 $ 1,661,899,539 $ -- $ --
Money Market Funds.............................. 2,563,420 2,563,420 -- --
Repurchase Agreements........................... 124,491 -- 124,491 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,664,587,450 $ 1,664,462,959 $ 124,491 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 30 See Notes to Financial Statements
<PAGE>
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BANKS -- 20.6%
234,552 Bank of America Corp. $ 7,930,203
389,104 Bank OZK 15,603,070
96,607 BOK Financial Corp. 8,504,314
317,529 Citigroup, Inc. 16,479,755
306,876 Citizens Financial Group, Inc. 11,652,082
99,505 Comerica, Inc. 7,738,504
56,337 East West Bancorp, Inc. 4,043,870
672,336 F.N.B. Corp. 8,041,139
217,305 Fifth Third Bancorp 7,414,447
5,583 First Citizens BancShares, Inc.,
Class A 4,224,544
160,753 First Hawaiian, Inc. 4,097,594
303,474 Huntington Bancshares, Inc. 4,033,169
64,838 JPMorgan Chase & Co. 7,479,712
635,657 KeyCorp 11,632,523
22,901 M&T Bank Corp. 4,063,782
547,759 PacWest Bancorp 15,353,685
100,974 Pinnacle Financial Partners,
Inc. 7,987,043
23,140 PNC Financial Services Group
(The), Inc. 3,839,852
142,368 Popular, Inc. 11,057,723
106,954 Prosperity Bancshares, Inc. 7,924,222
584,125 Regions Financial Corp. 12,371,767
20,372 Signature Bank 3,780,432
202,544 Synovus Financial Corp. 8,178,727
153,948 Truist Financial Corp. 7,769,756
79,334 U.S. Bancorp 3,744,565
372,813 Wells Fargo & Co. 16,355,306
103,422 Western Alliance Bancorp 7,899,372
45,547 Wintrust Financial Corp. 3,918,864
143,448 Zions Bancorp N.A. 7,825,088
---------------
240,945,110
---------------
CAPITAL MARKETS -- 28.4%
125,239 Affiliated Managers Group, Inc. 15,827,705
262,582 Bank of New York Mellon (The)
Corp. 11,411,814
576,565 Carlyle Group (The), Inc. 22,434,144
388,217 Coinbase Global, Inc.,
Class A (a) (b) 24,442,142
195,001 Evercore, Inc., Class A 19,494,250
783,094 Franklin Resources, Inc. 21,495,930
49,165 Goldman Sachs Group (The), Inc. 16,391,119
38,819 Intercontinental Exchange, Inc. 3,959,150
1,131,675 Invesco Ltd. 20,075,915
776,434 Janus Henderson Group PLC 20,008,704
660,893 Jefferies Financial Group, Inc. 21,525,285
78,865 KKR & Co., Inc. 4,373,853
337,932 Lazard Ltd., Class A 12,729,899
98,949 LPL Financial Holdings, Inc. 20,771,374
95,997 Morgan Stanley 8,092,547
37,839 Northern Trust Corp. 3,775,575
122,494 Raymond James Financial, Inc. 12,061,984
270,332 SEI Investments Co. 14,965,580
177,657 State Street Corp. 12,620,753
195,508 Stifel Financial Corp. 11,693,334
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
160,675 T. Rowe Price Group, Inc. $ 19,838,542
623,800 Virtu Financial, Inc., Class A 14,553,254
---------------
332,542,853
---------------
CONSUMER FINANCE -- 6.2%
435,787 Ally Financial, Inc. 14,411,476
30,844 Credit Acceptance Corp. (a) (b) 17,763,368
154,402 Discover Financial Services 15,594,602
488,336 OneMain Holdings, Inc. 18,166,099
229,036 SLM Corp. 3,572,962
115,461 Upstart Holdings, Inc. (a) (b) 2,809,166
---------------
72,317,673
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 3.3%
66,862 Berkshire Hathaway, Inc.,
Class B (b) 20,098,717
280,074 Equitable Holdings, Inc. 7,962,504
183,977 Voya Financial, Inc. 11,068,056
---------------
39,129,277
---------------
INSURANCE -- 32.3%
197,949 Aflac, Inc. 11,342,478
57,615 Allstate (The) Corp. 6,739,226
26,297 American Financial Group, Inc. 3,515,383
285,608 American International Group,
Inc. 14,785,926
240,765 Arch Capital Group Ltd. (b) 10,689,966
67,175 Arthur J. Gallagher & Co. 12,023,653
105,605 Assurant, Inc. 18,563,247
261,754 Assured Guaranty Ltd. 15,283,816
255,789 Axis Capital Holdings Ltd. 12,914,787
356,002 Brighthouse Financial, Inc. (b) 15,457,607
55,712 Chubb Ltd. 10,509,512
122,738 Cincinnati Financial Corp. 11,947,317
37,993 Erie Indemnity Co., Class A 7,726,256
65,129 Everest Re Group Ltd. 17,021,464
493,885 Fidelity National Financial,
Inc. 19,735,645
344,932 First American Financial Corp. 20,006,056
37,458 Globe Life, Inc. 3,773,144
24,964 Hanover Insurance Group (The),
Inc. 3,406,837
223,187 Hartford Financial Services
Group (The), Inc. 14,388,866
234,179 Lincoln National Corp. 12,022,750
184,820 Loews Corp. 10,765,765
11,292 Markel Corp. (b) 14,647,305
47,033 Marsh & McLennan Cos., Inc. 7,711,531
116,284 MetLife, Inc. 7,354,963
816,365 Old Republic International Corp. 18,996,814
54,658 Principal Financial Group, Inc. 3,658,806
156,995 Progressive (The) Corp. 18,063,845
114,465 Prudential Financial, Inc. 11,445,355
70,041 RenaissanceRe Holdings Ltd. 9,057,002
64,754 Travelers (The) Cos., Inc. 10,276,460
429,250 Unum Group 13,817,557
53,481 W.R. Berkley Corp. 3,344,167
36,994 Willis Towers Watson PLC 7,655,538
---------------
378,649,044
---------------
See Notes to Financial Statements Page 31
<PAGE>
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES -- 0.4%
25,613 Broadridge Financial Solutions,
Inc. $ 4,112,167
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 4.3%
3,088,649 Annaly Capital Management, Inc. 21,249,905
1,958,573 New Residential Investment Corp. 21,368,031
349,522 Starwood Property Trust, Inc. 8,255,710
---------------
50,873,646
---------------
THRIFTS & MORTGAGE FINANCE
-- 4.4%
1,448,726 MGIC Investment Corp. 20,484,986
1,599,467 New York Community Bancorp,
Inc. 16,986,340
1,488,091 Rocket Cos., Inc., Class A (a) 14,166,626
---------------
51,637,952
---------------
TOTAL COMMON STOCKS -- 99.9% 1,170,207,722
(Cost $1,231,385,831) ---------------
MONEY MARKET FUNDS -- 2.1%
23,354,505 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 23,354,505
1,348,648 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 1,348,648
---------------
TOTAL MONEY MARKET FUNDS
-- 2.1% 24,703,153
(Cost $24,703,153) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.7%
$ 20,573,364 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$20,577,068. Collateralized
by U.S. Treasury Note,
interest rate of 0.75%, due
01/31/28. The value of the
collateral including accrued
interest is $21,009,432. (d) 20,573,364
(Cost $20,573,364) ---------------
TOTAL INVESTMENTS -- 103.7% 1,215,484,239
(Cost $1,276,662,348)
NET OTHER ASSETS AND
LIABILITIES -- (3.7)% (43,746,495)
---------------
NET ASSETS -- 100.0% $ 1,171,737,744
===============
(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 $43,378,400 and the
total value of the collateral held by the Fund is $43,927,869.
(b) Non-income producing security.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
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) $ 43,378,400
Non-cash Collateral(2) (43,378,400)
---------------
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, 2022, 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) $ 20,573,364
Non-cash Collateral(4) (20,573,364)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 32 See Notes to Financial Statements
<PAGE>
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 1,170,207,722 $ 1,170,207,722 $ -- $ --
Money Market Funds.............................. 24,703,153 24,703,153 -- --
Repurchase Agreements........................... 20,573,364 -- 20,573,364 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,215,484,239 $ 1,194,910,875 $ 20,573,364 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 33
<PAGE>
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BIOTECHNOLOGY -- 25.2%
155,531 AbbVie, Inc. $ 22,320,254
115,291 Alnylam Pharmaceuticals,
Inc. (a) 16,375,934
97,908 Amgen, Inc. 24,229,293
82,454 Biogen, Inc. (a) 17,732,557
1,430,211 Exelixis, Inc. (a) 29,920,014
272,047 Gilead Sciences, Inc. 16,254,808
210,822 Horizon Therapeutics PLC (a) 17,491,901
313,566 Incyte Corp. (a) 24,357,807
643,480 Ionis Pharmaceuticals, Inc. (a) 24,169,109
208,452 Moderna, Inc. (a) 34,204,889
244,373 Neurocrine Biosciences, Inc. (a) 23,002,830
50,373 Regeneron Pharmaceuticals,
Inc. (a) 29,301,470
317,789 Sarepta Therapeutics, Inc. (a) 29,538,488
95,034 Seagen, Inc. (a) 17,104,219
101,094 United Therapeutics Corp. (a) 23,359,791
105,668 Vertex Pharmaceuticals, Inc. (a) 29,630,364
---------------
378,993,728
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 19.1%
154,767 Abbott Laboratories 16,844,840
50,328 Align Technology, Inc. (a) 14,140,658
185,437 Baxter International, Inc. 10,877,734
22,736 Becton, Dickinson and Co. 5,554,632
76,080 Cooper (The) Cos., Inc. 24,878,160
666,712 DENTSPLY SIRONA, Inc. 24,108,306
58,946 Edwards Lifesciences Corp. (a) 5,926,431
433,122 Enovis Corp. (a) 25,866,046
309,052 Envista Holdings Corp. (a) 12,562,964
99,839 Globus Medical, Inc.,
Class A (a) 5,859,551
429,682 Hologic, Inc. (a) 30,670,701
34,096 ICU Medical, Inc. (a) 6,040,788
25,720 Insulet Corp. (a) 6,373,416
220,449 Integra LifeSciences Holdings
Corp. (a) 12,133,513
27,927 Intuitive Surgical, Inc. (a) 6,427,958
42,895 Masimo Corp. (a) 6,201,759
187,355 Medtronic PLC 17,334,085
306,410 QuidelOrtho Corp. (a) 31,266,076
26,740 ResMed, Inc. 6,431,505
48,448 Teleflex, Inc. 11,649,806
53,353 Zimmer Biomet Holdings, Inc. 5,889,638
---------------
287,038,567
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 30.8%
176,119 Acadia Healthcare Co., Inc. (a) 14,602,026
545,618 agilon health, Inc. (a) 13,656,819
159,959 Amedisys, Inc. (a) 19,171,086
140,772 Centene Corp. (a) 13,087,573
35,822 Chemed Corp. 17,233,606
112,997 Cigna Corp. 31,114,854
61,705 Elevance Health, Inc. 29,439,456
425,005 Encompass Health Corp. 21,513,753
141,746 HCA Healthcare, Inc. 30,109,685
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
219,119 Henry Schein, Inc. (a) $ 17,273,151
63,618 Humana, Inc. 30,663,876
127,058 Laboratory Corp. of America
Holdings 33,313,337
106,492 Molina Healthcare, Inc. (a) 34,899,558
667,645 Premier, Inc., Class A 25,677,627
223,918 Quest Diagnostics, Inc. 30,580,481
863,103 Signify Health, Inc.,
Class A (a) 14,767,692
319,925 Tenet Healthcare Corp. (a) 21,153,441
57,973 UnitedHealth Group, Inc. 31,441,077
295,669 Universal Health Services, Inc.,
Class B 33,253,892
---------------
462,952,990
---------------
HEALTH CARE TECHNOLOGY -- 1.7%
555,025 Certara, Inc. (a) 12,760,025
160,973 Doximity, Inc., Class A (a) (b) 6,812,377
28,302 Veeva Systems, Inc., Class A (a) 6,327,761
---------------
25,900,163
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 11.2%
47,191 Agilent Technologies, Inc. 6,328,313
540,684 Avantor, Inc. (a) 15,690,650
189,783 Bruker Corp. 13,009,625
55,666 Charles River Laboratories
International, Inc. (a) 13,946,560
46,983 Danaher Corp. 13,694,135
30,404 Illumina, Inc. (a) 6,587,939
77,495 IQVIA Holdings, Inc. (a) 18,619,724
197,292 Maravai LifeSciences Holdings,
Inc., Class A (a) 5,147,348
83,747 PerkinElmer, Inc. 12,827,528
356,255 QIAGEN N.V. (a) 17,684,498
34,516 Repligen Corp. (a) 7,364,334
234,588 Syneos Health, Inc. (a) 18,565,294
30,952 Thermo Fisher Scientific, Inc. 18,521,986
---------------
167,987,934
---------------
PHARMACEUTICALS -- 11.9%
154,683 Bristol-Myers Squibb Co. 11,412,512
222,032 Catalent, Inc. (a) 25,111,819
73,470 Eli Lilly & Co. 24,222,324
67,098 Johnson & Johnson 11,709,943
326,609 Merck & Co., Inc. 29,179,248
498,231 Organon & Co. 15,803,887
138,160 Perrigo Co. PLC 5,784,759
454,349 Pfizer, Inc. 22,949,168
2,844,030 Viatris, Inc. 27,558,651
32,610 Zoetis, Inc. 5,952,956
---------------
179,685,267
---------------
TOTAL COMMON STOCKS -- 99.9% 1,502,558,649
(Cost $1,380,647,181) ---------------
Page 34 See Notes to Financial Statements
<PAGE>
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.3%
2,618,730 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) $ 2,618,730
1,540,091 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 1,540,091
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 4,158,821
(Cost $4,158,821) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.2%
$ 2,306,882 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$2,307,297. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $2,355,778. (d) 2,306,882
(Cost $2,306,882) ---------------
TOTAL INVESTMENTS -- 100.4% 1,509,024,352
(Cost $1,387,112,884)
NET OTHER ASSETS AND
LIABILITIES -- (0.4)% (5,296,456)
---------------
NET ASSETS -- 100.0% $ 1,503,727,896
===============
(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 $4,909,120 and the
total value of the collateral held by the Fund is $4,925,612.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
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) $ 4,909,120
Non-cash Collateral(2) (4,909,120)
---------------
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, 2022, 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) $ 2,306,882
Non-cash Collateral(4) (2,306,882)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 1,502,558,649 $ 1,502,558,649 $ -- $ --
Money Market Funds.............................. 4,158,821 4,158,821 -- --
Repurchase Agreements........................... 2,306,882 -- 2,306,882 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,509,024,352 $ 1,506,717,470 $ 2,306,882 $ --
=============================================================================
</TABLE>
* 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, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 6.4%
263,675 BWX Technologies, Inc. $ 14,945,099
54,989 Curtiss-Wright Corp. 7,887,622
16,414 General Dynamics Corp. 3,720,561
27,695 HEICO Corp. 4,367,779
230,927 Howmet Aerospace, Inc. 8,574,320
83,362 Huntington Ingalls Industries,
Inc. 18,076,216
15,028 L3Harris Technologies, Inc. 3,606,269
33,781 Lockheed Martin Corp. 13,978,916
30,356 Northrop Grumman Corp. 14,537,488
178,391 Textron, Inc. 11,709,585
---------------
101,403,855
---------------
AIR FREIGHT & LOGISTICS -- 4.2%
179,111 C.H. Robinson Worldwide, Inc. 19,827,588
149,042 Expeditors International of
Washington, Inc. 15,835,712
64,073 FedEx Corp. 14,934,776
167,850 GXO Logistics, Inc. (a) 8,056,800
39,791 United Parcel Service, Inc.,
Class B 7,754,868
---------------
66,409,744
---------------
BUILDING PRODUCTS -- 10.1%
132,829 A.O. Smith Corp. 8,404,091
37,093 Allegion PLC 3,920,730
48,443 Armstrong World Industries, Inc. 4,328,382
650,796 AZEK (The) Co., Inc. (a) 13,458,461
338,129 Builders FirstSource, Inc. (a) 22,992,772
76,094 Carlisle Cos., Inc. 22,531,433
305,501 Carrier Global Corp. 12,381,955
242,576 Fortune Brands Home & Security,
Inc. 16,902,696
1,009,428 Hayward Holdings, Inc. (a) 11,780,025
75,846 Johnson Controls International
PLC 4,088,858
17,579 Lennox International, Inc. 4,210,698
215,305 Masco Corp. 11,923,591
244,339 Owens Corning 22,659,999
---------------
159,583,691
---------------
CHEMICALS -- 2.1%
164,244 Axalta Coating Systems Ltd. (a) 4,142,234
261,350 DuPont de Nemours, Inc. 16,002,460
138,393 RPM International, Inc. 12,510,727
---------------
32,655,421
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.8%
9,726 Cintas Corp. 4,138,316
53,186 Tetra Tech, Inc. 8,151,818
---------------
12,290,134
---------------
CONSTRUCTION & ENGINEERING
-- 5.7%
111,359 AECOM 8,017,848
152,021 MasTec, Inc. (a) 11,999,018
538,185 MDU Resources Group, Inc. 15,375,945
144,863 Quanta Services, Inc. 20,096,844
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSTRUCTION & ENGINEERING
(CONTINUED)
80,829 Valmont Industries, Inc. $ 21,943,457
336,039 WillScot Mobile Mini Holdings
Corp. (a) 12,974,466
---------------
90,407,578
---------------
CONSTRUCTION MATERIALS -- 1.1%
132,116 Eagle Materials, Inc. 16,706,068
---------------
CONSUMER FINANCE -- 2.9%
26,201 American Express Co. 4,035,478
174,270 Capital One Financial Corp. 19,140,074
657,392 Synchrony Financial 22,009,484
---------------
45,185,036
---------------
CONTAINERS & PACKAGING -- 6.8%
292,144 Amcor PLC 3,783,265
35,187 AptarGroup, Inc. 3,791,751
265,849 Berry Global Group, Inc. (a) 15,326,195
78,800 Crown Holdings, Inc. 8,012,384
885,718 Graphic Packaging Holding Co. 19,707,225
105,634 Packaging Corp. of America 14,853,197
188,748 Sealed Air Corp. 11,536,278
263,470 Silgan Holdings, Inc. 11,724,415
455,747 Westrock Co. 19,305,443
---------------
108,040,153
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.8%
1,771,430 ADT, Inc. 12,931,439
---------------
ELECTRICAL EQUIPMENT -- 3.7%
70,723 Acuity Brands, Inc. 12,899,875
33,045 AMETEK, Inc. 4,081,057
28,823 Eaton Corp. PLC 4,277,045
91,310 Emerson Electric Co. 8,224,292
347,731 nVent Electric PLC 12,278,382
63,982 Regal Rexnord Corp. 8,592,783
175,817 Sensata Technologies Holding
PLC 7,818,582
---------------
58,172,016
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.6%
42,885 Littelfuse, Inc. 11,959,340
9,678 Teledyne Technologies, Inc. (a) 3,787,969
631,831 Vontier Corp. 16,301,240
24,708 Zebra Technologies Corp.,
Class A (a) 8,837,804
---------------
40,886,353
---------------
HOUSEHOLD DURABLES -- 2.1%
146,327 Mohawk Industries, Inc. (a) 18,800,093
65,176 TopBuild Corp. (a) 13,799,063
---------------
32,599,156
---------------
INDUSTRIAL CONGLOMERATES -- 0.8%
84,185 3M Co. 12,058,659
---------------
IT SERVICES -- 6.9%
13,078 Accenture PLC, Class A 4,005,268
34,580 Automatic Data Processing, Inc. 8,337,930
Page 36 See Notes to Financial Statements
<PAGE>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
36,099 Euronet Worldwide, Inc. (a) $ 3,547,449
79,232 Fidelity National Information
Services, Inc. 8,094,341
81,636 Fiserv, Inc. (a) 8,627,292
34,569 FleetCor Technologies, Inc. (a) 7,608,291
257,186 Genpact Ltd. 12,365,503
98,465 Global Payments, Inc. 12,044,239
60,519 Jack Henry & Associates, Inc. 12,574,033
11,515 Mastercard, Inc., Class A 4,073,892
31,890 Paychex, Inc. 4,090,849
18,442 Visa, Inc., Class A 3,911,733
440,972 Western Union (The) Co. 7,505,343
70,033 WEX, Inc. (a) 11,640,185
---------------
108,426,348
---------------
LEISURE PRODUCTS -- 1.4%
277,721 Brunswick Corp. 22,251,007
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.8%
32,916 Waters Corp. (a) 11,982,411
---------------
MACHINERY -- 18.9%
183,968 AGCO Corp. 20,037,795
472,224 Allison Transmission Holdings,
Inc. 19,772,019
40,629 Caterpillar, Inc. 8,054,699
165,897 Crane Holdings Co. 16,412,190
56,296 Cummins, Inc. 12,458,868
150,863 Donaldson Co., Inc. 8,208,456
59,868 Dover Corp. 8,003,154
415,017 Esab Corp. 17,107,001
66,770 Fortive Corp. 4,303,326
1,679,661 Gates Industrial Corp. PLC (a) 20,659,830
61,127 Graco, Inc. 4,105,289
19,994 IDEX Corp. 4,173,748
86,302 Ingersoll Rand, Inc. 4,297,840
162,015 ITT, Inc. 12,155,985
117,751 Lincoln Electric Holdings, Inc. 16,654,701
86,907 Middleby (The) Corp. (a) 12,574,574
17,934 Nordson Corp. 4,142,575
176,833 Oshkosh Corp. 15,225,321
205,538 Otis Worldwide Corp. 16,066,905
176,415 PACCAR, Inc. 16,145,501
29,517 Parker-Hannifin Corp. 8,533,070
238,016 Pentair PLC 11,636,602
73,722 Snap-on, Inc. 16,517,414
138,518 Stanley Black & Decker, Inc. 13,481,957
88,483 Westinghouse Air Brake
Technologies Corp. 8,270,506
---------------
298,999,326
---------------
PAPER & FOREST PRODUCTS -- 1.4%
346,450 Louisiana-Pacific Corp. 22,044,614
---------------
PROFESSIONAL SERVICES -- 3.9%
200,935 Booz Allen Hamilton Holding
Corp. 19,285,741
100,403 FTI Consulting, Inc. (a) 16,421,915
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PROFESSIONAL SERVICES (CONTINUED)
190,104 ManpowerGroup, Inc. $ 14,906,054
145,470 Robert Half International, Inc. 11,512,496
---------------
62,126,206
---------------
ROAD & RAIL -- 8.4%
249,931 CSX Corp. 8,080,269
69,188 J.B. Hunt Transport Services,
Inc. 12,680,085
392,242 Knight-Swift Transportation
Holdings, Inc. 21,553,698
124,860 Landstar System, Inc. 19,550,579
15,976 Norfolk Southern Corp. 4,012,692
28,339 Old Dominion Freight Line, Inc. 8,601,170
255,515 Ryder System, Inc. 20,011,935
811,317 Schneider National, Inc.,
Class B 20,550,659
301,607 XPO Logistics, Inc. (a) 18,018,002
---------------
133,059,089
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.3%
176,923 MKS Instruments, Inc. 20,912,299
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 6.8%
434,508 Air Lease Corp. 16,124,592
325,684 Core & Main, Inc., Class A (a) 7,862,012
193,398 MSC Industrial Direct Co., Inc.,
Class A 15,986,279
59,802 United Rentals, Inc. (a) 19,296,311
31,963 W.W. Grainger, Inc. 17,372,849
30,414 Watsco, Inc. 8,331,915
169,535 WESCO International, Inc. (a) 21,673,355
---------------
106,647,313
---------------
TOTAL COMMON STOCKS -- 99.9% 1,575,777,916
(Cost $1,591,975,558) ---------------
MONEY MARKET FUNDS -- 0.8%
13,010,054 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 13,010,054
(Cost $13,010,054) ---------------
TOTAL INVESTMENTS -- 100.7% 1,588,787,970
(Cost $1,604,985,612)
NET OTHER ASSETS AND
LIABILITIES -- (0.7)% (10,561,586)
---------------
NET ASSETS -- 100.0% $ 1,578,226,384
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
See Notes to Financial Statements Page 37
<PAGE>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 1,575,777,916 $ 1,575,777,916 $ -- $ --
Money Market Funds.............................. 13,010,054 13,010,054 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,588,787,970 $ 1,588,787,970 $ -- $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 38 See Notes to Financial Statements
<PAGE>
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 0.9%
227,587 Hexcel Corp. $ 13,771,289
---------------
CHEMICALS -- 48.8%
49,503 Air Products and Chemicals, Inc. 12,288,130
113,940 Albemarle Corp. 27,836,681
115,535 Ashland Global Holdings, Inc. 11,607,801
404,911 Celanese Corp. 47,581,092
555,474 CF Industries Holdings, Inc. 53,042,212
1,487,234 Chemours (The) Co. 52,930,658
922,703 Dow, Inc. 49,097,027
397,864 Eastman Chemical Co. 38,167,094
77,428 Ecolab, Inc. 12,788,783
1,337,666 Element Solutions, Inc. 26,432,280
222,503 FMC Corp. 24,720,083
2,399,661 Huntsman Corp. 69,494,183
99,935 International Flavors &
Fragrances, Inc. 12,396,937
82,805 Linde PLC 25,007,110
544,492 LyondellBasell Industries N.V.,
Class A 48,525,127
1,008,275 Mosaic (The) Co. 53,095,761
39,561 NewMarket Corp. 12,295,559
1,028,971 Olin Corp. 53,784,314
301,433 Scotts Miracle-Gro (The) Co. 26,812,465
1,238,849 Valvoline, Inc. 39,915,715
694,038 Westlake Corp. 67,557,659
---------------
765,376,671
---------------
CONTAINERS & PACKAGING -- 4.1%
147,091 Avery Dennison Corp. 28,014,952
853,841 International Paper Co. 36,518,779
---------------
64,533,731
---------------
MACHINERY -- 2.8%
673,240 Timken (The) Co. 44,016,431
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
METALS & MINING -- 40.0%
783,579 Alcoa Corp. $ 39,876,335
4,426,174 Cleveland-Cliffs, Inc. (a) 78,387,542
1,220,644 Freeport-McMoRan, Inc. 38,511,318
371,120 MP Materials Corp. (a) 12,458,498
399,031 Newmont Corp. 18,068,124
651,562 Nucor Corp. 88,482,120
400,499 Reliance Steel & Aluminum Co. 76,194,935
222,982 Royal Gold, Inc. 23,361,824
717,043 Southern Copper Corp. 35,708,741
2,851,563 SSR Mining, Inc. 46,936,727
1,028,431 Steel Dynamics, Inc. 80,094,206
3,798,444 United States Steel Corp. 89,833,201
---------------
627,913,571
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 3.3%
238,493 Fastenal Co. 12,249,001
1,436,104 Univar Solutions, Inc. (a) 38,832,252
---------------
51,081,253
---------------
TOTAL COMMON STOCKS -- 99.9% 1,566,692,946
(Cost $1,716,354,193) ---------------
MONEY MARKET FUNDS -- 0.1%
1,243,545 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 1,243,545
(Cost $1,243,545) ---------------
TOTAL INVESTMENTS -- 100.0% 1,567,936,491
(Cost $1,717,597,738)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (21,364)
---------------
NET ASSETS -- 100.0% $ 1,567,915,127
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 1,566,692,946 $ 1,566,692,946 $ -- $ --
Money Market Funds.............................. 1,243,545 1,243,545 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,567,936,491 $ 1,567,936,491 $ -- $ --
=============================================================================
</TABLE>
* 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, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
COMMUNICATIONS EQUIPMENT
-- 1.0%
67,468 F5, Inc. (a) $ 11,291,444
---------------
ELECTRICAL EQUIPMENT -- 1.6%
1,595,074 Vertiv Holdings Co. 18,215,745
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 14.4%
203,657 Amphenol Corp., Class A 15,708,064
153,526 Arrow Electronics, Inc. (a) 19,677,427
401,325 Avnet, Inc. 19,211,428
83,216 CDW Corp. 15,106,201
546,139 Corning, Inc. 20,076,070
257,340 II-VI, Inc. (a) 13,546,378
182,821 IPG Photonics Corp. (a) 19,485,062
336,044 Jabil, Inc. 19,940,851
209,919 National Instruments Corp. 7,976,922
143,924 TD SYNNEX Corp. 14,452,848
---------------
165,181,251
---------------
HEALTH CARE TECHNOLOGY -- 0.3%
142,952 Definitive Healthcare Corp. (a) 3,713,893
---------------
INTERACTIVE MEDIA & SERVICES
-- 4.1%
120,322 Alphabet, Inc., Class A (a) 13,995,855
86,294 IAC/InterActiveCorp. (a) 5,911,139
47,034 Match Group, Inc. (a) 3,448,063
106,722 Meta Platforms, Inc.,
Class A (a) 16,979,470
360,999 Pinterest, Inc., Class A (a) 7,032,260
---------------
47,366,787
---------------
IT SERVICES -- 14.5%
143,562 Akamai Technologies, Inc. (a) 13,813,535
157,383 Amdocs Ltd. 13,701,764
254,983 Cognizant Technology Solutions
Corp., Class A 17,328,645
126,871 Concentrix Corp. 16,970,265
567,762 DXC Technology Co. (a) 17,941,279
35,027 EPAM Systems, Inc. (a) 12,233,180
42,696 Gartner, Inc. (a) 11,334,934
37,676 Globant S.A. (a) 7,506,566
148,438 GoDaddy, Inc., Class A (a) 11,011,131
121,885 International Business Machines
Corp. 15,941,339
335,161 Kyndryl Holdings, Inc. (a) 3,509,136
225,787 SS&C Technologies Holdings, Inc. 13,359,817
39,110 Twilio, Inc., Class A (a) 3,316,528
39,178 VeriSign, Inc. (a) 7,410,910
---------------
165,379,029
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.3%
45,463 Azenta, Inc. 3,103,304
---------------
PROFESSIONAL SERVICES -- 6.7%
46,532 CACI International, Inc.,
Class A (a) 14,066,158
744,972 Clarivate PLC (a) 10,794,644
686,981 Dun & Bradstreet Holdings,
Inc. (a) 10,826,821
355,628 KBR, Inc. 18,930,079
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PROFESSIONAL SERVICES (CONTINUED)
102,525 Leidos Holdings, Inc. $ 10,970,175
110,906 Science Applications
International Corp. 10,743,464
---------------
76,331,341
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 25.1%
171,459 Advanced Micro Devices, Inc. (a) 16,197,732
158,428 Allegro MicroSystems, Inc. (a) 3,933,767
89,749 Analog Devices, Inc. 15,433,238
36,029 Applied Materials, Inc. 3,818,353
13,494 Broadcom, Inc. 7,225,767
237,232 Cirrus Logic, Inc. (a) 20,273,847
35,579 Entegris, Inc. 3,910,132
162,512 GLOBALFOUNDRIES,
Inc. (a) (b) 8,366,118
460,006 Intel Corp. 16,702,818
41,091 KLA Corp. 15,760,042
15,384 Lam Research Corp. 7,699,846
135,170 Lattice Semiconductor Corp. (a) 8,312,955
75,301 Marvell Technology, Inc. 4,192,760
177,778 Microchip Technology, Inc. 12,241,793
311,303 Micron Technology, Inc. 19,257,204
26,885 Monolithic Power Systems, Inc. 12,493,997
21,623 NVIDIA Corp. 3,927,385
342,057 ON Semiconductor Corp. (a) 22,842,566
182,451 Qorvo, Inc. (a) 18,987,676
102,643 QUALCOMM, Inc. 14,889,394
185,760 Skyworks Solutions, Inc. 20,225,549
146,416 Teradyne, Inc. 14,771,910
85,334 Texas Instruments, Inc. 15,265,399
---------------
286,730,248
---------------
SOFTWARE -- 23.0%
67,697 Alteryx, Inc., Class A (a) 3,278,566
27,397 ANSYS, Inc. (a) 7,643,489
95,177 AppLovin Corp., Class A (a) 3,382,591
68,822 Cadence Design Systems, Inc. (a) 12,806,398
38,892 Crowdstrike Holdings, Inc.,
Class A (a) 7,140,571
68,834 Datadog, Inc., Class A (a) 7,021,756
144,288 Dolby Laboratories, Inc.,
Class A 11,167,891
289,182 DoubleVerify Holdings, Inc. (a) 6,630,943
491,916 Dropbox, Inc., Class A (a) 11,186,170
166,220 Dynatrace, Inc. (a) 6,254,859
48,439 Elastic N.V. (a) 3,869,792
35,966 Five9, Inc. (a) 3,888,644
231,733 Fortinet, Inc. (a) 13,822,873
157,818 Informatica, Inc.,
Class A (a) (b) 3,614,032
17,008 Intuit, Inc. 7,758,539
132,333 Jamf Holding Corp. (a) 3,234,219
57,206 Manhattan Associates, Inc. (a) 8,047,168
40,204 Microsoft Corp. 11,286,871
331,896 NCR Corp. (a) 10,770,025
65,492 New Relic, Inc. (a) 3,973,400
470,187 NortonLifeLock, Inc. 11,533,687
93,828 Oracle Corp. 7,303,572
26,545 Palo Alto Networks, Inc. (a) 13,248,610
23,403 Paycom Software, Inc. (a) 7,734,457
97,097 PTC, Inc. (a) 11,979,828
Page 40 See Notes to Financial Statements
<PAGE>
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
16,611 Roper Technologies, Inc. $ 7,253,525
19,860 Salesforce, Inc. (a) 3,654,637
21,714 ServiceNow, Inc. (a) 9,698,775
37,055 Splunk, Inc. (a) 3,850,385
43,172 Synopsys, Inc. (a) 15,865,710
177,136 Teradata Corp. (a) 6,782,537
9,859 Tyler Technologies, Inc. (a) 3,933,741
180,203 UiPath, Inc., Class A (a) 3,303,121
95,632 Zoom Video Communications,
Inc., Class A (a) 9,932,340
---------------
262,853,722
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 8.9%
75,521 Apple, Inc. 12,272,918
283,737 Dell Technologies, Inc., Class C 12,785,189
1,297,802 Hewlett Packard Enterprise Co. 18,480,701
524,980 HP, Inc. 17,529,082
100,486 NetApp, Inc. 7,167,666
509,976 Pure Storage, Inc., Class A (a) 14,457,820
383,869 Western Digital Corp. (a) 18,847,968
---------------
101,541,344
---------------
TOTAL COMMON STOCKS -- 99.9% 1,141,708,108
(Cost $1,151,921,894) ---------------
MONEY MARKET FUNDS -- 0.6%
5,359,207 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 5,359,207
2,132,800 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 2,132,800
---------------
TOTAL MONEY MARKET FUNDS
-- 0.6% 7,492,007
(Cost $7,492,007) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.4%
$ 4,721,013 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$4,721,863. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $4,821,078. (d) 4,721,013
(Cost $4,721,013) ---------------
TOTAL INVESTMENTS -- 100.9% 1,153,921,128
(Cost $1,164,134,914)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (10,757,082)
---------------
NET ASSETS -- 100.0% $ 1,143,164,046
===============
(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 $10,674,044 and the
total value of the collateral held by the Fund is $10,080,220.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
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) $ 10,674,044
Non-cash Collateral(2) (10,080,220)
---------------
Net Amount $ 593,824
===============
(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) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2022, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
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) $ 4,721,013
Non-cash Collateral(4) (4,721,013)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 41
<PAGE>
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 1,141,708,108 $ 1,141,708,108 $ -- $ --
Money Market Funds.............................. 7,492,007 7,492,007 -- --
Repurchase Agreements........................... 4,721,013 -- 4,721,013 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,153,921,128 $ 1,149,200,115 $ 4,721,013 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 42 See Notes to Financial Statements
<PAGE>
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
COMMERCIAL SERVICES & SUPPLIES
-- 11.9%
106,572 Clean Harbors, Inc. (a) $ 10,400,362
118,988 Republic Services, Inc. 16,498,876
71,023 Stericycle, Inc. (a) 3,328,848
101,791 Waste Management, Inc. 16,750,727
---------------
46,978,813
---------------
ELECTRIC UTILITIES -- 49.8%
106,275 Alliant Energy Corp. 6,475,336
97,386 American Electric Power Co.,
Inc. 9,598,364
270,112 Avangrid, Inc. 13,162,558
116,198 Duke Energy Corp. 12,773,646
147,742 Edison International 10,012,475
110,597 Entergy Corp. 12,733,033
190,920 Evergy, Inc. 13,032,199
73,739 Eversource Energy 6,505,255
274,880 Exelon Corp. 12,779,171
243,376 FirstEnergy Corp. 10,002,754
228,440 Hawaiian Electric Industries,
Inc. 9,663,012
58,807 IDACORP, Inc. 6,569,918
407,964 NRG Energy, Inc. 15,400,641
403,837 OGE Energy Corp. 16,589,624
1,248,255 PG&E Corp. (a) 13,556,049
212,965 Pinnacle West Capital Corp. 15,646,538
114,795 PPL Corp. 3,338,239
43,674 Southern (The) Co. 3,358,094
88,027 Xcel Energy, Inc. 6,441,816
---------------
197,638,722
---------------
ELECTRICAL EQUIPMENT -- 1.1%
133,322 Sunrun, Inc. (a) 4,358,296
---------------
GAS UTILITIES -- 11.2%
83,347 Atmos Energy Corp. 10,117,492
235,761 National Fuel Gas Co. 17,054,951
403,315 UGI Corp. 17,407,075
---------------
44,579,518
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 6.9%
444,702 AES (The) Corp. $ 9,881,278
681,487 Vistra Corp. 17,616,439
---------------
27,497,717
---------------
MULTI-UTILITIES -- 17.2%
68,933 Ameren Corp. 6,419,041
315,861 CenterPoint Energy, Inc. 10,009,635
92,278 CMS Energy Corp. 6,342,267
130,994 Consolidated Edison, Inc. 13,003,774
39,023 Dominion Energy, Inc. 3,199,106
49,143 DTE Energy Co. 6,403,333
422,434 NiSource, Inc. 12,841,994
20,726 Sempra Energy 3,436,371
61,892 WEC Energy Group, Inc. 6,425,008
---------------
68,080,529
---------------
WATER UTILITIES -- 1.7%
20,935 American Water Works Co., Inc. 3,254,136
67,926 Essential Utilities, Inc. 3,528,077
---------------
6,782,213
---------------
TOTAL COMMON STOCKS -- 99.8% 395,915,808
(Cost $368,954,053) ---------------
MONEY MARKET FUNDS -- 0.1%
288,804 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 288,804
(Cost $288,804) ---------------
TOTAL INVESTMENTS -- 99.9% 396,204,612
(Cost $369,242,857)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 353,130
---------------
NET ASSETS -- 100.0% $ 396,557,742
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 395,915,808 $ 395,915,808 $ -- $ --
Money Market Funds.............................. 288,804 288,804 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 396,204,612 $ 396,204,612 $ -- $ --
=============================================================================
</TABLE>
* 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, 2022
<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................................................ $ 404,296,651 $ 650,578,748 $ 1,664,587,450
Receivables:
Capital shares sold............................................... 2,478,722 -- 6,642,380
Dividends......................................................... 70,633 535,581 2,018,689
Securities lending income......................................... 12,211 -- 5,361
Investment securities sold........................................ -- -- --
Reclaims.......................................................... -- -- --
Prepaid expenses..................................................... 5,430 2,113 2,151
---------------- ---------------- ----------------
Total Assets...................................................... 406,863,647 651,116,442 1,673,256,031
---------------- ---------------- ----------------
LIABILITIES:
Due to custodian..................................................... -- -- --
Payables:
Collateral for securities on Loan................................. 9,860,863 -- 265,810
Investment securities purchased................................... 2,478,372 -- 6,624,676
Investment advisory fees.......................................... 165,176 271,896 642,361
Licensing fees.................................................... 88,345 78,019 224,987
Shareholder reporting fees........................................ 52,481 7,674 5,364
Audit and tax fees................................................ 27,274 28,564 30,487
Trustees' fees.................................................... 163 -- --
Capital shares redeemed........................................... -- -- --
Other liabilities.................................................... 74,054 76,801 171,441
---------------- ---------------- ----------------
Total Liabilities................................................. 12,746,728 462,954 7,965,126
---------------- ---------------- ----------------
NET ASSETS........................................................... $ 394,116,919 $ 650,653,488 $ 1,665,290,905
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital...................................................... $ 890,377,096 $ 882,462,631 $ 1,949,119,376
Par value............................................................ 79,500 102,000 991,500
Accumulated distributable earnings (loss)............................ (496,339,677) (231,911,143) (284,819,971)
---------------- ---------------- ----------------
NET ASSETS........................................................... $ 394,116,919 $ 650,653,488 $ 1,665,290,905
================ ================ ================
NET ASSET VALUE, per share........................................... $ 49.57 $ 63.79 $ 16.80
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)............................ 7,950,002 10,200,002 99,150,002
================ ================ ================
Investments, at cost................................................. $ 463,800,830 $ 623,926,208 $ 1,434,599,198
================ ================ ================
Securities on loan, at value......................................... $ 9,817,113 $ -- $ 264,594
================ ================ ================
</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>
$ 1,215,484,239 $ 1,509,024,352 $ 1,588,787,970 $ 1,567,936,491 $ 1,153,921,128 $ 396,204,612
-- -- -- -- -- --
893,239 670,413 746,099 1,061,757 183,653 631,130
148,614 1,151 -- -- 3,527 --
-- -- -- 3,096,623 -- --
-- -- -- -- -- 4,536
4,054 4,336 4,618 2,407 6,186 1,985
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
1,216,530,146 1,509,700,252 1,589,538,687 1,572,097,278 1,154,114,494 396,842,263
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
-- -- 10,228,020 -- -- --
43,927,869 4,925,612 -- -- 10,080,220 --
-- -- -- -- -- --
478,771 615,134 621,659 629,287 457,557 157,260
168,868 193,611 211,491 234,013 161,055 45,747
41,040 45,849 42,471 16,666 77,776 8,486
27,726 27,545 27,388 28,394 26,707 28,625
42 8 18 -- 39 --
-- -- -- 3,098,646 -- --
148,086 164,597 181,256 175,145 147,094 44,403
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
44,792,402 5,972,356 11,312,303 4,182,151 10,950,448 284,521
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 1,171,737,744 $ 1,503,727,896 $ 1,578,226,384 $ 1,567,915,127 $ 1,143,164,046 $ 396,557,742
================ ================ ================= ================ ================ ================
$ 1,490,960,056 $ 1,992,560,506 $ 1,886,203,376 $ 1,909,239,789 $ 1,779,581,777 $ 564,992,492
282,500 138,500 294,000 253,000 109,550 115,500
(319,504,812) (488,971,110) (308,270,992) (341,577,662) (636,527,281) (168,550,250)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 1,171,737,744 $ 1,503,727,896 $ 1,578,226,384 $ 1,567,915,127 $ 1,143,164,046 $ 396,557,742
================ ================ ================= ================ ================ ================
$ 41.48 $ 108.57 $ 53.68 $ 61.97 $ 104.35 $ 34.33
================ ================ ================= ================ ================ ================
28,250,002 13,850,002 29,400,002 25,300,002 10,955,000 11,550,002
================ ================ ================= ================ ================ ================
$ 1,276,662,348 $ 1,387,112,884 $ 1,604,985,612 $ 1,717,597,738 $ 1,164,134,914 $ 369,242,857
================ ================ ================= ================ ================ ================
$ 43,378,400 $ 4,909,120 $ -- $ -- $ 10,674,044 $ --
================ ================ ================= ================ ================ ================
</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, 2022
<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............................................................ $ 20,802,506 $ 7,859,970 $ 26,432,529
Securities lending income (net of fees).............................. 209,502 9,310 64,092
Foreign withholding tax.............................................. -- -- --
---------------- ---------------- ----------------
Total investment income........................................... 21,012,008 7,869,280 26,496,621
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................. 7,308,183 1,930,852 4,492,207
Accounting and administration fees................................... 671,727 194,358 425,195
Licensing fees....................................................... 584,654 154,468 359,376
Shareholder reporting fees........................................... 130,713 33,017 51,204
Custodian fees....................................................... 115,301 30,274 68,515
Transfer agent fees.................................................. 57,897 19,308 38,584
Audit and tax fees................................................... 28,660 28,541 32,541
Legal fees........................................................... 28,029 5,627 16,307
Listing fees......................................................... 10,301 8,084 10,021
Trustees' fees and expenses.......................................... 7,174 6,427 6,552
Other expenses....................................................... 22,129 5,442 4,840
---------------- ---------------- ----------------
Total expenses.................................................... 8,964,768 2,416,398 5,505,342
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)......................................... 12,047,240 5,452,882 20,991,279
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments....................................................... (88,373,244) (9,391,125) (51,732,847)
In-kind redemptions............................................... 242,420,096 21,499,045 154,511,869
---------------- ---------------- ----------------
Net realized gain (loss)............................................. 154,046,852 12,107,920 102,779,022
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments.. (441,734,956) 14,116,145 205,525,000
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (287,688,104) 26,224,065 308,304,022
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................... $ (275,640,864) $ 31,676,947 $ 329,295,301
================ ================ ================
</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>
$ 38,291,191 $ 11,024,216 $ 23,277,276 $ 22,470,388 $ 16,485,424 $ 6,853,724
165,723 6,449 2,828 2,806 101,607 1,649
(44,155) -- -- -- (28,752) (6,803)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
38,412,759 11,030,665 23,280,104 22,473,194 16,558,279 6,848,570
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
7,077,467 7,523,292 8,639,335 4,889,407 9,453,163 1,195,958
667,726 703,280 792,790 461,817 847,874 120,835
566,197 601,863 691,147 391,152 756,253 95,676
130,779 107,605 127,985 62,753 138,816 29,482
110,727 116,242 135,387 74,260 147,726 19,780
60,387 62,617 68,197 41,791 72,266 11,960
28,660 28,616 28,649 28,552 28,573 28,518
24,348 24,983 28,627 18,739 40,492 3,630
9,951 8,084 10,021 8,084 8,061 8,061
7,092 6,996 7,206 6,592 7,211 6,370
22,292 22,248 21,376 6,036 38,238 7,633
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
8,705,626 9,205,826 10,550,720 5,989,183 11,538,673 1,527,903
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
29,707,133 1,824,839 12,729,384 16,484,011 5,019,606 5,320,667
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(13,458,586) (45,234,205) (120,301,236) (65,515,597) (85,528,864) (3,420,592)
157,350,730 40,665,449 102,852,892 141,330,176 337,875,377 3,176,556
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
143,892,144 (4,568,756) (17,448,344) 75,814,579 252,346,513 (244,036)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(214,313,440) (177,329,197) (177,157,775) (187,817,992) (502,005,673) 24,546,526
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(70,421,296) (181,897,953) (194,606,119) (112,003,413) (249,659,160) 24,302,490
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ (40,714,163) $ (180,073,114) $ (181,876,735) $ (95,519,402) $ (244,639,554) $ 29,623,157
================ ================ ================= ================ ================ ================
</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
7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)............................ $ 12,047,240 $ 5,589,720 $ 5,452,882 $ 3,700,096
Net realized gain (loss)................................ 154,046,852 220,645,136 12,107,920 40,853,212
Net change in unrealized appreciation (depreciation).... (441,734,956) 349,773,051 14,116,145 (6,724,081)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (275,640,864) 576,007,907 31,676,947 37,829,227
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (13,315,221) (4,077,825) (4,675,407) (3,532,571)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 821,836,474 782,562,374 502,041,230 48,212,403
Cost of shares redeemed................................. (2,086,899,315) (355,304,614) (125,700,060) (93,627,143)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (1,265,062,841) 427,257,760 376,341,170 (45,414,740)
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (1,554,018,926) 999,187,842 403,342,710 (11,118,084)
NET ASSETS:
Beginning of period..................................... 1,948,135,845 948,948,003 247,310,778 258,428,862
--------------- --------------- --------------- ---------------
End of period........................................... $ 394,116,919 $ 1,948,135,845 $ 650,653,488 $ 247,310,778
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 31,750,002 23,900,002 4,400,002 5,300,002
Shares sold............................................. 14,350,000 14,300,000 7,850,000 850,000
Shares redeemed......................................... (38,150,000) (6,450,000) (2,050,000) (1,750,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 7,950,002 31,750,002 10,200,002 4,400,002
=============== =============== =============== ===============
</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
7/31/2022 7/31/2021 7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
$ 20,991,279 $ 4,726,946 $ 29,707,133 $ 19,642,777 $ 1,824,839 $ (1,922,467)
102,779,022 (53,740,595) 143,892,144 122,812,618 (4,568,756) 190,085,638
205,525,000 70,852,124 (214,313,440) 222,303,365 (177,329,197) 162,241,943
--------------- --------------- --------------- --------------- --------------- ---------------
329,295,301 21,838,475 (40,714,163) 364,758,760 (180,073,114) 350,405,114
--------------- --------------- --------------- --------------- --------------- ---------------
(19,922,141) (6,451,416) (28,346,142) (19,322,307) -- --
--------------- --------------- --------------- --------------- --------------- ---------------
1,605,588,558 298,299,815 604,854,268 829,324,790 252,759,574 212,370,515
(578,637,025) (600,515,709) (676,942,289) (400,047,202) (173,706,436) (306,336,510)
--------------- --------------- --------------- --------------- --------------- ---------------
1,026,951,533 (302,215,894) (72,088,021) 429,277,588 79,053,138 (93,965,995)
--------------- --------------- --------------- --------------- --------------- ---------------
1,336,324,693 (286,828,835) (141,148,326) 774,714,041 (101,019,976) 256,439,119
328,966,212 615,795,047 1,312,886,070 538,172,029 1,604,747,872 1,348,308,753
--------------- --------------- --------------- --------------- --------------- ---------------
$ 1,665,290,905 $ 328,966,212 $ 1,171,737,744 $ 1,312,886,070 $ 1,503,727,896 $ 1,604,747,872
=============== =============== =============== =============== =============== ===============
31,850,002 94,150,002 30,250,002 20,800,002 13,150,002 14,150,002
109,350,000 33,500,000 13,250,000 19,850,000 2,250,000 1,950,000
(42,050,000) (95,800,000) (15,250,000) (10,400,000) (1,550,000) (2,950,000)
--------------- --------------- --------------- --------------- --------------- ---------------
99,150,002 31,850,002 28,250,002 30,250,002 13,850,002 13,150,002
=============== =============== =============== =============== =============== ===============
</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
7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)............................ $ 12,729,384 $ 5,234,123 $ 16,484,011 $ 3,593,974
Net realized gain (loss)................................ (17,448,344) 113,251,146 75,814,579 35,659,553
Net change in unrealized appreciation (depreciation).... (177,157,775) 153,513,072 (187,817,992) 39,448,502
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (181,876,735) 271,998,341 (95,519,402) 78,702,029
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (11,751,221) (5,682,851) (12,438,026) (3,372,847)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 880,928,164 1,711,548,130 2,011,606,379 360,933,761
Cost of shares redeemed................................. (876,678,313) (390,238,248) (796,095,645) (72,695,856)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ 4,249,851 1,321,309,882 1,215,510,734 288,237,905
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (189,378,105) 1,587,625,372 1,107,553,306 363,567,087
NET ASSETS:
Beginning of period..................................... 1,767,604,489 179,979,117 460,361,821 96,794,734
--------------- --------------- --------------- ---------------
End of period........................................... $ 1,578,226,384 $ 1,767,604,489 $ 1,567,915,127 $ 460,361,821
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 29,700,002 4,600,002 7,950,002 2,700,002
Shares sold............................................. 15,200,000 32,100,000 29,600,000 6,550,000
Shares redeemed......................................... (15,500,000) (7,000,000) (12,250,000) (1,300,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 29,400,002 29,700,002 25,300,002 7,950,002
=============== =============== =============== ===============
</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
7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
$ 5,019,606 $ (1,198,161) $ 5,320,667 $ 4,416,268
252,346,513 838,129,241 (244,036) 1,197,025
(502,005,673) (15,385,932) 24,546,526 19,219,926
--------------- --------------- --------------- ---------------
(244,639,554) 821,545,148 29,623,157 24,833,219
--------------- --------------- --------------- ---------------
(4,345,452) -- (4,580,661) (4,925,266)
--------------- --------------- --------------- ---------------
89,100,450 2,373,439,398 225,477,669 10,559,951
(1,365,024,963) (2,732,020,436) (28,108,801) (86,309,615)
--------------- --------------- --------------- ---------------
(1,275,924,513) (358,581,038) 197,368,868 (75,749,664)
--------------- --------------- --------------- ---------------
(1,524,909,519) 462,964,110 222,411,364 (55,841,711)
2,668,073,565 2,205,109,455 174,146,378 229,988,089
--------------- --------------- --------------- ---------------
$ 1,143,164,046 $ 2,668,073,565 $ 396,557,742 $ 174,146,378
=============== =============== =============== ===============
21,255,000 24,655,000 5,650,002 8,350,002
700,000 21,650,000 6,800,000 350,000
(11,000,000) (25,050,000) (900,000) (3,050,000)
--------------- --------------- --------------- ---------------
10,955,000 21,255,000 11,550,002 5,650,002
=============== =============== =============== ===============
</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,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 61.36 $ 39.70 $ 43.40 $ 42.42 $ 37.53
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.52 0.20 0.36 0.37 0.43
Net realized and unrealized gain (loss) (11.78) 21.61 (3.61) 0.93 4.88
---------- ---------- ---------- ---------- ----------
Total from investment operations (11.26) 21.81 (3.25) 1.30 5.31
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.53) (0.15) (0.45) (0.32) (0.42)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 49.57 $ 61.36 $ 39.70 $ 43.40 $ 42.42
========== ========== ========== ========== ==========
TOTAL RETURN (a) (18.43)% 54.99% (7.39)% 3.13% 14.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 394,117 $1,948,136 $ 948,948 $ 384,117 $ 409,343
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.63% 0.64% 0.64%
Ratio of net expenses to average net assets 0.61% 0.61% 0.63% 0.64% 0.64%
Ratio of net investment income (loss) to
average net assets 0.82% 0.38% 0.77% 0.90% 1.03%
Portfolio turnover rate (b) 76% 88% 115% 97% 101%
</TABLE>
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 56.21 $ 48.76 $ 45.80 $ 46.50 $ 46.84
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.81 0.79 0.84 0.70 1.00
Net realized and unrealized gain (loss) 7.55 7.40 2.98 (0.32) (0.74)
---------- ---------- ---------- ---------- ----------
Total from investment operations 8.36 8.19 3.82 0.38 0.26
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.78) (0.74) (0.86) (1.08) (0.60)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 63.79 $ 56.21 $ 48.76 $ 45.80 $ 46.50
========== ========== ========== ========== ==========
TOTAL RETURN (a) 14.95% 16.88% 8.46% 0.83% 0.53%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 650,653 $ 247,311 $ 258,429 $ 329,792 $ 369,643
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.64% 0.63% 0.64% 0.64%
Ratio of net expenses to average net assets 0.63% 0.64% 0.63% 0.64% 0.64%
Ratio of net investment income (loss) to
average net assets 1.41% 1.43% 1.72% 1.51% 2.09%
Portfolio turnover rate (b) 88% 94% 113% 90% 107%
</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,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.33 $ 6.54 $ 10.88 $ 17.10 $ 13.66
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.27 0.31 0.16 0.16 0.12
Net realized and unrealized gain (loss) 6.46 3.81 (4.31) (6.25) 3.47
---------- ---------- ---------- ---------- ----------
Total from investment operations 6.73 4.12 (4.15) (6.09) 3.59
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.26) (0.33) (0.19) (0.13) (0.15)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 16.80 $ 10.33 $ 6.54 $ 10.88 $ 17.10
========== ========== ========== ========== ==========
TOTAL RETURN (a) 65.76% 66.66% (38.32)% (35.77)% 26.45%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,665,291 $ 328,966 $ 615,795 $ 122,374 $ 437,773
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.64% 0.64% 0.65% 0.63%
Ratio of net expenses to average net assets 0.61% 0.64% 0.64% 0.65% 0.63%
Ratio of net investment income (loss) to
average net assets 2.34% 1.70% 2.39% 1.17% 0.68%
Portfolio turnover rate (b) 79% 71% 165% 99% 108%
</TABLE>
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 43.40 $ 25.87 $ 32.35 $ 32.04 $ 29.39
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.92 0.81 0.72 0.65 0.62
Net realized and unrealized gain (loss) (1.97) 17.55 (6.37) 0.25 2.61
---------- ---------- ---------- ---------- ----------
Total from investment operations (1.05) 18.36 (5.65) 0.90 3.23
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.87) (0.83) (0.83) (0.59) (0.58)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 41.48 $ 43.40 $ 25.87 $ 32.35 $ 32.04
========== ========== ========== ========== ==========
TOTAL RETURN (a) (2.52)% 71.99% (17.56)% 3.03% 11.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,171,738 $1,312,886 $ 538,172 $ 988,353 $1,252,910
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.62% 0.61% 0.62% 0.63% 0.63%
Ratio of net expenses to average net assets 0.62% 0.61% 0.62% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 2.10% 2.25% 2.36% 2.06% 1.99%
Portfolio turnover rate (b) 64% 86% 90% 81% 70%
</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,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 122.03 $ 95.29 $ 77.62 $ 76.80 $ 66.92
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.13 (0.15) 0.01 (0.11) (0.02)
Net realized and unrealized gain (loss) (13.59) 26.89 17.66 0.93 9.90
---------- ---------- ---------- ---------- ----------
Total from investment operations (13.46) 26.74 17.67 0.82 9.88
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 108.57 $ 122.03 $ 95.29 $ 77.62 $ 76.80
========== ========== ========== ========== ==========
TOTAL RETURN (a) (11.03)% 28.08% 22.75% 1.07% 14.76%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,503,728 $1,604,748 $1,348,309 $1,183,740 $1,063,745
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.61% 0.62% 0.63%
Ratio of net expenses to average net assets 0.61% 0.61% 0.61% 0.62% 0.63%
Ratio of net investment income (loss) to
average net assets 0.12% (0.14)% 0.01% (0.11)% (0.03)%
Portfolio turnover rate (b) 88% 103% 107% 123% 107%
</TABLE>
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 59.52 $ 39.13 $ 42.49 $ 41.28 $ 35.36
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.42 0.33 0.58 0.30 0.28
Net realized and unrealized gain (loss) (5.87) 20.42 (3.29) 1.17 5.92
---------- ---------- ---------- ---------- ----------
Total from investment operations (5.45) 20.75 (2.71) 1.47 6.20
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.39) (0.36) (0.65) (0.26) (0.28)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 53.68 $ 59.52 $ 39.13 $ 42.49 $ 41.28
========== ========== ========== ========== ==========
TOTAL RETURN (a) (9.16)% 53.21% (6.30)% 3.67% 17.57%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,578,226 $1,767,604 $ 179,979 $ 378,173 $1,579,093
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.64% 0.63% 0.62%
Ratio of net expenses to average net assets 0.61% 0.61% 0.64% 0.63% 0.62%
Ratio of net investment income (loss) to
average net assets 0.74% 0.55% 1.30% 0.71% 0.70%
Portfolio turnover rate (b) 77% 91% 97% 79% 91%
</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,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 57.91 $ 35.85 $ 38.48 $ 43.31 $ 38.63
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.89 0.72 0.71 0.50 0.40
Net realized and unrealized gain (loss) 3.93(a) 22.05 (2.57) (4.88) 4.69
---------- ---------- ---------- ---------- ----------
Total from investment operations 4.82 22.77 (1.86) (4.38) 5.09
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.76) (0.71) (0.77) (0.45) (0.41)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 61.97 $ 57.91 $ 35.85 $ 38.48 $ 43.31
========== ========== ========== ========== ==========
TOTAL RETURN (b) 8.37% 64.02% (4.78)% (10.08)% 13.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,567,915 $ 460,362 $ 96,795 $ 167,369 $ 314,026
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.64% 0.67% 0.65% 0.64%
Ratio of net expenses to average net assets 0.61% 0.64% 0.67% 0.65% 0.64%
Ratio of net investment income (loss) to
average net assets 1.69% 1.39% 1.95% 1.27% 0.92%
Portfolio turnover rate (c) 60% 77% 84% 82% 92%
</TABLE>
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 125.53 $ 89.44 $ 69.32 $ 56.54 $ 45.12
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.34 (0.06) 0.11 0.31 0.09
Net realized and unrealized gain (loss) (21.21) 36.15 20.17 12.75 11.43
---------- ---------- ---------- ---------- ----------
Total from investment operations (20.87) 36.09 20.28 13.06 11.52
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.31) -- (0.16) (0.28) (0.10)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 104.35 $ 125.53 $ 89.44 $ 69.32 $ 56.54
========== ========== ========== ========== ==========
TOTAL RETURN (b) (16.64)% 40.34% 29.33% 23.20% 25.55%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,143,164 $2,668,074 $2,205,109 $2,395,347 $1,996,201
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.61% 0.61% 0.63%
Ratio of net expenses to average net assets 0.61% 0.61% 0.61% 0.61% 0.63%
Ratio of net investment income (loss) to
average net assets 0.27% (0.05)% 0.16% 0.50% 0.17%
Portfolio turnover rate (c) 91% 92% 110% 91% 127%
</TABLE>
(a) The per share amount does not correlate with the aggregate realized and
unrealized gain (loss) due to the timing of the Fund share sales and
repurchases in relation to market value fluctuation of the underlying
investments.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 55
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 30.82 $ 27.54 $ 28.87 $ 26.37 $ 27.64
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.69 0.68 1.05 0.63 0.98
Net realized and unrealized gain (loss) 3.47 3.32 (1.29) 2.43 (1.30)
---------- ---------- ---------- ---------- ----------
Total from investment operations 4.16 4.00 (0.24) 3.06 (0.32)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.65) (0.72) (1.09) (0.56) (0.95)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 34.33 $ 30.82 $ 27.54 $ 28.87 $ 26.37
========== ========== ========== ========== ==========
TOTAL RETURN (a) 13.69% 14.80% (0.70)% 11.71% (1.09)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 396,558 $ 174,146 $ 229,988 $1,349,541 $ 308,540
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.64% 0.64% 0.62% 0.63% 0.63%
Ratio of net expenses to average net assets 0.64% 0.64% 0.62% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 2.22% 2.33% 2.42% 2.23% 2.67%
Portfolio turnover rate (b) 48% 38% 64% 60% 76%
</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, 2022
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
("SEC") 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, 2022
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.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
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, 2022, is
included with each Fund's Portfolio of Investments.
In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing
requirements to determine fair value in good faith for purposes of the 1940 Act.
The rule permits fund boards to designate a fund's investment adviser to perform
fair value determinations, subject to board oversight and certain other
conditions. The rule also defines when market quotations are "readily available"
for purposes of the 1940 Act and requires a fund to fair value a portfolio
investment when a market quotation is not readily available. The SEC also
adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping
requirements associated with fair value determinations. The compliance date for
Rule 2a-5 and Rule 31a-4 is September 8, 2022.
Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the
Trust's Board of Trustees designated the Advisor as its valuation designee to
perform fair value determinations and approved new Advisor Valuation Procedures
for the Trust.
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
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
same manner as other dividend and interest income. At July 31, 2022, all the
Funds except FXG, FXR, FXZ, and FXU had securities in the securities lending
program. During the fiscal year ended July 31, 2022, all the Funds 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.
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, 2022, 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, 2022 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 $ 13,315,221 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 4,675,407 -- --
First Trust Energy AlphaDEX(R) Fund 19,922,141 -- --
First Trust Financials AlphaDEX(R) Fund 28,346,142 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,751,221 -- --
First Trust Materials AlphaDEX(R) Fund 12,438,026 -- --
First Trust Technology AlphaDEX(R) Fund 4,345,452 -- --
First Trust Utilities AlphaDEX(R) Fund 4,580,661 -- --
</TABLE>
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
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>
As of July 31, 2022, 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 $ 342,885 $ (434,139,547) $ (62,543,015)
First Trust Consumer Staples AlphaDEX(R) Fund 1,143,506 (256,753,947) 23,699,298
First Trust Energy AlphaDEX(R) Fund 1,172,154 (509,470,538) 223,478,413
First Trust Financials AlphaDEX(R) Fund 3,459,721 (250,428,470) (72,536,063)
First Trust Health Care AlphaDEX(R) Fund 1,444,806 (605,995,854) 115,579,938
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,248,060 (279,915,924) (29,603,128)
First Trust Materials AlphaDEX(R) Fund 4,349,887 (189,562,104) (156,365,445)
First Trust Technology AlphaDEX(R) Fund -- (621,843,707) (14,683,574)
First Trust Utilities AlphaDEX(R) Fund 1,049,272 (193,039,184) 23,439,662
</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. The taxable years ended 2019,
2020, 2021, and 2022 remain open to federal and state audit. As of July 31,
2022, 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, 2022, 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.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
<TABLE>
<CAPTION>
Non-Expiring
Capital Loss
Carryforward
--------------------
<S> <C>
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 434,139,547
First Trust Consumer Staples AlphaDEX(R) Fund 256,753,947
First Trust Energy AlphaDEX(R) Fund 509,470,538
First Trust Financials AlphaDEX(R) Fund 250,428,470
First Trust Health Care AlphaDEX(R) Fund 605,995,854
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 279,915,924
First Trust Materials AlphaDEX(R) Fund 189,562,104
First Trust Technology AlphaDEX(R) Fund 621,843,707
First Trust Utilities AlphaDEX(R) Fund 193,039,184
</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, 2022, the Funds had no
net late year ordinary or capital losses.
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, 2022, 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 $ -- $ (214,807,584) $ 214,807,584
First Trust Consumer Staples AlphaDEX(R) Fund -- (20,437,728) 20,437,728
First Trust Energy AlphaDEX(R) Fund -- (147,574,623) 147,574,623
First Trust Financials AlphaDEX(R) Fund (682,804) (148,718,192) 149,400,996
First Trust Health Care AlphaDEX(R) Fund 73,811 (38,686,343) 38,612,532
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 269,897 (88,686,450) 88,416,553
First Trust Materials AlphaDEX(R) Fund -- (133,206,305) 133,206,305
First Trust Technology AlphaDEX(R) Fund 2,306 (327,474,925) 327,472,619
First Trust Utilities AlphaDEX(R) Fund -- (2,933,411) 2,933,411
</TABLE>
As of July 31, 2022, the aggregate cost, gross unrealized appreciation, gross
unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
<TABLE>
<CAPTION>
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 466,839,666 $ 14,894,267 $ (77,437,282) $ (62,543,015)
First Trust Consumer Staples AlphaDEX(R) Fund 626,879,450 40,881,415 (17,182,117) 23,699,298
First Trust Energy AlphaDEX(R) Fund 1,441,109,037 244,778,360 (21,299,947) 223,478,413
First Trust Financials AlphaDEX(R) Fund 1,288,020,302 54,897,157 (127,433,220) (72,536,063)
First Trust Health Care AlphaDEX(R) Fund 1,393,444,414 187,170,327 (71,590,389) 115,579,938
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,618,391,098 98,984,977 (128,588,105) (29,603,128)
First Trust Materials AlphaDEX(R) Fund 1,724,301,936 60,566,871 (216,932,316) (156,365,445)
First Trust Technology AlphaDEX(R) Fund 1,168,604,702 104,532,211 (119,215,785) (14,683,574)
First Trust Utilities AlphaDEX(R) Fund 372,764,950 31,874,094 (8,434,432) 23,439,662
</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.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
FTP has entered into licensing agreements with IDI for each of the Funds. The
license agreements allow for the use by FTP of certain trademarks and trade
names of IDI. The Funds and First Trust are sub-licensees to the license
agreement. The Funds are required to pay licensing fees, which are shown on the
Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is paid an annual management fee of 0.50% of
each Fund's average daily net assets. The Trust and First Trust have entered
into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery
Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund
expenses to the extent that the operating expenses of each Fund (excluding
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, 2023.
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, 2022, there were no fees waived or expenses
reimbursed by First Trust for the Funds. As of July 31, 2022, 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 an index fund.
Additionally, the Lead Independent Trustee and the Chairs 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 Chairs
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, 2022, 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 $ 1,068,233,069 $ 1,071,426,019
First Trust Consumer Staples AlphaDEX(R) Fund 347,941,817 346,357,110
First Trust Energy AlphaDEX(R) Fund 731,583,449 710,827,129
First Trust Financials AlphaDEX(R) Fund 892,151,656 888,043,055
First Trust Health Care AlphaDEX(R) Fund 1,334,349,447 1,331,264,604
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,324,889,580 1,325,017,673
First Trust Materials AlphaDEX(R) Fund 608,093,522 583,267,251
First Trust Technology AlphaDEX(R) Fund 1,731,947,314 1,733,902,118
First Trust Utilities AlphaDEX(R) Fund 117,691,945 116,175,832
</TABLE>
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
For the fiscal year ended July 31, 2022, 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 $ 820,909,892 $ 2,082,784,038
First Trust Consumer Staples AlphaDEX(R) Fund 501,368,281 125,533,493
First Trust Energy AlphaDEX(R) Fund 1,585,202,145 575,459,777
First Trust Financials AlphaDEX(R) Fund 602,411,385 673,622,364
First Trust Health Care AlphaDEX(R) Fund 252,566,037 173,897,264
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 880,052,764 875,543,068
First Trust Materials AlphaDEX(R) Fund 1,986,453,135 792,732,744
First Trust Technology AlphaDEX(R) Fund 89,049,180 1,364,002,043
First Trust Utilities AlphaDEX(R) Fund 224,910,517 28,019,226
</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, 2023.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 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, 2022, 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, 2022, 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, 2022, 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 22, 2022
We have served as the auditor of one or more First Trust investment companies
since 2001.
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (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, 2022, 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 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
</TABLE>
For the taxable year ended July 31, 2022, the following percentages of income
dividend paid by the Funds are 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 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
</TABLE>
A portion of each of the First Trust Exchange-Traded AlphaDEX(R) Sector Funds'
2022 ordinary dividends (including short-term capital gains) paid to its
shareholders during the fiscal year ended July 31, 2022, 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.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (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
from their role of providing a market for an ETF's shares, or decisions by an
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
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, has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. 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. In February 2022, Russia invaded Ukraine which has caused and could
continue to cause significant market disruptions and volatility within the
markets in Russia, Europe, and the United States. The hostilities and sanctions
resulting from those hostilities could have a significant impact on certain fund
investments as well as fund performance. 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
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
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
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, 2021, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $5,222,814.
This figure is comprised of $200,977 paid (or to be paid) in fixed compensation
and $5,021,837 paid (or to be paid) in variable compensation. There were a total
of 24 beneficiaries of the remuneration described above. Those amounts include
$2,682,094 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $2,540,720 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.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
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.
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, 2023 at a meeting held on June 12-13, 2022. 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 18, 2022 and June 12-13, 2022, 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 indirect 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 18, 2022, 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 12-13, 2022 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.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
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 18, 2022 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
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,
2023. 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 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 18, 2022 meeting,
discussed with Broadridge its methodology for assembling peer groups and
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, 2021 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 that its expenses
relating to providing advisory services to the Funds will likely increase during
the next twelve months as the Advisor continues to build infrastructure and add
new staff. 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, 2021 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
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
profitability level for each Fund was not unreasonable. In addition, the Board
considered indirect benefits described by the Advisor that may be realized from
its relationship with the Funds. The Board considered that the Advisor had
identified as an indirect 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 indirect 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.
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 18, 2022 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 16, 2021 through the Liquidity Committee's annual meeting held
on March 17, 2022 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, 2022 (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, Edward-Elmhurst Medical 220 None
(1951) Group; Physician and Officer,
o Since Inception Wheaton Orthopedics (1990 to 2021)
Thomas R. Kadlec, Trustee o Indefinite Term Retired; President, ADM Investors 220 Director, National
(1957) Services, Inc. (Futures Commission Futures Association
o Since Inception Merchant) (2010 to July 2022) and ADMIS Singapore
Ltd.; Formerly,
Director of ADM
Investor Services,
Inc., ADM
Investor Services
International, ADMIS
Hong Kong Ltd., and
Futures Industry
Association
Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 220 Director and Board
(1964) Health and President, Advocate Aurora Chair of Advocate Home
o Since 2021 Continuing Health Division (Integrated Health Services,
Healthcare System) Advocate Home Care
Products and Advocate
Hospice; Director and
Board Chair of Aurora
At Home (since 2018);
Director of Advocate
Physician Partners
Accountable Care
Organization; Director
and Board Chair of
RML Long Term Acute
Care Hospitals; and
Director of Senior
Helpers (since 2021)
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 220 Formerly, Director of
(1956) and Management Consulting) Trust Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (2018 to Present), 220 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (2015 to 2018), Pelita Harapan
Educational Foundation (Educational
Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 220 None
Chairman of the Board Advisors L.P. and First Trust Portfolios
(1955) o Since Inception 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 74
<PAGE>
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2022 (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, First
(1966) Executive Officer Trust Advisors L.P. and First Trust Portfolios L.P.;
o Since 2016 Chief Financial Officer, BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1972) Officer and Chief Accounting First Trust Portfolios L.P.
Officer o Since 2016
W. Scott Jardine Secretary and Chief Legal o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) 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 First
(1970) Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer and o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. and
(1966) Assistant Secretary First Trust Portfolios L.P.
o Chief Compliance
Officer Since 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 75
<PAGE>
--------------------------------------------------------------------------------
PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2022 (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 2022
Page 76
<PAGE>
--------------------------------------------------------------------------------
FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
<PAGE>
[BLANK BACK COVER]
<PAGE>
--------------------------------------------------------------------------------
FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Annual Report July 31, 2022
--------------------------------------------------------------------------------
AlphaDEX(R) Style Funds
-----------------------
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)
AlphaDEX(R)
FAMILY OF ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
<PAGE>
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
ANNUAL REPORT
JULY 31, 2022
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)....................... 36
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 43
First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 52
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 56
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 61
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 71
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 81
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 87
First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 92
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 98
Statements of Assets and Liabilities........................................ 104
Statements of Operations.................................................... 107
Statements of Changes in Net Assets......................................... 110
Financial Highlights........................................................ 114
Notes to Financial Statements............................................... 120
Report of Independent Registered Public Accounting Firm..................... 130
Additional Information...................................................... 131
Board of Trustees and Officers.............................................. 138
Privacy Policy.............................................................. 140
<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
<PAGE>
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SHAREHOLDER LETTER
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2022
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, 2022.
When it comes to investing one's capital, it is natural to want to find some
analyst, economist, or other pundit who claims to know exactly where the
securities markets are headed at any given time. You can find them if you search
hard enough, but watch your step. Relying on someone else's crystal ball
predictions, even if they have been fortunate enough to have made a celebrated
market call or two in the past, is a fool's errand, in my opinion. It is tough
to reproduce such success. I am, as I have been for my entire career in the
financial services industry, an advocate for individual investors seeking out
professional assistance to help them meet their goals. If anything, the endless
amounts of information flowing through the financial media via the internet and
cable channels these days is likely making things more confusing for the average
investor looking to get ahead. While some individuals may be adept at sifting
through the noise to find those timely nuggets of information that can
potentially move the markets, most are not, and one's financial future is too
important to gamble on meme stocks and black swans, in my opinion.
Having said all that, for those investors who do want to steer their own ship,
there are now a plethora of packaged products available to meet almost any need
or strategy, such as mutual funds, unit investment trusts and exchange-traded
funds. With respect to equities, investors can choose from portfolios featuring
style investing (growth and value), sectors, subsectors (i.e., Semiconductors
are a subsector of the Technology sector), long/short strategies, dividend
strategies and many more. There are products out there for both bullish and
bearish investors. Again, for those individuals that are not savvy when it comes
to investing, know that financial representatives have more of these, and other
tools, at their disposal than ever before.
The markets have moved up and down in dramatic fashion in 2022. The stock
market, as measured by the S&P 500(R) Index, declined in price by 20.80% from
the close on March 23, 2022 through June 16, 2022, only to reverse course and
rise by 17.41% from the close on June 16, 2022 through August 16, 2022,
according to data from Bloomberg. So much for the adage "the trend is your
friend." The action in the bond market has been just as frantic. In the U.S.
Treasury market, the yield on the 10-Year Treasury Note ("T-Note") rose 114
basis points ("bps") from the close on March 31, 2022 through June 14, 2022,
only to reverse course and drop by 90 bps from the close on June 14, 2022
through August 1, 2022, according to data from Bloomberg. Suffice it to say that
yield swings of this magnitude are not all that common. What is driving these
divergent trading patterns? Robust inflation. The Consumer Price Index stood at
8.5% year-over-year in July 2022. A level not seen since the early 1980s. In the
hopes of reducing it, the Federal Reserve (the "Fed") is in the process of
hiking interest rates and, in September, is expected to reduce the size of its
balance sheet to the tune of $95 billion per month. The concern in the markets
is whether or not the Fed's tightening of monetary policy will push the U.S.
economy into a serious recession. Some economists and others in the financial
media believe the U.S. is already in a recession. We expect this battle (fight
inflation at the expense of economic growth) to continue to play out over the
coming months. Keep an eye on the 10-Year T-Note. If the yield rises moving
forward, expect the stock and bond markets to struggle and vice versa. If you
have not already, I encourage you to forge an investment plan and stay the
course!
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
<PAGE>
--------------------------------------------------------------------------------
MARKET OVERVIEW
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2022
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
The first seven months of 2022 was likely a tumultuous time for most investors.
The returns on stocks and bonds were so dismal they dragged down the results for
the last 12 months. The latest hot topic appears to be whether or not the U.S.
economy is in a recession. After all, real gross domestic product ("GDP") growth
did come in at an annualized -1.6% in the first quarter of 2022 and -0.9% in the
second quarter of 2022, according to data from the U.S. Bureau of Economic
Analysis. The traditional definition of a recession is two consecutive quarters
of negative GDP growth. Opinions on this topic vary. Some pundits believe the
U.S. economy is already in a recession. Brian Wesbury, Chief Economist at First
Trust, is not one of them. While he acknowledges that a recession is inevitable,
he believes we are not there yet. Wesbury notes that the official arbiter of
recessions, the National Bureau of Economic Research, considers other factors
beyond just real GDP, including the job market, manufacturing activity and real
income, which reflect strength in the current climate. We are anticipating
additional interest rate hikes from the Federal Reserve to combat the surge in
inflation, which stood at an elevated 8.5% on a trailing 12-month basis in July
2022, as measured by the Consumer Price Index. Will the U.S. economy be
resilient to said rate hikes, or succumb to them? We should know more in the
coming months.
Economic headwinds extend beyond what is transpiring in the U.S. Two of the most
critical events to surface so far in 2022 are the war between Russia and
Ukraine, which commenced in late February 2022, and the coronavirus-induced
("COVID-19") shutdown in China. The war has helped drive the relative value of
the U.S. Dollar higher against other major world currencies, in our opinion. A
strong U.S. Dollar can put downward pressure on commodity prices. Historically
speaking, it is common for foreign investors to funnel capital into U.S. assets
when wars break out or during periods of great uncertainty. The U.S. is still
viewed by many as a safe haven for capital. The U.S. Dollar increased by 14.9%
against a basket of major currencies for the 12-month period ended July 31,
2022, as measured by the U.S. Dollar Index. An end to the Russian conflict and
the reopening of China's economy would be a net gain for the economy, in our
opinion.
The global growth forecast from the International Monetary Fund ("IMF") released
in July 2022 projected a 3.2% real GDP growth rate for 2022, down from 6.1% in
2021. Economic growth activity was elevated in 2021 following the
COVID-19-induced downturn (real GDP was -3.1%) in 2020. The IMF is calling for a
2.3% growth rate for the U.S. in 2022, down from 5.7% the previous year.
Advanced Economies are expected to register a 2.5% growth rate in 2022, down
from 5.2% the previous year. While the gap has narrowed from prior years,
Emerging Market and Developing Economies are still expected to grow faster than
Advanced Economies. Their 2022 growth rate estimate is 3.6%, down from 6.8% a
year ago. These estimates do not reflect a recession.
ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at $9.37 trillion in July 2022, up from $6.36
trillion as of the close of 2019 (prior to the COVID-19 pandemic), according to
its own release. U.S. listed ETFs/ETPs had assets under management totaling
$6.61 trillion in July 2022. The U.S accounts for roughly 70.5% of total global
ETF/ETP assets.
STYLE/EQUITY INVESTING
For the 12-month period ended July 31, 2022, the S&P 500(R) Index posted a total
return of -4.64%, according to Bloomberg. Value stocks significantly
outperformed growth stocks in the period. The S&P 500(R) Value Index posted a
total return of -0.03%, compared to -9.13% for the S&P 500(R) Growth Index. The
S&P MidCap 400(R) Index posted a total return of -5.70% for the same period.
Again, value stocks significantly outperformed growth stocks. The S&P MidCap
400(R) Value Index posted a total return of -0.05%, compared to -11.26% for the
S&P MidCap 400(R) Growth Index. The S&P SmallCap 600(R) Index posted a total
return of -6.24% during the same period. As was the case with the other two
market caps, value stocks significantly outperformed growth stocks. The S&P
SmallCap 600(R) Value Index posted a total return of -2.26%, compared to -10.19%
for the S&P SmallCap 600(R) Growth Index for the same period.
Some of the headwind endured by the stock market year-to-date has stemmed from
the rise in the yield on the benchmark 10-Year Treasury Note ("T-Note"). When
bond yields trend higher, the cost of capital also rises for businesses, and
that can trim future corporate earnings and put downward pressure on stock
valuations. Year-to-date through July 31, 2022, the yield on the 10-Year T-Note
increased by 114 basis points, from 1.51% to 2.65%. It reached as high as 3.48%
in June 2022. That is a substantial move higher in just seven months. Value
stocks, which by nature tend to carry lower price-to-earnings ("P/E") multiples,
seem to be less vulnerable to rising interest rates and bond yields than their
growth stock counterparts, which tend to carry higher P/E multiples when the
economy is in expansion mode. Keep an eye on the 10-Year T-Note yield in the
months ahead.
Page 3
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FEX."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Index(TM) 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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -4.73% 9.98% 12.48% 8.11% 60.89% 224.21% 227.73%
Market Price -4.72% 9.98% 12.49% 8.11% 60.94% 224.36% 227.82%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Core Index(1) -4.19% 10.66% N/A N/A 65.92% N/A N/A
Nasdaq US 500 Large Cap
Index(TM) (1) -6.69% 12.74% N/A N/A 82.13% N/A N/A
S&P 500(R) Index -4.64% 12.83% 13.80% 9.04% 82.85% 264.28% 273.39%
------------------------------------------------------------------------------------------------------------------
</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 -4.73% during the period
covered by this report. During the same period, the S&P 500(R) Index (the
"Benchmark") generated a return of -4.64%. During the period covered by this
report, the Fund allocated 17.9% to the Financials sector, the largest
allocation in the period. The 5.6% allocation to the Energy sector contributed
2.1% to the Fund's return, the greatest contribution of any sector. The least
contributing sector was the Information Technology sector with a -2.7%
contribution, which received a 16.6% allocation in the Fund during the 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 4
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 17.2%
Information Technology 12.9
Industrials 12.3
Health Care 11.8
Consumer Discretionary 9.9
Energy 8.3
Consumer Staples 7.0
Utilities 6.7
Materials 6.5
Communication Services 4.2
Real Estate 3.2
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
United Rentals, Inc. 0.6%
Ford Motor Co. 0.5
Nucor Corp. 0.5
Synchrony Financial 0.5
Lennar Corp., Class A 0.5
Coterra Energy, Inc. 0.5
Best Buy Co., Inc. 0.5
D.R. Horton, Inc. 0.5
Franklin Resources, Inc. 0.5
Skyworks Solutions, Inc. 0.5
-------
Total 5.1%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Large Cap S&P 500(R)
Core AlphaDEX(R) Fund Index
<S> <C> <C>
7/12 $10,000 $10,000
1/13 11,498 10,991
7/13 13,140 12,500
1/14 14,123 13,356
7/14 15,483 14,617
1/15 16,090 15,256
7/15 16,671 16,255
1/16 14,925 15,155
7/16 17,270 17,169
1/17 18,498 18,192
7/17 20,150 19,922
1/18 23,065 22,996
7/18 22,914 23,157
1/19 21,685 22,464
7/19 23,713 25,008
1/20 24,659 27,337
7/20 24,178 27,999
1/21 28,829 32,053
7/21 34,031 38,202
1/22 34,280 39,516
7/22 32,421 36,428
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNX."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 600 Mid Cap Index(TM) 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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -5.74% 10.25% 11.58% 8.61% 62.90% 199.07% 252.03%
Market Price -5.72% 10.25% 11.59% 8.61% 62.90% 199.33% 252.04%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid
Cap Core Index(1) -5.14% 10.95% N/A N/A 68.14% N/A N/A
Nasdaq US 600 Mid Cap
Index(TM) (1) -12.59% 8.88% N/A N/A 53.04% N/A N/A
S&P MidCap 400(R) Index -5.70% 9.06% 12.05% 8.69% 54.29% 212.07% 255.53%
------------------------------------------------------------------------------------------------------------------
</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 -5.74% during the period covered by this
report. During the same period, the S&P MidCap 400(R) Index (the "Benchmark")
generated a return of -5.70%. During the period covered by this report, the
Financials sector received the largest allocation within the Fund at a weight of
9.5%. The Energy sector generated the largest contribution to the Fund's return
at 1.9% and had a weight of 4.5%. The least contributing sector to the Fund's
return for the period was the Consumer Discretionary sector, which generated a
-3.6% contribution to the Fund's return due to its 15.8% allocation and -22.4%
total return.
-----------------------------
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
----------------------------------------------------------
Industrials 18.1%
Consumer Discretionary 17.4
Financials 17.3
Information Technology 9.5
Health Care 8.4
Materials 7.4
Energy 6.4
Real Estate 5.0
Utilities 4.1
Consumer Staples 3.8
Communication Services 2.6
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
UFP Industries, Inc. 0.5%
Range Resources Corp. 0.4
United States Steel Corp. 0.4
Antero Resources Corp. 0.4
EQT Corp. 0.4
Matson, Inc. 0.4
Owens Corning 0.4
Carlisle Cos., Inc. 0.4
Matador Resources Co. 0.4
Murphy USA, Inc. 0.4
-------
Total 4.1%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Mid Cap Core S&P MidCap 400(R)
AlphaDEX(R) Fund Index
<S> <C> <C>
7/12 $10,000 $10,000
1/13 11,676 11,719
7/13 13,271 13,300
1/14 14,493 14,281
7/14 15,061 15,014
1/15 15,320 15,835
7/15 15,896 16,709
1/16 13,680 14,774
7/16 16,017 17,633
1/17 17,519 19,231
7/17 18,357 20,223
1/18 20,898 22,618
7/18 21,538 23,163
1/19 20,249 21,603
7/19 21,801 23,349
1/20 22,177 24,040
7/20 20,519 22,520
1/21 27,086 28,472
7/21 31,726 33,095
1/22 31,081 32,465
7/22 29,907 31,207
</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(TM) 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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -6.50% 9.49% 11.41% 7.77% 57.37% 194.72% 212.65%
Market Price -6.49% 9.49% 11.41% 7.77% 57.34% 194.71% 212.55%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Small Cap Core Index(1) -5.92% 10.22% N/A N/A 62.65% N/A N/A
Nasdaq US 700 Small
Cap Index(TM) (1) -14.49% 8.38% N/A N/A 49.57% N/A N/A
S&P SmallCap 600(R) Index -6.24% 9.06% 12.42% 8.61% 54.29% 222.32% 251.73%
------------------------------------------------------------------------------------------------------------------
</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 -6.50% during the period covered by this
report. During the same period, the S&P SmallCap 600(R) Index (the "Benchmark")
generated a return of -6.24%. The Financials sector received an allocation of
23.3%, the greatest weight of any sector in the Fund during the period covered
by this report. The Energy sector generated the largest contribution to the
Fund's return at 1.4%, while receiving a weight of 5.3%. The least contributing
sector to the Fund's return for the period was the Consumer Discretionary
sector, which generated a -2.7% contribution to the Fund's return due to its
14.2% allocation and -18.3% total return.
-----------------------------
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 22.8%
Industrials 17.3
Consumer Discretionary 14.0
Health Care 9.0
Information Technology 8.7
Real Estate 7.6
Energy 5.5
Consumer Staples 5.1
Communication Services 3.9
Materials 3.7
Utilities 2.4
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Encore Wire Corp. 0.4%
Comstock Resources, Inc. 0.4
LGI Homes, Inc. 0.4
Comfort Systems USA, Inc. 0.4
Mueller Industries, Inc. 0.4
ArcBest Corp. 0.4
Encore Capital Group, Inc. 0.4
PennyMac Financial Services, Inc. 0.4
Winnebago Industries, Inc. 0.4
Taylor Morrison Home Corp. 0.4
-------
Total 4.0%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Small Cap S&P SmallCap 600(R)
Core AlphaDEX(R) Fund Index
<S> <C> <C>
7/12 $10,000 $10,000
1/13 11,635 11,484
7/13 13,658 13,478
1/14 14,989 14,750
7/14 14,977 14,965
1/15 15,329 15,658
7/15 15,795 16,757
1/16 13,512 14,924
7/16 16,142 17,755
1/17 17,904 20,049
7/17 18,730 20,891
1/18 20,799 23,369
7/18 22,420 25,715
1/19 20,429 23,076
7/19 20,955 23,979
1/20 21,026 24,588
7/20 19,166 21,899
1/21 27,843 30,288
7/21 31,522 34,373
1/22 31,315 33,519
7/22 29,472 32,232
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 2.24% 7.42% 10.97% 7.22% 43.02% 183.18% 189.34%
Market Price 2.24% 7.41% 10.98% 7.22% 42.99% 183.38% 189.32%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Value Index(1) 2.85% 8.10% N/A N/A 47.61% N/A N/A
Nasdaq US 500 Large
Cap Value Index(1) -0.26% 10.10% N/A N/A 61.78% N/A N/A
S&P 500(R) Index -4.64% 12.83% 13.80% 9.04% 82.85% 264.28% 273.39%
S&P 500(R) Value Index -0.03% 9.14% 11.51% 6.51% 54.85% 197.33% 161.16%
------------------------------------------------------------------------------------------------------------------
</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 2.24% during the period covered by this
report. During the same period, the S&P 500(R) Value Index (the "Benchmark")
generated a return of -0.03%. During the period covered by this report, the
Fund's largest allocation was to the Financials sector with a weight of 25.3%.
The Energy sector generated the largest contribution to the Fund's return at
2.6% while receiving a weight of 4.9%. The least contributing sector to the
Fund's return for the period was the Consumer Discretionary sector, which
generated a -0.8% contribution to the Fund's return due to its 8.5% allocation
and -13.6% total return.
-----------------------------
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 26.1%
Information Technology 11.4
Consumer Discretionary 10.7
Industrials 8.9
Utilities 8.7
Materials 8.4
Consumer Staples 6.6
Health Care 6.5
Energy 5.8
Communication Services 4.8
Real Estate 2.1
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
United Rentals, Inc. 1.1%
Ford Motor Co. 1.1
Synchrony Financial 1.0
Lennar Corp., Class A 1.0
Coterra Energy, Inc. 1.0
D.R. Horton, Inc. 1.0
Franklin Resources, Inc. 1.0
Skyworks Solutions, Inc. 1.0
General Motors Co. 1.0
Exxon Mobil Corp. 1.0
-------
Total 10.2%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Large Cap S&P 500(R) S&P 500(R)
Value AlphaDEX(R) Fund Index Value Index
<S> <C> <C> <C>
7/12 $10,000 $10,000 $10,000
1/13 11,704 10,991 11,408
7/13 13,314 12,500 13,030
1/14 14,060 13,356 13,572
7/14 15,639 14,617 14,891
1/15 15,772 15,256 15,180
7/15 15,594 16,255 15,874
1/16 13,733 15,155 14,636
7/16 16,052 17,169 16,792
1/17 18,376 18,192 18,184
7/17 19,798 19,922 19,200
1/18 22,091 22,996 21,704
7/18 21,406 23,157 21,203
1/19 20,314 22,462 20,601
7/19 21,267 25,005 22,533
1/20 22,065 27,333 24,372
7/20 19,174 27,995 21,920
1/21 23,266 32,045 24,971
7/21 27,696 38,195 29,740
1/22 29,582 39,509 31,177
7/22 28,318 36,428 29,733
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -13.84% 12.08% 13.65% 8.62% 76.90% 259.38% 252.08%
Market Price -13.81% 12.08% 13.65% 8.62% 76.89% 259.36% 252.17%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Growth Index(1) -13.37% 12.76% N/A N/A 82.31% N/A N/A
Nasdaq US 500 Large
Cap Growth Index(1) -10.86% 14.99% N/A N/A 101.01% N/A N/A
S&P 500(R) Index -4.64% 12.83% 13.80% 9.04% 82.85% 264.28% 273.39%
S&P 500(R) Growth Index -9.13% 15.64% 15.52% 11.17% 106.76% 323.40% 401.94%
------------------------------------------------------------------------------------------------------------------
</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 -13.84% during the period covered by this
report. During the same period, the S&P 500(R) Growth Index (the "Benchmark")
generated a return of -9.13%. During the period covered by this report, the Fund
allocated 29.0% to the Information Technology sector, which was the largest
sector weight for the Fund, as well as the largest negative contributor to the
Fund's return with a -4.9% contribution during the period. The Fund's allocation
to the Energy sector provided the only positive contribution with a 1.4%
contribution to the Fund's return during the period, stemming from its 70.7%
return and 5.5% allocation.
-----------------------------
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 19.2%
Health Care 17.3
Industrials 15.9
Energy 9.8
Consumer Discretionary 8.8
Financials 8.0
Consumer Staples 6.8
Real Estate 6.1
Materials 4.0
Communication Services 3.0
Utilities 1.1
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Enphase Energy, Inc. 1.2%
Nucor Corp. 1.1
W.W. Grainger, Inc. 1.0
Devon Energy Corp. 0.9
Costco Wholesale Corp. 0.9
Cheniere Energy, Inc. 0.9
Occidental Petroleum Corp. 0.9
CF Industries Holdings, Inc. 0.9
O'Reilly Automotive, Inc. 0.9
Marathon Oil Corp. 0.9
-------
Total 9.6%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Large S&P 500(R) S&P 500(R)
Cap Growth AlphaDEX(R) Fund Index Growth Index
<S> <C> <C> <C>
7/12 $10,000 $10,000 $10,000
1/13 11,198 10,991 10,639
7/13 12,843 12,500 12,050
1/14 14,104 13,356 13,187
7/14 15,268 14,617 14,398
1/15 16,393 15,256 15,351
7/15 17,913 16,255 16,628
1/16 16,412 15,155 15,644
7/16 18,624 17,169 17,507
1/17 18,413 18,192 18,137
7/17 20,317 19,922 20,479
1/18 23,944 22,996 24,065
7/18 24,418 23,157 24,904
1/19 22,907 22,464 24,131
7/19 26,164 25,008 27,285
1/20 27,332 27,337 30,097
7/20 30,378 27,999 33,981
1/21 35,723 32,053 39,076
7/21 41,711 38,202 46,594
1/22 39,116 39,513 47,506
7/22 35,938 36,428 42,340
</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(TM), Nasdaq US 600 Mid Cap Index(TM), and Nasdaq
US 700 Small Cap IndexTM (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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 1.20% 7.82% 10.70% 7.39% 45.73% 176.36% 196.23%
Market Price 1.24% 7.83% 10.71% 7.39% 45.80% 176.72% 196.30%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Multi Cap Value Index(1) 1.83% 8.60% N/A N/A 51.07% N/A N/A
Nasdaq US Multi Cap
Value Index(1) -0.69% 9.89% N/A N/A 60.28% N/A N/A
S&P Composite 1500(R) Index -4.74% 12.49% 13.66% 9.03% 80.08% 259.88% 272.93%
S&P Composite 1500(R) Value
Index -0.10% 9.09% 11.57% 6.68% 54.50% 198.79% 167.55%
------------------------------------------------------------------------------------------------------------------
</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 1.20% during the period covered by this
report. During the same period, the S&P Composite 1500(R) Value Index generated
a return of -0.10%. During the period covered by this report, the Fund's
greatest sector allocation was to investments in the Financials sector. These
investments received an allocation of 27.2%. The Energy sector contributed 1.9%
to the Fund's return, the greatest of any sector. The Consumer Discretionary
sector was the largest drag on the Fund, contributing -1.8% to the Fund's return
during the 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 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 26.1%
Consumer Discretionary 16.1
Industrials 13.2
Information Technology 9.5
Materials 7.6
Utilities 6.0
Health Care 5.1
Consumer Staples 5.1
Communication Services 4.2
Energy 3.6
Real Estate 3.5
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
United Rentals, Inc. 0.6%
Ford Motor Co. 0.6
Synchrony Financial 0.5
Lennar Corp., Class A 0.5
Coterra Energy, Inc. 0.5
D.R. Horton, Inc. 0.5
Franklin Resources, Inc. 0.5
Skyworks Solutions, Inc. 0.5
General Motors Co. 0.5
Exxon Mobil Corp. 0.5
-------
Total 5.2%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/12 $10,000 $10,000 $10,000
1/13 11,790 11,066 11,451
7/13 13,593 12,598 13,099
1/14 14,562 13,478 13,697
7/14 15,683 14,664 14,962
1/15 15,682 15,320 15,271
7/15 15,567 16,314 15,937
1/16 13,441 15,126 14,638
7/16 15,875 17,227 16,897
1/17 18,153 18,332 18,370
7/17 18,964 19,985 19,339
1/18 20,976 22,997 21,797
7/18 20,916 23,245 21,444
1/19 19,648 22,437 20,728
7/19 20,159 24,883 22,578
1/20 20,596 27,054 24,287
7/20 17,691 27,473 21,721
1/21 22,693 31,782 25,093
7/21 27,307 37,780 29,910
1/22 28,674 38,905 31,267
7/22 27,636 35,988 29,879
</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 growth stocks from
the Nasdaq US 500 Large Cap Index(TM), Nasdaq US 600 Mid Cap Index9TM0 and
Nasdaq US 700 Small Cap Index(TM) (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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -14.91% 11.68% 12.99% 8.72% 73.72% 239.21% 257.10%
Market Price -14.92% 11.68% 13.00% 8.72% 73.74% 239.52% 257.20%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Multi Cap Growth Index(1) -14.36% 12.44% N/A N/A 79.73% N/A N/A
Nasdaq US Multi Cap
Growth Index(1) -12.09% 14.27% N/A N/A 94.81% N/A N/A
S&P Composite 1500(R) Index -4.74% 12.49% 13.66% 9.03% 80.08% 259.88% 272.93%
S&P Composite 1500(R)
Growth Index -9.23% 15.08% 15.24% 11.03% 101.84% 313.09% 392.29%
------------------------------------------------------------------------------------------------------------------
</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 -14.91% 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 -9.23%. The Information Technology sector
received the greatest allocation during the period, with an average weight of
23.3%. This sector was also the greatest driver of negative return for the Fund,
with a contribution of -4.3%. The sector with the largest contribution to the
Fund's return was the Energy sector with a contribution of 1.7% 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 16
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 16.9%
Industrials 16.7
Information Technology 16.6
Energy 10.0
Consumer Discretionary 10.0
Financials 8.3
Real Estate 6.9
Consumer Staples 5.3
Materials 4.3
Communication Services 3.2
Utilities 1.8
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Enphase Energy, Inc. 0.6%
Nucor Corp. 0.5
W.W. Grainger, Inc. 0.5
Devon Energy Corp. 0.5
Costco Wholesale Corp. 0.5
Cheniere Energy, Inc. 0.5
Occidental Petroleum Corp. 0.5
O'Reilly Automotive, Inc. 0.5
CF Industries Holdings, Inc. 0.5
Marathon Oil Corp. 0.4
-------
Total 5.0%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
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>
7/12 $10,000 $10,000 $10,000
1/13 11,259 11,066 10,737
7/13 12,800 12,598 12,165
1/14 14,114 13,478 13,300
7/14 14,674 14,664 14,417
1/15 15,616 15,320 15,383
7/15 17,004 16,314 16,677
1/16 15,231 15,126 15,585
7/16 17,456 17,227 17,522
1/17 17,788 18,332 18,228
7/17 19,524 19,985 20,466
1/18 22,829 22,997 23,974
7/18 23,977 23,247 24,837
1/19 22,304 22,438 23,946
7/19 25,094 24,884 26,987
1/20 25,886 27,052 29,609
7/20 27,663 27,472 33,102
1/21 35,510 31,782 38,376
7/21 39,862 37,780 45,510
1/22 36,788 38,907 46,137
7/22 33,921 35,988 41,309
</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(TM) 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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 1.31% 7.56% 10.05% 8.80% 43.99% 160.61% 158.94%
Market Price 1.40% 7.57% 10.04% 8.80% 44.05% 160.32% 159.04%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid
Cap Value Index(1) 2.04% 8.37% N/A N/A 49.46% N/A N/A
Nasdaq US 600 Mid Cap
Value Index(TM) (1) -2.42% 7.42% N/A N/A 43.00% N/A N/A
S&P MidCap 400(R) Value
Index -0.05% 8.79% 11.98% 10.42% 52.37% 209.92% 205.88%
------------------------------------------------------------------------------------------------------------------
</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 1.31% 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 -0.05%. The Fund allocated 27.9% to the
Financials sector during the period covered by this report, more weight than any
other sector. Investments in the Materials sector caused a 2.0% contribution to
the Fund's return, the most of any sector. Investments in the Consumer
Discretionary sector caused a -3.6% drag on the Fund during the period covered
by this report, the largest negative contribution to return of any sector.
-----------------------------
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 24.1%
Consumer Discretionary 21.9
Industrials 17.6
Materials 8.3
Information Technology 8.0
Utilities 4.7
Consumer Staples 4.0
Real Estate 3.7
Health Care 3.7
Communication Services 3.4
Energy 0.6
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
United States Steel Corp. 0.9%
Matson, Inc. 0.9
Owens Corning 0.8
Meritage Homes Corp. 0.8
Triton International Ltd. 0.8
Commercial Metals Co. 0.8
Amkor Technology, Inc. 0.8
Knight-Swift Transportation Holdings, Inc. 0.8
Steel Dynamics, Inc. 0.8
New Residential Investment Corp. 0.8
-------
Total 8.2%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Mid Cap S&P MidCap 400(R)
Value AlphaDEX(R) Fund Value Index
<S> <C> <C>
7/12 $10,000 $10,000
1/13 11,842 11,795
7/13 13,637 13,536
1/14 14,753 14,496
7/14 15,588 15,515
1/15 15,304 16,027
7/15 15,451 16,419
1/16 13,177 14,567
7/16 15,641 17,701
1/17 17,819 19,784
7/17 18,101 20,340
1/18 19,878 22,207
7/18 20,055 22,882
1/19 18,918 21,579
7/19 19,202 22,830
1/20 19,165 23,351
7/20 15,709 19,772
1/21 20,789 25,556
7/21 25,725 31,009
1/22 26,682 31,701
7/22 26,061 30,992
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -16.80% 11.96% 12.46% 10.64% 75.89% 223.48% 212.89%
Market Price -16.78% 11.95% 12.45% 10.64% 75.86% 223.26% 212.84%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid
Cap Growth Index(1) -16.15% 12.78% N/A N/A 82.50% N/A N/A
Nasdaq US 600 Mid Cap
Growth Index(1) -22.83% 9.21% N/A N/A 55.35% N/A N/A
S&P MidCap 400(R) Growth
Index -11.26% 8.92% 11.80% 10.26% 53.28% 205.18% 200.96%
------------------------------------------------------------------------------------------------------------------
</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 -16.80% 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 -11.26%. During the period covered by this
report, the Fund's greatest allocations were to the Health Care sector, with an
average weight of 16.2%, and to the Information Technology sector, with an
average weight of 16.8%. The Information Technology sector also had the largest
negative contribution to the Fund with a -4.6% contribution to Fund return. The
Energy sector contributed 2.3% to the Fund's return, the only sector with a
positive contribution 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 20
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 18.7%
Health Care 15.5
Information Technology 13.4
Consumer Discretionary 13.1
Energy 12.1
Real Estate 7.8
Materials 6.7
Financials 6.6
Communication Services 2.3
Utilities 2.0
Consumer Staples 1.8
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Range Resources Corp. 0.9%
Antero Resources Corp. 0.9
EQT Corp. 0.8
Builders FirstSource, Inc. 0.8
Carlisle Cos., Inc. 0.8
Matador Resources Co. 0.8
Franklin Electric Co., Inc. 0.8
Avis Budget Group, Inc. 0.8
Texas Pacific Land Corp. 0.8
Murphy USA, Inc. 0.8
-------
Total 8.2%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Mid Cap S&P MidCap 400(R)
Growth AlphaDEX(R) Fund Growth Index
<S> <C> <C>
7/12 $10,000 $10,000
1/13 11,424 11,646
7/13 12,706 13,075
1/14 14,073 14,078
7/14 14,292 14,547
1/15 15,141 15,630
7/15 16,282 16,946
1/16 14,209 14,931
7/16 16,286 17,509
1/17 16,884 18,552
7/17 18,393 19,910
1/18 21,759 22,773
7/18 23,004 23,167
1/19 21,500 21,389
7/19 24,480 23,588
1/20 25,402 24,413
7/20 26,996 24,855
1/21 35,826 30,900
7/21 38,880 34,390
1/22 34,643 32,327
7/22 32,348 30,518
</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(TM) 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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -2.06% 8.64% 10.65% 9.39% 51.35% 175.02% 175.14%
Market Price -2.06% 8.62% 10.65% 9.38% 51.18% 175.07% 174.92%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small
Cap Value Index(1) -1.34% 9.45% N/A N/A 57.05% N/A N/A
Nasdaq US 700 Small Cap
Value Index(TM) (1) -4.37% 8.79% N/A N/A 52.35% N/A N/A
S&P SmallCap 600(R) Value
Index -2.26% 8.38% 11.98% 10.78% 49.54% 210.10% 217.26%
------------------------------------------------------------------------------------------------------------------
</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 -2.06% 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 -2.26%. The Fund allocated the greatest
weight to the Financials sector. Investments in this sector received an
allocation of 31.0%. The Energy sector generated the largest contribution to the
Fund's return at 1.1%, while receiving a weight of 4.0%. The least contributing
sector to the Fund's return for the period was the Consumer Discretionary
sector, which generated a -1.9% contribution to the Fund's return due to its
15.8% allocation and -16.1% total return.
-----------------------------
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 28.9%
Consumer Discretionary 20.5
Industrials 17.0
Information Technology 6.9
Real Estate 6.8
Materials 4.7
Communication Services 3.9
Health Care 3.8
Energy 3.0
Consumer Staples 3.0
Utilities 1.5
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
LGI Homes, Inc. 0.8%
PennyMac Financial Services, Inc. 0.7
Winnebago Industries, Inc. 0.7
Taylor Morrison Home Corp. 0.7
Atlas Air Worldwide Holdings, Inc. 0.7
Mr. Cooper Group, Inc. 0.7
iStar, Inc. 0.7
MFA Financial, Inc. 0.7
Genworth Financial, Inc., Class A 0.7
Boise Cascade Co. 0.7
-------
Total 7.1%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Small Cap S&P SmallCap 600(R)
Value AlphaDEX(R) Fund Value Index
<S> <C> <C>
7/12 $10,000 $10,000
1/13 11,939 11,675
7/13 14,234 13,737
1/14 15,569 14,933
7/14 15,922 15,368
1/15 15,987 15,789
7/15 15,621 16,324
1/16 13,083 14,635
7/16 15,745 17,784
1/17 18,050 20,195
7/17 18,171 20,737
1/18 19,872 23,101
7/18 20,872 25,034
1/19 19,002 22,341
7/19 18,850 22,912
1/20 19,175 23,182
7/20 16,994 19,175
1/21 23,686 26,998
7/21 28,077 31,728
1/22 28,734 31,826
7/22 27,502 31,010
</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)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -14.81% 9.47% 11.70% 10.46% 57.19% 202.45% 207.19%
Market Price -14.82% 9.44% 11.71% 10.45% 57.02% 202.64% 206.94%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small
Cap Growth Index(1) -14.14% 10.33% N/A N/A 63.45% N/A N/A
Nasdaq US 700 Small Cap
Growth Index(1) -23.73% 7.60% N/A N/A 44.21% N/A N/A
S&P SmallCap 600(R)
Growth Index -10.19% 9.51% 12.70% 11.53% 57.49% 230.64% 242.63%
------------------------------------------------------------------------------------------------------------------
</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 -14.81% 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 -10.19%. The Health Care sector received the
greatest allocation in the Fund during the period, with an average weight of
18.4%. The Energy sector generated the largest contribution to the Fund's return
at 1.5%, while receiving a weight of 6.2%. The least contributing sector to the
Fund's return for the period was the Consumer Discretionary sector, which
generated a -4.8% contribution to the Fund's return due to its 14.2% allocation
and -30.8% total return.
-----------------------------
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
----------------------------------------------------------
Health Care 18.1%
Industrials 15.4
Information Technology 15.3
Financials 11.6
Consumer Discretionary 8.2
Real Estate 7.7
Energy 7.4
Consumer Staples 6.7
Communication Services 4.9
Utilities 3.5
Materials 1.2
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Celsius Holdings, Inc. 0.8%
Encore Wire Corp. 0.8
Comstock Resources, Inc. 0.8
Comfort Systems USA, Inc. 0.7
Mueller Industries, Inc. 0.7
ArcBest Corp. 0.7
Encore Capital Group, Inc. 0.7
AdaptHealth Corp. 0.7
Array Technologies, Inc. 0.7
Belden, Inc. 0.7
-------
Total 7.3%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Small Cap S&P SmallCap 600(R)
Growth AlphaDEX(R) Fund Growth Index
<S> <C> <C>
7/12 $10,000 $10,000
1/13 11,163 11,301
7/13 12,813 13,231
1/14 14,190 14,579
7/14 13,776 14,566
1/15 14,411 15,510
7/15 15,867 17,157
1/16 13,967 15,188
7/16 16,427 17,720
1/17 17,534 19,878
7/17 19,238 20,997
1/18 21,668 23,577
7/18 24,212 26,357
1/19 21,876 23,824
7/19 23,265 25,089
1/20 22,997 26,028
7/20 22,151 24,692
1/21 33,284 33,626
7/21 35,494 36,817
1/22 33,162 34,870
7/22 30,245 33,064
</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, 2022 (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, 2022.
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, 2022 JULY 31, 2022 PERIOD (a) PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
Actual $1,000.00 $ 945.80 0.59% $2.85
Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
Actual $1,000.00 $ 962.20 0.60% $2.92
Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
Actual $1,000.00 $ 941.20 0.60% $2.89
Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
Actual $1,000.00 $ 957.20 0.59% $2.86
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 $ 918.80 0.59% $2.81
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, 2022 (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, 2022 JULY 31, 2022 PERIOD (a) PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
Actual $1,000.00 $ 963.80 0.65% $3.16
Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
Actual $1,000.00 $ 922.00 0.64% $3.05
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 $ 976.70 0.70% $3.43
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 $ 933.80 0.70% $3.36
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 $ 957.00 0.70% $3.40
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 $ 911.80 0.70% $3.32
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,
2022 through July 31, 2022), 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, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.8%
12,379 General Dynamics Corp. $ 2,805,948
13,924 HEICO Corp. 2,195,954
11,331 L3Harris Technologies, Inc. 2,719,100
4,247 Lockheed Martin Corp. 1,757,451
7,631 Northrop Grumman Corp. 3,654,486
18,997 Raytheon Technologies Corp. 1,770,711
59,794 Textron, Inc. 3,924,878
1,701 TransDigm Group, Inc. (a) 1,058,600
---------------
19,887,128
---------------
AIR FREIGHT & LOGISTICS -- 1.0%
37,468 Expeditors International of
Washington, Inc. 3,980,975
16,107 FedEx Corp. 3,754,381
15,004 United Parcel Service, Inc.,
Class B 2,924,129
---------------
10,659,485
---------------
AIRLINES -- 0.3%
31,512 Delta Air Lines, Inc. (a) 1,002,081
75,823 Southwest Airlines Co. (a) 2,890,373
---------------
3,892,454
---------------
AUTO COMPONENTS -- 0.1%
10,250 Aptiv PLC (a) 1,075,123
---------------
AUTOMOBILES -- 1.1%
410,111 Ford Motor Co. 6,024,531
143,719 General Motors Co. (a) 5,211,251
1,356 Tesla, Inc. (a) 1,208,806
---------------
12,444,588
---------------
BANKS -- 4.4%
117,302 Bank of America Corp. 3,965,981
99,250 Citigroup, Inc. 5,151,075
102,315 Citizens Financial Group, Inc. 3,884,900
108,679 Fifth Third Bancorp 3,708,127
6,331 First Republic Bank 1,030,117
227,658 Huntington Bancshares, Inc. 3,025,575
32,427 JPMorgan Chase & Co. 3,740,779
211,934 KeyCorp 3,878,392
11,455 M&T Bank Corp. 2,032,690
17,359 PNC Financial Services Group
(The), Inc. 2,880,552
97,377 Regions Financial Corp. 2,062,445
76,990 Truist Financial Corp. 3,885,685
79,349 U.S. Bancorp 3,745,273
116,532 Wells Fargo & Co. 5,112,259
---------------
48,103,850
---------------
BEVERAGES -- 1.5%
72,557 Coca-Cola (The) Co. 4,655,983
3,917 Constellation Brands, Inc.,
Class A 964,796
77,387 Keurig Dr Pepper, Inc. 2,997,972
39,392 Monster Beverage Corp. (a) 3,924,231
21,910 PepsiCo, Inc. 3,833,374
---------------
16,376,356
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BIOTECHNOLOGY -- 2.8%
23,842 AbbVie, Inc. $ 3,421,565
18,778 Alnylam Pharmaceuticals,
Inc. (a) 2,667,227
3,752 Amgen, Inc. 928,508
13,429 Biogen, Inc. (a) 2,888,041
44,309 Gilead Sciences, Inc. 2,647,463
22,891 Horizon Therapeutics PLC (a) 1,899,266
48,067 Incyte Corp. (a) 3,733,845
12,781 Moderna, Inc. (a) 2,097,234
6,178 Regeneron Pharmaceuticals,
Inc. (a) 3,593,681
15,478 Seagen, Inc. (a) 2,785,730
16,198 Vertex Pharmaceuticals, Inc. (a) 4,542,081
---------------
31,204,641
---------------
BUILDING PRODUCTS -- 0.6%
102,401 Carrier Global Corp. 4,150,313
18,042 Masco Corp. 999,166
14,059 Trane Technologies PLC 2,066,532
---------------
7,216,011
---------------
CAPITAL MARKETS -- 4.1%
7,682 Ameriprise Financial, Inc. 2,073,525
87,548 Bank of New York Mellon (The)
Corp. 3,804,836
10,006 Blackstone, Inc. 1,021,312
28,835 Carlyle Group (The), Inc. 1,121,970
14,449 Charles Schwab (The) Corp. 997,704
4,459 CME Group, Inc. 889,481
19,415 Coinbase Global, Inc.,
Class A (a) (b) 1,222,368
4,748 FactSet Research Systems, Inc. 2,040,121
195,819 Franklin Resources, Inc. 5,375,232
15,367 Goldman Sachs Group (The),
Inc. 5,123,204
9,707 Intercontinental Exchange, Inc. 990,017
39,443 KKR & Co., Inc. 2,187,509
48,010 Morgan Stanley 4,047,243
5,984 Nasdaq, Inc. 1,082,506
9,462 Northern Trust Corp. 944,118
30,631 Raymond James Financial, Inc. 3,016,235
59,231 State Street Corp. 4,207,770
40,177 T. Rowe Price Group, Inc. 4,960,654
---------------
45,105,805
---------------
CHEMICALS -- 4.0%
11,389 Air Products and Chemicals, Inc. 2,827,092
38,811 Celanese Corp. 4,560,681
53,243 CF Industries Holdings, Inc. 5,084,174
67,448 Corteva, Inc. 3,881,632
88,443 Dow, Inc. 4,706,052
65,701 DuPont de Nemours, Inc. 4,022,872
40,677 Eastman Chemical Co. 3,902,145
17,062 FMC Corp. 1,895,588
15,327 International Flavors &
Fragrances, Inc. 1,901,314
52,190 LyondellBasell Industries N.V.,
Class A 4,651,173
96,645 Mosaic (The) Co. 5,089,326
See Notes to Financial Statements Page 29
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CHEMICALS (CONTINUED)
7,984 PPG Industries, Inc. $ 1,032,251
4,077 Sherwin-Williams (The) Co. 986,389
---------------
44,540,689
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.4%
4,888 Cintas Corp. 2,079,795
16,803 Copart, Inc. (a) 2,152,464
27,903 Republic Services, Inc. 3,869,030
78,429 Rollins, Inc. 3,025,007
23,870 Waste Management, Inc. 3,928,047
---------------
15,054,343
---------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
9,738 Arista Networks, Inc. (a) 1,135,743
85,638 Cisco Systems, Inc. 3,885,396
8,711 Motorola Solutions, Inc. 2,078,358
---------------
7,099,497
---------------
CONSTRUCTION & ENGINEERING
-- 0.1%
7,284 Quanta Services, Inc. 1,010,509
---------------
CONSTRUCTION MATERIALS -- 0.3%
3,050 Martin Marietta Materials, Inc. 1,073,844
12,849 Vulcan Materials Co. 2,124,325
---------------
3,198,169
---------------
CONSUMER FINANCE -- 2.0%
136,214 Ally Financial, Inc. 4,504,597
13,172 American Express Co. 2,028,752
43,810 Capital One Financial Corp. 4,811,652
48,261 Discover Financial Services 4,874,361
165,262 Synchrony Financial 5,532,972
---------------
21,752,334
---------------
CONTAINERS & PACKAGING -- 1.3%
16,919 Avery Dennison Corp. 3,222,393
26,550 Ball Corp. 1,949,301
109,121 International Paper Co. 4,667,105
33,196 Packaging Corp. of America 4,667,689
---------------
14,506,488
---------------
DISTRIBUTORS -- 0.8%
13,728 Genuine Parts Co. 2,098,599
92,983 LKQ Corp. 5,099,188
5,199 Pool Corp. 1,859,682
---------------
9,057,469
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
16,719 Berkshire Hathaway, Inc.,
Class B (a) 5,025,731
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.7%
217,774 AT&T, Inc. 4,089,796
89,941 Verizon Communications, Inc. 4,154,375
---------------
8,244,171
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRIC UTILITIES -- 4.2%
46,727 Alliant Energy Corp. $ 2,847,076
38,061 American Electric Power Co.,
Inc. 3,751,292
34,060 Duke Energy Corp. 3,744,216
43,306 Edison International 2,934,848
32,419 Entergy Corp. 3,732,399
55,963 Evergy, Inc. 3,820,034
32,422 Eversource Energy 2,860,269
80,574 Exelon Corp. 3,745,885
71,340 FirstEnergy Corp. 2,932,074
47,142 NextEra Energy, Inc. 3,983,028
365,895 PG&E Corp. (a) 3,973,620
100,948 PPL Corp. 2,935,568
25,604 Southern (The) Co. 1,968,691
38,704 Xcel Energy, Inc. 2,832,359
---------------
46,061,359
---------------
ELECTRICAL EQUIPMENT -- 0.8%
16,615 AMETEK, Inc. 2,051,953
21,738 Eaton Corp. PLC 3,225,702
34,432 Emerson Electric Co. 3,101,290
---------------
8,378,945
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.7%
42,540 Amphenol Corp., Class A 3,281,110
5,794 CDW Corp. 1,051,785
144,860 Corning, Inc. 5,325,054
6,622 Keysight Technologies, Inc. (a) 1,076,737
32,272 TE Connectivity Ltd. 4,315,734
4,867 Teledyne Technologies, Inc. (a) 1,904,944
31,355 Trimble, Inc. (a) 2,176,978
---------------
19,132,342
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.6%
31,621 Baker Hughes Co. 812,343
87,332 Halliburton Co. 2,558,828
76,586 Schlumberger N.V. 2,835,980
---------------
6,207,151
---------------
ENTERTAINMENT -- 0.6%
7,504 Electronic Arts, Inc. 984,750
71,916 Liberty Media Corp.-Liberty
Formula One, Class C (a) 4,873,747
9,670 Walt Disney (The) Co. (a) 1,025,987
---------------
6,884,484
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.8%
10,715 American Tower Corp. 2,901,943
5,422 Crown Castle International Corp. 979,539
7,032 Digital Realty Trust, Inc. 931,388
33,227 Duke Realty Corp. 2,078,681
1,390 Equinix, Inc. 978,199
25,909 Equity LifeStyle Properties, Inc. 1,904,830
5,366 Extra Space Storage, Inc. 1,016,964
25,658 Invitation Homes, Inc. 1,001,432
5,227 Mid-America Apartment
Communities, Inc. 970,811
Page 30 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
5,840 Public Storage $ 1,906,234
13,374 Realty Income Corp. 989,542
5,705 SBA Communications Corp. 1,915,682
17,186 Sun Communities, Inc. 2,817,817
17,750 Ventas, Inc. 954,595
61,290 VICI Properties, Inc. 2,095,505
137,818 Weyerhaeuser Co. 5,005,550
22,035 WP Carey, Inc. 1,967,725
---------------
30,416,437
---------------
FOOD & STAPLES RETAILING -- 1.2%
7,619 Costco Wholesale Corp. 4,124,165
57,864 Kroger (The) Co. 2,687,204
120,437 Walgreens Boots Alliance, Inc. 4,771,714
15,017 Walmart, Inc. 1,982,995
---------------
13,566,078
---------------
FOOD PRODUCTS -- 3.4%
47,057 Archer-Daniels-Midland Co. 3,894,908
50,331 Bunge Ltd. 4,647,061
106,648 Conagra Brands, Inc. 3,648,428
36,298 General Mills, Inc. 2,714,728
16,972 Hershey (The) Co. 3,868,937
38,552 Hormel Foods Corp. 1,902,156
28,527 J.M. Smucker (The) Co. 3,774,693
38,390 Kellogg Co. 2,837,789
47,872 Kraft Heinz (The) Co. 1,763,126
10,966 McCormick & Co., Inc. 957,880
44,109 Mondelez International, Inc.,
Class A 2,824,740
53,040 Tyson Foods, Inc., Class A 4,668,050
---------------
37,502,496
---------------
GAS UTILITIES -- 0.3%
24,431 Atmos Energy Corp. 2,965,679
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 1.9%
25,207 Abbott Laboratories 2,743,530
14,213 Baxter International, Inc. 833,735
3,703 Becton, Dickinson and Co. 904,680
2,916 Cooper (The) Cos., Inc. 953,532
9,601 Edwards Lifesciences Corp. (a) 965,284
39,520 Hologic, Inc. (a) 2,820,938
4,189 Insulet Corp. (a) 1,038,034
30,515 Medtronic PLC 2,823,248
13,286 STERIS PLC 2,997,986
4,589 Stryker Corp. 985,488
11,140 Teleflex, Inc. 2,678,724
8,690 Zimmer Biomet Holdings, Inc. 959,289
---------------
20,704,468
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.9%
21,579 Centene Corp. (a) 2,006,200
13,858 Cigna Corp. 3,815,939
39,409 CVS Health Corp. 3,770,653
5,675 Elevance Health, Inc. 2,707,542
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
10,864 HCA Healthcare, Inc. $ 2,307,731
3,901 Humana, Inc. 1,880,282
19,476 Laboratory Corp. of America
Holdings 5,106,412
3,265 Molina Healthcare, Inc. (a) 1,070,006
34,325 Quest Diagnostics, Inc. 4,687,765
8,887 UnitedHealth Group, Inc. 4,819,776
---------------
32,172,306
---------------
HEALTH CARE TECHNOLOGY -- 0.1%
4,609 Veeva Systems, Inc., Class A (a) 1,030,480
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.9%
23,836 Caesars Entertainment, Inc. (a) 1,089,067
1,397 Chipotle Mexican Grill, Inc. (a) 2,185,215
24,211 Darden Restaurants, Inc. 3,014,028
4,685 Domino's Pizza, Inc. 1,837,035
14,791 McDonald's Corp. 3,895,506
126,136 MGM Resorts International 4,128,431
23,901 Starbucks Corp. 2,026,327
24,128 Yum! Brands, Inc. 2,956,645
---------------
21,132,254
---------------
HOUSEHOLD DURABLES -- 1.8%
68,961 D.R. Horton, Inc. 5,381,027
37,167 Garmin Ltd. 3,628,242
64,681 Lennar Corp., Class A 5,497,885
1,140 NVR, Inc. (a) 5,008,134
---------------
19,515,288
---------------
HOUSEHOLD PRODUCTS -- 0.5%
29,557 Church & Dwight Co., Inc. 2,600,129
19,047 Procter & Gamble (The) Co. 2,645,819
---------------
5,245,948
---------------
INDUSTRIAL CONGLOMERATES -- 0.5%
28,217 3M Co. 4,041,803
14,338 General Electric Co. 1,059,722
5,252 Honeywell International, Inc. 1,010,800
---------------
6,112,325
---------------
INSURANCE -- 6.3%
65,997 Aflac, Inc. 3,781,628
28,814 Allstate (The) Corp. 3,370,373
89,273 American International Group,
Inc. 4,621,663
10,155 Aon PLC, Class A 2,955,511
100,342 Arch Capital Group Ltd. (a) 4,455,185
22,397 Arthur J. Gallagher & Co. 4,008,839
31,296 Brown & Brown, Inc. 2,037,369
18,576 Chubb Ltd. 3,504,177
38,364 Cincinnati Financial Corp. 3,734,352
123,499 Fidelity National Financial, Inc. 4,935,020
69,763 Hartford Financial Services
Group (The), Inc. 4,497,621
61,620 Loews Corp. 3,589,365
3,530 Markel Corp. (a) 4,578,904
23,521 Marsh & McLennan Cos., Inc. 3,856,503
58,156 MetLife, Inc. 3,678,367
See Notes to Financial Statements Page 31
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
41,005 Principal Financial Group, Inc. $ 2,744,875
38,165 Prudential Financial, Inc. 3,816,118
21,591 Travelers (The) Cos., Inc. 3,426,492
40,122 W.R. Berkley Corp. 2,508,829
---------------
70,101,191
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.2%
16,760 Alphabet, Inc., Class A (a) 1,949,523
---------------
IT SERVICES -- 3.4%
6,576 Accenture PLC, Class A 2,013,966
13,039 Automatic Data Processing, Inc. 3,143,964
19,212 Broadridge Financial Solutions,
Inc. 3,084,487
54,107 Cognizant Technology Solutions
Corp., Class A 3,677,112
6,194 EPAM Systems, Inc. (a) 2,163,254
29,876 Fidelity National Information
Services, Inc. 3,052,132
30,783 Fiserv, Inc. (a) 3,253,147
8,690 FleetCor Technologies, Inc. (a) 1,912,582
7,550 Gartner, Inc. (a) 2,004,374
33,004 Global Payments, Inc. 4,037,049
6,466 International Business Machines
Corp. 845,688
8,681 Mastercard, Inc., Class A 3,071,251
16,034 Paychex, Inc. 2,056,842
13,910 Visa, Inc., Class A 2,950,450
---------------
37,266,298
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.5%
7,686 Agilent Technologies, Inc. 1,030,693
58,708 Avantor, Inc. (a) 1,703,706
7,201 Danaher Corp. 2,098,875
4,951 Illumina, Inc. (a) 1,072,783
12,621 IQVIA Holdings, Inc. (a) 3,032,448
795 Mettler-Toledo International,
Inc. (a) 1,073,035
6,419 PerkinElmer, Inc. 983,198
5,041 Thermo Fisher Scientific, Inc. 3,016,585
8,275 Waters Corp. (a) 3,012,348
---------------
17,023,671
---------------
MACHINERY -- 3.2%
15,321 Caterpillar, Inc. 3,037,388
18,868 Cummins, Inc. 4,175,677
6,096 Deere & Co. 2,092,025
7,525 Dover Corp. 1,005,942
33,575 Fortive Corp. 2,163,909
10,052 IDEX Corp. 2,098,355
10,019 Illinois Tool Works, Inc. 2,081,547
21,695 Ingersoll Rand, Inc. 1,080,411
38,754 Otis Worldwide Corp. 3,029,400
44,348 PACCAR, Inc. 4,058,729
7,420 Parker-Hannifin Corp. 2,145,048
43,530 Stanley Black & Decker, Inc. 4,236,775
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
33,367 Westinghouse Air Brake
Technologies Corp. $ 3,118,814
11,677 Xylem, Inc. 1,074,634
---------------
35,398,654
---------------
MEDIA -- 2.3%
3,897 Charter Communications, Inc.,
Class A (a) 1,683,894
116,324 Comcast Corp., Class A 4,364,476
113,545 Fox Corp., Class A 3,759,475
132,642 Interpublic Group of (The) Cos.,
Inc. 3,962,017
7,895 Liberty Broadband Corp.,
Class C (a) 860,002
43,055 Omnicom Group, Inc. 3,006,961
184,949 Paramount Global, Class B 4,374,044
595,698 Sirius XM Holdings, Inc. (b) 3,979,263
---------------
25,990,132
---------------
METALS & MINING -- 0.9%
62,400 Freeport-McMoRan, Inc. 1,968,720
45,898 Newmont Corp. 2,078,261
43,717 Nucor Corp. 5,936,769
---------------
9,983,750
---------------
MULTILINE RETAIL -- 0.6%
3,720 Dollar General Corp. 924,160
11,715 Dollar Tree, Inc. (a) 1,937,192
25,856 Target Corp. 4,224,353
---------------
7,085,705
---------------
MULTI-UTILITIES -- 2.2%
30,309 Ameren Corp. 2,822,374
154,312 CenterPoint Energy, Inc. 4,890,147
54,098 CMS Energy Corp. 3,718,156
38,398 Consolidated Edison, Inc. 3,811,769
34,316 Dominion Energy, Inc. 2,813,226
14,405 DTE Energy Co. 1,876,971
12,151 Sempra Energy 2,014,636
18,142 WEC Energy Group, Inc. 1,883,321
---------------
23,830,600
---------------
OIL, GAS & CONSUMABLE FUELS
-- 7.7%
34,312 Cheniere Energy, Inc. 5,132,389
31,528 Chevron Corp. 5,163,656
50,824 ConocoPhillips 4,951,782
176,989 Coterra Energy, Inc. 5,414,093
82,826 Devon Energy Corp. 5,205,614
37,676 Diamondback Energy, Inc. 4,823,282
41,330 EOG Resources, Inc. 4,596,723
53,299 Exxon Mobil Corp. 5,166,272
43,086 Hess Corp. 4,845,882
163,408 Kinder Morgan, Inc. 2,939,710
203,049 Marathon Oil Corp. 5,035,615
44,419 Marathon Petroleum Corp. 4,071,446
77,523 Occidental Petroleum Corp. 5,097,137
82,244 ONEOK, Inc. 4,913,257
44,538 Phillips 66 3,963,882
20,461 Pioneer Natural Resources Co. 4,848,234
Page 32 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
34,359 Valero Energy Corp. $ 3,805,946
146,252 Williams (The) Cos., Inc. 4,985,731
---------------
84,960,651
---------------
PHARMACEUTICALS -- 2.5%
59,280 Bristol-Myers Squibb Co. 4,373,678
34,036 Catalent, Inc. (a) 3,849,471
14,078 Eli Lilly & Co. 4,641,376
10,286 Johnson & Johnson 1,795,113
40,053 Merck & Co., Inc. 3,578,335
87,060 Pfizer, Inc. 4,397,401
435,964 Viatris, Inc. 4,224,491
5,311 Zoetis, Inc. 969,523
---------------
27,829,388
---------------
PROFESSIONAL SERVICES -- 0.2%
15,112 CoStar Group, Inc. (a) 1,096,980
5,274 Verisk Analytics, Inc. 1,003,379
---------------
2,100,359
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.5%
62,010 CBRE Group, Inc., Class A (a) 5,309,296
---------------
ROAD & RAIL -- 1.2%
62,829 CSX Corp. 2,031,262
17,392 J.B. Hunt Transport Services,
Inc. 3,187,432
12,049 Norfolk Southern Corp. 3,026,347
10,686 Old Dominion Freight Line, Inc. 3,243,308
8,560 Union Pacific Corp. 1,945,688
---------------
13,434,037
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.6%
6,249 Analog Devices, Inc. 1,074,578
1,879 Broadcom, Inc. 1,006,167
18,703 Enphase Energy, Inc. (a) 5,315,019
122,014 Intel Corp. 4,430,328
2,861 KLA Corp. 1,097,308
15,719 Microchip Technology, Inc. 1,082,410
82,572 Micron Technology, Inc. 5,107,904
4,754 Monolithic Power Systems, Inc. 2,209,279
6,167 NXP Semiconductors N.V. 1,133,988
54,437 ON Semiconductor Corp. (a) 3,635,303
48,394 Qorvo, Inc. (a) 5,036,364
14,293 QUALCOMM, Inc. 2,073,343
49,271 Skyworks Solutions, Inc. 5,364,626
5,941 Texas Instruments, Inc. 1,062,785
---------------
39,629,402
---------------
SOFTWARE -- 1.7%
12,169 Cadence Design Systems,
Inc. (a) 2,264,408
5,415 Crowdstrike Holdings, Inc.,
Class A (a) 994,194
48,405 Fortinet, Inc. (a) 2,887,358
2,368 Intuit, Inc. 1,080,211
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
83,143 NortonLifeLock, Inc. $ 2,039,498
13,066 Oracle Corp. 1,017,057
5,545 Palo Alto Networks, Inc. (a) 2,767,509
2,313 Roper Technologies, Inc. 1,010,018
1,920 ServiceNow, Inc. (a) 857,587
9,018 Synopsys, Inc. (a) 3,314,115
8,455 Zoom Video Communications,
Inc., Class A (a) 878,136
---------------
19,110,091
---------------
SPECIALTY RETAIL -- 3.2%
10,549 Advance Auto Parts, Inc. 2,042,497
2,124 AutoZone, Inc. (a) 4,539,816
70,019 Best Buy Co., Inc. 5,390,763
30,268 CarMax, Inc. (a) 3,012,877
40,430 Carvana Co. (a) (b) 1,178,534
6,657 Home Depot (The), Inc. 2,003,358
10,453 Lowe's Cos., Inc. 2,002,063
5,780 O'Reilly Automotive, Inc. (a) 4,066,750
38,996 Ross Stores, Inc. 3,168,815
32,691 TJX (The) Cos., Inc. 1,999,382
14,128 Tractor Supply Co. 2,705,229
7,105 Ulta Beauty, Inc. (a) 2,763,206
---------------
34,873,290
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 1.8%
13,354 Apple, Inc. 2,170,159
39,512 Dell Technologies, Inc., Class C 1,780,411
344,234 Hewlett Packard Enterprise Co. 4,901,892
111,398 HP, Inc. 3,719,579
27,986 NetApp, Inc. 1,996,241
101,819 Western Digital Corp. (a) 4,999,313
---------------
19,567,595
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.3%
82,672 VF Corp. 3,693,785
---------------
TOBACCO -- 0.4%
21,856 Altria Group, Inc. 958,604
36,982 Philip Morris International,
Inc. 3,592,801
---------------
4,551,405
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.1%
36,575 Fastenal Co. 1,878,492
18,791 United Rentals, Inc. (a) 6,063,292
8,035 W.W. Grainger, Inc. 4,367,264
---------------
12,309,048
---------------
WATER UTILITIES -- 0.1%
6,136 American Water Works Co., Inc. 953,780
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.3%
20,357 T-Mobile US, Inc. (a) 2,912,272
---------------
TOTAL COMMON STOCKS
-- 99.8% 1,102,346,804
(Cost $1,020,971,354) ---------------
See Notes to Financial Statements Page 33
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.5%
3,042,777 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) $ 3,042,777
1,928,476 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 1,928,476
---------------
TOTAL MONEY MARKET FUNDS
-- 0.5% 4,971,253
(Cost $4,971,253) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.2%
$ 2,680,432 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$2,680,915. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $2,737,246. (d) 2,680,432
(Cost $2,680,432) ---------------
TOTAL INVESTMENTS -- 100.5% 1,109,998,489
(Cost $1,028,623,039)
NET OTHER ASSETS AND
LIABILITIES -- (0.5)% (5,268,961)
---------------
NET ASSETS -- 100.0% $ 1,104,729,528
===============
(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 $5,739,581 and the
total value of the collateral held by the Fund is $5,723,209.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
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) $ 5,739,581
Non-cash Collateral(2) (5,723,209)
---------------
Net Amount $ 16,372
===============
(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) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2022, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
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) $ 2,680,432
Non-cash Collateral(4) (2,680,432)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 34 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 1,102,346,804 $ 1,102,346,804 $ -- $ --
Money Market Funds.............................. 4,971,253 4,971,253 -- --
Repurchase Agreements........................... 2,680,432 -- 2,680,432 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,109,998,489 $ 1,107,318,057 $ 2,680,432 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.6%
23,736 BWX Technologies, Inc. $ 1,345,357
9,901 Curtiss-Wright Corp. 1,420,199
9,005 Huntington Ingalls Industries,
Inc. 1,952,644
7,068 Woodward, Inc. 740,020
---------------
5,458,220
---------------
AIR FREIGHT & LOGISTICS -- 0.1%
12,900 C.H. Robinson Worldwide, Inc. 1,428,030
---------------
AIRLINES -- 0.8%
65,299 Alaska Air Group, Inc. (a) 2,894,705
154,685 American Airlines Group,
Inc. (a) 2,120,731
312,450 JetBlue Airways Corp. (a) 2,630,829
---------------
7,646,265
---------------
AUTO COMPONENTS -- 1.7%
110,327 Adient PLC (a) 3,726,846
97,962 BorgWarner, Inc. 3,767,619
8,118 Fox Factory Holding Corp. (a) 768,450
70,125 Gentex Corp. 1,978,927
305,229 Goodyear Tire & Rubber (The)
Co. (a) 3,748,212
15,580 Lear Corp. 2,354,761
---------------
16,344,815
---------------
AUTOMOBILES -- 0.7%
82,603 Harley-Davidson, Inc. 3,123,219
43,744 Thor Industries, Inc. 3,688,932
---------------
6,812,151
---------------
BANKS -- 5.8%
69,683 Bank OZK 2,794,288
34,602 BOK Financial Corp. 3,046,014
83,535 Cadence Bank 2,180,263
26,730 Comerica, Inc. 2,078,792
9,959 Commerce Bancshares, Inc. 692,051
10,332 Community Bank System, Inc. 695,654
5,614 Cullen/Frost Bankers, Inc. 732,066
30,269 East West Bancorp, Inc. 2,172,709
70,835 Eastern Bankshares, Inc. 1,445,034
240,811 F.N.B. Corp. 2,880,100
3,000 First Citizens BancShares, Inc.,
Class A 2,270,040
16,649 First Financial Bankshares, Inc. 735,553
13,788 Glacier Bancorp, Inc. 690,641
58,994 Hancock Whitney Corp. 2,879,497
62,956 Home BancShares, Inc. 1,485,762
8,231 Independent Bank Corp. 689,758
98,095 PacWest Bancorp 2,749,603
27,125 Pinnacle Financial Partners, Inc. 2,145,587
33,995 Popular, Inc. 2,640,392
28,730 Prosperity Bancshares, Inc. 2,128,606
16,569 ServisFirst Bancshares, Inc. 1,415,821
25,423 SouthState Corp. 2,155,108
72,543 Synovus Financial Corp. 2,929,286
15,187 UMB Financial Corp. 1,374,423
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
55,928 United Bankshares, Inc. $ 2,166,651
188,415 Valley National Bancorp 2,202,571
31,023 Webster Financial Corp. 1,441,018
18,521 Western Alliance Bancorp 1,414,634
24,472 Wintrust Financial Corp. 2,105,571
38,535 Zions Bancorp N.A. 2,102,084
---------------
56,439,577
---------------
BEVERAGES -- 0.7%
5,797 Coca-Cola Consolidated, Inc. 2,973,861
59,970 Molson Coors Beverage Co.,
Class B 3,583,207
13,360 National Beverage Corp. 723,845
---------------
7,280,913
---------------
BIOTECHNOLOGY -- 2.0%
109,735 Alkermes PLC (a) 2,809,216
14,458 Apellis Pharmaceuticals,
Inc. (a) 813,696
32,276 CRISPR Therapeutics AG (a) (b) 2,420,700
62,805 Exelixis, Inc. (a) 1,313,881
59,436 Halozyme Therapeutics, Inc. (a) 2,906,420
26,828 Neurocrine Biosciences, Inc. (a) 2,525,320
26,166 Sarepta Therapeutics, Inc. (a) 2,432,130
11,098 United Therapeutics Corp. (a) 2,564,415
77,009 Vir Biotechnology, Inc. (a) 2,141,620
---------------
19,927,398
---------------
BUILDING PRODUCTS -- 2.5%
23,914 A.O. Smith Corp. 1,513,039
7,259 Advanced Drainage Systems,
Inc. 860,917
6,678 Allegion PLC 705,865
8,722 Armstrong World Industries, Inc. 779,311
48,700 Builders FirstSource, Inc. (a) 3,311,600
13,700 Carlisle Cos., Inc. 4,056,570
10,918 Fortune Brands Home &
Security, Inc. 760,766
3,165 Lennox International, Inc. 758,112
43,991 Owens Corning 4,079,725
19,495 Simpson Manufacturing Co., Inc. 2,013,444
12,014 Trex Co., Inc. (a) 775,143
47,975 UFP Industries, Inc. 4,423,775
---------------
24,038,267
---------------
CAPITAL MARKETS -- 3.0%
11,215 Affiliated Managers Group, Inc. 1,417,352
22,997 Ares Management Corp.,
Class A 1,647,735
17,329 Cboe Global Markets, Inc. 2,138,052
10,282 Cohen & Steers, Inc. 757,681
34,920 Evercore, Inc., Class A 3,490,952
33,133 Houlihan Lokey, Inc. 2,801,727
202,665 Invesco Ltd. 3,595,277
118,356 Jefferies Financial Group, Inc. 3,854,855
80,691 Lazard Ltd., Class A 3,039,630
5,407 Morningstar, Inc. 1,380,677
48,411 SEI Investments Co. 2,680,033
46,683 Stifel Financial Corp. 2,792,110
---------------
29,596,081
---------------
Page 36 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CHEMICALS -- 3.2%
19,034 Ashland Global Holdings, Inc. $ 1,912,346
48,937 Avient Corp. 2,111,632
59,141 Axalta Coating Systems Ltd. (a) 1,491,536
15,118 Balchem Corp. 2,052,420
81,674 Chemours (The) Co. 2,906,778
73,461 Element Solutions, Inc. 1,451,589
32,576 H.B. Fuller Co. 2,091,379
115,309 Huntsman Corp. 3,339,349
70,635 Olin Corp. 3,692,091
24,916 RPM International, Inc. 2,252,406
24,831 Scotts Miracle-Gro (The) Co. 2,208,717
90,712 Valvoline, Inc. 2,922,741
33,350 Westlake Corp. 3,246,289
---------------
31,679,273
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.2%
26,986 Casella Waste Systems, Inc.,
Class A (a) 2,184,517
22,373 Clean Harbors, Inc. (a) 2,183,381
94,961 Driven Brands Holdings, Inc. (a) 2,884,915
39,902 IAA, Inc. (a) 1,505,502
14,910 Stericycle, Inc. (a) 698,832
14,364 Tetra Tech, Inc. 2,201,570
---------------
11,658,717
---------------
COMMUNICATIONS EQUIPMENT
-- 0.4%
14,307 Ciena Corp. (a) 738,241
45,881 Juniper Networks, Inc. 1,286,045
16,465 Lumentum Holdings, Inc. (a) 1,489,424
---------------
3,513,710
---------------
CONSTRUCTION & ENGINEERING
-- 1.3%
87,348 API Group Corp. (a) 1,546,933
19,050 EMCOR Group, Inc. 2,216,849
27,371 MasTec, Inc. (a) 2,160,393
96,895 MDU Resources Group, Inc. 2,768,290
5,821 Valmont Industries, Inc. 1,580,285
60,500 WillScot Mobile Mini Holdings
Corp. (a) 2,335,905
---------------
12,608,655
---------------
CONSTRUCTION MATERIALS -- 0.2%
11,893 Eagle Materials, Inc. 1,503,870
---------------
CONSUMER FINANCE -- 0.8%
4,143 Credit Acceptance Corp. (a) (b) 2,385,995
87,453 OneMain Holdings, Inc. 3,253,252
123,049 SLM Corp. 1,919,564
---------------
7,558,811
---------------
CONTAINERS & PACKAGING -- 1.4%
12,669 AptarGroup, Inc. 1,365,212
47,862 Berry Global Group, Inc. (a) 2,759,244
63,785 Graphic Packaging Holding Co. 1,419,216
45,308 Sealed Air Corp. 2,769,225
47,434 Silgan Holdings, Inc. 2,110,813
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONTAINERS & PACKAGING
(CONTINUED)
82,053 Westrock Co. $ 3,475,765
---------------
13,899,475
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.1%
318,926 ADT, Inc. 2,328,160
34,814 Chegg, Inc. (a) 741,538
92,554 H&R Block, Inc. 3,698,458
47,295 Service Corp. International 3,521,586
---------------
10,289,742
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.6%
100,315 Equitable Holdings, Inc. 2,851,955
43,931 Voya Financial, Inc. 2,642,889
---------------
5,494,844
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.9%
138,871 Frontier Communications
Parent, Inc. (a) 3,598,148
52,221 Iridium Communications, Inc. (a) 2,334,801
299,634 Lumen Technologies, Inc. 3,263,014
---------------
9,195,963
---------------
ELECTRIC UTILITIES -- 1.6%
47,956 Hawaiian Electric Industries,
Inc. 2,028,539
12,345 IDACORP, Inc. 1,379,183
85,643 NRG Energy, Inc. 3,233,023
84,777 OGE Energy Corp. 3,482,639
35,766 Pinnacle West Capital Corp. 2,627,728
54,111 Portland General Electric Co. 2,778,059
---------------
15,529,171
---------------
ELECTRICAL EQUIPMENT -- 1.1%
4,245 Acuity Brands, Inc. 774,288
39,381 Atkore, Inc. (a) 3,909,352
7,322 Hubbell, Inc. 1,603,665
17,278 Regal Rexnord Corp. 2,320,435
55,976 Sunrun, Inc. (a) 1,829,855
---------------
10,437,595
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.5%
29,164 Arrow Electronics, Inc. (a) 3,737,950
76,236 Avnet, Inc. 3,649,417
38,497 II-VI, Inc. (a) 2,026,482
27,783 IPG Photonics Corp. (a) 2,961,112
51,068 Jabil, Inc. 3,030,375
10,294 Littelfuse, Inc. 2,870,688
20,935 National Instruments Corp. 795,530
28,707 TD SYNNEX Corp. 2,882,757
113,754 Vontier Corp. 2,934,853
---------------
24,889,164
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.4%
131,749 ChampionX Corp. 2,752,237
38,664 NOV, Inc. 719,537
---------------
3,471,774
---------------
See Notes to Financial Statements Page 37
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.3%
36,257 Agree Realty Corp. $ 2,885,695
18,448 American Homes 4 Rent,
Class A 698,810
32,350 Brixmor Property Group, Inc. 749,873
15,304 CubeSmart 701,994
58,428 Douglas Emmett, Inc. 1,381,238
6,829 Federal Realty Investment Trust 721,211
42,770 Gaming and Leisure Properties,
Inc. 2,223,612
48,073 Healthcare Realty Trust, Inc. 1,261,916
125,089 Host Hotels & Resorts, Inc. 2,227,835
53,712 Iron Mountain, Inc. 2,604,495
7,432 Lamar Advertising Co., Class A 751,078
5,855 Life Storage, Inc. 737,086
30,409 National Retail Properties, Inc. 1,447,773
13,058 National Storage Affiliates
Trust 716,101
92,771 Omega Healthcare Investors, Inc. 2,875,901
48,180 Park Hotels & Resorts, Inc. 751,126
74,935 Physicians Realty Trust 1,331,595
69,963 Rayonier, Inc. 2,641,103
11,023 Regency Centers Corp. 710,212
11,352 Rexford Industrial Realty, Inc. 742,534
34,397 Ryman Hospitality Properties,
Inc. (a) 3,045,510
70,835 SL Green Realty Corp. (b) 3,516,958
69,222 Spirit Realty Capital, Inc. 3,069,303
75,207 STORE Capital Corp. 2,182,507
68,604 Vornado Realty Trust 2,084,876
---------------
42,060,342
---------------
FOOD & STAPLES RETAILING -- 1.1%
97,874 Albertsons Cos., Inc., Class A 2,627,917
52,455 BJ's Wholesale Club Holdings,
Inc. (a) 3,551,204
10,603 Casey's General Stores, Inc. 2,148,698
14,219 Performance Food Group Co. (a) 706,826
42,620 US Foods Holding Corp. (a) 1,342,530
---------------
10,377,175
---------------
FOOD PRODUCTS -- 1.6%
27,213 Campbell Soup Co. 1,342,961
43,733 Darling Ingredients, Inc. (a) 3,029,822
49,681 Flowers Foods, Inc. 1,411,437
29,664 Ingredion, Inc. 2,698,831
41,870 Pilgrim's Pride Corp. (a) 1,313,462
31,757 Post Holdings, Inc. (a) 2,760,954
842 Seaboard Corp. 3,419,059
---------------
15,976,526
---------------
GAS UTILITIES -- 1.2%
49,493 National Fuel Gas Co. 3,580,324
14,683 New Jersey Resources Corp. 678,208
24,159 ONE Gas, Inc. 2,052,065
22,524 Southwest Gas Holdings, Inc. 1,958,687
84,667 UGI Corp. 3,654,228
---------------
11,923,512
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 1.7%
54,895 DENTSPLY SIRONA, Inc. $ 1,985,003
47,549 Enovis Corp. (a) 2,839,626
50,893 Envista Holdings Corp. (a) 2,068,801
11,646 Globus Medical, Inc.,
Class A (a) 683,504
3,977 ICU Medical, Inc. (a) 704,605
7,158 Inspire Medical Systems, Inc. (a) 1,495,951
24,202 Integra LifeSciences Holdings
Corp. (a) 1,332,078
5,748 Omnicell, Inc. (a) 632,970
20,183 QuidelOrtho Corp. (a) 2,059,473
13,680 Shockwave Medical, Inc. (a) 2,885,522
---------------
16,687,533
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.9%
19,335 Acadia Healthcare Co., Inc. (a) 1,603,065
59,899 agilon health, Inc. (a) 1,499,272
12,439 Amedisys, Inc. (a) 1,490,814
29,797 AMN Healthcare Services,
Inc. (a) 3,350,375
4,178 Chemed Corp. 2,009,994
16,352 DaVita, Inc. (a) 1,376,184
34,994 Encompass Health Corp. 1,771,396
17,797 Ensign Group (The), Inc. 1,418,243
25,559 Henry Schein, Inc. (a) 2,014,816
117,632 Option Care Health, Inc. (a) 3,952,435
36,648 Premier, Inc., Class A 1,409,482
62,385 R1 RCM, Inc. (a) 1,559,625
12,439 Tenet Healthcare Corp. (a) 822,467
32,460 Universal Health Services, Inc.,
Class B 3,650,776
---------------
27,928,944
---------------
HEALTH CARE TECHNOLOGY -- 0.1%
60,932 Certara, Inc. (a) 1,400,827
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.4%
21,346 Aramark 712,957
39,425 Boyd Gaming Corp. 2,188,482
11,713 Choice Hotels International,
Inc. 1,415,750
13,654 Churchill Downs, Inc. 2,864,609
54,895 Hilton Grand Vacations, Inc. (a) 2,238,069
8,846 Hyatt Hotels Corp., Class A (a) 732,006
5,627 Marriott Vacations Worldwide
Corp. 770,449
7,828 Papa John's International, Inc. 750,627
85,970 Penn National Gaming, Inc. (a) 2,970,263
19,226 Planet Fitness, Inc.,
Class A (a) 1,515,201
29,597 SeaWorld Entertainment, Inc. (a) 1,412,665
17,864 Texas Roadhouse, Inc. 1,558,098
16,841 Travel + Leisure Co. 726,016
2,998 Vail Resorts, Inc. 710,916
69,258 Wendy's (The) Co. 1,456,496
19,896 Wyndham Hotels & Resorts, Inc. 1,380,981
---------------
23,403,585
---------------
Page 38 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES -- 3.2%
12,077 Helen of Troy Ltd. (a) $ 1,615,782
75,627 Leggett & Platt, Inc. 2,997,854
45,090 Meritage Homes Corp. (a) 3,981,447
26,344 Mohawk Industries, Inc. (a) 3,384,677
137,353 Newell Brands, Inc. 2,775,904
82,488 PulteGroup, Inc. 3,598,127
41,363 Skyline Champion Corp. (a) 2,618,278
30,595 Tempur Sealy International, Inc. 840,751
73,296 Toll Brothers, Inc. 3,604,697
11,734 TopBuild Corp. (a) 2,484,322
21,108 Whirlpool Corp. 3,648,940
---------------
31,550,779
---------------
HOUSEHOLD PRODUCTS -- 0.1%
47,950 Reynolds Consumer Products,
Inc. 1,393,427
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.7%
75,063 Clearway Energy, Inc., Class C 2,817,865
8,344 Ormat Technologies, Inc. 722,090
114,451 Vistra Corp. 2,958,558
---------------
6,498,513
---------------
INSURANCE -- 4.2%
71,513 American Equity Investment
Life Holding Co. 2,686,028
18,840 American Financial Group, Inc. 2,518,531
3,782 Assurant, Inc. 664,800
45,809 Axis Capital Holdings Ltd. 2,312,896
79,693 Brighthouse Financial, Inc. (a) 3,460,270
3,056 Enstar Group Ltd. (a) 604,844
3,402 Erie Indemnity Co., Class A 691,831
9,330 Everest Re Group Ltd. 2,438,396
61,773 First American Financial Corp. 3,582,834
20,123 Globe Life, Inc. 2,026,990
13,412 Hanover Insurance Group (The),
Inc. 1,830,336
13,649 Kemper Corp. 638,773
14,235 Kinsale Capital Group, Inc. 3,462,094
55,916 Lincoln National Corp. 2,870,728
146,199 Old Republic International Corp. 3,402,051
10,925 Primerica, Inc. 1,405,938
11,149 Reinsurance Group of America,
Inc. 1,290,831
4,181 RenaissanceRe Holdings Ltd. 540,645
5,607 RLI Corp. 616,658
15,040 Selective Insurance Group, Inc. 1,171,014
76,873 Unum Group 2,474,542
---------------
40,691,030
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.4%
8,606 IAC/InterActiveCorp. (a) 589,511
43,861 Ziff Davis, Inc. (a) 3,591,777
---------------
4,181,288
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.1%
18,831 Chewy, Inc., Class A (a) (b) $ 730,831
---------------
IT SERVICES -- 2.2%
14,460 Concentrix Corp. 1,934,170
107,852 DXC Technology Co. (a) 3,408,123
22,188 ExlService Holdings, Inc. (a) 3,735,794
30,869 Genpact Ltd. 1,484,181
18,798 GoDaddy, Inc., Class A (a) 1,394,436
10,895 Jack Henry & Associates, Inc. 2,263,654
267,403 Kyndryl Holdings, Inc. (a) 2,799,709
31,378 Maximus, Inc. 2,097,619
119,089 Western Union (The) Co. 2,026,895
---------------
21,144,581
---------------
LEISURE PRODUCTS -- 1.3%
40,000 Brunswick Corp. 3,204,800
128,196 Callaway Golf Co. (a) 2,942,098
15,969 Hasbro, Inc. 1,257,080
117,116 Mattel, Inc. (a) 2,717,091
19,756 Polaris, Inc. 2,316,984
---------------
12,438,053
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.9%
31,252 Bruker Corp. 2,142,325
23,013 Maravai LifeSciences Holdings,
Inc., Class A (a) 600,409
13,104 Medpace Holdings, Inc. (a) 2,221,521
4,026 Repligen Corp. (a) 858,987
66,748 Sotera Health Co. (a) 1,281,562
27,363 Syneos Health, Inc. (a) 2,165,508
---------------
9,270,312
---------------
MACHINERY -- 3.4%
33,121 AGCO Corp. 3,607,539
51,012 Allison Transmission Holdings,
Inc. 2,135,872
22,400 Crane Holdings Co. 2,216,032
27,162 Donaldson Co., Inc. 1,477,884
20,111 Evoqua Water Technologies
Corp. (a) 766,430
22,836 Flowserve Corp. 772,770
35,697 Franklin Electric Co., Inc. 3,242,002
11,005 Graco, Inc. 739,096
29,170 ITT, Inc. 2,188,625
5,921 John Bean Technologies Corp. 664,988
5,300 Lincoln Electric Holdings, Inc. 749,632
5,215 Middleby (The) Corp. (a) 754,558
6,459 Nordson Corp. 1,491,964
31,838 Oshkosh Corp. 2,741,252
3,535 RBC Bearings, Inc. (a) 834,260
13,273 Snap-on, Inc. 2,973,816
49,297 Timken (The) Co. 3,223,038
17,253 Toro (The) Co. 1,483,586
10,645 Watts Water Technologies, Inc.,
Class A 1,470,394
---------------
33,533,738
---------------
See Notes to Financial Statements Page 39
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MARINE -- 0.5%
10,746 Kirby Corp. (a) $ 681,726
44,854 Matson, Inc. 4,111,766
---------------
4,793,492
---------------
MEDIA -- 1.2%
1,014 Cable One, Inc. 1,395,953
182,321 DISH Network Corp.,
Class A (a) 3,166,916
46,868 New York Times (The) Co.,
Class A 1,497,432
167,856 News Corp., Class A 2,877,052
16,056 Nexstar Media Group, Inc.,
Class A 3,024,469
---------------
11,961,822
---------------
METALS & MINING -- 2.3%
57,376 Alcoa Corp. 2,919,865
127,613 Cleveland-Cliffs, Inc. (a) 2,260,026
98,761 Commercial Metals Co. 3,912,911
20,380 MP Materials Corp. (a) 684,156
19,245 Reliance Steel & Aluminum Co. 3,661,361
6,123 Royal Gold, Inc. 641,507
49,418 Steel Dynamics, Inc. 3,848,674
182,524 United States Steel Corp. 4,316,693
---------------
22,245,193
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.4%
59,060 AGNC Investment Corp. 744,747
553,131 Annaly Capital Management,
Inc. 3,805,541
94,514 Blackstone Mortgage Trust, Inc.,
Class A 2,927,099
350,751 New Residential Investment
Corp. 3,826,693
93,892 Starwood Property Trust, Inc. 2,217,729
---------------
13,521,809
---------------
MULTILINE RETAIL -- 0.9%
14,821 Dillard's, Inc., Class A (b) 3,369,555
91,594 Kohl's Corp. 2,669,049
178,439 Macy's, Inc. 3,149,448
---------------
9,188,052
---------------
MULTI-UTILITIES -- 0.4%
26,954 Black Hills Corp. 2,080,849
66,511 NiSource, Inc. 2,021,934
---------------
4,102,783
---------------
OIL, GAS & CONSUMABLE FUELS
-- 6.1%
144,487 Antero Midstream Corp. 1,453,539
106,656 Antero Resources Corp. (a) 4,227,844
93,667 APA Corp. 3,481,602
16,123 Chesapeake Energy Corp. 1,518,303
62,517 Civitas Resources, Inc. 3,686,002
53,350 DT Midstream, Inc. 2,935,851
11,426 Enviva, Inc. 795,592
95,029 EQT Corp. 4,184,127
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
57,909 HF Sinclair Corp. $ 2,769,208
155,741 Magnolia Oil & Gas Corp.,
Class A 3,758,030
70,166 Matador Resources Co. 4,054,192
108,281 Murphy Oil Corp. 3,804,994
73,976 Ovintiv, Inc. 3,779,434
53,059 PDC Energy, Inc. 3,485,446
132,081 Range Resources Corp. (a) 4,367,919
95,613 SM Energy Co. 3,946,905
54,785 Targa Resources Corp. 3,786,191
1,757 Texas Pacific Land Corp. 3,222,075
---------------
59,257,254
---------------
PAPER & FOREST PRODUCTS -- 0.3%
49,899 Louisiana-Pacific Corp. 3,175,073
---------------
PERSONAL PRODUCTS -- 0.2%
244,869 Coty, Inc., Class A (a) 1,792,441
---------------
PHARMACEUTICALS -- 0.6%
33,306 Elanco Animal Health, Inc. (a) 674,780
57,270 Intra-Cellular Therapies,
Inc. (a) 3,099,452
58,116 Organon & Co. 1,843,440
16,115 Perrigo Co. PLC 674,735
---------------
6,292,407
---------------
PROFESSIONAL SERVICES -- 1.9%
193,719 Alight, Inc., Class A (a) 1,460,641
28,978 ASGN, Inc. (a) 3,006,757
7,236 Booz Allen Hamilton Holding
Corp. 694,511
6,960 CACI International, Inc.,
Class A (a) 2,103,939
43,500 Dun & Bradstreet Holdings,
Inc. (a) 685,560
14,295 Exponent, Inc. 1,436,505
3,615 FTI Consulting, Inc. (a) 591,269
12,984 Leidos Holdings, Inc. 1,389,288
34,226 ManpowerGroup, Inc. 2,683,661
17,460 Robert Half International, Inc. 1,381,784
14,045 Science Applications
International Corp. 1,360,539
16,846 TriNet Group, Inc. (a) 1,389,795
---------------
18,184,249
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.7%
55,548 eXp World Holdings, Inc. (b) 825,443
28,823 Howard Hughes (The) Corp. (a) 2,043,262
18,695 Jones Lang LaSalle, Inc. (a) 3,564,576
---------------
6,433,281
---------------
ROAD & RAIL -- 2.5%
2,734 AMERCO 1,468,377
17,781 Avis Budget Group, Inc. (a) 3,236,676
165,101 Hertz Global Holdings,
Inc. (a) (b) 3,536,463
70,620 Knight-Swift Transportation
Holdings, Inc. 3,880,569
22,480 Landstar System, Inc. 3,519,918
Page 40 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL (CONTINUED)
46,004 Ryder System, Inc. $ 3,603,033
6,955 Saia, Inc. (a) 1,654,247
54,302 XPO Logistics, Inc. (a) 3,244,002
---------------
24,143,285
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.9%
192,862 Amkor Technology, Inc. 3,890,027
36,052 Cirrus Logic, Inc. (a) 3,081,004
20,251 Diodes, Inc. (a) 1,647,824
28,789 First Solar, Inc. (a) 2,855,005
13,480 Lattice Semiconductor Corp. (a) 829,020
19,240 MaxLinear, Inc. (a) 777,488
18,750 Onto Innovation, Inc. (a) 1,560,937
17,432 Power Integrations, Inc. 1,481,894
11,893 Semtech Corp. (a) 741,291
4,663 Silicon Laboratories, Inc. (a) 687,699
4,011 SiTime Corp. (a) 745,966
---------------
18,298,155
---------------
SOFTWARE -- 2.3%
75,759 ACI Worldwide, Inc. (a) 2,161,404
9,817 Blackline, Inc. (a) 620,631
104,026 Box, Inc., Class A (a) 2,958,500
18,273 Dolby Laboratories, Inc.,
Class A 1,414,330
28,840 DoubleVerify Holdings, Inc. (a) 661,301
62,296 Dropbox, Inc., Class A (a) 1,416,611
3,261 Fair Isaac Corp. (a) 1,506,680
5,705 Manhattan Associates, Inc. (a) 802,522
42,032 NCR Corp. (a) 1,363,939
7,497 Paylocity Holding Corp. (a) 1,543,857
18,444 PTC, Inc. (a) 2,275,621
15,549 Qualys, Inc. (a) 1,901,954
17,350 SPS Commerce, Inc. (a) 2,077,836
28,796 Tenable Holdings, Inc. (a) 1,112,965
17,666 Teradata Corp. (a) 676,431
---------------
22,494,582
---------------
SPECIALTY RETAIL -- 3.8%
292,397 American Eagle Outfitters, Inc. 3,520,460
29,250 AutoNation, Inc. (a) 3,473,145
17,349 Dick's Sporting Goods, Inc. (b) 1,623,693
10,384 Floor & Decor Holdings, Inc.,
Class A (a) 836,639
129,465 Foot Locker, Inc. 3,672,922
21,385 GameStop Corp., Class A (a) (b) 727,304
238,034 Gap (The), Inc. 2,289,887
43,070 Leslie's, Inc. (a) 652,941
11,895 Lithia Motors, Inc. 3,155,505
14,038 Murphy USA, Inc. 3,991,846
31,226 Penske Automotive Group, Inc. 3,575,065
177,422 Petco Health & Wellness Co.,
Inc. (a) (b) 2,469,714
24,459 Signet Jewelers Ltd. (b) 1,491,021
93,501 Victoria's Secret & Co. (a) 3,455,797
11,786 Williams-Sonoma, Inc. 1,702,134
---------------
36,638,073
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.2%
76,289 Pure Storage, Inc., Class A (a) $ 2,162,793
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 2.3%
37,106 Carter's, Inc. 3,023,397
36,536 Columbia Sportswear Co. 2,704,029
13,434 Crocs, Inc. (a) 962,412
5,121 Deckers Outdoor Corp. (a) 1,603,948
190,612 Hanesbrands, Inc. 2,131,042
57,451 PVH Corp. 3,557,366
29,171 Ralph Lauren Corp. 2,877,136
91,878 Skechers U.S.A., Inc.,
Class A (a) 3,487,689
64,266 Tapestry, Inc. 2,161,266
---------------
22,508,285
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.5%
84,036 Essent Group Ltd. 3,509,343
259,445 MGIC Investment Corp. 3,668,552
286,440 New York Community Bancorp,
Inc. 3,041,993
166,362 Radian Group, Inc. 3,721,518
6,787 Walker & Dunlop, Inc. 764,488
---------------
14,705,894
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 2.2%
78,229 Air Lease Corp. 2,903,078
38,190 Beacon Roofing Supply, Inc. (a) 2,292,164
7,253 Herc Holdings, Inc. 899,517
34,818 MSC Industrial Direct Co., Inc.,
Class A 2,878,056
5,501 SiteOne Landscape Supply,
Inc. (a) 766,455
62,090 Triton International Ltd. 3,978,727
131,444 Univar Solutions, Inc. (a) 3,554,246
5,475 Watsco, Inc. 1,499,876
24,418 WESCO International, Inc. (a) 3,121,597
---------------
21,893,716
---------------
WATER UTILITIES -- 0.2%
42,778 Essential Utilities, Inc. 2,221,889
---------------
TOTAL COMMON STOCKS
-- 99.8% 973,908,005
(Cost $912,640,578) ---------------
MONEY MARKET FUNDS -- 1.1%
8,786,340 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 8,786,340
1,743,032 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 1,743,032
---------------
TOTAL MONEY MARKET FUNDS
-- 1.1% 10,529,372
(Cost $10,529,372) ---------------
See Notes to Financial Statements Page 41
<PAGE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.8%
$ 7,740,031 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$7,741,424. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $7,904,086. (d) $ 7,740,031
(Cost $7,740,031) ---------------
TOTAL INVESTMENTS -- 101.7% 992,177,408
(Cost $930,909,981)
NET OTHER ASSETS AND
LIABILITIES -- (1.7)% (16,682,543)
---------------
NET ASSETS -- 100.0% $ 975,494,865
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $16,448,664 and the
total value of the collateral held by the Fund is $16,526,371.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 16,448,664
Non-cash Collateral(2) (16,448,664)
---------------
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, 2022, 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) $ 7,740,031
Non-cash Collateral(4) (7,740,031)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 973,908,005 $ 973,908,005 $ -- $ --
Money Market Funds.............................. 10,529,372 10,529,372 -- --
Repurchase Agreements........................... 7,740,031 -- 7,740,031 --
-----------------------------------------------------------------------------
Total Investments............................... $ 992,177,408 $ 984,437,377 $ 7,740,031 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 42 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 0.8%
34,133 AAR Corp. (a) $ 1,519,942
34,297 Kratos Defense & Security
Solutions, Inc. (a) 493,534
73,219 Maxar Technologies, Inc. 2,012,058
7,399 Mercury Systems, Inc. (a) 436,615
17,987 Moog, Inc., Class A 1,540,407
11,778 Parsons Corp. (a) 509,163
---------------
6,511,719
---------------
AIR FREIGHT & LOGISTICS -- 1.3%
83,116 Air Transport Services Group,
Inc. (a) 2,604,856
38,697 Atlas Air Worldwide Holdings,
Inc. (a) 2,929,750
25,969 Forward Air Corp. 2,724,927
33,661 Hub Group, Inc., Class A (a) 2,571,700
---------------
10,831,233
---------------
AIRLINES -- 0.8%
16,893 Allegiant Travel Co. (a) 1,947,932
112,373 SkyWest, Inc. (a) 2,713,808
104,164 Sun Country Airlines Holdings,
Inc. (a) (b) 2,100,988
---------------
6,762,728
---------------
AUTO COMPONENTS -- 1.6%
169,716 Dana, Inc. 2,844,440
21,766 Dorman Products, Inc. (a) 2,200,325
15,255 Gentherm, Inc. (a) 984,863
21,343 LCI Industries 2,883,226
46,063 Patrick Industries, Inc. 2,796,945
4,598 Visteon Corp. (a) 586,613
20,728 XPEL, Inc. (a) (c) 1,270,419
---------------
13,566,831
---------------
AUTOMOBILES -- 0.4%
49,174 Winnebago Industries, Inc. 2,968,634
---------------
BANKS -- 10.8%
47,543 Ameris Bancorp 2,248,308
104,617 Associated Banc-Corp. 2,102,802
56,320 Atlantic Union Bankshares Corp. 1,948,109
4,975 BancFirst Corp. 534,265
24,389 Bancorp (The), Inc. (a) 599,969
12,798 Bank of Hawaii Corp. 1,025,248
53,707 BankUnited, Inc. 2,086,517
25,406 Banner Corp. 1,574,918
77,125 Berkshire Hills Bancorp, Inc. 2,172,611
36,479 Cathay General Bancorp 1,521,174
66,679 Columbia Banking System, Inc. 2,011,705
28,086 Customers Bancorp, Inc. (a) 1,072,604
38,374 CVB Financial Corp. 1,023,435
64,428 Dime Community Bancshares,
Inc. 2,195,706
40,292 Eagle Bancorp, Inc. 1,975,517
34,411 Enterprise Financial Services
Corp. 1,618,349
36,412 FB Financial Corp. 1,560,254
40,919 First Bancorp 1,550,012
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
110,623 First BanCorp $ 1,669,301
62,499 First Busey Corp. 1,540,600
106,417 First Commonwealth Financial
Corp. 1,577,100
98,472 First Financial Bancorp 2,199,865
93,278 First Foundation, Inc. 1,942,048
62,884 First Hawaiian, Inc. 1,602,913
24,984 First Interstate BancSystem,
Inc., Class A 1,018,848
40,092 First Merchants Corp. 1,665,021
132,200 Fulton Financial Corp. 2,206,418
45,986 Heartland Financial USA, Inc. 2,064,771
71,654 Hilltop Holdings, Inc. 2,067,218
138,030 Hope Bancorp, Inc. 2,075,971
21,030 Independent Bank Group, Inc. 1,487,242
47,663 International Bancshares Corp. 2,090,499
14,334 Lakeland Financial Corp. 1,115,185
24,877 National Bank Holdings Corp.,
Class A 1,035,381
37,991 NBT Bancorp, Inc. 1,540,155
111,573 Northwest Bancshares, Inc. 1,604,420
94,011 OFG Bancorp 2,582,482
64,375 Old National Bancorp 1,120,769
65,333 Pacific Premier Bancorp, Inc. 2,197,802
7,852 Park National Corp. 1,017,305
49,401 Pathward Financial, Inc. 1,665,802
66,309 Renasant Corp. 2,214,721
48,896 Sandy Spring Bancorp, Inc. 2,019,405
28,816 Seacoast Banking Corp. of
Florida 1,031,036
89,857 Simmons First National Corp.,
Class A 2,134,104
31,934 Stock Yards Bancorp, Inc. 2,208,236
36,291 Texas Capital Bancshares,
Inc. (a) 2,127,378
70,362 TowneBank 2,101,713
48,923 Trustmark Corp. 1,588,530
31,536 United Community Banks, Inc. 1,073,170
16,269 Veritex Holdings, Inc. 503,363
63,635 Washington Federal, Inc. 2,171,863
60,245 WesBanco, Inc. 2,055,559
8,551 Westamerica BanCorp 513,146
---------------
89,650,843
---------------
BEVERAGES -- 0.8%
29,273 Celsius Holdings, Inc. (a) 2,604,126
90,709 Duckhorn Portfolio (The),
Inc. (a) 1,663,603
23,856 MGP Ingredients, Inc. 2,509,174
---------------
6,776,903
---------------
BIOTECHNOLOGY -- 3.1%
177,868 Amicus Therapeutics, Inc. (a) 1,771,565
37,571 Arcus Biosciences, Inc. (a) 999,013
44,992 BioCryst Pharmaceuticals,
Inc. (a) 495,812
52,429 Bridgebio Pharma, Inc. (a) 454,035
38,422 ChemoCentryx, Inc. (a) 907,528
36,350 Cytokinetics, Inc. (a) 1,538,696
See Notes to Financial Statements Page 43
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY (CONTINUED)
189,667 Dynavax Technologies Corp. (a) $ 2,727,411
76,927 Emergent BioSolutions, Inc. (a) 2,664,751
101,500 EQRx, Inc. (a) (b) 553,175
59,791 Global Blood Therapeutics,
Inc. (a) 1,956,362
123,861 Ironwood Pharmaceuticals,
Inc. (a) 1,418,208
10,673 Ligand Pharmaceuticals, Inc. (a) 982,236
146,024 Lyell Immunopharma,
Inc. (a) (b) 813,354
26,198 Myriad Genetics, Inc. (a) 691,103
33,726 Prometheus Biosciences, Inc. (a) 1,439,088
17,536 Prothena Corp. PLC (a) 544,668
59,609 PTC Therapeutics, Inc. (a) 2,595,972
58,483 Recursion Pharmaceuticals, Inc.,
Class A (a) 494,766
58,939 Travere Therapeutics, Inc. (a) 1,387,424
52,179 Xencor, Inc. (a) 1,497,016
---------------
25,932,183
---------------
BUILDING PRODUCTS -- 1.7%
26,080 AAON, Inc. 1,569,234
18,540 CSW Industrials, Inc. 2,214,974
49,297 Gibraltar Industries, Inc. (a) 2,306,607
211,555 Janus International Group,
Inc. (a) 2,151,514
130,934 JELD-WEN Holding, Inc. (a) 2,328,006
122,963 Resideo Technologies, Inc. (a) 2,767,897
17,476 Zurn Elkay Water Solutions
Corp. 505,930
---------------
13,844,162
---------------
CAPITAL MARKETS -- 2.1%
26,765 Artisan Partners Asset
Management, Inc., Class A 1,064,176
50,723 AssetMark Financial Holdings,
Inc. (a) 963,230
423,773 BGC Partners, Inc., Class A 1,546,771
79,294 Brightsphere Investment Group,
Inc. 1,499,450
44,924 Federated Hermes, Inc. 1,532,358
13,977 Focus Financial Partners, Inc.,
Class A (a) 565,090
73,462 Golub Capital BDC, Inc. (b) 1,031,406
7,087 Hamilton Lane, Inc., Class A 535,565
24,197 Moelis & Co., Class A 1,127,096
12,599 Piper Sandler Cos. 1,589,994
33,978 PJT Partners, Inc., Class A 2,428,747
18,289 StepStone Group, Inc., Class A 487,219
39,504 Victory Capital Holdings, Inc.,
Class A 1,093,076
40,667 Virtu Financial, Inc., Class A 948,761
5,569 Virtus Investment Partners, Inc. 1,148,996
---------------
17,561,935
---------------
CHEMICALS -- 1.8%
7,463 Cabot Corp. 554,202
72,127 Diversey Holdings Ltd. (a) 540,231
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CHEMICALS (CONTINUED)
144,985 Ecovyst, Inc. $ 1,483,197
15,079 Ingevity Corp. (a) 1,011,801
9,938 Innospec, Inc. 1,013,676
20,980 Livent Corp. (a) 522,192
38,928 Minerals Technologies, Inc. 2,600,780
3,164 NewMarket Corp. 983,371
6,372 Quaker Chemical Corp. 1,033,602
17,729 Sensient Technologies Corp. 1,524,340
14,091 Stepan Co. 1,581,151
62,088 Trinseo PLC 2,220,888
---------------
15,069,431
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.5%
32,890 ABM Industries, Inc. 1,474,788
30,232 Brady Corp., Class A 1,446,601
159,195 BrightView Holdings, Inc. (a) 2,091,822
31,465 Brink's (The) Co. 1,791,617
12,239 Cimpress PLC (a) 491,885
27,445 HNI Corp. 969,357
96,692 KAR Auction Services, Inc. (a) 1,653,433
36,242 MillerKnoll, Inc. 1,091,247
8,296 UniFirst Corp. 1,625,104
---------------
12,635,854
---------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
13,945 Calix, Inc. (a) 795,423
77,783 CommScope Holding Co.,
Inc. (a) 702,381
53,368 Extreme Networks, Inc. (a) 698,053
28,123 NetScout Systems, Inc. (a) 1,000,616
15,543 Viasat, Inc. (a) 511,831
---------------
3,708,304
---------------
CONSTRUCTION & ENGINEERING
-- 1.8%
10,450 Ameresco, Inc., Class A (a) 597,949
41,144 Arcosa, Inc. 2,121,385
28,717 Comfort Systems USA, Inc. 3,034,238
5,117 Dycom Industries, Inc. (a) 527,870
65,559 Granite Construction, Inc. 1,960,214
21,675 MYR Group, Inc. (a) 2,064,110
16,365 NV5 Global, Inc. (a) 2,219,094
109,739 Primoris Services Corp. 2,563,503
---------------
15,088,363
---------------
CONSUMER FINANCE -- 2.7%
64,433 Bread Financial Holdings, Inc. 2,552,191
41,334 Encore Capital Group, Inc. (a) 2,993,821
49,552 Enova International, Inc. (a) 1,710,039
20,545 FirstCash Holdings, Inc. 1,505,127
56,875 Green Dot Corp., Class A (a) 1,598,187
81,441 LendingClub Corp. (a) 1,127,958
43,596 LendingTree, Inc. (a) 1,987,106
170,687 Navient Corp. 2,811,215
28,011 Nelnet, Inc., Class A 2,663,566
26,183 PRA Group, Inc. (a) 1,043,131
144,723 PROG Holdings, Inc. (a) 2,665,798
---------------
22,658,139
---------------
Page 44 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONTAINERS & PACKAGING -- 0.9%
30,625 Greif, Inc., Class A $ 2,162,737
136,453 O-I Glass, Inc. (a) 2,007,224
191,799 Pactiv Evergreen, Inc. 1,960,186
51,576 TriMas Corp. 1,526,650
---------------
7,656,797
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.0%
13,232 Adtalem Global Education,
Inc. (a) 530,603
39,537 Frontdoor, Inc. (a) 1,058,406
4,217 Graham Holdings Co., Class B 2,506,964
10,107 Grand Canyon Education,
Inc. (a) 970,979
27,066 Strategic Education, Inc. 1,944,151
35,010 Stride, Inc. (a) 1,564,247
---------------
8,575,350
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.6%
24,612 Cannae Holdings, Inc. (a) 519,559
66,672 Compass Diversified Holdings 1,608,796
89,269 Jackson Financial, Inc., Class A 2,455,790
---------------
4,584,145
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.5%
25,294 Bandwidth, Inc., Class A (a) 420,639
15,669 Cogent Communications
Holdings, Inc. 999,839
387,021 Globalstar, Inc. (a) 541,829
245,229 Liberty Latin America Ltd.,
Class C (a) 1,799,981
---------------
3,762,288
---------------
ELECTRIC UTILITIES -- 0.8%
32,499 ALLETE, Inc. 2,017,213
24,546 MGE Energy, Inc. 1,997,553
35,573 Otter Tail Corp. 2,499,715
---------------
6,514,481
---------------
ELECTRICAL EQUIPMENT -- 1.2%
129,710 Array Technologies, Inc. (a) 2,185,614
28,852 Bloom Energy Corp., Class A (a) 583,676
22,979 Encore Wire Corp. 3,181,902
24,220 EnerSys 1,596,340
270,202 GrafTech International Ltd. 2,080,555
28,887 Shoals Technologies Group, Inc.,
Class A (a) 682,600
---------------
10,310,687
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.7%
13,044 Advanced Energy Industries,
Inc. 1,167,307
11,770 Badger Meter, Inc. 1,132,156
44,826 Belden, Inc. 2,901,139
16,554 Insight Enterprises, Inc. (a) 1,546,309
137,791 Knowles Corp. (a) 2,721,372
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS (CONTINUED)
51,575 Methode Electronics, Inc. $ 2,126,953
16,716 OSI Systems, Inc. (a) 1,615,936
12,128 Plexus Corp. (a) 1,139,426
58,629 Sanmina Corp. (a) 2,699,865
191,032 TTM Technologies, Inc. (a) 2,584,663
134,001 Vishay Intertechnology, Inc. 2,768,461
---------------
22,403,587
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.8%
47,438 Cactus, Inc., Class A 1,972,947
41,322 Expro Group Holdings N.V. (a) 503,302
11,057 Helmerich & Payne, Inc. 511,939
37,309 Liberty Energy, Inc. (a) 529,788
94,197 Noble Corp. (a) 2,825,910
151,517 Patterson-UTI Energy, Inc. 2,507,606
571,819 Transocean Ltd. (a) 1,932,748
56,533 Valaris Ltd. (a) 2,836,826
67,460 Weatherford International
PLC (a) 1,560,350
---------------
15,181,416
---------------
ENTERTAINMENT -- 0.6%
9,047 Madison Square Garden
Entertainment Corp. (a) 526,807
12,650 Madison Square Garden Sports
Corp. (a) 1,945,317
38,213 World Wrestling Entertainment,
Inc., Class A 2,648,543
---------------
5,120,667
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.5%
91,431 Acadia Realty Trust 1,566,213
53,039 Alexander & Baldwin, Inc. 1,056,006
32,055 American Assets Trust, Inc. 969,023
97,348 Apple Hospitality REIT, Inc. 1,623,765
148,144 Brandywine Realty Trust 1,385,146
93,142 Broadstone Net Lease, Inc. 2,111,529
51,632 CareTrust REIT, Inc. 1,066,201
5,837 Centerspace 501,340
54,530 Corporate Office Properties
Trust 1,535,019
115,964 DiamondRock Hospitality
Co. (a) 1,076,146
50,004 Easterly Government Properties,
Inc. 1,013,581
271,742 Empire State Realty Trust, Inc.,
Class A 2,317,959
30,432 EPR Properties 1,637,546
17,293 Equity Commonwealth (a) 485,069
22,152 Essential Properties Realty
Trust, Inc. 534,306
35,804 Four Corners Property Trust,
Inc. 1,046,551
100,854 Global Net Lease, Inc. 1,521,887
128,728 Hudson Pacific Properties, Inc. 1,936,069
22,964 Independence Realty Trust, Inc. 509,801
See Notes to Financial Statements Page 45
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
169,597 Industrial Logistics Properties
Trust $ 1,701,058
55,373 InvenTrust Properties Corp. (b) 1,587,544
174,172 iStar, Inc. 2,910,414
40,276 JBG SMITH Properties 1,024,621
24,798 LTC Properties, Inc. 1,039,036
219,326 Macerich (The) Co. 2,327,049
15,709 National Health Investors, Inc. 1,018,572
7,766 NexPoint Residential Trust, Inc. 516,750
56,168 Outfront Media, Inc. 1,036,861
264,223 Paramount Group, Inc. 2,074,151
57,458 Pebblebrook Hotel Trust 1,123,878
145,604 Piedmont Office Realty Trust,
Inc., Class A 2,003,511
21,545 PotlatchDeltic Corp. 1,056,351
30,167 Retail Opportunity Investments
Corp. 526,716
43,159 RLJ Lodging Trust 539,056
68,150 Sabra Health Care REIT, Inc. 1,048,828
91,022 Service Properties Trust 595,284
70,680 SITE Centers Corp. 1,032,635
192,572 Sunstone Hotel Investors,
Inc. (a) 2,181,841
33,476 Tanger Factory Outlet Centers,
Inc. 544,655
50,534 Uniti Group, Inc. 503,824
62,597 Urban Edge Properties 1,028,469
35,956 Veris Residential, Inc. (a) 501,586
67,015 Washington Real Estate
Investment Trust 1,485,723
32,763 Xenia Hotels & Resorts, Inc. (a) 537,968
---------------
53,839,538
---------------
FOOD & STAPLES RETAILING -- 1.0%
11,167 Grocery Outlet Holding Corp. (a) 477,054
13,291 PriceSmart, Inc. 882,257
75,447 Sprouts Farmers Market, Inc. (a) 2,085,355
60,608 United Natural Foods, Inc. (a) 2,576,446
25,627 Weis Markets, Inc. 1,971,485
---------------
7,992,597
---------------
FOOD PRODUCTS -- 1.0%
40,038 B&G Foods, Inc. (b) 989,339
9,635 Cal-Maine Foods, Inc. 492,445
60,156 Hain Celestial Group (The),
Inc. (a) 1,368,549
112,586 Hostess Brands, Inc. (a) 2,546,695
3,410 J & J Snack Foods Corp. 462,089
50,578 Simply Good Foods (The)
Co. (a) 1,649,854
22,766 TreeHouse Foods, Inc. (a) 988,500
---------------
8,497,471
---------------
GAS UTILITIES -- 0.6%
14,747 Chesapeake Utilities Corp. 2,022,256
26,895 Northwest Natural Holding Co. 1,443,455
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
GAS UTILITIES (CONTINUED)
19,203 Spire, Inc. $ 1,444,834
---------------
4,910,545
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 1.5%
34,822 Avanos Medical, Inc. (a) 987,900
33,710 Axonics, Inc. (a) 2,186,768
15,368 CryoPort, Inc. (a) 571,690
7,304 Haemonetics Corp. (a) 507,555
7,000 Inari Medical, Inc. (a) 543,060
13,473 Integer Holdings Corp. (a) 941,628
13,262 iRhythm Technologies, Inc. (a) 2,050,703
36,160 Lantheus Holdings, Inc. (a) 2,774,195
17,540 Merit Medical Systems, Inc. (a) 1,008,199
2,334 Mesa Laboratories, Inc. 497,726
6,712 STAAR Surgical Co. (a) 541,658
---------------
12,611,082
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.2%
132,369 AdaptHealth Corp. (a) 2,926,679
69,631 Agiliti, Inc. (a) 1,524,223
125,569 Alignment Healthcare, Inc. (a) 1,843,353
12,336 Apollo Medical Holdings,
Inc. (a) (b) 654,178
9,699 CorVel Corp. (a) 1,599,268
43,792 Fulgent Genetics, Inc. (a) 2,616,572
188,157 OPKO Health, Inc. (a) 444,050
45,408 Owens & Minor, Inc. 1,607,897
47,134 Patterson Cos., Inc. 1,463,982
45,316 Pediatrix Medical Group,
Inc. (a) 1,026,860
27,547 RadNet, Inc. (a) 566,642
60,464 Select Medical Holdings Corp. 1,790,944
---------------
18,064,648
---------------
HEALTH CARE TECHNOLOGY -- 0.9%
161,018 Allscripts Healthcare Solutions,
Inc. (a) 2,547,305
13,670 Doximity, Inc., Class A (a) 578,514
62,207 Evolent Health, Inc.,
Class A (a) 2,114,416
260,131 Multiplan Corp. (a) 1,316,263
19,035 Phreesia, Inc. (a) 447,132
18,025 Schrodinger, Inc. (a) 564,183
---------------
7,567,813
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.7%
96,578 Bally's Corp. (a) (b) 2,121,819
85,929 Bloomin' Brands, Inc. 1,752,092
43,221 Brinker International, Inc. (a) 1,199,383
36,036 Cheesecake Factory (The), Inc. 1,053,332
17,106 Cracker Barrel Old Country
Store, Inc. 1,626,267
43,567 Dave & Buster's Entertainment,
Inc. (a) 1,627,663
87,560 Everi Holdings, Inc. (a) 1,682,028
8,493 Jack in the Box, Inc. 587,206
36,958 Life Time Group Holdings,
Inc. (a) 535,891
Page 46 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
28,538 Red Rock Resorts, Inc., Class A $ 1,122,400
21,937 Six Flags Entertainment
Corp. (a) 497,312
---------------
13,805,393
---------------
HOUSEHOLD DURABLES -- 3.2%
7,288 Cavco Industries, Inc. (a) 1,878,773
53,100 Century Communities, Inc. 2,717,127
17,172 Installed Building Products, Inc. 1,741,584
12,954 iRobot Corp. (a) 596,014
83,904 KB Home 2,738,627
100,713 La-Z-Boy, Inc. 2,806,871
27,480 LGI Homes, Inc. (a) 3,099,744
73,907 M.D.C. Holdings, Inc. 2,679,129
60,210 M/I Homes, Inc. (a) 2,770,262
102,221 Taylor Morrison Home Corp. (a) 2,933,743
141,548 Tri Pointe Homes, Inc. (a) 2,621,469
---------------
26,583,343
---------------
HOUSEHOLD PRODUCTS -- 0.7%
47,745 Central Garden & Pet Co.,
Class A (a) 1,947,996
33,585 Energizer Holdings, Inc. 991,765
17,411 Spectrum Brands Holdings, Inc. 1,210,761
7,093 WD-40 Co. 1,258,085
---------------
5,408,607
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.1%
25,828 Sunnova Energy International,
Inc. (a) 672,045
---------------
INSURANCE -- 2.1%
25,828 Argo Group International
Holdings Ltd. 846,900
42,803 Assured Guaranty Ltd. 2,499,267
784,679 Bright Health Group, Inc. (a) (b) 1,318,261
59,134 BRP Group, Inc., Class A (a) 1,630,325
132,003 CNO Financial Group, Inc. 2,475,056
676,464 Genworth Financial, Inc.,
Class A (a) 2,874,972
37,209 Horace Mann Educators Corp. 1,274,408
10,745 Mercury General Corp. 450,538
175,661 SiriusPoint Ltd. (a) 769,395
47,998 Stewart Information Services
Corp. 2,623,091
382 White Mountains Insurance
Group Ltd. 473,462
---------------
17,235,675
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.3%
44,303 Cargurus, Inc. (a) 1,076,120
34,284 Yelp, Inc. (a) 1,051,147
32,121 ZipRecruiter, Inc., Class A (a) 563,081
---------------
2,690,348
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.6%
76,382 Overstock.com, Inc. (a) $ 2,215,078
832,027 Qurate Retail, Inc., Series A 2,271,434
14,029 Xometry, Inc., Class A (a) (b) 533,102
---------------
5,019,614
---------------
IT SERVICES -- 1.8%
7,975 CSG Systems International, Inc. 520,369
125,934 Cyxtera Technologies, Inc. (a) 1,535,136
25,815 EVERTEC, Inc. 1,006,527
113,577 Grid Dynamics Holdings,
Inc. (a) 2,143,198
10,383 Perficient, Inc. (a) 1,095,614
199,180 Rackspace Technology, Inc. (a) 1,342,473
37,046 Repay Holdings Corp. (a) 496,416
81,652 Sabre Corp. (a) 502,160
14,401 Shift4 Payments, Inc.,
Class A (a) 524,628
139,327 SolarWinds Corp. 1,492,192
22,756 Squarespace, Inc., Class A (a) 484,020
14,022 TTEC Holdings, Inc. 1,025,990
151,996 Verra Mobility Corp. (a) 2,506,414
---------------
14,675,137
---------------
LEISURE PRODUCTS -- 0.7%
22,840 Acushnet Holdings Corp. 1,112,993
36,242 Malibu Boats, Inc., Class A (a) 2,263,313
85,587 Vista Outdoor, Inc. (a) 2,576,169
---------------
5,952,475
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.1%
116,819 NeoGenomics, Inc. (a) 1,182,208
---------------
MACHINERY -- 3.8%
12,264 Alamo Group, Inc. 1,587,084
12,082 Albany International Corp.,
Class A 1,102,724
27,009 Altra Industrial Motion Corp. 1,127,086
23,347 Astec Industries, Inc. 1,147,038
61,347 Barnes Group, Inc. 2,074,755
11,622 EnPro Industries, Inc. 1,086,425
13,925 ESCO Technologies, Inc. 1,079,884
26,746 Federal Signal Corp. 1,110,494
21,556 Helios Technologies, Inc. 1,483,484
46,639 Hillenbrand, Inc. 2,154,722
10,478 Kadant, Inc. 2,135,940
82,235 Kennametal, Inc. 2,208,010
14,384 Lindsay Corp. 2,214,561
44,809 Mueller Industries, Inc. 3,016,990
81,166 Mueller Water Products, Inc.,
Class A 1,056,781
29,853 Proto Labs, Inc. (a) 1,459,513
25,606 Shyft Group (The), Inc. 664,220
9,009 SPX Corp. (a) 532,702
16,069 Tennant Co. 1,077,105
69,797 Terex Corp. 2,338,897
39,307 Trinity Industries, Inc. 1,020,017
---------------
31,678,432
---------------
See Notes to Financial Statements Page 47
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA -- 1.7%
628,399 Advantage Solutions, Inc. (a) $ 2,790,091
21,337 Cardlytics, Inc. (a) 294,451
444,895 Clear Channel Outdoor
Holdings, Inc. (a) 689,587
191,493 E.W. Scripps (The) Co.,
Class A (a) 2,730,690
141,382 Gray Television, Inc. 2,625,464
60,334 iHeartMedia, Inc., Class A (a) 451,298
29,900 John Wiley & Sons, Inc.,
Class A 1,561,378
53,604 Magnite, Inc. (a) 409,535
46,671 Sinclair Broadcast Group, Inc.,
Class A 1,019,295
78,425 WideOpenWest, Inc. (a) 1,441,451
---------------
14,013,240
---------------
METALS & MINING -- 1.0%
34,113 Carpenter Technology Corp. 1,096,392
129,183 Century Aluminum Co. (a) 1,019,254
242,877 Hecla Mining Co. 1,100,232
6,018 Kaiser Aluminum Corp. 455,984
19,369 Materion Corp. 1,587,096
54,148 Worthington Industries, Inc. 2,772,919
---------------
8,031,877
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 2.3%
228,728 Apollo Commercial Real Estate
Finance, Inc. 2,923,144
36,312 Arbor Realty Trust, Inc. 603,505
216,591 Chimera Investment Corp. 2,267,708
181,245 Ladder Capital Corp. 2,153,191
222,133 MFA Financial, Inc. 2,878,844
692,151 New York Mortgage Trust, Inc. 2,173,354
68,842 PennyMac Mortgage Investment
Trust 1,057,413
309,717 Redwood Trust, Inc. 2,682,149
383,601 Two Harbors Investment Corp. 2,063,773
---------------
18,803,081
---------------
MULTILINE RETAIL -- 0.6%
68,091 Franchise Group, Inc. 2,242,236
67,586 Nordstrom, Inc. 1,588,947
16,204 Ollie's Bargain Outlet Holdings,
Inc. (a) 955,226
---------------
4,786,409
---------------
MULTI-UTILITIES -- 0.4%
43,906 Avista Corp. 1,855,468
32,418 NorthWestern Corp. 1,797,578
---------------
3,653,046
---------------
OIL, GAS & CONSUMABLE FUELS
-- 3.7%
16,689 Arch Resources, Inc. (b) 2,155,218
62,025 California Resources Corp. 2,782,442
36,431 Callon Petroleum Co. (a) 1,677,283
399,318 Centennial Resource
Development, Inc., Class A (a) 2,659,458
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
19,630 Chord Energy Corp. $ 2,517,351
197,674 Comstock Resources, Inc. (a) 3,148,947
28,420 CVR Energy, Inc. 953,207
23,807 Denbury, Inc. (a) 1,711,961
17,522 Green Plains, Inc. (a) 631,142
385,771 Kosmos Energy Ltd. (a) 2,445,788
94,534 Northern Oil and Gas, Inc. 2,725,415
65,828 PBF Energy, Inc., Class A (a) 2,195,364
111,952 Peabody Energy Corp. (a) 2,349,873
93,370 World Fuel Services Corp. 2,588,216
---------------
30,541,665
---------------
PERSONAL PRODUCTS -- 1.5%
37,017 Beauty Health (The) Co. (a) 493,066
55,341 Edgewell Personal Care Co. 2,201,465
77,834 elf Beauty, Inc. (a) 2,609,774
19,546 Inter Parfums, Inc. 1,631,505
13,232 Medifast, Inc. 2,225,490
32,983 Nu Skin Enterprises, Inc.,
Class A 1,435,090
19,735 USANA Health Sciences,
Inc. (a) 1,373,951
---------------
11,970,341
---------------
PHARMACEUTICALS -- 1.1%
40,038 Corcept Therapeutics, Inc. (a) 1,147,489
48,962 Harmony Biosciences Holdings,
Inc. (a) 2,483,842
24,496 Pacira BioSciences, Inc. (a) 1,385,494
40,612 Prestige Consumer Healthcare,
Inc. (a) 2,449,310
49,381 Supernus Pharmaceuticals,
Inc. (a) 1,567,847
---------------
9,033,982
---------------
PROFESSIONAL SERVICES -- 1.1%
59,758 CBIZ, Inc. (a) 2,726,160
37,571 First Advantage Corp. (a) 527,121
10,023 ICF International, Inc. 945,670
31,143 Kforce, Inc. 2,050,767
32,926 Korn Ferry 2,156,982
23,021 Upwork, Inc. (a) 427,270
---------------
8,833,970
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 1.1%
242,922 Anywhere Real Estate, Inc. (a) 2,412,216
131,865 Compass, Inc., Class A (a) (b) 503,724
50,270 Kennedy-Wilson Holdings, Inc. 1,038,578
51,648 Marcus & Millichap, Inc. 2,113,436
147,689 Newmark Group, Inc., Class A 1,683,655
57,770 Redfin Corp. (a) 502,599
24,066 St. Joe (The) Co. 1,011,253
---------------
9,265,461
---------------
ROAD & RAIL -- 1.3%
33,934 ArcBest Corp. 3,006,552
113,577 Marten Transport Ltd. 2,448,720
Page 48 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL (CONTINUED)
106,700 Schneider National, Inc.,
Class B $ 2,702,711
61,960 Werner Enterprises, Inc. 2,723,762
---------------
10,881,745
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.6%
28,287 ACM Research, Inc., Class A (a) 477,485
26,041 Axcelis Technologies, Inc. (a) 1,831,464
86,051 Cohu, Inc. (a) 2,459,338
36,874 FormFactor, Inc. (a) 1,311,239
24,419 Impinj, Inc. (a) 2,076,103
44,303 Rambus, Inc. (a) 1,119,980
116,698 SMART Global Holdings,
Inc. (a) 2,289,615
15,989 Ultra Clean Holdings, Inc. (a) 537,230
49,078 Veeco Instruments, Inc. (a) 1,069,900
---------------
13,172,354
---------------
SOFTWARE -- 1.2%
15,389 Alarm.com Holdings, Inc. (a) 1,089,080
1,066,034 Avaya Holdings Corp. (a) 957,938
56,603 Cerence, Inc. (a) 1,594,507
22,704 CommVault Systems, Inc. (a) 1,273,467
23,488 InterDigital, Inc. 1,441,928
19,210 PagerDuty, Inc. (a) 498,115
52,714 Progress Software Corp. 2,475,450
8,197 Sprout Social, Inc., Class A (a) 427,064
32,991 Xperi Holding Corp. 552,929
---------------
10,310,478
---------------
SPECIALTY RETAIL -- 3.4%
28,133 Abercrombie & Fitch Co.,
Class A (a) 501,049
67,189 Academy Sports & Outdoors,
Inc. 2,891,143
14,101 Asbury Automotive Group,
Inc. (a) 2,420,296
13,821 Boot Barn Holdings, Inc. (a) 861,048
68,990 Buckle (The), Inc. 2,083,498
44,098 Camping World Holdings, Inc.,
Class A (b) 1,192,410
14,062 Group 1 Automotive, Inc. 2,487,849
112,042 Guess?, Inc. (b) 2,118,714
33,305 Monro, Inc. 1,670,246
17,312 National Vision Holdings,
Inc. (a) 504,472
15,743 ODP (The) Corp. (a) 571,471
98,218 Rent-A-Center, Inc. 2,311,069
160,262 Sally Beauty Holdings, Inc. (a) 2,048,148
15,382 Sleep Number Corp. (a) 693,113
65,189 Sonic Automotive, Inc., Class A 2,728,160
127,970 Urban Outfitters, Inc. (a) 2,620,825
---------------
27,703,511
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.9%
246,177 3D Systems Corp. (a) 2,816,265
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS (CONTINUED)
18,343 Avid Technology, Inc. (a) $ 514,705
72,511 Corsair Gaming, Inc. (a) (b) 1,022,405
47,342 Super Micro Computer, Inc. (a) 2,556,941
32,055 Xerox Holdings Corp. 549,102
---------------
7,459,418
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.9%
28,529 Kontoor Brands, Inc. 1,041,309
87,509 Levi Strauss & Co., Class A 1,655,670
21,527 Oxford Industries, Inc. 2,053,676
44,339 Steven Madden Ltd. 1,405,546
47,226 Wolverine World Wide, Inc. 1,061,168
---------------
7,217,369
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.2%
53,286 Axos Financial, Inc. (a) 2,225,223
103,713 Capitol Federal Financial, Inc. 994,608
87,590 Columbia Financial, Inc. (a) 1,781,580
64,994 Mr. Cooper Group, Inc. (a) 2,927,980
143,418 NMI Holdings, Inc., Class A (a) 2,716,337
54,630 PennyMac Financial Services,
Inc. 2,993,178
85,819 Provident Financial Services,
Inc. 2,090,551
47,652 WSFS Financial Corp. 2,273,953
---------------
18,003,410
---------------
TOBACCO -- 0.2%
181,938 Vector Group Ltd. 2,026,789
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.9%
14,849 Applied Industrial Technologies,
Inc. 1,493,661
40,139 Boise Cascade Co. 2,838,229
85,006 Custom Truck One Source,
Inc. (a) 526,187
20,285 GATX Corp. 2,033,571
53,660 GMS, Inc. (a) 2,847,736
49,292 H&E Equipment Services, Inc. 1,762,189
18,791 McGrath RentCorp 1,585,209
49,541 Rush Enterprises, Inc., Class A 2,387,381
---------------
15,474,163
---------------
WATER UTILITIES -- 0.5%
11,679 American States Water Co. 1,018,058
17,141 California Water Service Group 1,029,831
5,428 Middlesex Water Co. 516,257
22,882 SJW Group 1,502,432
---------------
4,066,578
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.8%
88,210 Gogo, Inc. (a) 1,531,325
151,228 Telephone and Data Systems,
Inc. 2,390,915
82,455 United States Cellular Corp. (a) 2,415,107
---------------
6,337,347
---------------
See Notes to Financial Statements Page 49
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL COMMON STOCKS
-- 100.0% $ 827,649,885
(Cost $823,268,278) ---------------
MONEY MARKET FUNDS -- 0.8%
6,477,258 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (d) (e) 6,477,258
600,910 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (d) 600,910
---------------
TOTAL MONEY MARKET FUNDS
-- 0.8% 7,078,168
(Cost $7,078,168) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.7%
$ 5,705,923 BNP Paribas S.A., 2.16% (d),
dated 07/29/22, due 08/01/22,
with a maturity value of
$5,706,950. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $5,826,864. (e) 5,705,923
(Cost $5,705,923) ---------------
TOTAL INVESTMENTS -- 101.5% 840,433,976
(Cost $836,052,369)
NET OTHER ASSETS AND
LIABILITIES -- (1.5)% (12,441,155)
---------------
NET ASSETS -- 100.0% $ 827,992,821
===============
(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 $11,873,090 and the
total value of the collateral held by the Fund is $12,183,181.
(c) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the Securities Act of 1933, as
amended.
(d) Rate shown reflects yield as of July 31, 2022.
(e) This security serves as collateral for securities on loan.
---------------------------------
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) $ 11,873,090
Non-cash Collateral(2) (11,873,090)
---------------
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, 2022, 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) $ 5,705,923
Non-cash Collateral(4) (5,705,923)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 50 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 827,649,885 $ 827,649,885 $ -- $ --
Money Market Funds.............................. 7,078,168 7,078,168 -- --
Repurchase Agreements........................... 5,705,923 -- 5,705,923 --
-----------------------------------------------------------------------------
Total Investments............................... $ 840,433,976 $ 834,728,053 $ 5,705,923 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 51
<PAGE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.9%
17,730 General Dynamics Corp. $ 4,018,859
7,902 L3Harris Technologies, Inc. 1,896,243
4,441 Lockheed Martin Corp. 1,837,730
11,972 Northrop Grumman Corp. 5,733,391
19,871 Raytheon Technologies Corp. 1,852,176
93,815 Textron, Inc. 6,158,017
---------------
21,496,416
---------------
AIRLINES -- 0.2%
52,873 Southwest Airlines Co. (a) 2,015,519
---------------
AUTOMOBILES -- 2.1%
881,127 Ford Motor Co. 12,943,756
308,783 General Motors Co. (a) 11,196,471
---------------
24,140,227
---------------
BANKS -- 6.8%
184,045 Bank of America Corp. 6,222,561
170,592 Citigroup, Inc. 8,853,725
219,825 Citizens Financial Group, Inc. 8,346,755
170,516 Fifth Third Bancorp 5,818,006
476,253 Huntington Bancshares, Inc. 6,329,402
50,878 JPMorgan Chase & Co. 5,869,286
455,343 KeyCorp 8,332,777
11,982 M&T Bank Corp. 2,126,206
36,315 PNC Financial Services Group
(The), Inc. 6,026,111
120,795 Truist Financial Corp. 6,096,524
124,497 U.S. Bancorp 5,876,258
200,295 Wells Fargo & Co. 8,786,942
---------------
78,684,553
---------------
BEVERAGES -- 0.4%
110,844 Keurig Dr Pepper, Inc. 4,294,097
---------------
BIOTECHNOLOGY -- 1.2%
7,850 Amgen, Inc. 1,942,640
19,235 Biogen, Inc. (a) 4,136,679
63,465 Gilead Sciences, Inc. 3,792,034
51,636 Incyte Corp. (a) 4,011,084
---------------
13,882,437
---------------
BUILDING PRODUCTS -- 0.8%
160,665 Carrier Global Corp. 6,511,752
14,706 Trane Technologies PLC 2,161,635
---------------
8,673,387
---------------
CAPITAL MARKETS -- 4.9%
188,097 Bank of New York Mellon
(The) Corp. 8,174,696
420,721 Franklin Resources, Inc. 11,548,791
26,414 Goldman Sachs Group (The),
Inc. 8,806,164
75,326 Morgan Stanley 6,349,982
21,360 Raymond James Financial, Inc. 2,103,319
127,261 State Street Corp. 9,040,621
86,322 T. Rowe Price Group, Inc. 10,658,177
---------------
56,681,750
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CHEMICALS -- 6.2%
16,312 Air Products and Chemicals,
Inc. $ 4,049,128
83,386 Celanese Corp. 9,798,689
105,824 Corteva, Inc. 6,090,171
190,020 Dow, Inc. 10,110,964
141,158 DuPont de Nemours, Inc. 8,643,104
87,396 Eastman Chemical Co. 8,383,898
17,847 FMC Corp. 1,982,802
16,032 International Flavors &
Fragrances, Inc. 1,988,769
112,130 LyondellBasell Industries N.V.,
Class A 9,993,026
207,645 Mosaic (The) Co. 10,934,586
---------------
71,975,137
---------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
134,364 Cisco Systems, Inc. 6,096,095
---------------
CONSTRUCTION MATERIALS -- 0.2%
13,439 Vulcan Materials Co. 2,221,870
---------------
CONSUMER FINANCE -- 3.7%
292,657 Ally Financial, Inc. 9,678,167
13,777 American Express Co. 2,121,933
94,125 Capital One Financial Corp. 10,337,749
82,951 Discover Financial Services 8,378,051
355,069 Synchrony Financial 11,887,710
---------------
42,403,610
---------------
CONTAINERS & PACKAGING -- 1.7%
27,771 Ball Corp. 2,038,947
234,448 International Paper Co. 10,027,341
57,059 Packaging Corp. of America 8,023,066
---------------
20,089,354
---------------
DISTRIBUTORS -- 0.9%
14,359 Genuine Parts Co. 2,195,060
159,820 LKQ Corp. 8,764,529
---------------
10,959,589
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.9%
35,921 Berkshire Hathaway, Inc.,
Class B (a) 10,797,853
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.4%
467,889 AT&T, Inc. 8,786,955
154,592 Verizon Communications, Inc. 7,140,605
---------------
15,927,560
---------------
ELECTRIC UTILITIES -- 5.6%
66,930 Alliant Energy Corp. 4,078,045
59,718 American Electric Power Co.,
Inc. 5,885,806
53,440 Duke Energy Corp. 5,874,659
90,596 Edison International 6,139,691
50,863 Entergy Corp. 5,855,857
87,805 Evergy, Inc. 5,993,569
46,440 Eversource Energy 4,096,937
126,419 Exelon Corp. 5,877,219
102,182 FirstEnergy Corp. 4,199,680
Page 52 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
786,130 PG&E Corp. (a) $ 8,537,372
144,592 PPL Corp. 4,204,736
55,438 Xcel Energy, Inc. 4,056,953
---------------
64,800,524
---------------
ELECTRICAL EQUIPMENT -- 1.0%
17,379 AMETEK, Inc. 2,146,307
31,135 Eaton Corp. PLC 4,620,123
49,321 Emerson Electric Co. 4,442,342
---------------
11,208,772
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.7%
248,987 Corning, Inc. 9,152,762
50,635 TE Connectivity Ltd. 6,771,419
5,091 Teledyne Technologies, Inc. (a) 1,992,617
32,798 Trimble, Inc. (a) 2,277,165
---------------
20,193,963
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.7%
125,089 Halliburton Co. 3,665,108
109,699 Schlumberger N.V. 4,062,154
---------------
7,727,262
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.3%
64,108 VICI Properties, Inc. 2,191,853
296,105 Weyerhaeuser Co. 10,754,534
23,048 WP Carey, Inc. 2,058,186
---------------
15,004,573
---------------
FOOD & STAPLES RETAILING -- 1.5%
121,050 Kroger (The) Co. 5,621,562
258,759 Walgreens Boots Alliance, Inc. 10,252,032
15,708 Walmart, Inc. 2,074,241
---------------
17,947,835
---------------
FOOD PRODUCTS -- 4.6%
101,102 Archer-Daniels-Midland Co. 8,368,212
108,138 Bunge Ltd. 9,984,382
167,329 Conagra Brands, Inc. 5,724,325
51,991 General Mills, Inc. 3,888,407
40,325 Hormel Foods Corp. 1,989,635
44,759 J.M. Smucker (The) Co. 5,922,511
54,987 Kellogg Co. 4,064,639
50,073 Kraft Heinz (The) Co. 1,844,189
30,759 Mondelez International, Inc.,
Class A 1,969,806
113,955 Tyson Foods, Inc., Class A 10,029,180
---------------
53,785,286
---------------
GAS UTILITIES -- 0.5%
51,109 Atmos Energy Corp. 6,204,122
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 0.7%
43,710 Medtronic PLC 4,044,049
15,956 Teleflex, Inc. 3,836,780
---------------
7,880,829
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.5%
22,572 Centene Corp. (a) $ 2,098,519
21,742 Cigna Corp. 5,986,877
61,832 CVS Health Corp. 5,916,086
8,128 Elevance Health, Inc. 3,877,869
4,080 Humana, Inc. 1,966,560
41,846 Laboratory Corp. of America
Holdings 10,971,602
73,747 Quest Diagnostics, Inc. 10,071,628
---------------
40,889,141
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.1%
34,678 Darden Restaurants, Inc. 4,317,064
271,004 MGM Resorts International 8,869,961
---------------
13,187,025
---------------
HOUSEHOLD DURABLES -- 3.2%
148,163 D.R. Horton, Inc. 11,561,159
58,314 Garmin Ltd. 5,692,612
138,968 Lennar Corp., Class A 11,812,280
1,959 NVR, Inc. (a) 8,606,083
---------------
37,672,134
---------------
INDUSTRIAL CONGLOMERATES -- 0.5%
44,272 3M Co. 6,341,521
---------------
INSURANCE -- 9.8%
141,796 Aflac, Inc. 8,124,911
61,908 Allstate (The) Corp. 7,241,379
191,804 American International Group,
Inc. 9,929,693
172,468 Arch Capital Group Ltd. (a) 7,657,579
39,910 Chubb Ltd. 7,528,622
82,426 Cincinnati Financial Corp. 8,023,347
265,339 Fidelity National Financial,
Inc. 10,602,947
119,907 Hartford Financial Services
Group (The), Inc. 7,730,404
132,392 Loews Corp. 7,711,834
6,067 Markel Corp. (a) 7,869,748
124,949 MetLife, Inc. 7,903,024
58,733 Principal Financial Group, Inc. 3,931,587
81,998 Prudential Financial, Inc. 8,198,980
46,387 Travelers (The) Cos., Inc. 7,361,617
57,468 W.R. Berkley Corp. 3,593,474
---------------
113,409,146
---------------
IT SERVICES -- 2.0%
84,891 Cognizant Technology Solutions
Corp., Class A 5,769,192
42,793 Fidelity National Information
Services, Inc. 4,371,733
44,091 Fiserv, Inc. (a) 4,659,537
9,090 FleetCor Technologies, Inc. (a) 2,000,618
51,783 Global Payments, Inc. 6,334,097
---------------
23,135,177
---------------
MACHINERY -- 3.1%
21,945 Caterpillar, Inc. 4,350,596
29,605 Cummins, Inc. 6,551,882
35,119 Fortive Corp. 2,263,419
See Notes to Financial Statements Page 53
<PAGE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
95,283 PACCAR, Inc. $ 8,720,300
7,762 Parker-Hannifin Corp. 2,243,917
74,820 Stanley Black & Decker, Inc. 7,282,231
47,793 Westinghouse Air Brake
Technologies Corp. 4,467,212
---------------
35,879,557
---------------
MEDIA -- 3.2%
249,922 Comcast Corp., Class A 9,377,073
243,954 Fox Corp., Class A 8,077,317
208,112 Interpublic Group of (The) Cos.,
Inc. 6,216,305
61,670 Omnicom Group, Inc. 4,307,033
397,364 Paramount Global, Class B 9,397,659
---------------
37,375,387
---------------
METALS & MINING -- 0.3%
65,741 Newmont Corp. 2,976,752
---------------
MULTILINE RETAIL -- 0.7%
12,254 Dollar Tree, Inc. (a) 2,026,321
40,568 Target Corp. 6,628,000
---------------
8,654,321
---------------
MULTI-UTILITIES -- 2.6%
43,413 Ameren Corp. 4,042,618
265,233 CenterPoint Energy, Inc. 8,405,234
84,879 CMS Energy Corp. 5,833,734
60,245 Consolidated Edison, Inc. 5,980,521
23,929 Dominion Energy, Inc. 1,961,699
15,067 DTE Energy Co. 1,963,230
18,976 WEC Energy Group, Inc. 1,969,899
---------------
30,156,935
---------------
OIL, GAS & CONSUMABLE FUELS
-- 5.1%
67,737 Chevron Corp. 11,093,966
380,262 Coterra Energy, Inc. 11,632,215
114,513 Exxon Mobil Corp. 11,099,745
234,056 Kinder Morgan, Inc. 4,210,667
95,433 Marathon Petroleum Corp. 8,747,389
69,879 Phillips 66 6,219,231
53,908 Valero Energy Corp. 5,971,389
---------------
58,974,602
---------------
PHARMACEUTICALS -- 1.1%
10,758 Johnson & Johnson 1,877,486
43,027 Merck & Co., Inc. 3,844,032
749,338 Viatris, Inc. 7,261,086
---------------
12,982,604
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.8%
106,583 CBRE Group, Inc., Class A (a) 9,125,636
---------------
ROAD & RAIL -- 0.4%
17,259 Norfolk Southern Corp. 4,334,943
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.9%
13,073 Analog Devices, Inc. 2,248,033
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
262,147 Intel Corp. $ 9,518,558
177,404 Micron Technology, Inc. 10,974,211
103,975 Qorvo, Inc. (a) 10,820,678
105,861 Skyworks Solutions, Inc. 11,526,146
---------------
45,087,626
---------------
SOFTWARE -- 0.2%
86,966 NortonLifeLock, Inc. 2,133,276
---------------
SPECIALTY RETAIL -- 2.1%
120,349 Best Buy Co., Inc. 9,265,670
43,358 CarMax, Inc. (a) 4,315,855
55,856 Ross Stores, Inc. 4,538,859
34,194 TJX (The) Cos., Inc. 2,091,305
10,176 Ulta Beauty, Inc. (a) 3,957,548
---------------
24,169,237
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 3.0%
84,890 Dell Technologies, Inc., Class C 3,825,143
739,588 Hewlett Packard Enterprise Co. 10,531,733
239,340 HP, Inc. 7,991,563
29,273 NetApp, Inc. 2,088,043
218,758 Western Digital Corp. (a) 10,741,018
---------------
35,177,500
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.5%
129,713 VF Corp. 5,795,577
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.1%
40,373 United Rentals, Inc. (a) 13,027,156
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
14,195 T-Mobile US, Inc. (a) 2,030,737
---------------
TOTAL COMMON STOCKS
-- 99.8% 1,157,608,610
(Cost $1,137,529,985) ---------------
MONEY MARKET FUNDS -- 0.2%
1,880,865 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 1,880,865
(Cost $1,880,865) ---------------
TOTAL INVESTMENTS -- 100.0% 1,159,489,475
(Cost $1,139,410,850)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 549,601
---------------
NET ASSETS -- 100.0% $ 1,160,039,076
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
Page 54 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 1,157,608,610 $ 1,157,608,610 $ -- $ --
Money Market Funds.............................. 1,880,865 1,880,865 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,159,489,475 $ 1,159,489,475 $ -- $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 55
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.2%
46,587 HEICO Corp. $ 7,347,236
5,691 TransDigm Group, Inc. (a) 3,541,737
---------------
10,888,973
---------------
AIR FREIGHT & LOGISTICS -- 2.4%
78,347 Expeditors International of
Washington, Inc. 8,324,369
33,681 FedEx Corp. 7,850,704
33,465 United Parcel Service, Inc.,
Class B 6,521,994
---------------
22,697,067
---------------
AUTOMOBILES -- 0.4%
4,535 Tesla, Inc. (a) 4,042,726
---------------
BANKS -- 1.3%
21,181 First Republic Bank 3,446,361
325,789 Regions Financial Corp. 6,900,211
3,764 SVB Financial Group (a) 1,518,962
---------------
11,865,534
---------------
BEVERAGES -- 2.6%
121,375 Coca-Cola (The) Co. 7,788,634
82,370 Monster Beverage Corp. (a) 8,205,700
45,815 PepsiCo, Inc. 8,015,792
---------------
24,010,126
---------------
BIOTECHNOLOGY -- 4.4%
49,854 AbbVie, Inc. 7,154,548
30,585 Alnylam Pharmaceuticals,
Inc. (a) 4,344,293
55,928 Horizon Therapeutics PLC (a) 4,640,346
31,227 Moderna, Inc. (a) 5,124,038
12,917 Regeneron Pharmaceuticals,
Inc. (a) 7,513,690
25,211 Seagen, Inc. (a) 4,537,476
27,098 Vertex Pharmaceuticals, Inc. (a) 7,598,550
---------------
40,912,941
---------------
BUILDING PRODUCTS -- 0.2%
31,055 Johnson Controls International
PLC 1,674,175
---------------
CAPITAL MARKETS -- 3.9%
33,479 Blackstone, Inc. 3,417,202
96,472 Carlyle Group (The), Inc. 3,753,725
48,342 Charles Schwab (The) Corp. 3,338,015
14,920 CME Group, Inc. 2,976,242
31,623 Coinbase Global, Inc.,
Class A (a) (b) 1,990,984
11,600 FactSet Research Systems, Inc. 4,984,288
15,812 Intercontinental Exchange, Inc. 1,612,666
96,368 KKR & Co., Inc. 5,344,569
3,608 MSCI, Inc. 1,736,675
20,023 Nasdaq, Inc. 3,622,161
31,657 Northern Trust Corp. 3,158,735
---------------
35,935,262
---------------
CHEMICALS -- 1.3%
89,067 CF Industries Holdings, Inc. 8,505,008
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CHEMICALS (CONTINUED)
13,641 Sherwin-Williams (The) Co. $ 3,300,303
---------------
11,805,311
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.8%
16,354 Cintas Corp. 6,958,464
41,053 Copart, Inc. (a) 5,258,889
58,345 Republic Services, Inc. 8,090,118
174,930 Rollins, Inc. 6,747,050
49,913 Waste Management, Inc. 8,213,683
---------------
35,268,204
---------------
COMMUNICATIONS EQUIPMENT
-- 0.9%
32,582 Arista Networks, Inc. (a) 3,800,039
21,282 Motorola Solutions, Inc. 5,077,672
---------------
8,877,711
---------------
CONSTRUCTION MATERIALS -- 0.4%
10,207 Martin Marietta Materials, Inc. 3,593,681
---------------
CONTAINERS & PACKAGING -- 0.8%
37,737 Avery Dennison Corp. 7,187,389
---------------
DISTRIBUTORS -- 0.5%
12,701 Pool Corp. 4,543,148
---------------
ELECTRIC UTILITIES -- 0.7%
78,860 NextEra Energy, Inc. 6,662,881
---------------
ELECTRICAL EQUIPMENT -- 0.2%
7,061 Generac Holdings, Inc. (a) 1,894,466
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.4%
94,883 Amphenol Corp., Class A 7,318,326
22,156 Keysight Technologies, Inc. (a) 3,602,565
5,059 Zebra Technologies Corp.,
Class A (a) 1,809,554
---------------
12,730,445
---------------
ENTERTAINMENT -- 0.9%
120,303 Liberty Media Corp.-Liberty
Formula One, Class C (a) 8,152,934
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.1%
23,900 American Tower Corp. 6,472,837
7,655 AvalonBay Communities, Inc. 1,637,711
11,057 Camden Property Trust 1,560,143
18,140 Crown Castle International Corp. 3,277,172
23,524 Digital Realty Trust, Inc. 3,115,754
81,180 Duke Realty Corp. 5,078,621
4,649 Equinix, Inc. 3,271,687
63,301 Equity LifeStyle Properties,
Inc. 4,653,889
20,589 Equity Residential 1,613,972
17,953 Extra Space Storage, Inc. 3,402,453
85,843 Invitation Homes, Inc. 3,350,452
75,212 Kimco Realty Corp. 1,662,937
17,486 Mid-America Apartment
Communities, Inc. 3,247,675
9,768 Public Storage 3,188,373
13,938 SBA Communications Corp. 4,680,241
Page 56 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
38,331 Sun Communities, Inc. $ 6,284,751
---------------
56,498,668
---------------
FOOD & STAPLES RETAILING -- 0.9%
15,932 Costco Wholesale Corp. 8,623,992
---------------
FOOD PRODUCTS -- 0.9%
35,488 Hershey (The) Co. 8,089,844
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 2.9%
56,222 Abbott Laboratories 6,119,203
4,749 Cooper (The) Cos., Inc. 1,552,923
32,120 Edwards Lifesciences Corp. (a) 3,229,345
88,146 Hologic, Inc. (a) 6,291,861
6,822 Insulet Corp. (a) 1,690,492
7,093 ResMed, Inc. 1,706,008
29,632 STERIS PLC 6,686,461
---------------
27,276,293
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 1.3%
18,173 HCA Healthcare, Inc. 3,860,308
14,867 UnitedHealth Group, Inc. 8,062,969
---------------
11,923,277
---------------
HEALTH CARE TECHNOLOGY -- 0.4%
15,423 Veeva Systems, Inc., Class A (a) 3,448,274
---------------
HOTELS, RESTAURANTS & LEISURE
-- 3.5%
38,824 Caesars Entertainment, Inc. (a) 1,773,868
3,412 Chipotle Mexican Grill, Inc. (a) 5,337,119
11,446 Domino's Pizza, Inc. 4,488,091
30,928 McDonald's Corp. 8,145,507
42,594 Royal Caribbean Cruises Ltd. (a) 1,648,814
58,396 Starbucks Corp. 4,950,813
53,815 Yum! Brands, Inc. 6,594,490
---------------
32,938,702
---------------
HOUSEHOLD PRODUCTS -- 1.2%
65,924 Church & Dwight Co., Inc. 5,799,334
42,483 Procter & Gamble (The) Co. 5,901,314
---------------
11,700,648
---------------
INSURANCE -- 2.8%
22,651 Aon PLC, Class A 6,592,347
37,467 Arthur J. Gallagher & Co. 6,706,218
76,463 Brown & Brown, Inc. 4,977,741
49,183 Marsh & McLennan Cos., Inc. 8,064,045
---------------
26,340,351
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.7%
40,940 Alphabet, Inc., Class A (a) 4,762,141
9,221 Meta Platforms, Inc.,
Class A (a) 1,467,061
---------------
6,229,202
---------------
IT SERVICES -- 5.4%
22,001 Accenture PLC, Class A 6,738,026
16,281 Akamai Technologies, Inc. (a) 1,566,558
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES (CONTINUED)
29,083 Automatic Data Processing, Inc. $ 7,012,493
42,852 Broadridge Financial Solutions,
Inc. 6,879,889
15,133 EPAM Systems, Inc. (a) 5,285,200
25,259 Gartner, Inc. (a) 6,705,759
14,140 Mastercard, Inc., Class A 5,002,591
39,175 Paychex, Inc. 5,025,369
25,607 SS&C Technologies Holdings,
Inc. 1,515,166
22,656 Visa, Inc., Class A 4,805,564
---------------
50,536,615
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 4.6%
25,716 Agilent Technologies, Inc. 3,448,515
143,435 Avantor, Inc. (a) 4,162,484
6,949 Charles River Laboratories
International, Inc. (a) 1,741,002
17,595 Danaher Corp. 5,128,415
28,151 IQVIA Holdings, Inc. (a) 6,763,841
2,659 Mettler-Toledo International,
Inc.(a) 3,588,932
21,475 PerkinElmer, Inc. 3,289,326
11,243 Thermo Fisher Scientific, Inc. 6,727,924
18,456 Waters Corp. (a) 6,718,538
4,917 West Pharmaceutical Services,
Inc. 1,689,284
---------------
43,258,261
---------------
MACHINERY -- 3.3%
14,895 Deere & Co. 5,111,666
25,175 Dover Corp. 3,365,394
33,632 IDEX Corp. 7,020,680
24,477 Illinois Tool Works, Inc. 5,085,342
72,583 Ingersoll Rand, Inc. 3,614,633
86,438 Otis Worldwide Corp. 6,756,858
---------------
30,954,573
---------------
MEDIA -- 1.5%
9,520 Charter Communications, Inc.,
Class A (a) 4,113,592
26,411 Liberty Broadband Corp.,
Class C (a) 2,876,950
996,500 Sirius XM Holdings, Inc. (b) 6,656,620
---------------
13,647,162
---------------
METALS & MINING -- 1.6%
152,456 Freeport-McMoRan, Inc. 4,809,987
73,132 Nucor Corp. 9,931,325
---------------
14,741,312
---------------
OIL, GAS & CONSUMABLE FUELS
-- 9.8%
57,398 Cheniere Energy, Inc. 8,585,593
85,020 ConocoPhillips 8,283,499
138,553 Devon Energy Corp. 8,708,056
63,027 Diamondback Energy, Inc. 8,068,716
69,139 EOG Resources, Inc. 7,689,640
72,076 Hess Corp. 8,106,388
339,666 Marathon Oil Corp. 8,423,717
See Notes to Financial Statements Page 57
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
129,682 Occidental Petroleum Corp. $ 8,526,591
137,579 ONEOK, Inc. 8,218,969
34,229 Pioneer Natural Resources Co. 8,110,562
244,656 Williams (The) Cos., Inc. 8,340,323
---------------
91,062,054
---------------
PERSONAL PRODUCTS -- 0.2%
5,839 Estee Lauder (The) Cos., Inc.,
Class A 1,594,631
---------------
PHARMACEUTICALS -- 3.6%
99,165 Bristol-Myers Squibb Co. 7,316,394
71,169 Catalent, Inc. (a) 8,049,214
23,550 Eli Lilly & Co. 7,764,199
145,635 Pfizer, Inc. 7,356,024
17,769 Zoetis, Inc. 3,243,731
---------------
33,729,562
---------------
PROFESSIONAL SERVICES -- 0.7%
24,614 CoStar Group, Inc. (a) 1,786,730
18,589 TransUnion 1,472,807
17,645 Verisk Analytics, Inc. 3,356,961
---------------
6,616,498
---------------
ROAD & RAIL -- 2.6%
153,504 CSX Corp. 4,962,784
38,792 J.B. Hunt Transport Services,
Inc. 7,109,410
23,835 Old Dominion Freight Line, Inc. 7,234,161
20,915 Union Pacific Corp. 4,753,980
---------------
24,060,335
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 5.7%
16,344 Applied Materials, Inc. 1,732,137
6,287 Broadcom, Inc. 3,366,563
39,109 Enphase Energy, Inc. (a) 11,113,996
16,140 Entegris, Inc. 1,773,786
9,572 KLA Corp. 3,671,245
25,602 Microchip Technology, Inc. 1,762,954
11,616 Monolithic Power Systems, Inc. 5,398,187
20,633 NXP Semiconductors N.V. 3,793,996
121,419 ON Semiconductor Corp. (a) 8,108,361
47,820 QUALCOMM, Inc. 6,936,769
29,033 Texas Instruments, Inc. 5,193,713
---------------
52,851,707
---------------
SOFTWARE -- 5.0%
29,733 Cadence Design Systems,
Inc. (a) 5,532,717
8,821 Crowdstrike Holdings, Inc.,
Class A (a) 1,619,535
37,702 Dynatrace, Inc. (a) 1,418,726
107,963 Fortinet, Inc. (a) 6,439,993
3,858 Intuit, Inc. 1,759,904
5,790 Microsoft Corp. 1,625,485
63,845 Oracle Corp. 4,969,695
12,367 Palo Alto Networks, Inc. (a) 6,172,370
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
5,308 Paycom Software, Inc. (a) $ 1,754,241
6,423 ServiceNow, Inc. (a) 2,868,897
16,809 Splunk, Inc. (a) 1,746,623
20,113 Synopsys, Inc. (a) 7,391,527
4,473 Tyler Technologies, Inc. (a) 1,784,727
13,772 Zoom Video Communications,
Inc., Class A (a) 1,430,360
---------------
46,514,800
---------------
SPECIALTY RETAIL -- 4.2%
25,772 Advance Auto Parts, Inc. 4,989,974
3,552 AutoZone, Inc. (a) 7,592,009
65,852 Carvana Co. (a) (b) 1,919,586
16,264 Home Depot (The), Inc. 4,894,488
25,539 Lowe's Cos., Inc. 4,891,485
12,086 O'Reilly Automotive, Inc. (a) 8,503,589
31,512 Tractor Supply Co. 6,033,918
---------------
38,825,049
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.7%
32,628 Apple, Inc. 5,302,376
20,814 Seagate Technology Holdings
PLC 1,664,704
---------------
6,967,080
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.2%
14,549 NIKE, Inc., Class B 1,671,971
---------------
TOBACCO -- 1.0%
73,121 Altria Group, Inc. 3,207,087
61,865 Philip Morris International, Inc. 6,010,185
---------------
9,217,272
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.5%
89,360 Fastenal Co. 4,589,530
16,802 W.W. Grainger, Inc. 9,132,391
---------------
13,721,921
---------------
WATER UTILITIES -- 0.3%
20,530 American Water Works Co., Inc. 3,191,183
---------------
TOTAL COMMON STOCKS
-- 99.9% 928,974,211
(Cost $870,464,887) ---------------
MONEY MARKET FUNDS -- 0.6%
5,011,510 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 5,011,510
449,364 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 449,364
---------------
TOTAL MONEY MARKET FUNDS
-- 0.6% 5,460,874
(Cost $5,460,874) ---------------
Page 58 See Notes to Financial Statements
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.5%
$ 4,414,721 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$4,415,516. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $4,508,294. (d) $ 4,414,721
(Cost $4,414,721) ---------------
TOTAL INVESTMENTS -- 101.0% 938,849,806
(Cost $880,340,482)
NET OTHER ASSETS AND
LIABILITIES -- (1.0)% (9,145,506)
---------------
NET ASSETS -- 100.0% $ 929,704,300
===============
(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 $9,429,482 and the
total value of the collateral held by the Fund is $9,426,231.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 9,429,482
Non-cash Collateral(2) (9,426,231)
---------------
Net Amount $ 3,251
===============
(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) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2022, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
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) $ 4,414,721
Non-cash Collateral(4) (4,414,721)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 59
<PAGE>
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 928,974,211 $ 928,974,211 $ -- $ --
Money Market Funds.............................. 5,460,874 5,460,874 -- --
Repurchase Agreements........................... 4,414,721 -- 4,414,721 --
-----------------------------------------------------------------------------
Total Investments............................... $ 938,849,806 $ 934,435,085 $ 4,414,721 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 60 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.2%
2,004 AAR Corp. (a) $ 89,238
1,319 BWX Technologies, Inc. 74,761
550 Curtiss-Wright Corp. 78,892
1,332 General Dynamics Corp. 301,924
334 Huntington Ingalls Industries,
Inc. 72,425
593 L3Harris Technologies, Inc. 142,302
334 Lockheed Martin Corp. 138,213
6,429 Maxar Technologies, Inc. 176,669
1,056 Moog, Inc., Class A 90,436
899 Northrop Grumman Corp. 430,531
1,493 Raytheon Technologies Corp. 139,162
7,047 Textron, Inc. 462,565
---------------
2,197,118
---------------
AIR FREIGHT & LOGISTICS -- 0.5%
7,297 Air Transport Services Group,
Inc. (a) 228,688
3,397 Atlas Air Worldwide Holdings,
Inc. (a) 257,187
1,434 C.H. Robinson Worldwide, Inc. 158,744
2,364 Hub Group, Inc., Class A (a) 180,609
---------------
825,228
---------------
AIRLINES -- 0.7%
7,259 Alaska Air Group, Inc. (a) 321,792
1,091 Allegiant Travel Co. (a) 125,803
26,051 JetBlue Airways Corp. (a) 219,349
9,866 SkyWest, Inc. (a) 238,264
3,972 Southwest Airlines Co. (a) 151,413
6,730 Sun Country Airlines Holdings,
Inc. (a) 135,744
---------------
1,192,365
---------------
AUTO COMPONENTS -- 1.2%
12,265 Adient PLC (a) 414,312
8,712 BorgWarner, Inc. 335,063
11,921 Dana, Inc. 199,796
5,197 Gentex Corp. 146,659
33,931 Goodyear Tire & Rubber (The)
Co. (a) 416,672
1,499 LCI Industries 202,500
1,155 Lear Corp. 174,567
4,044 Patrick Industries, Inc. 245,552
---------------
2,135,121
---------------
AUTOMOBILES -- 1.6%
66,185 Ford Motor Co. 972,258
23,194 General Motors Co. (a) 841,014
9,183 Harley-Davidson, Inc. 347,209
4,863 Thor Industries, Inc. 410,097
4,317 Winnebago Industries, Inc. 260,617
---------------
2,831,195
---------------
BANKS -- 8.5%
4,174 Ameris Bancorp 197,388
9,185 Associated Banc-Corp. 184,618
3,639 Atlantic Union Bankshares Corp. 125,873
13,824 Bank of America Corp. 467,389
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
7,747 Bank OZK $ 310,655
3,470 BankUnited, Inc. 134,809
1,492 Banner Corp. 92,489
3,386 Berkshire Hills Bancorp, Inc. 95,384
2,885 BOK Financial Corp. 253,967
6,191 Cadence Bank 161,585
2,142 Cathay General Bancorp 89,321
12,814 Citigroup, Inc. 665,047
16,512 Citizens Financial Group, Inc. 626,961
4,308 Columbia Banking System, Inc. 129,972
1,981 Comerica, Inc. 154,062
4,163 Dime Community Bancshares,
Inc. 141,875
2,603 Eagle Bancorp, Inc. 127,625
2,243 East West Bancorp, Inc. 161,003
3,937 Eastern Bankshares, Inc. 80,315
2,021 Enterprise Financial Services
Corp. 95,048
20,078 F.N.B. Corp. 240,133
2,138 FB Financial Corp. 91,613
12,808 Fifth Third Bancorp 437,009
2,403 First Bancorp 91,026
9,560 First BanCorp 144,260
3,670 First Busey Corp. 90,465
222 First Citizens BancShares, Inc.,
Class A 167,983
6,249 First Commonwealth Financial
Corp. 92,610
8,646 First Financial Bancorp 193,152
6,026 First Foundation, Inc. 125,461
3,693 First Hawaiian, Inc. 94,135
2,354 First Merchants Corp. 97,762
8,541 Fulton Financial Corp. 142,549
4,919 Hancock Whitney Corp. 240,096
2,971 Heartland Financial USA, Inc. 133,398
6,291 Hilltop Holdings, Inc. 181,495
3,499 Home BancShares, Inc. 82,576
12,119 Hope Bancorp, Inc. 182,270
35,773 Huntington Bancshares, Inc. 475,423
606 Independent Bank Group, Inc. 42,856
3,079 International Bancshares Corp. 135,045
3,822 JPMorgan Chase & Co. 440,906
34,202 KeyCorp 625,897
900 M&T Bank Corp. 159,705
1,075 National Bank Holdings Corp.,
Class A 44,741
2,231 NBT Bancorp, Inc. 90,445
6,552 Northwest Bancshares, Inc. 94,218
2,782 Old National Bancorp 48,435
5,736 Pacific Premier Bancorp, Inc. 192,959
10,905 PacWest Bancorp 305,667
339 Park National Corp. 43,921
4,337 Pathward Financial, Inc. 146,244
3,015 Pinnacle Financial Partners,
Inc. 238,487
2,728 PNC Financial Services Group
(The), Inc. 452,684
2,834 Popular, Inc. 220,117
2,129 Prosperity Bancshares, Inc. 157,738
See Notes to Financial Statements Page 61
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
4,284 Renasant Corp. $ 143,086
3,159 Sandy Spring Bancorp, Inc. 130,467
5,805 Simmons First National Corp.,
Class A 137,869
1,884 SouthState Corp. 159,707
8,064 Synovus Financial Corp. 325,624
1,593 Texas Capital Bancshares,
Inc. (a) 93,382
4,546 TowneBank 135,789
9,073 Truist Financial Corp. 457,914
2,873 Trustmark Corp. 93,286
9,351 U.S. Bancorp 441,367
4,145 United Bankshares, Inc. 160,577
1,363 United Community Banks, Inc. 46,383
13,964 Valley National Bancorp 163,239
4,111 Washington Federal, Inc. 140,308
1,724 Webster Financial Corp. 80,080
15,045 Wells Fargo & Co. 660,024
5,289 WesBanco, Inc. 180,461
1,814 Wintrust Financial Corp. 156,077
4,284 Zions Bancorp N.A. 233,692
---------------
14,978,199
---------------
BEVERAGES -- 0.4%
8,326 Keurig Dr Pepper, Inc. 322,549
5,333 Molson Coors Beverage Co.,
Class B 318,647
1,485 National Beverage Corp. 80,457
---------------
721,653
---------------
BIOTECHNOLOGY -- 0.8%
590 Amgen, Inc. 146,007
1,445 Biogen, Inc. (a) 310,762
6,754 Emergent BioSolutions, Inc. (a) 233,958
3,491 Exelixis, Inc. (a) 73,032
4,767 Gilead Sciences, Inc. 284,828
3,879 Incyte Corp. (a) 301,321
---------------
1,349,908
---------------
BUILDING PRODUCTS -- 1.2%
12,068 Carrier Global Corp. 489,116
3,185 Gibraltar Industries, Inc. (a) 149,026
11,496 JELD-WEN Holding, Inc. (a) 204,399
4,890 Owens Corning 453,499
8,637 Resideo Technologies, Inc. (a) 194,419
1,105 Trane Technologies PLC 162,424
4,267 UFP Industries, Inc. 393,460
---------------
2,046,343
---------------
CAPITAL MARKETS -- 3.6%
14,129 Bank of New York Mellon (The)
Corp. 614,046
24,885 BGC Partners, Inc., Class A 90,830
6,853 Brightsphere Investment Group,
Inc. 129,590
3,106 Evercore, Inc., Class A 310,507
2,638 Federated Hermes, Inc. 89,982
31,602 Franklin Resources, Inc. 867,475
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
1,984 Goldman Sachs Group (The),
Inc. $ 661,446
22,530 Invesco Ltd. 399,682
10,526 Jefferies Financial Group, Inc. 342,832
6,728 Lazard Ltd., Class A 253,444
5,658 Morgan Stanley 476,969
1,604 Raymond James Financial, Inc. 157,946
4,036 SEI Investments Co. 223,433
9,559 State Street Corp. 679,071
5,190 Stifel Financial Corp. 310,414
6,484 T. Rowe Price Group, Inc. 800,580
1,757 Virtu Financial, Inc., Class A 40,991
---------------
6,449,238
---------------
CHEMICALS -- 4.5%
1,225 Air Products and Chemicals, Inc. 304,082
1,411 Ashland Global Holdings, Inc. 141,763
3,627 Avient Corp. 156,505
3,287 Axalta Coating Systems Ltd. (a) 82,898
645 Cabot Corp. 47,898
6,263 Celanese Corp. 735,965
9,080 Chemours (The) Co. 323,157
7,949 Corteva, Inc. 457,465
14,273 Dow, Inc. 759,466
10,603 DuPont de Nemours, Inc. 649,222
6,565 Eastman Chemical Co. 629,780
8,514 Ecovyst, Inc. 87,098
1,340 FMC Corp. 148,874
2,414 H.B. Fuller Co. 154,979
12,819 Huntsman Corp. 371,238
652 Ingevity Corp. (a) 43,749
429 Innospec, Inc. 43,758
1,204 International Flavors &
Fragrances, Inc. 149,356
8,423 LyondellBasell Industries N.V.,
Class A 750,658
2,734 Minerals Technologies, Inc. 182,659
15,597 Mosaic (The) Co. 821,338
137 NewMarket Corp. 42,580
1,840 Scotts Miracle-Gro (The) Co. 163,668
827 Stepan Co. 92,798
5,451 Trinseo PLC 194,982
3,707 Westlake Corp. 360,839
---------------
7,896,775
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.3%
948 ABM Industries, Inc. 42,508
871 Brady Corp., Class A 41,677
13,977 BrightView Holdings, Inc. (a) 183,658
1,658 Clean Harbors, Inc. (a) 161,804
1,186 HNI Corp. 41,890
2,785 KAR Auction Services, Inc. (a) 47,624
487 UniFirst Corp. 95,398
---------------
614,559
---------------
COMMUNICATIONS EQUIPMENT
-- 0.3%
10,093 Cisco Systems, Inc. 457,919
Page 62 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT
(CONTINUED)
2,550 Juniper Networks, Inc. $ 71,477
1,215 NetScout Systems, Inc. (a) 43,230
---------------
572,626
---------------
CONSTRUCTION & ENGINEERING
-- 0.6%
4,855 API Group Corp. (a) 85,982
2,658 Arcosa, Inc. 137,047
1,412 EMCOR Group, Inc. 164,314
4,236 Granite Construction, Inc. 126,656
2,028 MasTec, Inc. (a) 160,070
8,079 MDU Resources Group, Inc. 230,817
7,708 Primoris Services Corp. 180,059
---------------
1,084,945
---------------
CONSTRUCTION MATERIALS -- 0.1%
1,009 Vulcan Materials Co. 166,818
---------------
CONSUMER FINANCE -- 2.7%
21,983 Ally Financial, Inc. 726,978
1,035 American Express Co. 159,411
5,657 Bread Financial Holdings, Inc. 224,074
7,070 Capital One Financial Corp. 776,498
6,231 Discover Financial Services 629,331
592 FirstCash Holdings, Inc. 43,370
3,340 Green Dot Corp., Class A (a) 93,854
2,817 LendingTree, Inc. (a) 128,399
11,989 Navient Corp. 197,459
1,967 Nelnet, Inc., Class A 187,042
7,778 OneMain Holdings, Inc. 289,341
12,707 PROG Holdings, Inc. (a) 234,063
9,119 SLM Corp. 142,256
26,670 Synchrony Financial 892,912
---------------
4,724,988
---------------
CONTAINERS & PACKAGING -- 1.7%
2,086 Ball Corp. 153,154
5,321 Berry Global Group, Inc. (a) 306,756
3,545 Graphic Packaging Holding Co. 78,876
2,689 Greif, Inc., Class A 189,897
17,610 International Paper Co. 753,180
11,980 O-I Glass, Inc. (a) 176,226
4,286 Packaging Corp. of America 602,654
12,392 Pactiv Evergreen, Inc. 126,646
3,515 Silgan Holdings, Inc. 156,418
3,029 TriMas Corp. 89,658
9,122 Westrock Co. 386,408
---------------
3,019,873
---------------
DISTRIBUTORS -- 0.5%
1,078 Genuine Parts Co. 164,794
12,005 LKQ Corp. 658,354
---------------
823,148
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
35,454 ADT, Inc. 258,814
1,708 Frontdoor, Inc. (a) 45,723
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
370 Graham Holdings Co., Class B $ 219,962
890 Grand Canyon Education,
Inc. (a) 85,502
1,749 Strategic Education, Inc. 125,631
2,056 Stride, Inc. (a) 91,862
---------------
827,494
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.9%
2,698 Berkshire Hathaway, Inc.,
Class B (a) 811,019
8,364 Equitable Holdings, Inc. 237,789
7,838 Jackson Financial, Inc., Class A 215,623
4,884 Voya Financial, Inc. 293,821
---------------
1,558,252
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.2%
35,145 AT&T, Inc. 660,023
15,438 Frontier Communications
Parent, Inc. (a) 399,999
21,531 Liberty Latin America Ltd.,
Class C (a) 158,037
33,310 Lumen Technologies, Inc. 362,746
11,612 Verizon Communications, Inc. 536,358
---------------
2,117,163
---------------
ELECTRIC UTILITIES -- 3.6%
2,100 ALLETE, Inc. 130,347
5,027 Alliant Energy Corp. 306,295
4,486 American Electric Power Co.,
Inc. 442,140
4,014 Duke Energy Corp. 441,259
6,805 Edison International 461,175
3,821 Entergy Corp. 439,912
6,595 Evergy, Inc. 450,175
3,488 Eversource Energy 307,711
9,496 Exelon Corp. 441,469
7,675 FirstEnergy Corp. 315,442
1,777 Hawaiian Electric Industries,
Inc. 75,167
686 IDACORP, Inc. 76,640
9,521 NRG Energy, Inc. 359,418
7,540 OGE Energy Corp. 309,743
59,049 PG&E Corp. (a) 641,272
3,976 Pinnacle West Capital Corp. 292,117
4,512 Portland General Electric Co. 231,646
10,861 PPL Corp. 315,838
4,164 Xcel Energy, Inc. 304,722
---------------
6,342,488
---------------
ELECTRICAL EQUIPMENT -- 0.9%
1,305 AMETEK, Inc. 161,168
2,339 Eaton Corp. PLC 347,084
3,705 Emerson Electric Co. 333,709
1,422 EnerSys 93,724
23,724 GrafTech International Ltd. 182,675
407 Hubbell, Inc. 89,141
See Notes to Financial Statements Page 63
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
1,921 Regal Rexnord Corp. $ 257,990
3,111 Sunrun, Inc. (a) 101,699
---------------
1,567,190
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.8%
3,242 Arrow Electronics, Inc. (a) 415,527
8,475 Avnet, Inc. 405,698
18,702 Corning, Inc. 687,485
4,279 II-VI, Inc. (a) 225,247
972 Insight Enterprises, Inc. (a) 90,794
2,316 IPG Photonics Corp. (a) 246,839
4,258 Jabil, Inc. 252,670
12,098 Knowles Corp. (a) 238,935
3,332 Methode Electronics, Inc. 137,412
982 OSI Systems, Inc. (a) 94,930
524 Plexus Corp. (a) 49,230
4,118 Sanmina Corp. (a) 189,634
2,393 TD SYNNEX Corp. 240,305
3,803 TE Connectivity Ltd. 508,575
382 Teledyne Technologies, Inc. (a) 149,515
2,463 Trimble, Inc. (a) 171,006
16,773 TTM Technologies, Inc. (a) 226,939
11,765 Vishay Intertechnology, Inc. 243,065
12,646 Vontier Corp. 326,267
---------------
4,900,073
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.5%
9,396 Halliburton Co. 275,303
6,616 Noble Corp. (a) 198,480
8,240 Schlumberger N.V. 305,127
37,063 Transocean Ltd. (a) 125,273
---------------
904,183
---------------
ENTERTAINMENT -- 0.0%
5,416 Warner Bros Discovery, Inc. (a) 81,240
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.7%
5,369 Acadia Realty Trust 91,971
5,717 Apple Hospitality REIT, Inc. 95,360
8,699 Brandywine Realty Trust 81,336
3,202 Corporate Office Properties
Trust 90,136
3,248 Douglas Emmett, Inc. 76,783
17,556 Empire State Realty Trust, Inc.,
Class A 149,753
1,787 EPR Properties 96,158
5,923 Global Net Lease, Inc. 89,378
4,635 Host Hotels & Resorts, Inc. 82,549
11,302 Hudson Pacific Properties, Inc. 169,982
14,890 Industrial Logistics Properties
Trust 149,347
15,292 iStar, Inc. 255,529
1,072 LTC Properties, Inc. 44,917
19,257 Macerich (The) Co. 204,317
679 National Health Investors, Inc. 44,026
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
7,735 Omega Healthcare Investors,
Inc. $ 239,785
2,427 Outfront Media, Inc. 44,802
17,071 Paramount Group, Inc. 134,007
2,483 Pebblebrook Hotel Trust 48,568
4,165 Physicians Realty Trust 74,012
12,784 Piedmont Office Realty Trust,
Inc., Class A 175,908
7,866 Service Properties Trust 51,444
7,874 SL Green Realty Corp. 390,944
5,771 Spirit Realty Capital, Inc. 255,886
5,574 STORE Capital Corp. 161,757
12,442 Sunstone Hotel Investors,
Inc. (a) 140,968
4,815 VICI Properties, Inc. 164,625
5,084 Vornado Realty Trust 154,503
3,935 Washington Real Estate
Investment Trust 87,239
22,241 Weyerhaeuser Co. 807,793
1,731 WP Carey, Inc. 154,578
---------------
4,808,361
---------------
FOOD & STAPLES RETAILING -- 1.2%
786 Casey's General Stores, Inc. 159,283
9,093 Kroger (The) Co. 422,279
574 PriceSmart, Inc. 38,102
6,624 Sprouts Farmers Market, Inc. (a) 183,087
4,257 United Natural Foods, Inc. (a) 180,965
2,369 US Foods Holding Corp. (a) 74,624
19,436 Walgreens Boots Alliance, Inc. 770,054
1,180 Walmart, Inc. 155,819
1,656 Weis Markets, Inc. 127,396
---------------
2,111,609
---------------
FOOD PRODUCTS -- 3.1%
7,594 Archer-Daniels-Midland Co. 628,555
1,730 B&G Foods, Inc. (b) 42,748
8,123 Bunge Ltd. 749,997
1,513 Campbell Soup Co. 74,666
12,569 Conagra Brands, Inc. 429,985
3,646 Darling Ingredients, Inc. (a) 252,595
3,905 General Mills, Inc. 292,055
1,733 Hain Celestial Group (The),
Inc. (a) 39,426
3,029 Hormel Foods Corp. 149,451
3,298 Ingredion, Inc. 300,052
3,362 J.M. Smucker (The) Co. 444,860
4,130 Kellogg Co. 305,290
3,761 Kraft Heinz (The) Co. 138,518
2,310 Mondelez International, Inc.,
Class A 147,932
3,530 Post Holdings, Inc. (a) 306,898
94 Seaboard Corp. 381,700
8,559 Tyson Foods, Inc., Class A 753,278
---------------
5,438,006
---------------
GAS UTILITIES -- 0.7%
3,839 Atmos Energy Corp. 466,016
Page 64 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
GAS UTILITIES (CONTINUED)
1,579 Northwest Natural Holding Co. $ 84,745
1,790 ONE Gas, Inc. 152,042
835 Southwest Gas Holdings, Inc. 72,612
1,128 Spire, Inc. 84,871
9,412 UGI Corp. 406,222
---------------
1,266,508
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 0.7%
1,505 Avanos Medical, Inc. (a) 42,697
6,103 DENTSPLY SIRONA, Inc. 220,684
3,964 Enovis Corp. (a) 236,730
3,772 Envista Holdings Corp. (a) 153,332
582 Integer Holdings Corp. (a) 40,676
3,283 Medtronic PLC 303,743
1,199 Teleflex, Inc. 288,312
---------------
1,286,174
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.7%
1,075 Acadia Healthcare Co., Inc. (a) 89,128
691 Amedisys, Inc. (a) 82,816
1,695 Centene Corp. (a) 157,584
1,633 Cigna Corp. 449,663
4,644 CVS Health Corp. 444,338
1,818 DaVita, Inc. (a) 153,003
611 Elevance Health, Inc. 291,508
2,593 Encompass Health Corp. 131,258
3,845 Fulgent Genetics, Inc. (a) 229,739
1,894 Henry Schein, Inc. (a) 149,304
306 Humana, Inc. 147,492
3,143 Laboratory Corp. of America
Holdings 824,063
2,667 Owens & Minor, Inc. 94,439
2,768 Patterson Cos., Inc. 85,974
1,958 Pediatrix Medical Group,
Inc. (a) 44,368
2,037 Premier, Inc., Class A 78,343
5,540 Quest Diagnostics, Inc. 756,598
5,225 Select Medical Holdings Corp. 154,765
3,609 Universal Health Services, Inc.,
Class B 405,904
---------------
4,770,287
---------------
HEALTH CARE TECHNOLOGY -- 0.2%
14,137 Allscripts Healthcare Solutions,
Inc. (a) 223,647
15,276 Multiplan Corp. (a) 77,297
---------------
300,944
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.4%
8,480 Bally's Corp. (a) (b) 186,306
7,426 Bloomin' Brands, Inc. 151,416
5,602 Brinker International, Inc. (a) 155,456
1,557 Cheesecake Factory (The), Inc. 45,511
1,478 Cracker Barrel Old Country
Store, Inc. 140,514
2,605 Darden Restaurants, Inc. 324,296
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
3,765 Dave & Buster's Entertainment,
Inc. (a) $ 140,660
2,034 Hilton Grand Vacations, Inc. (a) 82,926
20,356 MGM Resorts International 666,252
9,557 Penn National Gaming, Inc. (a) 330,194
993 Texas Roadhouse, Inc. 86,609
1,872 Travel + Leisure Co. 80,702
---------------
2,390,842
---------------
HOUSEHOLD DURABLES -- 4.2%
4,662 Century Communities, Inc. 238,554
11,129 D.R. Horton, Inc. 868,396
4,380 Garmin Ltd. 427,576
895 Helen of Troy Ltd. (a) 119,742
7,367 KB Home 240,459
8,843 La-Z-Boy, Inc. 246,454
6,306 Leggett & Platt, Inc. 249,970
10,438 Lennar Corp., Class A 887,230
2,413 LGI Homes, Inc. (a) 272,186
6,489 M.D.C. Holdings, Inc. 235,226
5,286 M/I Homes, Inc. (a) 243,209
5,012 Meritage Homes Corp. (a) 442,560
2,929 Mohawk Industries, Inc. (a) 376,318
11,452 Newell Brands, Inc. 231,445
147 NVR, Inc. (a) 645,786
9,170 PulteGroup, Inc. 399,995
8,975 Taylor Morrison Home Corp. (a) 257,582
8,148 Toll Brothers, Inc. 400,719
12,428 Tri Pointe Homes, Inc. (a) 230,167
1,877 Whirlpool Corp. 324,477
---------------
7,338,051
---------------
HOUSEHOLD PRODUCTS -- 0.1%
3,085 Central Garden & Pet Co.,
Class A (a) 125,868
2,665 Reynolds Consumer Products,
Inc. 77,445
---------------
203,313
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.1%
9,542 Vistra Corp. 246,661
---------------
INDUSTRIAL CONGLOMERATES -- 0.3%
3,325 3M Co. 476,273
---------------
INSURANCE -- 7.2%
10,651 Aflac, Inc. 610,302
4,650 Allstate (The) Corp. 543,910
7,950 American Equity Investment
Life Holding Co. 298,602
1,571 American Financial Group, Inc. 210,011
14,407 American International Group,
Inc. 745,850
12,955 Arch Capital Group Ltd. (a) 575,202
1,116 Argo Group International
Holdings Ltd. 36,594
3,758 Assured Guaranty Ltd. 219,430
5,092 Axis Capital Holdings Ltd. 257,095
See Notes to Financial Statements Page 65
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
7,087 Brighthouse Financial, Inc. (a) $ 307,718
2,998 Chubb Ltd. 565,543
6,191 Cincinnati Financial Corp. 602,632
11,590 CNO Financial Group, Inc. 217,313
340 Enstar Group Ltd. (a) 67,293
1,037 Everest Re Group Ltd. 271,020
19,931 Fidelity National Financial,
Inc. 796,443
6,867 First American Financial Corp. 398,286
59,393 Genworth Financial, Inc.,
Class A (a) 252,420
1,491 Globe Life, Inc. 150,188
497 Hanover Insurance Group (The),
Inc. 67,826
9,007 Hartford Financial Services
Group (The), Inc. 580,681
2,185 Horace Mann Educators Corp. 74,836
6,216 Lincoln National Corp. 319,129
9,944 Loews Corp. 579,238
456 Markel Corp. (a) 591,496
9,385 MetLife, Inc. 593,601
16,253 Old Republic International Corp. 378,207
607 Primerica, Inc. 78,115
4,412 Principal Financial Group, Inc. 295,339
6,159 Prudential Financial, Inc. 615,838
620 Reinsurance Group of America,
Inc. 71,784
836 Selective Insurance Group, Inc. 65,091
7,591 SiriusPoint Ltd. (a) 33,249
4,214 Stewart Information Services
Corp. 230,295
3,484 Travelers (The) Cos., Inc. 552,911
8,546 Unum Group 275,096
4,317 W.R. Berkley Corp. 269,942
---------------
12,798,526
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.2%
1,481 Yelp, Inc. (a) 45,407
3,901 Ziff Davis, Inc. (a) 319,453
---------------
364,860
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.2%
6,706 Overstock.com, Inc. (a) 194,474
73,051 Qurate Retail, Inc., Series A 199,429
---------------
393,903
---------------
IT SERVICES -- 1.6%
6,376 Cognizant Technology Solutions
Corp., Class A 433,313
9,592 DXC Technology Co. (a) 303,107
3,214 Fidelity National Information
Services, Inc. 328,342
3,312 Fiserv, Inc. (a) 350,012
683 FleetCor Technologies, Inc. (a) 150,322
1,716 Genpact Ltd. 82,505
3,890 Global Payments, Inc. 475,825
22,295 Kyndryl Holdings, Inc. (a) 233,429
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES (CONTINUED)
2,325 Maximus, Inc. $ 155,426
11,696 Rackspace Technology, Inc. (a) 78,831
8,182 SolarWinds Corp. 87,629
13,239 Western Union (The) Co. 225,328
---------------
2,904,069
---------------
LEISURE PRODUCTS -- 0.9%
987 Acushnet Holdings Corp. 48,096
4,447 Brunswick Corp. 356,294
10,688 Callaway Golf Co. (a) 245,290
888 Hasbro, Inc. 69,903
3,182 Malibu Boats, Inc., Class A (a) 198,716
13,020 Mattel, Inc. (a) 302,064
1,464 Polaris, Inc. 171,698
7,515 Vista Outdoor, Inc. (a) 226,201
---------------
1,618,262
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.0%
5,048 NeoGenomics, Inc. (a) 51,086
---------------
MACHINERY -- 3.1%
2,946 AGCO Corp. 320,878
720 Alamo Group, Inc. 93,175
522 Albany International Corp.,
Class A 47,643
5,671 Allison Transmission Holdings,
Inc. 237,445
1,167 Altra Industrial Motion Corp. 48,699
1,009 Astec Industries, Inc. 49,572
5,386 Barnes Group, Inc. 182,155
1,648 Caterpillar, Inc. 326,716
2,224 Cummins, Inc. 492,194
1,510 Donaldson Co., Inc. 82,159
602 ESCO Technologies, Inc. 46,685
1,156 Federal Signal Corp. 47,997
2,638 Fortive Corp. 170,019
2,162 ITT, Inc. 162,215
7,220 Kennametal, Inc. 193,857
589 Lincoln Electric Holdings, Inc. 83,308
3,507 Mueller Water Products, Inc.,
Class A 45,661
2,654 Oshkosh Corp. 228,509
7,157 PACCAR, Inc. 655,009
583 Parker-Hannifin Corp. 168,540
1,753 Proto Labs, Inc. (a) 85,704
1,107 Snap-on, Inc. 248,023
5,620 Stanley Black & Decker, Inc. 546,995
694 Tennant Co. 46,519
6,128 Terex Corp. 205,349
5,480 Timken (The) Co. 358,282
1,699 Trinity Industries, Inc. 44,089
3,590 Westinghouse Air Brake
Technologies Corp. 335,557
---------------
5,552,954
---------------
MARINE -- 0.3%
4,986 Matson, Inc. 457,067
---------------
Page 66 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA -- 2.4%
55,173 Advantage Solutions, Inc. (a) $ 244,968
18,773 Comcast Corp., Class A 704,363
20,268 DISH Network Corp.,
Class A (a) 352,055
16,813 E.W. Scripps (The) Co.,
Class A (a) 239,753
18,324 Fox Corp., Class A 606,708
9,931 Gray Television, Inc. 184,419
15,632 Interpublic Group of (The) Cos.,
Inc. 466,928
1,756 John Wiley & Sons, Inc.,
Class A 91,698
2,605 New York Times (The) Co.,
Class A 83,230
13,995 News Corp., Class A 239,874
4,632 Omnicom Group, Inc. 323,499
29,847 Paramount Global, Class B 705,882
---------------
4,243,377
---------------
METALS & MINING -- 1.3%
1,474 Carpenter Technology Corp. 47,374
10,979 Commercial Metals Co. 434,988
10,495 Hecla Mining Co. 47,542
558 Materion Corp. 45,723
4,938 Newmont Corp. 223,593
2,140 Reliance Steel & Aluminum Co. 407,135
5,494 Steel Dynamics, Inc. 427,873
20,291 United States Steel Corp. 479,882
4,754 Worthington Industries, Inc. 243,452
---------------
2,357,562
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.6%
61,490 Annaly Capital Management,
Inc. 423,051
16,066 Apollo Commercial Real Estate
Finance, Inc. 205,323
7,880 Blackstone Mortgage Trust, Inc.,
Class A 244,044
19,017 Chimera Investment Corp. 199,108
11,710 Ladder Capital Corp. 139,115
19,503 MFA Financial, Inc. 252,759
38,992 New Residential Investment
Corp. 425,403
60,770 New York Mortgage Trust, Inc. 190,818
2,975 PennyMac Mortgage Investment
Trust 45,696
27,193 Redwood Trust, Inc. 235,491
10,438 Starwood Property Trust, Inc. 246,546
33,680 Two Harbors Investment Corp. 181,198
---------------
2,788,552
---------------
MULTILINE RETAIL -- 0.8%
920 Dollar Tree, Inc. (a) 152,131
10,182 Kohl's Corp. 296,704
19,837 Macy's, Inc. 350,123
5,841 Nordstrom, Inc. 137,322
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MULTILINE RETAIL (CONTINUED)
3,047 Target Corp. $ 497,819
---------------
1,434,099
---------------
MULTI-UTILITIES -- 1.6%
3,261 Ameren Corp. 303,664
2,837 Avista Corp. 119,892
1,998 Black Hills Corp. 154,245
19,923 CenterPoint Energy, Inc. 631,360
6,375 CMS Energy Corp. 438,154
4,525 Consolidated Edison, Inc. 449,197
1,797 Dominion Energy, Inc. 147,318
1,132 DTE Energy Co. 147,500
4,929 NiSource, Inc. 149,842
2,094 NorthWestern Corp. 116,112
1,425 WEC Energy Group, Inc. 147,929
---------------
2,805,213
---------------
OIL, GAS & CONSUMABLE FUELS
-- 3.1%
4,357 California Resources Corp. 195,455
5,088 Chevron Corp. 833,313
28,563 Coterra Energy, Inc. 873,742
1,228 CVR Energy, Inc. 41,187
8,602 Exxon Mobil Corp. 833,792
6,438 HF Sinclair Corp. 307,865
17,581 Kinder Morgan, Inc. 316,282
7,168 Marathon Petroleum Corp. 657,019
4,253 PBF Energy, Inc., Class A (a) 141,837
7,863 Peabody Energy Corp. (a) 165,044
5,249 Phillips 66 467,161
4,049 Valero Energy Corp. 448,508
8,198 World Fuel Services Corp. 227,249
---------------
5,508,454
---------------
PERSONAL PRODUCTS -- 0.3%
18,148 Coty, Inc., Class A (a) 132,843
3,575 Edgewell Personal Care Co. 142,213
2,850 Nu Skin Enterprises, Inc.,
Class A 124,004
1,159 USANA Health Sciences,
Inc. (a) 80,690
---------------
479,750
---------------
PHARMACEUTICALS -- 0.7%
1,730 Corcept Therapeutics, Inc. (a) 49,582
808 Johnson & Johnson 141,012
3,232 Merck & Co., Inc. 288,747
6,461 Organon & Co. 204,943
1,423 Supernus Pharmaceuticals,
Inc. (a) 45,180
56,285 Viatris, Inc. 545,402
---------------
1,274,866
---------------
PROFESSIONAL SERVICES -- 0.8%
10,768 Alight, Inc., Class A (a) 81,191
3,221 ASGN, Inc. (a) 334,211
516 CACI International, Inc.,
Class A (a) 155,982
433 ICF International, Inc. 40,854
2,891 Korn Ferry 189,389
See Notes to Financial Statements Page 67
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES (CONTINUED)
722 Leidos Holdings, Inc. $ 77,254
2,854 ManpowerGroup, Inc. 223,782
781 Science Applications
International Corp. 75,655
1,873 TriNet Group, Inc. (a) 154,522
---------------
1,332,840
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.8%
21,328 Anywhere Real Estate, Inc. (a) 211,787
8,006 CBRE Group, Inc., Class A (a) 685,474
3,204 Howard Hughes (The) Corp. (a) 227,132
1,663 Jones Lang LaSalle, Inc. (a) 317,084
---------------
1,441,477
---------------
ROAD & RAIL -- 1.3%
13,765 Hertz Global Holdings,
Inc. (a) (b) 294,846
7,851 Knight-Swift Transportation
Holdings, Inc. 431,413
9,972 Marten Transport Ltd. 214,996
1,296 Norfolk Southern Corp. 325,516
5,114 Ryder System, Inc. 400,529
9,368 Schneider National, Inc.,
Class B 237,291
4,352 Werner Enterprises, Inc. 191,314
4,527 XPO Logistics, Inc. (a) 270,443
---------------
2,366,348
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.6%
21,440 Amkor Technology, Inc. 432,445
982 Analog Devices, Inc. 168,865
3,006 Cirrus Logic, Inc. (a) 256,893
7,555 Cohu, Inc. (a) 215,922
2,134 First Solar, Inc. (a) 211,629
19,691 Intel Corp. 714,980
13,325 Micron Technology, Inc. 824,284
7,810 Qorvo, Inc. (a) 812,786
7,952 Skyworks Solutions, Inc. 865,814
7,540 SMART Global Holdings,
Inc. (a) 147,935
---------------
4,651,553
---------------
SOFTWARE -- 0.3%
5,615 ACI Worldwide, Inc. (a) 160,196
93,597 Avaya Holdings Corp. (a) 84,106
3,324 Cerence, Inc. (a) 93,637
1,016 Dolby Laboratories, Inc.,
Class A 78,639
6,532 NortonLifeLock, Inc. 160,230
---------------
576,808
---------------
SPECIALTY RETAIL -- 3.5%
32,505 American Eagle Outfitters, Inc. 391,360
1,238 Asbury Automotive Group,
Inc. (a) 212,490
2,601 AutoNation, Inc. (a) 308,843
9,040 Best Buy Co., Inc. 695,990
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
6,057 Buckle (The), Inc. $ 182,922
5,717 Camping World Holdings, Inc.,
Class A (b) 154,588
3,257 CarMax, Inc. (a) 324,202
14,392 Foot Locker, Inc. 408,301
17,641 Gap (The), Inc. 169,707
1,235 Group 1 Automotive, Inc. 218,496
9,837 Guess?, Inc. (b) 186,018
1,322 Lithia Motors, Inc. 350,700
1,956 Monro, Inc. 98,093
2,777 Penske Automotive Group, Inc. 317,939
14,793 Petco Health & Wellness Co.,
Inc. (a) (b) 205,919
6,346 Rent-A-Center, Inc. 149,321
4,196 Ross Stores, Inc. 340,967
14,071 Sally Beauty Holdings, Inc. (a) 179,827
5,724 Sonic Automotive, Inc., Class A 239,549
2,568 TJX (The) Cos., Inc. 157,059
764 Ulta Beauty, Inc. (a) 297,127
11,236 Urban Outfitters, Inc. (a) 230,113
10,394 Victoria's Secret & Co. (a) 384,162
---------------
6,203,693
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 1.8%
21,614 3D Systems Corp. (a) 247,264
3,133 Corsair Gaming, Inc. (a) (b) 44,175
6,376 Dell Technologies, Inc., Class C 287,303
55,553 Hewlett Packard Enterprise Co. 791,075
17,978 HP, Inc. 600,285
2,199 NetApp, Inc. 156,855
3,059 Super Micro Computer, Inc. (a) 165,217
16,432 Western Digital Corp. (a) 806,811
---------------
3,098,985
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.4%
3,094 Carter's, Inc. 252,099
4,062 Columbia Sportswear Co. 300,629
14,127 Hanesbrands, Inc. 157,940
5,139 Levi Strauss & Co., Class A 97,230
1,890 Oxford Industries, Inc. 180,306
6,387 PVH Corp. 395,483
2,432 Ralph Lauren Corp. 239,868
10,214 Skechers U.S.A., Inc.,
Class A (a) 387,723
2,381 Tapestry, Inc. 80,073
9,743 VF Corp. 435,317
---------------
2,526,668
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.6%
3,443 Axos Financial, Inc. (a) 143,780
4,481 Capitol Federal Financial, Inc. 42,973
9,342 Essent Group Ltd. 390,122
28,842 MGIC Investment Corp. 407,826
5,706 Mr. Cooper Group, Inc. (a) 257,055
31,843 New York Community Bancorp,
Inc. 338,173
Page 68 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
12,592 NMI Holdings, Inc., Class A (a) $ 238,492
4,797 PennyMac Financial Services,
Inc. 262,827
5,545 Provident Financial Services,
Inc. 135,076
18,494 Radian Group, Inc. 413,711
3,079 WSFS Financial Corp. 146,930
---------------
2,776,965
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 2.0%
8,697 Air Lease Corp. 322,746
872 Applied Industrial Technologies,
Inc. 87,714
2,830 Beacon Roofing Supply, Inc. (a) 169,857
3,524 Boise Cascade Co. 249,182
1,311 GATX Corp. 131,428
4,260 H&E Equipment Services, Inc. 152,295
1,104 McGrath RentCorp 93,133
1,935 MSC Industrial Direct Co., Inc.,
Class A 159,947
3,480 Rush Enterprises, Inc., Class A 167,701
6,902 Triton International Ltd. 442,280
3,033 United Rentals, Inc. (a) 978,658
11,690 Univar Solutions, Inc. (a) 316,098
2,714 WESCO International, Inc. (a) 346,958
---------------
3,617,997
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.3%
13,278 Telephone and Data Systems,
Inc. 209,925
1,066 T-Mobile US, Inc. (a) 152,502
7,240 United States Cellular Corp. (a) 212,060
---------------
574,487
---------------
TOTAL COMMON STOCKS
-- 99.9% 176,765,633
(Cost $181,330,736) ---------------
MONEY MARKET FUNDS -- 0.4%
466,828 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 466,828
133,856 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 133,856
---------------
TOTAL MONEY MARKET FUNDS
-- 0.4% 600,684
(Cost $600,684) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.2%
$ 411,236 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$411,310. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $419,953. (d) $ 411,236
(Cost $411,236) ---------------
TOTAL INVESTMENTS -- 100.5% 177,777,553
(Cost $182,342,656)
NET OTHER ASSETS AND
LIABILITIES -- (0.5)% (883,649)
---------------
NET ASSETS -- 100.0% $ 176,893,904
===============
(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 $870,126 and the
total value of the collateral held by the Fund is $878,064.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
See Notes to Financial Statements Page 69
<PAGE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
---------------------------------
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) $ 870,126
Non-cash Collateral(2) (870,126)
---------------
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, 2022, 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) $ 411,236
Non-cash Collateral(4) (411,236)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 176,765,633 $ 176,765,633 $ -- $ --
Money Market Funds.............................. 600,684 600,684 -- --
Repurchase Agreements........................... 411,236 -- 411,236 --
-----------------------------------------------------------------------------
Total Investments............................... $ 177,777,553 $ 177,366,317 $ 411,236 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 70 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 0.6%
4,525 HEICO Corp. $ 713,638
553 TransDigm Group, Inc. (a) 344,154
---------------
1,057,792
---------------
AIR FREIGHT & LOGISTICS -- 1.3%
7,609 Expeditors International of
Washington, Inc. 808,456
3,271 FedEx Corp. 762,438
2,295 Forward Air Corp. 240,814
3,250 United Parcel Service, Inc.,
Class B 633,393
---------------
2,445,101
---------------
AIRLINES -- 0.2%
23,082 American Airlines Group,
Inc. (a) 316,454
---------------
AUTO COMPONENTS -- 0.4%
1,924 Dorman Products, Inc. (a) 194,497
1,817 Fox Factory Holding Corp. (a) 171,997
1,991 Gentherm, Inc. (a) 128,539
2,705 XPEL, Inc. (a) (b) 165,790
---------------
660,823
---------------
AUTOMOBILES -- 0.2%
441 Tesla, Inc. (a) 393,129
---------------
BANKS -- 1.7%
4,325 Bancorp (The), Inc. (a) 106,395
3,665 Customers Bancorp, Inc. (a) 139,966
3,727 First Financial Bankshares, Inc. 164,659
2,057 First Republic Bank 334,694
1,871 Lakeland Financial Corp. 145,564
1,222 Live Oak Bancshares, Inc. 45,996
8,310 OFG Bancorp 228,276
31,642 Regions Financial Corp. 670,178
2,782 ServisFirst Bancshares, Inc. 237,722
2,823 Stock Yards Bancorp, Inc. 195,210
366 SVB Financial Group (a) 147,699
1,350 Triumph Bancorp, Inc. (a) 98,078
2,550 UMB Financial Corp. 230,775
2,885 Veritex Holdings, Inc. 89,262
3,109 Western Alliance Bancorp 237,465
---------------
3,071,939
---------------
BEVERAGES -- 1.8%
3,234 Celsius Holdings, Inc. (a) 287,697
11,788 Coca-Cola (The) Co. 756,436
649 Coca-Cola Consolidated, Inc. 332,937
8,018 Duckhorn Portfolio (The),
Inc. (a) 147,050
2,109 MGP Ingredients, Inc. 221,824
8,000 Monster Beverage Corp. (a) 796,960
4,450 PepsiCo, Inc. 778,572
---------------
3,321,476
---------------
BIOTECHNOLOGY -- 5.3%
4,842 AbbVie, Inc. 694,875
2,940 ACADIA Pharmaceuticals,
Inc. (a) 43,189
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BIOTECHNOLOGY (CONTINUED)
12,281 Alkermes PLC (a) $ 314,394
3,633 Allogene Therapeutics, Inc. (a) 47,156
2,971 Alnylam Pharmaceuticals,
Inc. (a) 422,001
15,722 Amicus Therapeutics, Inc. (a) 156,591
1,618 Apellis Pharmaceuticals, Inc. (a) 91,061
6,664 Arcus Biosciences, Inc. (a) 177,196
2,078 Arrowhead Pharmaceuticals,
Inc. (a) 88,377
11,744 BioCryst Pharmaceuticals,
Inc. (a) 129,419
9,298 Bridgebio Pharma, Inc. (a) 80,521
1,928 CareDx, Inc. (a) 45,867
1,536 Celldex Therapeutics, Inc. (a) 47,186
3,407 ChemoCentryx, Inc. (a) 80,473
4,816 CRISPR Therapeutics AG (a) 361,200
4,298 Cytokinetics, Inc. (a) 181,934
16,765 Dynavax Technologies Corp. (a) 241,081
5,285 Global Blood Therapeutics,
Inc. (a) 172,925
8,315 Halozyme Therapeutics, Inc. (a) 406,603
5,432 Horizon Therapeutics PLC (a) 450,693
11,134 ImmunityBio, Inc. (a) (c) 43,311
2,100 Insmed, Inc. (a) 46,452
14,645 Ironwood Pharmaceuticals,
Inc. (a) 167,685
19,057 Lyell Immunopharma, Inc. (a) (c) 106,147
1,090 Mirati Therapeutics, Inc. (a) 70,196
3,033 Moderna, Inc. (a) 497,685
2,065 Natera, Inc. (a) 97,055
3,002 Neurocrine Biosciences, Inc. (a) 282,578
4,402 Prometheus Biosciences, Inc. (a) 187,833
3,110 Prothena Corp. PLC (a) 96,597
5,269 PTC Therapeutics, Inc. (a) 229,465
10,372 Recursion Pharmaceuticals, Inc.,
Class A (a) 87,747
1,255 Regeneron Pharmaceuticals,
Inc. (a) 730,021
2,125 REVOLUTION Medicines,
Inc. (a) 48,004
1,282 Sage Therapeutics, Inc. (a) 44,114
3,905 Sarepta Therapeutics, Inc. (a) 362,970
2,449 Seagen, Inc. (a) 440,771
6,969 Travere Therapeutics, Inc. (a) 164,050
1,553 United Therapeutics Corp. (a) 358,852
4,243 Veracyte, Inc. (a) 111,761
1,645 Vericel Corp. (a) 53,528
2,632 Vertex Pharmaceuticals, Inc. (a) 738,039
11,491 Vir Biotechnology, Inc. (a) 319,565
6,169 Xencor, Inc. (a) 176,989
---------------
9,694,157
---------------
BUILDING PRODUCTS -- 1.9%
4,014 A.O. Smith Corp. 253,966
2,269 AAON, Inc. 136,526
2,437 Advanced Drainage Systems,
Inc. 289,028
2,242 Allegion PLC 236,979
See Notes to Financial Statements Page 71
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BUILDING PRODUCTS (CONTINUED)
1,952 Armstrong World Industries,
Inc. $ 174,411
4,371 AZEK (The) Co., Inc. (a) 90,392
6,813 Builders FirstSource, Inc. (a) 463,284
1,533 Carlisle Cos., Inc. 453,921
2,049 CSW Industrials, Inc. 244,794
2,444 Fortune Brands Home &
Security, Inc. 170,298
5,085 Hayward Holdings, Inc. (a) 59,342
23,375 Janus International Group,
Inc. (a) 237,724
3,016 Johnson Controls International
PLC 162,593
708 Lennox International, Inc. 169,587
2,909 Simpson Manufacturing Co.,
Inc. 300,442
1,345 Trex Co., Inc. (a) 86,779
---------------
3,530,066
---------------
CAPITAL MARKETS -- 3.8%
1,883 Affiliated Managers Group, Inc. 237,973
3,861 Ares Management Corp.,
Class A 276,641
3,493 Artisan Partners Asset
Management, Inc., Class A 138,882
6,620 AssetMark Financial Holdings,
Inc. (a) 125,714
980 B. Riley Financial, Inc. 50,509
3,252 Blackstone, Inc. 331,932
9,370 Carlyle Group (The), Inc. 364,587
2,586 Cboe Global Markets, Inc. 319,061
4,695 Charles Schwab (The) Corp. 324,190
1,449 CME Group, Inc. 289,046
2,301 Cohen & Steers, Inc. 169,561
3,071 Coinbase Global, Inc.,
Class A (a) (c) 193,350
1,127 FactSet Research Systems, Inc. 484,249
2,479 Focus Financial Partners, Inc.,
Class A (a) 100,226
9,587 Golub Capital BDC, Inc. (c) 134,601
617 Hamilton Lane, Inc., Class A 46,627
4,635 Houlihan Lokey, Inc. 391,936
1,330 Interactive Brokers Group, Inc.,
Class A 78,058
1,536 Intercontinental Exchange, Inc. 156,657
9,360 KKR & Co., Inc. 519,106
4,291 Moelis & Co., Class A 199,875
908 Morningstar, Inc. 231,858
350 MSCI, Inc. 168,469
1,945 Nasdaq, Inc. 351,850
3,075 Northern Trust Corp. 306,823
4,049 Open Lending Corp., Class A (a) 41,948
1,490 Piper Sandler Cos. 188,038
3,003 PJT Partners, Inc., Class A 214,654
3,243 StepStone Group, Inc., Class A 86,393
1,072 Tradeweb Markets, Inc., Class A 75,597
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
5,156 Victory Capital Holdings, Inc.,
Class A $ 142,666
727 Virtus Investment Partners, Inc. 149,995
---------------
6,891,072
---------------
CHEMICALS -- 1.8%
2,256 Balchem Corp. 306,275
8,650 CF Industries Holdings, Inc. 825,988
12,792 Diversey Holdings Ltd. (a) 95,812
16,443 Element Solutions, Inc. 324,914
7,905 Olin Corp. 413,194
831 Quaker Chemical Corp. 134,797
3,718 RPM International, Inc. 336,107
2,096 Sensient Technologies Corp. 180,214
1,325 Sherwin-Williams (The) Co. 320,570
12,690 Valvoline, Inc. 408,872
---------------
3,346,743
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.8%
3,477 Brink's (The) Co. 197,981
4,027 Casella Waste Systems, Inc.,
Class A (a) 325,986
2,170 Cimpress PLC (a) 87,212
1,588 Cintas Corp. 675,678
3,987 Copart, Inc. (a) 510,735
13,285 Driven Brands Holdings, Inc. (a) 403,598
6,699 IAA, Inc. (a) 252,753
5,667 Republic Services, Inc. 785,786
16,990 Rollins, Inc. 655,304
2,143 Tetra Tech, Inc. 328,458
4,848 Waste Management, Inc. 797,787
---------------
5,021,278
---------------
COMMUNICATIONS EQUIPMENT
-- 1.1%
3,164 Arista Networks, Inc. (a) 369,017
2,473 Calix, Inc. (a) 141,060
3,202 Ciena Corp. (a) 165,223
13,796 CommScope Holding Co.,
Inc. (a) 124,578
13,930 Extreme Networks, Inc. (a) 182,204
478 F5, Inc. (a) 79,998
7,727 Infinera Corp. (a) 50,612
2,764 Lumentum Holdings, Inc. (a) 250,032
2,067 Motorola Solutions, Inc. 493,166
2,756 Viasat, Inc. (a) 90,755
---------------
1,946,645
---------------
CONSTRUCTION & ENGINEERING
-- 0.7%
1,853 Ameresco, Inc., Class A (a) 106,028
2,539 Comfort Systems USA, Inc. 268,271
2,395 MYR Group, Inc. (a) 228,076
1,808 NV5 Global, Inc. (a) 245,165
9,028 WillScot Mobile Mini Holdings
Corp. (a) 348,571
---------------
1,196,111
---------------
Page 72 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION MATERIALS -- 0.4%
1,997 Eagle Materials, Inc. $ 252,521
991 Martin Marietta Materials, Inc. 348,911
3,142 Summit Materials, Inc.,
Class A (a) 86,436
---------------
687,868
---------------
CONSUMER FINANCE -- 0.6%
618 Credit Acceptance Corp. (a) (c) 355,913
3,654 Encore Capital Group, Inc. (a) 264,659
5,859 Enova International, Inc. (a) 202,194
10,629 LendingClub Corp. (a) 147,212
3,417 PRA Group, Inc. (a) 136,133
---------------
1,106,111
---------------
CONTAINERS & PACKAGING -- 0.6%
3,665 Avery Dennison Corp. 698,036
6,338 Sealed Air Corp. 387,378
---------------
1,085,414
---------------
DISTRIBUTORS -- 0.2%
1,233 Pool Corp. 441,044
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
2,921 Coursera, Inc. (a) 40,573
10,358 H&R Block, Inc. 413,906
6,725 Mister Car Wash, Inc. (a) 78,010
5,293 Service Corp. International 394,117
11,902 Vivint Smart Home, Inc. (a) 56,891
---------------
983,497
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.1%
7,883 Compass Diversified Holdings 190,217
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.3%
2,045 Cogent Communications
Holdings, Inc. 130,492
68,641 Globalstar, Inc. (a) 96,097
7,793 Iridium Communications,
Inc. (a) 348,425
---------------
575,014
---------------
ELECTRIC UTILITIES -- 0.6%
2,712 MGE Energy, Inc. 220,702
7,659 NextEra Energy, Inc. 647,109
3,144 Otter Tail Corp. 220,929
---------------
1,088,740
---------------
ELECTRICAL EQUIPMENT -- 1.0%
1,425 Acuity Brands, Inc. 259,920
15,337 Array Technologies, Inc. (a) 258,428
4,407 Atkore, Inc. (a) 437,483
5,117 Bloom Energy Corp., Class A (a) 103,517
5,345 ChargePoint Holdings,
Inc. (a) (c) 80,763
2,031 Encore Wire Corp. 281,233
11,045 FuelCell Energy, Inc. (a) 39,651
686 Generac Holdings, Inc. (a) 184,054
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRICAL EQUIPMENT (CONTINUED)
2,513 Shoals Technologies Group, Inc.,
Class A (a) $ 59,382
5,785 Stem, Inc. (a) 65,544
757 Vicor Corp. (a) 55,231
---------------
1,825,206
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.2%
1,703 Advanced Energy Industries,
Inc. 152,401
9,215 Amphenol Corp., Class A 710,753
1,536 Badger Meter, Inc. 147,748
3,962 Belden, Inc. 256,421
2,152 Keysight Technologies, Inc. (a) 349,915
1,440 Littelfuse, Inc. 401,573
491 Zebra Technologies Corp.,
Class A (a) 175,626
---------------
2,194,437
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.6%
4,193 Cactus, Inc., Class A 174,387
14,745 ChampionX Corp. 308,023
13,393 Patterson-UTI Energy, Inc. 221,654
4,997 Valaris Ltd. (a) 250,749
7,976 Weatherford International
PLC (a) 184,485
---------------
1,139,298
---------------
ENTERTAINMENT -- 0.8%
5,400 AMC Entertainment Holdings,
Inc., Class A (a) (c) 78,624
11,684 Liberty Media Corp.-Liberty
Formula One, Class C (a) 791,825
1,398 Madison Square Garden Sports
Corp. (a) 214,984
33,402 Skillz, Inc. (a) 52,775
3,004 Warner Music Group Corp.,
Class A 90,120
3,378 World Wrestling Entertainment,
Inc., Class A 234,129
---------------
1,462,457
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.4%
4,058 Agree Realty Corp. 322,976
6,922 Alexander & Baldwin, Inc. 137,817
4,129 American Homes 4 Rent,
Class A 156,407
2,321 American Tower Corp. 628,596
1,759 Apartment Income REIT Corp. 79,753
743 AvalonBay Communities, Inc. 158,957
7,241 Brixmor Property Group, Inc. 167,846
8,233 Broadstone Net Lease, Inc. 186,642
1,074 Camden Property Trust 151,541
6,738 CareTrust REIT, Inc. 139,140
1,524 Centerspace 130,896
2,503 Cousins Properties, Inc. 77,218
1,762 Crown Castle International Corp. 318,323
3,426 CubeSmart 157,151
See Notes to Financial Statements Page 73
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
2,285 Digital Realty Trust, Inc. $ 302,648
7,884 Duke Realty Corp. 493,223
6,526 Easterly Government Properties,
Inc. 132,282
474 EastGroup Properties, Inc. 80,836
451 Equinix, Inc. 317,387
6,148 Equity LifeStyle Properties, Inc. 452,001
2,000 Equity Residential 156,780
5,782 Essential Properties Realty
Trust, Inc. 139,462
1,744 Extra Space Storage, Inc. 330,523
1,528 Federal Realty Investment Trust 161,372
1,541 First Industrial Realty Trust,
Inc. 80,055
4,673 Four Corners Property Trust,
Inc. 136,592
4,787 Gaming and Leisure Properties,
Inc. 248,876
8,070 Healthcare Realty Trust, Inc., 211,838
2,140 Highwoods Properties, Inc. 76,120
4,073 Independence Realty Trust, Inc. 90,421
6,547 InvenTrust Properties Corp. (c) 187,703
8,337 Invitation Homes, Inc. 325,393
6,011 Iron Mountain, Inc. 291,473
7,305 Kimco Realty Corp. 161,514
4,232 Kite Realty Group Trust 84,174
1,663 Lamar Advertising Co., Class A 168,063
1,311 Life Storage, Inc. 165,042
4,792 Medical Properties Trust, Inc. 82,614
1,698 Mid-America Apartment
Communities, Inc. 315,370
5,105 National Retail Properties, Inc. 243,049
2,923 National Storage Affiliates
Trust 160,297
1,365 NexPoint Residential Trust, Inc. 90,827
2,812 PotlatchDeltic Corp. 137,872
949 Public Storage 309,763
9,787 Rayonier, Inc. 369,459
2,467 Regency Centers Corp. 158,949
5,350 Retail Opportunity Investments
Corp. 93,411
2,541 Rexford Industrial Realty, Inc. 166,207
4,812 Ryman Hospitality Properties,
Inc. (a) 426,054
1,354 SBA Communications Corp. 454,660
9,224 SITE Centers Corp. 134,763
3,723 Sun Communities, Inc. 610,423
1,313 Terreno Realty Corp. 82,259
8,963 Uniti Group, Inc. 89,361
8,169 Urban Edge Properties 134,217
6,377 Veris Residential, Inc. (a) 88,959
---------------
11,755,555
---------------
FOOD & STAPLES RETAILING -- 0.8%
10,954 Albertsons Cos., Inc., Class A 294,115
5,871 BJ's Wholesale Club Holdings,
Inc. (a) 397,467
1,547 Costco Wholesale Corp. 837,391
---------------
1,528,973
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS -- 0.7%
3,447 Hershey (The) Co. $ 785,778
9,952 Hostess Brands, Inc. (a) 225,114
5,588 Simply Good Foods (The)
Co. (a) 182,281
---------------
1,193,173
---------------
GAS UTILITIES -- 0.3%
1,303 Chesapeake Utilities Corp. 178,681
5,539 National Fuel Gas Co. 400,691
---------------
579,372
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 3.2%
5,460 Abbott Laboratories 594,266
296 ABIOMED, Inc. (a) 86,731
1,014 AtriCure, Inc. (a) 50,102
2,980 Axonics, Inc. (a) 193,313
764 CONMED Corp. 74,589
461 Cooper (The) Cos., Inc. 150,747
2,725 CryoPort, Inc. (a) 101,370
3,120 Edwards Lifesciences Corp. (a) 313,685
2,607 Globus Medical, Inc.,
Class A (a) 153,005
438 Heska Corp. (a) 40,073
8,561 Hologic, Inc. (a) 611,084
1,827 Inari Medical, Inc. (a) 141,739
1,202 Inspire Medical Systems,
Inc. (a) 251,206
663 Insulet Corp. (a) 164,291
4,063 Integra LifeSciences Holdings
Corp. (a) 223,628
1,150 iRhythm Technologies, Inc. (a) 177,824
3,197 Lantheus Holdings, Inc. (a) 245,274
560 Masimo Corp. (a) 80,965
3,111 Merit Medical Systems, Inc. (a) 178,820
414 Mesa Laboratories, Inc. 88,286
1,053 Novocure Ltd. (a) 71,593
1,286 Omnicell, Inc. (a) 141,614
3,012 QuidelOrtho Corp. (a) 307,344
689 ResMed, Inc. 165,718
1,914 Shockwave Medical, Inc. (a) 403,720
1,190 STAAR Surgical Co. (a) 96,033
2,878 STERIS PLC 649,421
---------------
5,756,441
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.4%
5,283 1Life Healthcare, Inc. (a) 89,494
11,700 AdaptHealth Corp. (a) 258,687
8,233 Agiliti, Inc. (a) 180,220
10,056 agilon health, Inc. (a) 251,702
14,799 Alignment Healthcare, Inc. (a) 217,249
3,335 AMN Healthcare Services,
Inc. (a) 374,987
2,188 Apollo Medical Holdings,
Inc. (a) 116,030
623 Chemed Corp. 299,719
1,147 CorVel Corp. (a) 189,129
1,765 HCA Healthcare, Inc. 374,921
7,449 LifeStance Health Group,
Inc. (a) 44,396
Page 74 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
4,451 Oak Street Health, Inc. (a) $ 128,857
13,165 Option Care Health, Inc. (a) 442,344
1,426 Progyny, Inc. (a) 43,536
10,473 R1 RCM, Inc. (a) 261,825
4,886 RadNet, Inc. (a) 100,505
1,432 Surgery Partners, Inc. (a) 56,392
2,784 Tenet Healthcare Corp. (a) 184,078
1,444 UnitedHealth Group, Inc. 783,139
---------------
4,397,210
---------------
HEALTH CARE TECHNOLOGY -- 0.5%
6,819 Certara, Inc. (a) 156,769
2,425 Doximity, Inc., Class A (a) 102,626
6,873 Evolent Health, Inc.,
Class A (a) 233,613
3,376 Phreesia, Inc. (a) 79,302
1,568 Schrodinger, Inc. (a) 49,079
1,498 Veeva Systems, Inc., Class A (a) 334,923
---------------
956,312
---------------
HOTELS, RESTAURANTS & LEISURE
-- 3.4%
5,883 Boyd Gaming Corp. 326,565
3,771 Caesars Entertainment, Inc. (a) 172,297
331 Chipotle Mexican Grill, Inc. (a) 517,757
2,622 Choice Hotels International,
Inc. 316,921
1,528 Churchill Downs, Inc. 320,575
1,112 Domino's Pizza, Inc. 436,026
10,353 Everi Holdings, Inc. (a) 198,881
1,506 Jack in the Box, Inc. 104,125
3,114 Light & Wonder, Inc. (a) 158,627
3,004 McDonald's Corp. 791,164
6,580 Norwegian Cruise Line
Holdings Ltd. (a) 79,947
1,752 Papa John's International, Inc. 167,999
3,228 Planet Fitness, Inc.,
Class A (a) 254,399
3,725 Red Rock Resorts, Inc., Class A 146,504
4,137 Royal Caribbean Cruises Ltd. (a) 160,143
4,969 SeaWorld Entertainment, Inc. (a) 237,170
3,891 Six Flags Entertainment
Corp. (a) 88,209
5,672 Starbucks Corp. 480,872
11,627 Wendy's (The) Co. 244,516
4,454 Wyndham Hotels & Resorts, Inc. 309,152
5,227 Yum! Brands, Inc. 640,517
---------------
6,152,366
---------------
HOUSEHOLD DURABLES -- 0.8%
862 Cavco Industries, Inc. (a) 222,215
2,030 Installed Building Products,
Inc. 205,882
6,172 Skyline Champion Corp. (a) 390,688
4,680 Sonos, Inc. (a) 103,475
6,848 Tempur Sealy International, Inc. 188,183
1,751 TopBuild Corp. (a) 370,722
---------------
1,481,165
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.9%
6,403 Church & Dwight Co., Inc. $ 563,272
4,383 Energizer Holdings, Inc. 129,430
4,126 Procter & Gamble (The) Co. 573,143
2,059 Spectrum Brands Holdings, Inc. 143,183
839 WD-40 Co. 148,813
---------------
1,557,841
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.3%
10,501 Clearway Energy, Inc., Class C 394,207
4,581 Sunnova Energy International,
Inc. (a) 119,198
---------------
513,405
---------------
INSURANCE -- 1.8%
2,200 Aon PLC, Class A 640,288
3,639 Arthur J. Gallagher & Co. 651,345
92,779 Bright Health Group,
Inc. (a) (c) 155,869
7,426 Brown & Brown, Inc. 483,433
6,992 BRP Group, Inc., Class A (a) 192,769
1,593 Kinsale Capital Group, Inc. 387,433
4,777 Marsh & McLennan Cos., Inc. 783,237
1,214 Trupanion, Inc. (a) 76,518
---------------
3,370,892
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.5%
3,980 Alphabet, Inc., Class A (a) 462,954
5,782 Cargurus, Inc. (a) 140,445
16,768 fuboTV, Inc. (a) 42,088
896 Meta Platforms, Inc.,
Class A (a) 142,554
723 Shutterstock, Inc. 40,849
8,384 ZipRecruiter, Inc., Class A (a) 146,971
---------------
975,861
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.2%
4,215 Chewy, Inc., Class A (a) (c) 163,584
1,598 Revolve Group, Inc. (a) 45,256
3,662 Xometry, Inc., Class A (a) (c) 139,156
---------------
347,996
---------------
IT SERVICES -- 4.4%
2,137 Accenture PLC, Class A 654,478
1,581 Akamai Technologies, Inc. (a) 152,124
2,825 Automatic Data Processing, Inc. 681,164
2,557 BigCommerce Holdings, Inc.,
Series 1 (a) 40,017
4,162 Broadridge Financial Solutions,
Inc. 668,209
2,158 Concentrix Corp. 288,654
14,891 Cyxtera Technologies, Inc. (a) 181,521
1,769 DigitalOcean Holdings, Inc. (a) 72,494
1,470 EPAM Systems, Inc. (a) 513,398
3,369 EVERTEC, Inc. 131,357
2,483 ExlService Holdings, Inc. (a) 418,063
2,349 Flywire Corp. (a) 55,108
2,453 Gartner, Inc. (a) 651,222
4,208 GoDaddy, Inc., Class A (a) 312,149
See Notes to Financial Statements Page 75
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
10,039 Grid Dynamics Holdings,
Inc. (a) $ 189,436
1,626 Jack Henry & Associates, Inc. 337,834
5,107 Marqeta, Inc., Class A (a) 48,976
1,373 Mastercard, Inc., Class A 485,754
3,805 Paychex, Inc. 488,105
10,566 Payoneer Global, Inc. (a) 56,422
1,842 Perficient, Inc. (a) 194,368
6,570 Repay Holdings Corp. (a) 88,038
21,313 Sabre Corp. (a) 131,075
2,554 Shift4 Payments, Inc.,
Class A (a) 93,042
4,036 Squarespace, Inc., Class A (a) 85,846
2,487 SS&C Technologies Holdings,
Inc. 147,156
1,830 TTEC Holdings, Inc. 133,901
13,435 Verra Mobility Corp. (a) 221,543
2,201 Visa, Inc., Class A 466,854
---------------
7,988,308
---------------
LEISURE PRODUCTS -- 0.0%
1,691 YETI Holdings, Inc. (a) 85,852
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 3.2%
2,498 Agilent Technologies, Inc. 334,982
13,931 Avantor, Inc. (a) 404,278
1,015 Azenta, Inc. 69,284
4,664 Bruker Corp. 319,717
675 Charles River Laboratories
International, Inc. (a) 169,114
1,709 Danaher Corp. 498,122
2,734 IQVIA Holdings, Inc. (a) 656,898
5,151 Maravai LifeSciences Holdings,
Inc., Class A (a) 134,389
1,956 Medpace Holdings, Inc. (a) 331,601
258 Mettler-Toledo International,
Inc. (a) 348,230
2,086 PerkinElmer, Inc. 319,513
901 Repligen Corp. (a) 192,237
11,205 Sotera Health Co. (a) 215,136
4,083 Syneos Health, Inc. (a) 323,129
1,092 Thermo Fisher Scientific, Inc. 653,464
1,793 Waters Corp. (a) 652,706
478 West Pharmaceutical Services,
Inc. 164,222
---------------
5,787,022
---------------
MACHINERY -- 3.6%
3,343 Crane Holdings Co. 330,723
1,447 Deere & Co. 496,582
2,445 Dover Corp. 326,848
2,061 EnPro Industries, Inc. 192,662
4,501 Evoqua Water Technologies
Corp. (a) 171,533
4,994 Franklin Electric Co., Inc. 453,555
2,463 Graco, Inc. 165,415
2,549 Helios Technologies, Inc. 175,422
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
5,153 Hillenbrand, Inc. $ 238,069
3,266 IDEX Corp. 681,778
2,377 Illinois Tool Works, Inc. 493,846
7,049 Ingersoll Rand, Inc. 351,040
1,158 Kadant, Inc. 236,058
1,589 Lindsay Corp. 244,642
1,751 Middleby (The) Corp. (a) 253,352
3,961 Mueller Industries, Inc. 266,694
1,084 Nordson Corp. 250,393
8,395 Otis Worldwide Corp. 656,237
4,542 Shyft Group (The), Inc. 117,820
2,896 Toro (The) Co. 249,027
1,787 Watts Water Technologies, Inc.,
Class A 246,838
---------------
6,598,534
---------------
MEDIA -- 1.4%
7,910 Altice USA, Inc., Class A (a) 83,134
170 Cable One, Inc. 234,036
925 Charter Communications, Inc.,
Class A (a) 399,693
38,708 Clear Channel Outdoor
Holdings, Inc. (a) 59,997
5,249 iHeartMedia, Inc., Class A (a) 39,263
4,171 Integral Ad Science Holding
Corp. (a) 39,499
2,565 Liberty Broadband Corp.,
Class C (a) 279,405
9,508 Magnite, Inc. (a) 72,641
2,246 Nexstar Media Group, Inc.,
Class A 423,079
6,091 Sinclair Broadcast Group, Inc.,
Class A 133,027
96,784 Sirius XM Holdings, Inc. (c) 646,517
9,273 WideOpenWest, Inc. (a) 170,438
---------------
2,580,729
---------------
METALS & MINING -- 1.3%
6,421 Alcoa Corp. 326,765
14,282 Cleveland-Cliffs, Inc. (a) 252,934
1,170 Compass Minerals International,
Inc. 43,559
14,807 Freeport-McMoRan, Inc. 467,161
4,562 MP Materials Corp. (a) 153,146
7,103 Nucor Corp. 964,588
1,370 Royal Gold, Inc. 143,535
---------------
2,351,688
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.1%
6,440 Arbor Realty Trust, Inc. 107,033
1,094 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 39,482
---------------
146,515
---------------
MULTILINE RETAIL -- 0.3%
1,659 Dillard's, Inc., Class A 377,173
6,019 Franchise Group, Inc. 198,206
---------------
575,379
---------------
Page 76 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
-- 9.4%
24,256 Antero Midstream Corp. $ 244,015
11,937 Antero Resources Corp. (a) 473,183
10,483 APA Corp. 389,653
1,475 Arch Resources, Inc. 190,482
4,308 Callon Petroleum Co. (a) 198,340
35,296 Centennial Resource
Development, Inc.,
Class A (a) 235,071
5,575 Cheniere Energy, Inc. 833,909
1,735 Chord Energy Corp. 222,496
6,997 Civitas Resources, Inc. 412,543
17,473 Comstock Resources, Inc. (a) 278,345
8,257 ConocoPhillips 804,480
2,815 Denbury, Inc. (a) 202,427
13,457 Devon Energy Corp. 845,772
6,121 Diamondback Energy, Inc. 783,610
5,971 DT Midstream, Inc. 328,584
2,558 Enviva, Inc. 178,114
6,715 EOG Resources, Inc. 746,842
10,635 EQT Corp. 468,259
13,275 Equitrans Midstream Corp. 104,209
7,000 Hess Corp. 787,290
34,099 Kosmos Energy Ltd. (a) 216,188
17,430 Magnolia Oil & Gas Corp.,
Class A 420,586
32,989 Marathon Oil Corp. 818,127
7,853 Matador Resources Co. 453,746
12,119 Murphy Oil Corp. 425,862
8,356 Northern Oil and Gas, Inc. 240,904
12,595 Occidental Petroleum Corp. 828,121
13,362 ONEOK, Inc. 798,246
8,279 Ovintiv, Inc. 422,974
5,938 PDC Energy, Inc. 390,067
3,324 Pioneer Natural Resources Co. 787,622
14,782 Range Resources Corp. (a) 488,841
10,701 SM Energy Co. 441,737
6,131 Targa Resources Corp. 423,713
246 Texas Pacific Land Corp. 451,127
23,762 Williams (The) Cos., Inc. 810,047
---------------
17,145,532
---------------
PAPER & FOREST PRODUCTS -- 0.2%
5,585 Louisiana-Pacific Corp. 355,374
---------------
PERSONAL PRODUCTS -- 0.5%
9,662 Beauty Health (The) Co. (a) 128,698
6,880 elf Beauty, Inc. (a) 230,686
567 Estee Lauder (The) Cos., Inc.,
Class A 154,848
2,311 Inter Parfums, Inc. 192,899
1,169 Medifast, Inc. 196,614
---------------
903,745
---------------
PHARMACEUTICALS -- 2.3%
9,631 Bristol-Myers Squibb Co. 710,575
6,912 Catalent, Inc. (a) 781,747
2,287 Eli Lilly & Co. 754,001
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
4,328 Harmony Biosciences Holdings,
Inc. (a) $ 219,560
6,410 Intra-Cellular Therapies,
Inc. (a) 346,909
2,896 Pacira BioSciences, Inc. (a) 163,798
14,145 Pfizer, Inc. 714,464
3,590 Prestige Consumer Healthcare,
Inc. (a) 216,513
1,726 Zoetis, Inc. 315,081
---------------
4,222,648
---------------
PROFESSIONAL SERVICES -- 1.1%
5,282 CBIZ, Inc. (a) 240,965
2,391 CoStar Group, Inc. (a) 173,563
14,605 Dun & Bradstreet Holdings,
Inc. (a) 230,175
2,400 Exponent, Inc. 241,176
6,664 First Advantage Corp. (a) 93,496
3,441 Kforce, Inc. 226,590
7,682 Legalzoom.com, Inc. (a) 80,507
2,931 Robert Half International, Inc. 231,959
1,805 TransUnion 143,010
4,083 Upwork, Inc. (a) 75,780
1,714 Verisk Analytics, Inc. 326,089
---------------
2,063,310
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.5%
11,473 Compass, Inc., Class A (a) (c) 43,827
8,487 DigitalBridge Group, Inc. (a) 46,509
6,217 eXp World Holdings, Inc. 92,385
6,560 Kennedy-Wilson Holdings, Inc. 135,529
5,706 Marcus & Millichap, Inc. 233,489
12,849 Newmark Group, Inc., Class A 146,479
5,027 Redfin Corp. (a) 43,735
3,141 St. Joe (The) Co. 131,985
---------------
873,938
---------------
ROAD & RAIL -- 2.2%
459 AMERCO 246,520
3,000 ArcBest Corp. 265,800
2,487 Avis Budget Group, Inc. (a) 452,709
14,909 CSX Corp. 482,008
3,768 J.B. Hunt Transport Services,
Inc. 690,561
2,516 Landstar System, Inc. 393,955
5,510 Lyft, Inc., Class A (a) 76,368
2,315 Old Dominion Freight Line, Inc. 702,626
1,168 Saia, Inc. (a) 277,809
2,031 Union Pacific Corp. 461,646
---------------
4,050,002
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.5%
5,017 ACM Research, Inc., Class A (a) 84,687
3,537 Allegro MicroSystems, Inc. (a) 87,824
1,587 Applied Materials, Inc. 168,190
3,079 Axcelis Technologies, Inc. (a) 216,546
611 Broadcom, Inc. 327,178
3,400 Diodes, Inc. (a) 276,658
See Notes to Financial Statements Page 77
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
3,798 Enphase Energy, Inc. (a) $ 1,079,316
1,567 Entegris, Inc. 172,213
4,360 FormFactor, Inc. (a) 155,042
2,878 Impinj, Inc. (a) 244,688
930 KLA Corp. 356,692
3,017 Lattice Semiconductor Corp. (a) 185,545
2,153 MaxLinear, Inc. (a) 87,003
2,486 Microchip Technology, Inc. 171,186
713 MKS Instruments, Inc. 84,277
1,128 Monolithic Power Systems, Inc. 524,204
2,004 NXP Semiconductors N.V. 368,495
11,793 ON Semiconductor Corp. (a) 787,537
4,197 Onto Innovation, Inc. (a) 349,400
3,902 Power Integrations, Inc. 331,709
4,644 QUALCOMM, Inc. 673,659
5,782 Rambus, Inc. (a) 146,169
2,662 Semtech Corp. (a) 165,922
1,044 Silicon Laboratories, Inc. (a) 153,969
898 SiTime Corp. (a) 167,010
2,820 Texas Instruments, Inc. 504,470
4,174 Ultra Clean Holdings, Inc. (a) 140,246
6,405 Veeco Instruments, Inc. (a) 139,629
---------------
8,149,464
---------------
SOFTWARE -- 4.9%
2,009 Alarm.com Holdings, Inc. (a) 142,177
789 Altair Engineering, Inc.,
Class A (a) 46,480
1,744 Alteryx, Inc., Class A (a) 84,462
875 Appian Corp. (a) 42,464
2,197 Blackline, Inc. (a) 138,894
11,642 Box, Inc., Class A (a) 331,098
2,268 C3.ai, Inc., Class A (a) 41,754
2,888 Cadence Design Systems,
Inc. (a) 537,399
2,685 CommVault Systems, Inc. (a) 150,602
857 Crowdstrike Holdings, Inc.,
Class A (a) 157,345
6,455 DoubleVerify Holdings, Inc. (a) 148,013
13,944 Dropbox, Inc., Class A (a) 317,087
3,662 Dynatrace, Inc. (a) 137,801
10,852 E2open Parent Holdings, Inc. (a) 73,251
1,081 Elastic N.V. (a) 86,361
1,387 Envestnet, Inc. (a) 80,821
1,485 Everbridge, Inc. (a) 37,333
548 Fair Isaac Corp. (a) 253,192
803 Five9, Inc. (a) 86,820
10,486 Fortinet, Inc. (a) 625,490
2,777 InterDigital, Inc. 170,480
375 Intuit, Inc. 171,064
2,954 Jamf Holding Corp. (a) 72,196
1,605 LiveRamp Holdings, Inc. (a) 42,709
1,277 Manhattan Associates, Inc. (a) 179,636
7,756 Marathon Digital Holdings,
Inc. (a) (c) 100,750
562 Microsoft Corp. 157,776
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
6,201 Oracle Corp. $ 482,686
3,407 PagerDuty, Inc. (a) 88,344
1,201 Palo Alto Networks, Inc. (a) 599,419
515 Paycom Software, Inc. (a) 170,202
1,258 Paylocity Holding Corp. (a) 259,060
4,659 Progress Software Corp. 218,787
2,064 PTC, Inc. (a) 254,656
2,320 Qualys, Inc. (a) 283,782
9,885 Riot Blockchain, Inc. (a) (c) 72,358
624 ServiceNow, Inc. (a) 278,716
1,633 Splunk, Inc. (a) 169,685
713 Sprout Social, Inc., Class A (a) 37,147
1,942 SPS Commerce, Inc. (a) 232,574
1,954 Synopsys, Inc. (a) 718,095
4,834 Tenable Holdings, Inc. (a) 186,834
434 Tyler Technologies, Inc. (a) 173,166
8,611 Xperi Holding Corp. 144,320
9,163 Zeta Global Holdings Corp.,
Class A (a) 49,022
1,338 Zoom Video Communications,
Inc., Class A (a) 138,965
---------------
8,971,273
---------------
SPECIALTY RETAIL -- 3.4%
4,990 Abercrombie & Fitch Co.,
Class A (a) 88,872
5,939 Academy Sports & Outdoors,
Inc. 255,555
2,503 Advance Auto Parts, Inc. 484,631
345 AutoZone, Inc. (a) 737,399
2,450 Boot Barn Holdings, Inc. (a) 152,635
6,396 Carvana Co. (a) (c) 186,443
1,942 Dick's Sporting Goods, Inc. 181,752
645 Five Below, Inc. (a) 81,960
2,324 Floor & Decor Holdings, Inc.,
Class A (a) 187,245
4,788 GameStop Corp., Class A (a) (c) 162,840
1,580 Home Depot (The), Inc. 475,485
9,641 Leslie's, Inc. (a) 146,158
2,480 Lowe's Cos., Inc. 474,994
1,571 Murphy USA, Inc. 446,730
3,070 National Vision Holdings,
Inc. (a) 89,460
1,174 O'Reilly Automotive, Inc. (a) 826,015
4,106 Signet Jewelers Ltd. (c) 250,302
1,338 Sleep Number Corp. (a) 60,290
3,061 Tractor Supply Co. 586,120
1,978 Williams-Sonoma, Inc. 285,663
---------------
6,160,549
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.6%
3,169 Apple, Inc. 514,994
4,788 Avid Technology, Inc. (a) 134,351
11,384 Pure Storage, Inc., Class A (a) 322,736
2,022 Seagate Technology Holdings
PLC 161,720
---------------
1,133,801
---------------
Page 78 See Notes to Financial Statements
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TEXTILES, APPAREL & LUXURY GOODS
-- 0.5%
1,503 Crocs, Inc. (a) $ 107,675
1,146 Deckers Outdoor Corp. (a) 358,939
3,724 Kontoor Brands, Inc. 135,926
1,413 NIKE, Inc., Class B 162,382
5,242 Steven Madden Ltd. 166,171
---------------
931,093
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.2%
7,742 Columbia Financial, Inc. (a) 157,472
1,519 Walker & Dunlop, Inc. 171,100
---------------
328,572
---------------
TOBACCO -- 0.6%
7,102 Altria Group, Inc. 311,494
6,009 Philip Morris International, Inc. 583,774
20,102 Vector Group Ltd. 223,936
---------------
1,119,204
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.3%
15,077 Custom Truck One Source,
Inc. (a) 93,327
8,679 Fastenal Co. 445,753
4,743 GMS, Inc. (a) 251,711
1,623 Herc Holdings, Inc. 201,285
1,231 SiteOne Landscape Supply,
Inc. (a) 171,515
1,632 W.W. Grainger, Inc. 887,041
919 Watsco, Inc. 251,760
---------------
2,302,392
---------------
WATER UTILITIES -- 0.6%
1,524 American States Water Co. 132,847
1,994 American Water Works Co., Inc. 309,947
2,237 California Water Service Group 134,399
6,384 Essential Utilities, Inc. 331,585
963 Middlesex Water Co. 91,591
2,706 SJW Group 177,676
---------------
1,178,045
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.1%
10,430 Gogo, Inc. (a) 181,065
---------------
TOTAL COMMON STOCKS
-- 99.9% 182,422,685
(Cost $172,220,855) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.9%
1,444,885 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (d) (e) $ 1,444,885
296,128 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (d) 296,128
---------------
TOTAL MONEY MARKET FUNDS
-- 0.9% 1,741,013
(Cost $1,741,013) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.7%
$ 1,272,823 BNP Paribas S.A., 2.16% (d),
dated 07/29/22, due 08/01/22,
with a maturity value of
$1,273,052. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $1,299,801. (e) 1,272,823
(Cost $1,272,823) ---------------
TOTAL INVESTMENTS -- 101.5% 185,436,521
(Cost $175,234,691)
NET OTHER ASSETS AND
LIABILITIES -- (1.5)% (2,750,842)
---------------
NET ASSETS -- 100.0% $ 182,685,679
===============
(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.
(c) 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 $2,678,068 and the
total value of the collateral held by the Fund is $2,717,708.
(d) Rate shown reflects yield as of July 31, 2022.
(e) This security serves as collateral for securities on loan.
See Notes to Financial Statements Page 79
<PAGE>
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
---------------------------------
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) $ 2,678,068
Non-cash Collateral(2) (2,678,068)
---------------
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, 2022, 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) $ 1,272,823
Non-cash Collateral(4) (1,272,823)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 182,422,685 $ 182,422,685 $ -- $ --
Money Market Funds.............................. 1,741,013 1,741,013 -- --
Repurchase Agreements........................... 1,272,823 -- 1,272,823 --
-----------------------------------------------------------------------------
Total Investments............................... $ 185,436,521 $ 184,163,698 $ 1,272,823 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 80 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.4%
5,466 BWX Technologies, Inc. $ 309,813
2,280 Curtiss-Wright Corp. 327,043
1,383 Huntington Ingalls Industries,
Inc. 299,890
---------------
936,746
---------------
AIR FREIGHT & LOGISTICS -- 0.3%
5,939 C.H. Robinson Worldwide, Inc. 657,447
---------------
AIRLINES -- 1.0%
30,070 Alaska Air Group, Inc. (a) 1,333,003
107,908 JetBlue Airways Corp. (a) 908,585
---------------
2,241,588
---------------
AUTO COMPONENTS -- 2.8%
50,804 Adient PLC (a) 1,716,159
36,088 BorgWarner, Inc. 1,387,945
21,527 Gentex Corp. 607,492
140,555 Goodyear Tire & Rubber (The)
Co. (a) 1,726,015
4,783 Lear Corp. 722,903
---------------
6,160,514
---------------
AUTOMOBILES -- 1.4%
38,036 Harley-Davidson, Inc. 1,438,141
20,142 Thor Industries, Inc. 1,698,575
---------------
3,136,716
---------------
BANKS -- 7.5%
32,088 Bank OZK 1,286,729
11,953 BOK Financial Corp. 1,052,222
25,643 Cadence Bank 669,282
8,205 Comerica, Inc. 638,103
9,292 East West Bancorp, Inc. 666,980
16,309 Eastern Bankshares, Inc. 332,704
83,169 F.N.B. Corp. 994,701
920 First Citizens BancShares, Inc.,
Class A 696,146
20,375 Hancock Whitney Corp. 994,504
14,495 Home BancShares, Inc. 342,082
45,172 PacWest Bancorp 1,266,171
12,491 Pinnacle Financial Partners,
Inc. 988,038
11,739 Popular, Inc. 911,768
8,819 Prosperity Bancshares, Inc. 653,400
7,804 SouthState Corp. 661,545
33,405 Synovus Financial Corp. 1,348,894
17,170 United Bankshares, Inc. 665,166
57,840 Valley National Bancorp 676,150
7,141 Webster Financial Corp. 331,699
7,512 Wintrust Financial Corp. 646,332
17,743 Zions Bancorp N.A. 967,881
---------------
16,790,497
---------------
BEVERAGES -- 0.7%
22,093 Molson Coors Beverage Co.,
Class B 1,320,057
6,154 National Beverage Corp. 333,423
---------------
1,653,480
---------------
BIOTECHNOLOGY -- 0.1%
14,462 Exelixis, Inc. (a) 302,545
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BUILDING PRODUCTS -- 1.6%
20,260 Owens Corning $ 1,878,912
17,674 UFP Industries, Inc. 1,629,720
---------------
3,508,632
---------------
CAPITAL MARKETS -- 3.4%
12,866 Evercore, Inc., Class A 1,286,214
93,324 Invesco Ltd. 1,655,568
43,601 Jefferies Financial Group, Inc. 1,420,084
27,869 Lazard Ltd., Class A 1,049,825
16,719 SEI Investments Co. 925,564
21,497 Stifel Financial Corp. 1,285,736
---------------
7,622,991
---------------
CHEMICALS -- 3.3%
5,842 Ashland Global Holdings, Inc. 586,946
15,022 Avient Corp. 648,199
13,616 Axalta Coating Systems Ltd. (a) 343,396
37,609 Chemours (The) Co. 1,338,504
10,000 H.B. Fuller Co. 642,000
53,098 Huntsman Corp. 1,537,718
7,622 Scotts Miracle-Gro (The) Co. 677,977
15,358 Westlake Corp. 1,494,948
---------------
7,269,688
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.3%
6,869 Clean Harbors, Inc. (a) 670,346
---------------
COMMUNICATIONS EQUIPMENT
-- 0.1%
10,565 Juniper Networks, Inc. 296,137
---------------
CONSTRUCTION & ENGINEERING
-- 1.2%
20,111 API Group Corp. (a) 356,166
5,847 EMCOR Group, Inc. 680,415
8,403 MasTec, Inc. (a) 663,249
33,466 MDU Resources Group, Inc. 956,124
---------------
2,655,954
---------------
CONSUMER FINANCE -- 0.8%
32,216 OneMain Holdings, Inc. 1,198,435
37,775 SLM Corp. 589,290
---------------
1,787,725
---------------
CONTAINERS & PACKAGING -- 1.7%
22,039 Berry Global Group, Inc. (a) 1,270,548
14,686 Graphic Packaging Holding Co. 326,763
14,563 Silgan Holdings, Inc. 648,054
37,785 Westrock Co. 1,600,573
---------------
3,845,938
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
146,863 ADT, Inc. 1,072,100
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.0%
34,643 Equitable Holdings, Inc. 984,901
20,228 Voya Financial, Inc. 1,216,916
---------------
2,201,817
---------------
See Notes to Financial Statements Page 81
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.4%
63,946 Frontier Communications
Parent, Inc. (a) $ 1,656,841
137,978 Lumen Technologies, Inc. 1,502,580
---------------
3,159,421
---------------
ELECTRIC UTILITIES -- 2.5%
7,362 Hawaiian Electric Industries,
Inc. 311,413
2,841 IDACORP, Inc. 317,397
39,436 NRG Energy, Inc. 1,488,709
31,230 OGE Energy Corp. 1,282,928
16,471 Pinnacle West Capital Corp. 1,210,124
18,688 Portland General Electric Co. 959,442
---------------
5,570,013
---------------
ELECTRICAL EQUIPMENT -- 0.8%
1,686 Hubbell, Inc. 369,268
7,958 Regal Rexnord Corp. 1,068,759
12,888 Sunrun, Inc. (a) 421,309
---------------
1,859,336
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 3.9%
13,429 Arrow Electronics, Inc. (a) 1,721,195
35,105 Avnet, Inc. 1,680,476
17,726 II-VI, Inc. (a) 933,097
9,595 IPG Photonics Corp. (a) 1,022,635
17,636 Jabil, Inc. 1,046,520
9,914 TD SYNNEX Corp. 995,564
52,382 Vontier Corp. 1,351,456
---------------
8,750,943
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.7%
13,455 Douglas Emmett, Inc. 318,076
19,200 Host Hotels & Resorts, Inc. 341,952
32,038 Omega Healthcare Investors,
Inc. 993,178
17,255 Physicians Realty Trust 306,622
32,617 SL Green Realty Corp. (b) 1,619,434
23,906 Spirit Realty Capital, Inc. 1,059,992
23,088 STORE Capital Corp. 670,014
21,062 Vornado Realty Trust 640,074
---------------
5,949,342
---------------
FOOD & STAPLES RETAILING -- 0.4%
3,256 Casey's General Stores, Inc. 659,828
9,813 US Foods Holding Corp. (a) 309,110
---------------
968,938
---------------
FOOD PRODUCTS -- 2.4%
6,267 Campbell Soup Co. 309,276
15,103 Darling Ingredients, Inc. (a) 1,046,336
13,661 Ingredion, Inc. 1,242,878
14,623 Post Holdings, Inc. (a) 1,271,324
388 Seaboard Corp. 1,575,528
---------------
5,445,342
---------------
GAS UTILITIES -- 1.2%
7,416 ONE Gas, Inc. 629,915
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
GAS UTILITIES (CONTINUED)
3,459 Southwest Gas Holdings, Inc. $ 300,795
38,988 UGI Corp. 1,682,722
---------------
2,613,432
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 1.1%
25,279 DENTSPLY SIRONA, Inc. 914,089
16,421 Enovis Corp. (a) 980,662
15,623 Envista Holdings Corp. (a) 635,075
---------------
2,529,826
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.0%
4,454 Acadia Healthcare Co., Inc. (a) 369,281
2,865 Amedisys, Inc. (a) 343,370
7,530 DaVita, Inc. (a) 633,725
10,741 Encompass Health Corp. 543,710
7,845 Henry Schein, Inc. (a) 618,421
8,437 Premier, Inc., Class A 324,487
14,946 Universal Health Services, Inc.,
Class B 1,680,977
---------------
4,513,971
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.1%
8,425 Hilton Grand Vacations, Inc. (a) 343,487
39,588 Penn National Gaming, Inc. (a) 1,367,766
4,113 Texas Roadhouse, Inc. 358,736
7,757 Travel + Leisure Co. 334,404
---------------
2,404,393
---------------
HOUSEHOLD DURABLES -- 4.7%
3,707 Helen of Troy Ltd. (a) 495,960
26,118 Leggett & Platt, Inc. 1,035,317
20,764 Meritage Homes Corp. (a) 1,833,461
12,130 Mohawk Industries, Inc. (a) 1,558,462
47,436 Newell Brands, Inc. 958,682
37,985 PulteGroup, Inc. 1,656,906
33,754 Toll Brothers, Inc. 1,660,022
7,777 Whirlpool Corp. 1,344,410
---------------
10,543,220
---------------
HOUSEHOLD PRODUCTS -- 0.1%
11,039 Reynolds Consumer Products,
Inc. 320,793
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.5%
39,526 Vistra Corp. 1,021,747
---------------
INSURANCE -- 6.0%
32,929 American Equity Investment
Life Holding Co. 1,236,813
6,506 American Financial Group, Inc. 869,722
21,094 Axis Capital Holdings Ltd. 1,065,036
29,360 Brighthouse Financial, Inc. (a) 1,274,811
1,407 Enstar Group Ltd. (a) 278,474
4,297 Everest Re Group Ltd. 1,123,021
28,444 First American Financial Corp. 1,649,752
6,178 Globe Life, Inc. 622,310
Page 82 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
2,060 Hanover Insurance Group (The),
Inc. $ 281,128
25,747 Lincoln National Corp. 1,321,851
67,321 Old Republic International Corp. 1,566,560
2,515 Primerica, Inc. 323,655
2,568 Reinsurance Group of America,
Inc. 297,323
3,464 Selective Insurance Group, Inc. 269,707
35,398 Unum Group 1,139,462
---------------
13,319,625
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.7%
3,964 IAC/InterActiveCorp. (a) 271,534
16,159 Ziff Davis, Inc. (a) 1,323,260
---------------
1,594,794
---------------
IT SERVICES -- 1.9%
39,730 DXC Technology Co. (a) 1,255,468
7,107 Genpact Ltd. 341,704
92,353 Kyndryl Holdings, Inc. (a) 966,936
9,632 Maximus, Inc. 643,899
54,837 Western Union (The) Co. 933,326
---------------
4,141,333
---------------
LEISURE PRODUCTS -- 2.1%
18,419 Brunswick Corp. 1,475,730
44,275 Callaway Golf Co. (a) 1,016,111
3,678 Hasbro, Inc. 289,532
53,929 Mattel, Inc. (a) 1,251,153
6,066 Polaris, Inc. 711,421
---------------
4,743,947
---------------
MACHINERY -- 3.2%
12,201 AGCO Corp. 1,328,933
23,490 Allison Transmission Holdings,
Inc. 983,526
6,255 Donaldson Co., Inc. 340,334
8,956 ITT, Inc. 671,969
2,439 Lincoln Electric Holdings, Inc. 344,972
10,996 Oshkosh Corp. 946,756
4,584 Snap-on, Inc. 1,027,045
22,700 Timken (The) Co. 1,484,126
---------------
7,127,661
---------------
MARINE -- 0.9%
20,657 Matson, Inc. 1,893,627
---------------
MEDIA -- 1.3%
83,958 DISH Network Corp.,
Class A (a) 1,458,351
10,791 New York Times (The) Co.,
Class A 344,772
57,973 News Corp., Class A 993,657
---------------
2,796,780
---------------
METALS & MINING -- 3.3%
45,479 Commercial Metals Co. 1,801,878
8,863 Reliance Steel & Aluminum Co. 1,686,186
22,758 Steel Dynamics, Inc. 1,772,393
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
METALS & MINING (CONTINUED)
84,048 United States Steel Corp. $ 1,987,735
---------------
7,248,192
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 2.5%
254,708 Annaly Capital Management,
Inc. 1,752,391
32,640 Blackstone Mortgage Trust, Inc.,
Class A 1,010,861
161,516 New Residential Investment
Corp. 1,762,139
43,235 Starwood Property Trust, Inc. 1,021,211
---------------
5,546,602
---------------
MULTILINE RETAIL -- 1.2%
42,178 Kohl's Corp. 1,229,067
82,170 Macy's, Inc. 1,450,300
---------------
2,679,367
---------------
MULTI-UTILITIES -- 0.6%
8,275 Black Hills Corp. 638,830
20,417 NiSource, Inc. 620,677
---------------
1,259,507
---------------
OIL, GAS & CONSUMABLE FUELS
-- 0.6%
26,667 HF Sinclair Corp. 1,275,216
---------------
PERSONAL PRODUCTS -- 0.2%
75,174 Coty, Inc., Class A (a) 550,274
---------------
PHARMACEUTICALS -- 0.4%
26,763 Organon & Co. 848,922
---------------
PROFESSIONAL SERVICES -- 2.0%
44,602 Alight, Inc., Class A (a) 336,299
13,342 ASGN, Inc. (a) 1,384,366
2,136 CACI International, Inc.,
Class A (a) 645,691
2,990 Leidos Holdings, Inc. 319,930
11,820 ManpowerGroup, Inc. 926,806
3,233 Science Applications
International Corp. 313,181
7,759 TriNet Group, Inc. (a) 640,118
---------------
4,566,391
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 1.0%
13,273 Howard Hughes (The) Corp. (a) 940,923
6,887 Jones Lang LaSalle, Inc. (a) 1,313,144
---------------
2,254,067
---------------
ROAD & RAIL -- 2.6%
57,019 Hertz Global Holdings,
Inc. (a) (b) 1,221,347
32,519 Knight-Swift Transportation
Holdings, Inc. 1,786,919
21,184 Ryder System, Inc. 1,659,131
18,756 XPO Logistics, Inc. (a) 1,120,483
---------------
5,787,880
---------------
See Notes to Financial Statements Page 83
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.7%
88,809 Amkor Technology, Inc. $ 1,791,278
12,453 Cirrus Logic, Inc. (a) 1,064,233
8,837 First Solar, Inc. (a) 876,365
---------------
3,731,876
---------------
SOFTWARE -- 0.4%
23,259 ACI Worldwide, Inc. (a) 663,579
4,207 Dolby Laboratories, Inc.,
Class A 325,622
---------------
989,201
---------------
SPECIALTY RETAIL -- 4.7%
134,643 American Eagle Outfitters, Inc. 1,621,102
10,776 AutoNation, Inc. (a) 1,279,542
59,616 Foot Locker, Inc. 1,691,306
73,076 Gap (The), Inc. 702,991
5,478 Lithia Motors, Inc. 1,453,204
11,503 Penske Automotive Group, Inc. 1,316,978
61,277 Petco Health & Wellness Co.,
Inc. (a) (b) 852,976
43,058 Victoria's Secret & Co. (a) 1,591,424
---------------
10,509,523
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 3.4%
12,814 Carter's, Inc. 1,044,085
16,823 Columbia Sportswear Co. 1,245,070
58,515 Hanesbrands, Inc. 654,198
26,458 PVH Corp. 1,638,279
10,076 Ralph Lauren Corp. 993,796
42,308 Skechers U.S.A., Inc.,
Class A (a) 1,606,011
9,865 Tapestry, Inc. 331,760
---------------
7,513,199
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.9%
38,697 Essent Group Ltd. 1,615,987
119,472 MGIC Investment Corp. 1,689,334
131,902 New York Community Bancorp,
Inc. 1,400,799
76,606 Radian Group, Inc. 1,713,676
---------------
6,419,796
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 3.3%
36,023 Air Lease Corp. 1,336,814
11,723 Beacon Roofing Supply, Inc. (a) 703,614
8,016 MSC Industrial Direct Co., Inc.,
Class A 662,603
28,591 Triton International Ltd. 1,832,111
48,421 Univar Solutions, Inc. (a) 1,309,304
11,243 WESCO International, Inc. (a) 1,437,305
---------------
7,281,751
---------------
TOTAL COMMON STOCKS
-- 99.8% 222,541,109
(Cost $233,010,844) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.6%
1,234,789 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) $ 1,234,789
(Cost $1,234,789) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.5%
$ 1,087,745 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$1,087,941. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $1,110,801. (d) 1,087,745
(Cost $1,087,745) ---------------
TOTAL INVESTMENTS -- 100.9% 224,863,643
(Cost $235,333,378)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (1,970,050)
---------------
NET ASSETS -- 100.0% $ 222,893,593
===============
(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 $2,337,774 and the
total value of the collateral held by the Fund is $2,322,534.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
Page 84 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
---------------------------------
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) $ 2,337,774
Non-cash Collateral(2) (2,322,534)
---------------
Net Amount $ 15,240
===============
(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) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2022, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
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) $ 1,087,745
Non-cash Collateral(4) (1,087,745)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 85
<PAGE>
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 222,541,109 $ 222,541,109 $ -- $ --
Money Market Funds.............................. 1,234,789 1,234,789 -- --
Repurchase Agreements........................... 1,087,745 -- 1,087,745 --
-----------------------------------------------------------------------------
Total Investments............................... $ 224,863,643 $ 223,775,898 $ 1,087,745 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
Page 86 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AIRLINES -- 0.6%
116,924 American Airlines Group,
Inc. (a) $ 1,603,028
---------------
AUTO COMPONENTS -- 0.3%
9,204 Fox Factory Holding Corp. (a) 871,251
---------------
BANKS -- 1.6%
18,877 First Financial Bankshares, Inc. 833,986
14,089 ServisFirst Bancshares, Inc. 1,203,905
12,914 UMB Financial Corp. 1,168,717
15,750 Western Alliance Bancorp 1,202,985
---------------
4,409,593
---------------
BEVERAGES -- 0.6%
3,287 Coca-Cola Consolidated, Inc. 1,686,231
---------------
BIOTECHNOLOGY -- 5.0%
62,210 Alkermes PLC (a) 1,592,576
8,197 Apellis Pharmaceuticals,
Inc. (a) 461,327
10,527 Arrowhead Pharmaceuticals,
Inc. (a) 447,713
24,397 CRISPR Therapeutics AG (a) 1,829,775
42,120 Halozyme Therapeutics, Inc. (a) 2,059,668
5,521 Mirati Therapeutics, Inc. (a) 355,553
10,459 Natera, Inc. (a) 491,573
15,209 Neurocrine Biosciences, Inc. (a) 1,431,623
19,779 Sarepta Therapeutics, Inc. (a) 1,838,458
7,864 United Therapeutics Corp. (a) 1,817,135
58,210 Vir Biotechnology, Inc. (a) 1,618,820
---------------
13,944,221
---------------
BUILDING PRODUCTS -- 4.9%
20,336 A.O. Smith Corp. 1,286,659
12,345 Advanced Drainage Systems,
Inc. 1,464,117
11,358 Allegion PLC 1,200,541
9,889 Armstrong World Industries,
Inc. 883,582
22,142 AZEK (The) Co., Inc. (a) 457,896
34,511 Builders FirstSource, Inc. (a) 2,346,748
7,766 Carlisle Cos., Inc. 2,299,513
12,380 Fortune Brands Home &
Security, Inc. 862,638
25,757 Hayward Holdings, Inc. (a) 300,584
3,588 Lennox International, Inc. 859,434
14,736 Simpson Manufacturing Co., Inc. 1,521,934
6,811 Trex Co., Inc. (a) 439,446
---------------
13,923,092
---------------
CAPITAL MARKETS -- 3.2%
9,537 Affiliated Managers Group, Inc. 1,205,286
19,556 Ares Management Corp., Class A 1,401,188
13,098 Cboe Global Markets, Inc. 1,616,031
11,658 Cohen & Steers, Inc. 859,078
23,480 Houlihan Lokey, Inc. 1,985,469
6,738 Interactive Brokers Group, Inc.,
Class A 395,453
4,598 Morningstar, Inc. 1,174,099
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
5,431 Tradeweb Markets, Inc.,
Class A $ 382,994
---------------
9,019,598
---------------
CHEMICALS -- 3.2%
11,427 Balchem Corp. 1,551,329
83,292 Element Solutions, Inc. 1,645,850
40,044 Olin Corp. 2,093,100
18,834 RPM International, Inc. 1,702,594
64,282 Valvoline, Inc. 2,071,166
---------------
9,064,039
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.4%
20,399 Casella Waste Systems, Inc.,
Class A (a) 1,651,299
67,293 Driven Brands Holdings, Inc. (a) 2,044,361
33,932 IAA, Inc. (a) 1,280,254
10,857 Tetra Tech, Inc. 1,664,053
---------------
6,639,967
---------------
COMMUNICATIONS EQUIPMENT
-- 0.9%
16,221 Ciena Corp. (a) 837,004
2,422 F5, Inc. (a) 405,346
14,001 Lumentum Holdings, Inc. (a) 1,266,530
---------------
2,508,880
---------------
CONSTRUCTION & ENGINEERING
-- 0.6%
45,731 WillScot Mobile Mini Holdings
Corp. (a) 1,765,674
---------------
CONSTRUCTION MATERIALS -- 0.6%
10,114 Eagle Materials, Inc. 1,278,915
15,915 Summit Materials, Inc.,
Class A (a) 437,822
---------------
1,716,737
---------------
CONSUMER FINANCE -- 0.6%
3,132 Credit Acceptance Corp. (a) (b) 1,803,750
---------------
CONTAINERS & PACKAGING -- 0.7%
32,108 Sealed Air Corp. 1,962,441
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.6%
52,470 H&R Block, Inc. 2,096,701
34,067 Mister Car Wash, Inc. (a) 395,177
26,812 Service Corp. International 1,996,422
---------------
4,488,300
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
39,473 Iridium Communications, Inc. (a) 1,764,838
---------------
ELECTRICAL EQUIPMENT -- 1.4%
7,218 Acuity Brands, Inc. 1,316,563
22,326 Atkore, Inc. (a) 2,216,302
27,074 ChargePoint Holdings,
Inc. (a) (b) 409,088
---------------
3,941,953
---------------
See Notes to Financial Statements Page 87
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 0.7%
7,295 Littelfuse, Inc. $ 2,034,357
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.6%
74,690 ChampionX Corp. 1,560,274
---------------
ENTERTAINMENT -- 0.3%
27,354 AMC Entertainment Holdings,
Inc., Class A (a) (b) 398,274
15,215 Warner Music Group Corp.,
Class A 456,450
---------------
854,724
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 7.6%
20,554 Agree Realty Corp. 1,635,893
20,917 American Homes 4 Rent,
Class A 792,336
8,910 Apartment Income REIT Corp. 403,979
36,680 Brixmor Property Group, Inc. 850,242
12,681 Cousins Properties, Inc. 391,209
17,353 CubeSmart 795,982
2,401 EastGroup Properties, Inc. 409,467
7,743 Federal Realty Investment Trust 817,738
7,807 First Industrial Realty Trust,
Inc. 405,574
24,247 Gaming and Leisure Properties,
Inc. 1,260,602
40,880 Healthcare Realty Trust, Inc. 1,073,100
10,841 Highwoods Properties, Inc. 385,614
30,450 Iron Mountain, Inc. 1,476,520
21,437 Kite Realty Group Trust 426,382
8,427 Lamar Advertising Co., Class A 851,633
6,639 Life Storage, Inc. 835,784
24,273 Medical Properties Trust, Inc. 418,467
25,859 National Retail Properties, Inc. 1,231,147
14,805 National Storage Affiliates
Trust 811,906
49,579 Rayonier, Inc. 1,871,607
12,499 Regency Centers Corp. 805,311
12,872 Rexford Industrial Realty, Inc. 841,958
24,375 Ryman Hospitality Properties,
Inc. (a) 2,158,162
6,650 Terreno Realty Corp. 416,622
---------------
21,367,235
---------------
FOOD & STAPLES RETAILING -- 1.3%
55,487 Albertsons Cos., Inc., Class A 1,489,826
29,737 BJ's Wholesale Club Holdings,
Inc. (a) 2,013,195
---------------
3,503,021
---------------
GAS UTILITIES -- 0.7%
28,058 National Fuel Gas Co. 2,029,716
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 3.2%
1,497 ABIOMED, Inc. (a) 438,636
3,871 CONMED Corp. 377,926
13,205 Globus Medical, Inc., Class A (a) 775,001
6,087 Inspire Medical Systems, Inc. (a) 1,272,122
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES
(CONTINUED)
20,581 Integra LifeSciences Holdings
Corp. (a) $ 1,132,778
2,837 Masimo Corp. (a) 410,174
5,333 Novocure Ltd. (a) 362,591
6,517 Omnicell, Inc. (a) 717,652
15,256 QuidelOrtho Corp. (a) 1,556,722
9,694 Shockwave Medical, Inc. (a) 2,044,755
---------------
9,088,357
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.5%
50,937 agilon health, Inc. (a) 1,274,953
16,893 AMN Healthcare Services,
Inc. (a) 1,899,449
3,158 Chemed Corp. 1,519,282
22,545 Oak Street Health, Inc. (a) 652,678
66,688 Option Care Health, Inc. (a) 2,240,717
53,051 R1 RCM, Inc. (a) 1,326,275
14,104 Tenet Healthcare Corp. (a) 932,556
---------------
9,845,910
---------------
HEALTH CARE TECHNOLOGY -- 0.3%
34,543 Certara, Inc. (a) 794,144
---------------
HOTELS, RESTAURANTS & LEISURE
-- 4.4%
29,801 Boyd Gaming Corp. 1,654,254
13,281 Choice Hotels International, Inc. 1,605,274
7,741 Churchill Downs, Inc. 1,624,062
15,775 Light & Wonder, Inc. (a) 803,579
33,332 Norwegian Cruise Line
Holdings Ltd. (a) 404,984
8,875 Papa John's International, Inc. 851,024
16,350 Planet Fitness, Inc.,
Class A (a) 1,288,543
25,169 SeaWorld Entertainment, Inc. (a) 1,201,316
58,896 Wendy's (The) Co. 1,238,583
22,559 Wyndham Hotels & Resorts, Inc. 1,565,820
---------------
12,237,439
---------------
HOUSEHOLD DURABLES -- 1.7%
31,266 Skyline Champion Corp. (a) 1,979,138
34,689 Tempur Sealy International, Inc. 953,254
8,869 TopBuild Corp. (a) 1,877,744
---------------
4,810,136
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.7%
53,193 Clearway Energy, Inc., Class C 1,996,865
---------------
INSURANCE -- 0.8%
8,071 Kinsale Capital Group, Inc. 1,962,948
6,151 Trupanion, Inc. (a) 387,697
---------------
2,350,645
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.3%
21,351 Chewy, Inc., Class A (a) (b) 828,632
---------------
IT SERVICES -- 2.6%
10,931 Concentrix Corp. 1,462,131
8,961 DigitalOcean Holdings, Inc. (a) 367,222
Page 88 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
12,579 ExlService Holdings, Inc. (a) $ 2,117,926
21,314 GoDaddy, Inc., Class A (a) 1,581,072
8,236 Jack Henry & Associates, Inc. 1,711,194
---------------
7,239,545
---------------
LEISURE PRODUCTS -- 0.2%
8,566 YETI Holdings, Inc. (a) 434,896
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 2.9%
5,141 Azenta, Inc. 350,925
23,624 Bruker Corp. 1,619,425
26,093 Maravai LifeSciences Holdings,
Inc., Class A (a) 680,766
9,906 Medpace Holdings, Inc. (a) 1,679,364
4,565 Repligen Corp. (a) 973,989
56,761 Sotera Health Co. (a) 1,089,811
20,684 Syneos Health, Inc. (a) 1,636,932
---------------
8,031,212
---------------
MACHINERY -- 3.8%
16,932 Crane Holdings Co. 1,675,083
22,802 Evoqua Water Technologies
Corp. (a) 868,984
25,297 Franklin Electric Co., Inc. 2,297,474
12,478 Graco, Inc. 838,022
8,870 Middleby (The) Corp. (a) 1,283,400
5,493 Nordson Corp. 1,268,828
14,671 Toro (The) Co. 1,261,559
9,052 Watts Water Technologies, Inc.,
Class A 1,250,353
---------------
10,743,703
---------------
MEDIA -- 1.3%
40,071 Altice USA, Inc., Class A (a) 421,146
862 Cable One, Inc. 1,186,698
11,378 Nexstar Media Group, Inc.,
Class A 2,143,274
---------------
3,751,118
---------------
METALS & MINING -- 1.6%
32,528 Alcoa Corp. 1,655,350
72,345 Cleveland-Cliffs, Inc. (a) 1,281,230
23,108 MP Materials Corp. (a) 775,736
6,942 Royal Gold, Inc. 727,313
---------------
4,439,629
---------------
MULTILINE RETAIL -- 0.7%
8,402 Dillard's, Inc., Class A (b) 1,910,195
---------------
OIL, GAS & CONSUMABLE FUELS
-- 11.5%
122,868 Antero Midstream Corp. 1,236,052
60,465 Antero Resources Corp. (a) 2,396,833
53,102 APA Corp. 1,973,801
35,442 Civitas Resources, Inc. 2,089,660
30,245 DT Midstream, Inc. 1,664,382
12,955 Enviva, Inc. 902,057
53,874 EQT Corp. 2,372,072
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
88,293 Magnolia Oil & Gas Corp.,
Class A $ 2,130,510
39,777 Matador Resources Co. 2,298,315
61,386 Murphy Oil Corp. 2,157,104
41,938 Ovintiv, Inc. 2,142,612
30,081 PDC Energy, Inc. 1,976,021
74,879 Range Resources Corp. (a) 2,476,249
54,204 SM Energy Co. 2,237,541
31,059 Targa Resources Corp. 2,146,488
1,246 Texas Pacific Land Corp. 2,284,977
---------------
32,484,674
---------------
PAPER & FOREST PRODUCTS -- 0.6%
28,288 Louisiana-Pacific Corp. 1,799,965
---------------
PHARMACEUTICALS -- 0.6%
32,468 Intra-Cellular Therapies,
Inc. (a) 1,757,168
---------------
PROFESSIONAL SERVICES -- 1.3%
73,982 Dun & Bradstreet Holdings,
Inc. (a) 1,165,956
12,156 Exponent, Inc. 1,221,556
14,847 Robert Half International, Inc. 1,174,992
---------------
3,562,504
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.2%
31,491 eXp World Holdings, Inc. (b) 467,956
---------------
ROAD & RAIL -- 2.6%
2,325 AMERCO 1,248,711
12,600 Avis Budget Group, Inc. (a) 2,293,578
12,745 Landstar System, Inc. 1,995,612
27,910 Lyft, Inc., Class A (a) 386,833
5,914 Saia, Inc. (a) 1,406,645
---------------
7,331,379
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.4%
17,915 Allegro MicroSystems, Inc. (a) 444,830
17,221 Diodes, Inc. (a) 1,401,273
15,284 Lattice Semiconductor Corp. (a) 939,966
10,908 MaxLinear, Inc. (a) 440,792
3,611 MKS Instruments, Inc. 426,820
21,259 Onto Innovation, Inc. (a) 1,769,812
19,766 Power Integrations, Inc. 1,680,308
13,486 Semtech Corp. (a) 840,582
5,286 Silicon Laboratories, Inc. (a) 779,579
4,547 SiTime Corp. (a) 845,651
---------------
9,569,613
---------------
SOFTWARE -- 5.2%
11,131 Blackline, Inc. (a) 703,702
58,974 Box, Inc., Class A (a) 1,677,221
32,699 DoubleVerify Holdings, Inc. (a) 749,788
70,634 Dropbox, Inc., Class A (a) 1,606,217
5,478 Elastic N.V. (a) 437,637
7,023 Envestnet, Inc. (a) 409,230
2,773 Fair Isaac Corp. (a) 1,281,209
4,067 Five9, Inc. (a) 439,724
See Notes to Financial Statements Page 89
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
14,964 Jamf Holding Corp. (a) $ 365,720
6,468 Manhattan Associates, Inc. (a) 909,854
6,375 Paylocity Holding Corp. (a) 1,312,804
10,457 PTC, Inc. (a) 1,290,185
11,754 Qualys, Inc. (a) 1,437,749
9,836 SPS Commerce, Inc. (a) 1,177,959
24,487 Tenable Holdings, Inc. (a) 946,423
---------------
14,745,422
---------------
SPECIALTY RETAIL -- 3.1%
9,836 Dick's Sporting Goods, Inc. (b) 920,551
3,268 Five Below, Inc. (a) 415,265
11,774 Floor & Decor Holdings, Inc.,
Class A (a) 948,631
24,244 GameStop Corp., Class A (a) (b) 824,539
48,834 Leslie's, Inc. (a) 740,324
7,959 Murphy USA, Inc. 2,263,221
20,800 Signet Jewelers Ltd. (b) 1,267,968
10,022 Williams-Sonoma, Inc. 1,447,377
---------------
8,827,876
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.6%
57,667 Pure Storage, Inc., Class A (a) 1,634,859
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.8%
7,616 Crocs, Inc. (a) 545,610
5,806 Deckers Outdoor Corp. (a) 1,818,497
---------------
2,364,107
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.3%
7,695 Walker & Dunlop, Inc. 866,765
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.1%
8,223 Herc Holdings, Inc. 1,019,817
6,236 SiteOne Landscape Supply,
Inc. (a) 868,862
4,656 Watsco, Inc. 1,275,511
---------------
3,164,190
---------------
WATER UTILITIES -- 0.6%
32,335 Essential Utilities, Inc. 1,679,480
---------------
TOTAL COMMON STOCKS
-- 99.9% 281,221,304
(Cost $273,389,731) ---------------
MONEY MARKET FUNDS -- 1.2%
3,452,529 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 3,452,529
(Cost $3,452,529) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.1%
$ 3,041,390 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$3,041,937. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $3,105,854. (d) $ 3,041,390
(Cost $3,041,390) ---------------
TOTAL INVESTMENTS -- 102.2% 287,715,223
(Cost $279,883,650)
NET OTHER ASSETS AND
LIABILITIES -- (2.2)% (6,086,227)
---------------
NET ASSETS -- 100.0% $ 281,628,996
===============
(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 $6,408,963 and the
total value of the collateral held by the Fund is $6,493,919.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
Page 90 See Notes to Financial Statements
<PAGE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
---------------------------------
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) $ 6,408,963
Non-cash Collateral(2) (6,408,963)
---------------
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, 2022, 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) $ 3,041,390
Non-cash Collateral(4) (3,041,390)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 281,221,304 $ 281,221,304 $ -- $ --
Money Market Funds.............................. 3,452,529 3,452,529 -- --
Repurchase Agreements........................... 3,041,390 -- 3,041,390 --
-----------------------------------------------------------------------------
Total Investments............................... $ 287,715,223 $ 284,673,833 $ 3,041,390 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 91
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.0%
12,396 AAR Corp. (a) $ 551,994
39,889 Maxar Technologies, Inc. 1,096,150
6,533 Moog, Inc., Class A 559,486
---------------
2,207,630
---------------
AIR FREIGHT & LOGISTICS -- 1.8%
45,281 Air Transport Services Group,
Inc. (a) 1,419,107
21,081 Atlas Air Worldwide Holdings,
Inc. (a) 1,596,042
14,671 Hub Group, Inc., Class A (a) 1,120,864
---------------
4,136,013
---------------
AIRLINES -- 1.4%
6,751 Allegiant Travel Co. (a) 778,458
61,220 SkyWest, Inc. (a) 1,478,463
41,622 Sun Country Airlines Holdings,
Inc. (a) 839,516
---------------
3,096,437
---------------
AUTO COMPONENTS -- 1.8%
73,968 Dana, Inc. 1,239,704
9,303 LCI Industries 1,256,742
25,094 Patrick Industries, Inc. 1,523,708
---------------
4,020,154
---------------
AUTOMOBILES -- 0.7%
26,790 Winnebago Industries, Inc. 1,617,312
---------------
BANKS -- 13.9%
25,901 Ameris Bancorp 1,224,858
56,994 Associated Banc-Corp. 1,145,579
22,502 Atlantic Union Bankshares
Corp. 778,344
21,461 BankUnited, Inc. 833,760
9,229 Banner Corp. 572,106
20,938 Berkshire Hills Bancorp, Inc. 589,823
13,248 Cathay General Bancorp 552,442
26,642 Columbia Banking System, Inc. 803,789
25,744 Dime Community Bancshares,
Inc. 877,356
16,101 Eagle Bancorp, Inc. 789,432
12,498 Enterprise Financial Services
Corp. 587,781
13,224 FB Financial Corp. 566,648
14,860 First Bancorp 562,897
59,126 First BanCorp 892,211
22,698 First Busey Corp. 559,506
38,650 First Commonwealth Financial
Corp. 572,793
53,646 First Financial Bancorp 1,198,452
37,273 First Foundation, Inc. 776,024
22,840 First Hawaiian, Inc. 582,192
14,562 First Merchants Corp. 604,760
52,826 Fulton Financial Corp. 881,666
18,375 Heartland Financial USA, Inc. 825,037
39,038 Hilltop Holdings, Inc. 1,126,246
75,198 Hope Bancorp, Inc. 1,130,978
3,746 Independent Bank Group, Inc. 264,917
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
19,045 International Bancshares Corp. $ 835,314
6,650 National Bank Holdings Corp.,
Class A 276,773
13,798 NBT Bancorp, Inc. 559,371
40,522 Northwest Bancshares, Inc. 582,706
17,204 Old National Bancorp 299,522
35,592 Pacific Premier Bancorp, Inc. 1,197,315
2,098 Park National Corp. 271,817
26,912 Pathward Financial, Inc. 907,473
26,495 Renasant Corp. 884,933
19,539 Sandy Spring Bancorp, Inc. 806,961
35,906 Simmons First National Corp.,
Class A 852,767
9,854 Texas Capital Bancshares,
Inc. (a) 577,641
28,114 TowneBank 839,765
17,769 Trustmark Corp. 576,959
8,427 United Community Banks, Inc. 286,771
25,429 Washington Federal, Inc. 867,892
32,820 WesBanco, Inc. 1,119,818
---------------
31,043,395
---------------
BIOTECHNOLOGY -- 0.6%
41,910 Emergent BioSolutions, Inc. (a) 1,451,762
---------------
BUILDING PRODUCTS -- 1.5%
19,699 Gibraltar Industries, Inc. (a) 921,716
71,333 JELD-WEN Holding, Inc. (a) 1,268,301
53,590 Resideo Technologies, Inc. (a) 1,206,311
---------------
3,396,328
---------------
CAPITAL MARKETS -- 1.0%
153,909 BGC Partners, Inc., Class A 561,768
42,382 Brightsphere Investment Group,
Inc. 801,443
16,317 Federated Hermes, Inc. 556,573
10,870 Virtu Financial, Inc., Class A 253,597
---------------
2,173,381
---------------
CHEMICALS -- 2.0%
3,990 Cabot Corp. 296,298
52,658 Ecovyst, Inc. 538,691
4,029 Ingevity Corp. (a) 270,346
2,656 Innospec, Inc. 270,912
16,967 Minerals Technologies, Inc. 1,133,565
846 NewMarket Corp. 262,937
5,116 Stepan Co. 574,066
33,824 Trinseo PLC 1,209,885
---------------
4,556,700
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.3%
5,859 ABM Industries, Inc. 262,717
5,384 Brady Corp., Class A 257,624
86,727 BrightView Holdings, Inc. (a) 1,139,593
7,334 HNI Corp. 259,037
17,228 KAR Auction Services, Inc. (a) 294,599
3,011 UniFirst Corp. 589,825
---------------
2,803,395
---------------
Page 92 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT
-- 0.1%
7,516 NetScout Systems, Inc. (a) $ 267,419
---------------
CONSTRUCTION & ENGINEERING
-- 1.2%
16,439 Arcosa, Inc. 847,595
26,194 Granite Construction, Inc. 783,200
47,827 Primoris Services Corp. 1,117,239
---------------
2,748,034
---------------
CONSUMER FINANCE -- 3.1%
35,102 Bread Financial Holdings, Inc. 1,390,390
3,660 FirstCash Holdings, Inc. 268,132
20,654 Green Dot Corp., Class A (a) 580,377
17,421 LendingTree, Inc. (a) 794,049
74,390 Navient Corp. 1,225,203
12,207 Nelnet, Inc., Class A 1,160,764
78,843 PROG Holdings, Inc. (a) 1,452,288
---------------
6,871,203
---------------
CONTAINERS & PACKAGING -- 1.6%
16,684 Greif, Inc., Class A 1,178,224
74,097 O-I Glass, Inc. (a) 1,089,967
76,640 Pactiv Evergreen, Inc. 783,261
18,730 TriMas Corp. 554,408
---------------
3,605,860
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.6%
10,566 Frontdoor, Inc. (a) 282,852
2,295 Graham Holdings Co., Class B 1,364,354
5,506 Grand Canyon Education,
Inc. (a) 528,961
10,813 Strategic Education, Inc. 776,698
12,717 Stride, Inc. (a) 568,196
---------------
3,521,061
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.6%
48,632 Jackson Financial, Inc., Class A 1,337,866
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.4%
133,165 Liberty Latin America Ltd.,
Class C (a) 977,431
---------------
ELECTRIC UTILITIES -- 0.4%
12,987 ALLETE, Inc. 806,103
---------------
ELECTRICAL EQUIPMENT -- 0.8%
8,796 EnerSys 579,744
146,724 GrafTech International Ltd. 1,129,775
---------------
1,709,519
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 3.5%
6,013 Insight Enterprises, Inc. (a) 561,674
75,067 Knowles Corp. (a) 1,482,573
20,608 Methode Electronics, Inc. 849,874
6,071 OSI Systems, Inc. (a) 586,884
3,242 Plexus Corp. (a) 304,586
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS (CONTINUED)
25,551 Sanmina Corp. (a) $ 1,176,624
104,074 TTM Technologies, Inc. (a) 1,408,121
73,002 Vishay Intertechnology, Inc. 1,508,221
---------------
7,878,557
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.9%
41,055 Noble Corp. (a) 1,231,650
229,227 Transocean Ltd. (a) 774,787
---------------
2,006,437
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.2%
33,205 Acadia Realty Trust 568,802
35,357 Apple Hospitality REIT, Inc. 589,755
53,804 Brandywine Realty Trust 503,067
19,805 Corporate Office Properties
Trust 557,511
108,582 Empire State Realty Trust, Inc.,
Class A 926,205
11,053 EPR Properties 594,762
36,630 Global Net Lease, Inc. 552,747
69,901 Hudson Pacific Properties, Inc. 1,051,311
92,094 Industrial Logistics Properties
Trust 923,703
94,889 iStar, Inc. 1,585,595
6,628 LTC Properties, Inc. 277,713
119,486 Macerich (The) Co. 1,267,746
4,196 National Health Investors, Inc. 272,069
15,012 Outfront Media, Inc. 277,122
105,577 Paramount Group, Inc. 828,779
15,355 Pebblebrook Hotel Trust 300,344
79,324 Piedmont Office Realty Trust,
Inc., Class A 1,091,498
48,650 Service Properties Trust 318,171
76,949 Sunstone Hotel Investors,
Inc. (a) 871,832
24,338 Washington Real Estate
Investment Trust 539,573
---------------
13,898,305
---------------
FOOD & STAPLES RETAILING -- 1.5%
3,551 PriceSmart, Inc. 235,715
41,103 Sprouts Farmers Market, Inc. (a) 1,136,087
26,415 United Natural Foods, Inc. (a) 1,122,902
10,242 Weis Markets, Inc. 787,917
---------------
3,282,621
---------------
FOOD PRODUCTS -- 0.2%
10,701 B&G Foods, Inc. (b) 264,422
10,719 Hain Celestial Group (The),
Inc. (a) 243,857
---------------
508,279
---------------
GAS UTILITIES -- 0.5%
9,769 Northwest Natural Holding Co. 524,302
6,974 Spire, Inc. 524,724
---------------
1,049,026
---------------
See Notes to Financial Statements Page 93
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT & SUPPLIES
-- 0.2%
9,307 Avanos Medical, Inc. (a) $ 264,039
3,602 Integer Holdings Corp. (a) 251,744
---------------
515,783
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 1.7%
23,858 Fulgent Genetics, Inc. (a) 1,425,516
16,493 Owens & Minor, Inc. 584,017
17,118 Patterson Cos., Inc. 531,685
12,109 Pediatrix Medical Group,
Inc. (a) 274,390
32,318 Select Medical Holdings Corp. 957,259
---------------
3,772,867
---------------
HEALTH CARE TECHNOLOGY -- 0.8%
87,723 Allscripts Healthcare Solutions,
Inc. (a) 1,387,778
94,476 Multiplan Corp. (a) 478,048
---------------
1,865,826
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.3%
52,615 Bally's Corp. (a) (b) 1,155,952
45,929 Bloomin' Brands, Inc. 936,492
34,648 Brinker International, Inc. (a) 961,482
9,629 Cheesecake Factory (The), Inc. 281,456
9,144 Cracker Barrel Old Country
Store, Inc. 869,320
23,287 Dave & Buster's Entertainment,
Inc. (a) 870,002
---------------
5,074,704
---------------
HOUSEHOLD DURABLES -- 5.4%
28,929 Century Communities, Inc. 1,480,297
45,710 KB Home 1,491,974
54,869 La-Z-Boy, Inc. 1,529,199
14,970 LGI Homes, Inc. (a) 1,688,616
40,263 M.D.C. Holdings, Inc. 1,459,534
32,801 M/I Homes, Inc. (a) 1,509,174
55,691 Taylor Morrison Home Corp. (a) 1,598,332
77,115 Tri Pointe Homes, Inc. (a) 1,428,170
---------------
12,185,296
---------------
HOUSEHOLD PRODUCTS -- 0.3%
19,080 Central Garden & Pet Co.,
Class A (a) 778,464
---------------
INSURANCE -- 3.0%
6,903 Argo Group International
Holdings Ltd. 226,349
23,319 Assured Guaranty Ltd. 1,361,596
71,913 CNO Financial Group, Inc. 1,348,369
368,531 Genworth Financial, Inc.,
Class A (a) 1,566,257
13,514 Horace Mann Educators Corp. 462,855
46,946 SiriusPoint Ltd. (a) 205,623
26,149 Stewart Information Services
Corp. 1,429,043
---------------
6,600,092
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INTERACTIVE MEDIA & SERVICES
-- 0.1%
9,161 Yelp, Inc. (a) $ 280,876
---------------
INTERNET & DIRECT MARKETING RETAIL
-- 1.1%
41,613 Overstock.com, Inc. (a) 1,206,777
453,280 Qurate Retail, Inc., Series A 1,237,454
---------------
2,444,231
---------------
IT SERVICES -- 0.5%
72,339 Rackspace Technology, Inc. (a) 487,565
50,602 SolarWinds Corp. 541,947
---------------
1,029,512
---------------
LEISURE PRODUCTS -- 1.3%
6,106 Acushnet Holdings Corp. 297,545
19,744 Malibu Boats, Inc., Class A (a) 1,233,013
46,627 Vista Outdoor, Inc. (a) 1,403,473
---------------
2,934,031
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.1%
31,221 NeoGenomics, Inc. (a) 315,957
---------------
MACHINERY -- 3.1%
4,457 Alamo Group, Inc. 576,780
3,230 Albany International Corp.,
Class A 294,802
7,220 Altra Industrial Motion Corp. 301,290
6,239 Astec Industries, Inc. 306,522
33,422 Barnes Group, Inc. 1,130,332
3,723 ESCO Technologies, Inc. 288,719
7,146 Federal Signal Corp. 296,702
44,801 Kennametal, Inc. 1,202,907
21,691 Mueller Water Products, Inc.,
Class A 282,417
10,841 Proto Labs, Inc. (a) 530,016
4,293 Tennant Co. 287,760
38,025 Terex Corp. 1,274,218
10,506 Trinity Industries, Inc. 272,631
---------------
7,045,096
---------------
MEDIA -- 2.1%
342,346 Advantage Solutions, Inc. (a) 1,520,016
104,323 E.W. Scripps (The) Co.,
Class A (a) 1,487,646
61,618 Gray Television, Inc. 1,144,247
10,860 John Wiley & Sons, Inc.,
Class A 567,109
---------------
4,719,018
---------------
METALS & MINING -- 1.1%
9,117 Carpenter Technology Corp. 293,020
64,907 Hecla Mining Co. 294,029
3,451 Materion Corp. 282,775
29,498 Worthington Industries, Inc. 1,510,593
---------------
2,380,417
---------------
Page 94 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 4.0%
99,686 Apollo Commercial Real Estate
Finance, Inc. $ 1,273,987
117,996 Chimera Investment Corp. 1,235,418
72,423 Ladder Capital Corp. 860,385
121,016 MFA Financial, Inc. 1,568,367
377,076 New York Mortgage Trust, Inc. 1,184,019
18,398 PennyMac Mortgage Investment
Trust 282,593
168,731 Redwood Trust, Inc. 1,461,211
208,981 Two Harbors Investment Corp. 1,124,318
---------------
8,990,298
---------------
MULTILINE RETAIL -- 0.4%
36,124 Nordstrom, Inc. 849,275
---------------
MULTI-UTILITIES -- 0.7%
17,543 Avista Corp. 741,367
12,952 NorthWestern Corp. 718,189
---------------
1,459,556
---------------
OIL, GAS & CONSUMABLE FUELS
-- 2.1%
27,032 California Resources Corp. 1,212,655
7,594 CVR Energy, Inc. 254,703
26,303 PBF Energy, Inc., Class A (a) 877,205
48,793 Peabody Energy Corp. (a) 1,024,165
50,866 World Fuel Services Corp. 1,410,006
---------------
4,778,734
---------------
PERSONAL PRODUCTS -- 1.0%
22,114 Edgewell Personal Care Co. 879,695
17,627 Nu Skin Enterprises, Inc.,
Class A 766,951
7,168 USANA Health Sciences,
Inc. (a) 499,036
---------------
2,145,682
---------------
PHARMACEUTICALS -- 0.3%
10,701 Corcept Therapeutics, Inc. (a) 306,690
8,797 Supernus Pharmaceuticals,
Inc. (a) 279,305
---------------
585,995
---------------
PROFESSIONAL SERVICES -- 0.6%
2,679 ICF International, Inc. 252,764
17,937 Korn Ferry 1,175,053
---------------
1,427,817
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.6%
132,342 Anywhere Real Estate, Inc. (a) 1,314,156
---------------
ROAD & RAIL -- 1.8%
61,874 Marten Transport Ltd. 1,334,004
58,128 Schneider National, Inc.,
Class B 1,472,382
27,003 Werner Enterprises, Inc. 1,187,052
---------------
3,993,438
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.0%
46,879 Cohu, Inc. (a) $ 1,339,802
46,629 SMART Global Holdings,
Inc. (a) 914,861
---------------
2,254,663
---------------
SOFTWARE -- 0.5%
580,765 Avaya Holdings Corp. (a) 521,876
20,559 Cerence, Inc. (a) 579,147
---------------
1,101,023
---------------
SPECIALTY RETAIL -- 5.1%
7,683 Asbury Automotive Group,
Inc. (a) 1,318,710
37,584 Buckle (The), Inc. 1,135,037
35,357 Camping World Holdings, Inc.,
Class A (b) 956,053
7,662 Group 1 Automotive, Inc. 1,355,561
61,041 Guess?, Inc. (b) 1,154,285
12,097 Monro, Inc. 606,665
39,244 Rent-A-Center, Inc. 923,411
87,310 Sally Beauty Holdings, Inc. (a) 1,115,822
35,515 Sonic Automotive, Inc., Class A 1,486,303
69,716 Urban Outfitters, Inc. (a) 1,427,784
---------------
11,479,631
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 1.3%
134,114 3D Systems Corp. (a) 1,534,264
19,377 Corsair Gaming, Inc. (a) (b) 273,216
18,916 Super Micro Computer, Inc. (a) 1,021,653
---------------
2,829,133
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.8%
31,782 Levi Strauss & Co., Class A 601,315
11,729 Oxford Industries, Inc. 1,118,947
---------------
1,720,262
---------------
THRIFTS & MORTGAGE FINANCE
-- 3.4%
21,293 Axos Financial, Inc. (a) 889,196
27,718 Capitol Federal Financial, Inc. 265,816
35,408 Mr. Cooper Group, Inc. (a) 1,595,130
78,133 NMI Holdings, Inc., Class A (a) 1,479,839
29,763 PennyMac Financial Services,
Inc. 1,630,715
34,290 Provident Financial Services,
Inc. 835,304
19,040 WSFS Financial Corp. 908,589
---------------
7,604,589
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 2.4%
5,392 Applied Industrial Technologies,
Inc. 542,381
21,867 Boise Cascade Co. 1,546,216
8,107 GATX Corp. 812,727
26,351 H&E Equipment Services, Inc. 942,048
6,825 McGrath RentCorp 575,757
See Notes to Financial Statements Page 95
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES & DISTRIBUTORS
(CONTINUED)
21,591 Rush Enterprises, Inc., Class A $ 1,040,470
---------------
5,459,599
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.2%
82,387 Telephone and Data Systems,
Inc. 1,302,539
44,922 United States Cellular Corp. (a) 1,315,765
---------------
2,618,304
---------------
TOTAL COMMON STOCKS
-- 99.9% 223,524,553
(Cost $238,682,907) ---------------
MONEY MARKET FUNDS -- 0.7%
1,563,738 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 1,563,738
(Cost $1,563,738) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.6%
$ 1,377,523 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$1,377,771. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest is
$1,406,720. (d) 1,377,523
(Cost $1,377,523) ---------------
TOTAL INVESTMENTS -- 101.2% 226,465,814
(Cost $241,624,168)
NET OTHER ASSETS AND
LIABILITIES -- (1.2)% (2,744,204)
---------------
NET ASSETS -- 100.0% $ 223,721,610
===============
(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 $2,855,353 and the
total value of the collateral held by the Fund is $2,941,261.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
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) $ 2,855,353
Non-cash Collateral(2) (2,855,353)
---------------
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, 2022, 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) $ 1,377,523
Non-cash Collateral(4) (1,377,523)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 96 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 223,524,553 $ 223,524,553 $ -- $ --
Money Market Funds.............................. 1,563,738 1,563,738 -- --
Repurchase Agreements........................... 1,377,523 -- 1,377,523 --
-----------------------------------------------------------------------------
Total Investments............................... $ 226,465,814 $ 225,088,291 $ 1,377,523 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 97
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AIR FREIGHT & LOGISTICS -- 0.7%
12,614 Forward Air Corp. $ 1,323,587
---------------
AUTO COMPONENTS -- 1.3%
10,573 Dorman Products, Inc. (a) 1,068,825
10,942 Gentherm, Inc. (a) 706,415
14,867 XPEL, Inc. (a) (b) 911,198
---------------
2,686,438
---------------
BANKS -- 2.9%
23,770 Bancorp (The), Inc. (a) 584,742
20,143 Customers Bancorp, Inc. (a) 769,261
10,281 Lakeland Financial Corp. 799,862
6,717 Live Oak Bancshares, Inc. 252,828
45,668 OFG Bancorp 1,254,500
15,512 Stock Yards Bancorp, Inc. 1,072,655
7,416 Triumph Bancorp, Inc. (a) 538,772
15,857 Veritex Holdings, Inc. 490,616
---------------
5,763,236
---------------
BEVERAGES -- 1.8%
17,775 Celsius Holdings, Inc. (a) 1,581,264
44,064 Duckhorn Portfolio (The),
Inc. (a) 808,134
11,589 MGP Ingredients, Inc. 1,218,931
---------------
3,608,329
---------------
BIOTECHNOLOGY -- 8.1%
16,155 ACADIA Pharmaceuticals,
Inc. (a) 237,317
19,967 Allogene Therapeutics, Inc. (a) 259,172
86,404 Amicus Therapeutics, Inc. (a) 860,584
36,621 Arcus Biosciences, Inc. (a) 973,752
64,543 BioCryst Pharmaceuticals,
Inc. (a) 711,264
51,100 Bridgebio Pharma, Inc. (a) 442,526
10,597 CareDx, Inc. (a) 252,103
8,443 Celldex Therapeutics, Inc. (a) 259,369
18,725 ChemoCentryx, Inc. (a) 442,285
23,618 Cytokinetics, Inc. (a) 999,750
92,135 Dynavax Technologies
Corp. (a) (c) 1,324,901
29,045 Global Blood Therapeutics,
Inc. (a) 950,352
61,188 ImmunityBio, Inc. (a) (c) 238,021
11,543 Insmed, Inc. (a) 255,331
80,485 Ironwood Pharmaceuticals,
Inc. (a) 921,553
104,733 Lyell Immunopharma,
Inc. (a) (c) 583,363
24,189 Prometheus Biosciences, Inc. (a) 1,032,145
17,090 Prothena Corp. PLC (a) 530,815
28,956 PTC Therapeutics, Inc. (a) 1,261,034
57,001 Recursion Pharmaceuticals, Inc.,
Class A (a) 482,229
11,679 REVOLUTION Medicines,
Inc. (a) 263,829
7,047 Sage Therapeutics, Inc. (a) 242,487
38,299 Travere Therapeutics, Inc. (a) 901,558
23,316 Veracyte, Inc. (a) 614,143
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BIOTECHNOLOGY (CONTINUED)
9,040 Vericel Corp. (a) $ 294,162
33,905 Xencor, Inc. (a) 972,734
---------------
16,306,779
---------------
BUILDING PRODUCTS -- 1.7%
12,470 AAON, Inc. 750,320
11,259 CSW Industrials, Inc. 1,345,113
128,459 Janus International Group,
Inc. (a) 1,306,428
---------------
3,401,861
---------------
CAPITAL MARKETS -- 4.4%
19,197 Artisan Partners Asset
Management, Inc., Class A 763,273
36,380 AssetMark Financial Holdings,
Inc. (a) 690,856
5,388 B. Riley Financial, Inc. 277,698
13,623 Focus Financial Partners, Inc.,
Class A (a) 550,778
52,690 Golub Capital BDC, Inc. (c) 739,768
3,388 Hamilton Lane, Inc., Class A 256,031
23,583 Moelis & Co., Class A 1,098,496
22,250 Open Lending Corp., Class A (a) 230,510
8,186 Piper Sandler Cos. 1,033,073
16,505 PJT Partners, Inc., Class A 1,179,777
17,825 StepStone Group, Inc., Class A 474,858
28,334 Victory Capital Holdings, Inc.,
Class A 784,002
3,992 Virtus Investment Partners, Inc. 823,629
---------------
8,902,749
---------------
CHEMICALS -- 1.1%
70,302 Diversey Holdings Ltd. (a) 526,562
4,567 Quaker Chemical Corp. 740,813
11,519 Sensient Technologies Corp. 990,404
---------------
2,257,779
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.8%
19,107 Brink's (The) Co. 1,087,953
11,928 Cimpress PLC (a) 479,386
---------------
1,567,339
---------------
COMMUNICATIONS EQUIPMENT
-- 1.6%
13,591 Calix, Inc. (a) 775,231
75,815 CommScope Holding Co.,
Inc. (a) 684,609
76,553 Extreme Networks, Inc. (a) 1,001,313
42,466 Infinera Corp. (a) 278,152
15,148 Viasat, Inc. (a) 498,824
---------------
3,238,129
---------------
CONSTRUCTION & ENGINEERING
-- 2.3%
10,184 Ameresco, Inc., Class A (a) 582,728
13,951 Comfort Systems USA, Inc. 1,474,063
13,163 MYR Group, Inc. (a) 1,253,513
9,937 NV5 Global, Inc. (a) 1,347,457
---------------
4,657,761
---------------
Page 98 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSUMER FINANCE -- 2.0%
20,079 Encore Capital Group, Inc. (a) $ 1,454,322
32,199 Enova International, Inc. (a) 1,111,187
58,414 LendingClub Corp. (a) 809,034
18,781 PRA Group, Inc. (a) 748,235
---------------
4,122,778
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.3%
16,052 Coursera, Inc. (a) 222,962
65,408 Vivint Smart Home, Inc. (a) 312,650
---------------
535,612
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
43,323 Compass Diversified
Holdings (c) 1,045,384
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
11,238 Cogent Communications
Holdings, Inc. 717,097
377,230 Globalstar, Inc. (a) 528,122
---------------
1,245,219
---------------
ELECTRIC UTILITIES -- 1.2%
14,904 MGE Energy, Inc. 1,212,888
17,279 Otter Tail Corp. 1,214,195
---------------
2,427,083
---------------
ELECTRICAL EQUIPMENT -- 2.4%
84,286 Array Technologies, Inc. (a) 1,420,219
28,120 Bloom Energy Corp., Class A (a) 568,868
11,162 Encore Wire Corp. 1,545,602
60,698 FuelCell Energy, Inc. (a) 217,906
13,812 Shoals Technologies Group,
Inc., Class A (a) 326,377
31,791 Stem, Inc. (a) (c) 360,192
4,159 Vicor Corp. (a) 303,441
---------------
4,742,605
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.5%
9,356 Advanced Energy Industries, Inc. 837,268
8,442 Badger Meter, Inc. 812,036
21,775 Belden, Inc. 1,409,278
---------------
3,058,582
---------------
ENERGY EQUIPMENT & SERVICES
-- 2.3%
23,044 Cactus, Inc., Class A 958,400
73,602 Patterson-UTI Energy, Inc. 1,218,113
27,462 Valaris Ltd. (a) 1,378,043
43,835 Weatherford International
PLC (a) 1,013,904
---------------
4,568,460
---------------
ENTERTAINMENT -- 1.4%
7,682 Madison Square Garden Sports
Corp. (a) 1,181,338
183,563 Skillz, Inc. (a) (c) 290,030
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ENTERTAINMENT (CONTINUED)
18,563 World Wrestling Entertainment,
Inc., Class A $ 1,286,601
---------------
2,757,969
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.6%
38,042 Alexander & Baldwin, Inc. 757,416
45,246 Broadstone Net Lease, Inc. 1,025,727
37,031 CareTrust REIT, Inc. 764,690
8,373 Centerspace 719,157
35,865 Easterly Government Properties,
Inc. 726,983
31,776 Essential Properties Realty
Trust, Inc. 766,437
25,681 Four Corners Property Trust,
Inc. 750,656
22,383 Independence Realty Trust, Inc. 496,903
35,982 InvenTrust Properties Corp. 1,031,604
7,501 NexPoint Residential Trust, Inc. 499,116
15,452 PotlatchDeltic Corp. 757,612
29,404 Retail Opportunity Investments
Corp. 513,394
50,694 SITE Centers Corp. 740,639
49,256 Uniti Group, Inc. 491,082
44,895 Urban Edge Properties 737,625
35,045 Veris Residential, Inc. (a) 488,878
---------------
11,267,919
---------------
FOOD PRODUCTS -- 1.1%
54,691 Hostess Brands, Inc. (a) 1,237,110
30,712 Simply Good Foods (The)
Co. (a) 1,001,826
---------------
2,238,936
---------------
GAS UTILITIES -- 0.5%
7,163 Chesapeake Utilities Corp. 982,262
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 3.6%
5,571 AtriCure, Inc. (a) 275,263
16,376 Axonics, Inc. (a) 1,062,311
14,977 CryoPort, Inc. (a) 557,144
2,408 Heska Corp. (a) 220,308
10,043 Inari Medical, Inc. (a) 779,136
6,321 iRhythm Technologies, Inc. (a) 977,416
17,568 Lantheus Holdings, Inc. (a) 1,347,817
17,100 Merit Medical Systems, Inc. (a) 982,908
2,275 Mesa Laboratories, Inc. 485,144
6,541 STAAR Surgical Co. (a) 527,859
---------------
7,215,306
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.5%
29,033 1Life Healthcare, Inc. (a) 491,819
64,300 AdaptHealth Corp. (a) 1,421,673
45,246 Agiliti, Inc. (a) 990,435
81,331 Alignment Healthcare, Inc. (a) 1,193,939
12,024 Apollo Medical Holdings,
Inc. (a) 637,633
6,301 CorVel Corp. (a) 1,038,972
See Notes to Financial Statements Page 99
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
40,939 LifeStance Health Group,
Inc. (a) $ 243,996
7,835 Progyny, Inc. (a) 239,203
26,851 RadNet, Inc. (a) 552,325
7,871 Surgery Partners, Inc. (a) 309,960
---------------
7,119,955
---------------
HEALTH CARE TECHNOLOGY -- 1.3%
13,325 Doximity, Inc., Class A (a) (c) 563,914
37,772 Evolent Health, Inc.,
Class A (a) 1,283,870
18,552 Phreesia, Inc. (a) 435,787
8,618 Schrodinger, Inc. (a) 269,743
---------------
2,553,314
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.5%
56,897 Everi Holdings, Inc. (a) 1,092,991
8,276 Jack in the Box, Inc. 572,203
20,469 Red Rock Resorts, Inc., Class A 805,046
21,382 Six Flags Entertainment
Corp. (a) 484,730
---------------
2,954,970
---------------
HOUSEHOLD DURABLES -- 1.4%
4,735 Cavco Industries, Inc. (a) 1,220,636
11,159 Installed Building Products, Inc. 1,131,746
25,720 Sonos, Inc. (a) 568,669
---------------
2,921,051
---------------
HOUSEHOLD PRODUCTS -- 1.1%
24,087 Energizer Holdings, Inc. 711,289
11,314 Spectrum Brands Holdings, Inc. 786,776
4,608 WD-40 Co. 817,321
---------------
2,315,386
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.3%
25,176 Sunnova Energy International,
Inc. (a) 655,079
---------------
INSURANCE -- 1.0%
509,882 Bright Health Group, Inc. (a) 856,602
38,425 BRP Group, Inc., Class A (a) 1,059,377
---------------
1,915,979
---------------
INTERACTIVE MEDIA & SERVICES
-- 1.0%
31,776 Cargurus, Inc. (a) 771,839
92,154 fuboTV, Inc. (a) (c) 231,307
3,972 Shutterstock, Inc. 224,418
46,076 ZipRecruiter, Inc., Class A (a) 807,712
---------------
2,035,276
---------------
INTERNET & DIRECT MARKETING RETAIL
-- 0.5%
8,785 Revolve Group, Inc. (a) 248,791
20,126 Xometry, Inc., Class A (a) (c) 764,788
---------------
1,013,579
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES -- 4.5%
14,050 BigCommerce Holdings, Inc.,
Series 1 (a) $ 219,883
81,833 Cyxtera Technologies,
Inc. (a) (c) 997,544
18,516 EVERTEC, Inc. 721,939
12,911 Flywire Corp. (a) 302,892
55,172 Grid Dynamics Holdings,
Inc. (a) 1,041,096
28,066 Marqeta, Inc., Class A (a) 269,153
58,066 Payoneer Global, Inc. (a) 310,072
10,121 Perficient, Inc. (a) 1,067,968
36,108 Repay Holdings Corp. (a) 483,847
117,128 Sabre Corp. (a) 720,337
14,035 Shift4 Payments, Inc.,
Class A (a) 511,295
22,179 Squarespace, Inc., Class A (a) 471,747
10,058 TTEC Holdings, Inc. 735,944
73,837 Verra Mobility Corp. (a) 1,217,572
---------------
9,071,289
---------------
MACHINERY -- 4.0%
11,327 EnPro Industries, Inc. 1,058,848
14,007 Helios Technologies, Inc. 963,962
28,319 Hillenbrand, Inc. 1,308,338
6,361 Kadant, Inc. 1,296,690
8,734 Lindsay Corp. 1,344,687
21,767 Mueller Industries, Inc. 1,465,572
24,959 Shyft Group (The), Inc. 647,436
---------------
8,085,533
---------------
MEDIA -- 1.4%
212,728 Clear Channel Outdoor
Holdings, Inc. (a) 329,728
28,849 iHeartMedia, Inc., Class A (a) 215,791
22,922 Integral Ad Science Holding
Corp. (a) 217,071
52,251 Magnite, Inc. (a) 399,198
33,473 Sinclair Broadcast Group, Inc.,
Class A 731,050
50,960 WideOpenWest, Inc. (a) 936,645
---------------
2,829,483
---------------
METALS & MINING -- 0.1%
6,432 Compass Minerals International,
Inc. 239,463
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.4%
35,393 Arbor Realty Trust, Inc. 588,232
6,012 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 216,973
---------------
805,205
---------------
MULTILINE RETAIL -- 0.5%
33,076 Franchise Group, Inc. 1,089,193
---------------
OIL, GAS & CONSUMABLE FUELS
-- 5.1%
8,107 Arch Resources, Inc. 1,046,938
23,673 Callon Petroleum Co. (a) 1,089,905
Page 100 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
193,977 Centennial Resource
Development, Inc.,
Class A (a) $ 1,291,887
9,536 Chord Energy Corp. 1,222,897
96,025 Comstock Resources, Inc. (a) 1,529,678
15,469 Denbury, Inc. (a) 1,112,376
72,955 Equitrans Midstream Corp. 572,697
187,396 Kosmos Energy Ltd. (a) 1,188,090
45,922 Northern Oil and Gas, Inc. 1,323,931
---------------
10,378,399
---------------
PERSONAL PRODUCTS -- 2.0%
53,099 Beauty Health (The) Co. (a) 707,279
37,809 elf Beauty, Inc. (a) 1,267,736
12,701 Inter Parfums, Inc. 1,060,152
6,426 Medifast, Inc. 1,080,789
---------------
4,115,956
---------------
PHARMACEUTICALS -- 1.6%
23,785 Harmony Biosciences Holdings,
Inc. (a) 1,206,613
15,917 Pacira BioSciences, Inc. (a) 900,265
19,728 Prestige Consumer Healthcare,
Inc. (a) 1,189,796
---------------
3,296,674
---------------
PROFESSIONAL SERVICES -- 2.0%
29,029 CBIZ, Inc. (a) 1,324,303
36,621 First Advantage Corp. (a) 513,793
18,911 Kforce, Inc. 1,245,289
42,220 Legalzoom.com, Inc. (a) 442,465
22,437 Upwork, Inc. (a) 416,431
---------------
3,942,281
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 2.1%
63,052 Compass, Inc., Class A (a) 240,859
46,643 DigitalBridge Group, Inc. (a) 255,604
36,054 Kennedy-Wilson Holdings, Inc. 744,876
31,359 Marcus & Millichap, Inc. 1,283,210
70,616 Newmark Group, Inc., Class A 805,022
27,624 Redfin Corp. (a) 240,329
17,261 St. Joe (The) Co. 725,307
---------------
4,295,207
---------------
ROAD & RAIL -- 0.7%
16,484 ArcBest Corp. 1,460,482
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.1%
27,570 ACM Research, Inc., Class A (a) 465,382
16,921 Axcelis Technologies, Inc. (a) 1,190,054
23,960 FormFactor, Inc. (a) 852,018
15,817 Impinj, Inc. (a) 1,344,761
31,776 Rambus, Inc. (a) 803,297
22,938 Ultra Clean Holdings, Inc. (a) 770,717
35,199 Veeco Instruments, Inc. (a) 767,338
---------------
6,193,567
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE -- 4.2%
11,038 Alarm.com Holdings, Inc. (a) $ 781,159
4,335 Altair Engineering, Inc.,
Class A (a) 255,375
9,583 Alteryx, Inc., Class A (a) 464,105
4,806 Appian Corp. (a) 233,235
12,465 C3.ai, Inc., Class A (a) 229,481
14,753 CommVault Systems, Inc. (a) 827,496
59,639 E2open Parent Holdings, Inc. (a) 402,563
8,161 Everbridge, Inc. (a) 205,167
15,263 InterDigital, Inc. 936,995
8,819 LiveRamp Holdings, Inc. (a) 234,674
42,626 Marathon Digital Holdings,
Inc. (a) (c) 553,712
18,725 PagerDuty, Inc. (a) 485,539
25,607 Progress Software Corp. 1,202,505
54,324 Riot Blockchain, Inc. (a) (c) 397,652
3,920 Sprout Social, Inc., Class A (a) 204,232
47,322 Xperi Holding Corp. 793,117
50,358 Zeta Global Holdings Corp.,
Class A (a) (c) 269,415
---------------
8,476,422
---------------
SPECIALTY RETAIL -- 1.8%
27,423 Abercrombie & Fitch Co.,
Class A (a) 488,404
32,639 Academy Sports & Outdoors,
Inc. 1,404,456
13,467 Boot Barn Holdings, Inc. (a) 838,994
16,872 National Vision Holdings,
Inc. (a) 491,650
7,354 Sleep Number Corp. (a) 331,371
---------------
3,554,875
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.4%
26,314 Avid Technology, Inc. (a) 738,371
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.8%
20,464 Kontoor Brands, Inc. 746,936
28,811 Steven Madden Ltd. 913,309
---------------
1,660,245
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.4%
42,549 Columbia Financial, Inc. (a) 865,447
---------------
TOBACCO -- 0.6%
110,474 Vector Group Ltd. 1,230,680
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.9%
82,855 Custom Truck One Source,
Inc. (a) 512,872
26,067 GMS, Inc. (a) 1,383,376
---------------
1,896,248
---------------
WATER UTILITIES -- 1.5%
8,378 American States Water Co. 730,310
12,293 California Water Service Group 738,563
5,292 Middlesex Water Co. 503,322
See Notes to Financial Statements Page 101
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
WATER UTILITIES (CONTINUED)
14,869 SJW Group $ 976,299
---------------
2,948,494
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.5%
57,319 Gogo, Inc. (a) 995,058
---------------
TOTAL COMMON STOCKS
-- 99.9% 201,575,263
(Cost $214,632,838) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.8%
$ 2,698,188 Citigroup, Inc., 2.25% (d),
dated 07/29/22, due 08/01/22,
with a maturity value of
$2,698,357. Collateralized by
U.S. Treasury Securities,
interest rates of 0.38% to
7.63%, due 08/15/22 to
11/15/51. The value of the
collateral including accrued
interest is $2,752,152. (e) 2,698,188
2,698,188 Daiwa Capital Markets America,
Inc., 2.27% (d), dated
07/29/22, due 08/01/22, with
a maturity value of
$2,698,358. Collateralized by
U.S. Treasury Securities,
interest rates of 0.00% to
3.38%, due 09/01/22 to
11/15/48. The value of the
collateral including accrued
interest is $2,752,153. (e) 2,698,188
172,246 JPMorgan Chase & Co., 2.25% (d),
dated 07/29/22, due 08/01/22,
with a maturity value of
$172,257. Collateralized by
U.S. Treasury Securities,
interest rates of 0.25% to
2.75%, due 02/28/25 to
04/30/27. The value of the
collateral including accrued
interest is $175,691. (e) 172,246
---------------
TOTAL REPURCHASE AGREEMENTS
-- 2.8% 5,568,622
(Cost $5,568,622) ---------------
TOTAL INVESTMENTS -- 102.7% 207,143,885
(Cost $220,201,460)
NET OTHER ASSETS AND
LIABILITIES -- (2.7)% (5,417,255)
---------------
NET ASSETS -- 100.0% $ 201,726,630
===============
(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.
(c) 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 $5,429,547 and the
total value of the collateral held by the Fund is $5,568,622.
(d) Rate shown reflects yield as of July 31, 2022.
(e) This security serves as collateral for securities on loan.
Page 102 See Notes to Financial Statements
<PAGE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
---------------------------------
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) $ 5,429,547
Non-cash Collateral(2) (5,429,547)
---------------
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, 2022, 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) $ 5,568,622
Non-cash Collateral(4) (5,568,622)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
<TABLE>
<CAPTION>
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Common Stocks*.................................. $ 201,575,263 $ 201,575,263 $ -- $ --
Repurchase Agreements........................... 5,568,622 -- 5,568,622 --
-----------------------------------------------------------------------------
Total Investments............................... $ 207,143,885 $ 201,575,263 $ 5,568,622 $ --
=============================================================================
</TABLE>
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 103
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2022
<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............................................... $ 1,109,998,489 $ 992,177,408 $ 840,433,976
Cash................................................................ -- -- --
Receivables:
Dividends........................................................ 1,113,926 418,209 251,002
Securities lending income........................................ 16,363 17,278 15,190
Capital shares sold.............................................. -- 4,623,198 8,385,346
Prepaid expenses.................................................... 6,520 6,278 6,107
---------------- ---------------- ----------------
Total Assets..................................................... 1,111,135,298 997,242,371 849,091,621
---------------- ---------------- ----------------
LIABILITIES:
Payables:
Collateral for securities on loan................................ 5,723,209 16,526,371 12,183,181
Investment advisory fees......................................... 445,427 385,873 331,794
Shareholder reporting fees....................................... 38,819 41,799 36,245
Licensing fees................................................... 36,828 31,881 28,088
Audit and tax fees............................................... 27,836 27,967 28,020
Trustees' fees................................................... 13 11 16
Investment securities purchased.................................. -- 4,615,550 8,382,311
Other liabilities................................................... 133,638 118,054 109,145
---------------- ---------------- ----------------
Total Liabilities................................................ 6,405,770 21,747,506 21,098,800
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 1,104,729,528 $ 975,494,865 $ 827,992,821
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 1,288,293,855 $ 1,194,490,872 $ 1,137,673,593
Par value........................................................... 135,000 105,500 98,000
Accumulated distributable earnings (loss)........................... (183,699,327) (219,101,507) (309,778,772)
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 1,104,729,528 $ 975,494,865 $ 827,992,821
================ ================ ================
NET ASSET VALUE, per share.......................................... $ 81.83 $ 92.46 $ 84.49
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 13,500,002 10,550,002 9,800,002
================ ================ ================
Investments, at cost................................................ $ 1,028,623,039 $ 930,909,981 $ 836,052,369
================ ================ ================
Securities on loan, at value........................................ $ 5,739,581 $ 16,448,664 $ 11,873,090
================ ================ ================
</TABLE>
Page 104 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>
$ 1,159,489,475 $ 938,849,806 $ 177,777,553 $ 185,436,521 $ 224,863,643 $ 287,715,223
-- -- -- -- 364,295 448,572
1,255,398 824,607 133,488 105,077 107,117 97,272
-- 29,534 1,117 7,319 471 16,440
-- -- -- -- 2,228,935 --
6,316 6,661 4,764 4,870 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,160,751,189 939,710,608 177,916,922 185,553,787 227,564,461 288,277,507
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
-- 9,426,231 878,064 2,717,708 2,322,534 6,493,919
472,149 370,624 71,392 72,364 122,141 154,592
34,544 40,573 8,635 9,352 -- --
39,365 30,518 5,989 6,501 -- --
27,939 27,838 28,631 28,588 -- --
6 21 10 17 -- --
-- -- -- -- 2,226,193 --
138,110 110,503 30,297 33,578 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
712,113 10,006,308 1,023,018 2,868,108 4,670,868 6,648,511
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,160,039,076 $ 929,704,300 $ 176,893,904 $ 182,685,679 $ 222,893,593 $ 281,628,996
================ ================ ================ ================ ================ ================
$ 1,372,462,112 $ 1,071,992,749 $ 217,716,646 $ 231,341,615 $ 270,580,380 $ 400,720,058
175,500 96,000 25,000 18,000 50,000 46,000
(212,598,536) (142,384,449) (40,847,742) (48,673,936) (47,736,787) (119,137,062)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,160,039,076 $ 929,704,300 $ 176,893,904 $ 182,685,679 $ 222,893,593 $ 281,628,996
================ ================ ================ ================ ================ ================
$ 66.10 $ 96.84 $ 70.76 $ 101.49 $ 44.58 $ 61.22
================ ================ ================ ================ ================ ================
17,550,002 9,600,002 2,500,002 1,800,002 5,000,002 4,600,002
================ ================ ================ ================ ================ ================
$ 1,139,410,850 $ 880,340,482 $ 182,342,656 $ 175,234,691 $ 235,333,378 $ 279,883,650
================ ================ ================ ================ ================ ================
$ -- $ 9,429,482 $ 870,126 $ 2,678,068 $ 2,337,774 $ 6,408,963
================ ================ ================ ================ ================ ================
</TABLE>
See Notes to Financial Statements Page 105
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 2022
<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............................................... $ 226,465,814 $ 207,143,885
Cash................................................................ 239,175 227,775
Receivables:
Dividends........................................................ 80,037 29,790
Securities lending income........................................ 6,631 6,892
Capital shares sold.............................................. -- --
Prepaid expenses.................................................... -- --
---------------- ----------------
Total Assets..................................................... 226,791,657 207,408,342
---------------- ----------------
LIABILITIES:
Payables:
Collateral for securities on loan................................ 2,941,261 5,568,622
Investment advisory fees......................................... 128,786 113,090
Shareholder reporting fees....................................... -- --
Licensing fees................................................... -- --
Audit and tax fees............................................... -- --
Trustees' fees................................................... -- --
Investment securities purchased.................................. -- --
Other liabilities................................................... -- --
---------------- ----------------
Total Liabilities................................................ 3,070,047 5,681,712
---------------- ----------------
NET ASSETS.......................................................... $ 223,721,610 $ 201,726,630
================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 287,243,438 $ 358,300,052
Par value........................................................... 46,000 33,500
Accumulated distributable earnings (loss)........................... (63,567,828) (156,606,922)
---------------- ----------------
NET ASSETS.......................................................... $ 223,721,610 $ 201,726,630
================ ================
NET ASSET VALUE, per share.......................................... $ 48.64 $ 60.22
================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 4,600,002 3,350,002
================ ================
Investments, at cost................................................ $ 241,624,168 $ 220,201,460
================ ================
Securities on loan, at value........................................ $ 2,855,353 $ 5,429,547
================ ================
</TABLE>
Page 106 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2022
<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........................................................... $ 20,335,054 $ 17,198,679 $ 15,823,016
Securities lending income (net of fees)............................. 59,337 83,009 140,818
Foreign withholding tax............................................. (3,001) (8,193) (8,518)
---------------- ---------------- ----------------
Total investment income.......................................... 20,391,390 17,273,495 15,955,316
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................ 5,826,348 5,037,782 4,500,595
Accounting and administration fees.................................. 568,235 504,080 453,760
Licensing fees...................................................... 123,313 107,679 97,512
Shareholder reporting fees.......................................... 106,707 119,256 102,725
Custodian fees...................................................... 96,281 95,050 85,061
Transfer agent fees................................................. 54,132 49,711 44,955
Audit and tax fees.................................................. 28,801 28,846 28,780
Legal fees.......................................................... 19,097 16,913 15,090
Trustees' fees and expenses......................................... 6,861 6,795 6,740
Listing fees........................................................ 5,422 5,341 4,831
Expenses previously waived or reimbursed............................ -- -- --
Other expenses...................................................... 18,494 15,062 13,260
---------------- ---------------- ----------------
Total expenses................................................... 6,853,691 5,986,515 5,353,309
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)........................................ 13,537,699 11,286,980 10,602,007
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 40,479,370 (32,559,682) (39,316,682)
In-kind redemptions.............................................. 35,296,036 77,680,107 82,377,850
---------------- ---------------- ----------------
Net realized gain (loss)............................................ 75,775,406 45,120,425 43,061,168
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments. (145,056,854) (115,208,047) (117,062,484)
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (69,281,448) (70,087,622) (74,001,316)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ (55,743,749) $ (58,800,642) $ (63,399,309)
================ ================ ================
</TABLE>
See Notes to Financial Statements Page 107
<PAGE>
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED JULY 31, 2022
<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........................................................... $ 27,269,987 $ 10,069,217 $ 3,774,132
Securities lending income (net of fees)............................. 14,662 108,610 7,985
Foreign withholding tax............................................. -- (9,072) (1,189)
---------------- ---------------- ----------------
Total investment income.......................................... 27,284,649 10,168,755 3,780,928
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................ 5,745,159 5,582,229 819,696
Accounting and administration fees.................................. 561,220 545,026 85,504
Licensing fees...................................................... 121,364 118,476 23,894
Shareholder reporting fees.......................................... 114,690 108,883 33,938
Custodian fees...................................................... 91,573 88,079 35,335
Transfer agent fees................................................. 53,726 52,121 8,197
Audit and tax fees.................................................. 28,692 28,638 29,030
Legal fees.......................................................... 20,406 20,219 2,831
Trustees' fees and expenses......................................... 6,866 6,836 6,368
Listing fees........................................................ 5,422 5,385 6,219
Expenses previously waived or reimbursed............................ -- -- 33,031
Other expenses...................................................... 16,616 17,546 2,552
---------------- ---------------- ----------------
Total expenses................................................... 6,765,734 6,573,438 1,086,595
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)........................................ 20,518,915 3,595,317 2,694,333
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 8,410,019 (20,991,493) (599,005)
In-kind redemptions.............................................. 128,387,898 55,886,898 17,678,580
---------------- ---------------- ----------------
Net realized gain (loss)............................................ 136,797,917 34,895,405 17,079,575
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments. (137,057,638) (199,373,147) (20,229,557)
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (259,721) (164,477,742) (3,149,982)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 20,259,194 $ (160,882,425) $ (455,649)
================ ================ ================
</TABLE>
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
Statements).
Page 108 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>
$ 2,235,277 $ 4,573,178 $ 2,859,764 $ 4,684,051 $ 4,533,253
37,612 6,325 60,391 36,906 98,209
(1,051) (3,067) -- (3,148) (488)
---------------- ---------------- ---------------- ---------------- ----------------
2,271,838 4,576,436 2,920,155 4,717,809 4,630,974
---------------- ---------------- ---------------- ---------------- ----------------
1,119,691 1,373,456 (a) 2,582,890 (a) 1,659,766 (a) 2,055,987 (a)
115,993 -- -- -- --
29,894 -- -- -- --
33,499 -- -- -- --
40,991 -- -- -- --
11,197 -- -- -- --
28,856 -- -- -- --
4,020 -- -- -- --
6,387 -- -- -- --
6,230 -- -- -- --
-- -- -- -- --
3,956 -- -- -- --
---------------- ---------------- ---------------- ---------------- ----------------
1,400,714 1,373,456 2,582,890 1,659,766 2,055,987
---------------- ---------------- ---------------- ---------------- ----------------
871,124 3,202,980 337,265 3,058,043 2,574,987
---------------- ---------------- ---------------- ---------------- ----------------
(18,872,922) (11,728,674) (38,126,197) (8,470,630) (24,380,803)
19,138,337 22,163,984 21,353,049 17,963,809 28,312,389
---------------- ---------------- ---------------- ---------------- ----------------
265,415 10,435,310 (16,773,148) 9,493,179 3,931,586
---------------- ---------------- ---------------- ---------------- ----------------
(37,297,428) (18,825,308) (52,725,413) (21,876,108) (53,232,094)
---------------- ---------------- ---------------- ---------------- ----------------
(37,032,013) (8,389,998) (69,498,561) (12,382,929) (49,300,508)
---------------- ---------------- ---------------- ---------------- ----------------
$ (36,160,889) $ (5,187,018) $ (69,161,296) $ (9,324,886) $ (46,725,521)
================ ================ ================ ================ ================
</TABLE>
See Notes to Financial Statements Page 109
<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
7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)............................ $ 13,537,699 $ 9,839,435 $ 11,286,980 $ 6,365,577
Net realized gain (loss)................................ 75,775,406 197,373,767 45,120,425 182,010,495
Net change in unrealized appreciation (depreciation).... (145,056,854) 146,237,892 (115,208,047) 136,431,833
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (55,743,749) 353,451,094 (58,800,642) 324,807,905
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (12,780,587) (9,797,516) (11,863,187) (7,128,332)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 117,700,738 483,630,605 292,232,090 626,570,191
Cost of shares redeemed................................. (134,355,401) (562,355,482) (273,376,258) (506,859,355)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (16,654,663) (78,724,877) 18,855,832 119,710,836
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (85,178,999) 264,928,701 (51,807,997) 437,390,409
NET ASSETS:
Beginning of period..................................... 1,189,908,527 924,979,826 1,027,302,862 589,912,453
--------------- --------------- --------------- ---------------
End of period........................................... $ 1,104,729,528 $ 1,189,908,527 $ 975,494,865 $ 1,027,302,862
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 13,700,002 14,850,002 10,350,002 9,100,002
Shares sold............................................. 1,350,000 6,100,000 3,050,000 7,250,000
Shares redeemed......................................... (1,550,000) (7,250,000) (2,850,000) (6,000,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 13,500,002 13,700,002 10,550,002 10,350,002
=============== =============== =============== ===============
</TABLE>
Page 110 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
7/31/2022 7/31/2021 7/31/2022 7/31/2021 7/31/2022 7/31/2021 7/31/2022 7/31/2021
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 10,602,007 $ 5,509,309 $ 20,518,915 $ 14,730,152 $ 3,595,317 $ (773,238) $ 2,694,333 $ 1,337,216
43,061,168 191,192,225 136,797,917 76,073,215 34,895,405 322,338,978 17,079,575 8,702,874
(117,062,484) 92,126,425 (137,057,638) 191,447,205 (199,373,147) 34,243,661 (20,229,557) 18,733,553
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(63,399,309) 288,827,959 20,259,194 282,250,572 (160,882,425) 355,809,401 (455,649) 28,773,643
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(9,613,591) (5,553,651) (19,926,672) (14,484,287) (2,104,295) (444,000) (2,513,652) (1,263,172)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
296,774,587 760,120,351 590,343,175 230,930,876 146,870,105 934,609,338 101,835,616 99,958,491
(313,468,453) (523,165,471) (496,617,438) (49,732,235) (248,289,677) (1,085,011,131) (88,914,640) (11,914,066)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(16,693,866) 236,954,880 93,725,737 181,198,641 (101,419,572) (150,401,793) 12,920,976 88,044,425
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(89,706,766) 520,229,188 94,058,259 448,964,926 (264,406,292) 204,963,608 9,951,675 115,554,896
917,699,587 397,470,399 1,065,980,817 617,015,891 1,194,110,592 989,146,984 166,942,229 51,387,333
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 827,992,821 $ 917,699,587 $1,160,039,076 $1,065,980,817 $ 929,704,300 $1,194,110,592 $ 176,893,904 $ 166,942,229
============== ============== ============== ============== ============== ============== ============== ==============
10,050,002 7,100,002 16,200,002 13,300,002 10,600,002 12,050,002 2,350,002 1,100,002
3,300,000 9,350,000 8,700,000 3,800,000 1,350,000 9,900,000 1,400,000 1,450,000
(3,550,000) (6,400,000) (7,350,000) (900,000) (2,350,000) (11,350,000) (1,250,000) (200,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
9,800,002 10,050,002 17,550,002 16,200,002 9,600,002 10,600,002 2,500,002 2,350,002
============== ============== ============== ============== ============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 111
<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
7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)............................ $ 871,124 $ (183,248) $ 3,202,980 $ 1,017,456
Net realized gain (loss)................................ 265,415 64,948,003 10,435,310 9,721,030
Net change in unrealized appreciation (depreciation).... (37,297,428) 7,972,067 (18,825,308) 12,493,205
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (36,160,889) 72,736,822 (5,187,018) 23,231,691
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (548,985) (257,400) (2,896,736) (943,116)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 77,610,274 160,211,179 270,963,252 133,213,906
Cost of shares redeemed................................. (79,443,452) (181,828,533) (180,759,426) (49,365,250)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (1,833,178) (21,617,354) 90,203,826 83,848,656
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (38,543,052) 50,862,068 82,120,072 106,137,231
NET ASSETS:
Beginning of period..................................... 221,228,731 170,366,663 140,773,521 34,636,290
--------------- --------------- --------------- ---------------
End of period........................................... $ 182,685,679 $ 221,228,731 $ 222,893,593 $ 140,773,521
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 1,850,002 2,050,002 3,150,002 1,250,002
Shares sold............................................. 650,000 1,550,000 5,900,000 3,100,000
Shares redeemed......................................... (700,000) (1,750,000) (4,050,000) (1,200,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 1,800,002 1,850,002 5,000,002 3,150,002
=============== =============== =============== ===============
</TABLE>
Page 112 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
7/31/2022 7/31/2021 7/31/2022 7/31/2021 7/31/2022 7/31/2021
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
$ 337,265 $ (1,023,690) $ 3,058,043 $ 1,941,913 $ 2,574,987 $ 49,005
(16,773,148) 171,017,302 9,493,179 43,729,701 3,931,586 87,908,979
(52,725,413) (13,848,396) (21,876,108) 6,337,206 (53,232,094) 14,992,709
-------------- -------------- -------------- -------------- -------------- --------------
(69,161,296) 156,145,216 (9,324,886) 52,008,820 (46,725,521) 102,950,693
-------------- -------------- -------------- -------------- -------------- --------------
-- (1,105,830) (2,856,336) (1,841,246) (2,337,676) (269,720)
-------------- -------------- -------------- -------------- -------------- --------------
38,997,641 534,511,489 142,579,606 385,564,740 78,477,080 485,985,913
(151,779,469) (564,127,777) (175,667,971) (212,916,907) (222,514,171) (340,543,806)
-------------- -------------- -------------- -------------- -------------- --------------
(112,781,828) (29,616,288) (33,088,365) 172,647,833 (144,037,091) 145,442,107
-------------- -------------- -------------- -------------- -------------- --------------
(181,943,124) 125,423,098 (45,269,587) 222,815,407 (193,100,288) 248,123,080
463,572,120 338,149,022 268,991,197 46,175,790 394,826,918 146,703,838
-------------- -------------- -------------- -------------- -------------- --------------
$ 281,628,996 $ 463,572,120 $ 223,721,610 $ 268,991,197 $ 201,726,630 $ 394,826,918
============== ============== ============== ============== ============== ==============
6,300,002 6,600,002 5,350,002 1,500,002 5,550,002 3,300,002
550,000 8,350,000 2,850,000 8,200,000 1,100,000 7,450,000
(2,250,000) (8,650,000) (3,600,000) (4,350,000) (3,300,000) (5,200,000)
-------------- -------------- -------------- -------------- -------------- --------------
4,600,002 6,300,002 4,600,002 5,350,002 3,350,002 5,550,002
============== ============== ============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 113
<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,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 86.85 $ 62.29 $ 62.11 $ 60.79 $ 54.07
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.01 0.71 0.93 0.77 0.69
Net realized and unrealized gain (loss) (5.08) 24.55 0.20 1.28 6.69
---------- ---------- ---------- ---------- ----------
Total from investment operations (4.07) 25.26 1.13 2.05 7.38
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.95) (0.70) (0.95) (0.73) (0.66)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 81.83 $ 86.85 $ 62.29 $ 62.11 $ 60.79
========== ========== ========== ========== ==========
TOTAL RETURN (a) (4.73)% 40.77% 1.95% 3.48% 13.72%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,104,730 $1,189,909 $ 924,980 $1,434,679 $1,540,924
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.59% 0.59% 0.59% 0.60% 0.61%
Ratio of net expenses to average net assets 0.59% 0.59% 0.59% 0.60% 0.61%
Ratio of net investment income (loss) to
average net assets 1.16% 0.94% 1.49% 1.29% 1.17%
Portfolio turnover rate (b) 87% 91% 104% 102% 87%
</TABLE>
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 99.26 $ 64.83 $ 69.86 $ 69.63 $ 59.91
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.08 0.70 0.85 0.63 0.61
Net realized and unrealized gain (loss) (6.74) 34.51 (4.93) 0.16 9.71
---------- ---------- ---------- ---------- ----------
Total from investment operations (5.66) 35.21 (4.08) 0.79 10.32
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.14) (0.78) (0.95) (0.56) (0.60)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 92.46 $ 99.26 $ 64.83 $ 69.86 $ 69.63
========== ========== ========== ========== ==========
TOTAL RETURN (a) (5.74)% 54.62% (5.86)% 1.22% 17.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 975,495 $1,027,303 $ 589,912 $ 887,176 $ 901,732
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.62%
Ratio of net expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.62%
Ratio of net investment income (loss) to
average net assets 1.12% 0.79% 1.32% 0.94% 0.94%
Portfolio turnover rate (b) 95% 114% 115% 114% 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 114 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,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 91.31 $ 55.98 $ 61.84 $ 66.80 $ 56.23
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.05 0.61 0.51 0.60 0.52
Net realized and unrealized gain (loss) (6.92) 35.35 (5.75) (4.98) 10.53
---------- ---------- ---------- ---------- ----------
Total from investment operations (5.87) 35.96 (5.24) (4.38) 11.05
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.95) (0.63) (0.62) (0.58) (0.48)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 84.49 $ 91.31 $ 55.98 $ 61.84 $ 66.80
========== ========== ========== ========== ==========
TOTAL RETURN (a) (6.50)% 64.45% (8.55)% (6.52)% 19.72% (b)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 827,993 $ 917,700 $ 397,470 $ 602,918 $ 728,102
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 1.18% 0.77% 0.93% 0.96% 0.87%
Portfolio turnover rate (c) 94% 116% 123% 117% 116%
</TABLE>
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 65.80 $ 46.39 $ 52.79 $ 54.07 $ 50.94
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.21 1.01 1.11 1.02 1.02
Net realized and unrealized gain (loss) 0.27 (d) 19.41 (6.28) (1.43) 3.08
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.48 20.42 (5.17) (0.41) 4.10
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.18) (1.01) (1.23) (0.87) (0.97)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 66.10 $ 65.80 $ 46.39 $ 52.79 $ 54.07
========== ========== ========== ========== ==========
TOTAL RETURN (a) 2.24% 44.43% (9.84)% (0.65)% 8.12%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,160,039 $1,065,981 $ 617,016 $1,166,569 $1,146,354
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.59% 0.59% 0.60% 0.60% 0.61%
Ratio of net expenses to average net assets 0.59% 0.59% 0.60% 0.60% 0.61%
Ratio of net investment income (loss) to
average net assets 1.79% 1.76% 2.12% 1.99% 1.92%
Portfolio turnover rate (c) 75% 91% 94% 96% 82%
</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.
(d) The per share amount does not correlate with the aggregate realized and
unrealized gain (loss) due to the timing of the Fund share sales and
repurchases in relation to market value fluctuation of the underlying
investments.
See Notes to Financial Statements Page 115
<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,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 112.65 $ 82.09 $ 71.35 $ 66.91 $ 55.88
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.37 (0.07) 0.55 0.37 0.23
Net realized and unrealized gain (loss) (15.96) 30.67 10.80 4.39 11.03
---------- ---------- ---------- ---------- ----------
Total from investment operations (15.59) 30.60 11.35 4.76 11.26
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.22) (0.04) (0.61) (0.32) (0.23)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 96.84 $ 112.65 $ 82.09 $ 71.35 $ 66.91
========== ========== ========== ========== ==========
TOTAL RETURN (a) (13.84)% 37.30% 16.10% 7.16% 20.19%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 929,704 $1,194,111 $ 989,147 $1,041,726 $ 899,998
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 0.32% (0.07)% 0.76% 0.56% 0.36%
Portfolio turnover rate (b) 121% 116% 138% 132% 119%
</TABLE>
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 71.04 $ 46.72 $ 54.39 $ 57.35 $ 52.84
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.20 0.84 0.95 0.92 0.96
Net realized and unrealized gain (loss) (0.35) 24.34 (7.54) (3.04) 4.45
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.85 25.18 (6.59) (2.12) 5.41
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.13) (0.86) (1.08) (0.84) (0.90)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 70.76 $ 71.04 $ 46.72 $ 54.39 $ 57.35
========== ========== ========== ========== ==========
TOTAL RETURN (a) 1.20% 54.35% (12.24)% (3.62)% 10.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 176,894 $ 166,942 $ 51,387 $ 84,301 $ 91,766
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.66% 0.69% 0.74% 0.73% 0.70%
Ratio of net expenses to average net assets 0.66% 0.69% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.64% 1.43% 1.86% 1.69% 1.67%
Portfolio turnover rate (b) 76% 92% 98% 96% 89%
</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 116 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,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 119.58 $ 83.11 $ 75.90 $ 72.71 $ 59.33
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.46 (0.11) 0.42 0.22 0.12
Net realized and unrealized gain (loss) (18.27) 36.71 7.27 3.14 13.40
---------- ---------- ---------- ---------- ----------
Total from investment operations (17.81) 36.60 7.69 3.36 13.52
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.28) (0.13) (0.48) (0.17) (0.14)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 101.49 $ 119.58 $ 83.11 $ 75.90 $ 72.71
========== ========== ========== ========== ==========
TOTAL RETURN (a) (14.91)% 44.10% 10.23% 4.65% 22.82%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 182,686 $ 221,229 $ 170,367 $ 185,955 $ 192,685
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.63% 0.63% 0.66% 0.69%
Ratio of net expenses to average net assets 0.63% 0.63% 0.63% 0.66% 0.69%
Ratio of net investment income (loss) to
average net assets 0.39% (0.09)% 0.56% 0.31% 0.18%
Portfolio turnover rate (b) 115% 104% 123% 130% 118%
</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 117
<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,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 44.69 $ 27.71 $ 34.67 $ 36.71 $ 33.65
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.74 0.54 0.63 0.51 0.58
Net realized and unrealized gain (loss) (0.16) 16.98 (6.86) (2.10) 3.04
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.58 17.52 (6.23) (1.59) 3.62
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.69) (0.54) (0.73) (0.45) (0.56)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 44.58 $ 44.69 $ 27.71 $ 34.67 $ 36.71
========== ========== ========== ========== ==========
TOTAL RETURN (a) 1.31% 63.76% (18.19)% (4.26)% 10.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 222,894 $ 140,774 $ 34,636 $ 55,473 $ 49,565
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 1.63% 1.33% 2.04% 1.49% 1.61%
Portfolio turnover rate (b) 84% 102% 107% 113% 94%
</TABLE>
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 73.58 $ 51.23 $ 46.59 $ 43.80 $ 35.07
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01 (0.18) 0.11 0.04 0.03
Net realized and unrealized gain (loss) (12.37) 22.69 4.67 2.77 8.75
---------- ---------- ---------- ---------- ----------
Total from investment operations (12.36) 22.51 4.78 2.81 8.78
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- (0.16) (0.14) (0.02) (0.05)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 61.22 $ 73.58 $ 51.23 $ 46.59 $ 43.80
========== ========== ========== ========== ==========
TOTAL RETURN (a) (16.80)% 44.02% 10.28% 6.43% 25.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 281,629 $ 463,572 $ 338,149 $ 309,826 $ 214,639
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 0.09% (0.24)% 0.23% 0.09% 0.02%
Portfolio turnover rate (b) 136% 138% 135% 144% 124%
</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 118 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,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 50.28 $ 30.78 $ 34.66 $ 38.98 $ 34.33
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.67 0.45 0.38 0.57 0.48
Net realized and unrealized gain (loss) (1.69) 19.52 (3.75) (4.36) 4.60
---------- ---------- ---------- ---------- ----------
Total from investment operations (1.02) 19.97 (3.37) (3.79) 5.08
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.62) (0.47) (0.51) (0.53) (0.43)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 48.64 $ 50.28 $ 30.78 $ 34.66 $ 38.98
========== ========== ========== ========== ==========
TOTAL RETURN (a) (2.06)% 65.22% (9.83)% (9.69)% 14.86% (b)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 223,722 $ 268,991 $ 46,176 $ 60,659 $ 76,003
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 1.29% 1.08% 1.18% 1.58% 1.28%
Portfolio turnover rate (c) 90% 109% 120% 120% 123%
</TABLE>
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
<TABLE>
<CAPTION>
YEAR ENDED JULY 31,
------------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 71.14 $ 44.46 $ 46.87 $ 48.79 $ 38.83
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.54 0.03 0.17 0.02 0.06
Net realized and unrealized gain (loss) (10.99) 26.72 (2.40) (1.93) 9.97
---------- ---------- ---------- ---------- ----------
Total from investment operations (10.45) 26.75 (2.23) (1.91) 10.03
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.47) (0.07) (0.18) (0.01) (0.07)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 60.22 $ 71.14 $ 44.46 $ 46.87 $ 48.79
========== ========== ========== ========== ==========
TOTAL RETURN (a) (14.81)% 60.24% (4.79)% (3.90)% 25.85% (d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 201,727 $ 394,827 $ 146,704 $ 278,851 $ 361,010
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 0.88% 0.02% 0.44% 0.04% 0.11%
Portfolio turnover rate (c) 132% 151% 137% 152% 141%
</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 119
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
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
("SEC") 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 120
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
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 121
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
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, 2022, is
included with each Fund's Portfolio of Investments.
In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing
requirements to determine fair value in good faith for purposes of the 1940 Act.
The rule permits fund boards to designate a fund's investment adviser to perform
fair value determinations, subject to board oversight and certain other
conditions. The rule also defines when market quotations are "readily available"
for purposes of the 1940 Act and requires a fund to fair value a portfolio
investment when a market quotation is not readily available. The SEC also
adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping
requirements associated with fair value determinations. The compliance date for
Rule 2a-5 and Rule 31a-4 is September 8, 2022.
Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the
Trust's Board of Trustees designated the Advisor as its valuation designee to
perform fair value determinations and approved new Advisor Valuation Procedures
for the Trust.
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
Page 122
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
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, 2022, all the Funds except FTA had securities
in the securities lending program. During the fiscal year ended July 31, 2022,
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
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, 2022, 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, 2022, 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 $ 12,780,587 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 11,863,187 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 9,613,591 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 19,926,672 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 2,104,295 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 2,513,652 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 548,985 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 2,896,736 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- --
First Trust Small Cap Value AlphaDEX(R) Fund 2,856,336 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 2,337,676 -- --
</TABLE>
Page 123
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
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>
As of July 31, 2022, 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 $ 1,806,887 $ (263,438,750) $ 77,932,536
First Trust Mid Cap Core AlphaDEX(R) Fund 1,495,999 (271,775,189) 51,177,683
First Trust Small Cap Core AlphaDEX(R) Fund 341,829 (302,093,125) (8,027,476)
First Trust Large Cap Value AlphaDEX(R) Fund 2,258,014 (225,179,454) 10,322,904
First Trust Large Cap Growth AlphaDEX(R) Fund 1,118,330 (201,630,686) 58,127,907
First Trust Multi Cap Value AlphaDEX(R) Fund 356,206 (33,769,693) (7,434,255)
First Trust Multi Cap Growth AlphaDEX(R) Fund 18,597 (58,614,542) 9,922,009
First Trust Mid Cap Value AlphaDEX(R) Fund 419,163 (34,261,605) (13,894,345)
First Trust Mid Cap Growth AlphaDEX(R) Fund -- (126,446,869) 7,309,807
First Trust Small Cap Value AlphaDEX(R) Fund 392,935 (44,751,387) (19,209,376)
First Trust Small Cap Growth AlphaDEX(R) Fund (732,602) (142,562,991) (13,311,329)
</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. The taxable years ended 2019,
2020, 2021, and 2022 remain open to federal and state audit. As of July 31,
2022, 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, 2022, 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 124
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
<TABLE>
<CAPTION>
Non-Expiring
Capital Loss
Carryforward
-------------
<S> <C>
First Trust Large Cap Core AlphaDEX(R) Fund $ 263,438,750
First Trust Mid Cap Core AlphaDEX(R) Fund 271,775,189
First Trust Small Cap Core AlphaDEX(R) Fund 302,093,125
First Trust Large Cap Value AlphaDEX(R) Fund 225,179,454
First Trust Large Cap Growth AlphaDEX(R) Fund 201,630,686
First Trust Multi Cap Value AlphaDEX(R) Fund 33,769,693
First Trust Multi Cap Growth AlphaDEX(R) Fund 58,614,542
First Trust Mid Cap Value AlphaDEX(R) Fund 34,261,605
First Trust Mid Cap Growth AlphaDEX(R) Fund 126,446,869
First Trust Small Cap Value AlphaDEX(R) Fund 44,751,387
First Trust Small Cap Growth AlphaDEX(R) Fund 142,562,991
</TABLE>
During the taxable year ended July 31, 2022, the following Funds utilized
capital loss carryforwards in the following amounts:
<TABLE>
<CAPTION>
Capital Loss
Carryforward
Utilized
-------------
<S> <C>
First Trust Large Cap Core AlphaDEX(R) Fund $ 39,646,001
First Trust Mid Cap Core AlphaDEX(R) Fund --
First Trust Small Cap Core AlphaDEX(R) Fund --
First Trust Large Cap Value AlphaDEX(R) Fund 17,259,772
First Trust Large Cap Growth AlphaDEX(R) Fund --
First Trust Multi Cap Value AlphaDEX(R) Fund 2,356,314
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 --
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, 2022, the following Fund
listed below incurred and elected to defer net late year ordinary or capital
losses as follows:
<TABLE>
<CAPTION>
Qualified Late Year Losses
--------------------------
Ordinary Losses Capital Losses
----------------- ----------------
<S> <C> <C>
First Trust Small Cap Growth AlphaDEX(R) Fund $ 732,602 $ --
</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, 2022, the adjustments for each Fund were as follows:
Page 125
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
<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 $ -- $ (34,000,141) $ 34,000,141
First Trust Mid Cap Core AlphaDEX(R) Fund (55,314) (74,936,834) 74,992,148
First Trust Small Cap Core AlphaDEX(R) Fund (1,049,044) (78,165,405) 79,214,449
First Trust Large Cap Value AlphaDEX(R) Fund -- (126,216,649) 126,216,649
First Trust Large Cap Growth AlphaDEX(R) Fund -- (54,636,415) 54,636,415
First Trust Multi Cap Value AlphaDEX(R) Fund 7,995 (17,170,751) 17,162,756
First Trust Multi Cap Growth AlphaDEX(R) Fund (163,895) (18,421,124) 18,585,019
First Trust Mid Cap Value AlphaDEX(R) Fund 29,702 (19,813,064) 19,783,362
First Trust Mid Cap Growth AlphaDEX(R) Fund 710,611 (20,292,026) 19,581,415
First Trust Small Cap Value AlphaDEX(R) Fund -- (14,777,595) 14,777,595
First Trust Small Cap Growth AlphaDEX(R) Fund (955,557) (24,204,839) 25,160,396
</TABLE>
As of July 31, 2022, the aggregate cost, gross unrealized appreciation, gross
unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
<TABLE>
<CAPTION>
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
First Trust Large Cap Core AlphaDEX(R) Fund $1,032,065,953 $ 137,297,791 $ (59,365,255) $ 77,932,536
First Trust Mid Cap Core AlphaDEX(R) Fund 940,999,725 111,949,066 (60,771,383) 51,177,683
First Trust Small Cap Core AlphaDEX(R) Fund 848,461,452 80,599,894 (88,627,370) (8,027,476)
First Trust Large Cap Value AlphaDEX(R) Fund 1,149,166,571 104,667,408 (94,344,504) 10,322,904
First Trust Large Cap Growth AlphaDEX(R) Fund 880,721,899 96,698,770 (38,570,863) 58,127,907
First Trust Multi Cap Value AlphaDEX(R) Fund 185,211,808 10,029,333 (17,463,588) (7,434,255)
First Trust Multi Cap Growth AlphaDEX(R) Fund 175,514,512 20,660,413 (10,738,404) 9,922,009
First Trust Mid Cap Value AlphaDEX(R) Fund 238,757,988 9,379,029 (23,273,374) (13,894,345)
First Trust Mid Cap Growth AlphaDEX(R) Fund 280,405,416 24,960,471 (17,650,664) 7,309,807
First Trust Small Cap Value AlphaDEX(R) Fund 245,675,190 10,608,503 (29,817,879) (19,209,376)
First Trust Small Cap Growth AlphaDEX(R) Fund 220,455,214 12,768,852 (26,080,181) (13,311,329)
</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.
Page 126
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
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, 2023.
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, 2022, there were no fees waived or expenses
reimbursed by First Trust for the Funds. During the fiscal year ended July 31,
2022, First Trust recovered fees that were previously waived from First Trust
Multi Cap Value AlphaDEX(R) Fund of $33,031. As of July 31, 2022, the First
Trust Multi Cap Value AlphaDEX(R) Fund did not have any remaining fees
previously waived or expenses reimbursed that were subject to recovery.
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 an index fund.
Additionally, the Lead Independent Trustee and the Chairs 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 Chairs
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, 2022, 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 $ 1,013,632,489 $ 1,012,075,678
First Trust Mid Cap Core AlphaDEX(R) Fund 950,179,043 953,267,441
First Trust Small Cap Core AlphaDEX(R) Fund 845,020,627 840,632,376
First Trust Large Cap Value AlphaDEX(R) Fund 859,744,766 854,574,909
First Trust Large Cap Growth AlphaDEX(R) Fund 1,345,984,770 1,343,636,639
First Trust Multi Cap Value AlphaDEX(R) Fund 126,147,315 125,216,014
First Trust Multi Cap Growth AlphaDEX(R) Fund 256,435,513 255,949,005
First Trust Mid Cap Value AlphaDEX(R) Fund 166,791,344 165,306,600
First Trust Mid Cap Growth AlphaDEX(R) Fund 503,688,285 503,481,738
First Trust Small Cap Value AlphaDEX(R) Fund 215,110,374 213,724,945
First Trust Small Cap Growth AlphaDEX(R) Fund 387,038,071 386,635,298
</TABLE>
Page 127
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
For the fiscal year ended July 31, 2022, 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 $ 117,500,801 $ 134,137,033
First Trust Mid Cap Core AlphaDEX(R) Fund 291,606,977 268,347,920
First Trust Small Cap Core AlphaDEX(R) Fund 296,195,306 314,193,972
First Trust Large Cap Value AlphaDEX(R) Fund 589,293,372 498,314,626
First Trust Large Cap Growth AlphaDEX(R) Fund 146,674,556 247,979,917
First Trust Multi Cap Value AlphaDEX(R) Fund 101,600,772 88,943,160
First Trust Multi Cap Growth AlphaDEX(R) Fund 77,467,091 79,281,135
First Trust Mid Cap Value AlphaDEX(R) Fund 270,275,453 181,056,004
First Trust Mid Cap Growth AlphaDEX(R) Fund 38,974,455 151,611,268
First Trust Small Cap Value AlphaDEX(R) Fund 142,323,878 175,677,923
First Trust Small Cap Growth AlphaDEX(R) Fund 78,402,095 222,217,535
</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, 2023.
Page 128
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
Page 129
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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 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, 2022, 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, 2022, 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, 2022, 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 22, 2022
We have served as the auditor of one or more First Trust investment companies
since 2001.
Page 130
<PAGE>
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022 (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, 2022, 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 99.30%
First Trust Small Cap Core AlphaDEX(R) Fund 99.89%
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 0.00%
First Trust Small Cap Value AlphaDEX(R) Fund 99.71%
First Trust Small Cap Growth AlphaDEX(R) Fund 100.00%
</TABLE>
For the taxable year ended July 31, 2022, the following percentages of income
dividend paid by the Funds are 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 0.00%
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'
2022 ordinary dividends (including short-term capital gains) paid to its
shareholders during the fiscal year ended July 31, 2022, 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.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022 (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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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022 (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, has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. 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. In February 2022, Russia invaded Ukraine which has caused and could
continue to cause significant market disruptions and volatility within the
markets in Russia, Europe, and the United States. The hostilities and sanctions
resulting from those hostilities could have a significant impact on certain fund
investments as well as fund performance. 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
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022 (UNAUDITED)
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
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, 2021, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $3,582,060.
This figure is comprised of $137,840 paid (or to be paid) in fixed compensation
and $3,444,220 paid (or to be paid) in variable compensation. There were a total
of 24 beneficiaries of the remuneration described above. Those amounts include
$1,839,510 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $1,742,550 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.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022 (UNAUDITED)
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.
ADVISORY AGREEMENTS
BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENTS
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 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 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, 2023 at a meeting held on June 12-13, 2022. 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 18, 2022 and June 12-13, 2022, 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 indirect 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 18, 2022, 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 12-13, 2022 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.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022 (UNAUDITED)
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 18, 2022 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, FTA, FTC, FAB and FAD (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, 2023. 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 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 18, 2022 meeting, discussed with Broadridge its
methodology for assembling peer groups and 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, 2021 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
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2022 (UNAUDITED)
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.
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 that its expenses
relating to providing advisory services to the Funds will likely increase during
the next twelve months as the Advisor continues to build infrastructure and add
new staff. 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, 2021 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 indirect benefits described
by the Advisor that may be realized from its relationship with the Funds. The
Board considered that the Advisor had identified as an indirect 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 indirect
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 Fund 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 18, 2022 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 16, 2021 through the Liquidity Committee's annual meeting held
on March 17, 2022 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, 2022 (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, Edward-Elmhurst Medical 220 None
(1951) Group; Physician and Officer,
o Since Inception Wheaton Orthopedics (1990 to 2021)
Thomas R. Kadlec, Trustee o Indefinite Term Retired; President, ADM Investors 220 Director, National
(1957) Services, Inc. (Futures Commission Futures Association
o Since Inception Merchant) (2010 to July 2022) and ADMIS Singapore
Ltd.; Formerly,
Director of ADM
Investor Services,
Inc., ADM
Investor Services
International, ADMIS
Hong Kong Ltd., and
Futures Industry
Association
Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 220 Director and Board
(1964) Health and President, Advocate Aurora Chair of Advocate Home
o Since 2021 Continuing Health Division (Integrated Health Services,
Healthcare System) Advocate Home Care
Products and Advocate
Hospice; Director and
Board Chair of Aurora
At Home (since 2018);
Director of Advocate
Physician Partners
Accountable Care
Organization; Director
and Board Chair of
RML Long Term Acute
Care Hospitals; and
Director of Senior
Helpers (since 2021)
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 220 Formerly, Director of
(1956) and Management Consulting) Trust Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (2018 to Present), 220 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (2015 to 2018), Pelita Harapan
Educational Foundation (Educational
Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 220 None
Chairman of the Board Advisors L.P. and First Trust Portfolios
(1955) o Since Inception 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 138
<PAGE>
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2022 (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, First
(1966) Executive Officer Trust Advisors L.P. and First Trust Portfolios L.P.;
o Since 2016 Chief Financial Officer, BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1972) Officer and Chief Accounting First Trust Portfolios L.P.
Officer o Since 2016
W. Scott Jardine Secretary and Chief Legal o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) 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 First
(1970) Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer and o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. and
(1966) Assistant Secretary First Trust Portfolios L.P.
o Chief Compliance
Officer Since 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 139
<PAGE>
--------------------------------------------------------------------------------
PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2022 (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 2022
Page 140
<PAGE>
--------------------------------------------------------------------------------
FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
<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 $380,000 for the fiscal year ended July 31, 2021 and $400,000 for the fiscal year ended July 31, 2022.
(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, 2021 and $0 for the fiscal year ended July 31, 2022.
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, 2021 and $0 for the fiscal year ended July 31, 2022.
(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 $63,177 for the fiscal year ended July 31, 2021 and $223,261 for the fiscal year ended July 31, 2022. 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, 2021 and $0 for the fiscal year ended July 31, 2022.
(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, 2021 and $0 for the fiscal year ended July 31, 2022.
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, 2021 and $0 for the fiscal year ended July 31, 2022.
(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, 2021, were $63,177 for the registrant, $23,200 for the registrant’s investment advisor and $29,500 for the registrant’s distributor, and for the fiscal year ended July 31, 2022 were $223,261 for the registrant, $16,500 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, Denise M. Keefe, 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) |
