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 811-22519
First Trust Exchange-Traded AlphaDEX® Fund II
(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: December 31
Date of reporting period: December 31, 2023
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 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
| (a) | | The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
First Trust Exchange-Traded AlphaDEX® Fund II
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA) |
First Trust Europe AlphaDEX® Fund (FEP) |
First Trust Latin America AlphaDEX® Fund (FLN) |
First Trust Brazil AlphaDEX® Fund (FBZ) |
First Trust China AlphaDEX® Fund (FCA) |
First Trust Japan AlphaDEX® Fund (FJP) |
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT) |
First Trust Emerging Markets AlphaDEX® Fund (FEM) |
First Trust Germany AlphaDEX® Fund (FGM) |
First Trust United Kingdom AlphaDEX® Fund (FKU) |
First Trust India NIFTY 50 Equal Weight ETF (NFTY) |
First Trust Switzerland AlphaDEX® Fund (FSZ) |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS) |
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS) |
First Trust Eurozone AlphaDEX® ETF (FEUZ) |
AlphaDEX® is a registered trademark of First Trust Portfolios L.P.
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Report
December 31, 2023
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® Fund II (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 by 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.
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Letter from the Chairman and CEO
December 31, 2023
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the First Trust Exchange-Traded AlphaDEX® Fund II (the “Funds”), which contains detailed information about the Funds for the twelve months ended December 31, 2023.
As 2023 comes to a close, it strikes me that many of the critical themes investors have been navigating over the past year remain unresolved. High inflation, the direction of central bank policy, and the risk of an economic recession in the U.S. are just a few examples, but another is war. The war between Russia and Ukraine rages on and will enter its third full year in just a few short months. In addition, geopolitical tensions across the Middle East are rising. Israel is at war with Hamas, and the Houthi rebels have been attacking global shipping lanes in the Red Sea, threatening the global supply chain, and prompting a military response from the U.S. and Britain.
Despite these headwinds, the broader U.S. equity and fixed income markets surged during the year. In the U.S., the S&P 500® Index rose by 26.29% on a total return basis between December 31, 2022, and December 31, 2023, according to data from Bloomberg. The Bloomberg U.S. Aggregate Bond Index also enjoyed a positive total return, rising by 5.53% over the same period. These returns can be explained, in part, by expectations that the Federal Reserve (the “Fed”) could cut interest rates in 2024. In its December 2023 statement, the Fed indicated that it expects to reduce the Federal Funds target rate by as much as 75 basis points (“bps”) over three cuts throughout 2024. It appears investors expect even steeper cuts than the Fed announced. As of December 31, 2023, the Fed Funds Futures market was pricing in nearly six rate cuts totaling more than 150 bps by the end of 2024.
In some regards, the past year serves as a stark warning against taking an overly myopic view when it comes to investing. Data from the Investment Company Institute revealed that total net assets in money market accounts stood at a record $5.9 trillion on December 6, 2023, up from $4.8 trillion at the start of the year. While the figure may be sizable, it is not surprising, in my view, especially considering the impediments to growth mentioned above. While money market assets likely earned higher interest payments than they would have before the Fed began interest rate hikes, they certainly underperformed the S&P 500® Index’s staggering total return for the year.
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,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Report
December 31, 2023
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 Economy/Investing
The direction of central bank policy, inflation, and the threat that an economic recession might befall the U.S. economy dominated global headlines throughout much of 2023. In the U.S., the Federal Reserve (the “Fed”) increased the Federal Funds target rate (upper bound) from 4.50% to 5.50% over the first three quarters of the year before pausing in September. As a result, inflation, as measured by the trailing 12-month change in the rate of the Consumer Price Index, moderated from 6.5% on December 31, 2022 to 3.4% as of December 31, 2023. While the correlation between higher interest rates and declining inflation is welcome news, the metric remains elevated well-above the Fed’s stated goal of 2.0%, fueling continued debate regarding the Fed’s ability to orchestrate a “soft landing” in the U.S. economy.
Inflation was not a strictly domestic phenomenon in 2023. The headline inflation rates in nine of the eleven countries that make up the G-10 are still above their target rates. In New Zealand, for example, headline inflation stood at 5.6% on January 17, 2024. The country’s central bank has a target inflation rate of between 1% and 3%.
Higher interest rates appear to be hindering global growth. In their October 2023 “World Economic Outlook,” the International Monetary Fund (“IMF”) projected that real Gross Domestic Product (“GDP”) would decline from 3.5%, where it stood in 2022, to 2.9% in 2024. For comparison, global growth averaged 3.8% from 2000-2019. On a percentage basis, advanced economies are expected to fare worse than emerging markets and developing economies. The IMF is projecting a 1.4% growth rate for advanced economies in 2024, down from 2.6% in 2022. For comparison, GDP among emerging markets and developing economies is expected to fall to 4.0% in 2024, down from 4.1% in 2022.
Investors continued to funnel capital into exchange-traded funds (“ETFs”) and related exchange-traded products (“ETPs”) in 2023. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed globally stood at a record $11.63 trillion as of year-end, up 25.6% from $9.26 trillion at the end of 2022, according to its own release. Net inflows to ETFs/ETPs listed globally stood at $974.87 billion in 2023, their second highest level on record, surpassed only by the $1.29 trillion of inflows in 2021.
Foreign Stocks and Bonds
The U.S. dollar depreciated by 2.11% against a basket of major currencies in 2023, as measured by the U.S. Dollar Index (“DXY”), according to Bloomberg. The DXY closed 2023 at a reading of 101.33, significantly above its 20-year average of 88.91. The weaker U.S. dollar likely had a positive influence on the returns of unhedged foreign securities held by U.S. investors.
The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of 9.63% (USD), while the Bloomberg Global Aggregate Index of higher quality debt rose 5.72% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of 9.83% (USD), while the MSCI World ex USA Index rose by 17.94% (USD) on a total return basis, according to Bloomberg.
Fund Performance Overview (Unaudited)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
The First Trust Asia Pacific ex-Japan AlphaDEX® 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® Asia Pacific Ex-Japan Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq, Inc. (the “Nasdaq”) under the ticker symbol “FPA.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq DM Asia Pacific Ex-Japan 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/18/11)
to 12/31/23 | | | Inception
(4/18/11)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Asia Pacific Ex-Japan | | | | | | | |
Nasdaq DM Asia Pacific Ex-Japan Index(1) | | | | | | | |
MSCI Pacific ex-Japan Index | | | | | | | |
| 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 34.)
Performance Review
The Fund generated a net asset value (“NAV”) return of 10.67% during the 12-month period covered by this report. During the same period, the MSCI Pacific ex-Japan Index (the “Benchmark”) generated a return of 6.44%. Over the same period, the Fund was most heavily weighted towards investments in Australia and South Korea, which had average weights of 33.2% and 44.4%, respectively. The largest contribution to return was from South Korea, which contributed 6.8% over the period. Investments in Hong Kong generated a contribution to the Fund’s return of -0.4%, the most negative contribution of any country. The Fund’s currency exposure had a -0.2% contribution to the Fund’s return during the period covered by this report.
Nasdaq® and Nasdaq AlphaDEX® Asia Pacific Ex-Japan 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
| |
Seven Group Holdings Ltd. | |
| |
| |
| |
| |
| |
Samsung Heavy Industries Co., Ltd. | |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Europe AlphaDEX® Fund (FEP)
The First Trust Europe AlphaDEX® 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® Europe Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FEP.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq DM Europe 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/18/11)
to 12/31/23 | | | Inception
(4/18/11)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Europe Index(1) | | | | | | | |
Nasdaq DM Europe Index(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 34.)
Performance Review
The Fund generated a NAV return of 16.01% during the 12-month period covered by this report. During the same period, the MSCI Europe Index (the “Benchmark”) generated a return of 19.89%. Over the same period, the Fund was most heavily weighted towards investments in the United Kingdom, which had an average weight of 20.0%. The United Kingdom generated the largest contribution to the Fund’s return at 5.6%. Investments in Ireland generated a contribution to the Fund’s return of -0.3%, which was the most negative contribution of any country. The Fund’s currency exposure had a 4.8% contribution to the Fund’s return during the period covered by this report.
Nasdaq® and Nasdaq AlphaDEX® Europe 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Europe AlphaDEX® Fund (FEP) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
ACS Actividades de Construccion y Servicios S.A. | |
Industrivarden AB, Class C | |
| |
| |
Marks & Spencer Group PLC | |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Latin America AlphaDEX® Fund (FLN)
The First Trust Latin America AlphaDEX® 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® Latin America Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FLN.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Latin America 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/18/11)
to 12/31/23 | | | Inception
(4/18/11)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Latin America | | | | | | | |
Nasdaq Latin America Index(1) | | | | | | | |
MSCI EM Latin America Index | | | | | | | |
| 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 34.)
Performance Review
The Fund generated a NAV return of 29.64% during the 12-month period covered by this report. During the same period, the MSCI EM Latin America Index (the “Benchmark”) generated a return of 32.71%. Over the period, the Fund was most heavily weighted towards investments in Brazil, which had an average weight of 47.0%. Investments in Brazil generated a contribution to the Fund’s return of 18.6%, which was the greatest positive contribution of any country. There were no countries with negative contributions to the Fund’s return over the period. The Fund’s currency exposure had an 11.0% contribution to the Fund’s return during the period covered by this report.
Nasdaq® and Nasdaq AlphaDEX® Latin America 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Latin America AlphaDEX® Fund (FLN) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Ultrapar Participacoes S.A. | |
Grupo Carso S.A.B. de C.V. | |
Coca-Cola Femsa S.A.B. de C.V. | |
| |
Fibra Uno Administracion S.A. de C.V. | |
| |
| |
| |
El Puerto de Liverpool S.A.B. de C.V. | |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Brazil AlphaDEX® Fund (FBZ)
The First Trust Brazil AlphaDEX® 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® Brazil Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FBZ.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Brazil 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/18/11)
to 12/31/23 | | | Inception
(4/18/11)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Brazil Index(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 34.)
Performance Review
The Fund generated a NAV return of 27.92% during the 12-month period covered by this report. During the same period, the MSCI Brazil Index (the “Benchmark”) generated a return of 32.69%. During the same period, the Financials sector received the greatest allocation of any country in the Fund with an allocation of 22.9%. Investments in this sector contributed 10.5% to the Fund’s return, the greatest of any sector in the Fund. The most negative contribution came from investments in the Information Technology sector with a contribution to the Fund’s return of -1.0%. The total currency effect to the Fund over the period covered by this report was 10.4%.
Nasdaq® and Nasdaq AlphaDEX® Brazil 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Brazil AlphaDEX® Fund (FBZ) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Ultrapar Participacoes S.A. | |
| |
Smartfit Escola de Ginastica e Danca S.A. | |
| |
| |
| |
| |
| |
NU Holdings Ltd., Class A | |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust China AlphaDEX® Fund (FCA)
The First Trust China AlphaDEX® 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® China Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FCA.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq China 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/18/11)
to 12/31/23 | | | Inception
(4/18/11)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® China Index(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 34.)
Performance Review
The Fund generated a NAV return of -9.32% during the 12-month period covered by this report. During the same period, the MSCI China Index (the “Benchmark”) generated a return of -11.20%. Over the same period, the Industrials sector carried more weight in the Fund than any other sector at a weight of 16.6%. The Energy sector had the greatest impact on the Fund’s return, with a 3.1% contribution. The most negative contribution to the Fund’s return came from investments in the Health Care sector which contributed -3.0%. The Fund’s currency exposure was negligible with a -0.2% impact on performance for the period covered by this report.
Nasdaq® and Nasdaq AlphaDEX® China 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust China AlphaDEX® Fund (FCA) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Inner Mongolia Yitai Coal Co., Ltd., Class B | |
COSCO SHIPPING Holdings Co., Ltd., Class H | |
Dongfeng Motor Group Co., Ltd., Class H | |
Orient Overseas International Ltd. | |
China Coal Energy Co., Ltd., Class H | |
PetroChina Co., Ltd., Class H | |
Lao Feng Xiang Co., Ltd., Class B | |
China Petroleum & Chemical Corp., Class H | |
Huaneng Power International, Inc., Class H | |
Hisense Home Appliances Group Co., Ltd., Class H | |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Japan AlphaDEX® Fund (FJP)
The First Trust Japan AlphaDEX® 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® Japan Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FJP.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Japan 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/18/11)
to 12/31/23 | | | Inception
(4/18/11)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Japan Index(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 34.)
Performance Review
The Fund generated a NAV return of 22.42% during the 12-month period covered by this report. During the same period, the MSCI Japan Index (the “Benchmark”) generated a return of 20.32%. Over the period, the Industrials sector received the greatest allocation with an average weight of 32.8%. This sector also generated the greatest contribution to the Fund’s total return with 11.0%. During the same period, no sectors contributed negatively to the Fund’s return. The total currency effect to the Fund over the period covered by this report was -7.0%.
Nasdaq® and Nasdaq AlphaDEX® Japan 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Japan AlphaDEX® Fund (FJP) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Kawasaki Kisen Kaisha Ltd. | |
| |
| |
| |
Sumitomo Forestry Co., Ltd. | |
| |
| |
Zensho Holdings Co., Ltd. | |
| |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
The First Trust Developed Markets ex-US AlphaDEX® 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® Developed Markets Ex-US Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FDT.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Developed Markets Ex-US 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/18/11)
to 12/31/23 | | | Inception
(4/18/11)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Developed Markets | | | | | | | |
Nasdaq Developed Markets Ex-US Index(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 34.)
Performance Review
The Fund generated a NAV return of 13.89% during the 12-month period covered by this report. During the same period, the MSCI World ex USA Index (the “Benchmark”) generated a return of 17.94%. The largest allocation by country over the period was Japan with an allocation of 25.5%. Japan was also the country with the largest contribution to the Fund’s return with 6.2%. The most negative contribution to the Fund’s return came from investments in Hungary, which contributed -0.2% to the Fund’s return. The total currency effect to the Fund during the period covered by this report was 1.1%.
Nasdaq® and Nasdaq AlphaDEX® Developed Markets Ex-US 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
| |
Kawasaki Kisen Kaisha Ltd. | |
| |
Industrivarden AB, Class C | |
| |
Marks & Spencer Group PLC | |
| |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets AlphaDEX® Fund (FEM)
The First Trust Emerging Markets AlphaDEX® 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® Emerging Markets Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FEM.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Emerging Markets 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/18/11)
to 12/31/23 | | | Inception
(4/18/11)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Emerging Markets | | | | | | | |
Nasdaq Emerging Markets Index(1) | | | | | | | |
MSCI Emerging Markets Index | | | | | | | |
| 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 34.)
Performance Review
The Fund generated a NAV return of 10.87% during the 12-month period covered by this report. During the same period, the MSCI Emerging Markets Index (the “Benchmark”) generated a return of 9.83%. During the same period, the Fund was most heavily weighted towards investments in China, which had an average weight of 22.1%. The largest negative contribution to the Fund’s return was from Turkey, which contributed -0.9% over the same period. Investments in Taiwan generated a contribution to the Fund’s return of 7.0%, which was the greatest of any country. The Fund’s currency exposure had a -3.6% contribution to the Fund’s return during the period covered by this report.
Nasdaq® and Nasdaq AlphaDEX® Emerging Markets 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets AlphaDEX® Fund (FEM) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Evergreen Marine Corp. Taiwan Ltd. | |
| |
YTL Power International Bhd | |
| |
| |
Power Finance Corp., Ltd. | |
Coca-Cola Femsa S.A.B. de C.V. | |
Yang Ming Marine Transport Corp. | |
Ultrapar Participacoes S.A. | |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Germany AlphaDEX® Fund (FGM)
The First Trust Germany AlphaDEX® 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® Germany Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FGM.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Germany 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(2/14/12)
to 12/31/23 | | | Inception
(2/14/12)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Germany Index(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 34.)
Performance Review
The Fund generated a NAV return of 12.88% during the 12-month period covered by this report. During the same period, the MSCI Germany Index (the “Benchmark”) generated a return of 22.98%. During the same period, the Fund allocated 22.9% to the Materials sector, which was a larger weight than any other sector. Investments in Materials contributed 4.3% to the Fund’s return, which was the greatest contribution to the Fund’s return of any sector. The sector with the greatest negative contribution to the Fund’s return was the Information Technology sector with -1.3% contribution. The total currency effect to the Fund over the period covered by this report was 4.1%.
Nasdaq® and Nasdaq AlphaDEX® Germany 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Germany AlphaDEX® Fund (FGM) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
Bayerische Motoren Werke AG | |
| |
| |
Porsche Automobil Holding SE | |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust United Kingdom AlphaDEX® Fund (FKU)
The First Trust United Kingdom AlphaDEX® 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® United Kingdom Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FKU.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq United Kingdom 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(2/14/12)
to 12/31/23 | | | Inception
(2/14/12)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® United Kingdom | | | | | | | |
Nasdaq United Kingdom Index(1) | | | | | | | |
MSCI United Kingdom Index | | | | | | | |
| 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 34.)
Performance Review
The Fund generated a NAV return of 20.59% during the 12-month period covered by this report. During the same period, the MSCI United Kingdom Index (the “Benchmark”) generated a return of 14.09%. The greatest allocation in the Fund was to investments in the Consumer Discretionary sector, which received an allocation of 20.6%. The 5.7% contribution to the Fund’s return from investments in the Industrials sector was the greatest contribution of any sector to the Fund’s return. No sector contributed negatively to the Fund’s total return during the same period. The Fund’s currency exposure had a 6.7% impact on the Fund’s return during the period covered by this report.
Nasdaq® and Nasdaq AlphaDEX® United Kingdom 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust United Kingdom AlphaDEX® Fund (FKU) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
Marks & Spencer Group PLC | |
| |
| |
| |
| |
| |
| |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
The First Trust India NIFTY 50 Equal Weight ETF (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 NIFTY 50 Equal Weight Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “NFTY.” The Fund commenced trading on February 15, 2012.
The Index is an equally weighted total return index designed to provide diversified exposure to the NIFTY 50 Index, the main index for Indian equity securities. The NIFTY 50 Index is a market capitalization-weighted index comprising the 50 largest and most liquid Indian equity securities listed on the National Stock Exchange of India. All constituents of the NIFTY 50 Index will be included in the Index, but will be equally weighted.
|
| | Average Annual Total Returns | |
| | | | Inception
(2/14/12)
to 12/31/23 | | | Inception
(2/14/12)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
NIFTY 50 Equal Weight Index(1) | | | | | | | |
| | | | | | | |
| | | | | | | |
| On April 17, 2018, the Fund’s underlying index changed from the Nasdaq AlphaDEX® Taiwan Index to the Index. On July 14, 2015, the Fund’s underlying index changed from the Defined Taiwan Index to the Nasdaq AlphaDEX® Taiwan Index. Therefore, the Fund’s performance and total returns shown for the periods prior to April 17, 2018, are not necessarily indicative of the performance that the Fund, based on the current index, would have generated. Since the Fund’s new underlying index had an inception date of September 29, 2017, it was not in existence for all the periods disclosed. |
(See Notes to Fund Performance Overview on page 34.)
Performance Review
The Fund generated a NAV return of 24.44% during the 12-month period covered by this report. During the same period, the NIFTY 50 Index (the “Benchmark”) generated a return of 20.82%. During the same period, the Fund allocated the greatest weight to the Financials sector. Investments in this sector received an allocation of 20.8%. The Consumer Discretionary sector generated the largest contribution to the Fund’s return at 7.1% for the same period. No sectors contributed negatively to the Fund’s total return during the period. The Fund’s currency exposure generated a -0.6% impact on the Fund’s return during the period covered by this report.
The First Trust India NIFTY 50 Equal Weight ETF (the “Product”) offered by First Trust is not sponsored, endorsed, sold or promoted by NSE INDICES LIMITED (formerly known as India Index Services & Products Limited (IISL)). NSE INDICES LIMITED does not make any representation or warranty, express or implied (including warranties of merchantability or fitness for particular purpose or use) and disclaims all liability to the owners of the Product or any member of the public regarding the advisability of investing in securities generally or in the Product linked to the NIFTY 50 Equal Weight Index or particularly in the ability of the NIFTY 50 Equal Weight Index to track general stock market performance in India. Please read the full Disclaimers in relation to the NIFTY 50 Equal Weight Index in the Prospectus and Statement of Additional Information.
Fund Performance Overview (Unaudited) (Continued)
First Trust India NIFTY 50 Equal Weight ETF (NFTY) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
Tata Consumer Products Ltd. | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Switzerland AlphaDEX® Fund (FSZ)
The First Trust Switzerland AlphaDEX® 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® Switzerland Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FSZ.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Switzerland 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(2/14/12)
to 12/31/23 | | | Inception
(2/14/12)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Switzerland Index(1) | | | | | | | |
Nasdaq Switzerland Index(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 34.)
Performance Review
The Fund generated a NAV return of 22.07% during the 12-month period covered by this report. During the same period, the MSCI Switzerland Index (the “Benchmark”) generated a return of 15.70%. Over the same period, the Fund was most heavily weighted towards the Industrials sector at 25.8%. The Industrials sector contributed 9.4% to the Fund’s overall return, the most of any sector. No sector contributed negatively to the Fund’s total return. The total currency effect to the Fund over the period covered by this report was 10.9%.
Nasdaq® and Nasdaq AlphaDEX® Switzerland 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Switzerland AlphaDEX® Fund (FSZ) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
The First Trust Developed Markets ex-US Small Cap AlphaDEX® 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® Developed Markets Ex-US Small Cap Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FDTS.” The Fund commenced trading on February 16, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Developed Markets Ex-US Small Cap 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(2/15/12)
to 12/31/23 | | | Inception
(2/15/12)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Developed Markets | | | | | | | |
Nasdaq Developed Markets Ex-US Small | | | | | | | |
MSCI World ex-USA Small Cap Index | | | | | | | |
| | | | | | | |
| 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 34.)
Performance Review
The Fund generated a NAV return of 11.13% during the 12-month period covered by this report. During the same period, the MSCI World ex-USA Small Cap Index (the “Benchmark”) generated a return of 12.62%. Japan was the largest country allocation by average weight at 33.1%, and also the country with the largest contribution to the Fund’s total return at 6.8%. The most negative contributions to the Fund’s return came from investments in Spain and Australia, both contributing -0.3% to the Fund’s total return. The Fund’s currency exposure had a -0.6% contribution to the Fund’s return during the period covered by this report.
Nasdaq® and Nasdaq AlphaDEX® Developed Markets Ex-US Small Cap 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
West African Resources Ltd. | |
NS United Kaiun Kaisha Ltd. | |
Soulbrain Holdings Co., Ltd. | |
| |
| |
| |
| |
| |
Teekay Tankers Ltd., Class A | |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
The First Trust Emerging Markets Small Cap AlphaDEX® 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® Emerging Markets Small Cap Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FEMS.” The Fund commenced trading on February 16, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Emerging Markets Small Cap 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.
|
| | Average Annual Total Returns | |
| | | | Inception
(2/15/12)
to 12/31/23 | | | Inception
(2/15/12)
to 12/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Emerging Markets | | | | | | | |
Nasdaq Emerging Markets Small Cap | | | | | | | |
MSCI Emerging Markets Small Cap Index | | | | | | | |
MSCI Emerging Markets Index | | | | | | | |
| 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 34.)
Performance Review
The Fund generated a NAV return of 3.21% during the 12-month period covered by this report. During the same period, the MSCI Emerging Markets Small Cap Index (the “Benchmark”) generated a return of 23.92%. During the same period, the Fund was most heavily weighted toward investments in Taiwan and Turkey with allocations of 21.6% and 18.1%, respectively. Investments in Taiwan contributed 7.9% to the Fund’s overall return, the most of any country. Investments in China contributed -2.9% to the Fund’s return, the most negative of any country. The total currency effect to the Fund over the period covered by this report was -6.1%.
Nasdaq® and Nasdaq AlphaDEX® Emerging Markets Small Cap 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
L&K Engineering Co., Ltd. | |
| |
| |
African Rainbow Minerals Ltd. | |
Anadolu Efes Biracilik Ve Malt Sanayii A.S. | |
Regional Container Lines PCL | |
| |
| |
Tauron Polska Energia S.A. | |
| |
| |
| 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Eurozone AlphaDEX® ETF (FEUZ)
The First Trust Eurozone AlphaDEX® ETF (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® Eurozone Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on Nasdaq under the ticker symbol “FEUZ.” The Fund commenced trading on October 22, 2014.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Eurozone 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.
|
| | Average Annual Total Returns | |
| | | Inception
(10/21/14)
to 12/31/23 | | Inception
(10/21/14)
to 12/31/23 |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Nasdaq AlphaDEX® Eurozone Index | | | | | |
| | | | | |
| | | | | |
(See Notes to Fund Performance Overview on page 34.)
Performance Review
The Fund generated a NAV return of 15.71% during the 12-month period covered by this report. During the same period, the MSCI EMU Index (the “Benchmark”) generated a return of 22.94%. The two largest allocations by country during the period were France, with an allocation of 24.6%, and Germany, with an allocation of 27.4%. France contributed 4.8% toward the Fund’s return, which was the largest contribution of any country. The largest negative contribution to the Fund’s return came from Swiss investments, which contributed -0.2% to the Fund’s return. The total currency effect to the Fund over the period covered by this report was 4.2%.
Nasdaq® and Nasdaq AlphaDEX® Eurozone 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® 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.
Fund Performance Overview (Unaudited) (Continued)
First Trust Eurozone AlphaDEX® ETF (FEUZ) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
ACS Actividades de Construccion y Servicios S.A. | |
| |
| |
| |
| |
| |
Raiffeisen Bank International AG | |
| |
| |
| |
| 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.
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.
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 the Securities and Exchange Commission’s 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.
First Trust Exchange-Traded AlphaDEX® Fund IIUnderstanding Your Fund ExpensesDecember 31, 2023 (Unaudited) As a shareholder of First Trust Asia Pacific ex-Japan AlphaDEX® Fund, First Trust Europe AlphaDEX® Fund, First Trust Latin America AlphaDEX® Fund, First Trust Brazil AlphaDEX® Fund, First Trust China AlphaDEX® Fund, First Trust Japan AlphaDEX® Fund, First Trust Developed Markets ex-US AlphaDEX® Fund, First Trust Emerging Markets AlphaDEX® Fund, First Trust Germany AlphaDEX® Fund, First Trust United Kingdom AlphaDEX® Fund, First Trust India NIFTY 50 Equal Weight ETF, First Trust Switzerland AlphaDEX® Fund, First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund, First Trust Emerging Markets Small Cap AlphaDEX® Fund or First Trust Eurozone AlphaDEX® ETF (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 (in U.S. dollars) 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 December 31, 2023.
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.
| Beginning
Account Value
July 1, 2023 | Ending
Account Value
December 31, 2023 | Annualized
Expense Ratio
Based on the
Six-Month
Period | Expenses Paid
During the
Six-Month
Period (a) |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Europe AlphaDEX® Fund (FEP) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Latin America AlphaDEX® Fund (FLN) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Brazil AlphaDEX® Fund (FBZ) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust China AlphaDEX® Fund (FCA) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Japan AlphaDEX® Fund (FJP) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Exchange-Traded AlphaDEX® Fund IIUnderstanding Your Fund Expenses (Continued)December 31, 2023 (Unaudited) | Beginning Account Value July 1, 2023 | Ending Account Value December 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) |
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Emerging Markets AlphaDEX® Fund (FEM) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Germany AlphaDEX® Fund (FGM) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust United Kingdom AlphaDEX® Fund (FKU) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust India NIFTY 50 Equal Weight ETF (NFTY) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Switzerland AlphaDEX® Fund (FSZ) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Eurozone AlphaDEX® ETF (FEUZ) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
| Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 1, 2023 through December 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) (b) — 99.5% |
| | |
| | |
| | |
| | |
| ANZ Group Holdings Ltd. (AUD) | |
| Aristocrat Leisure Ltd. (AUD) | |
| | |
| BlueScope Steel Ltd. (AUD) | |
| | |
| | |
| | |
| Evolution Mining Ltd. (AUD) | |
| | |
| | |
| Insurance Australia Group Ltd. (AUD) | |
| National Australia Bank Ltd. (AUD) | |
| Northern Star Resources Ltd. (AUD) | |
| | |
| Pilbara Minerals Ltd. (AUD) | |
| | |
| Qantas Airways Ltd. (AUD) (c) | |
| QBE Insurance Group Ltd. (AUD) | |
| | |
| | |
| | |
| | |
| Seven Group Holdings Ltd. (AUD) | |
| | |
| | |
| Whitehaven Coal Ltd. (AUD) | |
| Woodside Energy Group Ltd. (AUD) | |
| | |
| Yancoal Australia Ltd. (AUD) (d) | |
| | |
| | |
| United Energy Group Ltd. (HKD) (d) | |
| | |
| CK Asset Holdings Ltd. (HKD) | |
| CK Hutchison Holdings Ltd. (HKD) | |
| MGM China Holdings Ltd. (HKD) (c) | |
| | |
|
| Cayman Islands (Continued) | |
| SITC International Holdings Co., Ltd. (HKD) | |
| WH Group Ltd. (HKD) (e) (f) | |
| Wynn Macau Ltd. (HKD) (c) | |
| | |
| | |
| | |
| Hang Lung Properties Ltd. (HKD) | |
| Henderson Land Development Co., Ltd. (HKD) | |
| | |
| Power Assets Holdings Ltd. (HKD) | |
| Sino Land Co., Ltd. (HKD) | |
| Sun Hung Kai Properties, Ltd. (HKD) | |
| Swire Pacific Ltd., Class A (HKD) | |
| | |
| | |
| Samsonite International S.A. (HKD) (c) (e) (f) | |
| | |
| Spark New Zealand Ltd. (NZD) | |
| | |
| | |
| | |
| DBS Group Holdings Ltd. (SGD) | |
| Genting Singapore Ltd. (SGD) | |
| Jardine Cycle & Carriage Ltd. (SGD) | |
| | |
| Sembcorp Industries Ltd. (SGD) | |
| Singapore Airlines Ltd. (SGD) | |
| Singapore Technologies Engineering Ltd. (SGD) | |
| Singapore Telecommunications Ltd. (SGD) | |
| United Overseas Bank Ltd. (SGD) | |
| Wilmar International Ltd. (SGD) | |
| Yangzijiang Shipbuilding Holdings Ltd. (SGD) | |
| | |
| | |
| CJ CheilJedang Corp. (KRW) | |
| DB Insurance Co., Ltd. (KRW) | |
| Doosan Bobcat, Inc. (KRW) | |
| Ecopro BM Co., Ltd. (KRW) | |
See Notes to Financial Statements
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| | |
| Hana Financial Group, Inc. (KRW) | |
| Hankook Tire & Technology Co., Ltd. (KRW) | |
| | |
| Hanwha Aerospace Co., Ltd. (KRW) | |
| HD Hyundai Co., Ltd. (KRW) | |
| HD Korea Shipbuilding & Offshore Engineering Co., Ltd. (KRW) | |
| | |
| Hyundai Glovis Co., Ltd. (KRW) | |
| Hyundai Mobis Co., Ltd. (KRW) | |
| | |
| | |
| Industrial Bank of Korea (KRW) | |
| KB Financial Group, Inc. (KRW) | |
| | |
| Korean Air Lines Co., Ltd. (KRW) | |
| | |
| LG Innotek Co., Ltd. (KRW) | |
| Meritz Financial Group, Inc. (KRW) | |
| | |
| POSCO Future M Co., Ltd. (KRW) | |
| POSCO Holdings, Inc. (KRW) | |
| Posco International Corp. (KRW) | |
| | |
| Samsung Electronics Co., Ltd. (KRW) | |
| Samsung Engineering Co., Ltd. (KRW) (c) | |
| Samsung Fire & Marine Insurance Co., Ltd. (KRW) | |
| Samsung Heavy Industries Co., Ltd. (KRW) (c) | |
| Samsung Life Insurance Co., Ltd. (KRW) | |
| Samsung SDS Co., Ltd. (KRW) | |
| Shinhan Financial Group Co., Ltd. (KRW) | |
| SK Telecom Co., Ltd. (KRW) | |
| | |
| | |
|
| | |
| Woori Financial Group, Inc. (KRW) | |
| | |
| | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 1.8% |
| JPMorgan Chase & Co., 5.33% (g), dated 12/29/23, due 01/02/24, with a maturity value of $322,260. Collateralized by U.S. Treasury Securities, interest rates of 2.50% to 5.00%, due 02/15/29 to 08/15/53. The value of the collateral including accrued interest is $328,462. (h) | |
| | |
|
|
| Total Investments — 101.3% | |
| | |
| Net Other Assets and Liabilities — (1.3)% | |
| | |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2E - 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, including those sold and pending settlement, is $298,376 and the total value of the collateral held by the Fund is $322,022. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
See Notes to Financial Statements
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)Portfolio of Investments (Continued)December 31, 2023 | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| Rate shown reflects yield as of December 31, 2023. |
| This security serves as collateral for securities on loan. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
| |
| |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for country breakout. |
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| 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. |
| At December 31, 2023, 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:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At December 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Europe AlphaDEX® Fund (FEP)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) (b) — 99.1% |
| | |
| Erste Group Bank AG (EUR) | |
| | |
| Raiffeisen Bank International AG (EUR) | |
| | |
| | |
| | |
| | |
| Ackermans & van Haaren N.V. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| AP Moller - Maersk A.S., Class B (DKK) | |
| | |
| | |
| | |
| | |
| Novo Nordisk A/S, Class B (DKK) | |
| | |
| ROCKWOOL A.S., Class B (DKK) | |
| | |
| | |
| | |
| | |
| | |
| Stora Enso Oyj, Class R (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Cie de Saint-Gobain S.A. (EUR) | |
| Cie Generale des Etablissements Michelin S.C.A. (EUR) | |
| Credit Agricole S.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Societe Generale S.A. (EUR) | |
| | |
| Sopra Steria Group SACA (EUR) | |
| | |
| | |
| | |
| Veolia Environnement S.A. (EUR) | |
| | |
| | |
| | |
| | |
| Bayerische Motoren Werke AG (EUR) | |
| | |
| | |
| | |
| Covestro AG (EUR) (c) (d) (e) | |
| Daimler Truck Holding AG (EUR) | |
| | |
| Deutsche Lufthansa AG (EUR) (c) | |
| Deutsche Telekom AG (EUR) | |
| | |
| | |
| Fraport AG Frankfurt Airport Services Worldwide (EUR) (c) | |
| Fresenius Medical Care AG (EUR) | |
| Fresenius SE & Co. KGaA (EUR) | |
| Heidelberg Materials AG (EUR) | |
| | |
| | |
| | |
| Mercedes-Benz Group AG (EUR) | |
| Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen (EUR) | |
| Porsche Automobil Holding SE (Preference Shares) (EUR) | |
| | |
See Notes to Financial Statements
First Trust Europe AlphaDEX® Fund (FEP)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Schaeffler AG (Preference Shares) (EUR) | |
| | |
| Telefonica Deutschland Holding AG (EUR) (f) | |
| | |
| | |
| Volkswagen AG (Preference Shares) (EUR) | |
| | |
| | |
| | |
| Eurobank Ergasias Services and Holdings S.A. (EUR) (c) | |
| | |
| | |
| National Bank of Greece S.A. (EUR) (c) | |
| Piraeus Financial Holdings S.A. (EUR) (c) | |
| | |
| | |
| | |
| | |
| | |
| Ryanair Holdings PLC, ADR (c) | |
| Smurfit Kappa Group PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Intesa Sanpaolo S.p.A. (EUR) | |
| | |
| | |
| Mediobanca Banca di Credito Finanziario S.p.A. (EUR) | |
| Pirelli & C S.p.A. (EUR) (d) (e) | |
| Telecom Italia S.p.A. (EUR) (c) | |
| | |
| Unipol Gruppo S.p.A. (EUR) | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| B&M European Value Retail S.A. (GBP) | |
| | |
| | |
| | |
| | |
| | |
| | |
| ABN AMRO Bank N.V. (EUR) (d) (e) | |
| | |
| | |
| Koninklijke Ahold Delhaize N.V. (EUR) | |
| Koninklijke Vopak N.V. (EUR) | |
| | |
| STMicroelectronics N.V. (EUR) | |
| Technip Energies N.V. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Schibsted ASA, Class A (NOK) | |
| Yara International ASA (NOK) | |
| | |
| | |
| Banco Comercial Portugues S.A., Class R (EUR) (c) | |
| Galp Energia SGPS S.A. (EUR) | |
| | |
| | |
| | |
| ACS Actividades de Construccion y Servicios S.A. (EUR) | |
| Banco Bilbao Vizcaya Argentaria S.A. (EUR) | |
| Banco de Sabadell S.A. (EUR) | |
| Banco Santander S.A. (EUR) | |
| | |
| | |
| | |
| International Consolidated Airlines Group S.A. (GBP) (c) | |
See Notes to Financial Statements
First Trust Europe AlphaDEX® Fund (FEP)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| | |
| | |
| | |
| | |
| | |
| Industrivarden AB, Class C (SEK) | |
| Investor AB, Class B (SEK) | |
| Securitas AB, Class B (SEK) | |
| Skandinaviska Enskilda Banken AB, Class A (SEK) | |
| Skanska AB, Class B (SEK) | |
| Svenska Handelsbanken AB, Class A (SEK) | |
| Swedbank AB, Class A (SEK) | |
| Trelleborg AB, Class B (SEK) | |
| | |
| | |
| | |
| | |
| | |
| Bucher Industries AG (CHF) | |
| EFG International AG (CHF) | |
| | |
| Swatch Group (The) AG (CHF) | |
| | |
| | |
| | |
| | |
| | |
| Associated British Foods PLC (GBP) | |
| | |
| Barratt Developments PLC (GBP) | |
| Berkeley Group Holdings PLC (GBP) | |
| | |
| British American Tobacco PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
| Evraz PLC (GBP) (c) (g) (h) (i) | |
| Frasers Group PLC (GBP) (c) | |
| | |
| | |
| | |
|
| United Kingdom (Continued) | |
| Hikma Pharmaceuticals PLC (GBP) | |
| Howden Joinery Group PLC (GBP) | |
| | |
| InterContinental Hotels Group PLC (GBP) | |
| | |
| | |
| Johnson Matthey PLC (GBP) | |
| | |
| | |
| Marks & Spencer Group PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Rolls-Royce Holdings PLC (GBP) (c) | |
| | |
| Standard Chartered PLC (GBP) | |
| | |
| | |
| | |
| | |
| Weir Group (The) PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Europe AlphaDEX® Fund (FEP)Portfolio of Investments (Continued)December 31, 2023 | | |
REPURCHASE AGREEMENTS — 0.4% |
| JPMorgan Chase & Co., 5.33% (j), dated 12/29/23, due 01/02/24, with a maturity value of $921,173. Collateralized by U.S. Treasury Securities, interest rates of 2.50% to 5.00%, due 02/15/29 to 08/15/53. The value of the collateral including accrued interest is $938,902. (k) | |
| | |
|
|
| Total Investments — 99.5% | |
| | |
| Net Other Assets and Liabilities — 0.5% | |
| | |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| Non-income producing security. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| All or a portion of this security is on loan (see Note 2E - 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, including those sold and pending settlement, is $857,587 and the total value of the collateral held by the Fund is $920,492. |
| Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
| This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At December 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
| This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
| Rate shown reflects yield as of December 31, 2023. |
| This security serves as collateral for securities on loan. |
Abbreviations throughout the Portfolio of Investments: |
| – American Depositary Receipt |
| |
| |
| |
| |
| |
| – Swedish Depositary Receipt |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
| |
See Notes to Financial Statements
First Trust Europe AlphaDEX® Fund (FEP)Portfolio of Investments (Continued)December 31, 2023
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for country breakout. |
| Investment is valued at $0. |
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.
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) | |
| |
| |
| 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. |
| At December 31, 2023, 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:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At December 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Latin America AlphaDEX® Fund (FLN)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) (b) — 99.3% |
| | |
| Banco Bradesco S.A. (Preference Shares) (BRL) | |
| Banco BTG Pactual S.A. (BRL) | |
| Banco do Brasil S.A. (BRL) | |
| Banco Santander Brasil S.A. (BRL) | |
| Caixa Seguridade Participacoes S.A. (BRL) | |
| Cia de Saneamento Basico do Estado de Sao Paulo (BRL) | |
| Cia Energetica de Minas Gerais (Preference Shares) (BRL) | |
| Companhia Paranaense de Energia, Class B (Preference Shares) (BRL) | |
| | |
| Equatorial Energia S.A. (BRL) | |
| Gerdau S.A. (Preference Shares) (BRL) | |
| Hapvida Participacoes e Investimentos S.A. (BRL) (c) (d) (e) | |
| Itausa S.A. (Preference Shares) (BRL) | |
| | |
| | |
| Petroleo Brasileiro S.A. (Preference Shares) (BRL) | |
| | |
| | |
| Raizen S.A. (Preference Shares) (BRL) | |
| | |
| | |
| Telefonica Brasil S.A. (BRL) | |
| | |
| Ultrapar Participacoes S.A. (BRL) | |
| | |
| | |
| | |
| | |
| NU Holdings Ltd., Class A (d) | |
| | |
| Banco de Credito e Inversiones S.A. (CLP) | |
| Banco Santander Chile (CLP) | |
| | |
| | |
| Empresas Copec S.A. (CLP) | |
| | |
|
| | |
| | |
| Sociedad Quimica y Minera de Chile S.A., Class B (Preference Shares) (CLP) | |
| | |
| | |
| Bancolombia S.A. (Preference Shares) (COP) | |
| | |
| America Movil S.A.B. de C.V., Series B (MXN) | |
| Cemex S.A.B. de C.V., Series CPO (MXN) (d) | |
| Coca-Cola Femsa S.A.B. de C.V. (MXN) | |
| El Puerto de Liverpool S.A.B. de C.V., Series C1 (MXN) | |
| Fibra Uno Administracion S.A. de C.V. (MXN) | |
| Fomento Economico Mexicano S.A.B. de C.V., Series UBD (MXN) | |
| Gruma S.A.B. de C.V., Class B (MXN) | |
| Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (MXN) | |
| Grupo Bimbo S.A.B. de C.V., Series A (MXN) | |
| Grupo Carso S.A.B. de C.V., Series A1 (MXN) | |
| Grupo Comercial Chedraui S.A. de C.V. (MXN) | |
| Grupo Financiero Banorte S.A.B. de C.V., Class O (MXN) | |
| Grupo Financiero Inbursa S.A.B. de C.V., Class O (MXN) (d) | |
| Grupo Mexico S.A.B. de C.V., Series B (MXN) | |
| Prologis Property Mexico S.A. de C.V. (MXN) | |
| | |
|
|
| Total Investments — 99.3% | |
| | |
| Net Other Assets and Liabilities — 0.7% | |
| | |
See Notes to Financial Statements
First Trust Latin America AlphaDEX® Fund (FLN)Portfolio of Investments (Continued)December 31, 2023 | Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| Non-income producing security. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
| |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| See Portfolio of Investments for country breakout. |
See Notes to Financial Statements
First Trust Brazil AlphaDEX® Fund (FBZ)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) — 98.4% |
| Aerospace & Defense — 1.4% | |
| | |
| | |
| Banco Bradesco S.A. (Preference Shares) (BRL) | |
| Banco do Brasil S.A. (BRL) | |
| Banco Santander Brasil S.A. (BRL) | |
| Itau Unibanco Holding S.A. (Preference Shares) (BRL) | |
| Itausa S.A. (Preference Shares) (BRL) | |
| NU Holdings Ltd., Class A (b) | |
| | |
| | |
| Magazine Luiza S.A. (BRL) (b) | |
| | |
| Banco BTG Pactual S.A. (BRL) | |
| | |
| | |
| | |
| GPS Participacoes e Empreendimentos S.A. (BRL) (c) | |
| Consumer Staples Distribution | |
| | |
| | |
| | |
| Diversified Telecommunication | |
| Telefonica Brasil S.A. (BRL) | |
| Electric Utilities — 7.3% | |
| Cia de Transmissao de Energia Eletrica Paulista (Preference Shares) (BRL) | |
| Cia Energetica de Minas Gerais (Preference Shares) (BRL) | |
| Companhia Paranaense de Energia, Class B (Preference Shares) (BRL) | |
| | |
| Equatorial Energia S.A. (BRL) | |
| Transmissora Alianca de Energia Eletrica S.A. (BRL) | |
| | |
| Financial Services — 6.9% | |
| | |
| | |
|
| Financial Services (Continued) | |
| Pagseguro Digital Ltd., Class A (b) | |
| StoneCo Ltd., Class A (b) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Localiza Rent a Car S.A. (BRL) | |
| | |
| | |
| | |
| Hapvida Participacoes e Investimentos S.A. (BRL) (b) (c) (d) | |
| Hotels, Restaurants & Leisure | |
| Smartfit Escola de Ginastica e Danca S.A. (BRL) | |
| Independent Power and Renewable Electricity | |
| | |
| | |
| Caixa Seguridade Participacoes S.A. (BRL) | |
| | |
| | |
| | |
| Cia Siderurgica Nacional S.A. (BRL) | |
| Gerdau S.A. (Preference Shares) (BRL) | |
| Metalurgica Gerdau S.A. (Preference Shares) (BRL) | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| Petroleo Brasileiro S.A. (Preference Shares) (BRL) | |
| | |
See Notes to Financial Statements
First Trust Brazil AlphaDEX® Fund (FBZ)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (Continued) |
| Oil, Gas & Consumable Fuels (Continued) | |
| Raizen S.A. (Preference Shares) (BRL) | |
| Ultrapar Participacoes S.A. (BRL) | |
| | |
| Paper & Forest Products — | |
| | |
| | |
| Natura & Co. Holding S.A. (BRL) (b) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Textiles, Apparel & Luxury | |
| GRUPO DE MODA SOMA S.A. (BRL) | |
| | |
| Cia de Saneamento Basico do Estado de Sao Paulo (BRL) | |
| Wireless Telecommunication | |
| | |
| | |
| | |
|
| | |
| Localiza Rent a Car S.A., expiring 02/08/24 (BRL) (b) (e) | |
| | |
|
|
| Total Investments — 98.4% | |
| | |
| Net Other Assets and Liabilities — 1.6% | |
| | |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| Non-income producing security. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
Net Other Assets and Liabilities | |
| |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust China AlphaDEX® Fund (FCA)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) — 99.9% |
| | |
| BYD Co., Ltd., Class H (HKD) | |
| Dongfeng Motor Group Co., Ltd., Class H (HKD) | |
| Guangzhou Automobile Group Co., Ltd., Class H (HKD) | |
| Li Auto, Inc., Class A (HKD) (b) | |
| | |
| | |
| Agricultural Bank of China Ltd., Class H (HKD) | |
| Bank of China Ltd., Class H (HKD) | |
| Bank of Communications Co., Ltd., Class H (HKD) | |
| China CITIC Bank Corp., Ltd., Class H (HKD) | |
| China Construction Bank Corp., Class H (HKD) | |
| China Everbright Bank Co., Ltd., Class H (HKD) | |
| Chongqing Rural Commercial Bank Co., Ltd., Class H (HKD) | |
| | |
| | |
| China Cinda Asset Management Co., Ltd., Class H (HKD) | |
| | |
| Tianqi Lithium Corp., Class H (HKD) | |
| | |
| | |
| Construction & Engineering | |
| China Railway Group Ltd., Class H (HKD) | |
| | |
| Anhui Conch Cement Co., Ltd., Class H (HKD) | |
| China National Building Material Co., Ltd., Class H (HKD) | |
| | |
| Diversified Telecommunication | |
| China Tower Corp., Ltd., Class H (HKD) (c) (d) | |
| | |
|
| Financial Services — 0.8% | |
| Shandong Hi-Speed Holdings Group Ltd. (HKD) (b) | |
| | |
| China Feihe Ltd. (HKD) (c) (d) | |
| | |
| Beijing Enterprises Holdings Ltd. (HKD) | |
| Kunlun Energy Co., Ltd. (HKD) | |
| | |
| | |
| Shanghai Pharmaceuticals Holding Co., Ltd., Class H (HKD) | |
| Sinopharm Group Co., Ltd., Class H (HKD) | |
| | |
| Household Durables — 3.0% | |
| Hisense Home Appliances Group Co., Ltd., Class H (HKD) | |
| Independent Power and Renewable Electricity | |
| China Power International Development Ltd. (HKD) | |
| China Resources Power Holdings Co., Ltd. (HKD) | |
| Datang International Power Generation Co., Ltd., Class H (HKD) | |
| Huadian Power International Corp., Ltd., Class H (HKD) | |
| Huaneng Power International, Inc., Class H (HKD) (b) | |
| | |
| | |
| People’s Insurance Co. Group of China (The) Ltd., Class H (HKD) | |
| PICC Property & Casualty Co., Ltd., Class H (HKD) | |
| | |
| | |
| Sany Heavy Equipment International Holdings Co., Ltd. (HKD) | |
See Notes to Financial Statements
First Trust China AlphaDEX® Fund (FCA)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (Continued) |
| | |
| COSCO SHIPPING Holdings Co., Ltd., Class H (HKD) | |
| Orient Overseas International Ltd. (HKD) | |
| | |
| | |
| China Hongqiao Group Ltd. (HKD) | |
| Jiangxi Copper Co., Ltd., Class H (HKD) | |
| | |
| Oil, Gas & Consumable Fuels | |
| China Coal Energy Co., Ltd., Class H (HKD) | |
| China Petroleum & Chemical Corp., Class H (HKD) | |
| Inner Mongolia Yitai Coal Co., Ltd., Class B (b) | |
| PetroChina Co., Ltd., Class H (HKD) | |
| Yankuang Energy Group Co., Ltd., Class H (HKD) | |
| | |
| | |
| China Resources Pharmaceutical Group Ltd. (HKD) (c) (d) | |
| | |
| China Overseas Land & Investment Ltd. (HKD) | |
| Longfor Group Holdings Ltd. (HKD) (c) (d) | |
| | |
| Semiconductors & Semiconductor Equipment | |
| GCL Technology Holdings Ltd. (HKD) | |
| Hua Hong Semiconductor Ltd. (HKD) (b) (c) (d) | |
| | |
| Technology Hardware, Storage | |
| | |
| Textiles, Apparel & Luxury | |
| Lao Feng Xiang Co., Ltd., Class B | |
| | |
|
| Transportation Infrastructure | |
| China Merchants Port Holdings Co., Ltd. (HKD) | |
|
|
| Total Investments — 99.9% | |
| | |
| Net Other Assets and Liabilities — 0.1% | |
| | |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| Non-income producing security. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Net Other Assets and Liabilities | |
| |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. |
See Notes to Financial Statements
First Trust China AlphaDEX® Fund (FCA)Portfolio of Investments (Continued)December 31, 2023
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Japan AlphaDEX® Fund (FJP)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) — 99.8% |
| Air Freight & Logistics — | |
| NIPPON EXPRESS HOLDINGS, Inc. (JPY) | |
| SG Holdings Co., Ltd. (JPY) | |
| | |
| | |
| | |
| | |
| | |
| Sumitomo Electric Industries Ltd. (JPY) | |
| Yokohama Rubber (The) Co., Ltd. (JPY) (b) | |
| | |
| | |
| Honda Motor Co., Ltd. (JPY) | |
| | |
| | |
| Mitsubishi Motors Corp. (JPY) | |
| Nissan Motor Co., Ltd. (JPY) | |
| | |
| | |
| Yamaha Motor Co., Ltd. (JPY) (b) | |
| | |
| | |
| Mitsubishi UFJ Financial Group, Inc. (JPY) | |
| Mizuho Financial Group, Inc. (JPY) | |
| Sumitomo Mitsui Financial Group, Inc. (JPY) | |
| | |
| | |
| | |
| | |
| Daikin Industries Ltd. (JPY) | |
| | |
| Daiwa Securities Group, Inc. (JPY) | |
| | |
| Mitsubishi Chemical Group Corp. (JPY) | |
| Mitsui Chemicals, Inc. (JPY) | |
| Nippon Sanso Holdings Corp. (JPY) | |
| | |
| | |
|
| | |
| Shin-Etsu Chemical Co., Ltd. (JPY) | |
| Sumitomo Chemical Co., Ltd. (JPY) | |
| | |
| | |
| | |
| TOPPAN Holdings, Inc. (JPY) | |
| Construction & Engineering | |
| | |
| | |
| | |
| Consumer Staples Distribution | |
| | |
| MatsukiyoCocokara & Co. (JPY) | |
| | |
| Electric Utilities — 4.2% | |
| Chubu Electric Power Co., Inc. (JPY) | |
| Kansai Electric Power (The) Co., Inc. (JPY) | |
| Tokyo Electric Power Co., Holdings, Inc. (JPY) (c) | |
| | |
| Electrical Equipment — 0.9% | |
| Mitsubishi Electric Corp. (JPY) | |
| Financial Services — 1.4% | |
| Mitsubishi HC Capital, Inc. (JPY) | |
| | |
| Tokyo Century Corp. (JPY) | |
| | |
| | |
| Ajinomoto Co., Inc. (JPY) | |
| MEIJI Holdings Co., Ltd. (JPY) | |
| | |
| | |
| Osaka Gas Co., Ltd. (JPY) | |
| Tokyo Gas Co., Ltd. (JPY) | |
| | |
| | |
| Hankyu Hanshin Holdings, Inc. (JPY) | |
See Notes to Financial Statements
First Trust Japan AlphaDEX® Fund (FJP)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (Continued) |
| Ground Transportation (Continued) | |
| Keisei Electric Railway Co., Ltd. (JPY) | |
| Kintetsu Group Holdings Co., Ltd. (JPY) | |
| | |
| Hotels, Restaurants & Leisure | |
| Oriental Land Co., Ltd. (JPY) | |
| Zensho Holdings Co., Ltd. (JPY) | |
| | |
| Household Durables — 5.8% | |
| | |
| Iida Group Holdings Co., Ltd. (JPY) | |
| | |
| Open House Group Co., Ltd. (JPY) | |
| Panasonic Holdings Corp. (JPY) | |
| Sekisui Chemical Co., Ltd. (JPY) | |
| Sumitomo Forestry Co., Ltd. (JPY) (b) | |
| | |
| | |
| Japan Post Holdings Co., Ltd. (JPY) | |
| Japan Post Insurance Co., Ltd. (JPY) | |
| | |
| | |
| | |
| | |
| | |
| Sega Sammy Holdings, Inc. (JPY) | |
| | |
| Hitachi Construction Machinery Co., Ltd. (JPY) | |
| Kawasaki Heavy Industries Ltd. (JPY) | |
| | |
| Mitsubishi Heavy Industries Ltd. (JPY) | |
| NGK Insulators Ltd. (JPY) | |
| Toyota Industries Corp. (JPY) | |
| | |
| | |
|
| | |
| Kawasaki Kisen Kaisha Ltd. (JPY) | |
| Mitsui OSK Lines Ltd. (JPY) | |
| | |
| | |
| | |
| | |
| | |
| Sumitomo Metal Mining Co., Ltd. (JPY) | |
| | |
| Oil, Gas & Consumable Fuels | |
| ENEOS Holdings, Inc. (JPY) | |
| Idemitsu Kosan Co., Ltd. (JPY) | |
| | |
| | |
| Paper & Forest Products — | |
| | |
| Passenger Airlines — 1.1% | |
| ANA Holdings, Inc. (JPY) (c) | |
| Japan Airlines Co., Ltd. (JPY) | |
| | |
| | |
| Ono Pharmaceutical Co., Ltd. (JPY) | |
| Shionogi & Co., Ltd. (JPY) | |
| | |
| | |
| Daiwa House Industry Co., Ltd. (JPY) | |
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
| Renesas Electronics Corp. (JPY) (c) | |
| SCREEN Holdings Co., Ltd. (JPY) | |
| | |
| | |
| | |
| Fast Retailing Co., Ltd. (JPY) | |
| Technology Hardware, Storage | |
| Brother Industries Ltd. (JPY) | |
See Notes to Financial Statements
First Trust Japan AlphaDEX® Fund (FJP)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (Continued) |
| Technology Hardware, Storage & Peripherals (Continued) | |
| | |
| | |
| | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Toyota Tsusho Corp. (JPY) | |
| | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 5.4% |
| Bank of America Corp., 5.32% (d), dated 12/29/23, due 01/02/24, with a maturity value of $3,039,604. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 3.13%, due 08/31/27 to 05/15/48. The value of the collateral including accrued interest is $3,098,107. (e) | |
| | |
|
| JPMorgan Chase & Co., 5.33% (d), dated 12/29/23, due 01/02/24, with a maturity value of $3,546,209. Collateralized by U.S. Treasury Securities, interest rates of 2.50% to 5.00%, due 02/15/29 to 08/15/53. The value of the collateral including accrued interest is $3,614,458. (e) | |
| Mizuho Financial Group, Inc., 5.33% (d), dated 12/29/23, due 01/02/24, with a maturity value of $3,546,209. Collateralized by U.S. Treasury Securities, interest rates of 0.38% to 4.75%, due 12/31/23 to 02/15/33. The value of the collateral including accrued interest is $3,614,458. (e) | |
| Total Repurchase Agreements | |
| | |
|
|
| Total Investments — 105.2% | |
| | |
| Net Other Assets and Liabilities — (5.2)% | |
| | |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| All or a portion of this security is on loan (see Note 2E - 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, including those sold and pending settlement, is $8,370,471 and the total value of the collateral held by the Fund is $10,124,532. |
| Non-income producing security. |
| Rate shown reflects yield as of December 31, 2023. |
| This security serves as collateral for securities on loan. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
See Notes to Financial Statements
First Trust Japan AlphaDEX® Fund (FJP)Portfolio of Investments (Continued)December 31, 2023 | |
| |
| |
| |
Net Other Assets and Liabilities | |
| |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| 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. |
| At December 31, 2023, 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:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At December 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) (b) — 99.5% |
| | |
| | |
| | |
| BlueScope Steel Ltd. (AUD) | |
| | |
| | |
| Pilbara Minerals Ltd. (AUD) (c) | |
| | |
| | |
| Seven Group Holdings Ltd. (AUD) | |
| Whitehaven Coal Ltd. (AUD) | |
| Woodside Energy Group Ltd. (AUD) | |
| | |
| Yancoal Australia Ltd. (AUD) (c) | |
| | |
| | |
| Erste Group Bank AG (EUR) | |
| | |
| Raiffeisen Bank International AG (EUR) | |
| | |
| | |
| | |
| | |
| Ackermans & van Haaren N.V. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| United Energy Group Ltd. (HKD) (c) | |
| | |
| Agnico Eagle Mines Ltd. (CAD) | |
| | |
| | |
| Baytex Energy Corp. (CAD) | |
| Brookfield Asset Management Ltd., Class A (CAD) | |
| Crescent Point Energy Corp. (CAD) | |
| | |
| Fairfax Financial Holdings Ltd. (CAD) | |
| Finning International, Inc. (CAD) | |
| | |
| | |
|
| | |
| MEG Energy Corp. (CAD) (d) | |
| | |
| | |
| Pembina Pipeline Corp. (CAD) | |
| SNC-Lavalin Group, Inc. (CAD) | |
| Suncor Energy, Inc. (CAD) | |
| Tourmaline Oil Corp. (CAD) | |
| Whitecap Resources, Inc. (CAD) | |
| | |
| | |
| CK Asset Holdings Ltd. (HKD) | |
| CK Hutchison Holdings Ltd. (HKD) | |
| SITC International Holdings Co., Ltd. (HKD) | |
| WH Group Ltd. (HKD) (e) (f) | |
| | |
| | |
| AP Moller - Maersk A.S., Class B (DKK) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Stora Enso Oyj, Class R (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Cie Generale des Etablissements Michelin S.C.A. (EUR) | |
| Credit Agricole S.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| Societe Generale S.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| Bayerische Motoren Werke AG (EUR) | |
See Notes to Financial Statements
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| | |
| Covestro AG (EUR) (d) (e) (f) | |
| Daimler Truck Holding AG (EUR) | |
| | |
| Deutsche Lufthansa AG (EUR) (d) | |
| Deutsche Telekom AG (EUR) | |
| Fresenius SE & Co. KGaA (EUR) | |
| Heidelberg Materials AG (EUR) | |
| | |
| | |
| Mercedes-Benz Group AG (EUR) | |
| Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen (EUR) | |
| Porsche Automobil Holding SE (Preference Shares) (EUR) | |
| | |
| Schaeffler AG (Preference Shares) (EUR) | |
| | |
| Telefonica Deutschland Holding AG (EUR) (c) | |
| | |
| | |
| Volkswagen AG (Preference Shares) (EUR) | |
| | |
| | |
| | |
| Eurobank Ergasias Services and Holdings S.A. (EUR) (d) | |
| | |
| National Bank of Greece S.A. (EUR) (d) | |
| | |
| | |
| | |
| | |
| | |
| Smurfit Kappa Group PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| Mizrahi Tefahot Bank Ltd. (ILS) | |
| Teva Pharmaceutical Industries Ltd. (ILS) (d) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Mediobanca Banca di Credito Finanziario S.p.A. (EUR) | |
| Pirelli & C S.p.A. (EUR) (e) (f) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Chiba Bank (The) Ltd. (JPY) | |
| Chubu Electric Power Co., Inc. (JPY) | |
| Concordia Financial Group Ltd. (JPY) | |
| Dai Nippon Printing Co., Ltd. (JPY) | |
| Dai-ichi Life Holdings, Inc. (JPY) | |
| Daiwa House Industry Co., Ltd. (JPY) | |
| Daiwa Securities Group, Inc. (JPY) | |
| | |
| ENEOS Holdings, Inc. (JPY) | |
| Fukuoka Financial Group, Inc. (JPY) | |
| | |
| Hitachi Construction Machinery Co., Ltd. (JPY) | |
| Honda Motor Co., Ltd. (JPY) | |
| Idemitsu Kosan Co., Ltd. (JPY) | |
| | |
| Isetan Mitsukoshi Holdings Ltd. (JPY) | |
| | |
| | |
| | |
| | |
| Kansai Electric Power (The) Co., Inc. (JPY) | |
See Notes to Financial Statements
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Kawasaki Heavy Industries Ltd. (JPY) | |
| Kawasaki Kisen Kaisha Ltd. (JPY) | |
| | |
| | |
| Kuraray Co., Ltd. (JPY) (c) | |
| | |
| | |
| | |
| Medipal Holdings Corp. (JPY) | |
| Mitsubishi Chemical Group Corp. (JPY) | |
| | |
| Mitsubishi HC Capital, Inc. (JPY) | |
| Mitsubishi Heavy Industries Ltd. (JPY) | |
| Mitsubishi Motors Corp. (JPY) | |
| Mitsubishi UFJ Financial Group, Inc. (JPY) | |
| | |
| Mitsui Chemicals, Inc. (JPY) | |
| Mitsui OSK Lines Ltd. (JPY) | |
| Mizuho Financial Group, Inc. (JPY) | |
| MS&AD Insurance Group Holdings, Inc. (JPY) | |
| | |
| NGK Insulators Ltd. (JPY) | |
| NIPPON EXPRESS HOLDINGS, Inc. (JPY) | |
| Nippon Sanso Holdings Corp. (JPY) | |
| | |
| | |
| Nissan Motor Co., Ltd. (JPY) | |
| Nisshin Seifun Group, Inc. (JPY) | |
| | |
| Nomura Holdings, Inc. (JPY) | |
| | |
| | |
| | |
| Open House Group Co., Ltd. (JPY) | |
| Osaka Gas Co., Ltd. (JPY) | |
| | |
| Panasonic Holdings Corp. (JPY) | |
| | |
| Rohto Pharmaceutical Co., Ltd. (JPY) | |
| | |
|
| | |
| Ryohin Keikaku Co., Ltd. (JPY) | |
| | |
| | |
| | |
| | |
| SoftBank Group Corp. (JPY) | |
| | |
| | |
| | |
| | |
| Sumitomo Electric Industries Ltd. (JPY) | |
| Sumitomo Forestry Co., Ltd. (JPY) (c) | |
| Sumitomo Metal Mining Co., Ltd. (JPY) | |
| Sumitomo Mitsui Financial Group, Inc. (JPY) | |
| Sumitomo Mitsui Trust Holdings, Inc. (JPY) | |
| | |
| | |
| | |
| Tokio Marine Holdings, Inc. (JPY) | |
| Tokyo Century Corp. (JPY) | |
| Tokyo Electric Power Co., Holdings, Inc. (JPY) (d) | |
| Tokyo Gas Co., Ltd. (JPY) | |
| TOPPAN Holdings, Inc. (JPY) | |
| Toyota Industries Corp. (JPY) | |
| | |
| Toyota Tsusho Corp. (JPY) | |
| Yamaha Motor Co., Ltd. (JPY) (c) | |
| Yamazaki Baking Co., Ltd. (JPY) | |
| Yokogawa Electric Corp. (JPY) | |
| Yokohama Rubber (The) Co., Ltd. (JPY) (c) | |
| Zensho Holdings Co., Ltd. (JPY) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Samsonite International S.A. (HKD) (d) (e) (f) | |
| | |
| | |
See Notes to Financial Statements
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| | |
| | |
| Koninklijke Vopak N.V. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Yara International ASA (NOK) | |
| | |
| | |
| Banco Comercial Portugues S.A., Class R (EUR) (d) | |
| Galp Energia SGPS S.A. (EUR) | |
| | |
| | |
| | |
| Singapore Airlines Ltd. (SGD) | |
| Yangzijiang Shipbuilding Holdings Ltd. (SGD) | |
| | |
| | |
| CJ CheilJedang Corp. (KRW) | |
| DB Insurance Co., Ltd. (KRW) | |
| Doosan Bobcat, Inc. (KRW) | |
| Ecopro BM Co., Ltd. (KRW) | |
| | |
| Hana Financial Group, Inc. (KRW) | |
| Hankook Tire & Technology Co., Ltd. (KRW) | |
| Hanwha Aerospace Co., Ltd. (KRW) | |
| HD Hyundai Co., Ltd. (KRW) | |
| HD Korea Shipbuilding & Offshore Engineering Co., Ltd. (KRW) | |
| | |
| Hyundai Glovis Co., Ltd. (KRW) | |
| Hyundai Mobis Co., Ltd. (KRW) | |
| | |
| | |
| Industrial Bank of Korea (KRW) | |
| KB Financial Group, Inc. (KRW) | |
| | |
| Korean Air Lines Co., Ltd. (KRW) | |
| | |
|
| | |
| | |
| LG Innotek Co., Ltd. (KRW) | |
| Meritz Financial Group, Inc. (KRW) | |
| | |
| POSCO Future M Co., Ltd. (KRW) | |
| POSCO Holdings, Inc. (KRW) | |
| Posco International Corp. (KRW) | |
| | |
| Samsung Electronics Co., Ltd. (KRW) | |
| Samsung Engineering Co., Ltd. (KRW) (d) | |
| Samsung Heavy Industries Co., Ltd. (KRW) (d) | |
| Samsung SDS Co., Ltd. (KRW) | |
| Shinhan Financial Group Co., Ltd. (KRW) | |
| SK Telecom Co., Ltd. (KRW) | |
| | |
| Woori Financial Group, Inc. (KRW) | |
| | |
| | |
| ACS Actividades de Construccion y Servicios S.A. (EUR) | |
| Banco Bilbao Vizcaya Argentaria S.A. (EUR) | |
| Banco de Sabadell S.A. (EUR) | |
| Banco Santander S.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Industrivarden AB, Class C (SEK) | |
| Investor AB, Class B (SEK) | |
| Skandinaviska Enskilda Banken AB, Class A (SEK) | |
| Skanska AB, Class B (SEK) | |
| Swedbank AB, Class A (SEK) | |
| Trelleborg AB, Class B (SEK) | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| EFG International AG (CHF) | |
| | |
| Swatch Group (The) AG (CHF) | |
| | |
| | |
| | |
| | |
| | |
| Associated British Foods PLC (GBP) | |
| Barratt Developments PLC (GBP) | |
| | |
| British American Tobacco PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
| Frasers Group PLC (GBP) (d) | |
| | |
| InterContinental Hotels Group PLC (GBP) | |
| | |
| Marks & Spencer Group PLC (GBP) | |
| | |
| | |
| Rolls-Royce Holdings PLC (GBP) (d) | |
| | |
| Standard Chartered PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 2.7% |
| Bank of America Corp., 5.32% (g), dated 12/29/23, due 01/02/24, with a maturity value of $3,262,078. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 3.13%, due 08/31/27 to 05/15/48. The value of the collateral including accrued interest is $3,324,862. (h) | |
| JPMorgan Chase & Co., 5.33% (g), dated 12/29/23, due 01/02/24, with a maturity value of $3,805,762. Collateralized by U.S. Treasury Securities, interest rates of 2.50% to 5.00%, due 02/15/29 to 08/15/53. The value of the collateral including accrued interest is $3,879,006. (h) | |
| Mizuho Financial Group, Inc., 5.33% (g), dated 12/29/23, due 01/02/24, with a maturity value of $3,805,762. Collateralized by U.S. Treasury Securities, interest rates of 0.38% to 4.75%, due 12/31/23 to 02/15/33. The value of the collateral including accrued interest is $3,879,007. (h) | |
| Total Repurchase Agreements | |
| | |
|
|
| Total Investments — 102.2% | |
| | |
| Net Other Assets and Liabilities — (2.2)% | |
| | |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
See Notes to Financial Statements
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)Portfolio of Investments (Continued)December 31, 2023 | All or a portion of this security is on loan (see Note 2E - 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, including those sold and pending settlement, is $9,235,559 and the total value of the collateral held by the Fund is $10,865,563. |
| Non-income producing security. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| Rate shown reflects yield as of December 31, 2023. |
| This security serves as collateral for securities on loan. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| – Swedish Depositary Receipt |
| |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for country breakout. |
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
See Notes to Financial Statements
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)Portfolio of Investments (Continued)December 31, 2023 | 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. |
| At December 31, 2023, 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:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At December 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Emerging Markets AlphaDEX® Fund (FEM)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) (b) — 99.5% |
| | |
| China Gas Holdings Ltd. (HKD) | |
| Kunlun Energy Co., Ltd. (HKD) | |
| Orient Overseas International Ltd. (HKD) | |
| | |
| | |
| Banco do Brasil S.A. (BRL) | |
| Cia Energetica de Minas Gerais (Preference Shares) (BRL) | |
| Gerdau S.A. (Preference Shares) (BRL) | |
| Itausa S.A. (Preference Shares) (BRL) | |
| | |
| | |
| Petroleo Brasileiro S.A. (Preference Shares) (BRL) | |
| | |
| | |
| Telefonica Brasil S.A. (BRL) | |
| Ultrapar Participacoes S.A. (BRL) | |
| | |
| | |
| | |
| | |
| Alchip Technologies Ltd. (TWD) | |
| China Feihe Ltd. (HKD) (c) (d) | |
| China Medical System Holdings Ltd. (HKD) | |
| China State Construction International Holdings Ltd. (HKD) | |
| GCL Technology Holdings Ltd. (HKD) | |
| Li Auto, Inc., Class A (HKD) (e) | |
| Longfor Group Holdings Ltd. (HKD) (c) (d) | |
| Sany Heavy Equipment International Holdings Co., Ltd. (HKD) | |
| Zhongsheng Group Holdings Ltd. (HKD) | |
| | |
| | |
| Banco de Credito e Inversiones S.A. (CLP) | |
| Banco Santander Chile (CLP) | |
| | |
| | |
| | |
|
| | |
| Empresas Copec S.A. (CLP) | |
| | |
| Sociedad Quimica y Minera de Chile S.A., Class B (Preference Shares) (CLP) | |
| | |
| | |
| Aluminum Corp. of China Ltd., Class H (HKD) | |
| Anhui Conch Cement Co., Ltd., Class H (HKD) | |
| Bank of Communications Co., Ltd., Class H (HKD) | |
| China Cinda Asset Management Co., Ltd., Class H (HKD) | |
| China CITIC Bank Corp., Ltd., Class H (HKD) | |
| China Coal Energy Co., Ltd., Class H (HKD) | |
| China Construction Bank Corp., Class H (HKD) | |
| China Everbright Bank Co., Ltd., Class H (HKD) | |
| China National Building Material Co., Ltd., Class H (HKD) | |
| China Oilfield Services Ltd., Class H (HKD) | |
| China Petroleum & Chemical Corp., Class H (HKD) | |
| China Railway Group Ltd., Class H (HKD) | |
| China Shenhua Energy Co., Ltd., Class H (HKD) | |
| China Tower Corp., Ltd., Class H (HKD) (c) (d) | |
| Chongqing Rural Commercial Bank Co., Ltd., Class H (HKD) | |
| COSCO SHIPPING Energy Transportation Co., Ltd., Class H (HKD) | |
| COSCO SHIPPING Holdings Co., Ltd., Class H (HKD) | |
| Ganfeng Lithium Group Co., Ltd., Class H (HKD) (c) (d) | |
| Hisense Home Appliances Group Co., Ltd., Class H (HKD) | |
| Inner Mongolia Yitai Coal Co., Ltd., Class B (e) | |
| Jiangxi Copper Co., Ltd., Class H (HKD) | |
See Notes to Financial Statements
First Trust Emerging Markets AlphaDEX® Fund (FEM)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Metallurgical Corp. of China Ltd., Class H (HKD) | |
| PetroChina Co., Ltd., Class H (HKD) | |
| PICC Property & Casualty Co., Ltd., Class H (HKD) | |
| Sinotrans Ltd., Class H (HKD) | |
| Tianqi Lithium Corp., Class H (HKD) (f) | |
| WuXi AppTec Co., Ltd., Class H (HKD) (c) (d) (f) | |
| Yankuang Energy Group Co., Ltd., Class H (HKD) | |
| | |
| | |
| Bancolombia S.A. (Preference Shares) (COP) | |
| | |
| Commercial International Bank - Egypt (EGP) (g) | |
| | |
| Beijing Enterprises Holdings Ltd. (HKD) | |
| BYD Electronic International Co., Ltd. (HKD) | |
| China Merchants Port Holdings Co., Ltd. (HKD) | |
| China Power International Development Ltd. (HKD) | |
| China Resources Pharmaceutical Group Ltd. (HKD) (c) (d) | |
| China Resources Power Holdings Co., Ltd. (HKD) | |
| China Taiping Insurance Holdings Co., Ltd. (HKD) | |
| Guangdong Investment Ltd. (HKD) | |
| Hua Hong Semiconductor Ltd. (HKD) (c) (d) (e) | |
| Sinotruk Hong Kong Ltd. (HKD) | |
| | |
| | |
| MOL Hungarian Oil & Gas PLC (HUF) | |
| | |
| Richter Gedeon Nyrt (HUF) | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| Bharat Heavy Electricals Ltd. (INR) | |
| | |
| Hindalco Industries Ltd. (INR) | |
| Larsen & Toubro Ltd. (INR) | |
| | |
| Power Finance Corp., Ltd. (INR) | |
| | |
| | |
| Tata Power Co (The) Ltd. (INR) | |
| | |
| | |
| | |
| Adaro Energy Indonesia Tbk PT (IDR) | |
| Astra International Tbk PT (IDR) | |
| Indah Kiat Pulp & Paper Tbk PT (IDR) | |
| Indofood Sukses Makmur Tbk PT (IDR) | |
| United Tractors Tbk PT (IDR) | |
| | |
| | |
| | |
| YTL Power International Bhd (MYR) | |
| | |
| | |
| Coca-Cola Femsa S.A.B. de C.V. (MXN) | |
| El Puerto de Liverpool S.A.B. de C.V., Series C1 (MXN) | |
| Fibra Uno Administracion S.A. de C.V. (MXN) | |
| Fomento Economico Mexicano S.A.B. de C.V., Series UBD (MXN) | |
| Gruma S.A.B. de C.V., Class B (MXN) | |
| Grupo Carso S.A.B. de C.V., Series A1 (MXN) | |
| Grupo Comercial Chedraui S.A. de C.V. (MXN) | |
| | |
| | |
| NEPI Rockcastle N.V. (ZAR) | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Emerging Markets AlphaDEX® Fund (FEM)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| PGE Polska Grupa Energetyczna S.A. (PLN) (e) | |
| Powszechna Kasa Oszczednosci Bank Polski S.A. (PLN) (e) | |
| Powszechny Zaklad Ubezpieczen S.A. (PLN) | |
| | |
| | |
| Inter RAO UES PJSC (RUB) (e) (g) (h) (i) | |
| Magnit PJSC (RUB) (e) (g) (h) (i) | |
| Magnitogorsk Iron & Steel Works PJSC (RUB) (e) (g) (h) (i) | |
| RusHydro PJSC (RUB) (e) (g) (h) (i) | |
| Tatneft PJSC (RUB) (e) (g) (h) (i) | |
| | |
| | |
| BOC Aviation Ltd. (HKD) (c) (d) | |
| | |
| Anglo American Platinum Ltd. (ZAR) | |
| | |
| Bidvest Group (The) Ltd. (ZAR) | |
| | |
| | |
| | |
| | |
| Sibanye Stillwater Ltd. (ZAR) | |
| | |
| | |
| Accton Technology Corp. (TWD) | |
| Asia Vital Components Co., Ltd. (TWD) | |
| Asustek Computer, Inc. (TWD) | |
| Compal Electronics, Inc. (TWD) | |
| Evergreen Marine Corp. Taiwan Ltd. (TWD) | |
| Fubon Financial Holding Co., Ltd. (TWD) | |
| Gigabyte Technology Co., Ltd. (TWD) | |
| | |
| Lite-On Technology Corp. (TWD) | |
| | |
|
| | |
| Quanta Computer, Inc. (TWD) | |
| United Microelectronics Corp. (TWD) | |
| | |
| | |
| | |
| Yang Ming Marine Transport Corp. (TWD) | |
| | |
| | |
| PTT Exploration & Production PCL (THB) | |
| | |
| | |
| | |
| | |
| | |
| Aselsan Elektronik Sanayi Ve Ticaret A.S. (TRY) | |
| BIM Birlesik Magazalar A.S. (TRY) | |
| Borusan Birlesik Boru Fabrikalari Sanayi ve Ticaret A.S. (TRY) (e) | |
| Coca-Cola Icecek A.S. (TRY) | |
| Ford Otomotiv Sanayi A.S. (TRY) | |
| Haci Omer Sabanci Holding A.S. (TRY) | |
| | |
| Tofas Turk Otomobil Fabrikasi A.S. (TRY) | |
| Turk Hava Yollari AO (TRY) (e) | |
| Turkcell Iletisim Hizmetleri A.S. (TRY) | |
| Turkiye Is Bankasi A.S., Class C (TRY) | |
| Turkiye Petrol Rafinerileri A.S. (TRY) | |
| Turkiye Sise ve Cam Fabrikalari A.S. (TRY) | |
| Yapi ve Kredi Bankasi A.S. (TRY) | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Emerging Markets AlphaDEX® Fund (FEM)Portfolio of Investments (Continued)December 31, 2023 | | |
REPURCHASE AGREEMENTS — 0.4% |
| Bank of America Corp., 5.32% (j), dated 12/29/23, due 01/02/24, with a maturity value of $708,110. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 3.13%, due 08/31/27 to 05/15/48. The value of the collateral including accrued interest is $721,739. (k) | |
| JPMorgan Chase & Co., 5.33% (j), dated 12/29/23, due 01/02/24, with a maturity value of $1,000,740. Collateralized by U.S. Treasury Securities, interest rates of 2.50% to 5.00%, due 02/15/29 to 08/15/53. The value of the collateral including accrued interest is $1,020,000. (k) | |
| Total Repurchase Agreements | |
| | |
|
|
| Total Investments — 99.9% | |
| | |
| Net Other Assets and Liabilities — 0.1% | |
| | |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2E - 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, including those sold and pending settlement, is $1,618,276 and the total value of the collateral held by the Fund is $1,707,587. |
| Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
| This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At December 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
| This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
| Rate shown reflects yield as of December 31, 2023. |
| This security serves as collateral for securities on loan. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
See Notes to Financial Statements
First Trust Emerging Markets AlphaDEX® Fund (FEM)Portfolio of Investments (Continued)December 31, 2023 Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| Investments are valued at $0. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for country breakout. |
| Investments are valued at $0. |
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.
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) | |
| |
| |
| 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. |
| At December 31, 2023, 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:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At December 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Germany AlphaDEX® Fund (FGM)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) — 100.0% |
| Aerospace & Defense — 0.7% | |
| MTU Aero Engines AG (EUR) | |
| Air Freight & Logistics — | |
| | |
| | |
| Schaeffler AG (Preference Shares) (EUR) | |
| | |
| Bayerische Motoren Werke AG (EUR) | |
| Mercedes-Benz Group AG (EUR) | |
| Porsche Automobil Holding SE (Preference Shares) (EUR) | |
| Volkswagen AG (Preference Shares) (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Covestro AG (EUR) (b) (c) (d) | |
| Evonik Industries AG (EUR) | |
| FUCHS SE (Preference Shares) (EUR) | |
| | |
| | |
| Construction & Engineering | |
| | |
| | |
| Heidelberg Materials AG (EUR) | |
| Diversified Telecommunication | |
| Deutsche Telekom AG (EUR) | |
| Telefonica Deutschland Holding AG (EUR) | |
| | |
| | |
| | |
| | |
|
| | |
| Fresenius Medical Care AG (EUR) | |
| Fresenius SE & Co. KGaA (EUR) | |
| | |
| Hotels, Restaurants & Leisure | |
| Delivery Hero SE (EUR) (b) (c) (d) | |
| Industrial Conglomerates — | |
| | |
| | |
| Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen (EUR) | |
| | |
| | |
| Life Sciences Tools & Services | |
| | |
| | |
| Daimler Truck Holding AG (EUR) | |
| Jungheinrich AG (Preference Shares) (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Passenger Airlines — 2.9% | |
| Deutsche Lufthansa AG (EUR) (c) | |
| | |
| | |
| | |
| LEG Immobilien SE (EUR) (c) | |
See Notes to Financial Statements
First Trust Germany AlphaDEX® Fund (FGM)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (Continued) |
| Semiconductors & Semiconductor Equipment | |
| Infineon Technologies AG (EUR) | |
| SMA Solar Technology AG (EUR) (c) | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| | |
| | |
| Transportation Infrastructure | |
| Fraport AG Frankfurt Airport Services Worldwide (EUR) (c) | |
|
|
| Total Investments — 100.0% | |
| | |
| Net Other Assets and Liabilities — (0.0)% | |
| | |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| Non-income producing security. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
Abbreviations throughout the Portfolio of Investments: |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
Net Other Assets and Liabilities | |
| |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. |
| Amount is less than 0.1%. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust United Kingdom AlphaDEX® Fund (FKU)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) — 99.6% |
| Aerospace & Defense — 6.7% | |
| | |
| Melrose Industries PLC (GBP) | |
| Rolls-Royce Holdings PLC (GBP) (b) | |
| | |
| | |
| | |
| | |
| Lloyds Banking Group PLC (GBP) | |
| | |
| Standard Chartered PLC (GBP) | |
| | |
| | |
| | |
| | |
| B&M European Value Retail S.A. (GBP) | |
| | |
| | |
| | |
| Hargreaves Lansdown PLC (GBP) | |
| London Stock Exchange Group PLC (GBP) | |
| | |
| | |
| | |
| Croda International PLC (GBP) | |
| Johnson Matthey PLC (GBP) | |
| | |
| | |
| Rentokil Initial PLC (GBP) | |
| Consumer Staples Distribution | |
| | |
| Marks & Spencer Group PLC (GBP) | |
| | |
| | |
| | |
| | |
| Smurfit Kappa Group PLC (GBP) | |
| | |
| | |
| | |
| | |
|
| Diversified Telecommunication | |
| | |
| Electric Utilities — 1.2% | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| | |
| | |
| Financial Services — 2.1% | |
| Wise PLC, Class A (GBP) (b) | |
| | |
| Associated British Foods PLC (GBP) | |
| | |
| | |
| | |
| | |
| Hotels, Restaurants & Leisure | |
| | |
| | |
| Flutter Entertainment PLC (GBP) (b) | |
| | |
| | |
| Household Durables — 9.2% | |
| Barratt Developments PLC (GBP) | |
| Berkeley Group Holdings PLC (GBP) | |
| | |
| | |
| | |
| Industrial Conglomerates — | |
| | |
| | |
| | |
| | |
| Legal & General Group PLC (GBP) | |
| Interactive Media & Services | |
| Auto Trader Group PLC (GBP) (c) (d) | |
See Notes to Financial Statements
First Trust United Kingdom AlphaDEX® Fund (FKU)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (Continued) |
| | |
| Games Workshop Group PLC (GBP) | |
| | |
| | |
| Weir Group (The) PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Evraz PLC (GBP) (b) (e) (f) (g) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| | |
| | |
| Paper & Forest Products — | |
| | |
| Passenger Airlines — 3.6% | |
| | |
| International Consolidated Airlines Group S.A. (GBP) (b) | |
| | |
| | |
| | |
| | |
| | |
| Hikma Pharmaceuticals PLC (GBP) | |
| | |
| Professional Services — 0.8% | |
| | |
| | |
| | |
| | |
| UNITE Group (The) PLC (GBP) | |
| | |
|
| | |
| Sage Group (The) PLC (GBP) | |
| | |
| | |
| | |
| British American Tobacco PLC (GBP) | |
| Imperial Brands PLC (GBP) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Wireless Telecommunication | |
| | |
|
|
| Total Investments — 99.6% | |
| | |
| Net Other Assets and Liabilities — 0.4% | |
| | |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| Non-income producing security. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
| This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At December 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
| This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
See Notes to Financial Statements
First Trust United Kingdom AlphaDEX® Fund (FKU)Portfolio of Investments (Continued)December 31, 2023 Abbreviations throughout the Portfolio of Investments: |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Net Other Assets and Liabilities | |
| |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
Other Industry Categories* | | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
| Investment is valued at $0. |
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.
See Notes to Financial Statements
First Trust India NIFTY 50 Equal Weight ETF (NFTY)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) — 103.1% |
| | |
| | |
| | |
| | |
| Mahindra & Mahindra Ltd. (INR) | |
| Maruti Suzuki India Ltd. (INR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Kotak Mahindra Bank Ltd. (INR) | |
| State Bank of India (INR) | |
| | |
| | |
| | |
| | |
| | |
| Construction & Engineering | |
| Larsen & Toubro Ltd. (INR) | |
| | |
| Grasim Industries Ltd. (INR) | |
| UltraTech Cement Ltd. (INR) | |
| | |
| | |
| | |
| Electric Utilities — 2.1% | |
| Power Grid Corp. of India Ltd. (INR) | |
| Financial Services — 2.1% | |
| | |
| | |
| Britannia Industries Ltd. (INR) | |
| | |
| Tata Consumer Products Ltd. (INR) | |
| | |
| | |
| Apollo Hospitals Enterprise Ltd. (INR) | |
| | |
|
| Independent Power and Renewable Electricity | |
| | |
| | |
| HDFC Life Insurance Co., Ltd. (INR) (b) (c) | |
| SBI Life Insurance Co., Ltd. (INR) (b) (c) | |
| | |
| | |
| HCL Technologies Ltd. (INR) | |
| | |
| LTIMindtree Ltd. (INR) (b) (c) | |
| Tata Consultancy Services Ltd. (INR) | |
| | |
| | |
| | |
| Life Sciences Tools & Services | |
| Divi’s Laboratories Ltd. (INR) | |
| | |
| Hindalco Industries Ltd. (INR) | |
| | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| Bharat Petroleum Corp., Ltd. (INR) | |
| | |
| Oil & Natural Gas Corp., Ltd. (INR) | |
| Reliance Industries Ltd. (INR) | |
| | |
| | |
| Hindustan Unilever Ltd. (INR) | |
| | |
| | |
| Dr. Reddy’s Laboratories Ltd. (INR) | |
| Sun Pharmaceutical Industries Ltd. (INR) | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust India NIFTY 50 Equal Weight ETF (NFTY)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (Continued) |
| | |
| Adani Enterprises Ltd. (INR) | |
| Transportation Infrastructure | |
| Adani Ports & Special Economic Zone Ltd. (INR) | |
| Wireless Telecommunication | |
| | |
|
|
| Total Investments — 103.1% | |
| | |
| Net Other Assets and Liabilities — (3.1)% | |
| | |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
Abbreviations throughout the Portfolio of Investments: |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
Net Other Assets and Liabilities | |
| |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Switzerland AlphaDEX® Fund (FSZ)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) — 98.7% |
| | |
| Banque Cantonale Vaudoise (CHF) | |
| Luzerner Kantonalbank AG (CHF) | |
| | |
| | |
| Julius Baer Group Ltd. (CHF) | |
| Partners Group Holding AG (CHF) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Diversified Telecommunication | |
| | |
| Electric Utilities — 3.8% | |
| | |
| Electrical Equipment — 3.4% | |
| | |
| | |
| Chocoladefabriken Lindt & Spruengli AG (CHF) | |
| | |
| | |
| | |
| | |
| | |
| Straumann Holding AG (CHF) | |
| | |
| | |
| | |
| Galenica AG (CHF) (b) (c) | |
| | |
| | |
| Helvetia Holding AG (CHF) | |
| Swiss Life Holding AG (CHF) | |
| | |
|
| | |
| | |
| Zurich Insurance Group AG (CHF) | |
| | |
| Life Sciences Tools & Services | |
| | |
| Siegfried Holding AG (CHF) | |
| | |
| | |
| Bucher Industries AG (CHF) | |
| | |
| VAT Group AG (CHF) (b) (c) | |
| | |
| | |
| Kuehne + Nagel International AG (CHF) | |
| | |
| | |
| | |
| | |
| Professional Services — 5.7% | |
| | |
| | |
| PSP Swiss Property AG (CHF) | |
| Swiss Prime Site AG (CHF) | |
| | |
| | |
| | |
| | |
| | |
| Technology Hardware, Storage | |
| Logitech International S.A. (CHF) | |
| Textiles, Apparel & Luxury | |
| Cie Financiere Richemont S.A., Class A (CHF) | |
| Swatch Group (The) AG (CHF) | |
| | |
See Notes to Financial Statements
First Trust Switzerland AlphaDEX® Fund (FSZ)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (Continued) |
| Transportation Infrastructure | |
| Flughafen Zurich AG (CHF) | |
|
|
| Total Investments — 98.7% | |
| | |
| Net Other Assets and Liabilities — 1.3% | |
| | |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| Non-income producing security. |
Abbreviations throughout the Portfolio of Investments: |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
Net Other Assets and Liabilities | |
| |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) (b) — 99.5% |
| | |
| | |
| | |
| Firefinch Ltd. (AUD) (c) (d) (e) (f) | |
| GrainCorp Ltd., Class A (AUD) | |
| | |
| | |
| Iluka Resources Ltd. (AUD) | |
| | |
| Karoon Energy Ltd. (AUD) (c) | |
| | |
| New Hope Corp., Ltd. (AUD) | |
| | |
| Perseus Mining Ltd. (AUD) | |
| Resolute Mining Ltd. (AUD) (c) | |
| Stanmore Resources Ltd. (AUD) | |
| Telix Pharmaceuticals Ltd. (AUD) (c) | |
| West African Resources Ltd. (AUD) (c) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| BW LPG Ltd. (NOK) (g) (h) | |
| First Pacific Co., Ltd. (HKD) | |
| Golden Ocean Group Ltd. (NOK) | |
| | |
| Luk Fook Holdings International Ltd. (HKD) | |
| Pacific Basin Shipping Ltd. (HKD) | |
| | |
| | |
| | |
| Advantage Energy Ltd. (CAD) (c) | |
| Athabasca Oil Corp. (CAD) (c) | |
| Birchcliff Energy Ltd. (CAD) | |
| Boardwalk Real Estate Investment Trust (CAD) | |
| Canadian Western Bank (CAD) | |
| Cardinal Energy Ltd. (CAD) | |
| | |
|
| | |
| | |
| Celestica, Inc. (CAD) (c) | |
| Chemtrade Logistics Income Fund (CAD) | |
| Cogeco Communications, Inc. (CAD) | |
| Crew Energy, Inc. (CAD) (c) | |
| Energy Fuels, Inc. (CAD) (c) | |
| | |
| | |
| Martinrea International, Inc. (CAD) | |
| | |
| NFI Group, Inc. (CAD) (c) | |
| North American Construction Group Ltd. (CAD) | |
| NuVista Energy Ltd. (CAD) (c) | |
| Obsidian Energy Ltd. (CAD) (c) (i) | |
| | |
| Osisko Mining, Inc. (CAD) (c) | |
| Paramount Resources Ltd., Class A (CAD) | |
| Parex Resources, Inc. (CAD) | |
| Peyto Exploration & Development Corp. (CAD) | |
| Precision Drilling Corp. (CAD) (c) | |
| Secure Energy Services, Inc. (CAD) | |
| Spartan Delta Corp. (CAD) | |
| | |
| Tamarack Valley Energy Ltd. (CAD) | |
| Torex Gold Resources, Inc. (CAD) (c) | |
| Transcontinental, Inc., Class A (CAD) | |
| Trican Well Service Ltd. (CAD) | |
| Vermilion Energy, Inc. (CAD) | |
| | |
| | |
| JS Global Lifestyle Co., Ltd. (HKD) (g) (h) | |
| Shelf Drilling Ltd. (NOK) (c) (g) (h) | |
| United Laboratories International Holdings (The) Ltd. (HKD) | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Eutelsat Communications SACA (EUR) (c) (i) | |
| | |
| Television Francaise 1 S.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Northern Data AG (EUR) (c) | |
| | |
| | |
| | |
| | |
| TAG Immobilien AG (EUR) (c) | |
| Vitesco Technologies Group AG (EUR) (c) | |
| | |
| | |
| 888 Holdings PLC (GBP) (c) | |
| | |
| FF Group (EUR) (c) (d) (e) (f) | |
| Motor Oil Hellas Corinth Refineries S.A. (EUR) | |
| | |
| | |
| Burford Capital Ltd. (GBP) | |
| | |
| Dalata Hotel Group PLC (EUR) | |
| | |
| Delek Automotive Systems Ltd. (ILS) | |
| Israel Corp., Ltd. (ILS) (c) | |
| Oil Refineries Ltd. (ILS) | |
| | |
|
| | |
| | |
| Tower Semiconductor Ltd. (ILS) (c) | |
| | |
| | |
| | |
| Banca Popolare di Sondrio S.p.A. (EUR) | |
| Maire Tecnimont S.p.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| Aisan Industry Co., Ltd. (JPY) | |
| Alfresa Holdings Corp. (JPY) | |
| | |
| AOKI Holdings, Inc. (JPY) | |
| Aoyama Trading Co., Ltd. (JPY) | |
| | |
| ASAHI YUKIZAI Corp. (JPY) | |
| Bank of Nagoya (The) Ltd. (JPY) | |
| | |
| Central Glass Co., Ltd. (JPY) | |
| Chugoku Electric Power (The) Co., Inc. (JPY) | |
| Chugoku Marine Paints Ltd. (JPY) | |
| Citizen Watch Co., Ltd. (JPY) | |
| Coca-Cola Bottlers Japan Holdings, Inc. (JPY) | |
| | |
| Cosmo Energy Holdings Co., Ltd. (JPY) | |
| | |
| Daido Steel Co., Ltd. (JPY) | |
| Daikokutenbussan Co., Ltd. (JPY) | |
| Daishi Hokuetsu Financial Group, Inc. (JPY) | |
| Daiwabo Holdings Co., Ltd. (JPY) | |
| Doutor Nichires Holdings Co., Ltd. (JPY) | |
| Eagle Industry Co., Ltd. (JPY) | |
| Electric Power Development Co., Ltd. (JPY) | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Ferrotec Holdings Corp. (JPY) | |
| Fuji Media Holdings, Inc. (JPY) | |
| | |
| Futaba Industrial Co., Ltd. (JPY) | |
| Genky DrugStores Co., Ltd. (JPY) | |
| | |
| | |
| | |
| | |
| | |
| Gunma Bank (The) Ltd. (JPY) | |
| H2O Retailing Corp. (JPY) | |
| Hachijuni Bank (The) Ltd. (JPY) | |
| | |
| | |
| Hirogin Holdings, Inc. (JPY) | |
| Hisamitsu Pharmaceutical Co., Inc. (JPY) | |
| Hokkaido Electric Power Co., Inc. (JPY) | |
| | |
| Hokuriku Electric Power Co. (JPY) (c) | |
| | |
| Hyakugo Bank (The) Ltd. (JPY) | |
| Iino Kaiun Kaisha Ltd. (JPY) | |
| INFRONEER Holdings, Inc. (JPY) | |
| Itochu Enex Co., Ltd. (JPY) | |
| Itoham Yonekyu Holdings, Inc. (JPY) | |
| | |
| | |
| JAFCO Group Co., Ltd. (JPY) | |
| Japan Petroleum Exploration Co., Ltd. (JPY) | |
| Japan Securities Finance Co., Ltd. (JPY) | |
| | |
| | |
| K&O Energy Group, Inc. (JPY) | |
| Kaga Electronics Co., Ltd. (JPY) | |
| | |
| | |
| | |
| Konoike Transport Co., Ltd. (JPY) | |
| Kotobuki Spirits Co., Ltd. (JPY) | |
| Krosaki Harima Corp. (JPY) | |
| | |
|
| | |
| Kumiai Chemical Industry Co., Ltd. (JPY) | |
| | |
| | |
| | |
| | |
| Kyushu Electric Power Co., Inc. (JPY) (c) | |
| | |
| Macnica Holdings, Inc. (JPY) | |
| Makino Milling Machine Co., Ltd. (JPY) | |
| Maruha Nichiro Corp. (JPY) | |
| Mebuki Financial Group, Inc. (JPY) | |
| Megmilk Snow Brand Co., Ltd. (JPY) | |
| Mitsubishi Gas Chemical Co., Inc. (JPY) | |
| Mitsubishi Logisnext Co., Ltd. (JPY) | |
| Mitsui DM Sugar Holdings Co., Ltd. (JPY) | |
| | |
| Morinaga & Co., Ltd. (JPY) | |
| Morinaga Milk Industry Co., Ltd. (JPY) | |
| Musashino Bank (The) Ltd. (JPY) | |
| Nachi-Fujikoshi Corp. (JPY) | |
| NHK Spring Co., Ltd. (JPY) | |
| | |
| | |
| Nippon Paper Industries Co., Ltd. (JPY) (c) | |
| Nippon Seiki Co., Ltd. (JPY) | |
| Nippon Sheet Glass Co., Ltd. (JPY) (c) | |
| Nippon Shokubai Co., Ltd. (JPY) | |
| Nippon Yakin Kogyo Co., Ltd. (JPY) | |
| Nishi-Nippon Financial Holdings, Inc. (JPY) | |
| Nishio Holdings Co., Ltd. (JPY) | |
| Nisshin Oillio Group (The) Ltd. (JPY) | |
| Nisshinbo Holdings, Inc. (JPY) | |
| | |
| Nittetsu Mining Co., Ltd. (JPY) | |
| | |
| | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Noritsu Koki Co., Ltd. (JPY) | |
| NS United Kaiun Kaisha Ltd. (JPY) | |
| | |
| Oki Electric Industry Co., Ltd. (JPY) | |
| | |
| Onward Holdings Co., Ltd. (JPY) | |
| Pacific Industrial Co., Ltd. (JPY) | |
| Penta-Ocean Construction Co., Ltd. (JPY) | |
| Press Kogyo Co., Ltd. (JPY) | |
| | |
| Qol Holdings Co., Ltd. (JPY) | |
| | |
| | |
| | |
| Saizeriya Co., Ltd. (JPY) | |
| | |
| | |
| | |
| Sanwa Holdings Corp. (JPY) | |
| Sanyo Denki Co., Ltd. (JPY) | |
| Sanyo Special Steel Co., Ltd. (JPY) | |
| Sapporo Holdings Ltd. (JPY) | |
| Shikoku Electric Power Co., Inc. (JPY) | |
| Shinagawa Refractories Co., Ltd. (JPY) | |
| Shizuoka Gas Co., Ltd. (JPY) | |
| Star Micronics Co., Ltd. (JPY) | |
| Sumitomo Riko Co., Ltd. (JPY) | |
| Sumitomo Rubber Industries Ltd. (JPY) | |
| Sun Frontier Fudousan Co., Ltd. (JPY) | |
| | |
| | |
| | |
| Takasago Thermal Engineering Co., Ltd. (JPY) | |
| Takeuchi Manufacturing Co., Ltd. (JPY) | |
| | |
| | |
| Toho Holdings Co., Ltd. (JPY) | |
| Tohoku Electric Power Co., Inc. (JPY) | |
| Tokai Carbon Co., Ltd. (JPY) | |
| | |
|
| | |
| Tokai Rika Co., Ltd. (JPY) | |
| Tokyo Electron Device Ltd. (JPY) | |
| Tokyo Kiraboshi Financial Group, Inc. (JPY) | |
| Tokyo Steel Manufacturing Co., Ltd. (JPY) | |
| TOMONY Holdings, Inc. (JPY) | |
| | |
| | |
| | |
| Towa Pharmaceutical Co., Ltd. (JPY) | |
| Toyo Seikan Group Holdings Ltd. (JPY) | |
| | |
| Toyoda Gosei Co., Ltd. (JPY) | |
| Toyota Boshoku Corp. (JPY) | |
| TSI Holdings Co., Ltd. (JPY) | |
| Tsubakimoto Chain Co. (JPY) | |
| | |
| Uchida Yoko Co., Ltd. (JPY) | |
| Universal Entertainment Corp. (JPY) | |
| Usen-Next Holdings Co., Ltd. (JPY) | |
| Wacoal Holdings Corp. (JPY) | |
| Yamae Group Holdings Co., Ltd. (JPY) | |
| Yamaguchi Financial Group, Inc. (JPY) | |
| Yamato Kogyo Co., Ltd. (JPY) | |
| | |
| Yokogawa Bridge Holdings Corp. (JPY) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Okeanis Eco Tankers Corp. (NOK) (g) (h) | |
| Teekay Tankers Ltd., Class A | |
| | |
| | |
| Golden Agri-Resources Ltd. (SGD) | |
| | |
| AMG Critical Materials N.V. (EUR) | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Iveco Group N.V. (EUR) (c) | |
| Koninklijke BAM Groep N.V. (EUR) | |
| MFE-MediaForEurope N.V., Class A (EUR) | |
| | |
| | |
| | |
| | |
| | |
| Hoegh Autoliners ASA (NOK) | |
| MPC Container Ships ASA (NOK) | |
| Protector Forsikring ASA (NOK) | |
| Wallenius Wilhelmsen ASA (NOK) | |
| | |
| | |
| Greenvolt-Energias Renovaveis S.A. (EUR) (c) | |
| | |
| | |
| | |
| CDL Hospitality Trusts (SGD) | |
| First Resources Ltd. (SGD) | |
| Frasers Logistics & Commercial Trust (SGD) (h) | |
| | |
| | |
| | |
| | |
| | |
| BNK Financial Group, Inc. (KRW) | |
| Chabiotech Co., Ltd. (KRW) (c) | |
| CJ Logistics Corp. (KRW) (c) | |
| | |
| | |
| | |
| | |
| Daewoo Engineering & Construction Co., Ltd. (KRW) (c) | |
| | |
| DGB Financial Group, Inc. (KRW) | |
| | |
| DN Automotive Corp. (KRW) | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| Hanall Biopharma Co., Ltd. (KRW) (c) | |
| | |
| Hanwha Life Insurance Co., Ltd. (KRW) (c) | |
| Harim Holdings Co., Ltd. (KRW) | |
| HD Hyundai Construction Equipment Co., Ltd. (KRW) | |
| HD Hyundai Electric Co., Ltd. (KRW) | |
| HD Hyundai Infracore Co., Ltd. (KRW) | |
| HDC Hyundai Development Co-Engineering & Construction, Class E (KRW) | |
| Hyosung Heavy Industries Corp. (KRW) (c) | |
| Hyundai Department Store Co., Ltd. (KRW) | |
| Hyundai Elevator Co., Ltd. (KRW) | |
| Hyundai Marine & Fire Insurance Co., Ltd. (KRW) | |
| IS Dongseo Co., Ltd. (KRW) (c) | |
| JB Financial Group Co., Ltd. (KRW) | |
| JW Pharmaceutical Corp. (KRW) | |
| | |
| Kolmar Korea Co., Ltd. (KRW) | |
| Kolon Industries, Inc. (KRW) | |
| Korea Gas Corp. (KRW) (c) | |
| Korean Reinsurance Co. (KRW) | |
| Kumho Petrochemical Co., Ltd. (KRW) | |
| Kumho Tire Co., Inc. (KRW) (c) | |
| | |
| LOTTE Fine Chemical Co., Ltd. (KRW) | |
| | |
| LS Electric Co., Ltd. (KRW) | |
| | |
| LX International Corp. (KRW) | |
| MegaStudyEdu Co., Ltd. (KRW) | |
| Myoung Shin Industrial Co., Ltd. (KRW) (c) | |
| | |
| OCI Holdings Co., Ltd. (KRW) | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| | |
| Pan Ocean Co., Ltd. (KRW) | |
| | |
| Sambu Engineering & Construction Co., Ltd. (KRW) (c) | |
| Samsung Card Co., Ltd. (KRW) | |
| Samyang Foods Co., Ltd. (KRW) | |
| SeAH Besteel Holdings Corp. (KRW) | |
| Sebang Global Battery Co., Ltd. (KRW) | |
| Shinsegae International, Inc. (KRW) | |
| | |
| SK Chemicals Co., Ltd. (KRW) | |
| SK Discovery Co., Ltd. (KRW) | |
| SK Networks Co., Ltd. (KRW) | |
| | |
| SM Entertainment Co., Ltd. (KRW) | |
| SOLUM Co., Ltd. (KRW) (c) | |
| Soulbrain Holdings Co., Ltd. (KRW) | |
| Sungwoo Hitech Co., Ltd. (KRW) | |
| TKG Huchems Co., Ltd. (KRW) | |
| | |
| | |
| Youngone Holdings Co., Ltd. (KRW) | |
| | |
| | |
| Ence Energia y Celulosa S.A. (EUR) | |
| Indra Sistemas S.A. (EUR) | |
| Let’s GOWEX S.A. (EUR) (c) (d) (e) (f) (k) | |
| Tecnicas Reunidas S.A. (EUR) (c) | |
| | |
| | |
| | |
| Betsson AB, Class B (SEK) | |
| Embracer Group AB (SEK) (c) | |
| Munters Group AB (SEK) (g) (h) | |
| | |
| | |
|
| | |
| | |
| Storskogen Group AB, Class B (SEK) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Babcock International Group PLC (GBP) | |
| Bank of Georgia Group PLC (GBP) | |
| Crest Nicholson Holdings PLC (GBP) | |
| | |
| Diversified Energy Co. PLC (GBP) (h) | |
| Domino’s Pizza Group PLC (GBP) | |
| | |
| | |
| | |
| | |
| IG Group Holdings PLC (GBP) | |
| J D Wetherspoon PLC (GBP) (c) | |
| Jupiter Fund Management PLC (GBP) | |
| | |
| Morgan Sindall Group PLC (GBP) | |
| Redde Northgate PLC (GBP) | |
| | |
| Safestore Holdings PLC (GBP) | |
| | |
| Shaftesbury Capital PLC (GBP) | |
| | |
| | |
| | |
| Virgin Money UK PLC (GBP) | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)Portfolio of Investments (Continued)December 31, 2023 | | |
REPURCHASE AGREEMENTS — 0.4% |
| JPMorgan Chase & Co., 5.32% (l), dated 12/29/23, due 01/02/24, with a maturity value of $33,558. Collateralized by U.S. Treasury Securities, interest rates of 2.50% to 5.00%, due 02/15/29 to 08/15/53. The value of the collateral including accrued interest is $34,204. (m) | |
| | |
|
|
| Total Investments — 99.9% | |
| | |
| Net Other Assets and Liabilities — 0.1% | |
| | |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| Non-income producing security. |
| Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
| This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At December 31, 2023, securities noted as such are valued at $1,905 or 0.0% of net assets. |
| This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| All or a portion of this security is on loan (see Note 2E - 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, including those sold and pending settlement, is $31,481 and the total value of the collateral held by the Fund is $33,533. |
| Non-income producing security which makes payment-in- kind (“PIK”) distributions. For the fiscal year ended December 31, 2023, the Fund received 143 PIK shares of Lunit, Inc. |
| This issuer has filed for protection in bankruptcy court. |
| Rate shown reflects yield as of December 31, 2023. |
| This security serves as collateral for securities on loan. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)Portfolio of Investments (Continued)December 31, 2023
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for country breakout. |
| Investments are valued at $0. |
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.
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) | |
| |
| |
| 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. |
| At December 31, 2023, 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:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At December 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) (b) — 99.6% |
| | |
| CGN New Energy Holdings Co., Ltd. (HKD) (c) | |
| | |
| Shenzhen International Holdings Ltd. (HKD) | |
| | |
| | |
| | |
| | |
| Bradespar S.A. (Preference Shares) (BRL) | |
| Camil Alimentos S.A. (BRL) | |
| Cia de Saneamento de Minas Gerais Copasa MG (BRL) | |
| Cia De Sanena Do Parana (BRL) | |
| Cia de Transmissao de Energia Eletrica Paulista (Preference Shares) (BRL) | |
| Cia Ferro Ligas da Bahia- Ferbasa (Preference Shares) (BRL) | |
| | |
| | |
| EcoRodovias Infraestrutura e Logistica S.A. (BRL) | |
| Enauta Participacoes S.A. (BRL) | |
| GPS Participacoes e Empreendimentos S.A. (BRL) (d) | |
| Hidrovias do Brasil S.A. (BRL) (e) | |
| Jalles Machado S.A. (BRL) | |
| JHSF Participacoes S.A. (BRL) | |
| Mahle Metal Leve S.A. (BRL) | |
| Marcopolo S.A. (Preference Shares) (BRL) | |
| Metalurgica Gerdau S.A. (Preference Shares) (BRL) | |
| Oncoclinicas do Brasil Servicos Medicos S.A. (BRL) (e) | |
| Petroreconcavo S.A. (BRL) | |
| | |
| Vulcabras Azaleia S.A. (BRL) | |
| | |
| | |
| 3SBio, Inc. (HKD) (d) (f) | |
| AAC Technologies Holdings, Inc. (HKD) | |
| ANE Cayman, Inc. (HKD) (c) (e) | |
| | |
|
| Cayman Islands (Continued) | |
| China Conch Venture Holdings Ltd. (HKD) | |
| China Education Group Holdings Ltd. (HKD) (f) | |
| China Lesso Group Holdings Ltd. (HKD) | |
| China Metal Recycling Holdings Ltd. (HKD) (e) (g) (h) (i) | |
| China Yongda Automobiles Services Holdings Ltd. (HKD) | |
| China Zhongwang Holdings Ltd. (HKD) (e) (g) (h) (i) | |
| Dongyue Group Ltd. (HKD) (c) | |
| Everest Medicines Ltd. (HKD) (d) (e) (f) | |
| | |
| Fulgent Sun International Holding Co., Ltd. (TWD) | |
| General Interface Solution Holding Ltd. (TWD) | |
| Horizon Construction Development Ltd. (HKD) (e) | |
| Jinan Acetate Chemical Co., Ltd. (TWD) | |
| Kingboard Holdings Ltd. (HKD) | |
| Maoyan Entertainment (HKD) (d) (e) (f) | |
| Meitu, Inc. (HKD) (c) (d) (f) | |
| Nexteer Automotive Group Ltd. (HKD) | |
| Tianneng Power International Ltd. (HKD) (c) | |
| Wisdom Marine Lines Co., Ltd. (TWD) | |
| Zhen Ding Technology Holding Ltd. (TWD) | |
| | |
| | |
| Cia Sud Americana de Vapores S.A. (CLP) | |
| | |
| | |
| | |
| A-Living Smart City Services Co., Ltd. (HKD) (d) (f) | |
| Anhui Expressway Co., Ltd., Class H (HKD) | |
| BAIC Motor Corp. Ltd., Class H (HKD) (d) (f) | |
| China Communications Services Corp. Ltd., Class H (HKD) | |
See Notes to Financial Statements
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| China Datang Corp. Renewable Power Co., Ltd., Class H (HKD) | |
| Dongfeng Motor Group Co., Ltd., Class H (HKD) | |
| Legend Holdings Corp., Class H (HKD) (d) (f) | |
| Xinte Energy Co., Ltd., Class H (HKD) (c) (e) | |
| Zhejiang Expressway Co., Ltd., Class H (HKD) | |
| | |
| | |
| EFG Holding S.A.E. (EGP) (g) (j) | |
| Ezz Steel Co. SAE (EGP) (e) (g) | |
| | |
| | |
| China Everbright Environment Group Ltd. (HKD) | |
| China Nonferrous Mining Corp., Ltd. (HKD) | |
| China Tobacco International HK Co., Ltd. (HKD) (c) (f) | |
| CITIC Telecom International Holdings Ltd. (HKD) | |
| Far East Horizon Ltd. (HKD) | |
| Genertec Universal Medical Group Co., Ltd. (HKD) (d) (f) | |
| Poly Property Group Co., Ltd. (HKD) | |
| Shanghai Industrial Holdings Ltd. (HKD) | |
| Shougang Fushan Resources Group Ltd. (HKD) | |
| Simcere Pharmaceutical Group Ltd. (HKD) (d) (f) | |
| | |
| | |
| | |
| Jaiprakash Power Ventures Ltd. (INR) (e) | |
| RBL Bank Ltd. (INR) (d) (f) | |
| South Indian Bank (The) Ltd. (INR) | |
| | |
| | |
| Berkah Beton Sadaya Tbk PT (IDR) (e) (g) | |
| | |
| | |
|
| | |
| Bumi Resources Minerals Tbk PT (IDR) (e) | |
| Bumi Serpong Damai Tbk PT (IDR) (e) | |
| Erajaya Swasembada Tbk PT (IDR) | |
| Gudang Garam Tbk PT (IDR) | |
| Harum Energy Tbk PT (IDR) | |
| Indika Energy Tbk PT (IDR) | |
| Indo Tambangraya Megah Tbk PT (IDR) | |
| Medco Energi Internasional Tbk PT (IDR) | |
| Media Nusantara Citra Tbk PT (IDR) | |
| Mitra Adiperkasa Tbk PT (IDR) | |
| Pabrik Kertas Tjiwi Kimia Tbk PT (IDR) | |
| Perusahaan Gas Negara Tbk PT (IDR) | |
| | |
| | |
| | |
| Bumi Armada Bhd (MYR) (e) | |
| | |
| | |
| Hibiscus Petroleum Bhd (MYR) | |
| | |
| | |
| Velesto Energy Bhd (MYR) (e) | |
| | |
| | |
| Alsea SAB de C.V. (MXN) (e) | |
| Gentera SAB de C.V. (MXN) | |
| Megacable Holdings SAB de C.V. (MXN) | |
| Qualitas Controladora S.A.B. de C.V. (MXN) | |
| TF Administradora Industrial S de RL de C.V. (MXN) | |
| | |
| | |
| GT Capital Holdings, Inc. (PHP) | |
| | |
| Alior Bank S.A. (PLN) (e) | |
| | |
| Bank Millennium S.A. (PLN) (c) (e) | |
| | |
| Cyfrowy Polsat S.A. (PLN) (c) (e) | |
See Notes to Financial Statements
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Jastrzebska Spolka Weglowa S.A. (PLN) (c) (e) | |
| | |
| Tauron Polska Energia S.A. (PLN) (e) | |
| | |
| | |
| | |
| Federal Grid Co. - Rosseti PJSC (RUB) (e) (g) (h) (i) | |
| Mechel PJSC (RUB) (e) (g) (h) (i) | |
| | |
| | |
| African Rainbow Minerals Ltd. (ZAR) | |
| Exxaro Resources Ltd. (ZAR) | |
| Foschini Group (The) Ltd. (ZAR) | |
| Harmony Gold Mining Co., Ltd. (ZAR) | |
| Hyprop Investments Ltd. (ZAR) | |
| Momentum Metropolitan Holdings (ZAR) | |
| Motus Holdings Ltd. (ZAR) | |
| | |
| OUTsurance Group Ltd. (ZAR) | |
| Pepkor Holdings Ltd. (ZAR) (d) (f) | |
| Redefine Properties Ltd. (ZAR) | |
| Resilient REIT Ltd. (ZAR) | |
| | |
| Thungela Resources Ltd. (ZAR) | |
| | |
| Truworths International Ltd. (ZAR) | |
| Vukile Property Fund Ltd. (ZAR) | |
| | |
| | |
| Arcadyan Technology Corp. (TWD) | |
| Century Iron & Steel Industrial Co., Ltd. (TWD) | |
| Chenbro Micom Co., Ltd. (TWD) | |
| | |
| ChipMOS Technologies, Inc. (TWD) | |
| CyberPower Systems, Inc. (TWD) | |
| | |
|
| | |
| Depo Auto Parts Ind Co., Ltd. (TWD) | |
| Evergreen International Storage & Transport Corp. (TWD) | |
| EVERGREEN Steel Corp. (TWD) | |
| FLEXium Interconnect, Inc. (TWD) | |
| Fortune Electric Co., Ltd. (TWD) | |
| Foxsemicon Integrated Technology, Inc. (TWD) | |
| Gemtek Technology Corp. (TWD) | |
| Getac Holdings Corp. (TWD) | |
| Global Brands Manufacture Ltd. (TWD) | |
| Gold Circuit Electronics Ltd. (TWD) | |
| Hannstar Board Corp. (TWD) | |
| | |
| L&K Engineering Co., Ltd. (TWD) | |
| Mitac Holdings Corp. (TWD) | |
| Orient Semiconductor Electronics Ltd. (TWD) | |
| | |
| Powertech Technology, Inc. (TWD) | |
| Ruentex Industries Ltd. (TWD) | |
| Run Long Construction Co., Ltd. (TWD) | |
| Sanyang Motor Co., Ltd. (TWD) | |
| | |
| | |
| Sunonwealth Electric Machine Industry Co., Ltd. (TWD) | |
| Supreme Electronics Co., Ltd. (TWD) | |
| Taiwan Surface Mounting Technology Corp. (TWD) | |
| Tong Yang Industry Co., Ltd. (TWD) | |
| Tripod Technology Corp. (TWD) | |
| United Integrated Services Co., Ltd. (TWD) | |
| Wistron NeWeb Corp. (TWD) | |
| WT Microelectronics Co., Ltd. (TWD) | |
See Notes to Financial Statements
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Yankey Engineering Co., Ltd. (TWD) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Hana Microelectronics PCL (THB) | |
| | |
| Regional Container Lines PCL (THB) | |
| | |
| Sri Trang Agro-Industry PCL (THB) | |
| | |
| Taokaenoi Food & Marketing PCL (THB) | |
| | |
| | |
| | |
| AG Anadolu Grubu Holding A.S. (TRY) | |
| Anadolu Efes Biracilik Ve Malt Sanayii A.S. (TRY) | |
| | |
| Cimsa Cimento Sanayi VE Ticare A.S. (TRY) | |
| Dogan Sirketler Grubu Holding A.S. (TRY) | |
| Dogus Otomotiv Servis ve Ticaret A.S. (TRY) | |
| Enerjisa Enerji A.S. (TRY) (d) (f) | |
| Is Gayrimenkul Yatirim Ortakligi A.S. (TRY) (e) | |
| Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S., Class D (TRY) | |
| Mavi Giyim Sanayi Ve Ticaret A.S., Class B (TRY) (d) (f) | |
| Migros Ticaret A.S. (TRY) | |
| MLP Saglik Hizmetleri A.S. (TRY) (d) (e) (f) | |
| NET Holding A.S. (TRY) (e) | |
| Nuh Cimento Sanayi A.S. (TRY) | |
| ODAS Elektrik Uretim ve Sanayi Ticaret A.S. (TRY) (e) | |
| Otokar Otomotiv Ve Savunma Sanayi A.S. (TRY) (k) | |
| | |
|
| | |
| Pegasus Hava Tasimaciligi A.S. (TRY) (e) | |
| Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. (TRY) | |
| Sok Marketler Ticaret A.S. (TRY) | |
| TAV Havalimanlari Holding A.S. (TRY) (e) | |
| Tekfen Holding A.S. (TRY) | |
| Turk Traktor ve Ziraat Makineleri A.S. (TRY) | |
| Ulker Biskuvi Sanayi A.S. (TRY) (e) | |
| Vestel Elektronik Sanayi ve Ticaret A.S. (TRY) (e) | |
| Zorlu Enerji Elektrik Uretim A.S. (TRY) (e) | |
| | |
| | |
| | |
|
| | |
| WT Microelectronics Co., Ltd., expiring 01/09/24 (TWD) (e) (g) (h) | |
| | |
| | |
REPURCHASE AGREEMENTS — 3.0% |
| Bank of America Corp., 5.32% (l), dated 12/29/23, due 01/02/24, with a maturity value of $2,948,680. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 3.13%, due 08/31/27 to 05/15/48. The value of the collateral including accrued interest is $3,005,433. (m) | |
See Notes to Financial Statements
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)Portfolio of Investments (Continued)December 31, 2023 | | |
REPURCHASE AGREEMENTS (Continued) |
| JPMorgan Chase & Co., 5.33% (l), dated 12/29/23, due 01/02/24, with a maturity value of $3,440,130. Collateralized by U.S. Treasury Securities, interest rates of 2.50% to 5.00%, due 02/15/29 to 08/15/53. The value of the collateral including accrued interest is $3,506,337. (m) | |
| Mizuho Financial Group, Inc., 5.33% (l), dated 12/29/23, due 01/02/24, with a maturity value of $3,440,130. Collateralized by U.S. Treasury Securities, interest rates of 0.38% to 4.75%, due 12/31/23 to 02/15/33. The value of the collateral including accrued interest is $3,506,337. (m) | |
| Total Repurchase Agreements | |
| | |
|
|
| Total Investments — 102.6% | |
| | |
| Net Other Assets and Liabilities — (2.6)% | |
| | |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| All or a portion of this security is on loan (see Note 2E - 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, including those sold and pending settlement, is $9,090,930 and the total value of the collateral held by the Fund is $9,821,673. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| Non-income producing security. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
| This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At December 31, 2023, securities noted as such are valued at $34,336 or 0.0% of net assets. |
| This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
| Non-income producing security which makes payment-in- kind (“PIK”) distributions. There were no in-kind distributions received for the fiscal year ended December 31, 2023. |
| Non-income producing security which makes payment-in- kind (“PIK”) distributions. For the fiscal year ended December 31, 2023, the Fund received 44,000 PIK shares of Otokar Otomotiv Ve Savunma Sanayi A.S. |
| Rate shown reflects yield as of December 31, 2023. |
| This security serves as collateral for securities on loan. |
Abbreviations throughout the Portfolio of Investments: |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
See Notes to Financial Statements
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)Portfolio of Investments (Continued)December 31, 2023 Currency Exposure Diversification | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| Investments are valued at $0. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for country breakout. |
| Investments are valued at $0. |
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.
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) | |
| |
| |
| 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. |
| At December 31, 2023, 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:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At December 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Eurozone AlphaDEX® ETF (FEUZ)Portfolio of InvestmentsDecember 31, 2023
| | |
COMMON STOCKS (a) (b) — 99.1% |
| | |
| BAWAG Group AG (EUR) (c) (d) | |
| CA Immobilien Anlagen AG (EUR) | |
| Erste Group Bank AG (EUR) | |
| | |
| Raiffeisen Bank International AG (EUR) | |
| | |
| | |
| | |
| | |
| Ackermans & van Haaren N.V. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Stora Enso Oyj, Class R (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Amundi S.A. (EUR) (c) (d) | |
| | |
| | |
| | |
| | |
| Cie de Saint-Gobain S.A. (EUR) | |
| Cie Generale des Etablissements Michelin S.C.A. (EUR) | |
| Credit Agricole S.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Publicis Groupe S.A. (EUR) | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| Societe Generale S.A. (EUR) | |
| | |
| | |
| Sopra Steria Group SACA (EUR) | |
| | |
| | |
| | |
| Veolia Environnement S.A. (EUR) | |
| | |
| Worldline S.A. (EUR) (c) (d) (e) | |
| | |
| | |
| | |
| Bayerische Motoren Werke AG (EUR) | |
| | |
| | |
| | |
| | |
| Covestro AG (EUR) (c) (d) (e) | |
| Daimler Truck Holding AG (EUR) | |
| | |
| Deutsche Lufthansa AG (EUR) (e) | |
| Deutsche Telekom AG (EUR) | |
| | |
| | |
| Evonik Industries AG (EUR) | |
| Fraport AG Frankfurt Airport Services Worldwide (EUR) (e) | |
| Fresenius Medical Care AG (EUR) | |
| Fresenius SE & Co. KGaA (EUR) | |
| FUCHS SE (Preference Shares) (EUR) | |
| | |
| | |
| Heidelberg Materials AG (EUR) | |
| | |
| | |
| Infineon Technologies AG (EUR) | |
| | |
| LEG Immobilien SE (EUR) (e) | |
See Notes to Financial Statements
First Trust Eurozone AlphaDEX® ETF (FEUZ)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| Mercedes-Benz Group AG (EUR) | |
| Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen (EUR) | |
| Porsche Automobil Holding SE (Preference Shares) (EUR) | |
| | |
| | |
| Schaeffler AG (Preference Shares) (EUR) | |
| | |
| | |
| | |
| Telefonica Deutschland Holding AG (EUR) | |
| | |
| | |
| Volkswagen AG (Preference Shares) (EUR) | |
| | |
| | |
| | |
| Eurobank Ergasias Services and Holdings S.A. (EUR) (e) | |
| Hellenic Telecommunications Organization S.A. (EUR) | |
| | |
| | |
| National Bank of Greece S.A. (EUR) (e) | |
| Piraeus Financial Holdings S.A. (EUR) (e) | |
| | |
| | |
| | |
| | |
| | |
| Ryanair Holdings PLC, ADR (e) | |
| | |
| | |
| | |
| Assicurazioni Generali S.p.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| Intesa Sanpaolo S.p.A. (EUR) | |
| | |
| | |
| Mediobanca Banca di Credito Finanziario S.p.A. (EUR) | |
| Pirelli & C S.p.A. (EUR) (c) (d) | |
| Telecom Italia S.p.A. (EUR) (e) | |
| | |
| Unipol Gruppo S.p.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| ABN AMRO Bank N.V. (EUR) (c) (d) | |
| | |
| | |
| ASM International N.V. (EUR) | |
| | |
| Koninklijke Ahold Delhaize N.V. (EUR) | |
| Koninklijke Vopak N.V. (EUR) | |
| | |
| | |
| STMicroelectronics N.V. (EUR) | |
| Technip Energies N.V. (EUR) | |
| Universal Music Group N.V. (EUR) | |
| | |
| | |
| Banco Comercial Portugues S.A., Class R (EUR) (e) | |
| Galp Energia SGPS S.A. (EUR) | |
| | |
| | |
| | |
| ACS Actividades de Construccion y Servicios S.A. (EUR) | |
| Banco Bilbao Vizcaya Argentaria S.A. (EUR) | |
| Banco de Sabadell S.A. (EUR) | |
| Banco Santander S.A. (EUR) | |
| | |
| | |
See Notes to Financial Statements
First Trust Eurozone AlphaDEX® ETF (FEUZ)Portfolio of Investments (Continued)December 31, 2023 | | |
COMMON STOCKS (a) (b) (Continued) |
| | |
| | |
| Industria de Diseno Textil S.A. (EUR) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 0.0% |
| JPMorgan Chase & Co., 5.33% (f), dated 12/29/23, due 01/02/24, with a maturity value of $739. Collateralized by U.S. Treasury Securities, interest rates of 2.50% to 5.00%, due 02/15/29 to 08/15/53. The value of the collateral including accrued interest is $753. (g) | |
| | |
|
|
| Total Investments — 99.1% | |
| | |
| Net Other Assets and Liabilities — 0.9% | |
| | |
| Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
| Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
| This security is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”) and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
| Non-income producing security. |
| Rate shown reflects yield as of December 31, 2023. |
| This security serves as collateral for securities on loan. |
Abbreviations throughout the Portfolio of Investments: |
| – American Depositary Receipt |
| |
| |
Currency Exposure Diversification | |
| |
| |
| |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of December 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for country breakout. |
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:
|
Total gross amount presented on the Statements
of Assets and Liabilities(1) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At December 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIStatements of Assets and Liabilities
December 31, 2023
| First Trust Asia Pacific ex-Japan AlphaDEX® Fund
(FPA) | First Trust Europe AlphaDEX® Fund
(FEP) | First Trust Latin America AlphaDEX® Fund
(FLN) |
| | | |
| | | |
| | | |
Foreign currency, at value | | | |
| | | |
| | | |
Securities lending income | | | |
Investment securities sold | | | |
| | | |
| | | |
| | | |
| | | |
|
| | | |
| | | |
Due to custodian foreign currency | | | |
| | | |
Collateral for securities on loan | | | |
| | | |
Investment securities purchased | | | |
Deferred foreign capital gains tax | | | |
| | | |
| | | |
| | | |
|
| | | |
| | | |
| | | |
Accumulated distributable earnings (loss) | | | |
| | | |
NET ASSET VALUE, per share | | | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | | | |
| | | |
Foreign currency, at cost (proceeds) | | | |
Securities on loan, at value | | | |
See Notes to Financial Statements
First Trust Brazil AlphaDEX® Fund
(FBZ) | First Trust China AlphaDEX® Fund
(FCA) | First Trust Japan AlphaDEX® Fund
(FJP) | First Trust Developed Markets ex-US AlphaDEX® Fund
(FDT) | First Trust Emerging Markets AlphaDEX® Fund
(FEM) | First Trust Germany AlphaDEX® Fund
(FGM) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIStatements of Assets and Liabilities (Continued)
December 31, 2023
| First Trust United Kingdom AlphaDEX® Fund
(FKU) | First Trust India NIFTY 50 Equal Weight ETF
(NFTY) | First Trust Switzerland AlphaDEX® Fund
(FSZ) |
| | | |
| | | |
| | | |
Foreign currency, at value | | | |
| | | |
| | | |
Securities lending income | | | |
Investment securities sold | | | |
| | | |
| | | |
| | | |
| | | |
|
| | | |
| | | |
Due to custodian foreign currency | | | |
| | | |
Collateral for securities on loan | | | |
| | | |
Investment securities purchased | | | |
Deferred foreign capital gains tax | | | |
| | | |
| | | |
| | | |
|
| | | |
| | | |
| | | |
Accumulated distributable earnings (loss) | | | |
| | | |
NET ASSET VALUE, per share | | | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | | | |
| | | |
Foreign currency, at cost (proceeds) | | | |
Securities on loan, at value | | | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
(FDTS) | First Trust Emerging Markets Small Cap AlphaDEX® Fund
(FEMS) | First Trust Eurozone AlphaDEX® ETF
(FEUZ) |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIStatements of Operations
For the Year Ended December 31, 2023
| First Trust Asia Pacific ex-Japan AlphaDEX® Fund
(FPA) | First Trust Europe AlphaDEX® Fund
(FEP) | First Trust Latin America AlphaDEX® Fund
(FLN) |
| | | |
| | | |
Securities lending income (net of fees) | | | |
| | | |
| | | |
|
| | | |
| | | |
| | | |
NET INVESTMENT INCOME (LOSS) | | | |
|
NET REALIZED AND UNREALIZED GAIN (LOSS): | | | |
Net realized gain (loss) on: | | | |
| | | |
| | | |
Foreign currency transactions | | | |
Foreign capital gains tax | | | |
| | | |
Net change in unrealized appreciation (depreciation) on: | | | |
| | | |
Foreign currency translation | | | |
Deferred foreign capital gains tax | | | |
Net change in unrealized appreciation (depreciation) | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | |
See Notes to Financial Statements
First Trust Brazil AlphaDEX® Fund
(FBZ) | First Trust China AlphaDEX® Fund
(FCA) | First Trust Japan AlphaDEX® Fund
(FJP) | First Trust Developed Markets ex-US AlphaDEX® Fund
(FDT) | First Trust Emerging Markets AlphaDEX® Fund
(FEM) | First Trust Germany AlphaDEX® Fund
(FGM) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIStatements of Operations (Continued)
For the Year Ended December 31, 2023
| First Trust United Kingdom AlphaDEX® Fund
(FKU) | First Trust India NIFTY 50 Equal Weight ETF
(NFTY) | First Trust Switzerland AlphaDEX® Fund
(FSZ) |
| | | |
| | | |
Securities lending income (net of fees) | | | |
| | | |
| | | |
|
| | | |
| | | |
| | | |
NET INVESTMENT INCOME (LOSS) | | | |
|
NET REALIZED AND UNREALIZED GAIN (LOSS): | | | |
Net realized gain (loss) on: | | | |
| | | |
| | | |
Foreign currency transactions | | | |
Foreign capital gains tax | | | |
| | | |
Net change in unrealized appreciation (depreciation) on: | | | |
| | | |
Foreign currency translation | | | |
Deferred foreign capital gains tax | | | |
Net change in unrealized appreciation (depreciation) | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
(FDTS) | First Trust Emerging Markets Small Cap AlphaDEX® Fund
(FEMS) | First Trust Eurozone AlphaDEX® ETF
(FEUZ) |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIStatements of Changes in Net Assets
| First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA) | First Trust Europe AlphaDEX® Fund (FEP) |
| | | | |
| | | | |
Net investment income (loss) | | | | |
| | | | |
Net change in unrealized appreciation (depreciation) | | | | |
Net increase (decrease) in net assets resulting from operations | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
|
SHAREHOLDER TRANSACTIONS: | | | | |
Proceeds from shares sold | | | | |
| | | | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | | |
Total increase (decrease) in net assets | | | | |
|
| | | | |
| | | | |
| | | | |
|
CHANGES IN SHARES OUTSTANDING: | | | | |
Shares outstanding, beginning of period | | | | |
| | | | |
| | | | |
Shares outstanding, end of period | | | | |
See Notes to Financial Statements
First Trust Latin America AlphaDEX® Fund (FLN) | First Trust Brazil AlphaDEX® Fund (FBZ) | First Trust China AlphaDEX® Fund (FCA) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIStatements of Changes in Net Assets (Continued)
| First Trust Japan AlphaDEX® Fund (FJP) | First Trust Developed Markets ex-US AlphaDEX® Fund (FDT) |
| | | | |
| | | | |
Net investment income (loss) | | | | |
| | | | |
Net change in unrealized appreciation (depreciation) | | | | |
Net increase (decrease) in net assets resulting from operations | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
|
SHAREHOLDER TRANSACTIONS: | | | | |
Proceeds from shares sold | | | | |
| | | | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | | |
Total increase (decrease) in net assets | | | | |
|
| | | | |
| | | | |
| | | | |
|
CHANGES IN SHARES OUTSTANDING: | | | | |
Shares outstanding, beginning of period | | | | |
| | | | |
| | | | |
Shares outstanding, end of period | | | | |
See Notes to Financial Statements
First Trust Emerging Markets AlphaDEX® Fund (FEM) | First Trust Germany AlphaDEX® Fund (FGM) | First Trust United Kingdom AlphaDEX® Fund (FKU) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIStatements of Changes in Net Assets (Continued)
| First Trust India NIFTY 50 Equal Weight ETF (NFTY) | First Trust Switzerland AlphaDEX® Fund (FSZ) |
| | | | |
| | | | |
Net investment income (loss) | | | | |
| | | | |
Net change in unrealized appreciation (depreciation) | | | | |
Net increase (decrease) in net assets resulting from operations | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | |
| | | | |
| | | | |
Total distributions to shareholders | | | | |
|
SHAREHOLDER TRANSACTIONS: | | | | |
Proceeds from shares sold | | | | |
| | | | |
Net increase (decrease) in net assets resulting from shareholder transactions | | | | |
Total increase (decrease) in net assets | | | | |
|
| | | | |
| | | | |
| | | | |
|
CHANGES IN SHARES OUTSTANDING: | | | | |
Shares outstanding, beginning of period | | | | |
| | | | |
| | | | |
Shares outstanding, end of period | | | | |
See Notes to Financial Statements
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS) | First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS) | First Trust Eurozone AlphaDEX® ETF (FEUZ) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
|
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights
For a share outstanding throughout each period First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
| | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Europe AlphaDEX® Fund (FEP)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Latin America AlphaDEX® Fund (FLN)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
| | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Brazil AlphaDEX® Fund (FBZ)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
| | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust China AlphaDEX® Fund (FCA)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Japan AlphaDEX® Fund (FJP)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Emerging Markets AlphaDEX® Fund (FEM)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Germany AlphaDEX® Fund (FGM)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust United Kingdom AlphaDEX® Fund (FKU)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust India NIFTY 50 Equal Weight ETF (NFTY)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Switzerland AlphaDEX® Fund (FSZ)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
First Trust Exchange-Traded AlphaDEX® Fund IIFinancial Highlights (Continued)
For a share outstanding throughout each period First Trust Eurozone AlphaDEX® ETF (FEUZ)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| 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. |
| 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
Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 1. Organization
First Trust Exchange-Traded AlphaDEX® Fund II (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on December 3, 2010, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Trust currently consists of the following fifteen exchange-traded funds (each a “Fund” and collectively, the “Funds”). The shares of each Fund are listed and traded on Nasdaq, Inc. (“Nasdaq”).
First Trust Asia Pacific ex-Japan AlphaDEX® Fund – (ticker “FPA”) |
First Trust Europe AlphaDEX® Fund – (ticker “FEP”) |
First Trust Latin America AlphaDEX® Fund – (ticker “FLN”) |
First Trust Brazil AlphaDEX® Fund – (ticker “FBZ”) |
First Trust China AlphaDEX® Fund – (ticker “FCA”) |
First Trust Japan AlphaDEX® Fund – (ticker “FJP”) |
First Trust Developed Markets ex-US AlphaDEX® Fund – (ticker “FDT”) |
First Trust Emerging Markets AlphaDEX® Fund – (ticker “FEM”) |
First Trust Germany AlphaDEX® Fund – (ticker “FGM”) |
First Trust United Kingdom AlphaDEX® Fund – (ticker “FKU”) |
First Trust India NIFTY 50 Equal Weight ETF – (ticker “NFTY”) |
First Trust Switzerland AlphaDEX® Fund – (ticker “FSZ”) |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund – (ticker “FDTS”) |
First Trust Emerging Markets Small Cap AlphaDEX® Fund – (ticker “FEMS”) |
First Trust Eurozone AlphaDEX® ETF – (ticker “FEUZ”) |
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:
| |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | Nasdaq AlphaDEX® Asia Pacific Ex-Japan Index |
First Trust Europe AlphaDEX® Fund | Nasdaq AlphaDEX® Europe Index |
First Trust Latin America AlphaDEX® Fund | Nasdaq AlphaDEX® Latin America Index |
First Trust Brazil AlphaDEX® Fund | Nasdaq AlphaDEX® Brazil Index |
First Trust China AlphaDEX® Fund | Nasdaq AlphaDEX® China Index |
First Trust Japan AlphaDEX® Fund | Nasdaq AlphaDEX® Japan Index |
First Trust Developed Markets ex-US AlphaDEX® Fund | Nasdaq AlphaDEX® Developed Markets Ex-US Index |
First Trust Emerging Markets AlphaDEX® Fund | Nasdaq AlphaDEX® Emerging Markets Index |
First Trust Germany AlphaDEX® Fund | Nasdaq AlphaDEX® Germany Index |
First Trust United Kingdom AlphaDEX® Fund | Nasdaq AlphaDEX® United Kingdom Index |
First Trust India NIFTY 50 Equal Weight ETF | NIFTY 50 Equal Weight Index |
First Trust Switzerland AlphaDEX® Fund | Nasdaq AlphaDEX® Switzerland Index |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | Nasdaq AlphaDEX® Developed Markets Ex-US Small Cap Index |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | Nasdaq AlphaDEX® Emerging Markets Small Cap Index |
First Trust Eurozone AlphaDEX® ETF | Nasdaq AlphaDEX® Eurozone Index |
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.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 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. Foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. 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 readily available market quotations such as 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’ investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. 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 primary exchange for such securities.
Securities trading on foreign exchanges or over-the-counter markets that close prior to the NYSE close may be valued using a systematic fair valuation model provided by a third-party pricing service. If these foreign securities meet certain criteria in relation to the valuation model, their valuation is systematically adjusted to reflect the impact of movement in the U.S. market after the close of the foreign markets.
Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.
Shares of open-end funds are valued based on NAV per share.
Overnight repurchase agreements are valued at amortized cost when it represents the most appropriate reflection of fair market value.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by 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 last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;
3)
the size of the holding;
4)
the initial cost of the security;
5)
transactions in comparable securities;
6)
price quotes from dealers and/or third-party pricing services;
7)
relationships among various securities;
8)
information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
9)
an analysis of the issuer’s financial statements;
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 10)
the existence of merger proposals or tender offers that might affect the value of the security; and
11)
other relevant factors.
If the securities in question are foreign securities, the following additional information may be considered:
1)
the last sale price on the exchange on which they are principally traded;
2)
the value of similar foreign securities traded on other foreign markets;
3)
ADR trading of similar securities;
4)
closed-end fund or exchange-traded fund trading of similar securities;
5)
foreign currency exchange activity;
6)
the trading prices of financial products that are tied to baskets of foreign securities;
7)
factors relating to the event that precipitated the pricing problem;
8)
whether the event is likely to recur;
9)
whether the effects of the event are isolated or whether they affect entire markets, countries or regions; and
10)
other relevant factors.
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.
Because foreign markets may be open on different days than the days during which investors may transact in the shares of a Fund, the value of the Fund’s securities may change on the days when investors are not able to transact in the shares of the Fund. The value of the securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE. Any use of a different rate from the rates used by a relevant index may adversely affect the Fund’s ability to track the 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:
• 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.
• 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.
• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of December 31, 2023, is included with each Fund’s Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date except that certain dividends from foreign securities are recorded as soon as the information becomes available after 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.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 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 are 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. Foreign Currency
The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in “Net change in unrealized appreciation (depreciation) on foreign currency translation” on the Statements of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and are shown in “Net change in unrealized appreciation (depreciation) on investments” on the Statements of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and are included in “Net realized gain (loss) on foreign currency transactions” on the Statements of Operations. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in “Net realized gain (loss) on investments” on the Statements of Operations.
E. 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. Prior to September 18, 2023, the Funds’ securities lending agent was Brown Brothers Harriman & Co. (“BBH”). Effective September 18, 2023, the Bank of New York Mellon (“BNYM”) 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
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 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 December 31, 2023, FPA, FEP, FJP, FDT, FEM, FDTS, and FEMS had securities in the securities lending program. During the fiscal year ended December 31, 2023, FPA, FEP, FCA, FJP, FDT, FEM, FGM, FDTS, FEMS, and FEUZ participated in the securities lending program.
In the event of a default by a borrower with respect to any loan, 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 BNYM to exercise these remedies, a Fund sustains losses as a result of a borrower’s default, 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 BNYM.
F. 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 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 December 31, 2023, were received as collateral for lending securities.
G. 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 capital gains earned by each Fund, if any, are distributed at least annually. Each Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
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 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 December 31, 2023 was as follows:
| Distributions
paid from
Ordinary
Income | Distributions
paid from
Capital
Gains | Distributions
paid from
Return of
Capital |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | | | |
First Trust Europe AlphaDEX® Fund | | | |
First Trust Latin America AlphaDEX® Fund | | | |
First Trust Brazil AlphaDEX® Fund | | | |
First Trust China AlphaDEX® Fund | | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital |
First Trust Japan AlphaDEX® Fund | | | |
First Trust Developed Markets ex-US AlphaDEX® Fund | | | |
First Trust Emerging Markets AlphaDEX® Fund | | | |
First Trust Germany AlphaDEX® Fund | | | |
First Trust United Kingdom AlphaDEX® Fund | | | |
First Trust India NIFTY 50 Equal Weight ETF | | | |
First Trust Switzerland AlphaDEX® Fund | | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | | | |
First Trust Eurozone AlphaDEX® ETF | | | |
The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2022 was as follows:
| Distributions
paid from
Ordinary
Income | Distributions
paid from
Capital
Gains | Distributions
paid from
Return of
Capital |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | | | |
First Trust Europe AlphaDEX® Fund | | | |
First Trust Latin America AlphaDEX® Fund | | | |
First Trust Brazil AlphaDEX® Fund | | | |
First Trust China AlphaDEX® Fund | | | |
First Trust Japan AlphaDEX® Fund | | | |
First Trust Developed Markets ex-US AlphaDEX® Fund | | | |
First Trust Emerging Markets AlphaDEX® Fund | | | |
First Trust Germany AlphaDEX® Fund | | | |
First Trust United Kingdom AlphaDEX® Fund | | | |
First Trust India NIFTY 50 Equal Weight ETF | | | |
First Trust Switzerland AlphaDEX® Fund | | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | | | |
First Trust Eurozone AlphaDEX® ETF | | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 As of December 31, 2023, the components of distributable earnings on a tax basis for each Fund were as follows:
| Undistributed
Ordinary
Income | Accumulated
Capital and
Other
Gain (Loss) | Net
Unrealized
Appreciation
(Depreciation) |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | | | |
First Trust Europe AlphaDEX® Fund | | | |
First Trust Latin America AlphaDEX® Fund | | | |
First Trust Brazil AlphaDEX® Fund | | | |
First Trust China AlphaDEX® Fund | | | |
First Trust Japan AlphaDEX® Fund | | | |
First Trust Developed Markets ex-US AlphaDEX® Fund | | | |
First Trust Emerging Markets AlphaDEX® Fund | | | |
First Trust Germany AlphaDEX® Fund | | | |
First Trust United Kingdom AlphaDEX® Fund | | | |
First Trust India NIFTY 50 Equal Weight ETF | | | |
First Trust Switzerland AlphaDEX® Fund | | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | | | |
First Trust Eurozone AlphaDEX® ETF | | | |
H. Income and Other 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.
Certain countries assess a capital gains tax on securities sold in their local markets. This tax is accrued as the securities in these foreign markets appreciate in value and is paid at the time of sale to the extent a capital gain is realized. Taxes accrued on securities in an unrealized appreciation position are included in “Net change in unrealized appreciation (depreciation) on deferred foreign capital gains tax” on the Statements of Operations. The capital gains tax paid on securities sold, if any, is included in “Net realized gain (loss) on foreign capital gains tax” on the Statements of Operations.
India’s Finance Bill, 2018 (“Finance Bill, 2018”) was enacted into law on March 29, 2018 and amongst other provisions, it introduced a long-term capital gains tax beginning April 1, 2018. Long-term capital gains on the sale of listed shares in excess of INR 0.1 million are taxed at the rate of 10% (plus applicable surcharge and cess (which is a type of tax)) subject to satisfaction of certain conditions. Long-term capital gains accruing as of January 31, 2018 are considered exempt due to a grandfather clause in the provision. The aforesaid exemption from long-term capital gains tax is available with respect to shares acquired between October 1, 2004 and March 31, 2018 only if on such acquisitions Securities Transaction Tax (“STT”) was chargeable. Certain exceptions in this regard, such as acquisition of shares in a public offer, bonus, rights issued, etc. for which the condition of chargeability of STT on acquisition is not applicable, have been notified.
In the case of the sale of listed shares held by a Fund for one year or less, the income is classified as short-term capital gains and is taxable at 15% (plus applicable surcharge and cess) provided the shares are sold on the stock exchange and subjected to STT. For above purposes, the applicable rate of surcharge is 2% or 5% (depending on the level of income of the Fund). The Finance Bill, 2018 increases the cess imposed on the sum of tax and surcharge from 3% to 4%. The cess 4% rate is applied to the capital gains tax, resulting in a higher effective rate of capital gains tax.
Where the sale of shares is outside the stock exchange and not subject to STT, the long-term capital gains are taxed at 10% (plus applicable surcharge and cess) and short-term capital gains are taxed at 30% (plus applicable surcharge and cess). The Finance Bill, 2018, approves the carry forward of long-term capital losses to be offset against long-term capital gains. Short-term losses can be netted against both short-term gains and long-term gains.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 Until March 31, 2020, dividends received by a Fund from Indian companies were exempt from tax in India because Indian companies were required to pay dividend distribution tax. The Indian Finance Act, 2020 has amended the dividend taxation framework effective April 1, 2020 and accordingly dividends would now be taxable in the hands of the shareholders at 20%, plus applicable surcharge and cess. Subsequent to the Indian Finance Act, 2020, “The Taxation and Other Laws (Relaxation and Amendment of Certain Provisions) Bill, 2020” (the “Bill”) was enacted into law and is effective retroactively to April 1, 2020. The Bill caps the maximum surcharge at 15% of the tax on dividend income earned by the Fund. The highest effective tax rate proposed for non-corporate entities on dividends will be 23.92%. Note the Fund will not obtain relief under the US-India tax treaty as the treaty rate of 25% is higher than the domestic rate. Any excess taxes withheld can be offset against capital gains tax liability during the year or claimed as a refund in the annual tax return.
Please note that the above description is based on current provisions of Indian law, and any change or modification made by subsequent legislation, regulation, or administrative or judicial decision could increase the Indian tax liability of a Fund and thus reduce the return to a Fund’s shareholders. There can be no assurance that the Indian tax authorities and/or regulators will not take a position contrary to the views expressed herein. If the Indian tax authorities and/or regulators take a position contrary to the views expressed herein, adverse unpredictable consequences may follow.
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 2020, 2021, 2022, and 2023 remain open to federal and state audit. As of December 31, 2023, 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 December 31, 2023, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, 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.
| Non-Expiring
Capital Loss
Carryforwards |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | |
First Trust Europe AlphaDEX® Fund | |
First Trust Latin America AlphaDEX® Fund | |
First Trust Brazil AlphaDEX® Fund | |
First Trust China AlphaDEX® Fund | |
First Trust Japan AlphaDEX® Fund | |
First Trust Developed Markets ex-US AlphaDEX® Fund* | |
First Trust Emerging Markets AlphaDEX® Fund | |
First Trust Germany AlphaDEX® Fund | |
First Trust United Kingdom AlphaDEX® Fund | |
First Trust India NIFTY 50 Equal Weight ETF | |
First Trust Switzerland AlphaDEX® Fund | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | |
First Trust Eurozone AlphaDEX® ETF | |
| $69,084,441 of First Trust Developed Markets ex-US AlphaDEX® Fund’s non-expiring net capital losses is subject to loss limitation resulting from reorganization activity. This limitation generally reduces the utilization of these losses to a maximum of $96,428 per year. |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 During the taxable year ended December 31, 2023, the following Funds utilized capital loss carryforwards in the following amounts:
| |
First Trust Switzerland AlphaDEX® Fund | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | |
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 December 31, 2023, 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 December 31, 2023, the adjustments for each Fund were as follows:
| Accumulated
Net Investment
Income (Loss) | Accumulated
Net Realized
Gain (Loss)
on Investments | |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | | | |
First Trust Europe AlphaDEX® Fund | | | |
First Trust Latin America AlphaDEX® Fund | | | |
First Trust Brazil AlphaDEX® Fund | | | |
First Trust China AlphaDEX® Fund | | | |
First Trust Japan AlphaDEX® Fund | | | |
First Trust Developed Markets ex-US AlphaDEX® Fund | | | |
First Trust Emerging Markets AlphaDEX® Fund | | | |
First Trust Germany AlphaDEX® Fund | | | |
First Trust United Kingdom AlphaDEX® Fund | | | |
First Trust India NIFTY 50 Equal Weight ETF | | | |
First Trust Switzerland AlphaDEX® Fund | | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | | | |
First Trust Eurozone AlphaDEX® ETF | | | |
As of December 31, 2023, 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:
| | Gross Unrealized
Appreciation | Gross Unrealized
(Depreciation) | Net Unrealized
Appreciation
(Depreciation) |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | | | | |
First Trust Europe AlphaDEX® Fund | | | | |
First Trust Latin America AlphaDEX® Fund | | | | |
First Trust Brazil AlphaDEX® Fund | | | | |
First Trust China AlphaDEX® Fund | | | | |
First Trust Japan AlphaDEX® Fund | | | | |
First Trust Developed Markets ex-US AlphaDEX® Fund | | | | |
First Trust Emerging Markets AlphaDEX® Fund | | | | |
First Trust Germany AlphaDEX® Fund | | | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 | | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
First Trust United Kingdom AlphaDEX® Fund | | | | |
First Trust India NIFTY 50 Equal Weight ETF | | | | |
First Trust Switzerland AlphaDEX® Fund | | | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | | | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | | | | |
First Trust Eurozone AlphaDEX® ETF | | | | |
I. Expenses
Expenses that are directly related to the Funds are charged to First Trust pursuant to the Investment Management Agreement, with the exception of the advisory fees, Rule 12b-1 distribution and service fees, if any, brokerage expenses, taxes, interest, acquired fund fees and expenses, and extraordinary expenses, which are paid by each respective Fund.
First Trust Portfolios L.P. (“FTP”) has entered into licensing agreements with Nasdaq (“Licensor”) for all the Funds except NFTY and with NSE Indices Limited (“NSE”) for NFTY (Nasdaq and NSE collectively, the “Licensors”). The respective license agreements allow for the use by First Trust of each Fund’s respective index and of certain trademarks and trade names of the Licensors. The Funds are sub-licensees to the applicable license agreements.
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.
First Trust is paid an annual unitary management fee for each Fund. First Trust is responsible for the expenses of each Fund including the cost of transfer agency, custody, fund administration, licensing fees, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, brokerage commissions and other expenses associated with the execution of portfolio transactions, acquired fund fees and expenses, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, which are paid by each respective Fund. Prior to September 18, 2023, First Trust also provided fund reporting services to the Funds for a flat annual fee in the amount of $9,250 per Fund, which was covered under the annual unitary management fee. The annual unitary management fee payable by each Fund to First Trust for these services will be reduced at certain levels of each Fund’s net assets (“breakpoints”) and calculated pursuant to the following schedule:
| |
Fund net assets up to and including $2.5 billion | |
Fund net assets greater than $2.5 billion up to and including $5 billion | |
Fund net assets greater than $5 billion up to and including $7.5 billion | |
Fund net assets greater than $7.5 billion up to and including $10 billion | |
Fund net assets greater than $10 billion | |
Effective September 18, 2023, 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 provided however that BBH shall remain custodian for certain assets of FEP, FEM and FKU. 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.
Prior to September 18, 2023, the Trust had multiple service agreements with BBH. Under the service agreements, BBH performed custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BBH was responsible for custody of each Fund’s assets and remains custodian for certain assets of FEP, FEM and FKU. As fund accountant and
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 administrator, BBH was responsible for maintaining the books and records of each Fund’s securities and cash. As transfer agent, BBH was responsible for maintaining shareholder records for each Fund.
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 target 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 December 31, 2023, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:
| | |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | | |
First Trust Europe AlphaDEX® Fund | | |
First Trust Latin America AlphaDEX® Fund | | |
First Trust Brazil AlphaDEX® Fund | | |
First Trust China AlphaDEX® Fund | | |
First Trust Japan AlphaDEX® Fund | | |
First Trust Developed Markets ex-US AlphaDEX® Fund | | |
First Trust Emerging Markets AlphaDEX® Fund | | |
First Trust Germany AlphaDEX® Fund | | |
First Trust United Kingdom AlphaDEX® Fund | | |
First Trust India NIFTY 50 Equal Weight ETF | | |
First Trust Switzerland AlphaDEX® Fund | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | | |
First Trust Eurozone AlphaDEX® ETF | | |
For the fiscal year ended December 31, 2023, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
| | |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | | |
First Trust Europe AlphaDEX® Fund | | |
First Trust Latin America AlphaDEX® Fund | | |
First Trust Brazil AlphaDEX® Fund | | |
First Trust China AlphaDEX® Fund | | |
First Trust Japan AlphaDEX® Fund | | |
First Trust Developed Markets ex-US AlphaDEX® Fund | | |
First Trust Emerging Markets AlphaDEX® Fund | | |
First Trust Germany AlphaDEX® Fund | | |
First Trust United Kingdom AlphaDEX® Fund | | |
First Trust India NIFTY 50 Equal Weight ETF | | |
First Trust Switzerland AlphaDEX® Fund | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | | |
First Trust Eurozone AlphaDEX® ETF | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 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 Creation Units. Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation 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 April 30, 2025.
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.
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded AlphaDEX® Fund II:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of First Trust Asia Pacific ex-Japan AlphaDEX® Fund, First Trust Europe AlphaDEX® Fund, First Trust Latin America AlphaDEX® Fund, First Trust Brazil AlphaDEX® Fund, First Trust China AlphaDEX® Fund, First Trust Japan AlphaDEX® Fund, First Trust Developed Markets ex-US AlphaDEX® Fund, First Trust Emerging Markets AlphaDEX® Fund, First Trust Germany AlphaDEX® Fund, First Trust United Kingdom AlphaDEX® Fund, First Trust India NIFTY 50 Equal Weight ETF, First Trust Switzerland AlphaDEX® Fund, First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund, First Trust Emerging Markets Small Cap AlphaDEX® Fund, and First Trust Eurozone AlphaDEX® ETF (the “Funds”), each a series of First Trust Exchange-Traded AlphaDEX® Fund II, including the portfolios of investments, as of December 31, 2023, 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, 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 December 31, 2023, 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 their 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 December 31, 2023, 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
February 26, 2024
We have served as the auditor of one or more First Trust investment companies since 2001.
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 (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 December 31, 2023, none of the income dividends paid by the Funds qualify for the dividends received deduction available to corporations.
For the taxable year ended December 31, 2023, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income:
| |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | |
First Trust Europe AlphaDEX® Fund | |
First Trust Latin America AlphaDEX® Fund | |
First Trust Brazil AlphaDEX® Fund | |
First Trust China AlphaDEX® Fund | |
First Trust Japan AlphaDEX® Fund | |
First Trust Developed Markets ex-US AlphaDEX® Fund | |
First Trust Emerging Markets AlphaDEX® Fund | |
First Trust Germany AlphaDEX® Fund | |
First Trust United Kingdom AlphaDEX® Fund | |
First Trust India NIFTY 50 Equal Weight ETF | |
First Trust Switzerland AlphaDEX® Fund | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | |
First Trust Eurozone AlphaDEX® ETF | |
The following Funds meet the requirements of Section 853 of the Internal Revenue Code of 1986, as amended and elect to pass through to their shareholders credit for foreign taxes paid. For the taxable year ended December 31, 2023, the total amounts of income received by the Funds from sources within foreign countries and possessions of the United States and of taxes paid to such countries are as follows:
| | |
| | | | |
First Trust Asia Pacific ex-Japan AlphaDEX® Fund | | | | |
First Trust Europe AlphaDEX® Fund | | | | |
First Trust Latin America AlphaDEX® Fund | | | | |
First Trust Brazil AlphaDEX® Fund | | | | |
First Trust China AlphaDEX® Fund | | | | |
First Trust Japan AlphaDEX® Fund | | | | |
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 (Unaudited) | | |
| | | | |
First Trust Developed Markets ex-US AlphaDEX® Fund | | | | |
First Trust Emerging Markets AlphaDEX® Fund | | | | |
First Trust Germany AlphaDEX® Fund | | | | |
First Trust United Kingdom AlphaDEX® Fund | | | | |
First Trust India NIFTY 50 Equal Weight ETF | | | | |
First Trust Switzerland AlphaDEX® Fund | | | | |
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund | | | | |
First Trust Emerging Markets Small Cap AlphaDEX® Fund | | | | |
First Trust Eurozone AlphaDEX® ETF | | | | |
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
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 (Unaudited) 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 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
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 (Unaudited) 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. Market risk is the risk that a particular security, or shares of a fund in general, may fall in value. 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 COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed “reasonably” normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. These events also adversely affect the prices and liquidity of a fund’s portfolio securities or other instruments and could result in disruptions in the trading markets. Any of such circumstances could have a materially negative impact on the value of a fund’s shares and result in increased market volatility. During any such events, a fund’s shares may trade at increased premiums or discounts to their net asset value and the bid/ask spread on a fund’s shares may widen.
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.
Preferred Securities Risk. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt securities in a company’s capital structure in terms of priority to corporate income, subjecting them to greater credit risk than those debt securities. Generally, holders of preferred securities have no voting rights with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred security holders may obtain limited rights. In certain circumstances, an issuer of preferred securities may defer payment on the securities and, in some cases, redeem the securities prior to a specified date. Preferred securities may also be substantially less liquid than other securities, including common stock.
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 (Unaudited) Valuation Risk. The valuation of certain securities may carry more risk than that of common stock. Uncertainties in the conditions of the financial markets, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing. A fund may hold investments in sizes smaller than institutionally sized round lot positions (sometimes referred to as odd lots). However, third-party pricing services generally provide evaluations on the basis of institutionally-sized round lots. If a fund sells certain of its investments in an odd lot transaction, the sale price may be less than the value at which such securities have been held by the fund. Odd lots often trade at lower prices than institutional round lots. There is no assurance that the fund will be able to sell a portfolio security at the price established by the pricing service, which could result in a loss to the fund.
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 certain First Trust Exchange-Traded AlphaDEX® Fund II 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, 2023, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $928,219. This figure is comprised of $40,833 paid (or to be paid) in fixed compensation and $887,386 paid (or to be paid) in variable compensation. There were a total of 26 beneficiaries of the remuneration described above. Those amounts include $463,689 paid (or to be paid) to senior management of First Trust Advisors L.P. and $464,530 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, “Code Staff”).
Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust’s remuneration policy (the “Remuneration Policy”) which is determined and implemented by First Trust’s senior management. The Remuneration Policy reflects First Trust’s ethos of good governance and encapsulates the following principal objectives:
i.
to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure;
ii.
to promote sound and effective risk management consistent with the risk profiles of the funds managed by First Trust; and
iii.
to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the funds managed by First Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
Board of Trustees and Officers
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 (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.
Name,
Year of Birth and
Position with the Trust | Term of Office
and Year First
Elected or
Appointed | Principal Occupations
During Past 5 Years | Number of
Portfolios in
the First Trust
Fund Complex
Overseen by
Trustee | Other
Trusteeships or
Directorships
Held by Trustee
During Past
5 Years |
|
Richard E. Erickson, Trustee
(1951) | • Indefinite Term • Since Inception | Retired; Physician, Edward-Elmhurst Medical Group (2021 to September 2023); Physician and Officer, Wheaton Orthopedics (1990 to 2021) | | |
Thomas R. Kadlec, Trustee
(1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | | Director, National Futures Association 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
(1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | | Director and Board Chair of Advocate Home Health Services, 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 of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee
(1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee
(1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | | |
Bronwyn Wright, Trustee
(1971) | • Indefinite Term • Since 2023 | Independent Director to a number of Irish collective investment funds (2009 to Present); Various roles at international affiliates of Citibank (1994 to 2009), including Managing Director, Citibank Europe plc and Head of Securities and Fund Services, Citi Ireland (2007 to 2009) | | |
Board of Trustees and Officers (Continued)
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 (Unaudited) Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
|
James A. Bowen(1), Trustee,
Chairman of the Board
(1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | | |
| Position and
Offices
with Trust | Term of Office
and Length of
Service | Principal Occupations
During Past 5 Years |
|
| President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
| Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
| Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist
(1970) | | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(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.
(2)
The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.
First Trust Exchange-Traded AlphaDEX® Fund IIDecember 31, 2023 (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:
• Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;
• Information about your transactions with us, our affiliates or others;
• Information we receive from your inquiries by mail, e-mail or telephone; and
• 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:
• 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.
• 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 2023
First Trust Exchange-Traded AlphaDEX® Fund II
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 South Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
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 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) | 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, Robert F. Keith and Bronwyn Wright 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 $337,500 for the fiscal year ended December 31, 2022 and $382,500 for the fiscal year ended December 31, 2023.
(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 December 31, 2022, and $0 for the fiscal year ended December 31, 2023.
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 December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
(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 $195,000 for the fiscal year ended December 31, 2022, and $336,959 for the fiscal year ended December 31, 2023. 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 December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
(d) 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 December 31, 2022, and $0 for the fiscal year ended December 31, 2023.
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 December 31, 2022, and $0 for the fiscal year ended December 31, 2023.
(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 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 the de minimis exception, 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 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:
(b) 0%
(c) 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 December 31, 2022 were $195,000 for the registrant, $0 for the registrant’s investment advisor, and $0 for the registrant’s distributor; and for the fiscal year ended December 31, 2023 were $336,959 for the registrant, $44,000 for the registrant’s investment advisor, and $60,500 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.
Item 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 consisting of all the independent directors of the registrant. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith, Niel B. Nielson and Bronwyn Wright.
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 trustees, 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
(a) Not applicable.
(b) Not applicable.
Item [18]. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. 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 II |
| 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/ Derek D. Maltbie |
| | | Derek D. Maltbie, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer) |
* Print the name and title of each signing officer under his or her signature.
