UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22019
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First Trust Exchange-Traded AlphaDEX(R) Fund
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(Exact name of registrant as specified in charter)
Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(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
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(Name and address of agent for service)
registrant's telephone number, including area code: (630) 765-8000
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Date of fiscal year end: July 31
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Date of reporting period: July 31, 2013
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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, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORT TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 is as follows:
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FIRST TRUST
First Trust Exchange-traded Alphadex(R) Fund
Annual Report July 31, 2013
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AlphaDEX(R) Sector Funds
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First Trust Consumer Discretionary AlphaDEX(R) Fund - FXD
First Trust Consumer Staples AlphaDEX(R) Fund - FXG
First Trust Energy AlphaDEX(R) Fund - FXN
First Trust Financials AlphaDEX(R) Fund - FXO
First Trust Health Care AlphaDEX(R) Fund - FXH
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - FXR
First Trust Materials AlphaDEX(R) Fund - FXZ
First Trust Technology AlphaDEX(R) Fund - FXL
First Trust Utilities AlphaDEX(R) Fund - FXU
AlphaDEX(R)
FAMILY OF ETFS
Alphadex(R) is a registered trademark of First Trust Portfolios L.P.
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
Shareholder Letter........................................................... 2
Market Overview.............................................................. 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(R) Fund - FXD.............. 4
First Trust Consumer Staples AlphaDEX(R) Fund - FXG.................... 6
First Trust Energy AlphaDEX(R) Fund - FXN.............................. 8
First Trust Financials AlphaDEX(R) Fund - FXO.......................... 10
First Trust Health Care AlphaDEX(R) Fund - FXH......................... 12
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - FXR....... 14
First Trust Materials AlphaDEX(R) Fund - FXZ........................... 16
First Trust Technology AlphaDEX(R) Fund - FXL.......................... 18
First Trust Utilities AlphaDEX(R) Fund - FXU........................... 20
Notes to Fund Performance Overview........................................... 22
Understanding Your Fund Expenses............................................. 23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(R) Fund - FXD.............. 25
First Trust Consumer Staples AlphaDEX(R) Fund - FXG.................... 28
First Trust Energy AlphaDEX(R) Fund - FXN.............................. 29
First Trust Financials AlphaDEX(R) Fund - FXO.......................... 31
First Trust Health Care AlphaDEX(R) Fund - FXH......................... 34
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - FXR....... 36
First Trust Materials AlphaDEX(R) Fund - FXZ........................... 38
First Trust Technology AlphaDEX(R) Fund - FXL.......................... 40
First Trust Utilities AlphaDEX(R) Fund - FXU........................... 42
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Financial Highlights......................................................... 52
Notes to Financial Statements................................................ 57
Report of Independent Registered Public Accounting Firm ..................... 65
Additional Information ...................................................... 66
Board of Trustees and Officers .............................................. 71
Privacy Policy............................................................... 73
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of 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
http://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.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund's portfolio and presents data and analysis that
provide insight into each Fund's performance and investment approach.
By reading the portfolio commentary 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 risks of investing in each Fund are
spelled out in its prospectus, statement of additional information, this report
and other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2013
Dear Shareholders:
I am pleased to present you with the annual report for your investment in First
Trust Exchange-Traded AlphaDEX(R) Fund.
The report you hold contains detailed information about the Sector Funds of the
First Trust Exchange-Traded AlphaDEX(R) Fund over the year ended July 31, 2013.
It contains a market overview and a performance analysis for each Sector Fund
for the period. Because we believe a successful investor is typically a
knowledgeable one, I encourage you to read this document and discuss it with
your financial advisor.
The year covered by this report has been positive for the U.S. markets. In fact,
the S&P 500(R) Index, as measured on a total return basis, rose 25.00% during
the period. Of course, past performance can never be an indicator of future
performance, but First Trust Advisors L.P. ("First Trust") believes that staying
invested in quality products through up and down markets and having a long-term
horizon can help investors reach their financial goals.
As you know, First Trust offers a variety of products that we believe could fit
many financial plans to help investors seeking long-term investment success. We
encourage you to talk to your advisor about the other investments First Trust
offers and to discuss your goals with your advisor regularly so that he or she
can help keep you on track.
First Trust will continue to make available up-to-date information about your
investments so you and your financial advisor are current on any First Trust
investments you own. We value our relationship with you, and thank you for the
opportunity to assist you in achieving your financial goals. I look forward to
the remainder of 2013 and to the next edition of your Fund's report.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2013
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 23 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 Federal Reserve has maintained an easy monetary policy since September 2007,
when it began lowering the federal funds target rate from 5.25% to 0.25%. The
target rate has stood at 0.25% since December 2008. In addition to lowering the
benchmark lending rate to nearly zero, the Fed also increased the size of its
balance sheet of securities from approximately $800 billion in 2008 to $3.53
trillion on July 24, 2013. That is a tremendous amount of stimulus. Economic
growth has been modest in this recovery relative to previous recoveries that
produced GDP growth rates ranging from 4% to 6% for extended periods of time. On
a calendar quarter basis, U.S. GDP growth has exceeded 3.0% (annualized) in 5
out of the past 16 quarters through the second quarter of 2013, according to
data from the Bureau of Economic Analysis. The growth rate reached or exceeded
the 3.7% (annualized) level on four occasions. In our opinion, this recovery has
lacked consistency due to a multitude of challenges, including too much
government spending and an excessive regulatory climate, especially for small
businesses.
One of the biggest silver linings in the U.S. economy is the recovery in
residential real estate. The UCLA Anderson Forecast, issued quarterly, reported
that the U.S. is still in the early stages of a housing recovery. David Shulman,
a senior economist with UCLA Anderson Forecast and the UCLA Ziman Center for
Real Estate, sees housing starts rising from an estimated 1.03 million units in
2013 to 1.35 million units in 2014, reaching 1.56 million by 2015. Housing
starts stood at 550,000 in 2009. Shulman also believes that home prices will
continue to rise.
U.S. STOCKS AND BONDS
All of the major U.S. stock indices posted strong gains (total returns) for the
12-month period ended July 31, 2013. The S&P 500(R) Index, S&P MidCap 400(R)
Index and S&P SmallCap 600(R) Index were up 25.00%, 33.00%, and 34.78%,
respectively, according to Bloomberg. A year ago at this time, we discussed a
possible change in the leadership role in the market from mid- and small-cap
stocks to large-caps, but we now know it did not materialize. Despite the fact
that U.S. GDP growth was only up an annualized 1.4% from June 2012 through June
2013, investors still favored mid- and small-cap stocks, in part, because they
tend to hitch their business models to the U.S. economy, making them less
vulnerable to economic weakness overseas, in our opinion. The U.S. economy has
been much stronger than Europe's, which has been in a mild recession. All 10
major sectors in the S&P 500(R) posted gains over the past 12 months. The
top-performing sector was Financials, up 42.4%, while the weakest showing came
from Telecommunication Services, up just 5.6%. With the exception of Health
Care, which continues to benefit from a vibrant biotechnology industry,
defensive sectors (Telecommunication Services, Utilities and Consumer Staples)
were laggards. The year-over-year estimated earnings growth rate for the
companies in the S&P 500(R) Index is expected to be 12.1% in 2013 and 12.8% in
2014, according to Standard & Poor's.
In the U.S. bond market, nearly all of the investment-grade categories performed
poorly due to rising interest rates. The majority of the pain was realized in
May, June and July, on the heels of the Federal Reserve's comments about the
potential for tapering its monthly bond-buying program, which some believe may
happen sooner than expected. The yield on the benchmark 10-Year Treasury Note
rose 111 basis points from 1.47% on July 31, 2012 to 2.58% on July 31, 2013,
with 91 basis points of it coming in the last three months. The Barclays U.S.
Corporate High Yield Index posted the highest total return at 9.5%. The next
closest domestic category was intermediate corporate bonds, up 1.3%, as measured
by the Barclays Intermediate Corporate Index. The weakest showing of the major
categories came from municipal bonds, down 4.5%, as measured by the Barclays
Municipal Bond: Long Bond (22+) Index.
FOREIGN STOCKS AND BONDS
For the 12-month period ended July 31, 2013, the Barclays Global Emerging
Markets Index of debt securities rose 1.9% (USD), while the Barclays Global
Aggregate Index of higher quality debt declined by 2.1% (USD), according to
Barclays. With respect to foreign equities, investors favored the developed
markets over the emerging markets. The MSCI Emerging Markets Index of stocks
posted a total return of only 2.3% (USD), while the MSCI World Index (excluding
the U.S.) of stocks from developed countries gained 22.6% (USD). Developed
nations seemed to benefit more from the stabilization of the European
sovereign debt crisis than did emerging nations, in our opinion. The U.S.
dollar fell 1.4% against a basket of major currencies, as measured by the U.S.
Dollar Index (DXY).
IN CLOSING
It appears that the days of extraordinarily low interest rates in the U.S. are
numbered. While the Federal Reserve has yet to provide a definitive plan for
tapering its monthly bond-buying program, investors have been aggressively
selling debt securities of late as if it had. Over the past 12 months, stock
returns have substantially outpaced those of the major fixed-income categories.
For those investors wondering how stocks fare when interest rates rise,
according to Businessweek, since 1953, U.S. have stocks posted their best
returns when the yield on the 10-Year T-Note rose to 4.00%. This yield stood at
2.58% on 7/31/13. As Businessweek noted, stock prices usually retrench when the
yield tops 6.00%.
Page 3
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FUND PERFORMANCE OVERVIEW
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND - FXD
The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer
Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally
invest at least 90% of its net assets in common stocks that comprise the
Consumer Discretionary Index. The shares of the Fund are listed and trade on the
NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol
"FXD."
The Consumer Discretionary Index is a modified equal-dollar weighted index
designed by NYSE Euronext or its affiliates ("NYSE Euronext") to objectively
identify and select stocks from the Russell 1000(R) Index that may generate
positive alpha relative to traditional passive-style indices through the use of
the AlphaDEX(R) screening methodology. Alpha is an indication of how much an
investment outperforms or underperforms on a risk-adjusted basis relative to its
benchmark. NYSE Euronext constructs the Consumer Discretionary Index using the
Russell Global Sectors (the "RGS") sector scheme to determine a stock's sector
membership.
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 42.17% 16.12% 6.79% 111.10% 50.58%
Market Price 42.36% 16.16% 6.80% 111.47% 50.63%
INDEX PERFORMANCE
StrataQuant(R) Consumer Discretionary Index 43.25% 17.03% 7.61% 119.50% 57.91%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Consumer Discretionary Index 38.71% 17.92% 8.65% 128.05% 67.70%
Russell 1000(R) Consumer Discretionary Index (1) 38.04% NA NA NA NA
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(See Notes to Fund Performance Overview on page 22.)
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PERFORMANCE REVIEW
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FXD's one-year net asset value ("NAV") return of +42.17% outperformed the
benchmark S&P 500(R) Consumer Discretionary Index return of +38.71% by +3.46%.
The Internet Catalog & Retail industry was the leader in Fund outperformance.
Within the industry, the Fund's holdings outperformed the benchmark's
constituents +72.6% vs. +37.8%. The performance difference was caused by the
Fund's overweight position in Netflix, Inc., which returned +154.7% while held
in the Fund this period, and the benchmark's heavy concentration in Amazon.com,
Inc. (+29.1% one-year return). The Fund also benefited from outperformance in
the Auto Components industry, where the Fund's holdings beat the benchmark
+80.1% vs. +62.3%. The Fund benefited from holding Lear Corp. (+97.4% one-year
return), TRW Automotive Holdings Corp. (+86.5%), and Visteon Corp. (+103.1%).
None of these companies were in the benchmark.
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PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
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% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 90.49%
Industrials 5.13
Consumer Staples 3.18
Information Technology 1.20
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Total 100.00%
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TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
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% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Nu Skin Enterprises, Inc., Class A 1.64%
Tesla Motors, Inc. 1.50
Hanesbrands, Inc. 1.48
Lions Gate Entertainment Corp. 1.42
Netflix, Inc. 1.39
Lear Corp. 1.38
TRW Automotive Holdings Corp. 1.33
Avis Budget Group, Inc. 1.32
Gap (The), Inc. 1.32
Thor Industries, Inc. 1.32
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Total 14.10%
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(1) On or about September 18, 2008, Russell Investment Group ("Russell") began
calculating its Russell U.S. Indexes using an enhanced Russell sector scheme,
the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30,
2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. In addition to the implementation of the
RGS, Russell changed the name of the Russell 1000(R) Consumer Discretionary and
Services Index to the Russell 1000(R) Consumer Discretionary Index.
Consequently, performance data is not available for all the periods shown in the
table for the Russell 1000(R) Consumer Discretionary Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Consumer Discretionary Index is a registered trademark of
NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The
First Trust Consumer Discretionary AlphaDEX(R) Fund is not sponsored, endorsed,
sold or promoted by NYSE Euronext, and NYSE Euronext makes no representation or
warranty regarding the advisability of investing in the Fund or as to the result
to be obtained by any person from use of the StrataQuant(R) Consumer
Discretionary Index in connection with the trading of the Fund.
Page 4
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FUND PERFORMANCE OVERVIEW (CONTINUED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND - FXD (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Consumer StrataQuant(R) S&P 500(R)
Discretionary Consumer Discretionary Russell 1000(R) Consumer Discretionary
AlphaDEX(R) Fund Index Index Index
5/8/07 10000 10000 10000 10000
7/31/07 9415 9439 9674 9418
1/31/08 8296 8349 9261 8326
7/31/08 7133 7194 8647 7355
1/31/09 4347 4406 5911 5679
7/31/09 6482 6601 6903 6667
1/31/10 7427 7592 7611 7697
7/31/10 8108 8319 7904 8410
1/31/11 9984 10281 9387 10051
7/31/11 10925 11302 9539 10806
1/31/12 10699 11120 9757 11372
7/31/12 10591 11024 10298 12091
1/31/13 12657 13228 11419 14063
7/31/13 15057 15791 12998 16770
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
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NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 112 5 4 1
8/1/09 - 7/31/10 175 0 0 0
8/1/10 - 7/31/11 224 0 0 0
8/1/11 - 7/31/12 130 0 0 0
8/1/12 - 7/31/13 178 0 0 0
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NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 124 9 0 0
8/1/09 - 7/31/10 76 0 0 0
8/1/10 - 7/31/11 28 0 0 0
8/1/11 - 7/31/12 123 0 0 0
8/1/12 - 7/31/13 72 0 0 0
Page 5
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FUND PERFORMANCE OVERVIEW (CONTINUED)
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FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND - FXG
The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its net assets in common stocks that comprise the Consumer Staples Index. The
shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol
"FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by
NYSE Euronext to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the
Consumer Staples Index using the RGS sector scheme to determine a stock's sector
membership.
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 43.89% 14.54% 9.82% 97.15% 79.21%
Market Price 44.16% 14.55% 9.83% 97.26% 79.31%
INDEX PERFORMANCE
StrataQuant(R) Consumer Staples Index 45.06% 15.47% 10.70% 105.26% 88.42%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Consumer Staples Index 18.93% 11.87% 10.09% 75.24% 82.01%
Russell 1000(R) Consumer Staples Index (1) 20.67% NA NA NA NA
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(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXG's one-year NAV return of +43.89% outperformed the benchmark S&P 500(R)
Consumer Staples Index return of +18.93% by +24.96%. The Food Products industry
was the main driver of Fund outperformance as the Fund benefited from both
selection and allocation effects within the industry. For the reporting period,
the Fund's holdings in the industry outperformed the benchmark's constituents
+63.5% vs. +35.2%. Green Mountain Coffee Roasters, Inc. was the primary cause of
the outperformance. The company returned +322.8% for the reporting period,
contributed +10.0% to the Fund's total return, and was not held in the
benchmark. Other strong-performing companies that were overweight in the Fund
were Tyson Foods, Inc. (+86.7%), Dean Foods Co. (+83.4%), Smithfield Foods, Inc.
(+79.5%), and Flowers Foods, Inc. (+65.3%). On top of performance, the Fund
benefited from being heavily overweight in the Food Products industry relative
to the benchmark. During the reporting period, the Fund's average weight in the
industry was 53.2% vs. 16.1% for the benchmark.
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PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
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% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Staples 95.79%
Consumer Discretionary 4.21
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Total 100.00%
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TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
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% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Herbalife Ltd. 6.40%
Kroger (The) Co. 5.01
Safeway, Inc. 4.80
Flowers Foods, Inc. 4.59
Green Mountain Coffee Roasters, Inc. 4.53
Ingredion, Inc. 4.51
Constellation Brands, Inc., Class A 4.41
GNC Holdings, Inc., Class A 4.21
Mondelez International, Inc., Class A 3.86
Tyson Foods, Inc., Class A 3.79
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Total 46.11%
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(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Consumer Staples Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Consumer Staples Index is a registered trademark of NYSE
Euronext and has been licensed for use by First Trust Portfolios L.P. The First
Trust Consumer Staples AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by NYSE Euronext, and NYSE Euronext makes no representation or warranty
regarding the advisability of investing in the Fund or as to the result to be
obtained by any person from use of the StrataQuant(R) Consumer Staples Index in
connection with the trading of the Fund.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND - FXG (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer
AlphaDEX(R) Fund Staples Index Index Staples Index
5/8/07 10000 10000 10000 10000
7/31/07 9555 9574 9674 9747
1/31/08 8917 8971 9261 10285
7/31/08 9091 9180 8647 10386
1/31/09 7142 7224 5646 8404
7/31/09 8442 8577 6903 9587
1/31/10 9133 9311 7611 10426
7/31/10 9790 10017 7904 10865
1/31/11 10958 11264 9387 11840
7/31/11 12844 13250 9539 12790
1/31/12 12410 12853 9757 13505
7/31/12 12455 12989 10298 15305
1/31/13 14509 15186 11419 16073
7/31/13 17921 18842 12998 18201
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 106 8 8 5
8/1/09 - 7/31/10 167 0 0 0
8/1/10 - 7/31/11 194 0 0 0
8/1/11 - 7/31/12 158 0 0 0
8/1/12 - 7/31/13 155 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 119 7 2 0
8/1/09 - 7/31/10 84 0 0 0
8/1/10 - 7/31/11 58 0 0 0
8/1/11 - 7/31/12 94 1 0 0
8/1/12 - 7/31/13 95 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND - FXN
The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy
Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Energy Index. The shares of the Fund are listed and
trade on the NYSE Arca under the ticker symbol "FXN."
The Energy Index is a modified equal-dollar weighted index designed by NYSE
Euronext to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the
Energy Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 23.62% -0.46% 2.58% -2.28% 17.17%
Market Price 23.74% -0.44% 2.58% -2.20% 17.22%
INDEX PERFORMANCE
StrataQuant(R) Energy Index 24.46% 0.27% 3.30% 1.34% 22.42%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Energy Index 18.62% 3.79% 5.30% 20.44% 37.96%
Russell 1000(R) Energy Index (1) 18.87% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXN's one-year NAV return of +23.62% outperformed the benchmark S&P 500(R)
Energy Index return of +18.62% by +5.00%. The Fund's significantly underweight
position in Exxon Mobil Corp. relative to the benchmark (1.7% vs. 27.7% average
weight) was the largest cause of the Fund's outperformance. Exxon Mobil's
one-year return of +10.8% lagged both the Fund and the benchmark. Tesoro Corp.
caused additional Fund outperformance. The company returned +108.4% for the year
and the Fund was overweight in the stock relative to the benchmark (2.2% vs.
0.5% average weight).
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Energy 93.77%
Information Technology 3.18
Consumer Discretionary 3.05
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Hess Corp. 3.23%
First Solar, Inc. 3.17
Golar LNG Ltd. 3.12
HollyFrontier Corp. 3.07
Chevron Corp. 3.07
CST Brands, Inc. 3.05
Marathon Petroleum Corp. 2.98
Valero Energy Corp. 2.97
Patterson-UTI Energy, Inc. 2.95
Helmerich & Payne, Inc. 2.92
-------
Total 30.53%
=======
-------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. In addition to the implementation of the RGS, Russell combined the
Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index
into one index, the Russell 1000(R) Energy Index. Consequently, performance data
is not available for all the periods shown in the table for the Russell 1000(R)
Energy Index because this index did not exist until on or about September 18,
2008.
The StrataQuant(R) Energy Index is a registered trademark of NYSE Euronext and
has been licensed for use by First Trust Portfolios L.P. The First Trust Energy
AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext,
and NYSE Euronext makes no representation or warranty regarding the advisability
of investing in the Fund or as to the result to be obtained by any person from
use of the StrataQuant(R) Energy Index in connection with the trading of the
Fund.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND - FXN (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Energy Index Index Energy Index
5/8/07 10000 10000 10000 10000
7/31/07 10370 10387 9674 10743
1/31/08 10594 10638 9261 10891
7/31/08 11990 12080 8647 11455
1/31/09 4831 4864 6047 7332
7/31/09 6865 6965 6903 8138
1/31/10 8005 8153 7611 8656
7/31/10 8119 8301 7904 8601
1/31/11 11422 11720 9387 11719
7/31/11 12073 12437 9539 12248
1/31/12 10110 10453 9757 11606
7/31/12 9477 9838 10298 11633
1/31/13 11278 11755 11419 12874
7/31/13 11715 12244 12998 13799
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 116 9 10 2
8/1/09 - 7/31/10 162 1 0 0
8/1/10 - 7/31/11 190 0 0 0
8/1/11 - 7/31/12 156 0 0 0
8/1/12 - 7/31/13 178 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 108 5 4 1
8/1/09 - 7/31/10 86 2 0 0
8/1/10 - 7/31/11 62 0 0 0
8/1/11 - 7/31/12 96 1 0 0
8/1/12 - 7/31/13 72 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND - FXO
The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Financials Index (the
"Financials Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Financials Index. The shares of the
Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO."
The Financials Index is a modified equal-dollar weighted index designed by NYSE
Euronext to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the
Financials Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 39.45% 11.62% 1.57% 73.23% 10.21%
Market Price 39.59% 11.66% 1.59% 73.54% 10.32%
INDEX PERFORMANCE
StrataQuant(R) Financials Index 40.55% 12.60% 2.52% 80.99% 16.74%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Financials Index 42.42% 0.97% -7.28% 4.96% -37.56%
Russell 1000(R) Financial Services Index (1) 38.52% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXO's one-year NAV return of +39.45% underperformed the benchmark S&P 500(R)
Financials Index return of +42.42% by -2.97%. The Fund's underperformance was
caused by being underweight in large diversified financial services companies
relative to the benchmark. JPMorgan Chase & Co. (+59.1% one-year return),
Citigroup, Inc. (+92.4%), and Bank of America Corp. (+99.7%) combined for an
average weight of 2.1% in the Fund vs. 19.7% for the benchmark. The Fund
reversed some underperformance in the Commercial Banks industry by having more
diverse exposure to smaller banks which were not represented in the benchmark.
For example, Popular, Inc., which was held in the Fund but not in the benchmark,
returned +118.3%. Within the Commercial Banks industry, the Fund's holdings
outperformed the benchmark's constituents +47.0% vs. +30.7%.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 87.99%
Information Technology 9.43
Consumer Discretionary 1.57
Industrials 1.01
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
CapitalSource, Inc. 1.24 %
Nationstar Mortgage Holdings, Inc. 1.18
Ocwen Financial Corp. 1.11
ING US, Inc. 1.10
Synovus Financial Corp. 1.09
Moody's Corp. 1.07
FleetCor Technologies, Inc. 1.06
Ameriprise Financial, Inc. 1.05
Alliance Data Systems Corp. 1.05
Prudential Financial, Inc. 1.04
-------
Total 10.99%
=======
-------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Financial Services Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Financials Index is a registered trademark of NYSE Euronext
and has been licensed for use by First Trust Portfolios L.P. The First Trust
Financials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE
Euronext, and NYSE Euronext makes no representation or warranty regarding the
advisability of investing in the Fund or as to the result to be obtained by any
person from use of the StrataQuant(R) Financials Index in connection with the
trading of the Fund.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND - FXO (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Financials Index Index Financials Index
5/8/07 10000 10000 10000 10000
7/31/07 8955 8986 9674 8883
1/31/08 7939 8017 9261 7875
7/31/08 6363 6450 8647 5950
1/31/09 3908 3976 5646 3444
7/31/09 5412 5550 6903 3713
1/31/10 6429 6618 7611 4081
7/31/10 6856 7086 7904 4253
1/31/11 7898 8199 9387 4772
7/31/11 7558 7878 9539 4336
1/31/12 7621 7979 9757 4162
7/31/12 7904 8307 10298 4385
1/31/13 9367 9886 11419 5255
7/31/13 11021 11675 12998 6245
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 127 11 4 6
8/1/09 - 7/31/10 175 0 0 0
8/1/10 - 7/31/11 164 0 0 0
8/1/11 - 7/31/12 151 0 0 0
8/1/12 - 7/31/13 189 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 99 3 4 1
8/1/09 - 7/31/10 76 0 0 0
8/1/10 - 7/31/11 88 0 0 0
8/1/11 - 7/31/12 102 0 0 0
8/1/12 - 7/31/13 61 0 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND - FXH
The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Health Care Index
(the "Health Care Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Health Care Index. The shares of the
Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH."
The Health Care Index is a modified equal-dollar weighted index designed by NYSE
Euronext to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the
Health Care Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 42.49% 17.76% 13.02% 126.44% 114.32%
Market Price 42.64% 17.77% 13.03% 126.60% 114.47%
INDEX PERFORMANCE
StrataQuant(R) Health Care Index 43.63% 18.64% 13.91% 135.08% 125.05%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Health Care Index 35.63% 12.17% 7.70% 77.57% 58.75%
Russell 1000(R) Health Care Index (1) 37.12% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXH's one-year NAV return of +42.49% outperformed the benchmark S&P 500(R)
Health Care Index return of +35.63% by +6.86%. The Health Care Providers &
Services industry was the top-performing industry in the Fund and the main
driver of the Fund's outperformance. On the selection front, the Fund's holdings
in the industry outperformed the benchmark's constituents +51.2% vs. +39.2%. In
terms of allocation, the Fund was heavily overweight in the industry relative to
the benchmark (40.0% vs. 15.8% average weight). Additional Fund outperformance
came from the Fund's relative underweight position in the Pharmaceutical
industry (11.1% vs. 46.3% average weight). The industry in general had solid
performance, but lagged the performance of the rest of the Fund and its
benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Health Care 100.00%
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Regeneron Pharmaceuticals, Inc. 2.67%
Alkermes PLC 2.60
Jazz Pharmaceuticals PLC 2.44
Humana, Inc. 2.40
Cigna Corp. 2.39
Illumina, Inc. 2.37
Actavis, Inc. 2.36
Abbott Laboratories 2.33
WellPoint, Inc. 2.32
AmerisourceBergen Corp. 2.32
-------
Total 24.20%
=======
-------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Health Care Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Health Care Index is a registered trademark of NYSE Euronext
and has been licensed for use by First Trust Portfolios L.P. The First Trust
Health Care AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by
NYSE Euronext, and NYSE Euronext makes no representation or warranty regarding
the advisability of investing in the Fund or as to the result to be obtained by
any person from use of the StrataQuant(R) Health Care Index in connection with
the trading of the Fund.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND - FXH (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund (FXH) Health Care Index Index Health Care Index
5/8/07 10000 10000 10000 10000
7/31/07 9740 9764 9674 9222
1/31/08 9645 9702 9261 9269
7/31/08 9465 9573 8647 8940
1/31/09 7330 7443 5646 7696
7/31/09 8830 9001 6903 7974
1/31/10 10750 10993 7611 9042
7/31/10 10780 11068 7904 8318
1/31/11 13190 13601 9387 9306
7/31/11 14302 14805 9539 10142
1/31/12 14342 14909 9757 10762
7/31/12 15042 15667 10298 11706
1/31/13 17867 18682 11419 13226
7/31/13 21434 22504 12998 15877
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 118 6 7 2
8/1/09 - 7/31/10 161 0 0 0
8/1/10 - 7/31/11 203 0 0 0
8/1/11 - 7/31/12 135 0 0 0
8/1/12 - 7/31/13 187 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 116 5 1 0
8/1/09 - 7/31/10 90 0 0 0
8/1/10 - 7/31/11 49 0 0 0
8/1/11 - 7/31/12 118 0 0 0
8/1/12 - 7/31/13 63 0 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND - FXR
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the
StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will
normally invest at least 90% of its net assets in common stocks that comprise
the Industrials Index. The shares of the Fund are listed and trade on the NYSE
Arca under the ticker symbol "FXR."
The Industrials Index is a modified equal-dollar weighted index designed by NYSE
Euronext to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the
Industrials Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 37.92% 7.56% 3.85% 43.96% 26.57%
Market Price 37.97% 7.61% 3.86% 44.27% 26.63%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index 38.93% 8.38% 4.64% 49.53% 32.69%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Industrials Index 28.68% 7.63% 4.55% 44.41% 31.97%
Russell 1000(R) Producer Durables Index (1) 31.08% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXR's one-year NAV return of +37.92% outperformed the benchmark S&P 500(R)
Industrials Index return of +28.68 by +9.24%. The Machinery industry was the
largest contributor to the Fund's total return and the main source of
outperformance. For the reporting period, the Fund's holdings in the industry
comprised 26.7% of the Fund's average weight, returned +41.0%, and contributed
+11.3% to total return. The benchmark had an average weight in the industry of
18.0% and a return of +24.1%, meaning the Fund benefitted from both allocation
and selection. Oshkosh Corp. was the best-performing and top-contributing
company in the Fund from the Machinery industry with a +99.0% return and a +1.0%
contribution to return. The Airline industry was another contributor to Fund
outperformance. The Fund was overweight (5.3% vs. 0.6% average weight) and
received stronger performance (+83.2% vs. +51.4%) from the industry relative to
the benchmark. The Fund's performance in the industry was boosted by Copa
Holdings, S.A. (+83.6% one-year return) and Delta Air Lines, Inc. (+120.0%).
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 86.09%
Information Technology 7.55
Consumer Discretionary 1.62
Financials 1.53
Energy 1.24
Health Care 0.99
Materials 0.98
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
R.R. Donnelley & Sons Co. 2.13%
Delta Air Lines, Inc. 1.78
Alliant Techsystems, Inc. 1.78
CNH Global N.V. 1.77
AGCO Corp. 1.76
Kennametal, Inc. 1.75
Northrop Grumman Corp. 1.75
B/E Aerospace, Inc. 1.74
Huntington Ingalls Industries, Inc. 1.73
Xerox Corp. 1.68
-------
Total 17.87%
=======
-------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Producer Durables Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Industrials Index is a registered trademark of NYSE Euronext
and has been licensed for use by First Trust Portfolios L.P. The First Trust
Industrials/Producer Durables AlphaDEX(R) Fund is not sponsored, endorsed, sold
or promoted by NYSE Euronext, and NYSE Euronext makes no representation or
warranty regarding the advisability of investing in the Fund or as to the result
to be obtained by any person from use of the StrataQuant(R) Industrials Index in
connection with the trading of the Fund.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND - FXR (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Industrials/Producer StrataQuant(R) Russell 1000(R) S&P 500(R)
Durables AlphaDEX(R) Fund Industrials Index Index Industrials Index
5/8/07 10000 10000 10000 10000
7/31/07 9435 9457 9674 10400
1/31/08 8770 8820 9261 9935
7/31/08 8792 8874 8647 9138
1/31/09 4967 5030 5646 5934
7/31/09 6081 6182 6903 6422
1/31/10 7233 7384 7611 7464
7/31/10 7854 8048 7904 8263
1/31/11 9675 9954 9387 9982
7/31/11 9243 9542 9539 9618
1/31/12 9549 9904 9757 10177
7/31/12 9177 9552 10298 10257
1/31/13 10955 11446 11419 11594
7/31/13 12656 13270 12998 13198
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 115 3 6 0
8/1/09 - 7/31/10 163 0 0 0
8/1/10 - 7/31/11 210 0 0 0
8/1/11 - 7/31/12 111 0 0 0
8/1/12 - 7/31/13 177 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 122 6 3 0
8/1/09 - 7/31/10 88 0 0 0
8/1/10 - 7/31/11 42 0 0 0
8/1/11 - 7/31/12 142 0 0 0
8/1/12 - 7/31/13 73 0 0 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND - FXZ
The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Materials Index (the
"Materials Index"). The Fund will normally invest at least 90% of its net assets
in common stocks that comprise the Materials Index. The shares of the Fund are
listed and trade on the NYSE Arca under the ticker symbol "FXZ."
The Materials Index is a modified equal-dollar weighted index designed by NYSE
Euronext to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the
Materials Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 25.39% 6.68% 7.00% 38.14% 52.47%
Market Price 25.64% 6.69% 7.02% 38.23% 52.63%
INDEX PERFORMANCE
StrataQuant(R) Materials Index 26.42% 7.55% 7.85% 43.89% 60.11%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Materials Index 18.74% 2.76% 2.83% 14.56% 18.99%
Russell 1000(R) Materials and Processing
Index (1) 21.26% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXZ's one-year NAV return of +25.39% outperformed the benchmark S&P 500(R)
Materials Index return of +18.74% by +6.65%. The Chemicals industry was the
top-contributing industry in the Fund with a +13.6% contribution to return. The
Fund's holdings in the industry returned +28.8% and comprised 47.0% of the
Fund's average weight. In terms of relative performance, the Containers &
Packaging and Building Products industries were the leading drivers of Fund
outperformance. In the Containers & Packaging industry, the Fund's holdings
outperformed the benchmark's constituents (+48.2% vs. +36.7%) and the Fund was
overweight in the industry relative to the benchmark (13.9% vs. 5.1%). The
Fund's holdings in the Building Products industry returned +65.4% and had an
average weight in the Fund of 6.5%. Masco Corp. (+73.4% one-year return) and
Lennox International, Inc. (+66.9%) comprised most of the Fund's exposure to the
industry. The benchmark had no exposure to the Building Products industry
because under the GICS classification, the industry is part of the Industrials
sector. The companies in the Fund classified as Industrials by GICs standards
are classified by Russell as Materials companies.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Materials 88.12%
Industrials 11.88
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Rock Tenn Co., Class A 3.60%
CF Industries Holdings, Inc. 3.60
Sealed Air Corp. 3.58
Packaging Corp. of America 3.46
Cabot Corp. 3.45
Reliance Steel & Aluminum Co. 3.37
Domtar Corp. 3.29
Freeport-McMoRan Copper & Gold, Inc. 3.22
Newmont Mining Corp. 3.15
Carpenter Technology Corp. 2.66
-------
Total 33.38%
=======
-------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Materials and Processing Index
because performance data does not exist for each of the entire periods using
solely the U.S. sector scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Materials Index is a registered trademark of NYSE Euronext
and has been licensed for use by First Trust Portfolios L.P. The First Trust
Materials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE
Euronext, and NYSE Euronext makes no representation or warranty regarding the
advisability of investing in the Fund or as to the result to be obtained by any
person from use of the StrataQuant(R) Materials Index in connection with the
trading of the Fund.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND - FXZ (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Materials Index Index Materials Index
5/8/07 10000 10000 10000 10000
7/31/07 10085 10104 9674 9956
1/31/08 10310 10362 9261 10271
7/31/08 11037 11128 8647 10387
1/31/09 5255 5323 5646 5394
7/31/09 7814 7950 6903 7499
1/31/10 9265 9468 7611 7890
7/31/10 10371 10617 7904 8450
1/31/11 12736 13090 9387 10544
7/31/11 12769 13180 9539 10572
1/31/12 12616 13091 9757 10586
7/31/12 12159 12665 10298 10021
1/31/13 14771 15454 11419 11369
7/31/13 15248 16011 12998 11899
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 104 8 3 1
8/1/09 - 7/31/10 172 0 0 0
8/1/10 - 7/31/11 200 0 0 0
8/1/11 - 7/31/12 119 0 0 0
8/1/12 - 7/31/13 162 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 131 8 0 0
8/1/09 - 7/31/10 79 0 0 0
8/1/10 - 7/31/11 52 0 0 0
8/1/11 - 7/31/12 134 0 0 0
8/1/12 - 7/31/13 87 1 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND - FXL
The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Technology Index (the
"Technology Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Technology Index. The shares of the
Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL."
The Technology Index is a modified equal-dollar weighted index designed by NYSE
Euronext to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the
Technology Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 24.54% 8.19% 4.39% 48.25% 30.69%
Market Price 24.70% 8.22% 4.40% 48.45% 30.79%
INDEX PERFORMANCE
StrataQuant(R) Technology Index 25.54% 9.17% 5.30% 55.06% 37.93%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Information Technology Index 11.14% 8.99% 5.95% 53.79% 43.32%
Russell 1000(R) Technology Index (1) 9.84% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXL's one-year NAV return of +24.54% outperformed the benchmark S&P 500(R)
Information Technology Index return of +11.14% by +13.40%. The Fund gained
significant outperformance by being substantially underweight in Apple, Inc.
relative to the benchmark (1.0% vs. 19.2% average weight). During the reporting
period, Apple, Inc. returned -24.3%. The Fund gained further outperformance by
being overweight in the strong-performing Electronic Equipment Instruments &
Components industry relative to the index (17.8% vs. 2.3% average weight).
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Information Technology 97.52%
Consumer Discretionary 1.45
Telecommunication Services 1.03
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Activision Blizzard, Inc. 2.32%
Arrow Electronics, Inc. 2.11
Apple, Inc. 2.10
Avnet, Inc. 2.06
Yahoo!, Inc. 2.06
Cree, Inc. 2.01
NCR Corp. 2.01
ServiceNow, Inc. 1.98
Splunk, Inc. 1.98
3D Systems Corp. 1.98
-------
Total 20.61%
=======
-------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Technology Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Technology Index is a registered trademark of NYSE Euronext
and has been licensed for use by First Trust Portfolios L.P. The First Trust
Technology AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE
Euronext, and NYSE Euronext makes no representation or warranty regarding the
advisability of investing in the Fund or as to the result to be obtained by any
person from use of the StrataQuant(R) Technology Index in connection with the
trading of the Fund.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND - FXL (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information
AlphaDEX(R) Fund Technology Index Index Technology Index
5/8/07 10000 10000 10000 10000
7/31/07 10235 10252 9674 10160
1/31/08 9030 9078 9261 9501
7/31/08 8815 8895 8647 9320
1/31/09 5205 5295 5646 6101
7/31/09 7236 7397 6903 8416
1/31/10 8246 8457 7611 9142
7/31/10 9060 9330 7904 9570
1/31/11 11868 12273 9387 11466
7/31/11 10908 11328 9539 11407
1/31/12 11048 11523 9757 12125
7/31/12 10493 10986 10298 12896
1/31/13 11488 12077 11419 13111
7/31/13 13069 13792 12998 14332
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 111 2 11 1
8/1/09 - 7/31/10 163 0 0 0
8/1/10 - 7/31/11 197 0 0 0
8/1/11 - 7/31/12 161 0 0 0
8/1/12 - 7/31/13 136 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 119 10 0 1
8/1/09 - 7/31/10 87 1 0 0
8/1/10 - 7/31/11 55 0 0 0
8/1/11 - 7/31/12 92 0 0 0
8/1/12 - 7/31/13 114 0 0 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND - FXU
The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Utilities Index (the
"Utilities Index"). The Fund will normally invest at least 90% of its net assets
in common stocks that comprise the Utilities Index. The shares of the Fund are
listed and trade on the NYSE Arca under the ticker symbol "FXU."
The Utilities Index is a modified equal-dollar weighted index designed by NYSE
Euronext to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the
Utilities Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (05/08/07) 5 Years Ended Inception (05/08/07)
07/31/13 07/31/13 to 07/31/13 07/31/13 to 07/31/13
FUND PERFORMANCE
NAV 15.91% 7.94% 3.60% 46.53% 24.64%
Market Price 15.91% 7.93% 3.60% 46.43% 24.62%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index 17.35% 8.94% 4.55% 53.41% 31.95%
Russell 1000(R) Index 26.23% 8.49% 4.30% 50.33% 29.99%
S&P 500(R) Utilities Index 8.01% 5.04% 2.98% 27.85% 20.08%
Russell 1000(R) Utilities Index (1) 8.66% NA NA NA NA
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXU's one-year NAV return of +15.91% outperformed the benchmark S&P 500(R)
Utilities Index return of +8.01% by +7.90%. The benchmark's weighting of
performance laggards Exelon Corp. (-17.2% one-year return) and FirstEnergy Corp.
(-20.3%) were two meaningful causes of Fund outperformance. Combining their
weights, the companies comprised 2.9% of the Fund's average weight vs. 9.9% in
the benchmark. The Fund also gained outperformance from its holdings in the
Telecommunication Services industry, which comprised an average of 24.5% of the
Fund's weight and returned +14.2% for the reporting period. Due to differences
between GICS and Russell classification methodologies, the benchmark does not
have any exposure to the Telecommunication Services industry.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Utilities 75.26%
Telecommunication Services 20.57
Energy 4.17
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Energen Corp. 4.17%
United States Cellular Corp. 3.94
Telephone & Data Systems, Inc. 3.91
Great Plains Energy, Inc. 3.91
Sprint Corp. 3.79
Edison International 3.77
CenturyLink, Inc. 3.69
NRG Energy, Inc. 3.66
Entergy Corp. 3.53
Frontier Communications Corp. 3.13
-------
Total 37.50%
=======
-------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Utilities Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Utilities Index is a registered trademark of NYSE Euronext
and has been licensed for use by First Trust Portfolios L.P. The First Trust
Utilities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE
Euronext, and NYSE Euronext makes no representation or warranty regarding the
advisability of investing in the Fund or as to the result to be obtained by any
person from use of the StrataQuant(R) Utilities Index in connection with the
trading of the Fund.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND - FXU (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Utilities Index Index Utilities Index
5/8/07 10000 10000 10000 10000
7/31/07 9185 9205 9674 9034
1/31/08 8789 8856 9261 9588
7/31/08 8506 8601 8647 9394
1/31/09 6660 6760 5646 7262
7/31/09 7440 7593 6903 7463
1/31/10 8033 8229 7611 7777
7/31/10 8616 8863 7904 8170
1/31/11 9597 9912 9387 8727
7/31/11 10083 10456 9539 9322
1/31/12 10008 10420 9757 9970
7/31/12 10753 11245 10298 11120
1/31/13 11197 11750 11419 10990
7/31/13 12464 13196 12998 12011
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 110 9 5 1
8/1/09 - 7/31/10 165 0 0 0
8/1/10 - 7/31/11 220 0 0 0
8/1/11 - 7/31/12 157 0 0 0
8/1/12 - 7/31/13 141 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 125 4 1 0
8/1/09 - 7/31/10 85 1 0 0
8/1/10 - 7/31/11 32 0 0 0
8/1/11 - 7/31/12 96 0 0 0
8/1/12 - 7/31/13 109 0 0 0
Page 21
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average annual total returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative total
returns" represent the total change in value of an investment over the periods
indicated. For certain Funds the total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of the Fund did not trade in the
secondary market until after the Fund's inception, for the period May 8, 2007
(inception) to May 10, 2007 (the first day of secondary market trading) the NAV
of the Fund is used as a proxy for the secondary market trading price to
calculate market returns. NAV and market returns assume that all dividend
distributions have been reinvested in each Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 22
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2013 (UNAUDITED)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First
Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund,
First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R)
Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust
Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First
Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service fees, and other Fund
expenses. This Example is intended to help you understand your ongoing costs of
investing in the Funds and to compare these costs with the ongoing costs of
investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended July 31, 2013.
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
the 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.
----------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSE PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2013 JULY 31, 2013 PERIOD (a) PERIOD (b)
----------------------------------------------------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND - FXD
Actual $1,000.00 $1,189.60 0.70% $3.80
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND - FXG
Actual $1,000.00 $1,235.20 0.70% $3.88
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST ENERGY ALPHADEX(R) FUND - FXN
Actual $1,000.00 $1,038.70 0.70% $3.54
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST FINANCIALS ALPHADEX(R) FUND - FXO
Actual $1,000.00 $1,176.60 0.70% $3.78
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND - FXH
Actual $1,000.00 $1,199.60 0.70% $3.82
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
Page 23
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2013 (UNAUDITED)
----------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSE PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2013 JULY 31, 2013 PERIOD (a) PERIOD (b)
----------------------------------------------------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND - FXR
Actual $1,000.00 $1,155.30 0.70% $3.74
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MATERIALS ALPHADEX(R) FUND - FXZ
Actual $1,000.00 $1,032.20 0.70% $3.53
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND - FXL
Actual $1,000.00 $1,137.60 0.70% $3.71
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST UTILITIES ALPHADEX(R) FUND - FXU
Actual $1,000.00 $1,113.10 0.70% $3.67
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) These expense ratios reflect expense caps.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (February 1,
2013 through July 31, 2013), multiplied by 181/365 (to reflect the
one-half year period).
Page 24
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND - FXD
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AUTO COMPONENTS -- 5.8%
41,141 BorgWarner, Inc. (a) $ 3,926,086
139,851 Delphi Automotive PLC 7,512,796
76,887 Gentex Corp. 1,736,108
231,825 Goodyear Tire & Rubber (The)
Co. (a) 4,288,762
146,565 Lear Corp. 10,152,557
133,370 TRW Automotive Holdings
Corp. (a) 9,777,355
84,239 Visteon Corp. (a) 5,548,823
-------------
42,942,487
-------------
AUTOMOBILES -- 5.2%
572,815 Ford Motor Co. 9,669,117
212,826 General Motors Co. (a) 7,634,069
82,485 Tesla Motors, Inc. (a) (b) 11,076,086
180,184 Thor Industries, Inc. 9,738,945
-------------
38,118,217
-------------
BUILDING PRODUCTS -- 1.0%
182,989 Fortune Brands Home & Security,
Inc. 7,559,276
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.8%
232,481 KAR Auction Services, Inc. 5,914,317
-------------
DISTRIBUTORS -- 1.7%
45,405 Genuine Parts Co. 3,722,756
344,132 LKQ Corp. (a) 8,971,521
-------------
12,694,277
-------------
DIVERSIFIED CONSUMER SERVICES
-- 3.7%
500,083 Apollo Group, Inc., Class A (a) 9,111,512
285,669 DeVry, Inc. 8,592,924
393,186 Service Corp. International 7,458,738
38,526 Weight Watchers International,
Inc. (b) 1,828,059
-------------
26,991,233
-------------
FOOD & STAPLES RETAILING
-- 1.0%
32,061 Costco Wholesale Corp. 3,760,434
47,585 Wal-Mart Stores, Inc. 3,708,775
-------------
7,469,209
-------------
HOTELS, RESTAURANTS &
LEISURE -- 7.4%
94,237 Bally Technologies, Inc. (a) 6,754,908
89,899 Brinker International, Inc. 3,609,445
206,742 Carnival Corp. 7,655,656
4,869 Chipotle Mexican Grill, Inc. (a) 2,007,343
70,216 Darden Restaurants, Inc. 3,444,095
121,910 Domino's Pizza, Inc. 7,629,128
41,391 Dunkin' Brands Group, Inc. 1,788,091
106,060 International Game Technology 1,958,928
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
58,470 Norwegian Cruise Line Holdings
Ltd. (a) $ 1,769,302
28,596 Panera Bread Co., Class A (a) 4,776,962
100,579 Penn National Gaming, Inc. (a) 5,027,944
106,319 Royal Caribbean Cruises Ltd. 4,049,691
54,126 Starbucks Corp. 3,855,936
-------------
54,327,429
-------------
HOUSEHOLD DURABLES -- 8.0%
416,418 D.R. Horton, Inc. 8,370,002
196,050 Garmin Ltd. (b) 7,857,684
32,700 Harman International Industries,
Inc. 1,979,331
121,525 Jarden Corp. (a) 5,525,742
57,002 Leggett & Platt, Inc. 1,790,433
196,700 Lennar Corp., Class A 6,662,229
67,517 Newell Rubbermaid, Inc. 1,824,309
93,421 PulteGroup, Inc. (a) 1,553,591
363,472 Taylor Morrison Home Corp.,
Class A (a) 8,806,927
40,372 Tempur Sealy International,
Inc. (a) 1,600,750
217,255 Toll Brothers, Inc. (a) 7,141,172
22,816 Tupperware Brands Corp. 1,922,932
30,999 Whirlpool Corp. 4,152,006
-------------
59,187,108
-------------
INTERNET & CATALOG RETAIL -- 5.3%
6,378 Amazon.com, Inc. (a) 1,921,181
109,603 HomeAway, Inc. (a) 3,300,146
385,110 Liberty Interactive Corp.,
Class A (a) 9,419,791
41,979 Netflix, Inc. (a) 10,252,111
6,432 priceline.com, Inc. (a) 5,632,310
116,460 TripAdvisor, Inc. (a) 8,736,829
-------------
39,262,368
-------------
INTERNET SOFTWARE & SERVICES
-- 1.2%
481,602 Pandora Media, Inc. (a) (b) 8,832,581
-------------
LEISURE EQUIPMENT &
PRODUCTS -- 1.0%
39,532 Hasbro, Inc. 1,818,472
39,111 Mattel, Inc. 1,643,835
37,312 Polaris Industries, Inc. 4,184,168
-------------
7,646,475
-------------
MEDIA -- 16.7%
108,383 AMC Networks, Inc., Class A (a) 7,398,224
210,739 Cablevision Systems Corp.,
Class A 3,938,712
72,534 CBS Corp., Class B 3,832,697
See Notes to Financial Statements Page 25
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND - FXD
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
71,552 Charter Communications, Inc.,
Class A (a) $ 8,996,948
84,634 Comcast Corp., Class A 3,815,301
86,289 DIRECTV (a) 5,459,505
125,042 DISH Network Corp., Class A 5,583,125
217,373 Gannett Co., Inc. 5,599,528
487,229 Interpublic Group of Cos. (The),
Inc. 8,014,917
132,623 John Wiley & Sons, Inc., Class A 5,985,276
47,844 Liberty Global PLC, Class A (a) 3,881,105
322,585 Lions Gate Entertainment Corp. (a) 10,493,690
89,733 Madison Square Garden
(The) Co., Class A (a) 5,291,555
84,567 Omnicom Group, Inc. 5,435,121
297,030 Regal Entertainment Group,
Class A (b) 5,599,016
2,116,160 Sirius XM Radio, Inc. 7,893,277
80,197 Starz, Class A (a) 1,810,046
63,025 Time Warner Cable, Inc. 7,189,262
30,653 Time Warner, Inc. 1,908,456
181,398 Twenty-First Century Fox, Inc. 5,420,172
26,045 Viacom, Inc., Class B 1,895,295
84,190 Walt Disney (The) Co. 5,442,883
3,662 Washington Post (The) Co.,
Class B 1,967,812
-------------
122,851,923
-------------
MULTILINE RETAIL -- 5.6%
224,837 Big Lots, Inc. (a) 8,123,361
108,104 Dillard's, Inc., Class A 9,127,221
34,859 Dollar Tree, Inc. (a) 1,870,185
140,350 Kohl's Corp. 7,435,743
147,686 Macy's, Inc. 7,139,141
59,131 Nordstrom, Inc. 3,621,182
51,479 Target Corp. 3,667,879
-------------
40,984,712
-------------
PERSONAL PRODUCTS -- 2.2%
168,547 Avon Products, Inc. 3,852,984
144,982 Nu Skin Enterprises, Inc., Class A 12,126,295
-------------
15,979,279
-------------
ROAD & RAIL -- 3.3%
32,839 AMERCO 5,461,783
308,224 Avis Budget Group, Inc. (a) 9,752,207
357,316 Hertz Global Holdings, Inc. (a) 9,150,863
-------------
24,364,853
-------------
SPECIALTY RETAIL -- 21.9%
316,368 Aaron's, Inc. 9,067,107
156,666 Abercrombie & Fitch Co., Class A 7,812,933
388,231 American Eagle Outfitters, Inc. 7,624,857
203,130 Ascena Retail Group, Inc. (a) 3,877,752
81,695 AutoNation, Inc. (a) 3,913,191
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
4,182 AutoZone, Inc. (a) $ 1,875,962
74,987 Bed Bath & Beyond, Inc. (a) 5,734,256
259,394 Best Buy Co., Inc. 7,805,165
136,832 Cabela's, Inc. (a) 9,392,148
191,973 CarMax, Inc. (a) 9,414,356
415,545 Chico's FAS, Inc. 7,118,286
35,402 Dick's Sporting Goods, Inc. 1,820,017
72,364 DSW, Inc., Class A 5,484,468
201,796 Foot Locker, Inc. 7,290,889
212,354 Gap (The), Inc. 9,747,049
171,349 Guess?, Inc. 5,771,034
91,511 Home Depot (The), Inc. 7,232,114
35,983 L Brands, Inc. 2,006,772
86,662 Lowe's Cos., Inc. 3,863,392
47,209 O'Reilly Automotive, Inc. (a) 5,913,399
27,342 Ross Stores, Inc. 1,844,765
113,977 Sally Beauty Holdings, Inc. (a) 3,477,438
78,850 Signet Jewelers Ltd. 5,764,724
48,662 Tiffany & Co. 3,869,116
70,804 TJX (The) Cos., Inc. 3,684,640
60,279 Tractor Supply Co. 7,301,595
17,698 Ulta Salon Cosmetics &
Fragrance, Inc. (a) 1,785,728
44,064 Urban Outfitters, Inc. (a) 1,875,364
158,554 Williams-Sonoma, Inc. 9,332,488
-------------
161,701,005
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 8.2%
119,639 Carter's, Inc. 8,532,654
105,267 Deckers Outdoor Corp. (a) (b) 5,771,790
34,310 Fossil Group, Inc. (a) 3,770,669
172,338 Hanesbrands, Inc. 10,936,569
85,724 Michael Kors Holdings Ltd. (a) 5,772,654
83,493 NIKE, Inc., Class B 5,253,380
56,693 PVH Corp. 7,471,570
89,045 Under Armour, Inc., Class A (a) 5,977,591
36,722 VF Corp. 7,234,234
-------------
60,721,111
-------------
TOTAL COMMON STOCKS -- 100.0% 737,547,860
(Cost $625,975,134) -------------
MONEY MARKET FUND -- 0.1%
512,739 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (c) 512,739
(Cost $512,739) -------------
Page 26 See Notes to Financial Statements
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND - FXD
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COLLATERAL FOR SECURITIES ON
LOAN -- 2.0%
MONEY MARKET FUND -- 0.4%
3,133,166 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class -
0.001% (c) $ 3,133,166
(Cost $3,133,166)
PRINCIPAL
VALUE
-----------
REPURCHASE AGREEMENT -- 1.6%
$12,060,821 JPMorgan Chase & Co., 0.02% (c),
dated 07/31/13, due 08/01/13,
with a maturity value of
$12,060,828. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 08/31/14.
The value of the collateral
including accrued interest is
$12,303,573. 12,060,821
(Cost $12,060,821) -------------
TOTAL COLLATERAL FOR SECURITIES
ON LOAN - 2.0% 15,193,987
(Cost $15,193,987) -------------
TOTAL INVESTMENTS -- 102.1% 753,254,586
(Cost $641,681,860) (d)
NET OTHER ASSETS AND
LIABILITIES -- (2.1)% (15,805,500)
-------------
NET ASSETS -- 100.0% $ 737,449,086
=============
(a) Non-income producing security.
(b) All or a portion of this security is on loan. (See Note 2C - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $14,850,723 and the total value of the collateral held by
the Fund is $15,193,987.
(c) Interest rate shown reflects yield as of July 31, 2013.
(d) Aggregate cost for federal income tax purposes is $648,667,571. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $108,879,817 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $4,292,802.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $737,547,860 $ -- $ --
Money Market Funds 3,645,905 -- --
Repurchase Agreement -- 12,060,821 --
--------------------------------------
Total Investments $741,193,765 $12,060,821 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 27
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND - FXG
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 99.9%
BEVERAGES -- 10.2%
80,370 Beam, Inc. $ 5,223,247
556,089 Constellation Brands, Inc.,
Class A (a) 28,966,676
317,937 Molson Coors Brewing Co.,
Class B 15,915,926
190,779 Monster Beverage Corp. (a) 11,635,611
62,019 PepsiCo, Inc. 5,181,067
-------------
66,922,527
-------------
FOOD & STAPLES RETAILING -- 22.4%
405,506 CVS Caremark Corp. 24,934,564
233,177 Fresh Market (The), Inc. (a) 12,307,082
839,130 Kroger (The) Co. 32,952,635
1,224,996 Safeway, Inc. 31,592,647
339,386 Sysco Corp. 11,712,211
344,257 Walgreen Co. 17,298,914
295,573 Whole Foods Market, Inc. 16,427,947
-------------
147,226,000
-------------
FOOD PRODUCTS -- 49.5%
683,780 Archer-Daniels-Midland Co. 24,937,457
163,822 Bunge Ltd. 12,452,110
517,675 Campbell Soup Co. 24,227,190
663,805 ConAgra Foods, Inc. 24,036,379
506,196 Dean Foods Co. (a) 5,517,536
1,314,444 Flowers Foods, Inc. 30,179,634
238,889 General Mills, Inc. 12,422,228
386,137 Green Mountain Coffee Roasters,
Inc. (a) 29,802,054
170,429 Hershey (The) Co. 16,168,599
153,327 Hillshire Brands Co. 5,398,644
300,505 Hormel Foods Corp. 12,726,387
441,683 Ingredion, Inc. 29,681,098
147,523 J.M. Smucker (The) Co. 16,599,288
236,901 Kellogg Co. 15,692,322
812,713 Mondelez International, Inc.,
Class A 25,413,535
464,618 Smithfield Foods, Inc. (a) 15,425,318
902,913 Tyson Foods, Inc., Class A 24,938,457
-------------
325,618,236
-------------
HOUSEHOLD PRODUCTS -- 5.7%
61,006 Clorox (The) Co. 5,242,856
151,388 Energizer Holdings, Inc. 15,411,298
52,216 Kimberly-Clark Corp. 5,158,941
150,580 Procter & Gamble (The) Co. 12,091,574
-------------
37,904,669
-------------
PERSONAL PRODUCTS -- 6.4%
642,076 Herbalife Ltd. 42,055,978
-------------
SPECIALTY RETAIL -- 4.2%
524,465 GNC Holdings, Inc., Class A 27,681,263
-------------
TOBACCO -- 1.5%
116,117 Lorillard, Inc. 4,938,456
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
TOBACCO (CONTINUED)
104,863 Reynolds American, Inc. $ 5,183,378
-------------
10,121,834
-------------
TOTAL COMMON STOCKS
-- 99.9% 657,530,507
(Cost $561,341,477)
MONEY MARKET FUND -- 0.1%
458,672 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 458,672
(Cost $458,672) -------------
TOTAL INVESTMENTS -- 100.0% 657,989,179
(Cost $561,800,149) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (229,800)
-------------
NET ASSETS -- 100.0% $ 657,759,379
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $566,193,202. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $92,015,058 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $219,081.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $657,530,507 $ -- $ --
Money Market Fund 458,672 -- --
--------------------------------------
Total Investments $657,989,179 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
Page 28 See Notes to Financial Statements
FIRST TRUST ENERGY ALPHADEX(R) FUND - FXN
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
ENERGY EQUIPMENT & SERVICES --
32.7%
84,737 Atwood Oceanics, Inc. (a) $ 4,774,083
47,802 Baker Hughes, Inc. 2,267,249
18,024 Cameron International Corp. (a) 1,068,823
48,080 Diamond Offshore Drilling, Inc. 3,242,515
18,380 Dresser-Rand Group, Inc. (a) 1,118,791
12,215 Dril-Quip, Inc. (a) 1,110,466
59,406 FMC Technologies, Inc. (a) 3,166,340
52,854 Halliburton Co. 2,388,472
88,281 Helmerich & Payne, Inc. 5,579,359
539,165 McDermott International, Inc. (a) 4,663,777
216,056 Nabors Industries Ltd. 3,325,102
48,009 National Oilwell Varco, Inc. 3,368,792
61,090 Oceaneering International, Inc. 4,953,788
35,708 Oil States International, Inc. (a) 3,471,889
284,837 Patterson-UTI Energy, Inc. 5,631,227
64,725 Rowan Cos. PLC, Class A (a) 2,223,304
239,522 RPC, Inc. (b) 3,429,955
170,021 Superior Energy Services, Inc. (a) 4,355,938
51,794 Unit Corp. (a) 2,334,873
-------------
62,474,743
-------------
OIL, GAS & CONSUMABLE FUELS
-- 61.1%
12,830 Anadarko Petroleum Corp. 1,135,712
39,463 Apache Corp. 3,166,906
31,047 Cabot Oil & Gas Corp. 2,353,984
108,206 Chesapeake Energy Corp. 2,521,200
46,582 Chevron Corp. 5,864,208
50,898 Cimarex Energy Co. 3,890,134
72,902 ConocoPhillips 4,728,424
81,372 CONSOL Energy, Inc. 2,524,973
12,810 Continental Resources, Inc. (a) 1,182,363
23,257 CVR Energy, Inc. 1,097,498
190,979 Denbury Resources, Inc. (a) 3,342,133
8,368 EOG Resources, Inc. 1,217,460
27,788 EQT Corp. 2,403,662
48,812 Exxon Mobil Corp. 4,576,125
172,872 Golar LNG Ltd. (b) 5,969,270
82,909 Hess Corp. 6,173,404
128,862 HollyFrontier Corp. 5,869,664
127,537 Marathon Oil Corp. 4,637,245
77,582 Marathon Petroleum Corp. 5,689,088
72,427 Murphy Oil Corp. 4,904,756
18,361 Noble Energy, Inc. 1,147,379
56,728 Oasis Petroleum, Inc. (a) 2,384,845
37,074 Occidental Petroleum Corp. 3,301,440
212,858 PBF Energy, Inc. (b) 4,872,320
74,866 Phillips 66 4,604,259
22,854 Pioneer Natural Resources Co. 3,536,885
39,688 QEP Resources, Inc. 1,210,087
463,274 SandRidge Energy, Inc. (a) (b) 2,510,945
18,380 SM Energy Co. 1,263,257
84,293 Tesoro Corp. 4,792,057
158,556 Valero Energy Corp. 5,671,548
95,692 Whiting Petroleum Corp. (a) 4,925,267
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
27,580 World Fuel Services Corp. $ 1,068,449
116,428 WPX Energy, Inc. (a) 2,236,582
-------------
116,773,529
-------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 3.2%
123,252 First Solar, Inc. (a) 6,068,929
-------------
SPECIALTY RETAIL -- 3.0%
178,930 CST Brands, Inc. (a) 5,834,907
-------------
TOTAL COMMON STOCKS -- 100.0% 191,152,108
(Cost $176,886,349) -------------
MONEY MARKET FUND -- 0.1%
158,501 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (c) 158,501
(Cost $158,501) -------------
COLLATERAL FOR SECURITIES ON LOAN
-- 4.7%
MONEY MARKET FUND -- 1.0%
1,837,790 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class -
0.001% (c) 1,837,790
(Cost $1,837,790)
PRINCIPAL
VALUE
-----------
REPURCHASE AGREEMENT -- 3.7%
$ 7,074,395 JPMorgan Chase & Co., 0.02% (c),
dated 07/31/13, due 08/01/13,
with a maturity value of
$7,074,399. Collateralized by
U.S. Treasury Note, interest
rate of 2.375%, due 08/31/14.
The value of the collateral
including accrued interest is
$7,216,784. 7,074,395
(Cost $7,074,395) -------------
TOTAL COLLATERAL FOR SECURITIES
ON LOAN - 4.7% 8,912,185
(Cost $8,912,185) -------------
TOTAL INVESTMENTS -- 104.8% 200,222,794
(Cost $185,957,035) (d)
NET OTHER ASSETS AND
LIABILITIES -- (4.8)% (9,087,614)
-------------
NET ASSETS -- 100.0% $ 191,135,180
=============
See Notes to Financial Statements Page 29
FIRST TRUST ENERGY ALPHADEX(R) FUND - FXN
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
(a) Non-income producing security.
(b) All or a portion of this security is on loan. (See Note 2C - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $8,667,229 and the total value of the collateral held by the
Fund is $8,912,185.
(c) Interest rate shown reflects yield as of July 31, 2013.
(d) Aggregate cost for federal income tax purposes is $189,503,242. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $15,075,423 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $4,355,871.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $191,152,108 $ -- $ --
Money Market Funds 1,996,291 -- --
Repurchase Agreement -- 7,074,395 --
--------------------------------------
Total Investments $193,148,399 $ 7,074,395 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
Page 30 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND - FXO
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
CAPITAL MARKETS -- 11.2%
18,102 Affiliated Managers Group,
Inc. (a) $ 3,264,696
301,625 American Capital Ltd. (a) 4,120,197
47,243 Ameriprise Financial, Inc. 4,204,627
222,190 Ares Capital Corp. 3,952,760
81,747 Bank of New York Mellon (The)
Corp. 2,570,943
5,769 BlackRock, Inc. 1,626,627
180,011 Charles Schwab (The) Corp. 3,976,443
19,735 Eaton Vance Corp. 798,675
108,264 Federated Investors, Inc., Class B 3,142,904
19,626 Goldman Sachs Group (The), Inc. 3,219,253
23,330 Invesco Ltd. 750,993
101,201 LPL Financial Holdings, Inc. 3,851,710
30,357 Morgan Stanley 826,014
12,817 Northern Trust Corp. 750,307
17,263 Raymond James Financial, Inc. 760,780
52,180 SEI Investments Co. 1,649,410
22,759 State Street Corp. 1,585,620
10,137 T. Rowe Price Group, Inc. 762,708
52,715 Waddell & Reed Financial, Inc.,
Class A 2,691,628
-------------
44,506,295
-------------
COMMERCIAL BANKS -- 16.9%
147,455 Associated Banc-Corp. 2,497,888
14,752 Bank of Hawaii Corp. 820,801
57,052 BankUnited, Inc. 1,725,253
67,678 BB&T Corp. 2,415,428
35,802 BOK Financial Corp. 2,387,635
407,426 CapitalSource, Inc. 4,929,855
15,908 CIT Group, Inc. (a) 797,150
23,410 City National Corp. 1,627,697
57,570 Comerica, Inc. 2,449,028
17,024 Commerce Bancshares, Inc. 776,805
11,120 Cullen/Frost Bankers, Inc. 801,085
53,953 East West Bancorp, Inc. 1,663,371
164,393 Fifth Third Bancorp 3,161,277
15,443 First Citizens BancShares, Inc.,
Class A 3,235,309
147,341 First Niagara Financial Group,
Inc. 1,575,075
38,563 First Republic Bank 1,665,536
129,243 Fulton Financial Corp. 1,627,169
376,566 Huntington Bancshares, Inc. 3,219,639
207,699 KeyCorp 2,552,621
13,278 M&T Bank Corp. 1,551,667
40,693 PNC Financial Services Group, Inc. 3,094,703
24,465 Popular, Inc. (a) 804,899
240,614 Regions Financial Corp. 2,408,546
27,629 Signature Bank (a) 2,529,435
93,985 SunTrust Banks, Inc. 3,269,738
1,308,792 Synovus Financial Corp. 4,358,277
104,637 TCF Financial Corp. 1,594,668
41,045 U.S. Bancorp 1,531,799
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMERCIAL BANKS (CONTINUED)
156,672 Valley National Bancorp $ 1,621,555
55,562 Wells Fargo & Co. 2,416,947
79,394 Zions Bancorporation 2,353,238
-------------
67,464,094
-------------
CONSUMER FINANCE -- 2.6%
39,685 American Express Co. 2,927,563
47,237 Capital One Financial Corp. 3,260,298
48,138 Discover Financial Services 2,383,312
64,900 SLM Corp. 1,603,679
-------------
10,174,852
-------------
DIVERSIFIED FINANCIAL
SERVICES -- 7.4%
57,681 Bank of America Corp. 842,142
81,946 CBOE Holdings, Inc. 4,105,494
30,934 Citigroup, Inc. 1,612,899
9,758 CME Group, Inc. 721,897
141,230 ING US, Inc. (a) 4,395,078
46,445 Interactive Brokers Group, Inc.,
Class A 752,409
8,353 IntercontinentalExchange, Inc. (a) 1,524,005
56,208 JPMorgan Chase & Co. 3,132,472
113,172 Leucadia National Corp. 3,036,405
62,728 Moody's Corp. 4,251,076
44,602 MSCI, Inc. (a) 1,563,300
69,937 NASDAQ OMX Group (The), Inc. 2,265,959
35,838 NYSE Euronext 1,510,930
-------------
29,714,066
-------------
INSURANCE -- 37.0%
33,154 ACE Ltd. 3,029,613
39,453 Aflac, Inc. 2,433,461
7,736 Alleghany Corp. (a) 3,124,416
41,769 Allied World Assurance Co.
Holdings AG 3,953,436
47,644 Allstate (The) Corp. 2,428,891
78,136 American Financial Group, Inc. 4,038,850
85,489 American International Group,
Inc. (a) 3,890,604
23,046 American National Insurance Co. 2,592,675
35,640 Aon PLC 2,405,700
57,713 Arch Capital Group Ltd. (a) 3,125,159
67,927 Arthur J. Gallagher & Co. 3,014,600
103,040 Aspen Insurance Holdings Ltd. 3,862,970
58,293 Assurant, Inc. 3,157,149
134,514 Assured Guaranty Ltd. 2,910,883
83,472 Axis Capital Holdings Ltd. 3,636,040
20,491 Berkshire Hathaway, Inc.,
Class B (a) 2,374,292
46,014 Brown & Brown, Inc. 1,518,002
27,082 Chubb (The) Corp. 2,342,593
32,318 Cincinnati Financial Corp. 1,583,582
See Notes to Financial Statements Page 31
FIRST TRUST FINANCIALS ALPHADEX(R) FUND - FXO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
70,299 CNA Financial Corp. $ 2,496,317
74,268 Endurance Specialty Holdings Ltd. 3,908,725
28,763 Erie Indemnity Co., Class A 2,311,682
29,796 Everest Re Group, Ltd. 3,978,660
160,511 Fidelity National Financial, Inc.,
Class A 3,929,309
130,037 Genworth Financial, Inc.,
Class A (a) 1,689,181
60,663 Hanover Insurance Group,
(The), Inc. 3,265,489
24,002 Hartford Financial Services
Group (The), Inc. 740,702
68,835 HCC Insurance Holdings, Inc. 3,065,223
43,313 Kemper Corp. 1,513,789
81,364 Lincoln National Corp. 3,390,438
16,715 Loews Corp. 761,368
1,396 Markel Corp. (a) 739,880
37,160 Marsh & McLennan Cos., Inc. 1,555,889
287,121 MBIA, Inc. (a) 3,876,133
33,755 Mercury General Corp. 1,491,971
16,206 MetLife, Inc. 784,695
42,205 PartnerRe Ltd. 3,779,036
39,610 Principal Financial Group, Inc. 1,717,490
73,269 ProAssurance Corp. 3,922,090
116,738 Progressive (The) Corp. 3,036,355
77,260 Protective Life Corp. 3,347,676
52,331 Prudential Financial, Inc. 4,132,579
55,291 Reinsurance Group of America, Inc. 3,764,764
44,025 RenaissanceRe Holdings Ltd. 3,828,854
60,054 StanCorp Financial Group, Inc. 3,188,267
35,192 Torchmark Corp. 2,501,447
37,125 Travelers (The) Cos., Inc. 3,101,794
101,038 Unum Group 3,196,842
105,810 Validus Holdings Ltd. 3,748,848
72,616 W. R. Berkley Corp. 3,076,740
5,166 White Mountains Insurance
Group Ltd. 3,089,268
97,869 XL Group PLC 3,068,193
-------------
147,422,610
-------------
IT SERVICES -- 9.0%
21,101 Alliance Data Systems Corp. (a) 4,173,356
86,262 Broadridge Financial Solutions,
Inc. 2,496,422
128,070 CoreLogic, Inc. (a) 3,573,153
53,527 Fidelity National Information
Services, Inc. 2,310,225
8,485 Fiserv, Inc. (a) 816,596
47,013 FleetCor Technologies, Inc. (a) 4,220,357
16,021 Global Payments, Inc. 741,933
31,477 Jack Henry & Associates, Inc. 1,520,339
118,126 Lender Processing Services, Inc. 3,860,358
2,573 MasterCard, Inc., Class A 1,571,100
121,217 Total System Services, Inc. 3,322,558
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
IT SERVICES (CONTINUED)
138,469 Vantiv, Inc., Class A (a) $ 3,612,656
12,543 Visa, Inc., Class A 2,220,236
86,708 Western Union Co. 1,557,276
-------------
35,996,565
-------------
MEDIA -- 1.6%
29,547 Morningstar, Inc. 2,252,072
117,328 Thomson Reuters Corp. 3,992,672
-------------
6,244,744
-------------
PROFESSIONAL SERVICES -- 1.0%
23,520 Dun & Bradstreet (The) Corp. 2,437,377
25,177 Equifax, Inc. 1,591,942
-------------
4,029,319
-------------
REAL ESTATE INVESTMENT
TRUSTS -- 7.9%
11,287 Alexandria Real Estate Equities,
Inc. 773,160
99,754 American Capital Agency Corp. 2,247,458
304,025 Annaly Capital Management, Inc. 3,623,978
24,688 Apartment Investment &
Management Co., Class A 725,333
247,282 Chimera Investment Corp. 736,900
32,094 CommonWealth REIT 740,409
37,764 Equity Lifestyle Properties, Inc. 1,453,536
54,691 Extra Space Storage, Inc. 2,299,757
120,429 Hatteras Financial Corp. 2,419,419
16,336 HCP, Inc. 716,660
28,226 Hospitality Properties Trust 804,159
351,165 MFA Financial, Inc. 2,802,297
21,576 National Retail Properties, Inc. 754,944
73,925 OMEGA Healthcare Investors, Inc. 2,353,033
41,490 Piedmont Office Realty Trust,
Inc., Class A 750,554
13,387 Rayonier, Inc. 782,336
28,609 Senior Housing Properties Trust 719,516
92,645 Starwood Property Trust, Inc. 2,353,183
289,499 Two Harbors Investment Corp. 2,903,675
10,691 Ventas, Inc. 702,826
26,047 Weyerhaeuser Co. 739,735
-------------
31,402,868
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 1.1%
98,165 CBRE Group, Inc., Class A (a) 2,274,483
16,270 Jones Lang LaSalle, Inc. 1,481,058
35,248 St. Joe (The) Co. (a) 799,425
-------------
4,554,966
-------------
SOFTWARE -- 0.4%
14,551 FactSet Research Systems, Inc. 1,588,678
-------------
THRIFTS & MORTGAGE
FINANCE -- 3.9%
80,985 Hudson City Bancorp, Inc. 774,217
Page 32 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND - FXO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
102,081 Nationstar Mortgage Holdings,
Inc. (a) $ 4,724,309
163,787 New York Community Bancorp, Inc. 2,484,649
92,708 Ocwen Financial Corp. (a) 4,414,755
99,571 People's United Financial, Inc. 1,493,565
78,582 Washington Federal, Inc. 1,709,158
-------------
15,600,653
-------------
TOTAL COMMON STOCKS -- 100.0% 398,699,710
(Cost $354,413,871)
MONEY MARKET FUND -- 0.1%
320,331 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 320,331
(Cost $320,331) -------------
TOTAL INVESTMENTS -- 100.1% 399,020,041
(Cost $354,734,202) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (200,241)
-------------
NET ASSETS -- 100.0% $ 398,819,800
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $357,215,689. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $44,440,553 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $2,636,201.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $398,699,710 $ -- $ --
Money Market Fund 320,331 -- --
--------------------------------------
Total Investments $399,020,041 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 33
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND - FXH
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 18.5%
760,914 Alkermes PLC (a) $ 25,551,492
41,307 Amgen, Inc. 4,473,135
75,706 Biogen Idec, Inc. (a) 16,513,750
72,999 BioMarin Pharmaceutical, Inc. (a) 4,719,385
104,540 Celgene Corp. (a) 15,352,744
168,680 Cubist Pharmaceuticals, Inc. (a) 10,513,824
318,174 Gilead Sciences, Inc. (a) 19,551,792
185,175 Incyte Corp. Ltd. (a) 4,334,947
151,607 Myriad Genetics, Inc. (a) 4,498,180
51,250 Pharmacyclics, Inc. (a) 5,567,288
97,067 Regeneron Pharmaceuticals,
Inc. (a) 26,213,914
129,488 Seattle Genetics, Inc. (a) 5,246,854
317,170 Theravance, Inc. (a) 12,230,075
247,556 United Therapeutics Corp. (a) 18,527,091
101,992 Vertex Pharmaceuticals, Inc. (a) 8,138,962
-------------
181,433,433
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 17.4%
625,638 Abbott Laboratories 22,917,120
498,799 Alere, Inc. (a) 16,659,887
82,443 Becton, Dickinson & Co. 8,550,988
221,104 CareFusion Corp. (a) 8,527,981
136,872 Cooper (The) Cos., Inc. 17,430,649
194,478 Covidien PLC 11,985,679
198,883 DENTSPLY International, Inc. 8,528,103
483,773 Hill-Rom Holdings, Inc. 17,933,465
237,429 Medtronic, Inc. 13,115,578
90,271 ResMed, Inc. 4,301,413
178,533 St. Jude Medical, Inc. 9,353,344
125,949 Stryker Corp. 8,874,367
52,567 Teleflex, Inc. 4,175,397
217,444 Zimmer Holdings, Inc. 18,152,225
-------------
170,506,196
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 35.8%
343,444 Aetna, Inc. 22,038,802
390,878 AmerisourceBergen Corp. 22,776,461
308,116 Brookdale Senior Living, Inc. (a) 8,972,338
258,926 Cardinal Health, Inc. 12,969,603
83,595 Catamaran Corp. (a) 4,413,816
301,040 Cigna Corp. 23,429,943
465,506 Community Health Systems, Inc. 21,441,206
101,145 DaVita HealthCare Partners,
Inc. (a) 11,774,289
264,131 Express Scripts Holding Co. (a) 17,313,787
225,926 HCA Holdings, Inc. 8,811,114
1,388,185 Health Management Associates,
Inc., Class A (a) 18,712,734
128,030 Health Net, Inc. (a) 3,926,680
127,636 Henry Schein, Inc. (a) 13,252,446
258,621 Humana, Inc. 23,601,753
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
40,683 Laboratory Corp. of America
Holdings (a) $ 3,935,673
333,635 LifePoint Hospitals, Inc. (a) 16,401,497
106,750 McKesson Corp. 13,093,955
133,422 MEDNAX, Inc. (a) 12,997,971
85,372 Omnicare, Inc. 4,506,788
134,353 Quest Diagnostics, Inc. 7,834,123
473,379 Tenet Healthcare Corp. (a) 21,136,372
248,850 UnitedHealth Group, Inc. 18,128,723
243,347 Universal Health Services, Inc.,
Class B 17,022,123
266,630 WellPoint, Inc. 22,812,863
-------------
351,305,060
-------------
HEALTH CARE TECHNOLOGY -- 0.8%
169,578 Cerner Corp. (a) 8,309,322
-------------
LIFE SCIENCES TOOLS &
SERVICES -- 10.3%
108,907 Bio-Rad Laboratories, Inc.,
Class A (a) 13,285,565
198,575 Charles River Laboratories
International, Inc. (a) 9,043,106
213,993 Covance, Inc. (a) 17,654,423
291,609 Illumina, Inc. (a) 23,276,230
220,179 Life Technologies Corp. (a) 16,425,353
409,209 QIAGEN N.V. (a) 8,552,468
58,972 Techne Corp. 4,348,595
96,274 Thermo Fisher Scientific, Inc. 8,771,524
-------------
101,357,264
-------------
PHARMACEUTICALS -- 17.2%
172,891 Actavis, Inc. (a) 23,214,075
91,162 Bristol-Myers Squibb Co. 3,941,845
331,738 Eli Lilly & Co. 17,618,605
442,906 Endo Health Solutions, Inc. (a) 17,034,165
317,521 Jazz Pharmaceuticals PLC (a) 23,976,011
94,894 Johnson & Johnson 8,872,589
263,104 Merck & Co., Inc. 12,673,720
393,818 Mylan, Inc. (a) 13,216,532
33,664 Perrigo Co. 4,187,465
436,276 Pfizer, Inc. 12,752,347
246,307 Salix Pharmaceuticals Ltd. (a) 18,202,087
614,698 Warner Chilcott PLC, Class A 13,099,214
-------------
168,788,655
-------------
TOTAL COMMON STOCKS -- 100.0% 981,699,930
(Cost $841,476,044)
Page 34 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND - FXH
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MONEY MARKET FUND -- 0.1%
706,172 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) $ 706,172
(Cost $706,172) -------------
TOTAL INVESTMENTS -- 100.1% 982,406,102
(Cost $842,182,216) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (840,352)
-------------
NET ASSETS -- 100.0% $ 981,565,750
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $850,482,654. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $132,287,498 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $364,050.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $981,699,930 $ -- $ --
Money Market Fund 706,172 -- --
--------------------------------------
Total Investments $982,406,102 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 35
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND - FXR
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 18.8%
44,139 Alliant Techsystems, Inc. $ 4,109,341
57,609 B/E Aerospace, Inc. (a) 4,015,924
35,475 Boeing (The) Co. 3,728,423
200,781 Exelis, Inc. 2,967,543
27,482 Honeywell International, Inc. 2,280,456
64,341 Huntington Ingalls Industries,
Inc. 4,000,724
32,293 L-3 Communications Holdings, Inc. 3,008,093
20,103 Lockheed Martin Corp. 2,414,772
43,889 Northrop Grumman Corp. 4,040,421
32,977 Raytheon Co. 2,369,068
10,916 Rockwell Collins, Inc. 776,892
128,900 Spirit AeroSystems Holdings,
Inc., Class A (a) 3,268,904
83,701 Textron, Inc. 2,291,733
5,115 TransDigm Group, Inc. 739,578
34,981 Triumph Group, Inc. 2,744,609
7,448 United Technologies Corp. 786,285
-------------
43,542,766
-------------
AIR FREIGHT & LOGISTICS -- 1.3%
28,087 FedEx Corp. 2,977,222
-------------
AIRLINES -- 6.5%
53,246 Alaska Air Group, Inc. (a) 3,257,058
27,715 Copa Holdings SA, Class A 3,857,097
194,228 Delta Air Lines, Inc. (a) 4,123,460
169,155 Southwest Airlines Co. 2,339,414
44,244 United Continental Holdings,
Inc. (a) 1,541,903
-------------
15,118,932
-------------
AUTO COMPONENTS -- 1.6%
157,453 Allison Transmission Holdings,
Inc. 3,741,083
-------------
BUILDING PRODUCTS -- 0.7%
38,158 A.O. Smith Corp. 1,576,688
-------------
COMMERCIAL SERVICES &
SUPPLIES -- 7.7%
69,480 ADT (The) Corp. 2,784,758
30,399 Cintas Corp. 1,444,257
34,575 Covanta Holding Corp. 719,506
47,152 Pitney Bowes, Inc. 778,480
259,387 R.R. Donnelley & Sons Co. 4,925,759
64,243 Republic Services, Inc. 2,178,480
26,726 Rollins, Inc. 681,513
6,268 Stericycle, Inc. (a) 726,712
67,301 Waste Connections, Inc. 2,911,441
17,163 Waste Management, Inc. 721,361
-------------
17,872,267
-------------
COMPUTERS & PERIPHERALS -- 1.5%
90,571 Lexmark International, Inc.,
Class A 3,395,507
-------------
CONSTRUCTION & ENGINEERING
-- 6.0%
87,096 AECOM Technology Corp. (a) 2,952,554
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CONSTRUCTION & ENGINEERING
(CONTINUED)
60,912 Chicago Bridge & Iron Co. N.V. $ 3,629,137
11,671 Fluor Corp. 730,138
25,111 Jacobs Engineering Group, Inc. (a) 1,486,571
52,320 Quanta Services, Inc. (a) 1,402,699
76,959 URS Corp. 3,578,594
-------------
13,779,693
-------------
CONTAINERS & PACKAGING -- 1.0%
50,992 Avery Dennison Corp. 2,280,872
-------------
ELECTRICAL EQUIPMENT -- 3.1%
72,607 Babcock & Wilcox (The) Co. 2,217,418
10,518 Eaton Corp. PLC 725,216
12,691 Emerson Electric Co. 778,847
6,992 Hubbell, Inc., Class B 750,591
42,702 Regal-Beloit Corp. 2,761,965
-------------
7,234,037
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.7%
51,330 FLIR Systems, Inc. 1,666,685
-------------
ENERGY EQUIPMENT &
SERVICES -- 1.2%
48,600 Tidewater, Inc. 2,866,914
-------------
INDUSTRIAL CONGLOMERATES -- 2.3%
6,330 3M Co. 743,332
34,993 Carlisle Cos., Inc. 2,370,426
21,870 Danaher Corp. 1,472,726
29,849 General Electric Co. 727,420
-------------
5,313,904
-------------
IT SERVICES -- 3.1%
40,209 Automatic Data Processing, Inc. 2,898,667
125,455 Booz Allen Hamilton Holding Corp. 2,682,228
71,953 Genpact Ltd. 1,467,121
-------------
7,048,016
-------------
LIFE SCIENCES TOOLS &
SERVICES -- 1.0%
50,992 Agilent Technologies, Inc. 2,280,872
-------------
MACHINERY -- 26.1%
72,405 AGCO Corp. 4,072,781
26,432 Caterpillar, Inc. 2,191,477
87,230 CNH Global N.V. 4,098,938
69,737 Colfax Corp. (a) 3,700,943
46,208 Crane Co. 2,814,067
20,103 Cummins, Inc. 2,436,282
17,826 Dover Corp. 1,526,619
12,816 Flowserve Corp. 726,411
34,495 Graco, Inc. 2,407,061
12,864 IDEX Corp. 767,338
31,522 Illinois Tool Works, Inc. 2,270,845
24,935 Ingersoll-Rand PLC 1,522,282
Page 36 See Notes to Financial Statements
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND - FXR
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
123,564 ITT Corp. $ 3,860,139
74,882 Joy Global Inc. 3,706,659
93,588 Kennametal, Inc. 4,056,104
12,086 Lincoln Electric Holdings, Inc. 713,557
77,297 Manitowoc (The) Co., Inc. 1,586,907
19,974 Nordson Corp. 1,441,324
72,920 Oshkosh Corp. (a) 3,268,274
25,799 PACCAR, Inc. 1,451,710
14,511 Parker Hannifin Corp. 1,498,696
15,489 Snap-on, Inc. 1,469,132
26,319 Terex Corp. (a) 775,884
94,537 Trinity Industries, Inc. 3,721,922
51,820 Wabtec Corp. 3,008,669
51,388 Xylem, Inc. 1,281,103
-------------
60,375,124
-------------
MARINE -- 0.6%
17,405 Kirby Corp. (a) 1,470,026
-------------
OFFICE ELECTRONICS -- 2.3%
400,662 Xerox Corp. 3,886,421
31,869 Zebra Technologies Corp.,
Class A (a) 1,471,392
-------------
5,357,813
-------------
PROFESSIONAL SERVICES -- 0.6%
16,895 Towers Watson & Co., Class A 1,423,066
-------------
REAL ESTATE INVESTMENT
TRUSTS -- 1.5%
107,293 Corrections Corp. of America 3,546,034
-------------
ROAD & RAIL -- 7.3%
71,067 Con-way, Inc. 2,945,727
94,023 CSX Corp. 2,332,711
8,159 Genesee & Wyoming, Inc.,
Class A (a) 731,536
9,582 J.B. Hunt Transport Services, Inc. 717,979
6,533 Kansas City Southern 703,931
38,111 Norfolk Southern Corp. 2,788,201
66,525 Old Dominion Freight Line,
Inc. (a) 2,905,812
35,868 Ryder System, Inc. 2,218,077
8,973 Union Pacific Corp. 1,423,028
-------------
16,767,002
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 5.1%
100,354 Air Lease Corp. 2,797,869
45,971 GATX Corp. 2,076,970
27,738 United Rentals, Inc. (a) 1,589,942
10,979 W.W. Grainger, Inc. 2,878,035
32,084 WESCO International, Inc. (a) 2,431,326
-------------
11,774,142
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
TOTAL COMMON STOCKS -- 100.0% $ 231,408,665
(Cost $205,665,351)
MONEY MARKET FUND -- 0.1%
192,048 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 192,048
(Cost $192,048) -------------
TOTAL INVESTMENTS -- 100.1% 231,600,713
(Cost $205,857,399) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (187,707)
-------------
NET ASSETS -- 100.0% $ 231,413,006
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $207,456,555. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $24,735,863 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $591,705.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $231,408,665 $ -- $ --
Money Market Fund 192,048 -- --
--------------------------------------
Total Investments $231,600,713 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 37
FIRST TRUST MATERIALS ALPHADEX(R) FUND - FXZ
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 4.6%
168,932 Hexcel Corp. (a) $ 5,948,096
25,454 Precision Castparts Corp. 5,643,661
-------------
11,591,757
-------------
BUILDING PRODUCTS -- 4.3%
89,128 Lennox International, Inc. 6,401,173
147,568 Masco Corp. 3,028,095
36,801 Owens Corning, Inc. (a) 1,453,272
-------------
10,882,540
-------------
CHEMICALS -- 34.6%
51,824 Air Products & Chemicals, Inc. 5,630,159
46,170 Albemarle Corp. 2,863,002
211,368 Cabot Corp. 8,670,315
46,120 CF Industries Holdings, Inc. 9,039,981
44,704 Dow Chemical (The) Co. 1,566,428
27,393 E.I. du Pont de Nemours & Co. 1,580,302
67,782 Eastman Chemical Co. 5,451,706
67,524 Ecolab, Inc. 6,221,661
23,550 FMC Corp. 1,558,068
286,571 Huntsman Corp. 5,164,010
19,135 International Flavors &
Fragrances, Inc. 1,543,812
71,620 LyondellBasell Industries N.V.,
Class A 4,921,010
146,984 Mosaic (The) Co. 6,039,573
19,645 PPG Industries, Inc. 3,151,844
74,114 Rockwood Holdings, Inc. 5,019,741
90,050 RPM International, Inc. 3,173,362
29,770 Scotts Miracle-Gro (The) Co.,
Class A 1,495,943
16,289 Sherwin-Williams (The) Co. 2,837,055
17,898 Sigma-Aldrich Corp. 1,495,557
56,466 W.R. Grace & Co. (a) 4,337,718
49,226 Westlake Chemical Corp. 5,120,489
-------------
86,881,736
-------------
CONSTRUCTION MATERIALS -- 1.7%
43,401 Eagle Materials, Inc. 2,928,699
14,613 Martin Marietta Materials, Inc. 1,455,455
-------------
4,384,154
-------------
CONTAINERS & PACKAGING
-- 22.0%
52,097 AptarGroup, Inc. 3,041,944
73,485 Bemis Co., Inc. 3,026,847
34,966 Crown Holdings, Inc. (a) 1,532,560
90,098 Greif, Inc., Class A 4,984,221
84,322 MeadWestvaco Corp. 3,115,698
206,990 Owens-Illinois, Inc. (a) 6,157,952
161,550 Packaging Corp. of America 8,689,774
79,188 Rock Tenn Co., Class A 9,055,148
330,242 Sealed Air Corp. 8,995,792
30,624 Silgan Holdings, Inc. 1,477,302
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CONTAINERS & PACKAGING (CONTINUED)
137,273 Sonoco Products Co. $ 5,283,638
-------------
55,360,876
-------------
MACHINERY -- 2.4%
102,206 Timken (The) Co. 5,970,874
-------------
METALS & MINING -- 24.4%
735,579 Alcoa, Inc. 5,847,853
218,631 Allegheny Technologies, Inc. 6,027,657
127,630 Carpenter Technology Corp. 6,672,496
286,470 Freeport-McMoRan Copper &
Gold, Inc. 8,101,372
264,086 Newmont Mining Corp. 7,922,580
66,392 Nucor Corp. 3,105,818
120,644 Reliance Steel & Aluminum Co. 8,469,209
68,347 Royal Gold, Inc. 3,532,856
385,800 Steel Dynamics, Inc. 6,003,048
328,137 United States Steel Corp. 5,693,177
-------------
61,376,066
-------------
PAPER & FOREST PRODUCTS -- 5.4%
118,936 Domtar Corp. 8,267,241
107,100 International Paper Co. 5,174,001
-------------
13,441,242
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.6%
52,068 MRC Global, Inc. (a) 1,396,464
-------------
TOTAL COMMON STOCKS -- 100.0% 251,285,709
(Cost $234,771,703)
MONEY MARKET FUND -- 0.0%
133,308 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 133,308
(Cost $133,308) -------------
TOTAL INVESTMENTS -- 100.0% 251,419,017
(Cost $234,905,011) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (70,417)
-------------
NET ASSETS -- 100.0% $ 251,348,600
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $237,500,053. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $23,020,800 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $9,101,836.
Page 38 See Notes to Financial Statements
FIRST TRUST MATERIALS ALPHADEX(R) FUND - FXZ
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $251,285,709 $ -- $ --
Money Market Fund 133,308 -- --
--------------------------------------
Total Investments $251,419,017 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 39
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND - FXL
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
COMMUNICATIONS EQUIPMENT
-- 7.9%
686,517 Brocade Communications
Systems, Inc. (a) $ 4,572,203
162,666 Cisco Systems, Inc. 4,156,116
101,112 EchoStar Corp., Class A (a) 4,040,436
80,295 Harris Corp. 4,582,436
137,490 JDS Uniphase Corp. (a) 2,016,978
51,192 Juniper Networks, Inc. (a) 1,109,331
17,126 Motorola Solutions, Inc. 939,019
63,533 Riverbed Technology, Inc. (a) 993,656
-------------
22,410,175
-------------
COMPUTERS & PERIPHERALS
-- 13.2%
119,219 3D Systems Corp. (a) 5,630,713
13,217 Apple, Inc. 5,980,692
235,217 Dell, Inc. 2,980,199
132,945 EMC Corp. 3,476,512
158,644 NCR Corp. (a) 5,711,184
52,332 NetApp, Inc. 2,151,892
51,390 SanDisk Corp. (a) 2,832,617
37,501 Stratasys Ltd. (a) 3,324,464
84,289 Western Digital Corp. 5,426,526
-------------
37,514,799
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 16.0%
40,289 Amphenol Corp., Class A 3,165,104
131,338 Arrow Electronics, Inc. (a) 5,995,580
155,763 Avnet, Inc. (a) 5,867,592
367,787 Corning, Inc. 5,586,684
93,881 Dolby Laboratories, Inc., Class A 3,087,746
208,235 Ingram Micro, Inc., Class A (a) 4,754,005
16,281 IPG Photonics Corp. 991,513
194,025 Jabil Circuit, Inc. 4,460,635
107,032 Molex, Inc. 3,192,765
83,976 Tech Data Corp. (a) 4,311,328
284,691 Vishay Intertechnology, Inc. (a) 4,096,703
-------------
45,509,655
-------------
INTERNET & CATALOG RETAIL
-- 1.4%
465,217 Groupon, Inc. (a) 4,121,823
-------------
INTERNET SOFTWARE & SERVICES
-- 8.8%
46,467 Akamai Technologies, Inc. (a) 2,193,242
143,465 AOL, Inc. 5,285,251
4,492 Google, Inc., Class A (a) 3,987,099
41,570 IAC/InterActiveCorp 2,103,858
22,180 LinkedIn Corp., Class A (a) 4,520,062
22,136 Verisign, Inc. (a) 1,058,986
208,432 Yahoo!, Inc. (a) 5,854,855
-------------
25,003,353
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
IT SERVICES -- 10.1%
106,611 Amdocs Ltd. $ 4,101,325
90,346 Computer Sciences Corp. 4,305,890
80,108 DST Systems, Inc. 5,609,963
55,105 Gartner, Inc. (a) 3,306,851
64,511 NeuStar, Inc., Class A (a) 3,617,777
283,867 SAIC, Inc. 4,340,327
186,802 VeriFone Systems, Inc. (a) 3,562,314
-------------
28,844,447
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 21.8%
769,654 Advanced Micro Devices, Inc. (a) 2,901,596
59,928 Altera Corp. 2,131,040
43,881 Analog Devices, Inc. 2,165,966
132,608 Applied Materials, Inc. 2,162,837
134,500 Atmel Corp. (a) 1,062,550
84,011 Avago Technologies Ltd. 3,081,523
58,568 Broadcom Corp., Class A 1,614,720
81,956 Cree, Inc. (a) 5,728,724
143,272 Fairchild Semiconductor
International, Inc. (a) 1,808,093
145,916 Freescale Semiconductor Ltd. (a) 2,290,881
216,091 Intel Corp. 5,034,920
56,348 KLA-Tencor Corp. 3,303,683
70,823 Lam Research Corp. (a) 3,485,908
276,912 LSI Corp. (a) 2,154,375
268,163 Marvell Technology Group Ltd. 3,478,074
26,540 Microchip Technology, Inc. 1,054,700
373,029 NVIDIA Corp. 5,382,808
122,353 ON Semiconductor Corp. (a) 1,008,189
47,745 Silicon Laboratories, Inc. (a) 1,864,920
180,649 Skyworks Solutions, Inc. (a) 4,339,189
225,063 Teradyne, Inc. (a) 3,711,289
28,354 Texas Instruments, Inc. 1,111,477
24,957 Xilinx, Inc. 1,165,242
-------------
62,042,704
-------------
SOFTWARE -- 19.8%
367,018 Activision Blizzard, Inc. 6,598,984
43,397 Adobe Systems, Inc. (a) 2,051,810
29,127 Autodesk, Inc. (a) 1,030,805
21,900 BMC Software, Inc. (a) 1,006,743
138,121 CA, Inc. 4,107,719
136,546 Cadence Design Systems, Inc. (a) 1,990,841
38,588 Concur Technologies, Inc. (a) 3,430,087
172,149 Electronic Arts, Inc. (a) 4,496,532
28,261 Informatica Corp. (a) 1,078,722
45,822 MICROS Systems, Inc. (a) 2,232,906
57,262 Microsoft Corp. 1,822,649
57,052 NetSuite, Inc. (a) 5,356,612
53,790 Nuance Communications, Inc. (a) 1,009,100
43,279 Rovi Corp. (a) 975,076
129,582 ServiceNow, Inc. (a) 5,647,184
17,765 Solera Holdings, Inc. 1,011,006
112,894 Splunk, Inc. (a) 5,645,829
Page 40 See Notes to Financial Statements
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND - FXL
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
87,988 Symantec Corp. $ 2,347,520
87,837 Synopsys, Inc. (a) 3,253,483
46,194 TIBCO Software, Inc. (a) 1,152,078
-------------
56,245,686
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.0%
13,659 Crown Castle International
Corp. (a) 959,545
26,673 SBA Communications Corp.,
Class A (a) 1,976,202
-------------
2,935,747
-------------
TOTAL COMMON STOCKS -- 100.0% 284,628,389
(Cost $252,086,358)
MONEY MARKET FUND -- 0.1%
251,364 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 251,364
(Cost $251,364) -------------
TOTAL INVESTMENTS -- 100.1% 284,879,753
(Cost $252,337,722) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (336,749)
-------------
NET ASSETS -- 100.0% $ 284,543,004
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $256,260,373. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $31,961,030 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $3,341,650.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $284,628,389 $ -- $ --
Money Market Fund 251,364 -- --
--------------------------------------
Total Investments $284,879,753 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 41
FIRST TRUST UTILITIES ALPHADEX(R) FUND - FXU
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 8.9%
84,554 AT&T, Inc. $ 2,982,220
211,605 CenturyLink, Inc. 7,586,039
1,477,603 Frontier Communications Corp. 6,442,349
26,768 Verizon Communications, Inc. 1,324,481
-------------
18,335,089
-------------
ELECTRIC UTILITIES -- 35.8%
100,217 American Electric Power Co., Inc. 4,645,058
44,357 Duke Energy Corp. 3,149,347
155,354 Edison International 7,744,397
107,372 Entergy Corp. 7,247,610
96,858 Exelon Corp. 2,962,886
120,199 FirstEnergy Corp. 4,575,976
331,843 Great Plains Energy, Inc. 8,027,282
53,199 Hawaiian Electric Industries, Inc. 1,418,285
14,769 ITC Holdings Corp. 1,355,351
32,026 Northeast Utilities 1,422,275
191,348 NV Energy, Inc. 4,521,553
39,451 OGE Energy Corp. 1,475,468
107,850 Pinnacle West Capital Corp. 6,352,365
148,353 PPL Corp. 4,713,175
30,547 Southern (The) Co. 1,369,728
187,226 Westar Energy, Inc. 6,288,921
211,177 Xcel Energy, Inc. 6,324,751
-------------
73,594,428
-------------
GAS UTILITIES -- 7.0%
104,751 AGL Resources, Inc. 4,796,548
109,345 Atmos Energy Corp. 4,837,423
23,221 National Fuel Gas Co. 1,505,417
76,544 UGI Corp. 3,214,083
-------------
14,353,471
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 3.7%
280,178 NRG Energy, Inc. 7,514,374
-------------
MULTI-UTILITIES -- 27.3%
89,010 Alliant Energy Corp. 4,714,860
57,353 CenterPoint Energy, Inc. 1,423,502
110,156 CMS Energy Corp. 3,083,266
51,349 Consolidated Edison, Inc. 3,075,805
89,343 DTE Energy Co. 6,316,550
102,226 Integrys Energy Group, Inc. 6,419,793
104,445 NiSource, Inc. 3,208,550
65,418 PG&E Corp. 3,002,032
183,218 Public Service Enterprise Group,
Inc. 6,190,936
91,406 SCANA Corp. 4,744,885
16,441 Sempra Energy 1,440,725
348,156 TECO Energy, Inc. 6,151,917
132,642 Vectren Corp. 4,910,407
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MULTI-UTILITIES (CONTINUED)
32,829 Wisconsin Energy Corp. $ 1,427,405
-------------
56,110,633
-------------
OIL, GAS & CONSUMABLE
FUELS -- 4.2%
143,163 Energen Corp. 8,574,032
-------------
WATER UTILITIES -- 1.5%
72,583 American Water Works Co., Inc. 3,097,842
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 11.6%
1,307,825 Sprint Corp. (a) 7,794,637
303,438 Telephone & Data Systems, Inc. 8,044,141
203,848 United States Cellular Corp. 8,094,804
-------------
23,933,582
-------------
TOTAL COMMON STOCKS -- 100.0% 205,513,451
(Cost $199,958,068)
MONEY MARKET FUND -- 0.0%
76,072 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 76,072
(Cost $76,072) -------------
TOTAL INVESTMENTS -- 100.0% 205,589,523
(Cost $200,034,140) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (35,078)
-------------
NET ASSETS -- 100.0% $ 205,554,445
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $202,543,194. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $6,625,166 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $3,578,837.
Page 42 See Notes to Financial Statements
FIRST TRUST UTILITIES ALPHADEX(R) FUND - FXU
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $205,513,451 $ -- $ --
Money Market Fund 76,072 -- --
--------------------------------------
Total Investments $205,589,523 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2013
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
-------------------- -------------------- --------------------
ASSETS:
Investments, at value............................................. $ 753,254,586 $ 657,989,179 $ 200,222,794
Receivables:
Capital shares sold......................................... 4,284,006 8,227,615 --
Investment securities sold.................................. -- -- --
Dividends................................................... 232,354 523,659 60,603
Securities lending income................................... 8,968 -- 5,333
Interest.................................................... 9 3 3
Reclaims.................................................... -- -- --
Prepaid expenses.................................................. 6,102 4,152 1,670
-------------- -------------- --------------
TOTAL ASSETS........................................... 757,786,025 666,744,608 200,290,403
-------------- -------------- --------------
LIABILITIES:
Due to custodian.................................................. 33 -- --
Payables:
Capital shares redeemed..................................... -- -- --
Investment securities purchased............................. 4,286,132 8,223,819 --
Collateral for securities on loan........................... 15,193,987 -- 8,912,185
Investment advisory fees.................................... 298,577 258,593 72,925
Licensing fees.............................................. 209,370 196,215 55,619
Audit and tax fees.......................................... 22,925 22,925 22,925
Printing fees............................................... 22,911 18,697 7,579
Trustees' fees.............................................. 2,220 1,871 771
Other liabilities................................................. 300,784 263,109 83,219
-------------- -------------- --------------
TOTAL LIABILITIES...................................... 20,336,939 8,985,229 9,155,223
-------------- -------------- --------------
NET ASSETS........................................................ $ 737,449,086 $ 657,759,379 $ 191,135,180
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital................................................... $ 722,261,752 $ 599,172,155 $ 215,786,304
Par value......................................................... 256,000 198,000 84,500
Accumulated net investment income (loss).......................... -- 839,918 --
Accumulated net realized gain (loss) on investments............... (96,641,392) (38,639,724) (39,001,383)
Net unrealized appreciation (depreciation) on investments......... 111,572,726 96,189,030 14,265,759
-------------- -------------- --------------
NET ASSETS........................................................ $ 737,449,086 $ 657,759,379 $ 191,135,180
============== ============== ==============
NET ASSET VALUE, per share........................................ $ 28.81 $ 33.22 $ 22.62
============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)......................... 25,600,002 19,800,002 8,450,002
============== ============== ==============
Investments, at cost.............................................. $ 641,681,860 $ 561,800,149 $ 185,957,035
============== ============== ==============
Securities on loan, at value...................................... $ 14,850,723 $ -- $ 8,667,229
============== ============== ==============
Page 44 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 399,020,041 $ 982,406,102 $ 231,600,713 $ 251,419,017 $ 284,879,753 $ 205,589,523
8,905,303 6,343,078 -- -- -- --
-- -- 2,191,014 4,193,049 -- --
218,341 270,769 74,707 252,303 7,939 219,971
-- -- -- -- -- --
1 11 5 2 3 1
3,290 -- -- -- -- --
1,988 6,251 1,311 3,341 2,620 1,800
-------------- -------------- -------------- -------------- -------------- --------------
408,148,964 989,026,211 233,867,750 255,867,712 284,890,315 205,811,295
-------------- -------------- -------------- -------------- -------------- --------------
-- -- -- -- -- --
-- -- -- 4,195,194 -- --
8,896,282 6,345,026 2,184,282 -- -- --
-- -- -- -- -- --
143,036 385,270 81,877 100,395 116,067 81,365
105,708 288,033 61,020 74,373 84,304 63,193
22,925 22,925 22,925 22,925 22,925 22,925
10,474 28,754 7,392 10,946 8,525 7,943
1,159 2,803 754 1,047 1,026 854
149,580 387,650 96,494 114,232 114,464 80,570
-------------- -------------- -------------- -------------- -------------- --------------
9,329,164 7,460,461 2,454,744 4,519,112 347,311 256,850
-------------- -------------- -------------- -------------- -------------- --------------
$ 398,819,800 $ 981,565,750 $ 231,413,006 $ 251,348,600 $ 284,543,004 $ 205,554,445
============== ============== ============== ============== ============== ==============
$ 372,089,637 $ 880,320,875 $ 220,757,828 $ 299,161,650 $ 303,992,207 $ 216,075,594
201,500 230,500 96,000 90,000 109,550 100,000
430,585 -- 89,526 94,234 -- 216,547
(18,187,761) (39,209,511) (15,273,662) (64,511,290) (52,100,784) (16,393,079)
44,285,839 140,223,886 25,743,314 16,514,006 32,542,031 5,555,383
-------------- -------------- -------------- -------------- -------------- --------------
$ 398,819,800 $ 981,565,750 $ 231,413,006 $ 251,348,600 $ 284,543,004 $ 205,554,445
============== ============== ============== ============== ============== ==============
$ 19.79 $ 42.58 $ 24.11 $ 27.93 $ 25.97 $ 20.56
============== ============== ============== ============== ============== ==============
20,150,002 23,050,002 9,600,002 9,000,002 10,955,000 10,000,002
============== ============== ============== ============== ============== ==============
$ 354,734,202 $ 842,182,216 $ 205,857,399 $ 234,905,011 $ 252,337,722 $ 200,034,140
============== ============== ============== ============== ============== ==============
$ -- $ -- $ -- $ -- $ -- $ --
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2013
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
-------------------- -------------------- --------------------
INVESTMENT INCOME:
Dividends......................................................... $ 9,867,083 $ 9,543,946 $ 2,017,395
Securities lending income (net of fees)........................... 325,565 -- 101,825
Interest.......................................................... 141 129 33
Foreign tax withholding........................................... (2,098) -- --
-------------- -------------- --------------
Total investment income..................................... 10,190,691 9,544,075 2,119,253
-------------- -------------- --------------
EXPENSES:
Investment advisory fees.......................................... 2,688,286 2,301,501 695,785
Licensing fees.................................................... 537,657 460,300 139,157
Accounting and administration fees................................ 283,549 232,202 72,798
Legal fees........................................................ 98,417 80,416 26,098
Custodian fees.................................................... 67,207 57,538 17,395
Printing fees..................................................... 51,274 31,102 16,781
Trustees' fees and expenses....................................... 26,952 23,046 9,888
Transfer agent fees............................................... 26,883 23,015 6,958
Audit and tax fees................................................ 25,063 24,675 23,544
Registration and filing fees...................................... 22,332 14,865 6,696
Listing fees...................................................... 8,221 8,221 8,221
Other expenses.................................................... 19,482 13,494 4,324
-------------- -------------- --------------
Total expenses.............................................. 3,855,323 3,270,375 1,027,645
Less fees waived and expenses reimbursed by the
investment advisor..................................... (91,723) (48,274) (53,545)
-------------- -------------- --------------
Net expenses................................................ 3,763,600 3,222,101 974,100
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................................... 6,427,091 6,321,974 1,145,153
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................. (6,424,231) (13,538,480) (8,628,209)
In-kind redemptions......................................... 85,349,384 64,533,616 15,870,015
-------------- -------------- --------------
Net realized gain (loss).......................................... 78,925,153 50,995,136 7,241,806
Net change in unrealized appreciation (depreciation) on
investments.................................................... 101,969,704 108,606,932 20,454,988
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 180,894,857 159,602,068 27,696,794
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................................. $ 187,321,948 $ 165,924,042 $ 28,841,947
============== ============== ==============
Page 46 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 6,518,877 $ 7,613,585 $ 3,507,212 $ 4,922,805 $ 2,599,367 $ 6,990,068
-- -- -- -- -- --
83 310 42 65 66 48
(6,934) -- (77,539) (58,819) -- --
-------------- -------------- -------------- -------------- -------------- --------------
6,512,026 7,613,895 3,429,715 4,864,051 2,599,433 6,990,116
-------------- -------------- -------------- -------------- -------------- --------------
1,242,408 3,581,367 728,725 992,410 1,052,938 825,661
248,482 716,273 145,745 198,482 210,587 165,132
127,761 363,489 75,481 101,674 107,823 84,831
44,659 124,191 27,327 40,719 41,737 25,063
31,060 89,534 18,218 24,810 26,323 20,641
16,005 53,950 15,794 27,141 18,215 23,284
14,579 34,034 9,618 13,030 13,061 10,886
12,424 35,814 7,287 9,924 10,529 8,257
23,974 25,605 23,448 23,653 24,013 23,668
9,702 12,602 14,384 10,085 3,271 (2,481)
8,221 8,221 8,221 8,221 8,221 8,221
6,855 22,651 3,700 7,490 8,207 6,347
-------------- -------------- -------------- -------------- -------------- --------------
1,786,130 5,067,731 1,077,948 1,457,639 1,524,925 1,199,510
(46,759) (53,817) (57,733) (68,265) (50,812) (43,585)
-------------- -------------- -------------- -------------- -------------- --------------
1,739,371 5,013,914 1,020,215 1,389,374 1,474,113 1,155,925
-------------- -------------- -------------- -------------- -------------- --------------
4,772,655 2,599,981 2,409,500 3,474,677 1,125,320 5,834,191
-------------- -------------- -------------- -------------- -------------- --------------
(3,841,081) (10,079,413) (6,530,391) (10,142,556) (15,113,035) (9,959,418)
28,700,822 124,461,897 19,529,498 25,703,604 14,689,708 15,135,719
-------------- -------------- -------------- -------------- -------------- --------------
24,859,741 114,382,484 12,999,107 15,561,048 (423,327) 5,176,301
52,303,286 132,932,259 29,434,638 23,721,384 41,633,943 7,148,344
-------------- -------------- -------------- -------------- -------------- --------------
77,163,027 247,314,743 42,433,745 39,282,432 41,210,616 12,324,645
-------------- -------------- -------------- -------------- -------------- --------------
$ 81,935,682 $ 249,914,724 $ 44,843,245 $ 42,757,109 $ 42,335,936 $ 18,158,836
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
CONSUMER DISCRETIONARY CONSUMER STAPLES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG)
---------------------------------- ----------------------------------
For the Year For the Year For the Year For the Year
Ended Ended Ended Ended
7/31/2013 7/31/2012 7/31/2013 7/31/2012
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 6,427,091 $ 4,076,558 $ 6,321,974 $ 5,611,803
Net realized gain (loss).................................. 78,925,153 (24,028,002) 50,995,136 (13,266,044)
Net change in unrealized appreciation (depreciation)...... 101,969,704 (18,367,325) 108,606,932 (10,541,678)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations........................................ 187,321,948 (38,318,769) 165,924,042 (18,195,919)
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (6,565,880) (4,016,850) (8,022,796) (3,136,681)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 574,167,499 427,447,196 557,832,310 482,407,690
Cost of shares redeemed................................... (442,212,984) (585,968,809) (405,714,279) (363,115,605)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... 131,954,515 (158,521,613) 152,118,031 119,292,085
------------- ------------- ------------- -------------
Total increase (decrease) in net assets................... 312,710,583 (200,857,232) 310,019,277 97,959,485
NET ASSETS:
Beginning of period....................................... 424,738,503 625,595,735 347,740,102 249,780,617
------------- ------------- ------------- -------------
End of period............................................. $ 737,449,086 $ 424,738,503 $ 657,759,379 $ 347,740,102
============= ============= ============= =============
Accumulated net investment income (loss)
at end of period....................................... $ -- $ 59,708 $ 839,918 $ 2,540,740
============= ============= ============= =============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 20,700,002 29,300,002 14,800,002 10,200,002
Shares sold............................................... 22,400,000 20,300,000 19,100,000 19,850,000
Shares redeemed........................................... (17,500,000) (28,900,000) (14,100,000) (15,250,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period......................... 25,600,002 20,700,002 19,800,002 14,800,002
============= ============= ============= =============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ENERGY FINANCIALS HEALTH CARE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXN) (FXO) (FXH)
------------------------------------------ ------------------------------------------ ------------------------------------------
For the Year For the Year For the Year For the Year For the Year For the Year
Ended Ended Ended Ended Ended Ended
7/31/2013 7/31/2012 7/31/2013 7/31/2012 7/31/2013 7/31/2012
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 1,145,153 $ 623,357 $ 4,772,655 $ 1,991,493 $ 2,599,981 $ 335,598
7,241,806 (26,941,295) 24,859,741 (2,773,100) 114,382,484 17,372,983
20,454,988 (10,797,382) 52,303,286 (617,081) 132,932,259 19,725,231
-------------- -------------- -------------- -------------- -------------- --------------
28,841,947 (37,115,320) 81,935,682 (1,398,688) 249,914,724 37,433,812
-------------- -------------- -------------- -------------- -------------- --------------
(1,239,920) (599,560) (4,650,925) (1,798,590) (2,637,525) (309,400)
-------------- -------------- -------------- -------------- -------------- --------------
162,435,001 90,742,748 320,449,273 292,002,782 852,551,869 791,273,324
(121,966,947) (98,573,157) (207,283,291) (180,815,948) (650,711,458) (537,084,946)
-------------- -------------- -------------- -------------- -------------- --------------
40,468,054 (7,830,409) 113,165,982 111,186,834 201,840,411 254,188,378
-------------- -------------- -------------- -------------- -------------- --------------
68,070,081 (45,545,289) 190,450,739 107,989,556 449,117,610 291,312,790
123,065,099 168,610,388 208,369,061 100,379,505 532,448,140 241,135,350
-------------- -------------- -------------- -------------- -------------- --------------
$ 191,135,180 $ 123,065,099 $ 398,819,800 $ 208,369,061 $ 981,565,750 $ 532,448,140
============== ============== ============== ============== ============== ==============
$ -- $ -- $ 430,585 $ 316,338 $ -- $ 26,198
============== ============== ============== ============== ============== ==============
6,650,002 7,100,002 14,400,002 7,150,002 17,750,002 8,450,002
7,750,000 4,850,000 18,000,000 19,750,000 22,850,000 27,850,000
(5,950,000) (5,300,000) (12,250,000) (12,500,000) (17,550,000) (18,550,000)
-------------- -------------- -------------- -------------- -------------- --------------
8,450,002 6,650,002 20,150,002 14,400,002 23,050,002 17,750,002
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
INDUSTRIALS/PRODUCER DURABLES MATERIALS
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXR) (FXZ)
---------------------------------- ----------------------------------
For the Year For the Year For the Year For the Year
Ended Ended Ended Ended
7/31/2013 7/31/2012 7/31/2013 7/31/2012
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 2,409,500 $ 532,354$ 3,474,677 $ 2,274,712
Net realized gain (loss).................................. 12,999,107 3,799,553 15,561,048 (51,461,959)
Net change in unrealized appreciation (depreciation)...... 29,434,638 (3,722,400) 23,721,384 (30,518,299)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations........................................ 44,843,245 609,507 42,757,109 (79,705,546)
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (2,354,116) (551,615) (3,702,141) (2,166,181)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 301,850,431 192,935,848 319,209,075 155,484,105
Cost of shares redeemed................................... (216,802,331) (155,030,583) (251,604,817) (517,472,100)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... 85,048,100 37,905,265 67,604,258 (361,987,995)
------------- ------------- ------------- -------------
Total increase (decrease) in net assets................... 127,537,229 37,963,157 106,659,226 (443,859,722)
NET ASSETS:
Beginning of period....................................... 103,875,777 65,912,620 144,689,374 588,549,096
------------- ------------- ------------- -------------
End of period............................................. $ 231,413,006 $ 103,875,777 $ 251,348,600 $ 144,689,374
============= ============= ============= =============
Accumulated net investment income (loss)
at end of period....................................... $ 89,526 $ -- $ 94,234 $ 160,246
============= ============= ============= =============
CHANGES IN SHARES OUSTANDING:
Shares outstanding, beginning of period................... 5,850,002 3,650,002 6,350,002 24,300,002
Shares sold............................................... 14,450,000 10,400,000 12,500,000 6,550,000
Shares redeemed........................................... (10,700,000) (8,200,000) (9,850,000) (24,500,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period......................... 9,600,002 5,850,002 9,000,002 6,350,002
============= ============= ============= =============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXL) (FXU)
----------------------------------------- -----------------------------------------
For the Year For the Year For the Year For the Year
Ended Ended Ended Ended
7/31/2013 7/31/2012 7/31/2013 7/31/2012
-------------------- -------------------- -------------------- -------------------
$ 1,125,320 $ (117,217) $ 5,834,191 $ 5,759,884
(423,327) (20,486,979) 5,176,301 6,128,537
41,633,943 3,046,592 7,148,344 (1,314,630)
-------------- -------------- -------------- --------------
42,335,936 (17,557,604) 18,158,836 10,573,791
-------------- -------------- -------------- --------------
(1,084,523) (124,254) (5,802,666) (5,735,711)
-------------- -------------- -------------- --------------
182,140,341 227,697,802 292,018,555 456,124,401
(154,908,931) (191,484,941) (246,478,441) (400,670,631)
-------------- -------------- -------------- --------------
27,231,410 36,212,861 45,540,114 55,453,770
-------------- -------------- -------------- --------------
68,482,823 18,531,003 57,896,284 60,291,850
216,060,181 197,529,178 147,658,161 87,366,311
-------------- -------------- -------------- --------------
$ 284,543,004 $ 216,060,181 $ 205,554,445 $ 147,658,161
============== ============== ============== ==============
$ -- $ (96,141) $ 216,547 $ 185,022
============== ============== ============== ==============
10,305,000 9,055,000 8,050,002 4,950,002
7,700,000 10,450,000 15,150,000 25,950,000
(7,050,000) (9,200,000) (13,200,000) (22,850,000)
-------------- -------------- -------------- --------------
10,955,000 10,305,000 10,000,002 8,050,002
============== ============== ============== ==============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND -- FXD
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 20.52 $ 21.35 $ 15.91 $ 12.77 $ 14.19
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.29 0.18 0.08 0.06 0.10
Net realized and unrealized gain (loss) 8.29 (0.84) 5.44 3.14 (1.42)
-------- -------- -------- -------- --------
Total from investment operations 8.58 (0.66) 5.52 3.20 (1.32)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.29) (0.17) (0.08) (0.06) (0.10)
Return of capital -- -- -- (0.00) (c) (0.00) (c)
-------- -------- -------- -------- --------
Total distributions (0.29) (0.17) (0.08) (0.06) (0.10)
-------- -------- -------- -------- --------
Net asset value, end of period $ 28.81 $ 20.52 $ 21.35 $ 15.91 $ 12.77
======== ======== ======== ======== ========
TOTAL RETURN (a) 42.17% (3.06)% 34.75% 25.08% (9.12)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $737,449 $424,739 $625,596 $136,855 $ 6,386
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.72% 0.72% 0.73% 0.86% 1.59%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.20% 0.84% 0.44% 0.47% 1.00%
Portfolio turnover rate (b) 99% 98% 90% 114% 133%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND -- FXG
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 23.50 $ 24.49 $ 18.82 $ 16.39 $ 17.96
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.35 0.42 0.17 0.18 0.25
Net realized and unrealized gain (loss) 9.85 (1.16) 5.68 2.43 (1.57)
-------- -------- -------- -------- --------
Total from investment operations 10.20 (0.74) 5.85 2.61 (1.32)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.48) (0.25) (0.18) (0.18) (0.25)
-------- -------- -------- -------- --------
Net asset value, end of period $ 33.22 $ 23.50 $ 24.49 $ 18.82 $ 16.39
======== ======== ======== ======== ========
TOTAL RETURN (a) 43.89% (3.03)% 31.21% 15.97% (7.14)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $657,759 $347,740 $249,781 $ 25,406 $ 9,017
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.71% 0.74% 0.79% 0.98% 1.30%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.37% 1.97% 0.80% 1.18% 1.99%
Portfolio turnover rate (b) 107% 126% 108% 95% 145%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(c) Amount represents less than $0.01 per share.
Page 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ENERGY ALPHADEX(R) FUND -- FXN
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 18.51 $ 23.75 $ 16.05 $ 13.62 $ 23.85
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.23 0.14 0.10 0.06 0.03
Net realized and unrealized gain (loss) 4.12 (5.25) 7.71 2.42 (10.23)
-------- -------- -------- -------- --------
Total from investment operations 4.35 (5.11) 7.81 2.48 (10.20)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.24) (0.13) (0.11) (0.05) (0.03)
Return of capital -- -- -- -- (0.00) (c)
-------- -------- -------- -------- --------
Total distributions (0.24) (0.13) (0.11) (0.05) (0.03)
-------- -------- -------- -------- --------
Net asset value, end of period $ 22.62 $ 18.51 $ 23.75 $ 16.05 $ 13.62
======== ======== ======== ======== ========
TOTAL RETURN (a) 23.62% (21.50)% 48.70% 18.26% (42.74)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $191,135 $123,065 $168,610 $ 44,149 $ 9,531
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.74% 0.76% 0.75% 0.89% 1.35%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.82% 0.63% 0.42% 0.36% 0.24%
Portfolio turnover rate (b) 93% 90% 101% 103% 116%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND -- FXO
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 14.47 $ 14.04 $ 13.02 $ 10.37 $ 12.41
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.32 0.21 0.30 0.11 0.18
Net realized and unrealized gain (loss) 5.32 0.42 1.05 2.65 (2.05)
-------- -------- -------- -------- --------
Total from investment operations 5.64 0.63 1.35 2.76 (1.87)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.32) (0.20) (0.33) (0.11) (0.17)
-------- -------- -------- -------- --------
Net asset value, end of period $ 19.79 $ 14.47 $ 14.04 $ 13.02 $ 10.37
======== ======== ======== ======== ========
TOTAL RETURN (a) 39.45% 4.57% 10.25% 26.68% (14.94)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $398,820 $208,369 $100,380 $126,257 $ 8,295
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.72% 0.74% 0.74% 0.87% 1.50%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.92% 1.61% 1.68% 1.43% 2.49%
Portfolio turnover rate (b) 65% 93% 62% 89% 140%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(c) Amount represents less than $0.01 per share.
See Notes to Financial Statements Page 53
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND -- FXH
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 30.00 $ 28.54 $ 21.56 $ 17.66 $ 18.93
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.13 0.02 0.01 (0.03) (0.02)
Net realized and unrealized gain (loss) 12.58 1.46 7.03 3.93 (1.25)
-------- -------- -------- -------- --------
Total from investment operations 12.71 1.48 7.04 3.90 (1.27)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.02) (0.06) -- --
-------- -------- -------- -------- --------
Net asset value, end of period $ 42.58 $ 30.00 $ 28.54 $ 21.56 $ 17.66
======== ======== ======== ======== ========
TOTAL RETURN (a) 42.49% 5.17% 32.67% 22.08% (6.71)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $981,566 $532,448 $241,135 $ 47,439 $ 15,015
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.71% 0.73% 0.75% 0.87% 1.15%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.36% 0.07% 0.01% (0.19)% (0.17)%
Portfolio turnover rate (b) 96% 109% 116% 87% 138%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND -- FXR
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 17.76 $ 18.06 $ 15.42 $ 12.03 $ 17.54
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.32 0.16 0.08 0.11 0.10
Net realized and unrealized gain (loss) 6.34 (0.29) 2.65 3.39 (5.52)
-------- -------- -------- -------- --------
Total from investment operations 6.66 (0.13) 2.73 3.50 (5.42)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.31) (0.17) (0.09) (0.11) (0.09)
-------- -------- -------- -------- --------
Net asset value, end of period $ 24.11 $ 17.76 $ 18.06 $ 15.42 $ 12.03
======== ======== ======== ======== ========
TOTAL RETURN (a) 37.92% (0.72)% 17.68% 29.16% (30.83)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $231,413 $103,876 $ 65,913 $ 30,845 $ 5,412
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.74% 0.78% 0.79% 0.99% 1.63%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.65% 0.77% 0.47% 0.95% 0.99%
Portfolio turnover rate (b) 110% 97% 102% 95% 153%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MATERIALS ALPHADEX(R) FUND -- FXZ
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 22.79 $ 24.22 $ 19.98 $ 15.26 $ 21.90
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.57 0.29 0.22 0.25 0.20
Net realized and unrealized gain (loss) 5.17 (1.45) 4.40 4.72 (6.64)
-------- -------- -------- -------- --------
Total from investment operations 5.74 (1.16) 4.62 4.97 (6.44)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.60) (0.27) (0.38) (0.25) (0.20)
-------- -------- -------- -------- --------
Net asset value, end of period $ 27.93 $ 22.79 $ 24.22 $ 19.98 $ 15.26
======== ======== ======== ======== ========
TOTAL RETURN (a) 25.39% (4.78)% 23.12% 32.72% (29.20)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $251,349 $144,689 $588,549 $148,839 $ 9,922
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.73% 0.73% 0.73% 0.84% 1.40%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.75% 1.14% 0.77% 1.15% 1.46%
Portfolio turnover rate (b) 82% 92% 116% 90% 153%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND -- FXL
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 20.97 $ 21.81 $ 18.12 $ 14.47 $ 17.63
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.13 (0.01) (0.02) (0.04) (0.02)
Net realized and unrealized gain (loss) 5.00 (0.82) 3.72 3.69 (3.14)
-------- -------- -------- -------- --------
Total from investment operations 5.13 (0.83) 3.70 3.65 (3.16)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.01) (0.01) -- --
-------- -------- -------- -------- --------
Net asset value, end of period $ 25.97 $ 20.97 $ 21.81 $ 18.12 $ 14.47
======== ======== ======== ======== ========
TOTAL RETURN (a) 24.54% (3.80)% 20.40% 25.22% (17.92)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $284,543 $216,060 $197,529 $ 59,875 $ 12,374
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.72% 0.74% 0.74% 0.90% 1.26%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.53% (0.06)% (0.14)% (0.40)% (0.17)%
Portfolio turnover rate (b) 82% 101% 109% 112% 135%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 55
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND -- FXU
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 18.34 $ 17.65 $ 15.42 $ 13.66 $ 16.19
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.64 0.45 0.39 0.38 0.44
Net realized and unrealized gain (loss) 2.22 0.70 2.22 1.76 (2.50)
-------- -------- -------- -------- --------
Total from investment operations 2.86 1.15 2.61 2.14 (2.06)
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.64) (0.46) (0.38) (0.38) (0.47)
-------- -------- -------- -------- --------
Net asset value, end of period $ 20.56 $ 18.34 $ 17.65 $ 15.42 $ 13.66
======== ======== ======== ======== ========
TOTAL RETURN (a) 15.91% 6.65% 17.03% 15.80% (12.53)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $205,554 $147,658 $ 87,366 $ 30,837 $ 13,660
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.73% 0.72% 0.79% 0.92% 1.15%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 3.53% 2.83% 2.77% 2.97% 4.03%
Portfolio turnover rate (b) 74% 72% 66% 60% 128%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 56 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds considered
either a Sector Fund or a Style Fund, each type having a separate report. This
report covers the nine Sector Funds listed below. The shares of each fund are
listed and traded on the NYSE Arca, Inc.
First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD")
First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG")
First Trust Energy AlphaDEX(R) Fund - (ticker "FXN")
First Trust Financials AlphaDEX(R) Fund - (ticker "FXO")
First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker
"FXR")
First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ")
First Trust Technology AlphaDEX(R) Fund - (ticker "FXL")
First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Creation Units are issued and redeemed principally in-kind
for securities included in a Fund's relevant index. Except when aggregated in
Creation Units, shares are not redeemable securities of a Fund. 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:
FUND INDEX
First Trust Consumer Discretionary AlphaDEX(R) Fund Index StrataQuant(R) Consumer Discretionary (1)
First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1)
First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1)
First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1)
First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1)
First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1)
First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1)
First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1)
(1) This index is developed, maintained and sponsored by NYSE Euronext or its
affiliates ("NYSE Euronext"), and licensed to First Trust Portfolios L.P.
("FTP"), the distributor of the Trust, by Archipelago Holdings, Inc.
("Archipelago"), an affiliate of NYSE Euronext. Prior to the acquisition
of the American Stock Exchange LLC (the "AMEX") by NYSE Euronext, the
Index was developed, maintained and sponsored by AMEX.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of the financial statements. The
preparation of the financial statements in accordance with accounting principles
generally accepted in the United States of America ("U.S. GAAP") requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. The NAV is calculated 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 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 in
accordance with valuation procedures adopted by the Trust's Board of Trustees
and in accordance with the 1940 Act. Each Fund's securities will be valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding the NASDAQ(R) Stock Market, LLC ("NASDAQ") and
the London Stock Exchange Alternative Investment Market ("AIM")) are
valued at the last sale price on the exchange on which they are
principally traded or, for NASDAQ and AIM securities, the official closing
price. Securities traded on more than one securities exchange are valued
at the last sale price or official closing price, as applicable, at the
close of the securities exchange representing the principal market for
such securities.
Page 57
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
Securities traded in an over-the-counter market are valued at the closing
bid prices.
Short-term investments that mature in less than 60 days when purchased are
valued at amortized cost.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Board of Trustees or its delegate
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 pricing
service is unable to provide a market price; securities whose trading has been
formally suspended; a security whose market 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 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. The use of fair value prices by a Fund
generally results in prices used by the Fund that may differ from current market
quotations or official closing prices on the applicable exchange. A variety of
factors may be considered in determining the fair value of such securities,
including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of July 31, 2013, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
Page 58
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
C. 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 agreement, the securities lending agent will
generally bear the risk that a borrower may default on its obligation to return
loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds'
securities lending agent and is responsible for executing the lending of the
portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities in
the form of fees or interest on the investment of any cash received as
collateral. The dividend and interest earned on the securities loaned is
accounted for in the same manner as other dividend and interest income. At July
31, 2013, only FXD and FXN have securities in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, the Funds sustain losses as a result of a borrower's
default, BBH indemnifies the Funds by purchasing replacement securities at its
expense, or paying the Funds an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
D. DIVIDENDS AND DISTRIBUTION TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from income and capital gains are determined in accordance with
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 year ended July
31, 2013 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 6,565,880 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 8,022,796 -- --
First Trust Energy AlphaDEX(R) Fund 1,239,920 -- --
First Trust Financials AlphaDEX(R) Fund 4,650,925 -- --
First Trust Health Care AlphaDEX(R) Fund 2,637,525 -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 2,354,116 -- --
First Trust Materials AlphaDEX(R) Fund 3,702,141 -- --
First Trust Technology AlphaDEX(R) Fund 1,084,523 -- --
First Trust Utilities AlphaDEX(R) Fund 5,802,666 -- --
Page 59
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
The tax character of distributions paid by each Fund during the year ended July
31, 2012 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 4,016,850 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 3,136,681 -- --
First Trust Energy AlphaDEX(R) Fund 599,560 -- --
First Trust Financials AlphaDEX(R) Fund 1,798,590 -- --
First Trust Health Care AlphaDEX(R) Fund 309,400 -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 551,615 -- --
First Trust Materials AlphaDEX(R) Fund 2,166,181 -- --
First Trust Technology AlphaDEX(R) Fund 124,254 -- --
First Trust Utilities AlphaDEX(R) Fund 5,735,711 -- --
As of July 31, 2013, the components of distributable earnings on a tax basis for
each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ----------------- ------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (89,655,681) $ 104,587,015
First Trust Consumer Staples AlphaDEX(R) Fund 839,918 (34,246,671) 91,795,977
First Trust Energy AlphaDEX(R) Fund -- (35,455,176) 10,719,552
First Trust Financials AlphaDEX(R) Fund 430,585 (15,706,274) 41,804,352
First Trust Health Care AlphaDEX(R) Fund -- (30,909,073) 131,923,448
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 89,526 (13,674,506) 24,144,158
First Trust Materials AlphaDEX(R) Fund 94,234 (61,916,248) 13,918,964
First Trust Technology AlphaDEX(R) Fund -- (48,178,133) 28,619,380
First Trust Utilities AlphaDEX(R) Fund 216,547 (13,884,025) 3,046,329
E. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of the Fund's taxable income exceeds
the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2010, 2011,
2012 and 2013 remain open to federal and state audit. As of July 31, 2013,
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 provisions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses arising in taxable years after December 22, 2010, may be
carried forward indefinitely, and their character is retained as short-term
and/or long-term losses. Previously, net capital losses were carried forward for
up to eight years and treated as short-term losses. As a transition rule, the
Act requires that post-enactment net capital losses be used before pre-enactment
net capital losses. At July 31, 2013, the Funds had pre-enactment and
post-enactment net capital losses for Federal income tax purposes as shown in
the following table. 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 Fund shareholders. The Funds are 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.
Page 60
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
Capital Loss Capital Loss Capital Loss Capital Loss Capital Loss Post Total
Available Available Available Available Available Enactment - Capital
through through through through through No Loss
7/31/2015 7/31/2016 7/31/2017 7/31/2018 7/31/2019 Expiration Available
------------- ------------- ------------- ------------- ------------- ------------- -------------
First Trust Consumer
Discretionary
AlphaDEX(R) Fund $ 2,058 $ 64,889 $ 783,283 $ 1,138,594 $ 9,617,858 $78,048,999 $89,655,681
First Trust Consumer Staples
AlphaDEX(R) Fund -- 63,580 422,511 1,058,131 -- 32,702,499 34,246,671
First Trust Energy
AlphaDEX(R) Fund -- 73,845 2,326,320 2,084,336 3,349,453 27,621,222 35,455,176
First Trust Financials
AlphaDEX(R) Fund 2,757 13,300 671,958 1,630,337 3,464,108 9,923,814 15,706,274
First Trust Health Care
AlphaDEX(R) Fund 18,355 28,397 774,570 2,582,977 1,764,162 25,740,612 30,909,073
First Trust Industrials/
Producer Durables
AlphaDEX(R) Fund 23,631 183,210 798,398 1,325,584 1,133,736 10,209,947 13,674,506
First Trust Materials
AlphaDEX(R) Fund 4,424 13,424 1,265,429 886,622 7,397,299 52,349,050 61,916,248
First Trust Technology
AlphaDEX(R) Fund 12,398 22,456 1,608,491 2,508,150 2,516,610 41,510,028 48,178,133
First Trust Utilities
AlphaDEX(R) Fund -- -- 557,777 1,956,482 -- 11,369,766 13,884,025
In order to present paid-in capital and accumulated net realized gain (loss) on
investments on the Statements of Assets and Liabilities that more closely
represent their tax character, certain adjustments have been made to paid-in
capital, accumulated net investment income (loss) and accumulated net realized
gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended July 31, 2013, the adjustments for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
---------------- ---------------- ----------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 79,081 $ (81,593,755) $ 81,514,674
First Trust Consumer Staples AlphaDEX(R) Fund -- (62,475,537) 62,475,537
First Trust Energy AlphaDEX(R) Fund 94,767 (13,218,078) 13,123,311
First Trust Financials AlphaDEX(R) Fund (7,483) (25,586,311) 25,593,794
First Trust Health Care AlphaDEX(R) Fund 11,346 (117,394,762) 117,383,416
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 34,142 (17,578,585) 17,544,443
First Trust Materials AlphaDEX(R) Fund 161,452 (22,882,686) 22,721,234
First Trust Technology AlphaDEX(R) Fund 55,344 (12,965,984) 12,910,640
First Trust Utilities AlphaDEX(R) Fund -- (11,858,919) 11,858,919
F. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
FTP has entered into licensing agreements with Archipelago for each of the
Sector Funds. The license agreements allow for the use by FTP of certain
trademarks and trade names of Archipelago and certain trademarks and trade names
of NYSE Euronext. The Funds and First Trust Advisors L.P. ("First Trust" or the
"Advisor") are sub-licensees to the license agreement. The Funds are required to
pay licensing fees, which are shown on the Statements of Operations.
G. ACCOUNTING PRONOUNCEMENTS
In December 2011, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). This disclosure requirement is 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. ASU
Page 61
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
2011-11 requires entities to disclose both gross and net information about both
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. In addition, in January 2013, FASB issued Accounting
Standards Update No. 2013-1 "Clarifying the Scope of Offsetting Assets and
Liabilities" ("ASU 2013-1"), specifying which transactions are subject to
offsetting disclosures. The scope of the disclosure requirements is limited to
derivative instruments, repurchase agreements and reverse repurchase agreements,
and securities borrowing and securities lending transactions. ASU 2011-11 and
ASU 2013-1 are effective for financial statements with fiscal years beginning on
or after January 1, 2013, and interim periods within those fiscal years.
Management is currently evaluating the impact of the updated standards on the
Funds' financial statements, if any.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is paid an annual management fee of 0.50% of
each Fund's average daily net assets. The Trust and First Trust have entered
into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery
Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund
expenses to the extent that the operating expenses of each Fund (excluding
interest expense, brokerage commissions and other trading expenses, taxes and
extraordinary expenses) exceed 0.70% of average daily net assets per year (the
"Expense Cap"). The Expense Cap will be in effect until at least November 30,
2014.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding an expense ratio equal to the Expense Cap in
place at the time the expenses were reimbursed or fees waived by First Trust.
These amounts would be included in "Expenses previously waived or reimbursed" on
the Statements of Operations.
The advisory fee waivers and expense reimbursements for the year ended July 31,
2013 and the expenses borne by the Advisor subject to recovery from each Fund
for the periods indicated were as follows:
Expenses Borne by Advisor Subject to Recovery
------------------------------------------------------
Advisory Expense Year Year Year
Fee Reim- Ended Ended Ended
Waivers bursements 7/31/2011 7/31/2012 7/31/2013 Total
---------- ---------- ------------- ------------- ------------- ---------
First Trust Consumer Discretionary
AlphaDEX(R) Fund $ 91,723 $ -- $ 109,492 $ 106,586 $ 91,723 $ 307,801
First Trust Consumer Staples AlphaDEX(R) Fund 48,274 -- 59,013 105,132 48,274 212,419
First Trust Energy AlphaDEX(R) Fund 53,545 -- 52,991 56,968 53,545 163,504
First Trust Financials AlphaDEX(R) Fund 46,759 -- 90,841 52,006 46,759 189,606
First Trust Health Care AlphaDEX(R) Fund 53,817 -- 66,543 124,634 53,817 244,994
First Trust Industrials/Producer Durables
AlphaDEX(R) Fund 57,733 -- 45,159 54,297 57,733 157,189
First Trust Materials AlphaDEX(R) Fund 68,265 -- 114,169 67,709 68,265 250,143
First Trust Technology AlphaDEX(R) Fund 50,812 -- 62,099 71,419 50,812 184,330
First Trust Utilities AlphaDEX(R)- Fund 43,585 -- 46,722 50,018 43,585 140,325
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the servicing agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
the Trust. As custodian, BNYM is responsible for custody of the Trust's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of the Trust's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for the Trust. BNYM is a
subsidiary of the Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer of $125,000 per year and an annual per fund fee of $4,000 for each
closed-end fund or other actively managed fund and $1,000 for each index fund in
the First Trust Fund Complex. The fixed annual retainer is allocated pro rata
among each fund in the First Trust Fund Complex based on net assets.
Additionally, the Lead Independent Trustee is paid $15,000 annually, the
Chairman of the Audit Committee is paid $10,000 annually, and each of the
Chairmen of the Nominating and Governance Committee and the Valuation Committee
is paid $5,000 annually to serve in such capacities, with such compensation
allocated pro rata among each fund in the First Trust Fund Complex based on net
Page 62
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
assets. Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and each Committee
Chairman will serve two-year terms until December 31, 2013, before rotating to
serve as Chairman of another Committee or as Lead Independent Trustee. After
December 31, 2013, the Lead Independent Trustee and Committee Chairmen will
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 year ended July 31, 2013, the cost of purchases and proceeds from sales
of investment securities for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 530,249,684 $ 530,829,706
First Trust Consumer Staples AlphaDEX(R) Fund 491,446,870 493,474,118
First Trust Energy AlphaDEX(R) Fund 130,911,816 131,235,401
First Trust Financials AlphaDEX(R) Fund 161,435,332 160,380,373
First Trust Health Care AlphaDEX(R) Fund 694,791,071 695,337,577
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 156,164,510 155,812,192
First Trust Materials AlphaDEX(R) Fund 167,416,694 167,122,713
First Trust Technology AlphaDEX(R) Fund 176,508,837 177,376,957
First Trust Utilities AlphaDEX(R) Fund 123,198,719 123,466,369
For the year ended July 31, 2013, the cost of in-kind purchases and proceeds
from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 573,781,512 $ 441,453,576
First Trust Consumer Staples AlphaDEX(R) Fund 556,850,740 404,594,458
First Trust Energy AlphaDEX(R) Fund 162,448,480 121,771,018
First Trust Financials AlphaDEX(R) Fund 319,697,085 207,075,339
First Trust Health Care AlphaDEX(R) Fund 852,213,921 649,916,067
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 301,456,584 216,325,968
First Trust Materials AlphaDEX(R) Fund 318,764,178 251,311,827
First Trust Technology AlphaDEX(R) Fund 182,184,629 153,523,076
First Trust Utilities AlphaDEX(R) Fund 291,756,483 245,856,569
5. CREATION, REDEMPTION & TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares. Such transactions are generally permitted on an
in-kind basis, with a balancing cash component to equate the transaction to the
daily NAV per share of each Fund on the transaction date times the number of
Shares in a Creation Unit. Purchasers of Creation Units must pay to BNYM, as
transfer agent, a standard creation transaction fee (the "Creation Transaction
Fee"), which is based on the number of different securities in a Creation Unit
of each Fund according to the fee schedule set forth below:
Number of Securities Creation
in a Creation Unit Transaction Fee
------------------------- -----------------
1-100 $ 500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
The Creation Transaction Fee is applicable to each purchase transaction
regardless of the number of Creation Units purchased in the transaction. An
additional variable fee of up to three times the Creation Transaction Fee may be
charged to approximate additional expenses incurred by a Fund with respect to
transactions effected outside of the clearing process (i.e., through a DTC
Participant) or to the extent that cash is used in lieu of securities to
purchase Creation Units. The price for each Creation Unit will equal the daily
NAV per share of a Fund on the transaction date times the number of shares in a
Creation Unit plus the fees described above and, if applicable, any transfer
taxes.
Page 63
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013
Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard
redemption transaction fee (the "Redemption Transaction Fee"), which is based on
the number of different securities in a Creation Unit of each Fund according to
the fee schedule set forth below:
Number of Securities Redemption
in a Creation Unit Transaction Fee
------------------------- -----------------
1-100 $ 500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
The Redemption Transaction Fee is applicable to each redemption transaction
regardless of the number of Creation Units redeemed in the transaction. An
additional variable fee of up to three times the Redemption Transaction Fee may
be charged to approximate additional expenses incurred by a Fund with respect to
redemptions effected outside of the clearing process or to the extent that
redemptions are for cash. Each Fund reserves the right to effect redemptions in
cash. A shareholder may request cash redemption in lieu of securities; however,
a Fund may, in its discretion, reject any such request.
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, the Funds will not pay 12b-1 fees any time before November 30,
2014.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
We have audited the accompanying statements of assets and liabilities of First
Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples
AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials
AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust
Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials
AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust
Utilities AlphaDEX(R) Fund, each a series of the First Trust Exchange-Traded
AlphaDEX(R) Fund (the "Fund"), including the portfolios of investments, as of
July 31, 2013, and the related statements of operations for the year then ended,
the statements of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the five years in the
period then ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
The Fund is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of July 31, 2013 by correspondence with the Fund's
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the funds listed above included in the First Trust Exchange-Traded
AlphaDEX(R) Fund as of July 31, 2013, 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 the each of the five
years in the period then ended, in conformity with accounting principles
generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 20, 2013
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013 (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 12-months ended June 30 is available (1)
without charge, upon request, by calling (800) 988-5891; (2) on the Trust's
website located at http://www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Trust files its complete schedule of each Fund's portfolio holdings with the
Securities and Exchange Commission ("SEC") for the first and third quarters of
each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling
(800) 988-5891; (2) on the Trust's website located at
http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and
(4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.
FEDERAL TAX INFORMATION
For the taxable year ended July 31, 2013, the following percentages of income
dividend paid by the Funds qualified for the dividends received deduction
available to corporations:
Dividends Received Deduction
--------------------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 85.21%
First Trust Health Care AlphaDEX(R) Fund 100.00%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 98.88%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2013, the following percentages of income
dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income
--------------------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 87.99%
First Trust Health Care AlphaDEX(R) Fund 100.00%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013 (UNAUDITED)
ADVISORY AGREEMENT
Board Considerations Regarding Approval of Investment Management Agreement
The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the
"Trust"), including the Independent Trustees, unanimously approved the
continuation of the Investment Management Agreement (the "Agreement") with First
Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of
the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
The Board approved the continuation of the Agreement for a one-year period
ending March 31, 2014, for each Fund at a meeting held on March 10-11, 2013. The
Board of Trustees determined for each Fund that the continuation of the
Agreement is in the best interests of the Fund in light of the extent and
quality of services provided and such other matters as the Board considered to
be relevant in the exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. To assist the Board in its evaluation of the Agreement for
each Fund, the Independent Trustees received a report in advance of the Board
meeting responding to a request for information from counsel to the Independent
Trustees. The report, among other things, outlined the services provided by the
Advisor to each Fund (including the relevant personnel responsible for these
services and their experience); the advisory fee for each Fund as compared to
fees charged to a peer group of funds (all of which were exchange-traded funds
or "ETFs") compiled by Lipper Inc. ("Lipper"), an independent source (the
"Lipper Expense Group"), and as compared to fees charged to other clients of the
Advisor with similar investment objectives and to other ETFs managed by the
Advisor; expenses of each Fund compared to expense ratios of the funds in the
Fund's Lipper Expense Group; the nature of expenses incurred in providing
services to each Fund and the potential for economies of scale, if any;
financial data on the Advisor; fall-out benefits to the Advisor and its
affiliate, First Trust Portfolios L.P.; and a summary of the Advisor's
compliance program. Following receipt of this information, counsel to the
Independent Trustees posed follow-up questions to the Advisor, and the
Independent Trustees and their counsel then met separately to discuss the
information provided by the Advisor, including the supplemental responses. The
Board applied its business judgment to determine whether the arrangement between
the Trust and the Advisor is a reasonable business arrangement from each Fund's
perspective as well as from the perspective of shareholders. The Board
considered that shareholders chose to invest or remain invested in a Fund
knowing that the Advisor manages the Fund and knowing the Fund's investment
advisory fee.
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of services provided under the Agreement. The Board
considered that the Advisor is responsible for the overall management and
administration of the Trust and each Fund and reviewed all the services provided
by the Advisor to the Funds. The Board also considered the background and
experience of the persons responsible for the day-to-day management of the
Funds. The Board considered the compliance program that had been developed by
the Advisor and the procedures in place to monitor each Fund's investment
program. In light of the information presented and the considerations made, the
Board concluded that the nature, extent and quality of services provided to the
Trust and each Fund by the Advisor under the Agreement have been and are
expected to remain satisfactory and that the Advisor has managed each Fund
consistent with its investment objective and policies.
The Board considered the advisory fees payable by each Fund under the Agreement.
The Board considered that the Advisor agreed to extend the current expense cap
for each Fund through November 30, 2014. For each Fund, the Board noted that
expenses borne or fees waived by the Advisor are to be subject to reimbursement
by the Fund for up to three years from the date the fee was waived or expense
was incurred, but no reimbursement payment would be made by the Fund if it would
result in the Fund exceeding an expense ratio equal to the expense cap in place
at the time the expenses were borne or fees waived by the Advisor. The Board
considered the advisory fees charged by the Advisor to other First Trust ETFs
not paying a unitary fee and other advisory clients with investment objectives
and policies similar to the Funds', noting that those fees generally were
similar to the advisory fees charged to the Funds. The Board also reviewed data
prepared by Lipper showing the advisory fees and expense ratios of each Fund as
compared to each Fund's Lipper Expense Group. Because each Fund's Lipper Expense
Group included peer funds that pay a unitary fee, the Board determined that
expense ratios were the more relevant data point. Based on the information
provided, the Board noted that the total
Page 67
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013 (UNAUDITED)
(net) expense ratio of each Fund was above the median total expense ratio of the
peer funds in each Fund's respective Lipper Expense Group. Independent Trustees
discussed with representatives of the Advisor the Advisor's philosophy regarding
expense ratios of ETFs it manages, and the limitations in creating a relevant
peer group for each Fund, including that (i) some of the Funds are unique in
their composition, which makes assembling peers with similar strategies and
asset mix difficult and (ii) differences in the net assets of the peer funds as
compared to the Funds caused the Funds' fixed expenses to differ on a percentage
basis as compared to the peer funds and in some instances caused otherwise
relevant peer funds to be omitted from a Fund's peer group. The Board took these
limitations into account in considering the Lipper data.
The Board considered performance information for each Fund, noting that the
performance information included each Fund's quarterly performance report, which
is part of the process that the Board has established for monitoring each Fund's
performance on an ongoing basis. The Board determined that this process
continues to be effective for reviewing each Fund's performance. The Board also
considered information regarding the performance of each Fund's underlying
index, the correlation between each Fund's performance and that of its
underlying index, the Fund's tracking error and the Fund's excess return as
compared to a benchmark index. Based on the information provided and its ongoing
review of performance, the Board concluded that each Fund was correlated to its
underlying index and that the tracking error for each Fund was consistent with
the target set forth in the Fund's prospectus. In addition, the Board reviewed
data prepared by Lipper comparing each Fund's performance to a peer group
selected by Lipper (the "Lipper Performance Group") and to a broad-based
benchmark. In reviewing each Fund's performance as compared to the performance
of the Fund's Lipper Performance Group, the Board took into account the
limitations described above with respect to creating relevant peer groups for
the Funds.
On the basis of all the information provided on the fees, expenses and
performance of each Fund, the Board concluded that the advisory fees for each
Fund were reasonable and appropriate in light of the nature, extent and quality
of services provided by the Advisor to each Fund under the Agreement.
The Board noted that the Advisor has continued to invest in personnel and
infrastructure and considered whether fee levels reflect any economies of scale
for the benefit of shareholders. The Board considered the Advisor's statement
that no material economies of scale exist at current Fund asset levels. The
Board also considered the costs of the services provided and profits realized by
the Advisor from serving as investment advisor to each Fund for the twelve
months ended December 31, 2012, as set forth in the materials provided to the
Board. Based on the information provided, the Board concluded that the pre-tax
profits estimated to have been realized by the Advisor in connection with the
management of each Fund for calendar year 2012 were not unreasonable. The Board
considered that the Advisor had identified as a fall-out benefit to the Advisor
and First Trust Portfolios L.P. their exposure to investors and brokers who, in
the absence of the Funds, may have had no dealings with the Advisor, and noted
that the Advisor does not utilize soft dollars in connection with its management
of the Funds' portfolios.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of the Trust and each Fund. No single
factor was determinative in the Board's analysis.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT
OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN
DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://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. FOR ADDITIONAL INFORMATION ABOUT THE
RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF
ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE
DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE
DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND.
The following summarizes some of the risks that should be considered for the
Funds.
Each Fund's shares will change in value, and you could lose money by investing
in a Fund. Shares are subject to market fluctuations caused by such factors as
economic, political, regulatory or market developments, changes in interest
rates and perceived trends in stock prices. Overall stock values could decline
generally or could underperform other investments. Overall stock market values
could decline generally or could underperform other investments.
An investment in a Fund involves risks similar to those of investing in any fund
of equity securities traded on an exchange. Investors buying or selling Fund
shares on the secondary market may incur brokerage commissions. In addition,
investors who sell Fund shares may receive less than the Fund shares' net asset
value. Unlike shares of open-end mutual funds, investors are generally not able
to purchase ETF shares directly from a Fund and individual ETF shares are not
redeemable. However, specified large blocks of ETF shares called creation units
can be purchased from, or redeemed to, a Fund.
Each Fund is subject to index tracking risk. You should anticipate that the
value of each Fund's shares will decline, more or less, in correlation with any
decline in the value of that Fund's corresponding index.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013 (UNAUDITED)
Each Fund's return may not match the return of the index it seeks to track for a
number of reasons. While First Trust seeks to have a correlation of 0.95 or
better, before expenses, between a Fund's performance and the performance of its
corresponding index, there can be no assurance that a Fund will be able to
achieve such a correlation. Accordingly, each Fund's performance may correlate
to a lesser extent and may possibly vary substantially from the performance of
its corresponding index.
Each Fund is exposed to additional market risk due to its policy of investing
principally in the securities included in its corresponding index. As a result
of this policy, securities held by each Fund will generally not be bought or
sold in response to market fluctuations and the securities may be issued by
companies concentrated in a particular industry. As a result, the Funds will
generally not sell a stock because the stock's issuer is in financial trouble,
unless that stock is removed or is anticipated to be removed from the index the
Fund seeks to track.
Each Fund relies on a license and related sublicense from an index provider that
permits it to use its corresponding index and associated trade names, trademarks
and service marks in connection with the name and investment strategies of the
Fund. Such license and related sublicense may be terminated by the index
provider and, as a result, a Fund may lose its ability to use such intellectual
property. There is no guarantee the index provider has all the rights to license
such intellectual property on behalf of the Fund. In the event the license is
terminated or the index provider does not have rights to license such
intellectual property, it may have a significant effect on the operation of the
respective Fund.
Each Fund is subject to issuer specific change risk. The value of an individual
security or particular type of security can be more volatile than the market as
a whole and can perform differently from the value of the market as a whole.
Each Fund may be concentrated in stocks of companies in an individual industry
if the Fund's corresponding index is concentrated in such industry. A
concentration makes a Fund more susceptible to any single occurrence affecting
the industry and may subject a Fund to greater market risk than more diversified
funds.
Each Fund is considered to be non-diversified. As a result, each Fund is exposed
to additional market risk. A non-diversified fund may invest a relatively high
percentage of its assets in a limited number of issuers. As a result, changes in
the market value of a single portfolio security could cause greater fluctuations
in share price than would occur in a diversified fund. Furthermore,
non-diversified funds are more susceptible to any single political, regulatory
or economic occurrence.
Each Fund is not actively managed. A Fund may be affected by a general decline
in certain market segments relating to a Fund's corresponding index. A Fund
invests in securities included in or representative of its corresponding index
regardless of its investment merit. A Fund generally will not attempt to take
defensive positions in declining markets.
The First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust
Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the
First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R)
Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First
Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund
and the First Trust Utilities AlphaDEX(R) Fund may invest in small
capitalization and/or mid capitalization companies. Such companies may be more
vulnerable to adverse general market or economic developments, and their
securities may be less liquid and may experience greater price volatility than
larger, more established companies as a result of several factors, including
limited trading volumes, products or financial resources, management
inexperience and less publicly available information. Accordingly, such
companies are generally subject to greater market risk than larger, more
established companies.
The First Trust Consumer Discretionary AlphaDEX(R) Fund invests in the
securities of companies in the consumer discretionary sector. Companies in the
consumer discretionary sector manufacture products and provide discretionary
services directly to the consumer, and the success of these companies is tied
closely to the performance of the overall domestic and international economy,
interest rates, competition and consumer confidence. Success depends heavily on
disposable household income and consumer spending. Changes in demographics and
consumer tastes can also affect the demand for, and success of, consumer
discretionary products in the marketplace.
The First Trust Consumer Staples AlphaDEX(R) Fund invests in the securities of
companies in the consumer staples sector. Companies in the consumer staples
sector provide products directly to the consumer that are typically considered
non-discretionary items based on consumer purchasing habits and may be affected
by a variety of factors which could impact company profitability. For instance,
government regulations may affect the permissibility of using various food
additives and the production methods of companies that manufacture food
products.
The First Trust Energy AlphaDEX(R) Fund invests in the securities of companies
in the energy sector. The companies in the energy sector include integrated oil
companies that are involved in the exploration, production and refining process,
gas distributors and pipeline-related companies and other energy companies
involved with mining, producing and delivering energy-related services and
drilling. General problems of issuers in the energy sector include volatile
fluctuations in price and supply of energy fuels, international politics,
terrorist attacks, reduced demand, the success of exploration projects, clean-up
and litigation costs relating to oil spills and environmental damage, and tax
and other regulatory policies of various governments. Natural disasters such as
hurricanes in the Gulf of
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2013 (UNAUDITED)
Mexico will also impact the petroleum industry. Oil production and refining
companies are subject to extensive federal, state and local environmental laws
and regulations regarding air emissions and the disposal of hazardous materials.
In addition, oil prices have been extremely volatile.
The First Trust Financials AlphaDEX(R) Fund invests in the securities of
companies in the financials sector. Banks, thrifts and their holding companies
are especially subject to the adverse effects of economic recession; decreases
in the availability of capital; volatile interest rates; portfolio
concentrations in geographic markets and in commercial and residential real
estate loans; and competition from new entrants in their fields of business. In
addition, the Fund may invest in companies that may be significantly affected by
the downturn in the U.S. and world economies that began with the significant
decline in the subprime mortgage lending market in the United States.
The First Trust Health Care AlphaDEX(R) Fund invests in the securities of
companies in the health care sector. Companies in the health care sector are
involved in medical services or health care, including biotechnology research
and production, drugs and pharmaceuticals and health care facilities and
services, and are subject to extensive competition, generic drug sales or the
loss of patent protection, product liability litigation and increased government
regulation. Research and development costs of bringing new drugs to market are
substantial, and there is no guarantee that the product will ever come to
market. Health care facility operators may be affected by the demand for
services, efforts by government or insurers to limit rates, restriction of
government financial assistance and competition from other providers.
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund invests in the
securities of companies in the industrials and producer durables sectors. Many
companies in these sectors convert unfinished goods into finished durables used
to manufacture other goods or provide services. Some industries included in
these sectors are electrical equipment and components, industrial products,
manufactured housing and telecommunications equipment. General risks of these
companies include the general state of the economy, intense competition,
consolidation, domestic and international politics, excess capacity and consumer
demand and spending trends. In addition, they may also be significantly affected
by overall capital spending levels, economic cycles, technical obsolescence,
delays in modernization, labor relations, government regulations and e-commerce
initiatives.
The First Trust Materials AlphaDEX(R) Fund invests in the securities of
companies in the materials sector. Companies in the materials sector are
involved in the extracting or processing of raw materials. General risks of
these companies include the general state of the economy, consolidation,
domestic and international politics and excess capacity. In addition, materials
companies may also be significantly affected by volatility of commodity prices,
import controls, worldwide competition, liability for environmental damage,
depletion of resources, and mandated expenditures for safety and pollution
control devices.
The First Trust Technology AlphaDEX(R) Fund invests in the securities of
companies in the technology sector. General risks of technology companies
include the risks of rapidly changing technologies, short product life cycles,
fierce competition, aggressive pricing and reduced profit margins, loss of
patent, copyright and trademark protections, cyclical market patterns, evolving
industry standards, and frequent new product introductions. Technology companies
may be smaller and less experienced companies, with limited product lines,
markets or financial resources and fewer experienced management or marketing
personnel.
The First Trust Utilities AlphaDEX(R) Fund invests in the securities of
companies in the utilities sector. General problems of issuers in the utilities
sector include the imposition of rate caps, increased competition due to
deregulation, the difficulty in obtaining an adequate return on invested capital
or in financing large construction projects, the limitations on operations and
increased costs and delays attributable to environmental considerations, and the
capital market's ability to absorb utility debt. In addition, taxes, government
regulation, international politics, price and supply fluctuations, volatile
interest rates and energy conservation may cause difficulties for utilities. All
of such issuers have been experiencing certain of these problems in varying
degrees.
Inflation risk is the risk that the value of assets or income from investments
will be less in the future as inflation decreases the value of money. As
inflation increases, the value of a Fund's assets can decline as can the value
of a Fund's distributions. Common stock prices may be particularly sensitive to
rising interest rates, as the cost of capital rises and borrowing costs
increase.
The Funds may invest in non-U.S. securities publicly traded in the United
States. Securities issued by non-U.S. companies present risks beyond those of
securities of U.S. issuers. Risks of investing in non-U.S. securities include:
different accounting standards; expropriation, nationalization or other adverse
political or economic developments; currency devaluation, blockages or transfer
restrictions; changes in non-U.S. currency exchange rates; taxes; restrictions
on non-U.S. investments and exchange of securities; and less government
supervision and regulation of issuers in non-U.S. countries. Prices of non-U.S.
securities also may be more volatile.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 70
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2013 (UNAUDITED)
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.
Number of
Portfolios in
Term of Office the First Trust Other
Name, Address, and Year First Fund Complex Trusteeships or
Date of Birth and Elected or Principal Occupations Overseen by Directorships
Position with the Trust Appointed During Past 5 Years Trustee Held by Trustee
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton 103 None
c/o First Trust Advisors L.P. Orthopedics; Limited Partner
120 E. Liberty Drive, o Since Inception Gundersen Real Estate Limited
Suite 400 Partnership; Member, Sportsmed LLC
Wheaton, IL 60187
D.O.B.: 04/51
Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to Present), Senior 103 Director of ADM
c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services,
120 E. Liberty Drive, o Since Inception (May 2007 to March 2010), ADM Investor Inc. and ADM
Suite 400 Services, Inc. (Futures Commission Investor Services,
Wheaton, IL 60187 Merchant) International
D.O.B.: 11/57
Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 103 None
c/o First Trust Advisors L.P. Enterprises (Financial and Management
120 E. Liberty Drive, o Since Inception Consulting)
Suite 400
Wheaton, IL 60187
D.O.B.: 11/56
Niel B. Nielson, Trustee o Indefinite Term President and Chief Executive Officer 103 Director of
c/o First Trust Advisors L.P. (June 2012 to Present), Dew Learning LLC Covenant
120 E. Liberty Drive, o Since Inception (Educational Products and Services); Transport Inc.
Suite 400 President (June 2002 to June 2012),
Wheaton, IL 60187 Covenant College
D.O.B.: 03/54
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer (December 2010 103 None
Chairman of the Board to Present), President (until December
120 E. Liberty Drive, o Since Inception 2010), First Trust Advisors L.P. and
Suite 400 First Trust Portfolios L.P.; Chairman of
Wheaton, IL 60187 the Board of Directors, BondWave LLC
D.O.B.: 09/55 (Software Development Company/
Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)
-------------------
1 Mr. Bowen is deemed an "interested person" of the Trust due to his position
as President of First Trust Advisors L.P., investment advisor of the Trust.
Page 71
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2013 (UNAUDITED)
Position and Term of Office
Name, Address Offices and Length of Principal Occupations
and Date of Birth with Trust Service During Past 5 Years
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS WHO ARE NOT TRUSTEES(2)
------------------------------------------------------------------------------------------------------------------------------------
Mark R. Bradley President and Chief Executive o Indefinite Term Chief Operating Officer (December 2010 to Present)
120 E. Liberty Drive, Officer and Chief Financial Officer, First Trust Advisors
Suite 400 o President and Chief L.P. and First Trust Portfolios L.P.; Chief Financial
Wheaton, IL 60187 Executive Officer Officer, BondWave LLC (Software Development Company/
D.O.B.: 11/57 Since January 2012 Investment Advisor) and Stonebridge Advisors LLC
(Investment Advisor)
James M. Dykas Treasurer, Chief Financial o Indefinite Term Controller (January 2011 to Present), Senior Vice
120 E. Liberty Drive, Officer and Chief President (April 2007 to January 2011), First
Suite 400 Accounting Officer o Treasurer, Chief Trust Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187 Financial Officer
D.O.B.: 01/66 and Chief Accounting
Officer Since
January 2012
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and
120 E. Liberty Drive, Legal Officer First Trust Portfolios L.P.; Secretary, BondWave
Suite 400 o Since Inception LLC (Software Development Company/Investment Advisor)
Wheaton, IL 60187 and Stonebridge Advisors LLC (Investment Advisor)
D.O.B.: 05/60
Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
120 E. Liberty Drive, and First Trust Portfolios L.P.
Suite 400 o Since Inception
Wheaton, IL 60187
D.O.B.: 02/70
Kristi A. Maher Assistant Secretary and o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
120 E. Liberty Drive, Chief Compliance Officer and First Trust Portfolios L.P.
Suite 400 o Assistant Secretary
Wheaton, IL 60187 Since Inception
D.O.B.: 12/66
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
120 E. Liberty Drive, and First Trust Portfolios L.P.
Suite 400 o Since Inception
Wheaton, IL 60187
D.O.B.: 06/66
Stan Ueland Vice President o Indefinite Term Senior Vice President (September 2012 to Present)
120 E. Liberty Drive, Vice President (August 2005 to September 2012),
Suite 400 o Since Inception First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 Portfolios L.P.
D.O.B.: 11/70
-------------------
2 The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
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PRIVACY POLICY
--------------------------------------------------------------------------------
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information with affiliates of the Fund.
PRIVACY ONLINE
We allow third-party companies, including AddThis (a social media sharing
service), to collect certain anonymous information when you visit our website.
These companies may use non-personally identifiable information during your
visits to this and other websites in order to provide advertisements about goods
and services likely to be of greater interest to you. These companies typically
use a cookie, third party web beacon or pixel tags, to collect this information.
To learn more about this behavioral advertising practice, you can visit
www.networkadvertising.org.
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).
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
--------------------------------------------------------------------------------
[BLANK BACK COVER]
--------------------------------------------------------------------------------
FIRST TRUST
First Trust Exchange-Traded Alphadex(R) Fund
Annual Report July 31, 2013
--------------------------------------------------------------------------------
AlphaDEX(R) Style Funds
-----------------------
First Trust Large Cap Core AlphaDEX(R) Fund - FEX
First Trust Mid Cap Core AlphaDEX(R) Fund - FNX
First Trust Small Cap Core AlphaDEX(R) Fund - FYX
First Trust Large Cap Value AlphaDEX(R) Fund - FTA
First Trust Large Cap Growth -AlphaDEX(R) Fund - FTC
First Trust Multi Cap Value AlphaDEX(R) Fund - FAB
First Trust Multi Cap Growth AlphaDEX(R) Fund - FAD
First Trust Mid Cap Value AlphaDEX(R) Fund - FNK
First Trust Mid Cap Growth AlphaDEX(R) Fund - FNY
First Trust Small Cap Value AlphaDEX(R) Fund - FYT
First Trust Small Cap Growth AlphaDEX(R) Fund - FYC
First Trust Mega Cap AlphaDEX(R) Fund - FMK
AlphaDEX(R)
FAMILY OF ETFS
Alphadex(R) is a registered trademark of First Trust Portfolios L.P.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Large Cap Core AlphaDEX(R) Fund - FEX..................... 4
First Trust Mid Cap Core AlphaDEX(R) Fund - FNX....................... 6
First Trust Small Cap Core AlphaDEX(R) Fund - FYX..................... 8
First Trust Large Cap Value AlphaDEX(R) Fund - FTA.................... 10
First Trust Large Cap Growth AlphaDEX(R) Fund - FTC................... 12
First Trust Multi Cap Value AlphaDEX(R) Fund - FAB.................... 14
First Trust Multi Cap Growth AlphaDEX(R) Fund - FAD................... 16
First Trust Mid Cap Value AlphaDEX(R) Fund - FNK...................... 18
First Trust Mid Cap Growth AlphaDEX(R) Fund - FNY..................... 20
First Trust Small Cap Value AlphaDEX(R) Fund - FYT.................... 22
First Trust Small Cap Growth AlphaDEX(R) Fund - FYC................... 24
First Trust Mega Cap AlphaDEX(R) Fund - FMK........................... 26
Notes to Fund Performance Overview.......................................... 28
Understanding Your Fund Expenses............................................ 29
Portfolio of Investments
First Trust Large Cap Core AlphaDEX(R) Fund - FEX..................... 31
First Trust Mid Cap Core AlphaDEX(R) Fund - FNX....................... 37
First Trust Small Cap Core AlphaDEX(R) Fund - FYX..................... 43
First Trust Large Cap Value AlphaDEX(R) Fund - FTA.................... 50
First Trust Large Cap Growth AlphaDEX(R) Fund - FTC................... 54
First Trust Multi Cap Value AlphaDEX(R) Fund - FAB.................... 58
First Trust Multi Cap Growth AlphaDEX(R) Fund - FAD................... 67
First Trust Mid Cap Value AlphaDEX(R) Fund - FNK...................... 74
First Trust Mid Cap Growth AlphaDEX(R) Fund - FNY..................... 78
First Trust Small Cap Value AlphaDEX(R) Fund - FYT.................... 81
First Trust Small Cap Growth AlphaDEX(R) Fund - FYC................... 86
First Trust Mega Cap AlphaDEX(R) Fund - FMK........................... 90
Statements of Assets and Liabilities........................................ 92
Statements of Operations.................................................... 95
Statements of Changes in Net Assets......................................... 98
Financial Highlights........................................................ 102
Notes to Financial Statements............................................... 109
Report of Independent Registered Public Accounting Firm..................... 118
Additional Information...................................................... 119
Board of Trustees and Officers.............................................. 124
Privacy Policy.............................................................. 126
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this
report (each such series is referred to as a "Fund" and collectively, as the
"Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of 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
http://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.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about the portfolios and presents data and analysis that
provide insight into each Fund's performance and investment approach.
By reading the portfolio commentary 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 risks of investing in each Fund are
spelled out in its prospectus, statement of additional information, this report
and other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2013
Dear Shareholders:
I am pleased to present you with the annual report for your investment in First
Trust Exchange-Traded AlphaDEX(R) Fund.
The report you hold contains detailed information about the Style Funds of the
First Trust Exchange-Traded AlphaDEX(R) Fund over the year ended July 31, 2013.
It contains a market overview and a performance analysis for each Style Fund for
the period. Because we believe a successful investor is typically a
knowledgeable one, I encourage you to read this document and discuss it with
your financial advisor.
The year covered by this report has been positive for the U.S. markets. In fact,
the S&P 500(R) Index, as measured on a total return basis, rose 25.00% during
the period. Of course, past performance can never be an indicator of future
performance, but First Trust Advisors L.P. ("First Trust") believes that staying
invested in quality products through up and down markets and having a long-term
horizon can help investors reach their financial goals.
As you know, First Trust offers a variety of products that we believe could fit
many financial plans to help investors seeking long-term investment success. We
encourage you to talk to your advisor about the other investments First Trust
offers and to discuss your goals with your advisor regularly so that he or she
can help keep you on track.
First Trust will continue to make available up-to-date information about your
investments so you and your financial advisor are current on any First Trust
investments you own. We value our relationship with you, and thank you for the
opportunity to assist you in achieving your financial goals. I look forward to
the remainder of 2013 and to the next edition of your Fund's report.
Sincerely,
/a/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2013
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 23 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 Federal Reserve has maintained an easy monetary policy since September 2007,
when it began lowering the federal funds target rate from 5.25% to 0.25%. The
target rate has stood at 0.25% since December 2008. In addition to lowering the
benchmark lending rate to nearly zero, the Fed also increased the size of its
balance sheet of securities from approximately $800 billion in 2008 to $3.53
trillion on July 24, 2013. That is a tremendous amount of stimulus. Economic
growth has been modest in this recovery relative to previous recoveries that
produced GDP growth rates ranging from 4% to 6% for extended periods of time. On
a calendar quarter basis, U.S. GDP growth has exceeded 3.0% (annualized) in 5
out of the past 16 quarters through the second quarter of 2013, according to
data from the Bureau of Economic Analysis. The growth rate reached or exceeded
the 3.7% (annualized) level on four occasions. In our opinion, this recovery has
lacked consistency due to a multitude of challenges, including too much
government spending and an excessive regulatory climate, especially for small
businesses.
One of the biggest silver linings in the U.S. economy is the recovery in
residential real estate. The UCLA Anderson Forecast, issued quarterly, reported
that the U.S. is still in the early stages of a housing recovery. David Shulman,
a senior economist with UCLA Anderson Forecast and the UCLA Ziman Center for
Real Estate, sees housing starts rising from an estimated 1.03 million units in
2013 to 1.35 million units in 2014, reaching 1.56 million by 2015. Housing
starts stood at 550,000 in 2009. Shulman also believes that home prices will
continue to rise.
U.S. STOCKS AND BONDS
All of the major U.S. stock indices posted strong gains (total returns) for the
12-month period ended July 31, 2013. The S&P 500(R) Index, S&P MidCap 400(R)
Index and S&P SmallCap 600(R) Index were up 25.00%, 33.00%, and 34.78%,
respectively, according to Bloomberg. A year ago at this time, we discussed a
possible change in the leadership role in the market from mid- and small-cap
stocks to large-caps, but we now know it did not materialize. Despite the fact
that U.S. GDP growth was only up an annualized 1.4% from June 2012 through June
2013, investors still favored mid- and small-cap stocks, in part, because they
tend to hitch their business models to the U.S. economy, making them less
vulnerable to economic weakness overseas, in our opinion. The U.S. economy has
been much stronger than Europe's, which has been in a mild recession. All 10
major sectors in the S&P 500(R) posted gains over the past 12 months. The
top-performing sector was Financials, up 42.4%, while the weakest showing came
from Telecommunication Services, up just 5.6%. With the exception of Health
Care, which continues to benefit from a vibrant biotechnology industry,
defensive sectors (Telecommunication Services, Utilities and Consumer Staples)
were laggards. The year-over-year estimated earnings growth rate for the
companies in the S&P 500(R) Index is expected to be 12.1% in 2013 and 12.8% in
2014, according to Standard & Poor's.
In the U.S. bond market, nearly all of the investment-grade categories performed
poorly due to rising interest rates. The majority of the pain was realized in
May, June and July, on the heels of the Federal Reserve's comments about the
potential for tapering its monthly bond-buying program, which some believe may
happen sooner than expected. The yield on the benchmark 10-Year Treasury Note
rose 111 basis points from 1.47% on July 31, 2012 to 2.58% on July 31, 2013,
with 91 basis points of it coming in the last three months. The Barclays U.S.
Corporate High Yield Index posted the highest total return at 9.5%. The next
closest domestic category was intermediate corporate bonds, up 1.3%, as measured
by the Barclays Intermediate Corporate Index. The weakest showing of the major
categories came from municipal bonds, down 4.5%, as measured by the Barclays
Municipal Bond: Long Bond (22+) Index.
FOREIGN STOCKS AND BONDS
For the 12-month period ended July 31, 2013, the Barclays Global Emerging
Markets Index of debt securities rose 1.9% (USD), while the Barclays Global
Aggregate Index of higher quality debt declined by 2.1% (USD), according to
Barclays. With respect to foreign equities, investors favored the developed
markets over the emerging markets. The MSCI Emerging Markets Index of stocks
posted a total return of only 2.3% (USD), while the MSCI World Index (excluding
the U.S.) of stocks from developed countries gained 22.6% (USD). Developed
nations seemed to benefit more from the stabilization of the European sovereign
debt crisis than did emerging nations, in our opinion. The U.S. dollar fell 1.4%
against a basket of major currencies, as measured by the U.S. Dollar Index
(DXY).
IN CLOSING
It appears that the days of extraordinarily low interest rates in the U.S. are
numbered. While the Federal Reserve has yet to provide a definitive plan for
tapering its monthly bond-buying program, investors have been aggressively
selling debt securities of late as if it had. Over the past 12 months, stock
returns have substantially outpaced those of the major fixed-income categories.
For those investors wondering how stocks fare when interest rates rise,
according to Businessweek, since 1953, U.S. have stocks posted their best
returns when the yield on the 10-Year T-Note rose to 4.00%. This yield stood at
2.58% on July 31, 2013. As Businessweek noted, stock prices usually retrench
when the yield tops 6.00%.
Page 3
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FUND PERFORMANCE OVERVIEW
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FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Large Cap Core Index (the
"Large Cap Core Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Large Cap Core Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FEX."
The Large Cap Core Index is a modified equal-dollar weighted index designed by
S&P Dow Jones Indices LLC ("S&P") to objectively identify and select stocks from
the S&P 500(R) Index that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) screening methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (5/8/07) 5 Years Ended Inception (5/8/07)
7/31/13 7/31/13 to 7/31/13 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 31.41% 9.85% 4.66% 59.96% 32.83%
Market Price 31.52% 9.88% 4.67% 60.14% 32.93%
INDEX PERFORMANCE
Defined Large Cap Core Index 32.34% 10.68% 5.45% 66.07% 39.20%
S&P 500(R) Index 25.00% 8.26% 4.06% 48.72% 28.12%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FEX's one-year NAV return of +31.41% outperformed the benchmark S&P 500(R) Index
return of +25.00% by +6.41%. The Consumer Discretionary sector led all sectors
in terms of contribution to total return with a +6.5% contribution. It was the
heaviest-weighted sector in the Fund with a 16.6% average weight and turned in a
strong one-year return of +39.5%. The Information Technology sector was the
leading cause of Fund outperformance. Within the industry the Fund's holdings
outperformed the benchmark's constituents +35.1% vs. +11.2%. Apple, Inc. was the
primary cause of the performance difference as the company returned -24.3% and
the Fund was significantly underweight the stock relative to the benchmark (0.2%
vs. 3.6% average weight). The Consumer Staples sector was next-best sector in
terms of relative performance. The Fund's holdings in the sector outperformed
the benchmark's constituents +34.3% vs. +18.8%. Outperformance within the sector
was caused by the Fund being underweight the poor-performing Tobacco industry
(0.2% vs. 1.9% average weight), overweight the strong-performing Food Products
industry (2.6% vs. 1.7%), and outperforming within the Beverages industry
(+29.5% vs. +10.2%).
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 19.33%
Financials 13.30
Energy 12.55
Industrials 12.48
Information Technology 11.45
Health Care 10.07
Utilities 8.11
Consumer Staples 5.71
Materials 5.53
Telecommunication Services 1.47
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Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
TripAdvisor, Inc. 0.52%
Regeneron Pharmaceuticals, Inc. 0.51
Netflix, Inc. 0.49
Sealed Air Corp. 0.48
Interpublic Group of Cos. (The), Inc. 0.48
Jabil Circuit, Inc. 0.47
Hess Corp. 0.47
Moody's Corp. 0.47
Murphy Oil Corp. 0.47
Northrop Grumman Corp. 0.47
-------
Total 4.83%
=======
The Defined Large Cap Core Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Large Cap Core Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Large Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 4
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FUND PERFORMANCE OVERVIEW (CONTINUED)
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FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Large Cap Core Defined Large Cap S&P 500(R)
AlphaDEX(R) Fund Core Index Index
5/8/07 10000 10000 10000
7/31/07 9560 9579 9690
1/31/08 9022 9071 9271
7/31/08 8304 8383 8615
1/31/09 5325 5398 5690
7/31/09 6711 6830 6896
1/31/10 7618 7783 7576
7/31/10 8205 8410 7850
1/31/11 9765 10049 9257
7/31/11 9891 10216 9393
1/31/12 9963 10335 9647
7/31/12 10109 10520 10250
1/31/13 11623 12141 11266
7/31/13 13283 13920 12812
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 106 9 2 1
8/1/09 - 7/31/10 151 0 0 0
8/1/10 - 7/31/11 211 0 0 0
8/1/11 - 7/31/12 190 2 0 0
8/1/12 - 7/31/13 149 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 127 8 2 0
8/1/09 - 7/31/10 100 0 0 0
8/1/10 - 7/31/11 41 0 0 0
8/1/11 - 7/31/12 61 0 0 0
8/1/12 - 7/31/13 101 0 0 0
Page 5
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FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Mid Cap Core Index (the "Mid
Cap Core Index"). The Fund will normally invest at least 90% of its net assets
in common stocks that comprise the Mid Cap Core Index. The shares of the Fund
are listed and trade on the NYSE Arca under the ticker symbol "FNX."
The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P
to objectively identify and select stocks from the S&P MidCap 400(R) Index that
may generate positive alpha relative to traditional passive-style indices
through the use of the AlphaDEX(R) screening methodology. Alpha is an indication
of how much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (5/8/07) 5 Years Ended Inception (5/8/07)
7/31/13 7/31/13 to 7/31/13 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 32.71% 12.13% 7.42% 77.30% 56.21%
Market Price 32.89% 12.15% 7.43% 77.45% 56.29%
INDEX PERFORMANCE
Defined Mid Cap Core Index 33.62% 12.98% 8.23% 84.10% 63.65%
S&P MidCap 400(R) Index 33.00% 10.64% 6.90% 65.81% 51.52%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNX's one-year NAV return of +32.71% underperformed the benchmark S&P MidCap
400(R) Index return of +33.00% by -0.29%. The Industrials sector led all sectors
in the Fund in weight and contribution. The Fund's holdings in the sector
comprised an average of 19.6% of the Fund's weight, returned +44.7%, and
contributed +8.6% to the Fund's total return. Within the sector, the Aerospace &
Defense industry had particularly strong performance with a +66.3% return, led
by Alliant Techsystems, Inc.'s +104.2% return. The Consumer Discretionary
industry was the second-best contributor to total return with a +6.1%
contribution. The Fund's holdings in the sector made up an average of 18.4% of
the Fund's weight and returned +33.1%. The Consumer Staples sector was the
top-performing sector in the Fund with a +54.6% return, but the sector's low
average weight of 3.6% kept the sector from being a top contributor. On a
relative basis, the Fund performed in-line with its benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 20.51%
Industrials 17.18
Information Technology 15.16
Financials 15.01
Materials 8.79
Energy 7.39
Health Care 6.31
Utilities 6.03
Consumer Staples 3.51
Telecommunication Services 0.11
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Hanesbrands, Inc. 0.65%
Ingram Micro, Inc., Class A 0.63
Cimarex Energy Co. 0.62
Monster Worldwide, Inc. 0.61
Valassis Communications, Inc. 0.61
Energen Corp. 0.60
Big Lots, Inc. 0.60
Arrow Electronics, Inc. 0.60
ManTech International Corp., Class A 0.59
Alliant Techsystems, Inc. 0.59
-------
Total 6.10%
=======
The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Mid Cap Core Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Mid Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted
by S&P, and S&P does not make any representation regarding the advisability of
investing in the Fund.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Mid Cap Core Defined Mid Cap S&P MidCap
AlphaDEX(R) Fund Core Index 400(R) Index
5/8/07 10000 10000 10000
7/31/07 9527 9540 9615
1/31/08 8872 8911 9091
7/31/08 8812 8889 9138
1/31/09 5561 5625 5731
7/31/09 7453 7576 7288
1/31/10 8498 8674 8215
7/31/10 9236 9464 8951
1/31/11 11339 11665 10964
7/31/11 11693 12072 11256
1/31/12 11880 12312 11260
7/31/12 11771 12248 11391
1/31/13 13743 14352 13350
7/31/13 15621 16365 15152
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 95 9 1 2
8/1/09 - 7/31/10 184 2 0 0
8/1/10 - 7/31/11 217 0 0 0
8/1/11 - 7/31/12 151 0 0 0
8/1/12 - 7/31/13 177 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 138 10 0 0
8/1/09 - 7/31/10 65 0 0 0
8/1/10 - 7/31/11 35 0 0 0
8/1/11 - 7/31/12 102 0 0 0
8/1/12 - 7/31/13 73 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Small Cap Core Index (the
"Small Cap Core Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Small Cap Core Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYX."
The Small Cap Core Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P SmallCap 600(R) Index
that may generate positive alpha relative to traditional passive-style indices
through the use of the AlphaDEX(R) screening methodology. Alpha is an indication
of how much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (5/8/07) 5 Years Ended Inception (5/8/07)
7/31/13 7/31/13 to 7/31/13 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 36.58% 11.82% 6.13% 74.82% 44.89%
Market Price 36.62% 11.90% 6.13% 75.46% 44.89%
INDEX PERFORMANCE
Defined Small Cap Core Index 37.56% 12.70% 7.00% 81.83% 52.41%
S&P SmallCap 600(R) Index 34.78% 10.96% 6.39% 68.17% 47.07%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYX's one-year NAV return of +36.58% outperformed the benchmark S&P SmallCap
600(R) Index return of +34.78% by +1.80%. The Consumer Discretionary sector
topped all other sectors in the Fund in terms of weight, performance and
contribution to return. The Fund's holdings in the sector comprised an average
of 21.9% of the Fund's weight and returned +55.9%, resulting in a +11.5%
contribution to return. Every industry represented in the Fund within the
Consumer Discretionary sector returned at least +30% for the year. The
Industrials sector was the second best performing and contributing sector in the
Fund with a +46.6% annual return and a +7.2% contribution to total return.
Within the sector, the Airline industry had particularly strong performance with
a +87.2% return. On a relative basis, the Fund outperformed its benchmark. The
outperformance came mostly from the Consumer Discretionary sector where the Fund
was overweight (21.9% vs. 15.7% average weight) and received stronger
performance (+55.9% vs. +41.7% one-year return) relative to the benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 22.11%
Information Technology 17.93
Industrials 14.99
Financials 13.94
Health Care 10.49
Materials 6.49
Energy 5.41
Consumer Staples 4.60
Utilities 2.59
Telecommunication Services 1.45
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Multimedia Games Holding Co., Inc. 0.46%
Ebix, Inc. 0.43
Lumber Liquidators Holdings, Inc. 0.43
Lithia Motors, Inc., Class A 0.42
Insight Enterprises, Inc. 0.42
Medidata Solutions, Inc. 0.41
Stewart Information Services Corp. 0.41
Rogers Corp. 0.41
LHC Group, Inc. 0.41
SYNNEX Corp. 0.41
-------
Total 4.21%
=======
The Defined Small Cap Core Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Small Cap Core Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Small Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Small Cap Core Defined Small Cap S&P SmallCap
AlphaDEX(R) Fund Core Index 600(R) Index
5/8/07 10000 10000 10000
7/31/07 9433 9454 9535
1/31/08 8476 8534 8771
7/31/08 8288 8382 8746
1/31/09 5043 5124 5550
7/31/09 6981 7125 7060
1/31/10 7805 8001 7712
7/31/10 8421 8667 8414
1/31/11 10106 10442 10097
7/31/11 10460 10846 10494
1/31/12 10881 11315 10855
7/31/12 10608 11080 10914
1/31/13 12343 12944 12533
7/31/13 14489 15241 14707
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 102 5 5 0
8/1/09 - 7/31/10 112 0 0 0
8/1/10 - 7/31/11 195 0 0 0
8/1/11 - 7/31/12 146 0 0 0
8/1/12 - 7/31/13 190 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 131 9 3 0
8/1/09 - 7/31/10 139 0 0 0
8/1/10 - 7/31/11 57 0 0 0
8/1/11 - 7/31/12 106 1 0 0
8/1/12 - 7/31/13 60 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND - FTA
The First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Large Cap Value Index (the
"Large Cap Value Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Large Cap Value Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTA."
The Large Cap Value Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P 500(R) Value Index
that may generate positive alpha relative to traditional passive-style indices
through the use of the AlphaDEX(R) screening methodology. Alpha is an indication
of how much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (5/8/07) 5 Years Ended Inception (5/8/07)
7/31/13 7/31/13 to 7/31/13 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 33.15% 11.60% 5.06% 73.13% 36.04%
Market Price 33.35% 11.62% 5.08% 73.27% 36.15%
INDEX PERFORMANCE
Defined Large Cap Value Index 34.16% 12.50% 5.90% 80.19% 42.94%
S&P 500(R) Index 25.00% 8.26% 4.06% 48.72% 28.12%
S&P 500(R) Value Index 30.31% 7.25% 2.19% 41.91% 14.46%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FTA's one-year NAV return of +33.15% outperformed the benchmark S&P 500(R) Value
Index return of +30.31% by +2.84%. The Financials sector led all sectors in the
Fund in contribution to return (+7.3%) and performance. Though the Fund's
holdings in the sector had better performance than the benchmark's constituents
(+56.6% vs. 47.4%), the Financials sector did not cause any outperformance
because the Fund was underweight the sector relative to the benchmark (14.0% vs.
24.9% average weight). The Telecommunications Services sector had a small weight
(2.3%) in the Fund, but had the most significant contribution to the Fund's
outperformance. The Fund's Telecommunication Services holdings had a strong
+36.6% return vs. the benchmark's +3.0% return in the sector. The benchmark's
largest holding in the sector was AT&T, Inc., which returned -2.3%, and the
Fund's largest holding was T-Mobile US, Inc., which returned +98.4% while held
in the Fund this period. The Fund gained further outperformance in the
Information Technology sector where the Fund's holdings outperformed the
benchmark's constituents (+42.9% vs. +28.8%). The performance difference was
concentrated in the Semiconductor industry, where the Fund outperformed its
benchmark +45.5% vs. +21.6%, and the Software industry, where the Fund
outperformed its benchmark +61.5% vs. 19.9%.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Energy 17.97%
Utilities 14.11
Information Technology 13.42
Financials 12.59
Industrials 12.24
Health Care 8.42
Consumer Discretionary 8.16
Materials 6.13
Consumer Staples 4.68
Telecommunication Services 2.28
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Jabil Circuit, Inc. 0.89%
Hess Corp. 0.88
Murphy Oil Corp. 0.88
Northrop Grumman Corp. 0.88
Garmin Ltd. 0.87
Abercrombie & Fitch Co., Class A 0.87
First Solar, Inc. 0.87
SAIC, Inc. 0.87
Safeway, Inc. 0.86
Humana, Inc. 0.85
-------
Total 8.72%
=======
The Defined Large Cap Value Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Large Cap Value Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Large Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND - FTA (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Large Cap Value Defined Large Cap S&P 500(R) S&P 500(R)
AlphaDEX(R) Fund Value Index Index Value Index
5/8/07 10000 10000 10000 10000
7/31/07 9450 9462 9690 9586
1/31/08 8821 8870 9271 9148
7/31/08 7858 7933 8615 8066
1/31/09 4993 5064 5690 5060
7/31/09 6661 6790 6896 6157
1/31/10 7765 7947 7576 6840
7/31/10 8228 8447 7850 7079
1/31/11 9688 9988 9257 8294
7/31/11 9733 10072 9393 8153
1/31/12 10072 10465 9647 8388
7/31/12 10216 10655 10250 8784
1/31/13 11957 12519 11266 10021
7/31/13 13604 14294 12812 11446
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 115 7 5 1
8/1/09 - 7/31/10 155 0 0 0
8/1/10 - 7/31/11 228 0 0 0
8/1/11 - 7/31/12 193 0 0 0
8/1/12 - 7/31/13 201 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 119 7 0 1
8/1/09 - 7/31/10 96 0 0 0
8/1/10 - 7/31/11 24 0 0 0
8/1/11 - 7/31/12 60 0 0 0
8/1/12 - 7/31/13 49 0 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND - FTC
The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Large Cap Growth Index (the
"Large Cap Growth Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Large Cap Growth Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTC."
The Large Cap Growth Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P 500(R) Growth Index
that may generate positive alpha relative to traditional passive-style indices
through the use of the AlphaDEX(R) screening methodology. Alpha is an indication
of how much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (5/8/07) 5 Years Ended Inception (5/8/07)
7/31/13 7/31/13 to 7/31/13 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 28.42% 7.17% 3.75% 41.35% 25.81%
Market Price 28.41% 7.17% 3.76% 41.39% 25.84%
INDEX PERFORMANCE
Defined Large Cap Growth Index 29.31% 7.97% 4.53% 46.71% 31.78%
S&P 500(R) Index 25.00% 8.26% 4.06% 48.72% 28.12%
S&P 500(R) Growth Index 20.50% 9.23% 5.89% 55.53% 42.85%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FTC's one-year NAV return of +28.42% outperformed the benchmark S&P 500(R)
Growth Index return of +20.50% by +7.92%. The Consumer Discretionary sector led
all sectors in terms of contribution to total return with a +8.4% contribution.
It was the heaviest-weighted sector in the Fund with a 24.7% average weight and
turned in a strong one-year return of +33.2%. The Information Technology sector
was the leading cause of Fund outperformance. Within the industry, the Fund's
holdings outperformed the benchmark's constituents +26.2% vs. +6.5%. Apple, Inc.
was the primary cause of the performance difference as the company returned
-24.3% and the Fund was significantly underweight the stock relative to the
benchmark (0.4% vs. 6.8% average weight). The Energy sector was the next-best
sector in terms of relative performance. The Fund's holdings in the sector
outperformed the benchmark's constituents +41.1% vs. +17.7%. Outperformance
within the sector was caused by the Fund being overweight Cabot Oil & Gas Corp
(+79.9% return) and Pioneer Natural Resources Corp. (+74.7%), and underweight
Exxon Mobil Corp. (+10.8%) relative to its benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 34.93%
Financials 12.58
Industrials 12.39
Health Care 11.94
Information Technology 9.99
Energy 6.83
Consumer Staples 6.56
Materials 4.24
Telecommunication Services 0.54
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
TripAdvisor, Inc. 1.14%
Regeneron Pharmaceuticals, Inc. 1.11
Boston Scientific Corp. 1.09
Netflix, Inc. 1.07
Sealed Air Corp. 1.05
Interpublic Group of Cos. (The), Inc. 1.05
Moody's Corp. 1.03
Ameriprise Financial, Inc. 1.02
Gap (The), Inc. 1.02
EQT Corp. 1.01
-------
Total 10.59%
=======
The Defined Large Cap Growth Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Large Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Large Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND - FTC (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Large Cap Growth Defined Large Cap S&P 500(R) S&P 500(R)
AlphaDEX(R) Fund Growth Index Index Growth Index
5/8/07 10000 10000 10000 10000
7/31/07 9740 9757 9690 9802
1/31/08 9341 9388 9271 9410
7/31/08 8900 8982 8615 9185
1/31/09 5737 5807 5690 6357
7/31/09 6730 6840 6896 7675
1/31/10 7373 7518 7576 8341
7/31/10 8090 8282 7850 8651
1/31/11 9790 10064 9257 10272
7/31/11 9985 10309 9393 10740
1/31/12 9674 10028 9647 11023
7/31/12 9797 10191 10250 11854
1/31/13 10970 11446 11266 12612
7/31/13 12581 13178 12812 14285
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 113 4 2 0
8/1/09 - 7/31/10 146 0 0 0
8/1/10 - 7/31/11 193 0 0 0
8/1/11 - 7/31/12 153 0 0 0
8/1/12 - 7/31/13 102 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 133 3 0 0
8/1/09 - 7/31/10 105 0 0 0
8/1/10 - 7/31/11 59 0 0 0
8/1/11 - 7/31/12 100 0 0 0
8/1/12 - 7/31/13 148 0 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Multi Cap Value Index (the
"Multi Cap Value Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Multi Cap Value Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAB."
The Multi Cap Value Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P Composite 1500(R)
Value Index that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) screening methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (5/8/07) 5 Years Ended Inception (5/8/07)
7/31/13 7/31/13 to 7/31/13 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 35.92% 13.11% 6.23% 85.14% 45.70%
Market Price 36.16% 13.15% 6.24% 85.43% 45.80%
INDEX PERFORMANCE
Defined Multi Cap Value Index 36.99% 14.03% 7.09% 92.78% 53.21%
S&P Composite 1500(R) Index 25.97% 8.55% 4.37% 50.72% 30.54%
S&P Composite 1500(R) Value Index 30.98% 7.62% 2.59% 44.39% 17.29%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FAB's one-year NAV return of +35.92% outperformed the benchmark S&P Composite
1500(R) Value Index return of +30.98% by +4.94%. The Consumer Discretionary
sector led all sectors in the Fund in weight, performance and contribution to
return. The Fund's holdings in the sector comprised an average of 14.6% of the
Fund's weight, returned +52.5%, and contributed +7.3% to return. The Financials
sector was the second-best performing and contributing sector with a +47.5%
return and a +6.3% contribution. On a relative basis, the Fund outperformed its
benchmark. The Fund received better performance in large-cap (+34.6% vs.
+30.6%), mid-cap (+37.4% vs. +34.9%) and small-cap (+43.0% vs. +37.5%)
companies. In addition, the Fund gained further outperformance by being more
heavily allocated toward mid-cap and small-cap companies, which generally
performed better than large-cap companies. The Fund allocated around 50% of its
weight to mid-cap and small-cap companies vs. the benchmark's allocation of
approximately 12%.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 14.90%
Financials 14.43
Information Technology 13.53
Energy 13.51
Consumer Discretionary 11.94
Utilities 10.84
Materials 7.88
Health Care 7.35
Consumer Staples 4.08
Telecommunication Services 1.54
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Jabil Circuit, Inc. 0.44%
Hess Corp. 0.44
Murphy Oil Corp. 0.44
Northrop Grumman Corp. 0.44
Garmin Ltd. 0.44
Abercrombie & Fitch Co., Class A 0.43
First Solar, Inc. 0.43
SAIC, Inc. 0.43
Safeway, Inc. 0.43
Humana, Inc. 0.43
-------
Total 4.35%
=======
The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Multi Cap Value Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Multi Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Multi Cap Value Defined Multi Cap S&P Composite S&P Composite 1500(R)
AlphaDEX(R) Fund Value Index 1500(R) Index Value Index
5/8/07 10000 10000 10000 10000
7/31/07 9317 9334 9678 9567
1/31/08 8603 8655 9241 9092
7/31/08 7870 7948 8661 8123
1/31/09 4973 5045 5446 5336
7/31/09 6964 7099 6931 6238
1/31/10 8086 8275 7629 6942
7/31/10 8611 8845 7953 7218
1/31/11 10279 10602 9414 8479
7/31/11 10345 10707 9571 8355
1/31/12 10799 11224 9811 8592
7/31/12 10720 11185 10362 8955
1/31/13 12639 13242 11467 10254
7/31/13 14570 15321 13054 11729
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 126 8 0 0
8/1/09 - 7/31/10 113 0 0 0
8/1/10 - 7/31/11 168 0 0 0
8/1/11 - 7/31/12 141 0 0 0
8/1/12 - 7/31/13 165 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 113 8 0 0
8/1/09 - 7/31/10 138 0 0 0
8/1/10 - 7/31/11 84 0 0 0
8/1/11 - 7/31/12 111 1 0 0
8/1/12 - 7/31/13 84 0 0 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Multi Cap Growth Index (the
"Multi Cap Growth Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Multi Cap Growth Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAD."
The Multi Cap Growth Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P Composite 1500(R)
Growth Index that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) screening methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended 5 Years Ended Inception (5/8/07) 5 Years Ended Inception (5/8/07)
7/31/13 7/31/13 to 7/31/13 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 28.01% 7.88% 4.91% 46.10% 34.76%
Market Price 28.09% 7.89% 4.90% 46.20% 34.76%
INDEX PERFORMANCE
Defined Multi Cap Growth Index 28.95% 8.71% 5.71% 51.85% 41.37%
S&P Composite 1500(R) Index 25.97% 8.55% 4.37% 50.72% 30.54%
S&P Composite 1500(R) Growth Index 21.66% 9.47% 6.14% 57.19% 44.98%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FAD's one-year NAV return of +28.01% outperformed the benchmark S&P Composite
1500(R) Growth Index return of +21.66% by +6.35%. The Consumer Discretionary
sector led all sectors in terms of contribution to return with a +7.1%
contribution. The sector was the heaviest-weighted sector in the Fund with a
23.1% average weight and had a solid annual return of +30.1%. The Industrials
sector was the second-best contributing sector with a +5.3% contribution to
total return. The Fund's holdings in the sector had a strong return of +32.1%
and comprised 16.8% of the Fund's average weight. The Health Care sector was the
Fund's top-performing sector with a +35.6% return, but its smaller average
weight of 12.2% limited the sector's contribution to +3.9%. A major cause of
Fund outperformance was the stronger return the Fund received from large-cap
companies (+28.7% vs. +20.0%). The performance difference was mostly caused by
the Fund's significantly underweight position in Apple, Inc. (0.2% vs. 6.1%
average weight), which had an annual return of -24.3%. Further outperformance
was driven by the Fund being more heavily allocated to small-cap and mid-cap
companies, which in general had stronger returns than large-cap companies. The
Fund allocates approximately 50% of its weight toward mid-cap and small-cap
companies versus the benchmark's allocation of 11%.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 32.06%
Information Technology 15.02
Industrials 13.43
Financials 12.34
Health Care 11.06
Consumer Staples 5.51
Energy 5.28
Materials 4.62
Telecommunication Services 0.53
Utilities 0.15
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
TripAdvisor, Inc. 0.57%
Regeneron Pharmaceuticals, Inc. 0.55
Boston Scientific Corp. 0.54
Netflix, Inc. 0.53
Sealed Air Corp. 0.53
Interpublic Group of Cos. (The), Inc. 0.52
Moody's Corp. 0.51
Ameriprise Financial, Inc. 0.51
Gap (The), Inc. 0.51
EQT Corp. 0.50
-------
Total 5.27%
=======
The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Multi Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Multi Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2013
First Trust Multi Cap Growth Defined Multi Cap S&P Composite 1500(R) S&P Composite 1500(R)
AlphaDEX(R) Fund Growth Index Index Growth Index
5/8/07 10000 10000 10000 10000
7/31/07 9797 9818 9678 9796
1/31/08 9217 9265 9241 9396
7/31/08 9224 9309 8661 9223
1/31/09 5782 5854 5689 6307
7/31/09 6961 7078 6931 7669
1/31/10 7641 7801 7629 8350
7/31/10 8399 8608 7953 8725
1/31/11 10221 10518 9414 10412
7/31/11 10644 10997 9571 10907
1/31/12 10438 10827 9811 11155
7/31/12 10528 10963 10362 11916
1/31/13 11853 12387 11467 12794
7/31/13 13476 14137 13054 14498
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2008 through July
31, 2013. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 96 12 1 2
8/1/09 - 7/31/10 128 0 0 0
8/1/10 - 7/31/11 176 0 0 0
8/1/11 - 7/31/12 156 0 0 0
8/1/12 - 7/31/13 111 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/08 - 7/31/09 137 7 0 0
8/1/09 - 7/31/10 122 1 0 0
8/1/10 - 7/31/11 76 0 0 0
8/1/11 - 7/31/12 97 0 0 0
8/1/12 - 7/31/13 139 0 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND - FNK
The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Mid Cap Value Index (the
"Mid Cap Value Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Mid Cap Value Index. The shares of the
Fund are listed and trade on the NYSE Arca under the ticker symbol "FNK."
The Mid Cap Value Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P MidCap 400(R) Value
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/19/11) Inception (4/19/11)
7/31/13 to 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 36.37% 14.24% 35.50%
Market Price 36.21% 14.25% 35.54%
INDEX PERFORMANCE
Defined Mid Cap Value Index 37.37% 15.11% 37.87%
S&P MidCap 400(R) Value Index 35.36% 13.53% 33.59%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNK's one-year NAV return of +36.37% outperformed the benchmark S&P MidCap
400(R) Value Index return of +35.36% by +1.01%. The Industrials sector led all
sectors in the Fund in weight and contribution. The Fund's holdings in the
sector comprised an average of 16.5% of the Fund's weight, returned +51.5%, and
contributed +8.5% to the Fund's total return. Within the sector, the Aerospace &
Defense industry had particularly strong performance with a +70.5% return, led
by Alliant Techsystems, Inc.'s +104.2%% return. The Consumer Discretionary
sector was the second-best contributor to total return with a +6.2%
contribution. The Fund's holdings in the sector made up an average of 16.0% of
the Fund's weight and returned +38.9%. The Consumer Staples sector was the
top-performing sector in the Fund with a +52.8% return, but the sector's low
average weight of 3.2% kept the sector from being a top contributor. The Fund's
outperformance came mostly from the Financials sector where the Fund's holdings
outperformed the benchmark's constituents (+41.0% vs. +28.4%).
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 17.13%
Industrials 16.39
Consumer Discretionary 14.58
Information Technology 12.96
Materials 10.28
Energy 9.98
Utilities 9.76
Health Care 5.74
Consumer Staples 3.18
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Cimarex Energy Co. 1.12%
Monster Worldwide, Inc. 1.11
Valassis Communications, Inc. 1.11
Big Lots, Inc. 1.09
Energen Corp. 1.09
Arrow Electronics, Inc. 1.09
ManTech International Corp., Class A 1.08
Alliant Techsystems, Inc. 1.08
Avnet, Inc. 1.07
AGCO Corp. 1.07
-------
Total 10.91%
=======
The Defined Mid Cap Value Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Mid Cap Value Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Mid Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND - FNK (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2013
First Trust Mid Cap Value Defined Mid Cap S&P MidCap 400(R)
AlphaDEX(R) Fund Value Index Value Index
4/19/11 10000 10000 10000
7/31/11 9625 9646 9581
1/31/12 9982 10041 9720
7/31/12 9935 10036 9869
1/31/13 11765 11928 11640
7/31/13 13554 13787 13359
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period April 20, 2011 (commencement
of trading) through July 31, 2013. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 66 0 0 0
8/1/11 - 7/31/12 198 0 0 0
8/1/12 - 7/31/13 157 2 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 4 0 0 0
8/1/11 - 7/31/12 55 0 0 0
8/1/12 - 7/31/13 91 0 0 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND - FNY
The First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Mid Cap Growth Index (the
"Mid Cap Growth Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Mid Cap Growth Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNY."
The Mid Cap Growth Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P MidCap 400(R) Growth
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/19/11) Inception (4/19/11)
7/31/13 to 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 27.05% 9.45% 22.89%
Market Price 27.09% 9.49% 22.99%
INDEX PERFORMANCE
Defined Mid Cap Growth Index 28.09% 10.30% 25.07%
S&P MidCap 400(R) Growth Index 30.75% 11.78% 28.94%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNY's one-year NAV return of +27.05% underperformed the benchmark S&P MidCap
400(R) Growth Index return of +30.75% by -3.70%. The Industrials sector led all
sectors in the Fund in weight and contribution. The Fund's holdings in the
sector comprised an average of 23.7% of the Fund's weight, returned +37.2%, and
contributed +8.4% to the Fund's total return. Within the sector, the Trading
Companies & Distributors industry had particularly strong performance with a
+60.3% return, led by United Rentals, Inc.'s +98.3% return. The Consumer
Discretionary industry was the second-best contributor to total return with a
+5.6% contribution. The Fund's holdings in the sector made up an average of
21.7% of the Fund's weight and returned +25.1%. The Consumer Staples sector was
the top-performing sector in the Fund with a +63.0% return, but the sector's low
average weight of 4.6% kept the sector from being a top contributor. The Health
Care sector was the largest cause of underperformance as the Fund's holdings in
the sector were underweight (8.8% vs. 12.5% average weight) and underperformed
(+37.4% vs. +49.1% return) relative to the benchmark's Health Care constituents.
The Fund's relative performance also suffered by underperforming within the
Consumer Discretionary sector (+25.1% vs. +34.7% return).
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 29.21%
Industrials 18.53
Information Technology 17.77
Financials 12.37
Health Care 6.23
Materials 6.10
Energy 4.81
Consumer Staples 4.23
Utilities 0.50
Telecommunication Services 0.25
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Hanesbrands, Inc. 1.49%
Worthington Industries, Inc. 1.36
Oceaneering International, Inc. 1.35
B/E Aerospace, Inc. 1.33
Thor Industries, Inc. 1.33
Packaging Corp. of America 1.33
Cree, Inc. 1.32
Alliance Data Systems Corp. 1.32
NCR Corp. 1.32
Domino's Pizza, Inc. 1.30
-------
Total 13.45%
=======
The Defined Mid Cap Growth Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Mid Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Mid Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND - FNY (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2013
First Trust Mid Cap Growth Defined Mid Cap S&P MidCap 400(R)
AlphaDEX(R) Fund Growth Index Growth Index
4/19/11 10000 10000 10000
7/31/11 9881 9903 9910
1/31/12 9804 9866 9779
7/31/12 9673 9765 9861
1/31/13 11050 11201 11485
7/31/13 12289 12507 12894
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period April 20, 2011 (commencement
of trading) through July 31, 2013. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 61 0 0 0
8/1/11 - 7/31/12 201 1 0 0
8/1/12 - 7/31/13 169 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 9 0 0 0
8/1/11 - 7/31/12 51 0 0 0
8/1/12 - 7/31/13 81 0 0 0
Page 21
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT
The First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Small Cap Value Index (the
"Small Cap Value Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Small Cap Value Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYT."
The Small Cap Value Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P SmallCap 600(R) Value
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/19/11) Inception (4/19/11)
7/31/13 to 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 42.34% 16.75% 42.40%
Market Price 42.54% 16.77% 42.46%
INDEX PERFORMANCE
Defined Small Cap Value Index 43.51% 17.67% 44.98%
S&P SmallCap 600(R) Value Index 37.37% 16.08% 40.54%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYT's one-year NAV return of +42.34% outperformed the benchmark S&P SmallCap
600(R) Value Index return of +37.37% by +4.97%. The Consumer Discretionary
sector was the standout performer with a return of +73.5%. The sector was also
the heaviest-weighted in the Fund with a 22.6% average weight resulting in a
+15.4% contribution to the Fund's return. The Specialty Retail industry was a
major source of the sector's strength. The Fund's holdings in the industry
comprised an average of 7.3% of the Fund's weight and returned +74.6%. A few of
the Fund's top-performers from the industry were Stein Mart, Inc. (+100.0%), Big
5 Sporting Goods Corp. (+175.8%) and OfficeMax, Inc. (+190.4%). The Consumer
Discretionary sector was the major contributor to the outperformance. Relative
to its benchmark, the Fund was overweight the sector (22.6% vs. 15.4% average
weight) and received better performance (+73.5% vs. +52.3%).
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 19.27%
Consumer Discretionary 17.33
Financials 14.92
Information Technology 14.69
Materials 8.65
Energy 7.72
Health Care 7.12
Utilities 4.36
Consumer Staples 3.95
Telecommunication Services 1.99
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Ebix, Inc. 0.77%
Insight Enterprises, Inc. 0.74
Stewart Information Services Corp. 0.72
Rogers Corp. 0.72
LHC Group, Inc. 0.72
SYNNEX Corp. 0.72
QLogic Corp. 0.70
USA Mobility, Inc. 0.70
Seneca Foods Corp., Class A 0.70
Cato (The) Corp., Class A 0.69
-------
Total 7.18%
=======
The Defined Small Cap Value Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Small Cap Value Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Small Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 22
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2013
First Trust Small Cap Value Defined Small Cap S&P SmallCap 600(R)
AlphaDEX(R) Fund Value Index Value Index
4/19/11 10000 10000 10000
7/31/11 9930 9950 9813
1/31/12 10692 10748 10331
7/31/12 10005 10103 10231
1/31/13 11945 12115 11945
7/31/13 14240 14498 14054
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period April 20, 2011 (commencement
of trading) through July 31, 2013. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 38 0 0 0
8/1/11 - 7/31/12 154 3 0 0
8/1/12 - 7/31/13 177 5 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 32 0 0 0
8/1/11 - 7/31/12 95 1 0 0
8/1/12 - 7/31/13 67 1 0 0
Page 23
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND - FYC
The First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Small Cap Growth Index (the
"Small Cap Growth Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Small Cap Growth Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYC."
The Small Cap Growth Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P SmallCap 600(R)
Growth Index that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) screening methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/19/11) Inception (4/19/11)
7/31/13 to 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 28.14% 12.24% 30.15%
Market Price 28.28% 12.22% 30.10%
INDEX PERFORMANCE
Defined Small Cap Growth Index 29.17% 13.10% 32.44%
S&P SmallCap 600(R) Growth Index 32.31% 14.83% 37.11%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYC's one-year NAV return of +28.14% underperformed the benchmark S&P SmallCap
600(R) Growth Index return of +32.31% by -4.17%. The Consumer Discretionary
sector led all sectors in the Fund with a +6.1% contribution to the Fund's
return. The sector had a Fund-leading 21.0% average weight and returned +27.6%
for the year. Within the Consumer Discretionary sector the Hotels Restaurants &
Leisure industry was a leading contributor with a 5.1% average Fund weight and a
+48.2% return. The Consumer Staples sector was the best-performing sector in the
Fund with a +35.1% return. The Sector's low average Fund weight of 6.0% tempered
its contribution to return to +1.6%. The major causes of the Fund lagging the
benchmark were underperformance relative to the benchmark within the Information
Technology (+23.8% vs. +31.6%) and Health Care (+31.2% vs. +38.6%) sectors.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 29.20%
Information Technology 23.36
Health Care 16.07
Financials 11.69
Industrials 8.41
Consumer Staples 4.82
Materials 3.35
Energy 2.19
Telecommunication Services 0.91
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Multimedia Games Holding Co., Inc. 1.10%
Lumber Liquidators Holdings, Inc. 1.02
Lithia Motors, Inc., Class A 1.00
Medidata Solutions, Inc. 0.98
comScore, Inc. 0.97
Questcor Pharmaceuticals, Inc. 0.96
Prestige Brands Holdings, Inc. 0.95
Inter Parfums, Inc. 0.95
On Assignment, Inc. 0.94
Winnebago Industries, Inc. 0.93
-------
Total 9.80%
=======
The Defined Small Cap Growth Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Small Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of Standard &
Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices
LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First
Trust Small Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P does not make any representation regarding the
advisability of investing in the Fund.
Page 24
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND - FYC (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2013
First Trust Small Cap Growth Defined Small Cap S&P SmallCap 600(R)
AlphaDEX(R) Fund Growth Index Growth Index
4/19/11 10000 10000 10000
7/31/11 9920 9942 9982
1/31/12 9826 9878 10155
7/31/12 10157 10253 10362
1/31/13 11338 11488 11710
7/31/13 13015 13244 13711
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period April 20, 2011 (commencement
of trading) through July 31, 2013. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 61 0 0 0
8/1/11 - 7/31/12 145 1 0 0
8/1/12 - 7/31/13 126 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/20/11 - 7/31/11 9 0 0 0
8/1/11 - 7/31/12 105 2 0 0
8/1/12 - 7/31/13 116 5 0 0
Page 25
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MEGA CAP ALPHADEX(R) FUND - FMK
The First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Defined Mega Cap Index (the "Mega Cap
Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Mega Cap Index. The shares of the Fund are listed and
trade on the NYSE Arca under the ticker symbol "FMK."
The Mega Cap Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P(R) US BMI universe that may
generate positive alpha relative to traditional passive-style indices through
the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how
much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (5/11/11) Inception (5/11/11)
7/31/13 to 7/31/13 to 7/31/13
FUND PERFORMANCE
NAV 29.42% 8.43% 19.69%
Market Price 29.42% 8.43% 19.69%
INDEX PERFORMANCE
Defined Mega Cap Index 30.41% 9.33% 21.93%
S&P 100(R) Index 21.73% 13.86% 33.42%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FMK's one-year NAV return of +29.42% outperformed the benchmark S&P 100(R) Index
return of +21.73% by +7.69%. The Consumer Discretionary sector led all sectors
in the Fund in weight and contribution to return. The Fund's holdings in the
sector comprised an average of 20.7% of the Fund's weight, returned +44.8%, and
contributed +9.2% to return. General Motors Co. was a standout performer in the
sector, with a return of +82.0%. The Financials sector just outperformed the
Consumer Discretionary sector by returning +45.8% for the reporting period.
Within the sector, Citigroup, Inc. returned +67.1% while held in the Fund this
reporting period and JPMorgan Chase & Co. returned +59.1%. In the Information
Technology sector, the Fund gained relative performance by being underweight
(14.3% vs. 22.9%) and receiving better performance from the sector (+17.5% vs.
+6.3%). Two drivers of the outperformance were the Fund's underweight position
in Apple, Inc. (-24.3% one-year return) and overweight position in Cisco
Systems, Inc. (+65.3% one-year return). Additional outperformance came from the
Fund being overweight the strong-performing Consumer Discretionary sector (20.7%
vs. 9.5%) relative to the benchmark.
----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 21.30%
Consumer Discretionary 19.21
Energy 17.85
Health Care 15.98
Information Technology 15.88
Industrials 4.53
Materials 1.96
Consumer Staples 1.36
Telecommunication Services 1.26
Utilities 0.67
-------
Total 100.00%
=======
----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2013
----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Apple, Inc. 3.61%
Ford Motor Co. 3.44
Chevron Corp. 3.36
MetLife, Inc. 3.34
Phillips 66 3.29
Exxon Mobil Corp. 3.27
Boeing (The) Co. 3.24
Home Depot (The), Inc. 3.22
American International Group, Inc. 3.21
Intel Corp. 3.04
-------
Total 33.02%
=======
The Defined Mega Cap Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Mega Cap Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's
Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and
have been sub-licensed for use by First Trust Portfolios L.P. The First Trust
Mega Cap AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P,
and S&P does not make any representation regarding the advisability of investing
in the Fund.
Page 26
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MEGA CAP ALPHADEX(R) FUND - FMK (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 11, 2011 - JULY 31, 2013
First Trust Mega Cap Defined Mega Cap S&P 100(R)
AlphaDEX(R) Fund Index Index
5/11/11 10000 10000 10000
7/31/11 9612 9632 9761
1/31/12 9571 9631 10120
7/31/12 9248 9349 10960
1/31/13 10467 10619 11784
7/31/13 11969 12193 13342
Performance figures assume reinvestment of all dividend 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
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2013
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 12, 2011 (commencement of
trading) through July 31, 2013. Shareholders may pay more than NAV when they buy
Fund shares and receive less than NAV when they sell those shares because shares
are bought and sold at current market price. Data presented represents past
performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
5/12/11 - 7/31/11 33 0 0 0
8/1/11 - 7/31/12 183 0 0 0
8/1/12 - 7/31/13 128 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
5/12/11 - 7/31/11 21 0 0 0
8/1/11 - 7/31/12 70 0 0 0
8/1/12 - 7/31/13 122 0 0 0
Page 27
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average annual total returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative total
returns" represent the total change in value of an investment over the periods
indicated. For certain Funds the total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of the 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
the Fund is used as a proxy for the secondary market trading price at inception
to calculate market returns. NAV and market returns assume that all dividend
distributions have been reinvested in each Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 28
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2013 (UNAUDITED)
As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid
Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First
Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R)
Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid
Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First
Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap AlphaDEX(R) Fund
(each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1)
transaction costs; and (2) ongoing costs, including management fees,
distribution and/or service fees, and other Fund expenses. This Example is
intended to help you understand your ongoing costs of investing in the Funds and
to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended July 31, 2013.
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
the 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.
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSE PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2013 JULY 31, 2013 PERIOD (a) PERIOD (b)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
Actual $1,000.00 $1,142.80 0.65% $3.40
Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.65% $3.21
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
Actual $1,000.00 $1,136.60 0.66% $3.44
Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.66% $3.26
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
Actual $1,000.00 $1,173.90 0.70% $3.77
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND - FTA
Actual $1,000.00 $1,137.60 0.66% $3.50
Hypothetical (5% return before expenses) $1,000.00 $1,021.52 0.66% $3.31
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND - FTC
Actual $1,000.00 $1,146.90 0.70% $3.73
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
Page 29
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2013 (UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSE PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2013 JULY 31, 2013 PERIOD (a) PERIOD (b)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
Actual $1,000.00 $1,152.90 0.70% $3.74
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
Actual $1,000.00 $1,136.90 0.70% $3.71
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND - FNK
Actual $1,000.00 $1,151.60 0.70% $3.73
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND - FNY
Actual $1,000.00 $1,112.20 0.70% $3.67
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT
Actual $1,000.00 $1,192.20 0.70% $3.80
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND - FYC
Actual $1,000.00 $1,147.80 0.70% $3.73
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MEGA CAP ALPHADEX(R) FUND - FMK
Actual $1,000.00 $1,143.50 0.70% $3.72
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in
the Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (February 1,
2013 through July 31, 2013), multiplied by 181/365 (to reflect the
one-half year period).
Page 30
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.3%
20,549 Boeing (The) Co. $ 2,159,700
21,233 Honeywell International, Inc. 1,761,915
24,555 L-3 Communications Holdings,
Inc. 2,287,298
15,535 Lockheed Martin Corp. 1,866,064
25,423 Northrop Grumman Corp. 2,340,442
7,457 Precision Castparts Corp. 1,653,366
25,467 Raytheon Co. 1,829,549
13,278 Rockwell Collins, Inc. 944,995
48,495 Textron, Inc. 1,327,793
4,533 United Technologies Corp. 478,549
-------------
16,649,671
-------------
AIR FREIGHT & LOGISTICS -- 0.5%
7,482 C.H. Robinson Worldwide, Inc. 446,077
17,081 FedEx Corp. 1,810,586
4,868 United Parcel Service, Inc.,
Class B 422,542
-------------
2,679,205
-------------
AIRLINES -- 0.4%
130,660 Southwest Airlines Co. 1,807,028
-------------
AUTO COMPONENTS -- 0.8%
14,658 BorgWarner, Inc. (a) 1,398,813
41,534 Delphi Automotive PLC 2,231,206
11,770 Johnson Controls, Inc. 473,272
-------------
4,103,291
-------------
AUTOMOBILES -- 0.7%
54,440 Ford Motor Co. 918,947
63,201 General Motors Co. (a) 2,267,020
7,674 Harley-Davidson, Inc. 435,653
-------------
3,621,620
-------------
BEVERAGES -- 1.1%
6,676 Beam, Inc. 433,873
23,955 Coca-Cola Enterprises, Inc. 899,271
40,398 Constellation Brands, Inc.,
Class A (a) 2,104,332
26,396 Molson Coors Brewing Co.,
Class B 1,321,384
6,933 Monster Beverage Corp. (a) 422,844
5,147 PepsiCo, Inc. 429,980
-------------
5,611,684
-------------
BIOTECHNOLOGY -- 1.8%
4,270 Amgen, Inc. 462,398
7,826 Biogen Idec, Inc. (a) 1,707,085
14,401 Celgene Corp. (a) 2,114,931
32,891 Gilead Sciences, Inc. (a) 2,021,152
9,366 Regeneron Pharmaceuticals,
Inc. (a) 2,529,382
-------------
8,834,948
-------------
BUILDING PRODUCTS -- 0.3%
64,810 Masco Corp. 1,329,901
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CAPITAL MARKETS -- 1.5%
26,024 Ameriprise Financial, Inc. $ 2,316,136
30,019 Bank of New York Mellon (The)
Corp. 944,097
3,277 BlackRock, Inc. 923,983
8,352 Goldman Sachs Group (The), Inc. 1,369,979
39,720 Invesco Ltd. 1,278,587
6,458 State Street Corp. 449,929
-------------
7,282,711
-------------
CHEMICALS -- 2.4%
13,793 Air Products & Chemicals, Inc. 1,498,472
4,406 Airgas, Inc. 454,743
13,082 Dow Chemical (The) Co. 458,393
8,024 E.I. du Pont de Nemours & Co. 462,905
18,045 Eastman Chemical Co. 1,451,359
19,767 Ecolab, Inc. 1,821,331
6,902 FMC Corp. 456,636
5,606 International Flavors &
Fragrances, Inc. 452,292
25,416 LyondellBasell Industries N.V.,
Class A 1,746,333
5,747 PPG Industries, Inc. 922,049
3,663 Praxair, Inc. 440,183
7,146 Sherwin-Williams (The) Co. 1,244,619
5,234 Sigma-Aldrich Corp. 437,353
-------------
11,846,668
-------------
COMMERCIAL BANKS -- 3.0%
24,855 BB&T Corp. 887,075
31,707 Comerica, Inc. 1,348,816
69,978 Fifth Third Bancorp 1,345,677
106,868 Huntington Bancshares, Inc. 913,721
152,554 KeyCorp 1,874,889
7,537 M&T Bank Corp. 880,774
17,320 PNC Financial Services Group,
Inc. 1,317,186
132,546 Regions Financial Corp. 1,326,785
53,354 SunTrust Banks, Inc. 1,856,186
11,645 U.S. Bancorp 434,591
30,602 Wells Fargo & Co. 1,331,187
58,317 Zions Bancorporation 1,728,516
-------------
15,245,403
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.3%
42,270 ADT (The) Corp. 1,694,182
18,485 Cintas Corp. 878,222
28,679 Pitney Bowes, Inc. 473,490
49,626 Republic Services, Inc. 1,682,818
7,622 Stericycle, Inc. (a) 883,695
20,876 Waste Management, Inc. 877,418
-------------
6,489,825
-------------
COMMUNICATIONS EQUIPMENT -- 0.8%
69,286 Cisco Systems, Inc. 1,770,257
34,202 Harris Corp. 1,951,908
See Notes to Financial Statements Page 31
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT
(CONTINUED)
29,274 JDS Uniphase Corp. (a) $ 429,450
-------------
4,151,615
-------------
COMPUTERS & PERIPHERALS -- 1.1%
94,612 Dell, Inc. 1,198,734
11,141 NetApp, Inc. 458,118
46,962 Seagate Technology PLC 1,921,215
33,912 Western Digital Corp. 2,183,255
-------------
5,761,322
-------------
CONSTRUCTION & ENGINEERING --
0.4%
7,095 Fluor Corp. 443,863
15,281 Jacobs Engineering Group,
Inc. (a) 904,635
15,914 Quanta Services, Inc. (a) 426,655
-------------
1,775,153
-------------
CONSUMER FINANCE -- 1.3%
22,522 American Express Co. 1,661,448
26,810 Capital One Financial Corp. 1,850,426
26,512 Discover Financial Services 1,312,609
73,676 SLM Corp. 1,820,534
-------------
6,645,017
-------------
CONTAINERS & PACKAGING -- 0.9%
9,840 Avery Dennison Corp. 440,143
21,519 Bemis Co., Inc. 886,367
24,682 MeadWestvaco Corp. 912,000
87,908 Sealed Air Corp. 2,394,614
-------------
4,633,124
-------------
DISTRIBUTORS -- 0.1%
5,394 Genuine Parts Co. 442,254
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
118,806 Apollo Group, Inc., Class A (a) 2,164,645
15,170 H&R Block, Inc. 476,793
-------------
2,641,438
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 2.0%
65,489 Bank of America Corp. 956,139
17,554 Citigroup, Inc. 915,266
4,744 IntercontinentalExchange,
Inc. (a) 865,543
31,901 JPMorgan Chase & Co. 1,777,843
48,169 Leucadia National Corp. 1,292,374
34,552 Moody's Corp. 2,341,589
38,527 NASDAQ OMX Group (The), Inc. 1,248,275
10,175 NYSE Euronext 428,978
-------------
9,826,007
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.4%
35,680 AT&T, Inc. $ 1,258,434
59,560 CenturyLink, Inc. 2,135,226
519,811 Frontier Communications Corp. 2,266,376
16,729 Verizon Communications, Inc. 827,751
54,607 Windstream Corp. 455,968
-------------
6,943,755
-------------
ELECTRIC UTILITIES -- 3.7%
37,606 American Electric Power Co.,
Inc. 1,743,038
18,709 Duke Energy Corp. 1,328,339
43,715 Edison International 2,179,193
30,214 Entergy Corp. 2,039,445
40,898 Exelon Corp. 1,251,070
45,104 FirstEnergy Corp. 1,717,109
5,166 NextEra Energy, Inc. 447,427
30,056 Northeast Utilities 1,334,787
30,356 Pinnacle West Capital Corp. 1,787,969
55,656 PPL Corp. 1,768,191
28,623 Southern (The) Co. 1,283,455
59,427 Xcel Energy, Inc. 1,779,839
-------------
18,659,862
-------------
ELECTRICAL EQUIPMENT -- 0.6%
31,983 Eaton Corp. PLC 2,205,228
7,726 Emerson Electric Co. 474,144
5,068 Rockwell Automation, Inc. 490,836
-------------
3,170,208
-------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.1%
16,206 Amphenol Corp., Class A 1,273,143
147,945 Corning, Inc. 2,247,284
46,829 FLIR Systems, Inc. 1,520,538
103,305 Jabil Circuit, Inc. 2,374,982
57,408 Molex, Inc. 1,712,481
27,741 TE Connectivity Ltd. 1,415,901
-------------
10,544,329
-------------
ENERGY EQUIPMENT & SERVICES --
4.2%
27,377 Baker Hughes, Inc. 1,298,491
13,769 Cameron International Corp. (a) 816,502
30,599 Diamond Offshore Drilling, Inc. 2,063,596
36,220 Ensco PLC, Class A 2,076,855
30,247 FMC Technologies, Inc. (a) 1,612,165
40,376 Halliburton Co. 1,824,591
33,713 Helmerich & Payne, Inc. 2,130,662
137,504 Nabors Industries Ltd. 2,116,187
30,553 National Oilwell Varco, Inc. 2,143,904
56,014 Noble Corp. 2,139,735
49,432 Rowan Cos. PLC, Class A (a) 1,697,989
11,758 Schlumberger Ltd. 956,278
-------------
20,876,955
-------------
Page 32 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING --
2.3%
15,226 Costco Wholesale Corp. $ 1,785,858
22,093 CVS Caremark Corp. 1,358,499
36,564 Kroger (The) Co. 1,435,868
88,985 Safeway, Inc. 2,294,923
12,331 Sysco Corp. 425,543
28,580 Walgreen Co. 1,436,145
16,960 Wal-Mart Stores, Inc. 1,321,862
24,538 Whole Foods Market, Inc. 1,363,822
-------------
11,422,520
-------------
FOOD PRODUCTS -- 2.0%
37,251 Archer-Daniels-Midland Co. 1,358,544
37,598 Campbell Soup Co. 1,759,586
17,348 General Mills, Inc. 902,096
9,433 Hershey (The) Co. 894,909
10,908 Hormel Foods Corp. 461,954
12,241 J.M. Smucker (The) Co. 1,377,357
19,668 Kellogg Co. 1,302,808
65,585 Tyson Foods, Inc., Class A 1,811,458
-------------
9,868,712
-------------
GAS UTILITIES -- 0.4%
39,302 AGL Resources, Inc. 1,799,638
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 2.9%
60,363 Abbott Laboratories 2,211,097
8,527 Becton, Dickinson & Co. 884,420
181,684 Boston Scientific Corp. (a) 1,983,989
3,869 C. R. Bard, Inc. 443,387
22,857 CareFusion Corp. (a) 881,595
22,100 Covidien PLC 1,362,023
20,557 DENTSPLY International, Inc. 881,484
24,543 Medtronic, Inc. 1,355,755
18,450 St. Jude Medical, Inc. 966,596
13,016 Stryker Corp. 917,107
12,481 Varian Medical Systems, Inc. (a) 904,873
22,471 Zimmer Holdings, Inc. 1,875,879
-------------
14,668,205
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 2.8%
19,885 Aetna, Inc. 1,276,021
17,840 Cardinal Health, Inc. 893,606
5,815 Cigna Corp. 452,582
10,460 DaVita HealthCare Partners,
Inc. (a) 1,217,649
27,299 Express Scripts Holding Co. (a) 1,789,449
24,944 Humana, Inc. 2,276,389
12,623 Laboratory Corp. of America
Holdings (a) 1,221,149
11,191 Patterson Cos., Inc. 457,600
6,948 Quest Diagnostics, Inc. 405,138
25,717 UnitedHealth Group, Inc. 1,873,483
25,720 WellPoint, Inc. 2,200,603
-------------
14,063,669
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE TECHNOLOGY -- 0.2%
17,528 Cerner Corp. (a) $ 858,872
-------------
HOTELS, RESTAURANTS & LEISURE
-- 1.7%
61,390 Carnival Corp. 2,273,272
2,317 Chipotle Mexican Grill, Inc. (a) 955,230
25,027 Darden Restaurants, Inc. 1,227,574
75,593 International Game Technology 1,396,203
4,256 McDonald's Corp. 417,428
25,713 Starbucks Corp. 1,831,794
6,065 Yum! Brands, Inc. 442,260
-------------
8,543,761
-------------
HOUSEHOLD DURABLES -- 1.5%
19,782 D.R. Horton, Inc. 397,618
58,226 Garmin Ltd. 2,333,698
23,301 Harman International Industries,
Inc. 1,410,409
13,541 Leggett & Platt, Inc. 425,323
32,083 Newell Rubbermaid, Inc. 866,883
44,385 PulteGroup, Inc. (a) 738,123
11,047 Whirlpool Corp. 1,479,635
-------------
7,651,689
-------------
HOUSEHOLD PRODUCTS -- 0.2%
4,334 Kimberly-Clark Corp. 428,199
5,465 Procter & Gamble (The) Co. 438,840
-------------
867,039
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 0.4%
78,848 NRG Energy, Inc. 2,114,703
-------------
INDUSTRIAL CONGLOMERATES --
0.6%
7,708 3M Co. 905,151
19,956 Danaher Corp. 1,343,837
36,306 General Electric Co. 884,777
-------------
3,133,765
-------------
INSURANCE -- 5.1%
14,113 ACE Ltd. 1,289,646
21,727 Aflac, Inc. 1,340,121
26,247 Allstate (The) Corp. 1,338,072
37,684 American International Group,
Inc. (a) 1,714,999
13,080 Aon PLC 882,900
33,089 Assurant, Inc. 1,792,100
11,289 Berkshire Hathaway, Inc.,
Class B (a) 1,308,056
14,918 Chubb (The) Corp. 1,290,407
18,347 Cincinnati Financial Corp. 899,003
36,906 Genworth Financial, Inc.,
Class A (a) 479,409
46,180 Lincoln National Corp. 1,924,321
21,093 Marsh & McLennan Cos., Inc. 883,164
22,482 Principal Financial Group, Inc. 974,819
16,559 Progressive (The) Corp. 430,700
28,830 Prudential Financial, Inc. 2,276,705
See Notes to Financial Statements Page 33
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
19,394 Torchmark Corp. $ 1,378,526
21,073 Travelers (The) Cos., Inc. 1,760,649
57,339 Unum Group 1,814,206
55,551 XL Group PLC 1,741,524
-------------
25,519,327
-------------
INTERNET & CATALOG RETAIL --
1.6%
3,029 Amazon.com, Inc. (a) 912,395
7,001 Expedia, Inc. 329,957
9,974 Netflix, Inc. (a) 2,435,850
2,043 priceline.com, Inc. (a) 1,788,994
34,585 TripAdvisor, Inc. (a) 2,594,567
-------------
8,061,763
-------------
INTERNET SOFTWARE & SERVICES --
0.8%
19,787 Akamai Technologies, Inc. (a) 933,946
2,393 Google, Inc., Class A (a) 2,124,027
33,533 Yahoo!, Inc. (a) 941,942
-------------
3,999,915
-------------
IT SERVICES -- 2.6%
5,856 Accenture PLC, Class A 432,231
12,225 Automatic Data Processing, Inc. 881,300
38,485 Computer Sciences Corp. 1,834,195
29,482 Fidelity National Information
Services, Inc. 1,272,443
4,402 International Business Machines
Corp. 858,566
1,460 MasterCard, Inc., Class A 891,491
11,533 Paychex, Inc. 454,862
151,134 SAIC, Inc. 2,310,839
68,802 Total System Services, Inc. 1,885,863
6,918 Visa, Inc., Class A 1,224,555
49,213 Western Union Co. 883,865
-------------
12,930,210
-------------
LEISURE EQUIPMENT & PRODUCTS --
0.3%
9,395 Hasbro, Inc. 432,170
27,874 Mattel, Inc. 1,171,544
-------------
1,603,714
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.0%
22,752 Life Technologies Corp. (a) 1,697,300
12,956 PerkinElmer, Inc. 441,670
24,874 Thermo Fisher Scientific, Inc. 2,266,270
4,214 Waters Corp. (a) 425,361
-------------
4,830,601
-------------
MACHINERY -- 2.9%
15,317 Caterpillar, Inc. 1,269,932
10,359 Deere & Co. 860,522
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MACHINERY (CONTINUED)
16,262 Dover Corp. $ 1,392,678
7,798 Flowserve Corp. 441,991
12,173 Illinois Tool Works, Inc. 876,943
15,165 Ingersoll-Rand PLC 925,823
43,385 Joy Global, Inc. 2,147,557
15,692 PACCAR, Inc. 882,989
13,240 Parker Hannifin Corp. 1,367,427
36,490 Pentair Ltd. 2,228,809
14,128 Snap-on, Inc. 1,340,041
31,262 Xylem, Inc. 779,362
-------------
14,514,074
-------------
MEDIA -- 4.0%
25,851 CBS Corp., Class B 1,365,967
20,101 Comcast Corp., Class A 906,153
34,171 DIRECTV (a) 2,161,999
5,451 Discovery Communications, Inc.,
Class A (a) 434,554
86,072 Gannett Co., Inc. 2,217,215
144,692 Interpublic Group of Cos. (The),
Inc. 2,380,183
26,786 Omnicom Group, Inc. 1,721,536
6,302 Scripps Networks Interactive,
Class A 445,993
18,712 Time Warner Cable, Inc. 2,134,478
14,565 Time Warner, Inc. 906,817
58,533 Twenty-First Century Fox, Inc. 1,748,966
12,377 Viacom, Inc., Class B 900,674
26,673 Walt Disney (The) Co. 1,724,409
1,734 Washington Post (The) Co.,
Class B 931,782
-------------
19,980,726
-------------
METALS & MINING -- 2.1%
269,212 Alcoa, Inc. 2,140,235
48,013 Allegheny Technologies, Inc. 1,323,719
76,244 Freeport-McMoRan Copper &
Gold, Inc. 2,156,180
70,287 Newmont Mining Corp. 2,108,610
9,720 Nucor Corp. 454,702
120,097 United States Steel Corp. 2,083,683
-------------
10,267,129
-------------
MULTILINE RETAIL -- 1.8%
16,701 Dollar General Corp. (a) 913,044
24,845 Dollar Tree, Inc. (a) 1,332,934
6,757 Family Dollar Stores, Inc. 464,611
41,675 Kohl's Corp. 2,207,942
26,309 Macy's, Inc. 1,271,777
28,097 Nordstrom, Inc. 1,720,660
18,345 Target Corp. 1,307,081
-------------
9,218,049
-------------
Page 34 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES -- 3.6%
35,852 CenterPoint Energy, Inc. $ 889,847
46,488 CMS Energy Corp. 1,301,199
28,884 Consolidated Edison, Inc. 1,730,152
25,132 DTE Energy Co. 1,776,832
35,966 Integrys Energy Group, Inc. 2,258,665
44,099 NiSource, Inc. 1,354,721
36,824 PG&E Corp. 1,689,853
51,568 Public Service Enterprise Group,
Inc. 1,742,483
34,301 SCANA Corp. 1,780,565
10,298 Sempra Energy 902,414
97,977 TECO Energy, Inc. 1,731,253
20,543 Wisconsin Energy Corp. 893,210
-------------
18,051,194
-------------
OFFICE ELECTRONICS -- 0.4%
232,116 Xerox Corp. 2,251,525
-------------
OIL, GAS & CONSUMABLE FUELS --
8.4%
9,796 Anadarko Petroleum Corp. 867,142
25,113 Apache Corp. 2,015,318
23,717 Cabot Oil & Gas Corp. 1,798,223
61,986 Chesapeake Energy Corp. 1,444,274
17,791 Chevron Corp. 2,239,709
34,799 ConocoPhillips 2,257,063
62,145 CONSOL Energy, Inc. 1,928,359
6,399 EOG Resources, Inc. 930,991
21,225 EQT Corp. 1,835,962
23,297 Exxon Mobil Corp. 2,184,094
31,659 Hess Corp. 2,357,329
60,874 Marathon Oil Corp. 2,213,379
29,630 Marathon Petroleum Corp. 2,172,768
34,574 Murphy Oil Corp. 2,341,351
21,040 Noble Energy, Inc. 1,314,790
23,588 Occidental Petroleum Corp. 2,100,511
35,732 Phillips 66 2,197,518
14,546 Pioneer Natural Resources Co. 2,251,139
45,464 QEP Resources, Inc. 1,386,197
5,443 Range Resources Corp. 430,541
32,187 Tesoro Corp. 1,829,831
60,544 Valero Energy Corp. 2,165,659
88,918 WPX Energy, Inc. (a) 1,708,115
-------------
41,970,263
-------------
PAPER & FOREST PRODUCTS -- 0.2%
18,999 International Paper Co. 917,842
-------------
PERSONAL PRODUCTS -- 0.1%
6,406 Estee Lauder (The) Cos., Inc.,
Class A 420,554
-------------
PHARMACEUTICALS -- 1.4%
16,682 Actavis, Inc. (a) 2,239,892
5,005 Allergan, Inc. 456,056
9,423 Bristol-Myers Squibb Co. 407,450
9,803 Johnson & Johnson 916,580
54,276 Mylan, Inc. (a) 1,821,503
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
3,481 Perrigo Co. $ 433,002
30,059 Pfizer, Inc. 878,625
-------------
7,153,108
-------------
PROFESSIONAL SERVICES -- 0.4%
8,641 Dun & Bradstreet (The) Corp. 895,467
7,138 Equifax, Inc. 451,336
12,672 Robert Half International, Inc. 471,905
-------------
1,818,708
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 0.1%
14,783 Weyerhaeuser Co. 419,837
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.2%
54,069 CBRE Group, Inc., Class A (a) 1,252,779
-------------
ROAD & RAIL -- 1.4%
72,626 CSX Corp. 1,801,851
3,978 Kansas City Southern 428,630
23,184 Norfolk Southern Corp. 1,696,141
27,711 Ryder System, Inc. 1,713,648
8,183 Union Pacific Corp. 1,297,742
-------------
6,938,012
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.7%
25,532 Altera Corp. 907,918
9,350 Analog Devices, Inc. 461,516
56,476 Applied Materials, Inc. 921,124
47,061 First Solar, Inc. (a) 2,317,284
37,988 Lam Research Corp. (a) 1,869,769
58,965 LSI Corp. (a) 458,748
11,305 Microchip Technology, Inc. 449,261
146,910 Micron Technology, Inc. (a) 1,946,557
150,057 NVIDIA Corp. 2,165,322
47,935 Teradyne, Inc. (a) 790,448
24,143 Texas Instruments, Inc. 946,406
10,625 Xilinx, Inc. 496,081
-------------
13,730,434
-------------
SOFTWARE -- 0.8%
9,238 Adobe Systems, Inc. (a) 436,772
58,828 CA, Inc. 1,749,545
24,383 Microsoft Corp. 776,111
37,479 Symantec Corp. 999,940
-------------
3,962,368
-------------
SPECIALTY RETAIL -- 4.6%
46,520 Abercrombie & Fitch Co.,
Class A 2,319,952
29,114 AutoNation, Inc. (a) 1,394,561
1,982 AutoZone, Inc. (a) 889,086
23,755 Bed Bath & Beyond, Inc. (a) 1,816,545
45,609 CarMax, Inc. (a) 2,236,665
50,451 Gap (The), Inc. 2,315,701
27,180 Home Depot (The), Inc. 2,148,035
17,094 L Brands, Inc. 953,332
See Notes to Financial Statements Page 35
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL (CONTINUED)
30,878 Lowe's Cos., Inc. $ 1,376,541
14,949 O'Reilly Automotive, Inc. (a) 1,872,512
6,281 PetSmart, Inc. 459,895
19,487 Ross Stores, Inc. 1,314,788
17,338 Tiffany & Co. 1,378,544
33,649 TJX (The) Cos., Inc. 1,751,094
20,944 Urban Outfitters, Inc. (a) 891,377
-------------
23,118,628
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.6%
12,223 Fossil Group, Inc. (a) 1,343,308
26,448 NIKE, Inc., Class B 1,664,108
16,830 PVH Corp. 2,218,026
2,424 Ralph Lauren Corp. 441,313
10,899 VF Corp. 2,147,103
-------------
7,813,858
-------------
THRIFTS & MORTGAGE FINANCE --
0.1%
28,263 People's United Financial, Inc. 423,945
-------------
TOBACCO -- 0.1%
9,644 Lorillard, Inc. 410,159
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.4%
8,349 W.W. Grainger, Inc. 2,188,607
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.1%
5,823 Crown Castle International
Corp. (a) 409,066
-------------
TOTAL COMMON STOCKS -- 100.0% 500,741,962
(Cost $431,346,463)
MONEY MARKET FUND -- 0.0%
259,197 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 259,197
(Cost $259,197) -------------
TOTAL INVESTMENTS -- 100.0% $ 501,001,159
(Cost $431,605,660) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (172,518)
-------------
NET ASSETS -- 100.0% $ 500,828,641
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $438,678,197. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $67,400,092 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $5,077,130.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $500,741,962 $ -- $ --
Money Market Fund 259,197 -- --
--------------------------------------
Total Investments $501,001,159 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
Page 36 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.5%
30,829 Alliant Techsystems, Inc. $ 2,870,180
40,238 B/E Aerospace, Inc. (a) 2,804,991
21,066 Esterline Technologies Corp. (a) 1,715,615
147,247 Exelis, Inc. 2,176,310
8,987 Huntington Ingalls Industries,
Inc. 558,812
25,654 Triumph Group, Inc. 2,012,813
-------------
12,138,721
-------------
AIRLINES -- 0.9%
29,286 Alaska Air Group, Inc. (a) 1,791,425
402,884 JetBlue Airways Corp. (a) 2,634,861
-------------
4,426,286
-------------
AUTO COMPONENTS -- 0.1%
22,024 Gentex Corp. 497,302
-------------
AUTOMOBILES -- 0.6%
51,610 Thor Industries, Inc. 2,789,521
-------------
BIOTECHNOLOGY -- 0.7%
30,849 United Therapeutics Corp. (a) 2,308,739
12,712 Vertex Pharmaceuticals, Inc. (a) 1,014,418
-------------
3,323,157
-------------
BUILDING PRODUCTS -- 1.0%
65,518 Fortune Brands Home & Security,
Inc. 2,706,549
31,461 Lennox International, Inc. 2,259,529
-------------
4,966,078
-------------
CAPITAL MARKETS -- 2.0%
12,386 Affiliated Managers Group,
Inc. (a) 2,233,815
196,758 Apollo Investment Corp. 1,599,642
18,519 Federated Investors, Inc.,
Class B (b) 537,607
238,607 Janus Capital Group, Inc. 2,235,748
23,622 Raymond James Financial, Inc. 1,041,022
35,712 SEI Investments Co. 1,128,856
23,340 Waddell & Reed Financial, Inc.,
Class A 1,191,740
-------------
9,968,430
-------------
CHEMICALS -- 3.2%
16,299 Albemarle Corp. 1,010,701
18,238 Ashland, Inc. 1,583,788
67,830 Cabot Corp. 2,782,386
13,860 Cytec Industries, Inc. 1,079,694
133,238 Intrepid Potash, Inc. 1,702,782
36,839 Minerals Technologies, Inc. 1,694,594
84,890 Olin Corp. 2,071,316
31,788 RPM International, Inc. 1,120,209
50,173 Sensient Technologies Corp. 2,208,114
7,849 Valspar (The) Corp. 534,674
-------------
15,788,258
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMERCIAL BANKS -- 4.5%
97,936 Associated Banc-Corp. $ 1,659,036
28,679 BancorpSouth, Inc. 563,542
24,032 City National Corp. 1,670,945
11,654 Commerce Bancshares, Inc. 531,772
7,603 Cullen/Frost Bankers, Inc. 547,720
36,918 East West Bancorp, Inc. 1,138,182
45,324 First Horizon National Corp. 558,845
100,821 First Niagara Financial Group,
Inc. 1,077,777
25,344 FirstMerit Corp. 568,213
88,438 Fulton Financial Corp. 1,113,434
50,646 Hancock Holding Co. 1,659,163
44,962 International Bancshares Corp. 1,088,530
9,801 Prosperity Bancshares, Inc. 578,455
12,228 Signature Bank (a) 1,119,473
24,370 SVB Financial Group (a) 2,125,551
347,695 Synovus Financial Corp. 1,157,824
71,598 TCF Financial Corp. 1,091,154
41,306 Trustmark Corp. 1,114,023
107,208 Valley National Bancorp (b) 1,109,603
59,304 Webster Financial Corp. 1,615,441
-------------
22,088,683
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.7%
39,800 Brink's (The) Co. 1,063,854
58,601 Deluxe Corp. 2,403,227
56,257 Herman Miller, Inc. 1,581,384
10,905 Mine Safety Appliances Co. 579,383
19,599 Rollins, Inc. 499,774
49,357 Waste Connections, Inc. 2,135,184
-------------
8,262,806
-------------
COMMUNICATIONS EQUIPMENT -- 0.9%
104,559 Ciena Corp. (a) 2,306,572
22,739 InterDigital, Inc. 903,420
23,117 Plantronics, Inc. 1,074,709
-------------
4,284,701
-------------
COMPUTERS & PERIPHERALS -- 1.6%
57,818 3D Systems Corp. (a) (b) 2,730,744
66,422 Lexmark International, Inc.,
Class A 2,490,161
76,938 NCR Corp. (a) 2,769,768
-------------
7,990,673
-------------
CONSTRUCTION & ENGINEERING --
0.7%
34,115 Granite Construction, Inc. 1,031,979
53,752 URS Corp. 2,499,468
-------------
3,531,447
-------------
CONSTRUCTION MATERIALS -- 0.4%
22,980 Eagle Materials, Inc. 1,550,690
5,158 Martin Marietta Materials, Inc. 513,737
-------------
2,064,427
-------------
See Notes to Financial Statements Page 37
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONTAINERS & PACKAGING -- 2.1%
18,390 AptarGroup, Inc. $ 1,073,792
28,913 Greif, Inc., Class A 1,599,467
51,842 Packaging Corp. of America 2,788,581
20,330 Rock Tenn Co., Class A 2,324,736
10,810 Silgan Holdings, Inc. 521,474
44,052 Sonoco Products Co. 1,695,562
-------------
10,003,612
-------------
DISTRIBUTORS -- 0.5%
98,570 LKQ Corp. (a) 2,569,720
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.6%
81,823 DeVry, Inc. 2,461,236
26,930 Matthews International Corp.,
Class A 1,041,652
140,774 Service Corp. International 2,670,483
41,584 Strayer Education, Inc. (b) 1,840,508
-------------
8,013,879
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.7%
43,537 CBOE Holdings, Inc. 2,181,204
30,517 MSCI, Inc. (a) 1,069,621
-------------
3,250,825
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.1%
18,039 tw telecom, Inc. (a) 537,201
-------------
ELECTRIC UTILITIES -- 3.2%
32,799 Cleco Corp. 1,591,080
112,607 Great Plains Energy, Inc. 2,723,963
60,171 Hawaiian Electric Industries,
Inc. 1,604,159
42,515 IDACORP, Inc. 2,243,517
86,553 NV Energy, Inc. 2,045,247
29,773 OGE Energy Corp. 1,113,510
91,507 PNM Resources, Inc. 2,148,584
63,534 Westar Energy, Inc. 2,134,107
-------------
15,604,167
-------------
ELECTRICAL EQUIPMENT -- 1.1%
20,166 Acuity Brands, Inc. 1,744,359
12,000 AMETEK, Inc. 555,360
10,255 Hubbell, Inc., Class B 1,100,874
31,315 Regal-Beloit Corp. 2,025,454
-------------
5,426,047
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
2.9%
63,694 Arrow Electronics, Inc. (a) 2,907,631
75,540 Avnet, Inc. (a) 2,845,592
133,657 Ingram Micro, Inc., Class A (a) 3,051,389
53,901 Tech Data Corp. (a) 2,767,278
182,734 Vishay Intertechnology, Inc. (a) 2,629,542
-------------
14,201,432
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
ENERGY EQUIPMENT & SERVICES --
4.6%
48,764 Atwood Oceanics, Inc. (a) $ 2,747,364
30,113 CARBO Ceramics, Inc. (b) 2,645,728
8,463 Dresser-Rand Group, Inc. (a) 515,143
16,867 Dril-Quip, Inc. (a) 1,533,379
35,154 Oceaneering International, Inc. 2,850,638
27,397 Oil States International,
Inc. (a) 2,663,810
131,138 Patterson-UTI Energy, Inc. 2,592,598
97,847 Superior Energy Services,
Inc. (a) 2,506,840
35,641 Tidewater, Inc. 2,102,463
47,688 Unit Corp. (a) 2,149,775
-------------
22,307,738
-------------
FOOD & STAPLES RETAILING -- 0.6%
32,499 Harris Teeter Supermarkets, Inc. 1,598,301
18,805 United Natural Foods, Inc. (a) 1,101,973
-------------
2,700,274
-------------
FOOD PRODUCTS -- 2.2%
50,663 Dean Foods Co. (a) 552,227
115,110 Flowers Foods, Inc. 2,642,926
33,815 Green Mountain Coffee Roasters,
Inc. (a) (b) 2,609,842
7,737 Ingredion, Inc. 519,926
6,509 Lancaster Colony Corp. 540,442
23,253 Post Holdings, Inc. (a) 1,078,707
31,001 Smithfield Foods, Inc. (a) 1,029,233
47,920 Tootsie Roll Industries,
Inc. (b) 1,622,571
-------------
10,595,874
-------------
GAS UTILITIES -- 1.5%
37,090 Atmos Energy Corp. 1,640,862
17,520 National Fuel Gas Co. 1,135,822
21,284 Questar Corp. 507,836
38,940 UGI Corp. 1,635,091
46,982 WGL Holdings, Inc. 2,159,762
-------------
7,079,373
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.6%
17,057 Cooper (The) Cos., Inc. 2,172,209
60,289 Hill-Rom Holdings, Inc. 2,234,913
23,944 Masimo Corp. 557,656
11,249 ResMed, Inc. (b) 536,015
35,516 STERIS Corp. 1,598,930
6,551 Teleflex, Inc. 520,346
-------------
7,620,069
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 2.7%
43,314 Community Health Systems, Inc. 1,995,043
32,292 Health Management Associates,
Inc., Class A (a) 435,296
15,904 Henry Schein, Inc. (a) 1,651,312
51,970 LifePoint Hospitals, Inc. (a) 2,554,845
16,630 MEDNAX, Inc. (a) 1,620,095
10,640 Omnicare, Inc. 561,686
Page 38 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
30,010 Owens & Minor, Inc. $ 1,079,160
22,744 Universal Health Services, Inc.,
Class B 1,590,943
27,414 WellCare Health Plans, Inc. (a) 1,673,076
-------------
13,161,456
-------------
HOTELS, RESTAURANTS & LEISURE
-- 3.8%
35,990 Bally Technologies, Inc. (a) 2,579,763
32,417 Bob Evans Farms, Inc. 1,647,432
38,623 Brinker International, Inc. 1,550,713
48,474 Cheesecake Factory (The), Inc. 2,057,237
43,648 Domino's Pizza, Inc. 2,731,492
48,392 International Speedway Corp.,
Class A 1,638,069
30,391 Life Time Fitness, Inc. (a) 1,619,536
10,920 Panera Bread Co., Class A (a) 1,824,186
87,074 Wendy's (The) Co. 619,096
79,597 WMS Industries, Inc. (a) 2,049,623
-------------
18,317,147
-------------
HOUSEHOLD DURABLES -- 1.7%
46,412 Jarden Corp. (a) 2,110,354
103,440 KB Home (b) 1,836,060
13,537 Mohawk Industries, Inc. (a) 1,610,768
554 NVR, Inc. (a) 512,782
23,128 Tempur Sealy International,
Inc. (a) 917,025
13,068 Tupperware Brands Corp. 1,101,371
-------------
8,088,360
-------------
HOUSEHOLD PRODUCTS -- 0.2%
10,102 Energizer Holdings, Inc. 1,028,384
-------------
INDUSTRIAL CONGLOMERATES -- 0.5%
32,587 Carlisle Cos., Inc. 2,207,443
-------------
INSURANCE -- 5.9%
5,297 Alleghany Corp. (a) 2,139,352
41,515 American Financial Group, Inc. 2,145,910
46,475 Arthur J. Gallagher & Co. 2,062,561
68,434 Aspen Insurance Holdings Ltd. 2,565,591
31,490 Brown & Brown, Inc. 1,038,855
19,789 Everest Re Group, Ltd. 2,642,425
106,602 Fidelity National Financial,
Inc., Class A 2,609,617
46,064 First American Financial Corp. 1,047,035
10,375 Hanover Insurance Group, (The),
Inc. 558,486
47,101 HCC Insurance Holdings, Inc. 2,097,408
29,643 Kemper Corp. 1,036,023
11,547 Mercury General Corp. 510,377
27,117 Primerica, Inc. 1,112,882
39,649 Protective Life Corp. 1,717,991
29,382 Reinsurance Group of America,
Inc. 2,000,620
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INSURANCE (CONTINUED)
30,821 StanCorp Financial Group, Inc. $ 1,636,287
37,271 W. R. Berkley Corp. 1,579,172
-------------
28,500,592
-------------
INTERNET & CATALOG RETAIL --
0.1%
9,450 HSN, Inc. 567,567
-------------
INTERNET SOFTWARE & SERVICES --
1.4%
69,577 AOL, Inc. 2,563,217
516,939 Monster Worldwide, Inc. (a) 2,956,891
61,707 ValueClick, Inc. (a) 1,508,119
-------------
7,028,227
-------------
IT SERVICES -- 4.5%
89,530 Acxiom Corp. (a) 2,307,188
11,217 Alliance Data Systems Corp. (a) 2,218,498
57,295 Broadridge Financial Solutions,
Inc. 1,658,117
29,124 Convergys Corp. 551,317
21,909 CoreLogic, Inc. (a) 611,261
38,851 DST Systems, Inc. 2,720,736
26,722 Gartner, Inc. (a) 1,603,587
10,960 Global Payments, Inc. 507,558
21,541 Jack Henry & Associates, Inc. 1,040,430
62,769 Lender Processing Services, Inc. 2,051,291
97,173 ManTech International Corp.,
Class A 2,870,491
41,711 NeuStar, Inc., Class A (a) 2,339,153
60,398 VeriFone Systems, Inc. (a) 1,151,790
-------------
21,631,417
-------------
LEISURE EQUIPMENT & PRODUCTS --
0.4%
16,031 Polaris Industries, Inc. 1,797,716
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.9%
13,574 Bio-Rad Laboratories, Inc.,
Class A (a) 1,655,893
26,668 Covance, Inc. (a) 2,200,110
7,349 Techne Corp. 541,915
-------------
4,397,918
-------------
MACHINERY -- 5.2%
50,571 AGCO Corp. 2,844,619
9,723 CLARCOR, Inc. 534,571
8,472 Crane Co. 515,945
14,236 Donaldson Co., Inc. 516,055
32,123 Graco, Inc. 2,241,543
18,868 IDEX Corp. 1,125,476
86,303 ITT Corp. 2,696,106
65,365 Kennametal, Inc. 2,832,919
17,728 Lincoln Electric Holdings, Inc. 1,046,661
21,972 Nordson Corp. 1,585,499
40,108 Oshkosh Corp. (a) 1,797,641
19,302 Terex Corp. (a) 569,023
9,021 Timken (The) Co. 527,007
See Notes to Financial Statements Page 39
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
66,030 Trinity Industries, Inc. $ 2,599,601
3,547 Valmont Industries, Inc. 495,303
38,003 Wabtec Corp. 2,206,454
25,382 Woodward, Inc. 1,038,631
-------------
25,173,054
-------------
MARINE -- 0.6%
19,146 Kirby Corp. (a) 1,617,071
40,610 Matson, Inc. 1,150,075
-------------
2,767,146
-------------
MEDIA -- 2.8%
31,043 AMC Networks, Inc., Class A (a) 2,118,995
50,650 John Wiley & Sons, Inc.,
Class A 2,285,835
11,697 Lamar Advertising Co.,
Class A (a) 506,831
21,284 Meredith Corp. 1,011,416
183,593 New York Times (The) Co.,
Class A (a) 2,236,163
86,657 Scholastic Corp. 2,643,038
103,219 Valassis Communications,
Inc. (b) 2,955,160
-------------
13,757,438
-------------
METALS & MINING -- 2.4%
33,790 Carpenter Technology Corp. 1,766,541
137,477 Commercial Metals Co. 2,129,519
38,716 Reliance Steel & Aluminum Co. 2,717,863
136,186 Steel Dynamics, Inc. 2,119,054
80,043 Worthington Industries, Inc. 2,863,138
-------------
11,596,115
-------------
MULTILINE RETAIL -- 0.8%
80,500 Big Lots, Inc. (a) 2,908,465
74,433 Saks, Inc. (a) 1,192,417
-------------
4,100,882
-------------
MULTI-UTILITIES -- 1.1%
30,204 Alliant Energy Corp. 1,599,906
31,239 Black Hills Corp. 1,657,229
60,022 Vectren Corp. 2,222,014
-------------
5,479,149
-------------
OFFICE ELECTRONICS -- 0.3%
35,058 Zebra Technologies Corp.,
Class A (a) 1,618,628
-------------
OIL, GAS & CONSUMABLE FUELS --
2.8%
100,422 Bill Barrett Corp. (a) (b) 2,251,461
39,055 Cimarex Energy Co. 2,984,974
48,568 Energen Corp. 2,908,737
11,867 HollyFrontier Corp. 540,542
59,693 Rosetta Resources, Inc. (a) 2,722,598
16,927 SM Energy Co. 1,163,393
25,394 World Fuel Services Corp. 983,763
-------------
13,555,468
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
PAPER & FOREST PRODUCTS -- 0.7%
38,168 Domtar Corp. $ 2,653,057
34,322 Louisiana-Pacific Corp. (a) 558,076
-------------
3,211,133
-------------
PHARMACEUTICALS -- 0.4%
55,194 Endo Health Solutions, Inc. (a) 2,122,761
-------------
PROFESSIONAL SERVICES -- 0.9%
40,148 Corporate Executive Board
(The) Co. 2,707,179
9,264 Manpowergroup, Inc. 619,484
12,390 Towers Watson & Co., Class A 1,043,610
-------------
4,370,273
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 1.1%
3,195 Essex Property Trust, Inc. 515,321
36,321 Extra Space Storage, Inc. 1,527,298
9,576 Kilroy Realty Corp. 501,208
49,093 OMEGA Healthcare Investors, Inc. 1,562,630
9,164 Rayonier, Inc. 535,544
19,577 Senior Housing Properties Trust 492,362
-------------
5,134,363
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.1%
5,570 Jones Lang LaSalle, Inc. 507,037
-------------
ROAD & RAIL -- 1.2%
26,059 Con-way, Inc. 1,080,145
11,966 Genesee & Wyoming, Inc.,
Class A (a) 1,072,872
14,054 J.B. Hunt Transport Services,
Inc. 1,053,066
9,856 Landstar System, Inc. 532,815
84,010 Werner Enterprises, Inc. 2,021,281
-------------
5,760,179
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.6%
39,745 Cree, Inc. (a) 2,778,176
73,570 Fairchild Semiconductor
International, Inc. (a) 928,453
63,934 Integrated Device Technology,
Inc. (a) 576,045
284,655 RF Micro Devices, Inc. (a) 1,477,359
43,475 Semtech Corp. (a) 1,315,119
12,260 Silicon Laboratories, Inc. (a) 478,876
-------------
7,554,028
-------------
SOFTWARE -- 1.9%
57,916 Advent Software, Inc. 1,704,468
70,114 Cadence Design Systems, Inc. (a) 1,022,262
6,689 CommVault Systems, Inc. (a) 564,752
18,713 Concur Technologies, Inc. (a) 1,663,399
4,980 FactSet Research Systems,
Inc. (b) 543,716
11,076 Fair Isaac Corp. 553,357
51,933 Mentor Graphics Corp. 1,066,184
Page 40 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
11,764 MICROS Systems, Inc. (a) $ 573,260
42,598 Synopsys, Inc. (a) 1,577,830
-------------
9,269,228
-------------
SPECIALTY RETAIL -- 6.0%
90,617 Aaron's, Inc. 2,597,083
12,509 Advance Auto Parts, Inc. 1,031,868
45,871 ANN, Inc. (a) 1,554,568
29,090 Ascena Retail Group, Inc. (a) 555,328
95,420 Barnes & Noble, Inc. (a) 1,703,247
39,194 Cabela's, Inc. (a) 2,690,276
29,755 Chico's FAS, Inc. 509,703
82,381 CST Brands, Inc. (a) 2,686,444
20,282 Dick's Sporting Goods, Inc. 1,042,698
28,900 Foot Locker, Inc. 1,044,157
49,078 Guess?, Inc. 1,652,947
393,515 Office Depot, Inc. (a) 1,703,920
67,595 Rent-A-Center, Inc. 2,703,124
30,113 Signet Jewelers Ltd. 2,201,562
21,582 Tractor Supply Co. 2,614,228
45,413 Williams-Sonoma, Inc. 2,673,009
-------------
28,964,162
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 2.1%
34,267 Carter's, Inc. 2,443,922
40,200 Deckers Outdoor Corp. (a) 2,204,166
49,362 Hanesbrands, Inc. 3,132,513
34,007 Under Armour, Inc., Class A (a) 2,282,890
-------------
10,063,491
-------------
THRIFTS & MORTGAGE FINANCE --
0.7%
94,180 Astoria Financial Corp. 1,148,996
108,779 New York Community Bancorp, Inc. 1,650,178
26,887 Washington Federal, Inc. 584,792
-------------
3,383,966
-------------
TOBACCO -- 0.5%
43,874 Universal Corp. 2,689,476
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.9%
32,108 GATX Corp. 1,450,639
30,514 United Rentals, Inc. (a) 1,749,062
12,093 Watsco, Inc. 1,128,882
-------------
4,328,583
-------------
WATER UTILITIES -- 0.2%
32,448 Aqua America, Inc. 1,098,689
-------------
TOTAL COMMON STOCKS -- 99.9% 485,262,177
(Cost $419,497,634) -------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MONEY MARKET FUND -- 0.2%
779,874 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (c) $ 779,874
(Cost $779,874) -------------
COLLATERAL FOR SECURITIES ON
LOAN -- 2.8%
MONEY MARKET FUND -- 0.6%
2,827,114 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class - 0.001%
(c) 2,827,114
(Cost $2,827,114)
PRINCIPAL
VALUE
------------
REPURCHASE AGREEMENT -- 2.2%
$ 10,882,705 JPMorgan Chase & Co., 0.02% (c),
dated 07/31/13, due 08/01/13,
with a maturity value of
$10,882,711. Collateralized
by U.S. Treasury Note,
interest rate of 2.375%, due
08/31/14. The value of the
collateral including accrued
interest is $11,101,745. 10,882,705
(Cost $10,882,705) -------------
TOTAL COLLATERAL FOR SECURITIES
ON LOAN - 2.8% 13,709,819
(Cost $13,709,819) -------------
TOTAL INVESTMENTS -- 102.9% 499,751,870
(Cost $433,987,327) (d)
NET OTHER ASSETS AND
LIABILITIES -- (2.9)% (14,296,310)
-------------
NET ASSETS -- 100.0% $ 485,455,560
=============
(a) Non-income producing security.
(b) All or a portion of this security is on loan. (See Note 2C - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $13,402,887 and the total value of the collateral held by
the Fund is $13,709,819.
(c) Interest rate shown reflects yield as of July 31, 2013.
(d) Aggregate cost for federal income tax purposes is $440,949,640. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $63,239,138 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $4,436,908.
See Notes to Financial Statements Page 41
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $485,262,177 $ -- $ --
Money Market
Funds 3,606,988 -- --
Repurchase
Agreement -- 10,882,705 --
--------------------------------------
Total Investments $488,869,165 $10,882,705 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
Page 42 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.9%
45,543 AAR Corp. $ 1,103,962
49,605 Aerovironment, Inc. (a) 1,121,569
3,575 American Science & Engineering,
Inc. 217,324
16,649 Cubic Corp. 841,607
21,609 Curtiss-Wright Corp. 878,190
61,564 GenCorp, Inc. (a) 1,077,986
15,541 Moog, Inc., Class A (a) 874,026
13,897 National Presto Industries, Inc. 1,030,324
46,104 Orbital Sciences Corp. (a) 854,768
5,177 Teledyne Technologies, Inc. (a) 415,040
-------------
8,414,796
-------------
AIR FREIGHT & LOGISTICS -- 0.6%
22,875 Atlas Air Worldwide Holdings,
Inc. (a) 1,021,140
10,460 Forward Air Corp. 382,522
5,497 Hub Group, Inc., Class A (a) 210,260
-------------
1,613,922
-------------
AIRLINES -- 0.7%
9,445 Allegiant Travel Co. 919,754
73,931 SkyWest, Inc. 1,117,837
-------------
2,037,591
-------------
AUTO COMPONENTS -- 1.1%
17,550 Dorman Products, Inc. 826,254
25,459 Drew Industries, Inc. 1,039,491
11,660 Standard Motor Products, Inc. 400,987
58,166 Superior Industries
International, Inc. 1,059,203
-------------
3,325,935
-------------
AUTOMOBILES -- 0.4%
47,691 Winnebago Industries, Inc. (a) 1,140,769
-------------
BEVERAGES -- 0.2%
3,520 Boston Beer (The) Co., Inc.,
Class A (a) 630,009
-------------
BIOTECHNOLOGY -- 0.6%
12,137 Acorda Therapeutics, Inc. (a) 460,842
8,290 Cubist Pharmaceuticals, Inc. (a) 516,715
41,652 Emergent Biosolutions, Inc. (a) 736,824
-------------
1,714,381
-------------
BUILDING PRODUCTS -- 1.3%
16,555 A.O. Smith Corp. 684,053
45,391 AAON, Inc. 979,084
8,342 Apogee Enterprises, Inc. 223,232
27,501 Gibraltar Industries, Inc. (a) 423,515
71,184 Griffon Corp. 847,090
6,805 Simpson Manufacturing Co., Inc. 224,701
10,030 Universal Forest Products, Inc. 413,737
-------------
3,795,412
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CAPITAL MARKETS -- 1.8%
76,269 Calamos Asset Management, Inc.,
Class A $ 812,265
21,957 Financial Engines, Inc. 1,048,227
11,267 HFF, Inc., Class A 236,607
31,668 Piper Jaffray Cos., Inc. (a) 1,062,461
74,150 Prospect Capital Corp. 811,943
11,225 Stifel Financial Corp. (a) 422,621
4,543 Virtus Investment Partners,
Inc. (a) 847,270
-------------
5,241,394
-------------
CHEMICALS -- 2.5%
29,859 A. Schulman, Inc. 800,221
8,948 Balchem Corp. 445,252
12,003 Calgon Carbon Corp. (a) 215,214
15,885 H.B. Fuller Co. 637,783
10,165 Hawkins, Inc. 393,894
12,733 Innophos Holdings, Inc. 634,613
10,487 Koppers Holdings, Inc. 405,322
26,334 LSB Industries, Inc. (a) 865,862
24,238 PolyOne Corp. 700,721
6,457 Quaker Chemical Corp. 425,968
10,801 Stepan Co. 646,548
23,370 Tredegar Corp. 701,334
37,942 Zep, Inc. 496,281
-------------
7,369,013
-------------
COMMERCIAL BANKS -- 4.9%
4,620 Bank of the Ozarks, Inc. 220,744
23,700 Banner Corp. 878,796
42,238 BBCN Bancorp, Inc. 617,097
18,816 Boston Private Financial
Holdings, Inc. 207,917
5,140 City Holding Co. 227,496
8,408 Columbia Banking System, Inc. 210,032
12,979 Community Bank System, Inc. 435,316
17,024 CVB Financial Corp. 222,844
40,310 First Financial Bancorp 649,394
10,791 First Financial Bankshares,
Inc. (b) 665,265
18,045 Glacier Bancorp, Inc. 439,215
45,321 Hanmi Financial Corp. (a) 770,457
30,837 Home BancShares, Inc. 842,467
5,803 Independent Bank Corp. 216,104
22,411 MB Financial, Inc. 644,989
9,457 NBT Bancorp, Inc. 213,445
28,952 Old National Bancorp 417,198
6,532 PacWest Bancorp 231,363
15,574 Pinnacle Financial Partners,
Inc. (a) 443,548
28,318 PrivateBancorp, Inc. 668,022
30,644 S&T Bancorp, Inc. 750,165
15,347 Simmons First National Corp.,
Class A 419,740
17,229 Sterling Bancorp 233,453
46,741 Susquehanna Bancshares, Inc. 621,655
35,561 Taylor Capital Group, Inc. (a) 797,633
4,513 Texas Capital Bancshares,
Inc. (a) 205,296
4,430 Tompkins Financial Corp. 199,926
3,596 UMB Financial Corp. 215,041
See Notes to Financial Statements Page 43
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL BANKS (CONTINUED)
26,676 Umpqua Holdings Corp. $ 449,224
7,569 United Bankshares, Inc. (b) 214,354
9,621 ViewPoint Financial Group, Inc. 207,525
15,690 Wintrust Financial Corp. 641,878
-------------
14,177,599
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.1%
24,505 ABM Industries, Inc. 634,679
17,035 Consolidated Graphics, Inc. (a) 912,906
12,618 G&K Services, Inc., Class A 666,357
16,330 Healthcare Services Group, Inc. 401,881
42,579 Tetra Tech, Inc. (a) 1,004,864
8,776 UniFirst Corp. 860,224
23,870 United Stationers, Inc. 987,979
24,495 Viad Corp. 589,105
-------------
6,057,995
-------------
COMMUNICATIONS EQUIPMENT -- 2.2%
29,770 Bel Fuse, Inc., Class B 465,901
39,535 Black Box Corp. 1,069,817
68,564 CalAmp Corp. (a) 1,052,457
22,336 Comtech Telecommunications
Corp. 604,859
42,733 Digi International, Inc. (a) 424,339
21,762 Ixia (a) 302,492
11,526 Oplink Communications, Inc. (a) 232,249
94,437 PC-Tel, Inc. 911,317
44,589 Symmetricom, Inc. (a) 229,187
14,008 ViaSat, Inc. (a) 935,594
-------------
6,228,212
-------------
COMPUTERS & PERIPHERALS -- 1.1%
28,308 Electronics for Imaging,
Inc. (a) 850,089
20,367 Intermec, Inc. (a) 202,244
104,710 QLogic Corp. (a) 1,152,857
37,633 Super Micro Computer, Inc. (a) 436,167
10,384 Synaptics, Inc. (a) 415,360
-------------
3,056,717
-------------
CONSTRUCTION & ENGINEERING --
0.7%
35,576 Aegion Corp. (a) 811,844
25,956 Dycom Industries, Inc. (a) 687,315
9,850 EMCOR Group, Inc. 406,608
-------------
1,905,767
-------------
CONSTRUCTION MATERIALS -- 0.3%
22,648 Headwaters, Inc. (a) 213,570
9,220 Texas Industries, Inc. (a) (b) 572,931
-------------
786,501
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CONSUMER FINANCE -- 1.5%
22,020 Cash America International,
Inc. $ 924,840
18,140 Encore Capital Group, Inc. (a) 704,921
59,303 EZCORP, Inc., Class A (a) 1,072,198
6,516 Portfolio Recovery Associates,
Inc. (a) 972,904
6,908 World Acceptance Corp. (a) (b) 575,298
-------------
4,250,161
-------------
CONTAINERS & PACKAGING -- 0.4%
53,353 Myers Industries, Inc. 1,038,783
-------------
DISTRIBUTORS -- 0.6%
11,460 Pool Corp. 604,859
81,584 VOXX International Corp. (a) 1,105,463
-------------
1,710,322
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.4%
5,388 American Public Education,
Inc. (a) 212,880
19,227 Capella Education Co. (a) 942,315
446,888 Corinthian Colleges, Inc. (a) 1,001,029
16,888 Hillenbrand, Inc. 418,654
32,821 ITT Educational Services,
Inc. (a) (b) 860,895
3,412 Outerwall, Inc. (a) (b) 188,513
38,762 Universal Technical Institute,
Inc. 453,515
-------------
4,077,801
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.4%
12,536 Interactive Brokers Group, Inc.,
Class A 203,083
17,130 MarketAxess Holdings, Inc. 885,621
-------------
1,088,704
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.0%
16,126 Atlantic Tele-Network, Inc. 822,426
76,609 Cbeyond, Inc. (a) 648,878
51,138 General Communication, Inc.,
Class A (a) 452,571
46,832 Lumos Networks Corp. 887,467
-------------
2,811,342
-------------
ELECTRIC UTILITIES -- 0.9%
12,049 ALLETE, Inc. 646,067
17,010 El Paso Electric Co. 642,468
15,702 UIL Holdings Corp. 641,270
13,428 UNS Energy Corp. 682,814
-------------
2,612,619
-------------
ELECTRICAL EQUIPMENT -- 1.1%
6,515 Brady Corp., Class A 216,754
5,871 Encore Wire Corp. 244,879
16,330 EnerSys, Inc. 864,183
11,899 Franklin Electric Co., Inc. 443,357
Page 44 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
49,251 II-VI, Inc. (a) $ 870,758
11,629 Powell Industries, Inc. (a) 572,147
-------------
3,212,078
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
4.9%
88,665 Agilysys, Inc. (a) 1,027,627
4,010 Belden, Inc. 235,026
49,802 Benchmark Electronics, Inc. (a) 1,101,620
4,427 Cognex Corp. 235,118
7,271 Coherent, Inc. 412,120
44,034 CTS Corp. 618,678
58,540 Daktronics, Inc. 636,915
9,728 DTS, Inc. (a) 220,242
5,920 FARO Technologies, Inc. (a) 217,442
8,229 FEI Co. 637,336
56,428 Insight Enterprises, Inc. (a) 1,206,995
5,367 Littelfuse, Inc. 429,306
17,211 Measurement Specialties,
Inc. (a) 856,764
47,080 Methode Electronics, Inc. 889,341
7,074 MTS Systems Corp. 446,016
8,338 Park Electrochemical Corp. 226,794
26,792 Plexus Corp. (a) 936,916
24,083 Rofin-Sinar Technologies,
Inc. (a) 556,558
21,154 Rogers Corp. (a) 1,176,585
25,026 ScanSource, Inc. (a) 891,176
23,676 SYNNEX Corp. (a) 1,172,436
-------------
14,131,011
-------------
ENERGY EQUIPMENT & SERVICES --
3.1%
49,679 Basic Energy Services, Inc. (a) 568,328
12,260 Bristow Group, Inc. 833,802
51,679 C&J Energy Services, Inc. (a) 999,989
30,624 Era Group, Inc. (a) 746,919
35,599 Exterran Holdings, Inc. (a) 1,130,268
10,455 Gulf Island Fabrication, Inc. 258,552
166,284 ION Geophysical Corp. (a) 1,022,647
25,700 Matrix Service Co. (a) 407,345
151,213 Pioneer Energy Services
Corp. (a) 1,025,224
4,821 SEACOR Holdings, Inc. 422,127
75,549 Tesco Corp. (a) 1,000,269
58,540 TETRA Technologies, Inc. (a) 592,425
-------------
9,007,895
-------------
FOOD & STAPLES RETAILING -- 0.8%
15,056 Andersons (The), Inc. 893,122
3,328 Casey's General Stores, Inc. 220,413
54,286 Spartan Stores, Inc. 1,067,806
-------------
2,181,341
-------------
FOOD PRODUCTS -- 1.9%
17,639 B&G Foods, Inc. 614,543
7,363 Calavo Growers, Inc. 199,979
21,523 Cal-Maine Foods, Inc. 1,090,786
10,729 Darling International, Inc. (a) 217,799
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
9,245 Hain Celestial Group (The),
Inc. (a) $ 674,515
7,720 J & J Snack Foods Corp. 615,129
6,028 Sanderson Farms, Inc. 425,818
32,628 Seneca Foods Corp., Class A (a) 1,146,874
6,109 TreeHouse Foods, Inc. (a) 433,678
-------------
5,419,121
-------------
GAS UTILITIES -- 0.9%
13,154 Laclede Group (The), Inc. 603,242
4,821 New Jersey Resources Corp. 215,788
14,139 Northwest Natural Gas Co. 621,268
11,868 Piedmont Natural Gas Co., Inc. 410,039
17,115 Southwest Gas Corp. 849,589
-------------
2,699,926
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.4%
8,428 Abaxis, Inc. 354,819
27,858 Abiomed, Inc. (a) 698,679
10,810 Align Technology, Inc. (a) 465,262
17,733 Cantel Medical Corp. 470,634
19,226 CONMED Corp. 630,613
127,927 CryoLife, Inc. 905,723
3,853 Cyberonics, Inc. (a) 200,317
15,412 Cynosure, Inc., Class A (a) 438,934
24,423 Greatbatch, Inc. (a) 923,189
4,842 Haemonetics Corp. (a) 204,429
5,557 ICU Medical, Inc. (a) 398,381
5,466 Integra LifeSciences
Holdings (a) 215,306
13,942 Invacare Corp. 217,635
9,312 Meridian Bioscience, Inc. 230,286
53,867 Merit Medical Systems, Inc. (a) 707,812
44,001 Natus Medical, Inc. (a) 562,773
7,207 Neogen Corp. (a) 407,051
20,011 SurModics, Inc. (a) 405,023
95,110 Symmetry Medical, Inc. (a) 828,408
8,549 West Pharmaceutical Services,
Inc. 630,574
-------------
9,895,848
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 3.7%
52,686 Almost Family, Inc. 1,007,883
55,923 AMN Healthcare Services,
Inc. (a) 826,542
11,408 AmSurg Corp. (a) 446,167
13,927 Bio-Reference Laboratories,
Inc. (a) (b) 372,547
8,292 Chemed Corp. (b) 585,332
13,680 CorVel Corp. (a) 463,615
12,659 Hanger, Inc. (a) 467,370
57,597 Healthways, Inc. (a) 988,365
15,592 IPC Hospitalist (The) Co. (a) 785,369
60,992 Kindred Healthcare, Inc. (a) 936,837
51,125 LHC Group, Inc. (a) 1,172,808
17,850 Magellan Health Services,
Inc. (a) 1,020,128
4,874 MWI Veterinary Supply, Inc. (a) 692,937
See Notes to Financial Statements Page 45
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
72,224 PharMerica Corp. (a) $ 1,057,359
-------------
10,823,259
-------------
HEALTH CARE TECHNOLOGY -- 0.9%
4,074 Computer Programs & Systems,
Inc. 227,085
7,907 HealthStream, Inc. (a) 249,070
12,925 Medidata Solutions, Inc. (a) 1,195,950
38,970 Omnicell, Inc. (a) 822,267
10,700 Quality Systems, Inc. 244,709
-------------
2,739,081
-------------
HOTELS, RESTAURANTS & LEISURE
-- 3.8%
976 Biglari Holdings, Inc. (a) 406,562
10,793 BJ's Restaurants, Inc. (a) 384,662
8,158 Buffalo Wild Wings, Inc. (a) 845,006
9,757 CEC Entertainment, Inc. 405,794
2,115 Cracker Barrel Old Country
Store, Inc. 207,058
2,907 DineEquity, Inc. 202,531
15,287 Jack in the Box, Inc. (a) 612,856
78,697 Marcus (The) Corp. 1,019,126
9,260 Marriott Vacations Worldwide
Corp. (a) 407,440
35,624 Monarch Casino & Resort,
Inc. (a) 730,292
38,398 Multimedia Games Holding Co.,
Inc. (a) 1,343,546
12,251 Papa John's International,
Inc. (a) 819,102
7,256 Red Robin Gourmet Burgers,
Inc. (a) 412,721
82,935 Ruth's Hospitality Group, Inc. 991,903
22,609 SHFL entertainment, Inc. (a) 514,355
41,251 Sonic Corp. (a) 634,028
40,009 Texas Roadhouse, Inc. 977,820
-------------
10,914,802
-------------
HOUSEHOLD DURABLES -- 2.7%
54,941 American Greetings Corp.,
Class A 1,046,077
28,683 Blyth, Inc. (b) 401,849
6,952 Ethan Allen Interiors, Inc. 211,132
26,089 Helen of Troy Ltd. (a) 1,108,261
20,136 iRobot Corp. (a) 703,955
49,385 La-Z-Boy, Inc. 1,023,751
17,440 M/I Homes, Inc. (a) 370,774
13,852 Meritage Homes Corp. (a) 626,941
14,978 Ryland Group (The), Inc. 605,710
120,172 Standard Pacific Corp. (a) 983,007
21,352 Universal Electronics, Inc. (a) 658,282
-------------
7,739,739
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.4%
145,077 Central Garden & Pet Co.,
Class A (a) $ 1,093,881
3,675 WD-40 Co. 211,349
-------------
1,305,230
-------------
INSURANCE -- 2.7%
17,624 eHealth, Inc. (a) 541,762
32,754 Employers Holdings, Inc. 861,103
32,848 Horace Mann Educators Corp. 930,912
6,700 Infinity Property & Casualty
Corp. 435,567
24,932 Meadowbrook Insurance Group,
Inc. 189,234
14,040 Navigators Group (The), Inc. (a) 813,758
19,192 ProAssurance Corp. 1,027,348
2,620 RLI Corp. 216,255
16,508 Safety Insurance Group, Inc. 887,635
8,697 Selective Insurance Group, Inc. 212,642
38,222 Stewart Information Services
Corp. 1,182,206
24,189 United Fire Group, Inc. 629,156
-------------
7,927,578
-------------
INTERNET & CATALOG RETAIL --
0.4%
15,898 Blue Nile, Inc. (a) 617,320
31,779 PetMed Express, Inc. (b) 532,298
-------------
1,149,618
-------------
INTERNET SOFTWARE & SERVICES --
2.4%
53,993 Blucora, Inc. (a) 1,079,860
32,834 comScore, Inc. (a) 950,873
16,952 Dealertrack Technologies,
Inc. (a) 634,005
18,838 j2 Global, Inc. 862,215
8,185 LogMeIn, Inc. (a) 243,258
9,392 OpenTable, Inc. (a) 598,082
60,032 Perficient, Inc. (a) 819,437
25,413 Stamps.com, Inc. (a) 1,012,962
52,825 United Online, Inc. 428,939
35,751 XO Group, Inc. (a) 427,582
-------------
7,057,213
-------------
IT SERVICES -- 2.4%
15,767 CACI International, Inc.,
Class A (a) 1,046,929
7,254 Cardtronics, Inc. (a) 213,703
36,904 CSG Systems International, Inc. 873,887
6,773 Exlservice Holdings, Inc. (a) 189,644
10,913 Forrester Research, Inc. 382,828
21,499 Heartland Payment Systems,
Inc. (b) 802,128
34,400 Higher One Holdings, Inc. (a) 371,520
10,752 MAXIMUS, Inc. 404,383
63,517 Sykes Enterprises, Inc. (a) 1,115,358
25,635 TeleTech Holdings, Inc. (a) 642,157
36,138 Virtusa Corp. (a) 931,637
-------------
6,974,174
-------------
Page 46 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
LEISURE EQUIPMENT & PRODUCTS --
0.6%
17,804 Arctic Cat, Inc. $ 979,932
12,532 Brunswick Corp. 473,083
8,335 Sturm, Ruger & Co., Inc. (b) 424,002
-------------
1,877,017
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.7%
42,993 Cambrex Corp. (a) 629,847
9,714 Luminex Corp. (a) 193,406
21,790 PAREXEL International Corp. (a) 1,077,516
-------------
1,900,769
-------------
MACHINERY -- 1.9%
6,072 Actuant Corp., Class A 214,402
11,677 Astec Industries, Inc. 408,695
20,027 Barnes Group, Inc. 660,891
10,111 Briggs & Stratton Corp. 204,748
3,936 CIRCOR International, Inc. 206,719
11,833 EnPro Industries, Inc. (a) 672,469
12,366 ESCO Technologies, Inc. 428,234
9,529 John Bean Technologies Corp. 225,933
7,267 Kaydon Corp. 211,324
7,940 Mueller Industries, Inc. 435,827
3,795 Standex International Corp. 224,019
4,148 Tennant Co. 214,037
59,338 Titan International, Inc. 1,022,987
8,831 Watts Water Technologies, Inc.,
Class A 461,685
-------------
5,591,970
-------------
MEDIA -- 0.4%
8,620 Arbitron, Inc. 396,175
27,165 Digital Generation, Inc. (a) (b) 210,529
38,551 E.W. Scripps (The) Co.,
Class A (a) 640,332
-------------
1,247,036
-------------
METALS & MINING -- 1.9%
18,953 AMCOL International Corp. 664,871
21,574 Century Aluminum Co. (a) 181,006
12,547 Haynes International, Inc. 603,511
16,161 Kaiser Aluminum Corp. 1,054,505
29,562 Materion Corp. 890,999
24,515 Olympic Steel, Inc. 682,743
21,675 RTI International Metals,
Inc. (a) 664,339
74,565 Stillwater Mining Co. (a) 902,236
-------------
5,644,210
-------------
MULTILINE RETAIL -- 0.8%
64,624 Fred's, Inc., Class A 1,111,533
96,531 Tuesday Morning Corp. (a) 1,083,078
-------------
2,194,611
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MULTI-UTILITIES -- 0.6%
29,638 Avista Corp. $ 852,982
20,071 NorthWestern Corp. 846,996
-------------
1,699,978
-------------
OIL, GAS & CONSUMABLE FUELS --
2.3%
8,148 Approach Resources, Inc. (a) 215,840
28,268 Carrizo Oil & Gas, Inc. (a) 895,248
60,742 Cloud Peak Energy, Inc. (a) 973,694
50,911 Comstock Resources, Inc. 853,777
4,253 Gulfport Energy Corp. (a) 226,260
7,778 PDC Energy, Inc. (a) 428,957
170,388 Penn Virginia Corp. (a) 858,755
45,439 Stone Energy Corp. (a) 1,106,894
83,489 Swift Energy Co. (a) 1,063,650
-------------
6,623,075
-------------
PAPER & FOREST PRODUCTS -- 1.4%
21,621 Buckeye Technologies, Inc. 804,733
12,763 Clearwater Paper Corp. (a) 624,366
4,983 KapStone Paper & Packaging
Corp. 219,501
25,207 Neenah Paper, Inc. 997,441
23,929 P.H. Glatfelter Co. 633,401
12,041 Schweitzer-Mauduit
International, Inc. 651,900
-------------
3,931,342
-------------
PERSONAL PRODUCTS -- 1.0%
35,099 Inter Parfums, Inc. 1,157,565
23,316 Medifast, Inc. (a) 637,460
34,352 Prestige Brands Holdings,
Inc. (a) 1,164,876
-------------
2,959,901
-------------
PHARMACEUTICALS -- 1.1%
24,121 Hi-Tech Pharmacal Co., Inc. 866,909
10,035 Impax Laboratories, Inc. (a) 208,126
13,017 Medicines (The) Co. (a) 402,225
13,212 Questcor Pharmaceuticals,
Inc. (b) 882,826
12,106 Salix Pharmaceuticals Ltd. (a) 894,633
-------------
3,254,719
-------------
PROFESSIONAL SERVICES -- 2.4%
70,694 CDI Corp. 1,112,017
3,387 Exponent, Inc. 223,948
11,974 Heidrick & Struggles
International, Inc. 184,160
6,607 Insperity, Inc. 218,494
57,300 Kelly Services, Inc., Class A 1,121,361
10,683 Korn/Ferry International (a) 208,639
83,419 Navigant Consulting, Inc. (a) 1,119,483
37,464 On Assignment, Inc. (a) 1,143,776
51,777 Resources Connection, Inc. 688,634
29,057 WageWorks, Inc. (a) 981,255
-------------
7,001,767
-------------
See Notes to Financial Statements Page 47
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS
-- 1.7%
154,599 Cedar Realty Trust, Inc. $ 856,478
8,300 Colonial Properties Trust 200,943
6,294 Coresite Realty Corp. 213,744
59,467 Cousins Properties, Inc. 609,537
7,965 EPR Properties 401,277
11,794 Geo Group (The), Inc. 409,488
7,938 Government Properties Income
Trust 200,593
19,590 Inland Real Estate Corp. 201,581
34,282 Lexington Realty Trust 429,896
27,962 Medical Properties Trust, Inc. 408,245
23,891 Parkway Properties, Inc. (b) 418,093
15,336 Sabra Health Care REIT, Inc. 402,417
3,090 Sovran Self Storage, Inc. 213,519
-------------
4,965,811
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.1%
9,980 Forestar Group, Inc. (a) 215,668
-------------
ROAD & RAIL -- 1.0%
26,171 Arkansas Best Corp. 567,911
43,303 Heartland Express, Inc. 637,420
47,611 Knight Transportation, Inc. 807,958
19,241 Old Dominion Freight Line,
Inc. (a) 840,447
-------------
2,853,736
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.9%
11,499 Advanced Energy Industries,
Inc. (a) 249,068
42,327 ATMI, Inc. (a) 1,051,826
102,881 Brooks Automation, Inc. 1,010,291
18,195 Cabot Microelectronics Corp. (a) 672,851
30,837 Diodes, Inc. (a) 845,242
46,887 Entropic Communications,
Inc. (a) 207,709
8,800 Microsemi Corp. (a) 217,008
17,876 Rudolph Technologies, Inc. (a) 220,769
79,290 Sigma Designs, Inc. (a) 413,894
42,537 Volterra Semiconductor Corp. (a) 641,033
-------------
5,529,691
-------------
SOFTWARE -- 3.1%
24,588 Blackbaud, Inc. 862,793
108,103 Ebix, Inc. (b) 1,253,995
59,452 EPIQ Systems, Inc. 773,471
19,400 Interactive Intelligence Group,
Inc. (a) 1,101,920
7,784 Manhattan Associates, Inc. (a) 687,639
31,516 Monotype Imaging Holdings, Inc. 773,087
25,942 Synchronoss Technologies,
Inc. (a) 894,740
53,495 Take-Two Interactive Software,
Inc. (a) 937,767
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SOFTWARE (CONTINUED)
38,925 Tangoe, Inc. (a) $ 702,985
11,682 Tyler Technologies, Inc. (a) 871,711
-------------
8,860,108
-------------
SPECIALTY RETAIL -- 7.2%
18,242 Big 5 Sporting Goods Corp. 369,765
46,495 Brown Shoe Co., Inc. 1,105,186
7,697 Buckle (The), Inc. (b) 430,878
40,105 Cato (The) Corp., Class A 1,128,956
14,614 Children's Place Retail Stores
(The), Inc. (a) 789,741
118,817 Christopher & Banks Corp. (a) 812,708
36,634 Finish Line (The), Inc., Class A 815,473
11,954 Genesco, Inc. (a) 841,322
6,224 Group 1 Automotive, Inc. 453,045
43,504 Haverty Furniture Cos., Inc. 1,131,104
19,381 Jos. A. Bank Clothiers, Inc. (a) 791,908
34,818 Kirkland's, Inc. (a) 612,100
18,778 Lithia Motors, Inc., Class A 1,225,077
12,855 Lumber Liquidators Holdings,
Inc. (a) 1,244,621
26,447 Men's Wearhouse (The), Inc. 1,056,029
16,666 Monro Muffler Brake, Inc. 716,805
97,852 OfficeMax, Inc. 1,114,534
69,156 Pep Boys-Manny, Moe & Jack
(The) (a) 860,992
24,057 rue21, Inc. (a) 1,005,101
23,967 Select Comfort Corp. (a) 547,646
28,411 Sonic Automotive, Inc., Class A 629,020
34,078 Stage Stores, Inc. 850,587
29,334 Stein Mart, Inc. 409,796
110,003 Zale Corp. (a) 1,020,828
27,855 Zumiez, Inc. (a) 767,962
-------------
20,731,184
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 2.7%
60,668 Crocs, Inc. (a) 829,332
44,809 Fifth & Pacific Cos., Inc. (a) 1,067,350
20,422 Iconix Brand Group, Inc. (a) 670,658
34,658 Maidenform Brands, Inc. (a) 809,611
11,836 Movado Group, Inc. 431,777
16,042 Oxford Industries, Inc. 1,085,562
39,430 Perry Ellis International, Inc. 792,543
8,338 Skechers U.S.A., Inc.,
Class A (a) 227,461
16,553 Steven Madden Ltd. (a) 851,155
18,331 Wolverine World Wide, Inc. 1,054,216
-------------
7,819,665
-------------
THRIFTS & MORTGAGE FINANCE --
0.8%
35,498 Bank Mutual Corp. 220,442
46,130 Brookline Bancorp, Inc. 454,842
26,137 Dime Community Bancshares, Inc. 458,704
14,819 Northwest Bancshares, Inc. 204,799
38,062 Provident Financial Services, Inc. 677,123
Page 48 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND - FYX
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE (CONTINUED)
73,605 TrustCo Bank Corp. $ 437,214
-------------
2,453,124
-------------
TOBACCO -- 0.3%
210,743 Alliance One International,
Inc. (a) 802,931
TRADING COMPANIES &
DISTRIBUTORS -- 0.3%
12,427 Applied Industrial Technologies,
Inc. 648,192
5,793 Kaman Corp. 219,323
-------------
867,515
-------------
WATER UTILITIES -- 0.2%
7,461 American States Water Co. 479,145
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.5%
12,163 NTELOS Holdings Corp. 227,813
73,768 USA Mobility, Inc. 1,152,256
-------------
1,380,069
-------------
TOTAL COMMON STOCKS -- 100.0% 289,148,701
(Cost $249,713,849) -------------
MONEY MARKET FUND -- 0.1%
152,175 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (c) 152,175
(Cost $152,175) -------------
COLLATERAL FOR SECURITIES ON
LOAN -- 2.0%
MONEY MARKET FUND -- 0.4%
1,181,381 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class -
0.001% (c) 1,181,381
(Cost $1,181,381)
PRINCIPAL
VALUE
------------
REPURCHASE AGREEMENT -- 1.6%
$ 4,547,614 JPMorgan Chase & Co., 0.02% (c),
dated 07/31/13, due 08/01/13,
with a maturity value of
$4,547,616. Collateralized
by U.S. Treasury Note,
interest rate of 2.375%, due
08/31/14. The value of the
collateral including accrued
interest is $4,639,145. 4,547,614
(Cost $4,547,614) -------------
TOTAL COLLATERAL FOR SECURITIES ON
LOAN - 2.0% 5,728,995
(Cost $5,728,995) -------------
DESCRIPTION VALUE
-----------------------------------------------------------
TOTAL INVESTMENTS -- 102.1% $ 295,029,871
(Cost $255,595,019) (d)
NET OTHER ASSETS AND
LIABILITIES -- (2.1)% (5,948,071)
-------------
NET ASSETS -- 100.0% $ 289,081,800
=============
(a) Non-income producing security.
(b) All or a portion of this security is on loan. (See Note 2C - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $5,603,169 and the total value of the collateral held by the
Fund is $5,728,995.
(c) Interest rate shown reflects yield as of July 31, 2013.
(d) Aggregate cost for federal income tax purposes is $259,513,644. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $39,379,881 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $3,863,654.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $289,148,701 $ -- $ --
Money Market
Funds 1,333,556 -- --
Repurchase
Agreement -- 4,547,614 --
--------------------------------------
Total Investments $290,482,257 $4,547,614 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 49
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND - FTA
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.0%
33,551 L-3 Communications Holdings,
Inc. $ 3,125,276
44,513 Northrop Grumman Corp. 4,097,867
43,506 Raytheon Co. 3,125,471
11,344 Rockwell Collins, Inc. 807,352
82,823 Textron, Inc. 2,267,694
7,735 United Technologies Corp. 816,584
-------------
14,240,244
-------------
AIR FREIGHT & LOGISTICS -- 0.8%
12,770 C.H. Robinson Worldwide, Inc. 761,347
29,183 FedEx Corp. 3,093,398
-------------
3,854,745
-------------
AUTO COMPONENTS -- 0.2%
20,094 Johnson Controls, Inc. 807,980
-------------
AUTOMOBILES -- 0.3%
92,978 Ford Motor Co. 1,569,469
-------------
BEVERAGES -- 0.5%
20,458 Coca-Cola Enterprises, Inc. 767,993
30,052 Molson Coors Brewing Co.,
Class B 1,504,403
-------------
2,272,396
-------------
CAPITAL MARKETS -- 1.0%
51,280 Bank of New York Mellon (The)
Corp. 1,612,756
14,264 Goldman Sachs Group (The), Inc. 2,339,724
11,026 State Street Corp. 768,181
-------------
4,720,661
-------------
CHEMICALS -- 1.7%
15,709 Air Products & Chemicals, Inc. 1,706,626
7,536 Airgas, Inc. 777,791
22,356 Dow Chemical (The) Co. 783,354
43,417 LyondellBasell Industries N.V.,
Class A 2,983,182
6,248 Praxair, Inc. 750,822
8,948 Sigma-Aldrich Corp. 747,695
-------------
7,749,470
-------------
COMMERCIAL BANKS -- 2.3%
42,454 BB&T Corp. 1,515,183
119,535 Fifth Third Bancorp 2,298,658
29,585 PNC Financial Services Group,
Inc. 2,249,939
91,125 SunTrust Banks, Inc. 3,170,239
34,851 Wells Fargo & Co. 1,516,019
-------------
10,750,038
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.6%
72,188 ADT (The) Corp. 2,893,295
48,992 Pitney Bowes, Inc. 808,858
63,568 Republic Services, Inc. 2,155,591
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
35,662 Waste Management, Inc. $ 1,498,874
-------------
7,356,618
-------------
COMMUNICATIONS EQUIPMENT -- 1.4%
118,337 Cisco Systems, Inc. 3,023,510
58,411 Harris Corp. 3,333,516
-------------
6,357,026
-------------
COMPUTERS & PERIPHERALS -- 1.3%
161,613 Dell, Inc. 2,047,637
59,365 Western Digital Corp. 3,821,918
-------------
5,869,555
-------------
CONSTRUCTION & ENGINEERING --
0.5%
12,128 Fluor Corp. 758,728
26,093 Jacobs Engineering Group,
Inc. (a) 1,544,705
-------------
2,303,433
-------------
CONSUMER FINANCE -- 0.5%
34,349 Capital One Financial Corp. 2,370,768
-------------
CONTAINERS & PACKAGING -- 0.8%
16,818 Avery Dennison Corp. 752,269
36,752 Bemis Co., Inc. 1,513,815
42,169 MeadWestvaco Corp. 1,558,144
-------------
3,824,228
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.8%
208,005 Apollo Group, Inc., Class A (a) 3,789,851
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.9%
14,992 Citigroup, Inc. 781,683
54,497 JPMorgan Chase & Co. 3,037,118
82,287 Leucadia National Corp. 2,207,760
65,799 NASDAQ OMX Group (The), Inc. 2,131,888
17,369 NYSE Euronext 732,277
-------------
8,890,726
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.3%
60,948 AT&T, Inc. 2,149,636
104,263 CenturyLink, Inc. 3,737,829
910,082 Frontier Communications Corp. 3,967,957
93,278 Windstream Corp. 778,871
-------------
10,634,293
-------------
ELECTRIC UTILITIES -- 6.5%
64,242 American Electric Power Co.,
Inc. 2,977,617
31,965 Duke Energy Corp. 2,269,515
76,531 Edison International 3,815,070
52,895 Entergy Corp. 3,570,413
69,869 Exelon Corp. 2,137,293
Page 50 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND - FTA
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
57,778 FirstEnergy Corp. $ 2,199,609
8,828 NextEra Energy, Inc. 764,593
51,345 Northeast Utilities 2,280,231
51,860 Pinnacle West Capital Corp. 3,054,554
95,066 PPL Corp. 3,020,247
32,592 Southern (The) Co. 1,461,425
101,511 Xcel Energy, Inc. 3,040,254
-------------
30,590,821
-------------
ELECTRICAL EQUIPMENT -- 0.3%
13,187 Emerson Electric Co. 809,286
8,650 Rockwell Automation, Inc. 837,753
-------------
1,647,039
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
2.9%
259,020 Corning, Inc. 3,934,514
79,999 FLIR Systems, Inc. 2,597,568
180,855 Jabil Circuit, Inc. 4,157,856
98,048 Molex, Inc. 2,924,772
-------------
13,614,710
-------------
ENERGY EQUIPMENT & SERVICES --
6.2%
46,770 Baker Hughes, Inc. 2,218,301
53,581 Diamond Offshore Drilling, Inc. 3,613,503
63,420 Ensco PLC, Class A 3,636,503
59,018 Helmerich & Payne, Inc. 3,729,937
240,748 Nabors Industries Ltd. 3,705,112
53,498 National Oilwell Varco, Inc. 3,753,955
98,079 Noble Corp. 3,746,618
84,433 Rowan Cos. PLC, Class A (a) 2,900,273
20,072 Schlumberger Ltd. 1,632,456
-------------
28,936,658
-------------
FOOD & STAPLES RETAILING -- 2.9%
37,736 CVS Caremark Corp. 2,320,387
62,466 Kroger (The) Co. 2,453,040
155,781 Safeway, Inc. 4,017,592
21,054 Sysco Corp. 726,574
32,542 Walgreen Co. 1,635,235
28,964 Wal-Mart Stores, Inc. 2,257,454
-------------
13,410,282
-------------
FOOD PRODUCTS -- 1.2%
42,417 Archer-Daniels-Midland Co. 1,546,948
18,639 Hormel Foods Corp. 789,362
112,023 Tyson Foods, Inc., Class A 3,094,075
-------------
5,430,385
-------------
GAS UTILITIES -- 0.7%
67,118 AGL Resources, Inc. 3,073,333
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 4.0%
105,672 Abbott Laboratories 3,870,765
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES (CONTINUED)
6,617 C. R. Bard, Inc. $ 758,308
39,035 CareFusion Corp. (a) 1,505,580
37,748 Covidien PLC 2,326,409
35,115 DENTSPLY International, Inc. 1,505,731
41,919 Medtronic, Inc. 2,315,606
31,522 St. Jude Medical, Inc. 1,651,438
11,121 Stryker Corp. 783,586
10,663 Varian Medical Systems, Inc. (a) 773,068
38,386 Zimmer Holdings, Inc. 3,204,463
-------------
18,694,954
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 3.9%
33,958 Aetna, Inc. 2,179,085
30,474 Cardinal Health, Inc. 1,526,443
9,921 Cigna Corp. 772,151
43,682 Humana, Inc. 3,986,419
14,372 Laboratory Corp. of America
Holdings (a) 1,390,347
19,125 Patterson Cos., Inc. 782,021
11,864 Quest Diagnostics, Inc. 691,790
43,933 UnitedHealth Group, Inc. 3,200,519
45,035 WellPoint, Inc. 3,853,195
-------------
18,381,970
-------------
HOTELS, RESTAURANTS & LEISURE
-- 1.6%
83,893 Carnival Corp. 3,106,558
42,739 Darden Restaurants, Inc. 2,096,348
86,079 International Game Technology 1,589,879
7,267 McDonald's Corp. 712,747
-------------
7,505,532
-------------
HOUSEHOLD DURABLES -- 1.8%
101,929 Garmin Ltd. 4,085,314
26,535 Harman International Industries,
Inc. 1,606,164
18,864 Whirlpool Corp. 2,526,644
-------------
8,218,122
-------------
HOUSEHOLD PRODUCTS -- 0.2%
9,343 Procter & Gamble (The) Co. 750,243
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 0.6%
107,742 NRG Energy, Inc. 2,889,640
-------------
INDUSTRIAL CONGLOMERATES -- 1.0%
13,155 3M Co. 1,544,791
22,720 Danaher Corp. 1,529,965
62,024 General Electric Co. 1,511,525
-------------
4,586,281
-------------
See Notes to Financial Statements Page 51
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND - FTA
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE -- 6.7%
24,113 ACE Ltd. $ 2,203,446
37,121 Aflac, Inc. 2,289,623
44,840 Allstate (The) Corp. 2,285,943
64,354 American International Group,
Inc. (a) 2,928,751
56,503 Assurant, Inc. 3,060,202
12,855 Berkshire Hathaway, Inc.,
Class B (a) 1,489,509
16,993 Chubb (The) Corp. 1,469,894
15,671 Cincinnati Financial Corp. 767,879
63,030 Genworth Financial, Inc.,
Class A (a) 818,760
78,883 Lincoln National Corp. 3,287,055
19,207 Principal Financial Group, Inc. 832,815
22,082 Torchmark Corp. 1,569,589
35,997 Travelers (The) Cos., Inc. 3,007,549
97,951 Unum Group 3,099,170
71,159 XL Group PLC 2,230,835
-------------
31,341,020
-------------
IT SERVICES -- 3.5%
9,992 Accenture PLC, Class A 737,510
65,726 Computer Sciences Corp. 3,132,501
50,361 Fidelity National Information
Services, Inc. 2,173,581
7,529 International Business Machines
Corp. 1,468,456
264,599 SAIC, Inc. 4,045,719
117,517 Total System Services, Inc. 3,221,141
84,066 Western Union Co. 1,509,825
-------------
16,288,733
-------------
LEISURE EQUIPMENT & PRODUCTS --
0.2%
16,041 Hasbro, Inc. 737,886
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.2%
7,186 Waters Corp. (a) 725,355
-------------
MACHINERY -- 3.2%
26,156 Caterpillar, Inc. 2,168,594
17,705 Deere & Co. 1,470,754
27,779 Dover Corp. 2,378,994
25,907 Ingersoll-Rand PLC 1,581,622
75,949 Joy Global, Inc. 3,759,476
22,616 Parker Hannifin Corp. 2,335,780
53,390 Xylem, Inc. 1,331,013
-------------
15,026,233
-------------
MEDIA -- 0.3%
2,975 Washington Post (The) Co.,
Class B 1,598,646
-------------
METALS & MINING -- 3.5%
367,868 Alcoa, Inc. 2,924,551
82,006 Allegheny Technologies, Inc. 2,260,905
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
METALS & MINING (CONTINUED)
133,499 Freeport-McMoRan Copper &
Gold, Inc. $ 3,775,352
123,070 Newmont Mining Corp. 3,692,100
16,599 Nucor Corp. 776,501
164,104 United States Steel Corp. 2,847,204
-------------
16,276,613
-------------
MULTILINE RETAIL -- 2.1%
28,520 Dollar General Corp. (a) 1,559,188
72,970 Kohl's Corp. 3,865,951
44,949 Macy's, Inc. 2,172,835
31,330 Target Corp. 2,232,262
-------------
9,830,236
-------------
MULTI-UTILITIES -- 6.3%
61,233 CenterPoint Energy, Inc. 1,519,803
79,412 CMS Energy Corp. 2,222,742
37,004 Consolidated Edison, Inc. 2,216,540
42,930 DTE Energy Co. 3,035,151
49,153 Integrys Energy Group, Inc. 3,086,808
75,337 NiSource, Inc. 2,314,353
62,910 PG&E Corp. 2,886,940
88,083 Public Service Enterprise
Group, Inc. 2,976,324
58,592 SCANA Corp. 3,041,511
17,591 Sempra Energy 1,541,499
167,351 TECO Energy, Inc. 2,957,092
35,090 Wisconsin Energy Corp. 1,525,713
-------------
29,324,476
-------------
OFFICE ELECTRONICS -- 0.8%
406,377 Xerox Corp. 3,941,857
-------------
OIL, GAS & CONSUMABLE FUELS --
11.8%
16,740 Anadarko Petroleum Corp. 1,481,825
43,967 Apache Corp. 3,528,352
105,868 Chesapeake Energy Corp. 2,466,724
31,149 Chevron Corp. 3,921,348
60,924 ConocoPhillips 3,951,531
106,154 CONSOL Energy, Inc. 3,293,959
40,798 Exxon Mobil Corp. 3,824,812
55,433 Hess Corp. 4,127,541
106,591 Marathon Oil Corp. 3,875,649
51,868 Marathon Petroleum Corp. 3,803,480
60,530 Murphy Oil Corp. 4,099,092
41,310 Occidental Petroleum Corp. 3,678,655
62,565 Phillips 66 3,847,748
77,668 QEP Resources, Inc. 2,368,097
106,004 Valero Energy Corp. 3,791,763
151,887 WPX Energy, Inc. (a) 2,917,749
-------------
54,978,325
-------------
PAPER & FOREST PRODUCTS -- 0.2%
16,231 International Paper Co. 784,120
-------------
Page 52 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND - FTA
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS -- 0.3%
51,351 Pfizer, Inc. $ 1,500,990
-------------
ROAD & RAIL -- 1.7%
93,036 CSX Corp. 2,308,223
39,598 Norfolk Southern Corp. 2,896,990
47,321 Ryder System, Inc. 2,926,330
-------------
8,131,543
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.5%
21,801 Altera Corp. 775,243
15,962 Analog Devices, Inc. 787,884
82,399 First Solar, Inc. (a) 4,057,327
262,709 NVIDIA Corp. 3,790,891
41,247 Texas Instruments, Inc. 1,616,882
18,153 Xilinx, Inc. 847,564
-------------
11,875,791
-------------
SOFTWARE -- 1.0%
100,483 CA, Inc. 2,988,364
64,013 Symantec Corp. 1,707,867
-------------
4,696,231
-------------
SPECIALTY RETAIL -- 0.9%
81,457 Abercrombie & Fitch Co.,
Class A 4,062,261
-------------
THRIFTS & MORTGAGE FINANCE --
0.1%
48,267 People's United Financial, Inc. 724,005
-------------
TOTAL COMMON STOCKS -- 100.0% 466,935,792
(Cost $415,998,694)
MONEY MARKET FUND -- 0.0%
220,600 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 220,600
(Cost $220,600) -------------
TOTAL INVESTMENTS -- 100.0% 467,156,392
(Cost $416,219,294) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (32,168)
-------------
NET ASSETS -- 100.0% $ 467,124,224
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $423,883,691. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $49,192,787 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $5,920,086.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $466,935,792 $ -- $ --
Money Market Fund 220,600 -- --
--------------------------------------
Total Investments $467,156,392 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 53
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND - FTC
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.1%
AEROSPACE & DEFENSE -- 3.3%
15,445 Boeing (The) Co. $ 1,623,269
15,957 Honeywell International, Inc. 1,324,112
11,671 Lockheed Martin Corp. 1,401,921
5,603 Precision Castparts Corp. 1,242,297
-------------
5,591,599
-------------
AIR FREIGHT & LOGISTICS -- 0.2%
3,556 United Parcel Service, Inc.,
Class B 308,661
-------------
AIRLINES -- 0.8%
98,208 Southwest Airlines Co. 1,358,217
-------------
AUTO COMPONENTS -- 1.6%
11,019 BorgWarner, Inc. (a) 1,051,543
31,216 Delphi Automotive PLC 1,676,924
-------------
2,728,467
-------------
AUTOMOBILES -- 1.2%
47,502 General Motors Co. (a) 1,703,897
5,610 Harley-Davidson, Inc. 318,479
-------------
2,022,376
-------------
BEVERAGES -- 1.5%
30,360 Constellation Brands, Inc.,
Class A (a) 1,581,452
10,416 Monster Beverage Corp. (a) 635,272
3,759 PepsiCo, Inc. 314,027
-------------
2,530,751
-------------
BIOTECHNOLOGY -- 4.1%
3,115 Amgen, Inc. 337,324
7,352 Biogen Idec, Inc. (a) 1,603,692
10,827 Celgene Corp. (a) 1,590,053
24,720 Gilead Sciences, Inc. (a) 1,519,044
7,037 Regeneron Pharmaceuticals,
Inc. (a) 1,900,412
-------------
6,950,525
-------------
BUILDING PRODUCTS -- 0.6%
48,712 Masco Corp. 999,570
-------------
CAPITAL MARKETS -- 2.0%
19,564 Ameriprise Financial, Inc. 1,741,196
2,463 BlackRock, Inc. 694,467
29,858 Invesco Ltd. 961,129
-------------
3,396,792
-------------
CHEMICALS -- 3.2%
5,854 E.I. du Pont de Nemours & Co. 337,717
13,560 Eastman Chemical Co. 1,090,631
14,859 Ecolab, Inc. 1,369,108
5,037 FMC Corp. 333,248
4,093 International Flavors &
Fragrances, Inc. 330,223
6,485 PPG Industries, Inc. 1,040,454
5,375 Sherwin-Williams (The) Co. 936,164
-------------
5,437,545
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMERCIAL BANKS -- 3.9%
23,839 Comerica, Inc. $ 1,014,111
80,320 Huntington Bancshares, Inc. 686,736
114,665 KeyCorp 1,409,233
8,494 M&T Bank Corp. 992,609
99,625 Regions Financial Corp. 997,246
8,502 U.S. Bancorp 317,294
43,831 Zions Bancorporation 1,299,151
-------------
6,716,380
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.8%
13,899 Cintas Corp. 660,342
5,732 Stericycle, Inc. (a) 664,568
-------------
1,324,910
-------------
COMMUNICATIONS EQUIPMENT -- 0.2%
21,377 JDS Uniphase Corp. (a) 313,601
-------------
COMPUTERS & PERIPHERALS -- 1.2%
16,752 NetApp, Inc. 688,842
35,294 Seagate Technology PLC 1,443,878
-------------
2,132,720
-------------
CONSTRUCTION & ENGINEERING --
0.2%
11,621 Quanta Services, Inc. (a) 311,559
-------------
CONSUMER FINANCE -- 2.1%
16,932 American Express Co. 1,249,074
19,929 Discover Financial Services 986,685
55,375 SLM Corp. 1,368,316
-------------
3,604,075
-------------
CONTAINERS & PACKAGING -- 1.1%
66,070 Sealed Air Corp. 1,799,747
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
11,079 H&R Block, Inc. 348,213
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.8%
49,220 Bank of America Corp. 718,612
3,561 IntercontinentalExchange,
Inc. (a) 649,705
25,969 Moody's Corp. 1,759,919
-------------
3,128,236
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.4%
12,575 Verizon Communications, Inc. 622,211
-------------
ELECTRICAL EQUIPMENT -- 1.1%
24,045 Eaton Corp. PLC 1,657,903
2,473 Roper Industries, Inc. 311,499
-------------
1,969,402
-------------
Page 54 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND - FTC
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
1.4%
16,243 Amphenol Corp., Class A $ 1,276,050
20,849 TE Connectivity Ltd. 1,064,133
-------------
2,340,183
-------------
ENERGY EQUIPMENT & SERVICES --
2.0%
10,349 Cameron International Corp. (a) 613,696
28,417 FMC Technologies, Inc. (a) 1,514,626
30,343 Halliburton Co. 1,371,200
-------------
3,499,522
-------------
FOOD & STAPLES RETAILING -- 1.6%
11,450 Costco Wholesale Corp. 1,342,971
24,592 Whole Foods Market, Inc. 1,366,823
-------------
2,709,794
-------------
FOOD PRODUCTS -- 2.9%
28,264 Campbell Soup Co. 1,322,755
13,044 General Mills, Inc. 678,288
7,087 Hershey (The) Co. 672,344
12,275 J.M. Smucker (The) Co. 1,381,183
14,780 Kellogg Co. 979,027
-------------
5,033,597
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.7%
9,606 Becton, Dickinson & Co. 996,335
170,697 Boston Scientific Corp. (a) 1,864,011
-------------
2,860,346
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 1.3%
7,861 DaVita HealthCare Partners,
Inc. (a) 915,099
20,519 Express Scripts Holding Co. (a) 1,345,020
-------------
2,260,119
-------------
HEALTH CARE TECHNOLOGY -- 0.4%
13,173 Cerner Corp. (a) 645,477
-------------
HOTELS, RESTAURANTS & LEISURE
-- 1.6%
1,735 Chipotle Mexican Grill, Inc. (a) 715,288
19,331 Starbucks Corp. 1,377,140
4,866 Starwood Hotels & Resorts
Worldwide, Inc. 321,886
2,404 Wynn Resorts Ltd. 320,045
-------------
2,734,359
-------------
HOUSEHOLD DURABLES -- 1.8%
14,448 D.R. Horton, Inc. 290,405
20,361 Leggett & Platt, Inc. 639,539
8,532 Lennar Corp., Class A 288,979
36,169 Newell Rubbermaid, Inc. 977,286
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HOUSEHOLD DURABLES (CONTINUED)
50,046 PulteGroup, Inc. (a) $ 832,265
-------------
3,028,474
-------------
HOUSEHOLD PRODUCTS -- 0.2%
3,166 Kimberly-Clark Corp. 312,801
-------------
INSURANCE -- 2.0%
14,754 Aon PLC 995,895
15,857 Marsh & McLennan Cos., Inc. 663,932
21,670 Prudential Financial, Inc. 1,711,280
-------------
3,371,107
-------------
INTERNET & CATALOG RETAIL --
3.7%
3,417 Amazon.com, Inc. (a) 1,029,269
5,109 Expedia, Inc. 240,787
7,497 Netflix, Inc. (a) 1,830,917
1,529 priceline.com, Inc. (a) 1,338,900
25,998 TripAdvisor, Inc. (a) 1,950,370
-------------
6,390,243
-------------
INTERNET SOFTWARE & SERVICES --
2.0%
22,311 Akamai Technologies, Inc. (a) 1,053,079
1,797 Google, Inc., Class A (a) 1,595,017
25,206 Yahoo!, Inc. (a) 708,037
-------------
3,356,133
-------------
IT SERVICES -- 1.5%
9,193 Automatic Data Processing, Inc. 662,723
1,103 MasterCard, Inc., Class A 673,503
8,420 Paychex, Inc. 332,085
5,194 Visa, Inc., Class A 919,390
-------------
2,587,701
-------------
LEISURE EQUIPMENT & PRODUCTS --
0.5%
20,954 Mattel, Inc. 880,697
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.9%
17,104 Life Technologies Corp. (a) 1,275,958
9,461 PerkinElmer, Inc. 322,526
18,698 Thermo Fisher Scientific, Inc. 1,703,575
-------------
3,302,059
-------------
MACHINERY -- 2.7%
11,721 Flowserve Corp. 664,346
9,149 Illinois Tool Works, Inc. 659,094
11,793 PACCAR, Inc. 663,592
27,430 Pentair Ltd. 1,675,424
10,622 Snap-on, Inc. 1,007,497
-------------
4,669,953
-------------
MEDIA -- 8.8%
19,429 CBS Corp., Class B 1,026,628
15,114 Comcast Corp., Class A 681,339
See Notes to Financial Statements Page 55
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND - FTC
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
25,678 DIRECTV (a) $ 1,624,647
8,197 Discovery Communications, Inc.,
Class A (a) 653,465
64,691 Gannett Co., Inc. 1,666,440
108,753 Interpublic Group of Cos. (The),
Inc. 1,788,987
20,134 Omnicom Group, Inc. 1,294,012
9,482 Scripps Networks Interactive,
Class A 671,041
14,070 Time Warner Cable, Inc. 1,604,965
10,945 Time Warner, Inc. 681,436
43,993 Twenty-First Century Fox, Inc. 1,314,511
9,301 Viacom, Inc., Class B 676,834
20,044 Walt Disney (The) Co. 1,295,844
-------------
14,980,149
-------------
MULTILINE RETAIL -- 1.8%
18,676 Dollar Tree, Inc. (a) 1,001,967
10,158 Family Dollar Stores, Inc. 698,464
21,121 Nordstrom, Inc. 1,293,450
-------------
2,993,881
-------------
OIL, GAS & CONSUMABLE FUELS --
4.8%
17,826 Cabot Oil & Gas Corp. 1,351,567
4,806 EOG Resources, Inc. 699,225
19,936 EQT Corp. 1,724,464
15,812 Noble Energy, Inc. 988,092
10,930 Pioneer Natural Resources Co. 1,691,527
3,975 Range Resources Corp. 314,422
24,193 Tesoro Corp. 1,375,372
-------------
8,144,669
-------------
PERSONAL PRODUCTS -- 0.2%
4,676 Estee Lauder (The) Cos., Inc.,
Class A 306,979
-------------
PHARMACEUTICALS -- 2.5%
12,535 Actavis, Inc. (a) 1,683,074
6,878 Bristol-Myers Squibb Co. 297,405
7,370 Johnson & Johnson 689,095
40,796 Mylan, Inc. (a) 1,369,114
2,541 Perrigo Co. 316,075
-------------
4,354,763
-------------
PROFESSIONAL SERVICES -- 0.8%
9,744 Dun & Bradstreet (The) Corp. 1,009,771
5,214 Equifax, Inc. 329,681
-------------
1,339,452
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 0.2%
10,792 Weyerhaeuser Co. 306,493
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.5%
40,641 CBRE Group, Inc., Class A (a) 941,652
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
ROAD & RAIL -- 0.9%
5,976 Kansas City Southern $ 643,914
6,152 Union Pacific Corp. 975,646
-------------
1,619,560
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.0%
42,453 Applied Materials, Inc. 692,408
12,693 Intel Corp. 295,747
28,551 Lam Research Corp. (a) 1,405,280
43,057 LSI Corp. (a) 334,984
8,254 Microchip Technology, Inc. 328,014
110,424 Micron Technology, Inc. (a) 1,463,118
36,023 Teradyne, Inc. (a) 594,019
-------------
5,113,570
-------------
SOFTWARE -- 0.7%
6,749 Adobe Systems, Inc. (a) 319,093
27,498 Microsoft Corp. 875,261
-------------
1,194,354
-------------
SPECIALTY RETAIL -- 10.2%
21,882 AutoNation, Inc. (a) 1,048,148
2,242 AutoZone, Inc. (a) 1,005,716
22,316 Bed Bath & Beyond, Inc. (a) 1,706,505
34,281 CarMax, Inc. (a) 1,681,140
37,917 Gap (The), Inc. 1,740,390
20,424 Home Depot (The), Inc. 1,614,109
12,853 L Brands, Inc. 716,812
30,949 Lowe's Cos., Inc. 1,379,706
11,242 O'Reilly Automotive, Inc. (a) 1,408,173
4,590 PetSmart, Inc. 336,080
14,650 Ross Stores, Inc. 988,435
17,380 Tiffany & Co. 1,381,884
25,287 TJX (The) Cos., Inc. 1,315,935
23,605 Urban Outfitters, Inc. (a) 1,004,629
-------------
17,327,662
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 3.6%
5,384 Coach, Inc. 286,052
9,191 Fossil Group, Inc. (a) 1,010,091
19,876 NIKE, Inc., Class B 1,250,598
12,656 PVH Corp. 1,667,934
1,770 Ralph Lauren Corp. 322,246
8,195 VF Corp. 1,614,415
-------------
6,151,336
-------------
TOBACCO -- 0.2%
7,039 Lorillard, Inc. 299,369
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.0%
6,276 W.W. Grainger, Inc. 1,645,191
-------------
Page 56 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND - FTC
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
4,246 Crown Castle International
Corp. (a) $ 298,281
-------------
TOTAL INVESTMENTS -- 100.1% 170,595,483
(Cost $147,229,910) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (176,731)
-------------
NET ASSETS -- 100.0% $ 170,418,752
=============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $147,715,231. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $23,435,552 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $555,300.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $170,595,483 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 57
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.4%
5,175 AAR Corp. $ 125,442
4,423 Aerovironment, Inc. (a) 100,004
3,203 Alliant Techsystems, Inc. 298,199
398 American Science & Engineering,
Inc. 24,194
1,856 Cubic Corp. 93,821
2,408 Curtiss-Wright Corp. 97,861
2,189 Esterline Technologies Corp. (a) 178,272
15,298 Exelis, Inc. 226,104
906 Huntington Ingalls Industries,
Inc. 56,335
3,301 L-3 Communications Holdings,
Inc. 307,488
1,732 Moog, Inc., Class A (a) 97,408
1,239 National Presto Industries, Inc. 91,860
4,379 Northrop Grumman Corp. 403,131
5,138 Orbital Sciences Corp. (a) 95,259
4,280 Raytheon Co. 307,475
1,116 Rockwell Collins, Inc. 79,426
577 Teledyne Technologies, Inc. (a) 46,258
8,148 Textron, Inc. 223,092
2,665 Triumph Group, Inc. 209,096
761 United Technologies Corp. 80,339
-------------
3,141,064
-------------
AIR FREIGHT & LOGISTICS -- 0.6%
2,600 Atlas Air Worldwide Holdings,
Inc. (a) 116,064
1,256 C.H. Robinson Worldwide, Inc. 74,883
2,871 FedEx Corp. 304,326
1,166 Forward Air Corp. 42,641
613 Hub Group, Inc., Class A (a) 23,447
-------------
561,361
-------------
AIRLINES -- 0.4%
41,858 JetBlue Airways Corp. (a) 273,751
8,401 SkyWest, Inc. 127,023
-------------
400,774
-------------
AUTO COMPONENTS -- 0.3%
1,977 Johnson Controls, Inc. 79,495
1,300 Standard Motor Products, Inc. 44,707
6,610 Superior Industries
International, Inc. 120,368
-------------
244,570
-------------
AUTOMOBILES -- 0.2%
9,147 Ford Motor Co. 154,401
-------------
BEVERAGES -- 0.2%
2,012 Coca-Cola Enterprises, Inc. 75,531
2,957 Molson Coors Brewing Co.,
Class B 148,027
-------------
223,558
-------------
BIOTECHNOLOGY -- 0.1%
4,642 Emergent Biosolutions, Inc. (a) 82,117
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
BUILDING PRODUCTS -- 0.2%
930 Apogee Enterprises, Inc. $ 24,887
3,065 Gibraltar Industries, Inc. (a) 47,201
5,950 Griffon Corp. 70,805
758 Simpson Manufacturing Co., Inc. 25,029
1,118 Universal Forest Products, Inc. 46,117
-------------
214,039
-------------
CAPITAL MARKETS -- 1.4%
20,442 Apollo Investment Corp. 166,194
5,045 Bank of New York Mellon (The)
Corp. 158,665
8,500 Calamos Asset Management, Inc.,
Class A 90,525
1,868 Federated Investors, Inc.,
Class B 54,228
1,403 Goldman Sachs Group (The), Inc. 230,134
24,790 Janus Capital Group, Inc. 232,282
3,599 Piper Jaffray Cos., Inc. (a) 120,746
8,264 Prospect Capital Corp. 90,491
1,085 State Street Corp. 75,592
1,251 Stifel Financial Corp. (a) 47,100
-------------
1,265,957
-------------
CHEMICALS -- 2.6%
3,328 A. Schulman, Inc. 89,190
1,545 Air Products & Chemicals, Inc. 167,849
741 Airgas, Inc. 76,479
822 Albemarle Corp. 50,972
5,638 Cabot Corp. 231,271
1,338 Calgon Carbon Corp. (a) 23,990
2,199 Dow Chemical (The) Co. 77,053
1,133 Hawkins, Inc. 43,904
1,419 Innophos Holdings, Inc. 70,723
13,843 Intrepid Potash, Inc. 176,914
1,169 Koppers Holdings, Inc. 45,182
2,935 LSB Industries, Inc. (a) 96,503
4,271 LyondellBasell Industries N.V.,
Class A 293,460
3,827 Minerals Technologies, Inc. 176,042
8,820 Olin Corp. 215,208
614 Praxair, Inc. 73,784
3,910 Sensient Technologies Corp. 172,079
880 Sigma-Aldrich Corp. 73,533
1,204 Stepan Co. 72,071
2,605 Tredegar Corp. 78,176
4,229 Zep, Inc. 55,315
-------------
2,359,698
-------------
COMMERCIAL BANKS -- 3.6%
10,175 Associated Banc-Corp. 172,364
2,892 BancorpSouth, Inc. 56,828
1,981 Banner Corp. 73,455
4,177 BB&T Corp. 149,077
573 City Holding Co. 25,361
1,175 Commerce Bancshares, Inc. 53,615
1,447 Community Bank System, Inc. 48,532
1,897 CVB Financial Corp. 24,832
Page 58 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL BANKS (CONTINUED)
3,836 East West Bancorp, Inc. $ 118,264
11,759 Fifth Third Bancorp 226,126
2,995 First Financial Bancorp 48,249
10,475 First Niagara Financial Group,
Inc. 111,978
2,556 FirstMerit Corp. 57,306
9,188 Fulton Financial Corp. 115,677
5,262 Hancock Holding Co. 172,383
5,051 Hanmi Financial Corp. (a) 85,867
4,671 International Bancshares Corp. 113,085
2,498 MB Financial, Inc. 71,892
1,054 NBT Bancorp, Inc. 23,789
3,227 Old National Bancorp 46,501
2,911 PNC Financial Services Group,
Inc. 221,382
988 Prosperity Bancshares, Inc. 58,312
2,277 S&T Bancorp, Inc. 55,741
1,710 Simmons First National Corp.,
Class A 46,768
8,964 SunTrust Banks, Inc. 311,858
3,963 Taylor Capital Group, Inc. (a) 88,890
3,610 TCF Financial Corp. 55,016
494 Tompkins Financial Corp. 22,294
4,291 Trustmark Corp. 115,728
1,487 Umpqua Holdings Corp. 25,041
844 United Bankshares, Inc. 23,902
11,139 Valley National Bancorp 115,289
6,161 Webster Financial Corp. 167,826
3,429 Wells Fargo & Co. 149,162
1,749 Wintrust Financial Corp. 71,552
-------------
3,323,942
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.9%
2,731 ABM Industries, Inc. 70,733
7,102 ADT (The) Corp. 284,648
4,135 Brink's (The) Co. 110,529
1,899 Consolidated Graphics, Inc. (a) 101,767
6,088 Deluxe Corp. 249,669
938 G&K Services, Inc., Class A 49,536
1,100 Mine Safety Appliances Co. 58,443
4,819 Pitney Bowes, Inc. 79,562
6,254 Republic Services, Inc. 212,073
4,839 Tetra Tech, Inc. (a) 114,200
978 UniFirst Corp. 95,864
2,660 United Stationers, Inc. 110,097
1,820 Viad Corp. 43,771
3,509 Waste Management, Inc. 147,483
-------------
1,728,375
-------------
COMMUNICATIONS EQUIPMENT --
1.1%
3,318 Bel Fuse, Inc., Class B 51,927
4,493 Black Box Corp. 121,581
11,641 Cisco Systems, Inc. 297,427
2,489 Comtech Telecommunications
Corp. 67,402
4,763 Digi International, Inc. (a) 47,297
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMUNICATIONS EQUIPMENT (CONTINUED)
5,746 Harris Corp. $ 327,924
2,402 Plantronics, Inc. 111,669
4,970 Symmetricom, Inc. (a) 25,546
-------------
1,050,773
-------------
COMPUTERS & PERIPHERALS -- 1.1%
15,899 Dell, Inc. 201,440
6,901 Lexmark International, Inc.,
Class A 258,719
11,899 QLogic Corp. (a) 131,008
4,194 Super Micro Computer, Inc. (a) 48,608
1,157 Synaptics, Inc. (a) 46,280
5,840 Western Digital Corp. 375,979
-------------
1,062,034
-------------
CONSTRUCTION & ENGINEERING --
0.9%
3,965 Aegion Corp. (a) 90,481
2,893 Dycom Industries, Inc. (a) 76,607
1,098 EMCOR Group, Inc. 45,325
1,193 Fluor Corp. 74,634
3,544 Granite Construction, Inc. 107,206
2,567 Jacobs Engineering Group,
Inc. (a) 151,966
5,585 URS Corp. 259,703
-------------
805,922
-------------
CONSUMER FINANCE -- 0.6%
3,379 Capital One Financial Corp. 233,218
2,502 Cash America International, Inc. 105,084
6,739 EZCORP, Inc., Class A (a) 121,841
770 World Acceptance Corp. (a) 64,126
-------------
524,269
-------------
CONTAINERS & PACKAGING -- 1.2%
1,911 AptarGroup, Inc. 111,583
1,655 Avery Dennison Corp. 74,028
3,615 Bemis Co., Inc. 148,902
2,003 Greif, Inc., Class A 110,806
4,148 MeadWestvaco Corp. 153,269
4,460 Myers Industries, Inc. 86,836
2,112 Rock Tenn Co., Class A 241,507
4,577 Sonoco Products Co. 176,169
-------------
1,103,100
-------------
DISTRIBUTORS -- 0.1%
9,271 VOXX International Corp. (a) 125,622
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.3%
20,462 Apollo Group, Inc., Class A (a) 372,818
2,143 Capella Education Co. (a) 105,028
50,783 Corinthian Colleges, Inc. (a) 113,754
8,501 DeVry, Inc. 255,710
3,658 ITT Educational Services,
Inc. (a) 95,949
2,798 Matthews International Corp.,
Class A 108,227
See Notes to Financial Statements Page 59
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
3,240 Strayer Education, Inc. $ 143,402
4,320 Universal Technical Institute,
Inc. 50,544
-------------
1,245,432
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.0%
1,475 Citigroup, Inc. 76,907
1,397 Interactive Brokers Group, Inc.,
Class A 22,631
5,361 JPMorgan Chase & Co. 298,769
8,095 Leucadia National Corp. 217,189
1,539 MSCI, Inc. (a) 53,942
6,473 NASDAQ OMX Group (The), Inc. 209,725
1,709 NYSE Euronext 72,051
-------------
951,214
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.4%
5,996 AT&T, Inc. 211,479
1,797 Atlantic Tele-Network, Inc. 91,647
8,538 Cbeyond, Inc. (a) 72,317
10,257 CenturyLink, Inc. 367,713
89,529 Frontier Communications Corp. 390,346
5,699 General Communication, Inc.,
Class A (a) 50,436
9,176 Windstream Corp. 76,620
-------------
1,260,558
-------------
ELECTRIC UTILITIES -- 5.2%
1,343 ALLETE, Inc. 72,012
6,320 American Electric Power Co.,
Inc. 292,932
3,408 Cleco Corp. 165,322
3,144 Duke Energy Corp. 223,224
7,529 Edison International 375,321
1,896 El Paso Electric Co. 71,612
5,204 Entergy Corp. 351,270
6,873 Exelon Corp. 210,245
5,684 FirstEnergy Corp. 216,390
9,360 Great Plains Energy, Inc. 226,418
4,168 Hawaiian Electric Industries,
Inc. 111,119
4,417 IDACORP, Inc. 233,085
868 NextEra Energy, Inc. 75,177
5,051 Northeast Utilities 224,315
6,744 NV Energy, Inc. 159,361
3,093 OGE Energy Corp. 115,678
5,102 Pinnacle West Capital Corp. 300,508
9,507 PNM Resources, Inc. 223,224
9,352 PPL Corp. 297,113
3,206 Southern (The) Co. 143,757
1,750 UIL Holdings Corp. 71,470
1,497 UNS Energy Corp. 76,122
6,601 Westar Energy, Inc. 221,728
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
ELECTRIC UTILITIES (CONTINUED)
9,986 Xcel Energy, Inc. $ 299,081
-------------
4,756,484
-------------
ELECTRICAL EQUIPMENT -- 0.7%
726 Brady Corp., Class A 24,154
1,297 Emerson Electric Co. 79,597
1,820 EnerSys, Inc. 96,314
5,489 II-VI, Inc. (a) 97,046
1,296 Powell Industries, Inc. (a) 63,763
3,254 Regal-Beloit Corp. 210,469
851 Rockwell Automation, Inc. 82,419
-------------
653,762
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
4.2%
6,617 Arrow Electronics, Inc. (a) 302,066
7,848 Avnet, Inc. (a) 295,634
4,440 Benchmark Electronics, Inc. (a) 98,213
810 Coherent, Inc. 45,911
25,481 Corning, Inc. 387,056
4,908 CTS Corp. 68,957
6,524 Daktronics, Inc. 70,981
660 FARO Technologies, Inc. (a) 24,242
7,870 FLIR Systems, Inc. 255,539
11,109 Ingram Micro, Inc., Class A (a) 253,619
6,412 Insight Enterprises, Inc. (a) 137,153
17,792 Jabil Circuit, Inc. 409,038
5,247 Methode Electronics, Inc. 99,116
9,646 Molex, Inc. 287,740
929 Park Electrochemical Corp. 25,269
2,986 Plexus Corp. (a) 104,420
2,684 Rofin-Sinar Technologies,
Inc. (a) 62,027
2,404 Rogers Corp. (a) 133,711
2,789 ScanSource, Inc. (a) 99,316
2,691 SYNNEX Corp. (a) 133,258
5,600 Tech Data Corp. (a) 287,504
18,985 Vishay Intertechnology, Inc. (a) 273,194
-------------
3,853,964
-------------
ENERGY EQUIPMENT & SERVICES --
5.7%
5,066 Atwood Oceanics, Inc. (a) 285,419
4,601 Baker Hughes, Inc. 218,226
5,537 Basic Energy Services, Inc. (a) 63,343
1,025 Bristow Group, Inc. 69,710
5,873 C&J Energy Services, Inc. (a) 113,643
3,129 CARBO Ceramics, Inc. 274,914
5,271 Diamond Offshore Drilling, Inc. 355,476
6,239 Ensco PLC, Class A 357,744
3,413 Era Group, Inc. (a) 83,243
1,165 Gulf Island Fabrication, Inc. 28,811
5,806 Helmerich & Payne, Inc. 366,939
18,896 ION Geophysical Corp. (a) 116,210
2,864 Matrix Service Co. (a) 45,394
23,683 Nabors Industries Ltd. 364,481
Page 60 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENERGY EQUIPMENT & SERVICES
(CONTINUED)
5,263 National Oilwell Varco, Inc. $ 369,305
9,649 Noble Corp. 368,592
13,625 Patterson-UTI Energy, Inc. 269,366
17,184 Pioneer Energy Services
Corp. (a) 116,508
8,306 Rowan Cos. PLC, Class A (a) 285,311
1,975 Schlumberger Ltd. 160,627
537 SEACOR Holdings, Inc. 47,020
10,166 Superior Energy Services,
Inc. (a) 260,453
8,585 Tesco Corp. (a) 113,665
6,524 TETRA Technologies, Inc. (a) 66,023
3,703 Tidewater, Inc. 218,440
4,955 Unit Corp. (a) 223,371
-------------
5,242,234
-------------
FOOD & STAPLES RETAILING -- 1.8%
1,259 Andersons (The), Inc. 74,684
371 Casey's General Stores, Inc. 24,571
3,712 CVS Caremark Corp. 228,251
3,376 Harris Teeter Supermarkets, Inc. 166,032
6,145 Kroger (The) Co. 241,314
15,325 Safeway, Inc. 395,232
6,169 Spartan Stores, Inc. 121,344
2,071 Sysco Corp. 71,470
3,201 Walgreen Co. 160,850
2,849 Wal-Mart Stores, Inc. 222,051
-------------
1,705,799
-------------
FOOD PRODUCTS -- 1.2%
4,173 Archer-Daniels-Midland Co. 152,189
1,919 Cal-Maine Foods, Inc. 97,255
5,109 Dean Foods Co. (a) 55,688
1,834 Hormel Foods Corp. 77,670
656 Lancaster Colony Corp. 54,468
2,416 Post Holdings, Inc. (a) 112,078
336 Sanderson Farms, Inc. 23,735
3,708 Seneca Foods Corp., Class A (a) 130,336
3,221 Smithfield Foods, Inc. (a) 106,937
340 TreeHouse Foods, Inc. (a) 24,137
11,020 Tyson Foods, Inc., Class A 304,373
-------------
1,138,866
-------------
GAS UTILITIES -- 1.4%
6,603 AGL Resources, Inc. 302,351
3,853 Atmos Energy Corp. 170,457
1,466 Laclede Group (The), Inc. 67,231
1,820 National Fuel Gas Co. 117,991
537 New Jersey Resources Corp. 24,036
1,576 Northwest Natural Gas Co. 69,249
1,323 Piedmont Natural Gas Co., Inc. 45,710
2,146 Questar Corp. 51,203
1,908 Southwest Gas Corp. 94,713
4,046 UGI Corp. 169,891
4,881 WGL Holdings, Inc. 224,380
-------------
1,337,212
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 2.9%
10,395 Abbott Laboratories $ 380,769
651 C. R. Bard, Inc. 74,605
3,840 CareFusion Corp. (a) 148,109
1,429 CONMED Corp. 46,871
3,713 Covidien PLC 228,832
14,258 CryoLife, Inc. 100,947
3,455 DENTSPLY International, Inc. 148,150
4,698 Hill-Rom Holdings, Inc. 174,155
609 Integra LifeSciences
Holdings (a) 23,989
1,554 Invacare Corp. 24,258
2,415 Masimo Corp. 56,245
4,124 Medtronic, Inc. 227,810
6,004 Merit Medical Systems, Inc. (a) 78,893
3,101 St. Jude Medical, Inc. 162,461
3,690 STERIS Corp. 166,124
1,094 Stryker Corp. 77,083
1,115 SurModics, Inc. (a) 22,568
10,600 Symmetry Medical, Inc. (a) 92,326
661 Teleflex, Inc. 52,503
1,049 Varian Medical Systems, Inc. (a) 76,052
3,776 Zimmer Holdings, Inc. 315,220
-------------
2,677,970
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 3.7%
3,340 Aetna, Inc. 214,328
5,987 Almost Family, Inc. 114,531
1,271 AmSurg Corp. (a) 49,709
2,998 Cardinal Health, Inc. 150,170
924 Chemed Corp. 65,225
976 Cigna Corp. 75,962
4,500 Community Health Systems, Inc. 207,270
3,256 Health Management Associates,
Inc., Class A (a) 43,891
4,297 Humana, Inc. 392,144
6,798 Kindred Healthcare, Inc. (a) 104,417
1,414 Laboratory Corp. of America
Holdings (a) 136,790
5,810 LHC Group, Inc. (a) 133,281
4,319 LifePoint Hospitals, Inc. (a) 212,322
2,028 Magellan Health Services,
Inc. (a) 115,900
1,073 Omnicare, Inc. 56,644
1,513 Owens & Minor, Inc. 54,408
1,882 Patterson Cos., Inc. 76,955
8,207 PharMerica Corp. (a) 120,151
1,167 Quest Diagnostics, Inc. 68,048
4,322 UnitedHealth Group, Inc. 314,858
2,363 Universal Health Services, Inc.,
Class B 165,292
2,848 WellCare Health Plans, Inc. (a) 173,813
4,431 WellPoint, Inc. 379,116
-------------
3,425,225
-------------
See Notes to Financial Statements Page 61
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE TECHNOLOGY -- 0.1%
454 Computer Programs & Systems,
Inc. $ 25,306
1,193 Quality Systems, Inc. 27,284
-------------
52,590
-------------
HOTELS, RESTAURANTS & LEISURE
-- 1.9%
109 Biglari Holdings, Inc. (a) 45,405
8,253 Carnival Corp. 305,609
1,087 CEC Entertainment, Inc. 45,208
236 Cracker Barrel Old Country
Store, Inc. 23,104
4,205 Darden Restaurants, Inc. 206,255
324 DineEquity, Inc. 22,573
8,468 International Game Technology 156,404
5,028 International Speedway Corp.,
Class A 170,198
3,158 Life Time Fitness, Inc. (a) 168,290
8,943 Marcus (The) Corp. 115,812
715 McDonald's Corp. 70,127
3,970 Monarch Casino & Resort,
Inc. (a) 81,385
809 Red Robin Gourmet Burgers,
Inc. (a) 46,016
8,780 Wendy's (The) Co. 62,426
8,270 WMS Industries, Inc. (a) 212,953
-------------
1,731,765
-------------
HOUSEHOLD DURABLES -- 1.4%
6,243 American Greetings Corp.,
Class A 118,867
3,197 Blyth, Inc. 44,790
10,027 Garmin Ltd. 401,882
2,611 Harman International Industries,
Inc. 158,044
2,965 Helen of Troy Ltd. (a) 125,953
13,656 Standard Pacific Corp. (a) 111,706
2,380 Universal Electronics, Inc. (a) 73,375
1,856 Whirlpool Corp. 248,593
-------------
1,283,210
-------------
HOUSEHOLD PRODUCTS -- 0.4%
16,486 Central Garden & Pet Co.,
Class A (a) 124,304
1,049 Energizer Holdings, Inc. 106,788
919 Procter & Gamble (The) Co. 73,796
410 WD-40 Co. 23,579
-------------
328,467
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 0.3%
10,599 NRG Energy, Inc. 284,265
-------------
INDUSTRIAL CONGLOMERATES --
0.7%
1,294 3M Co. 151,954
3,386 Carlisle Cos., Inc. 229,368
2,235 Danaher Corp. 150,505
6,102 General Electric Co. 148,706
-------------
680,533
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INSURANCE -- 7.0%
2,372 ACE Ltd. $ 216,753
3,652 Aflac, Inc. 225,255
550 Alleghany Corp. (a) 222,134
4,411 Allstate (The) Corp. 224,873
4,313 American Financial Group, Inc. 222,939
6,331 American International Group,
Inc. (a) 288,124
7,110 Aspen Insurance Holdings Ltd. 266,554
5,559 Assurant, Inc. 301,075
1,264 Berkshire Hathaway, Inc.,
Class B (a) 146,460
1,672 Chubb (The) Corp. 144,628
1,541 Cincinnati Financial Corp. 75,509
3,650 Employers Holdings, Inc. 95,958
2,056 Everest Re Group, Ltd. 274,538
11,075 Fidelity National Financial,
Inc., Class A 271,116
6,201 Genworth Financial, Inc.,
Class A (a) 80,551
1,046 Hanover Insurance Group, (The),
Inc. 56,306
4,894 HCC Insurance Holdings, Inc. 217,930
3,661 Horace Mann Educators Corp. 103,753
747 Infinity Property & Casualty
Corp. 48,562
3,080 Kemper Corp. 107,646
7,760 Lincoln National Corp. 323,359
2,779 Meadowbrook Insurance Group,
Inc. 21,093
1,164 Mercury General Corp. 51,449
1,565 Navigators Group (The), Inc. (a) 90,707
2,817 Primerica, Inc. 115,610
1,889 Principal Financial Group, Inc. 81,907
2,181 ProAssurance Corp. 116,749
4,119 Protective Life Corp. 178,476
3,053 Reinsurance Group of America,
Inc. 207,879
292 RLI Corp. 24,102
1,840 Safety Insurance Group, Inc. 98,937
969 Selective Insurance Group, Inc. 23,692
3,202 StanCorp Financial Group, Inc. 169,994
4,343 Stewart Information Services
Corp. 134,329
2,172 Torchmark Corp. 154,386
3,541 Travelers (The) Cos., Inc. 295,850
2,696 United Fire Group, Inc. 70,123
9,636 Unum Group 304,883
3,872 W. R. Berkley Corp. 164,057
7,000 XL Group PLC 219,450
-------------
6,437,696
-------------
INTERNET & CATALOG RETAIL --
0.1%
3,542 PetMed Express, Inc. 59,329
-------------
INTERNET SOFTWARE & SERVICES --
0.7%
7,229 AOL, Inc. 266,316
53,708 Monster Worldwide, Inc. (a) 307,210
Page 62 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES
(CONTINUED)
5,887 United Online, Inc. $ 47,803
-------------
621,329
-------------
IT SERVICES -- 3.1%
983 Accenture PLC, Class A 72,555
1,792 CACI International, Inc.,
Class A (a) 118,989
6,466 Computer Sciences Corp. 308,169
2,937 Convergys Corp. 55,597
4,113 CSG Systems International, Inc. 97,396
4,036 DST Systems, Inc. 282,641
4,954 Fidelity National Information
Services, Inc. 213,815
1,105 Global Payments, Inc. 51,172
3,834 Higher One Holdings, Inc. (a) 41,407
740 International Business Machines
Corp. 144,330
10,096 ManTech International Corp.,
Class A 298,236
26,030 SAIC, Inc. 397,999
7,218 Sykes Enterprises, Inc. (a) 126,748
2,857 TeleTech Holdings, Inc. (a) 71,568
11,560 Total System Services, Inc. 316,860
6,275 VeriFone Systems, Inc. (a) 119,664
8,270 Western Union Co. 148,529
-------------
2,865,675
-------------
LEISURE EQUIPMENT & PRODUCTS --
0.1%
1,578 Hasbro, Inc. 72,588
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.3%
1,410 Bio-Rad Laboratories, Inc.,
Class A (a) 172,006
741 Techne Corp. 54,641
707 Waters Corp. (a) 71,365
-------------
298,012
-------------
MACHINERY -- 3.4%
5,254 AGCO Corp. 295,538
1,301 Astec Industries, Inc. 45,535
1,488 Barnes Group, Inc. 49,104
1,127 Briggs & Stratton Corp. 22,822
2,573 Caterpillar, Inc. 213,327
980 CLARCOR, Inc. 53,880
854 Crane Co. 52,009
1,742 Deere & Co. 144,708
1,435 Donaldson Co., Inc. 52,019
2,733 Dover Corp. 234,054
1,378 ESCO Technologies, Inc. 47,720
2,549 Ingersoll-Rand PLC 155,617
1,062 John Bean Technologies Corp. 25,180
7,472 Joy Global, Inc. 369,864
5,433 Kennametal, Inc. 235,466
885 Mueller Industries, Inc. 48,578
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MACHINERY (CONTINUED)
4,167 Oshkosh Corp. (a) $ 186,765
2,225 Parker Hannifin Corp. 229,798
462 Tennant Co. 23,839
6,743 Titan International, Inc. 116,249
6,860 Trinity Industries, Inc. 270,078
984 Watts Water Technologies, Inc.,
Class A 51,444
2,637 Woodward, Inc. 107,906
5,252 Xylem, Inc. 130,932
-------------
3,162,432
-------------
MARINE -- 0.1%
4,219 Matson, Inc. 119,482
-------------
MEDIA -- 1.5%
480 Arbitron, Inc. 22,061
4,297 E.W. Scripps (The) Co.,
Class A (a) 71,373
5,262 John Wiley & Sons, Inc.,
Class A 237,474
2,211 Meredith Corp. 105,067
14,306 New York Times (The) Co.,
Class A (a) 174,247
9,003 Scholastic Corp. 274,592
10,724 Valassis Communications, Inc. 307,028
292 Washington Post (The) Co.,
Class B 156,909
-------------
1,348,751
-------------
METALS & MINING -- 3.4%
36,189 Alcoa, Inc. 287,703
8,067 Allegheny Technologies, Inc. 222,407
2,112 AMCOL International Corp. 74,089
3,511 Carpenter Technology Corp. 183,555
2,404 Century Aluminum Co. (a) 20,170
14,283 Commercial Metals Co. 221,244
13,133 Freeport-McMoRan Copper &
Gold, Inc. 371,401
1,398 Haynes International, Inc. 67,244
1,837 Kaiser Aluminum Corp. 119,864
3,295 Materion Corp. 99,311
12,107 Newmont Mining Corp. 363,210
1,633 Nucor Corp. 76,392
1,822 Olympic Steel, Inc. 50,743
4,022 Reliance Steel & Aluminum Co. 282,344
2,416 RTI International Metals,
Inc. (a) 74,050
14,149 Steel Dynamics, Inc. 220,159
8,310 Stillwater Mining Co. (a) 100,551
16,144 United States Steel Corp. 280,098
-------------
3,114,535
-------------
MULTILINE RETAIL -- 1.6%
8,364 Big Lots, Inc. (a) 302,191
2,806 Dollar General Corp. (a) 153,404
7,344 Fred's, Inc., Class A 126,317
7,179 Kohl's Corp. 380,343
4,422 Macy's, Inc. 213,760
3,753 Saks, Inc. (a) 60,123
3,082 Target Corp. 219,593
-------------
1,455,731
-------------
See Notes to Financial Statements Page 63
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES -- 3.9%
3,138 Alliant Energy Corp. $ 166,220
3,303 Avista Corp. 95,060
3,246 Black Hills Corp. 172,200
6,024 CenterPoint Energy, Inc. 149,516
7,812 CMS Energy Corp. 218,658
3,640 Consolidated Edison, Inc. 218,036
4,223 DTE Energy Co. 298,566
4,835 Integrys Energy Group, Inc. 303,638
7,411 NiSource, Inc. 227,666
1,678 NorthWestern Corp. 70,812
6,188 PG&E Corp. 283,967
8,665 Public Service Enterprise Group,
Inc. 292,790
5,764 SCANA Corp. 299,209
1,731 Sempra Energy 151,688
16,463 TECO Energy, Inc. 290,901
4,677 Vectren Corp. 173,143
3,452 Wisconsin Energy Corp. 150,093
-------------
3,562,163
-------------
OFFICE ELECTRONICS -- 0.5%
39,977 Xerox Corp. 387,777
2,428 Zebra Technologies Corp.,
Class A (a) 112,101
-------------
499,878
-------------
OIL, GAS & CONSUMABLE FUELS --
7.8%
1,647 Anadarko Petroleum Corp. 145,792
4,325 Apache Corp. 347,081
908 Approach Resources, Inc. (a) 24,053
10,433 Bill Barrett Corp. (a) 233,908
10,415 Chesapeake Energy Corp. 242,669
3,064 Chevron Corp. 385,727
4,058 Cimarex Energy Co. 310,153
6,903 Cloud Peak Energy, Inc. (a) 110,655
5,674 Comstock Resources, Inc. 95,153
5,993 ConocoPhillips 388,706
10,443 CONSOL Energy, Inc. 324,046
5,046 Energen Corp. 302,205
4,013 Exxon Mobil Corp. 376,219
5,453 Hess Corp. 406,030
10,486 Marathon Oil Corp. 381,271
5,103 Marathon Petroleum Corp. 374,203
5,955 Murphy Oil Corp. 403,273
4,064 Occidental Petroleum Corp. 361,899
18,990 Penn Virginia Corp. (a) 95,710
6,155 Phillips 66 378,533
7,640 QEP Resources, Inc. 232,944
6,202 Rosetta Resources, Inc. (a) 282,873
5,164 Stone Energy Corp. (a) 125,795
9,487 Swift Energy Co. (a) 120,864
10,428 Valero Energy Corp. 373,010
2,638 World Fuel Services Corp. 102,196
14,942 WPX Energy, Inc. (a) 287,036
-------------
7,212,004
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
PAPER & FOREST PRODUCTS -- 0.7%
2,410 Buckeye Technologies, Inc. $ 89,700
1,422 Clearwater Paper Corp. (a) 69,564
3,965 Domtar Corp. 275,607
1,597 International Paper Co. 77,151
2,809 Neenah Paper, Inc. 111,152
2,667 P.H. Glatfelter Co. 70,596
-------------
693,770
-------------
PHARMACEUTICALS -- 0.3%
2,688 Hi-Tech Pharmacal Co., Inc. 96,607
5,052 Pfizer, Inc. 147,670
-------------
244,277
-------------
PROFESSIONAL SERVICES -- 0.8%
8,034 CDI Corp. 126,375
377 Exponent, Inc. 24,927
1,335 Heidrick & Struggles
International, Inc. 20,532
736 Insperity, Inc. 24,340
6,511 Kelly Services, Inc., Class A 127,420
1,191 Korn/Ferry International (a) 23,260
934 Manpowergroup, Inc. 62,457
9,480 Navigant Consulting, Inc. (a) 127,222
5,771 Resources Connection, Inc. 76,754
1,287 Towers Watson & Co., Class A 108,404
-------------
721,691
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 0.3%
17,230 Cedar Realty Trust, Inc. 95,454
6,628 Cousins Properties, Inc. 67,937
888 EPR Properties 44,738
885 Government Properties Income
Trust 22,364
1,910 Lexington Realty Trust 23,951
924 Rayonier, Inc. 53,999
-------------
308,443
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.0%
1,112 Forestar Group, Inc. (a) 24,030
-------------
ROAD & RAIL -- 1.5%
2,917 Arkansas Best Corp. 63,299
2,707 Con-way, Inc. 112,205
9,153 CSX Corp. 227,086
4,826 Heartland Express, Inc. 71,039
3,980 Knight Transportation, Inc. 67,540
994 Landstar System, Inc. 53,736
3,895 Norfolk Southern Corp. 284,958
4,655 Ryder System, Inc. 287,865
8,728 Werner Enterprises, Inc. 209,996
-------------
1,377,724
-------------
Page 64 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.8%
2,145 Altera Corp. $ 76,276
1,570 Analog Devices, Inc. 77,495
4,810 ATMI, Inc. (a) 119,529
11,691 Brooks Automation, Inc. 114,806
1,352 Cabot Microelectronics Corp. (a) 49,997
7,644 Fairchild Semiconductor
International, Inc. (a) 96,467
8,106 First Solar, Inc. (a) 399,139
25,844 NVIDIA Corp. 372,929
1,236 Silicon Laboratories, Inc. (a) 48,278
4,058 Texas Instruments, Inc. 159,074
4,741 Volterra Semiconductor Corp. (a) 71,447
1,786 Xilinx, Inc. 83,388
-------------
1,668,825
-------------
SOFTWARE -- 0.9%
9,885 CA, Inc. 293,980
12,285 Ebix, Inc. 142,506
6,626 EPIQ Systems, Inc. 86,204
1,186 MICROS Systems, Inc. (a) 57,794
6,297 Symantec Corp. 168,004
2,951 Synopsys, Inc. (a) 109,305
-------------
857,793
-------------
SPECIALTY RETAIL -- 3.0%
9,415 Aaron's, Inc. 269,834
8,013 Abercrombie & Fitch Co.,
Class A 399,608
1,300 Advance Auto Parts, Inc. 107,237
6,609 Barnes & Noble, Inc. (a) 117,971
1,017 Big 5 Sporting Goods Corp. 20,615
4,557 Cato (The) Corp., Class A 128,279
1,629 Children's Place Retail Stores
(The), Inc. (a) 88,031
8,559 CST Brands, Inc. (a) 279,109
4,083 Finish Line (The), Inc.,
Class A 90,888
1,332 Genesco, Inc. (a) 93,746
694 Group 1 Automotive, Inc. 50,516
5,099 Guess?, Inc. 171,734
2,160 Jos. A. Bank Clothiers, Inc. (a) 88,258
2,587 Kirkland's, Inc. (a) 45,479
3,005 Men's Wearhouse (The), Inc. 119,990
11,120 OfficeMax, Inc. 126,657
7,708 Pep Boys-Manny, Moe & Jack
(The) (a) 95,965
7,023 Rent-A-Center, Inc. 280,850
3,167 Sonic Automotive, Inc., Class A 70,117
2,849 Stage Stores, Inc. 71,111
3,269 Stein Mart, Inc. 45,668
-------------
2,761,663
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.6%
6,894 Crocs, Inc. (a) 94,241
4,177 Deckers Outdoor Corp. (a) 229,025
3,863 Maidenform Brands, Inc. (a) 90,240
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
TEXTILES, APPAREL & LUXURY
GOODS (CONTINUED)
4,395 Perry Ellis International, Inc. $ 88,339
929 Skechers U.S.A., Inc.,
Class A (a) 25,343
-------------
527,188
-------------
THRIFTS & MORTGAGE FINANCE --
0.5%
4,749 Astoria Financial Corp. 57,938
3,956 Bank Mutual Corp. 24,567
5,141 Brookline Bancorp, Inc. 50,690
1,456 Dime Community Bancshares, Inc. 25,553
7,534 New York Community Bancorp,
Inc. 114,291
1,652 Northwest Bancshares, Inc. 22,830
4,748 People's United Financial, Inc. 71,220
2,828 Provident Financial Services,
Inc. 50,310
8,203 TrustCo Bank Corp. 48,726
-------------
466,125
-------------
TOBACCO -- 0.4%
23,488 Alliance One International,
Inc. (a) 89,489
4,558 Universal Corp. 279,406
-------------
368,895
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.2%
3,336 GATX Corp. 150,720
646 Kaman Corp. 24,458
-------------
175,178
-------------
WATER UTILITIES -- 0.1%
832 American States Water Co. 53,431
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
1,356 NTELOS Holdings Corp. 25,398
8,383 USA Mobility, Inc. 130,942
-------------
156,340
-------------
TOTAL COMMON STOCKS -- 100.0% 92,216,104
(Cost $82,014,724)
MONEY MARKET FUND -- 0.1%
68,245 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) 68,245
(Cost $68,245) -------------
TOTAL INVESTMENTS -- 100.1% 92,284,349
(Cost $82,082,969) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (57,708)
-------------
NET ASSETS -- 100.0% $ 92,226,641
-------------
See Notes to Financial Statements Page 65
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $83,854,311. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $9,694,415 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $1,264,377.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $92,216,104 $ -- $ --
Money Market Fund 68,245 -- --
-------------------------------------
Total Investments $92,284,349 $ -- $ --
=====================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value.There were no
transfers between Levels at July 31, 2013.
Page 66 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.2%
2,158 B/E Aerospace, Inc. (a) $ 150,434
1,694 Boeing (The) Co. 178,039
3,819 GenCorp, Inc. (a) 66,871
1,749 Honeywell International, Inc. 145,132
1,280 Lockheed Martin Corp. 153,754
614 Precision Castparts Corp. 136,136
-------------
830,366
-------------
AIR FREIGHT & LOGISTICS -- 0.1%
390 United Parcel Service, Inc.,
Class B 33,852
-------------
AIRLINES -- 0.8%
1,513 Alaska Air Group, Inc. (a) 92,550
586 Allegiant Travel Co. 57,065
10,768 Southwest Airlines Co. 148,921
-------------
298,536
-------------
AUTO COMPONENTS -- 1.2%
1,208 BorgWarner, Inc. (a) 115,279
3,423 Delphi Automotive PLC 183,884
1,089 Dorman Products, Inc. 51,270
1,579 Drew Industries, Inc. 64,471
2,275 Gentex Corp. 51,369
-------------
466,273
-------------
AUTOMOBILES -- 1.2%
5,209 General Motors Co. (a) 186,847
615 Harley-Davidson, Inc. 34,914
2,768 Thor Industries, Inc. 149,610
2,958 Winnebago Industries, Inc. (a) 70,755
-------------
442,126
-------------
BEVERAGES -- 0.8%
218 Boston Beer (The) Co., Inc.,
Class A (a) 39,018
3,329 Constellation Brands, Inc.,
Class A (a) 173,408
1,142 Monster Beverage Corp. (a) 69,650
412 PepsiCo, Inc. 34,418
-------------
316,494
-------------
BIOTECHNOLOGY -- 2.6%
753 Acorda Therapeutics, Inc. (a) 28,591
342 Amgen, Inc. 37,035
806 Biogen Idec, Inc. (a) 175,813
1,187 Celgene Corp. (a) 174,323
514 Cubist Pharmaceuticals, Inc. (a) 32,038
2,710 Gilead Sciences, Inc. (a) 166,529
772 Regeneron Pharmaceuticals, Inc. (a) 208,486
1,593 United Therapeutics Corp. (a) 119,220
657 Vertex Pharmaceuticals, Inc. (a) 52,429
-------------
994,464
-------------
BUILDING PRODUCTS -- 1.3%
1,027 A.O. Smith Corp. 42,436
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
BUILDING PRODUCTS (CONTINUED)
2,814 AAON, Inc. $ 60,698
3,514 Fortune Brands Home & Security,
Inc. 145,163
1,625 Lennox International, Inc. 116,708
5,341 Masco Corp. 109,597
-------------
474,602
-------------
CAPITAL MARKETS -- 2.3%
640 Affiliated Managers Group,
Inc. (a) 115,424
2,145 Ameriprise Financial, Inc. 190,905
270 BlackRock, Inc. 76,129
697 Eaton Vance Corp. 28,208
1,362 Financial Engines, Inc. 65,022
681 HFF, Inc., Class A 14,301
3,274 Invesco Ltd. 105,390
1,220 Raymond James Financial, Inc. 53,765
1,844 SEI Investments Co. 58,289
282 Virtus Investment Partners,
Inc. (a) 52,593
1,808 Waddell & Reed Financial, Inc.,
Class A 92,316
-------------
852,342
-------------
CHEMICALS -- 2.6%
942 Ashland, Inc. 81,803
555 Balchem Corp. 27,617
716 Cytec Industries, Inc. 55,776
642 E.I. du Pont de Nemours & Co. 37,037
1,487 Eastman Chemical Co. 119,599
1,629 Ecolab, Inc. 150,096
552 FMC Corp. 36,520
985 H.B. Fuller Co. 39,548
448 International Flavors &
Fragrances, Inc. 36,145
2,005 PolyOne Corp. 57,965
711 PPG Industries, Inc. 114,073
401 Quaker Chemical Corp. 26,454
1,642 RPM International, Inc. 57,864
589 Sherwin-Williams (The) Co. 102,586
405 Valspar (The) Corp. 27,589
-------------
970,672
-------------
COMMERCIAL BANKS -- 4.1%
279 Bank of the Ozarks, Inc. 13,331
3,493 BBCN Bancorp, Inc. 51,033
1,137 Boston Private Financial
Holdings, Inc. 12,564
1,655 City National Corp. 115,072
508 Columbia Banking System, Inc. 12,690
2,614 Comerica, Inc. 111,200
669 First Financial Bankshares, Inc. 41,244
2,341 First Horizon National Corp. 28,864
1,679 Glacier Bancorp, Inc. 40,867
1,913 Home BancShares, Inc. 52,263
8,807 Huntington Bancshares, Inc. 75,300
See Notes to Financial Statements Page 67
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL BANKS (CONTINUED)
351 Independent Bank Corp. $ 13,071
12,573 KeyCorp 154,522
932 M&T Bank Corp. 108,913
395 PacWest Bancorp 13,991
1,449 Pinnacle Financial Partners,
Inc. (a) 41,267
1,757 PrivateBancorp, Inc. 41,448
10,924 Regions Financial Corp. 109,349
947 Signature Bank (a) 86,698
2,899 Susquehanna Bancshares, Inc. 38,557
1,259 SVB Financial Group (a) 109,810
17,958 Synovus Financial Corp. 59,800
273 Texas Capital Bancshares,
Inc. (a) 12,419
932 U.S. Bancorp 34,782
217 UMB Financial Corp. 12,977
581 ViewPoint Financial Group, Inc. 12,532
4,806 Zions Bancorporation 142,450
-------------
1,547,014
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.1%
1,524 Cintas Corp. 72,405
1,013 Healthcare Services Group, Inc. 24,930
2,906 Herman Miller, Inc. 81,688
2,025 Rollins, Inc. 51,637
628 Stericycle, Inc. (a) 72,810
2,549 Waste Connections, Inc. 110,270
-------------
413,740
-------------
COMMUNICATIONS EQUIPMENT --
1.1%
4,253 CalAmp Corp. (a) 65,284
5,400 Ciena Corp. (a) 119,124
1,174 InterDigital, Inc. 46,643
1,350 Ixia (a) 18,765
2,344 JDS Uniphase Corp. (a) 34,386
1,430 Oplink Communications, Inc. (a) 28,814
5,858 PC-Tel, Inc. 56,530
869 ViaSat, Inc. (a) 58,041
-------------
427,587
-------------
COMPUTERS & PERIPHERALS -- 1.6%
3,101 3D Systems Corp. (a) 146,460
1,756 Electronics for Imaging,
Inc. (a) 52,733
1,231 Intermec, Inc. (a) 12,224
4,126 NCR Corp. (a) 148,536
1,837 NetApp, Inc. 75,537
3,870 Seagate Technology PLC 158,322
-------------
593,812
-------------
CONSTRUCTION & ENGINEERING --
0.1%
1,274 Quanta Services, Inc. (a) 34,156
-------------
CONSTRUCTION MATERIALS -- 0.4%
1,187 Eagle Materials, Inc. 80,099
2,810 Headwaters, Inc. (a) 26,498
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CONSTRUCTION MATERIALS (CONTINUED)
266 Martin Marietta Materials,
Inc. $ 26,494
572 Texas Industries, Inc. (a) 35,544
-------------
168,635
-------------
CONSUMER FINANCE -- 1.3%
1,857 American Express Co. 136,991
2,185 Discover Financial Services 108,179
1,125 Encore Capital Group, Inc. (a) 43,718
404 Portfolio Recovery Associates,
Inc. (a) 60,321
6,072 SLM Corp. 150,039
-------------
499,248
-------------
CONTAINERS & PACKAGING -- 1.0%
2,780 Packaging Corp. of America 149,536
7,244 Sealed Air Corp. 197,327
558 Silgan Holdings, Inc. 26,918
-------------
373,781
-------------
DISTRIBUTORS -- 0.5%
5,287 LKQ Corp. (a) 137,832
711 Pool Corp. 37,527
-------------
175,359
-------------
DIVERSIFIED CONSUMER SERVICES
-- 0.7%
668 American Public Education,
Inc. (a) 26,393
1,215 H&R Block, Inc. 38,187
1,048 Hillenbrand, Inc. 25,980
423 Outerwall, Inc. (a) 23,371
7,550 Service Corp. International 143,223
-------------
257,154
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.4%
5,397 Bank of America Corp. 78,796
2,249 CBOE Holdings, Inc. 112,675
390 IntercontinentalExchange,
Inc. (a) 71,156
1,063 MarketAxess Holdings, Inc. 54,957
2,848 Moody's Corp. 193,009
-------------
510,593
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.4%
3,631 Lumos Networks Corp. 68,807
932 tw telecom, Inc. (a) 27,755
1,379 Verizon Communications, Inc. 68,233
-------------
164,795
-------------
ELECTRICAL EQUIPMENT -- 1.2%
1,042 Acuity Brands, Inc. 90,133
620 AMETEK, Inc. 28,694
314 AZZ, Inc. 11,879
2,636 Eaton Corp. PLC 181,752
355 Encore Wire Corp. 14,807
738 Franklin Electric Co., Inc. 27,498
530 Hubbell, Inc., Class B 56,895
Page 68 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
271 Roper Industries, Inc. $ 34,135
-------------
445,793
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
1.5%
5,500 Agilysys, Inc. (a) 63,745
1,781 Amphenol Corp., Class A 139,915
242 Belden, Inc. 14,184
549 Cognex Corp. 29,157
1,207 DTS, Inc. (a) 27,326
681 FEI Co. 52,744
333 Littelfuse, Inc. 26,637
1,068 Measurement Specialties,
Inc. (a) 53,165
439 MTS Systems Corp. 27,679
2,286 TE Connectivity Ltd. 116,678
-------------
551,230
-------------
ENERGY EQUIPMENT & SERVICES --
2.4%
1,135 Cameron International Corp. (a) 67,306
874 Dresser-Rand Group, Inc. (a) 53,200
1,162 Dril-Quip, Inc. (a) 105,637
2,208 Exterran Holdings, Inc. (a) 70,104
3,116 FMC Technologies, Inc. (a) 166,083
3,327 Halliburton Co. 150,347
1,885 Oceaneering International, Inc. 152,855
1,469 Oil States International,
Inc. (a) 142,831
-------------
908,363
-------------
FOOD & STAPLES RETAILING -- 1.0%
1,255 Costco Wholesale Corp. 147,199
1,457 United Natural Foods, Inc. (a) 85,380
2,696 Whole Foods Market, Inc. 149,844
-------------
382,423
-------------
FOOD PRODUCTS -- 2.9%
1,094 B&G Foods, Inc. 38,115
445 Calavo Growers, Inc. 12,086
3,099 Campbell Soup Co. 145,033
648 Darling International, Inc. (a) 13,154
6,174 Flowers Foods, Inc. 141,755
1,430 General Mills, Inc. 74,360
1,814 Green Mountain Coffee Roasters,
Inc. (a) 140,005
573 Hain Celestial Group (The),
Inc. (a) 41,806
777 Hershey (The) Co. 73,714
400 Ingredion, Inc. 26,880
479 J & J Snack Foods Corp. 38,167
1,346 J.M. Smucker (The) Co. 151,452
1,621 Kellogg Co. 107,375
2,475 Tootsie Roll Industries, Inc. 83,804
-------------
1,087,706
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.3%
784 Abaxis, Inc. $ 33,006
1,728 Abiomed, Inc. (a) 43,338
671 Align Technology, Inc. (a) 28,880
1,053 Becton, Dickinson & Co. 109,217
18,717 Boston Scientific Corp. (a) 204,390
1,650 Cantel Medical Corp. 43,791
881 Cooper (The) Cos., Inc. 112,195
233 Cyberonics, Inc. (a) 12,114
956 Cynosure, Inc., Class A (a) 27,227
1,515 Greatbatch, Inc. (a) 57,267
293 Haemonetics Corp. (a) 12,370
517 ICU Medical, Inc. (a) 37,064
2,729 Natus Medical, Inc. (a) 34,904
447 Neogen Corp. (a) 25,246
581 ResMed, Inc. 27,685
530 West Pharmaceutical Services,
Inc. 39,093
-------------
847,787
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 1.9%
3,469 AMN Healthcare Services,
Inc. (a) 51,272
864 Bio-Reference Laboratories,
Inc. (a) 23,112
1,273 CorVel Corp. (a) 43,142
862 DaVita HealthCare Partners,
Inc. (a) 100,345
2,250 Express Scripts Holding Co. (a) 147,488
785 Hanger, Inc. (a) 28,982
3,573 Healthways, Inc. (a) 61,313
821 Henry Schein, Inc. (a) 85,244
967 IPC Hospitalist (The) Co. (a) 48,708
859 MEDNAX, Inc. (a) 83,684
302 MWI Veterinary Supply, Inc. (a) 42,935
-------------
716,225
-------------
HEALTH CARE TECHNOLOGY -- 0.6%
1,444 Cerner Corp. (a) 70,756
478 HealthStream, Inc. (a) 15,057
802 Medidata Solutions, Inc. (a) 74,209
3,022 Omnicell, Inc. (a) 63,764
-------------
223,786
-------------
HOTELS, RESTAURANTS & LEISURE
-- 3.9%
1,859 Bally Technologies, Inc. (a) 133,253
669 BJ's Restaurants, Inc. (a) 23,843
1,674 Bob Evans Farms, Inc. 85,073
2,660 Brinker International, Inc. 106,799
506 Buffalo Wild Wings, Inc. (a) 52,412
2,504 Cheesecake Factory (The), Inc. 106,270
190 Chipotle Mexican Grill, Inc. (a) 78,331
2,341 Domino's Pizza, Inc. 146,500
948 Jack in the Box, Inc. (a) 38,005
See Notes to Financial Statements Page 69
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
574 Marriott Vacations Worldwide
Corp. (a) $ 25,256
2,382 Multimedia Games Holding Co.,
Inc. (a) 83,346
564 Panera Bread Co., Class A (a) 94,216
760 Papa John's International,
Inc. (a) 50,814
5,145 Ruth's Hospitality Group, Inc. 61,534
2,104 SHFL entertainment, Inc. (a) 47,866
3,412 Sonic Corp. (a) 52,442
2,119 Starbucks Corp. 150,958
533 Starwood Hotels & Resorts
Worldwide, Inc. 35,258
2,482 Texas Roadhouse, Inc. 60,660
263 Wynn Resorts Ltd. 35,013
-------------
1,467,849
-------------
HOUSEHOLD DURABLES -- 2.8%
1,584 D.R. Horton, Inc. 31,838
420 Ethan Allen Interiors, Inc. 12,755
1,249 iRobot Corp. (a) 43,665
3,112 Jarden Corp. (a) 141,503
6,935 KB Home 123,096
3,063 La-Z-Boy, Inc. 63,496
2,232 Leggett & Platt, Inc. 70,107
935 Lennar Corp., Class A 31,669
1,623 M/I Homes, Inc. (a) 34,505
859 Meritage Homes Corp. (a) 38,878
932 Mohawk Industries, Inc. (a) 110,899
3,966 Newell Rubbermaid, Inc. 107,161
5,488 PulteGroup, Inc. (a) 91,266
1,239 Ryland Group (The), Inc. 50,105
1,194 Tempur Sealy International,
Inc. (a) 47,342
675 Tupperware Brands Corp. 56,889
-------------
1,055,174
-------------
HOUSEHOLD PRODUCTS -- 0.1%
347 Kimberly-Clark Corp. 34,284
-------------
INSURANCE -- 1.6%
1,618 Aon PLC 109,215
2,400 Arthur J. Gallagher & Co. 106,512
1,626 Brown & Brown, Inc. 53,642
1,093 eHealth, Inc. (a) 33,599
2,379 First American Financial Corp. 54,074
1,738 Marsh & McLennan Cos., Inc. 72,770
2,376 Prudential Financial, Inc. 187,633
-------------
617,445
-------------
INTERNET & CATALOG RETAIL --
2.1%
375 Amazon.com, Inc. (a) 112,957
986 Blue Nile, Inc. (a) 38,286
560 Expedia, Inc. 26,393
976 HSN, Inc. 58,619
822 Netflix, Inc. (a) 200,749
168 priceline.com, Inc. (a) 147,113
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INTERNET & CATALOG RETAIL
(CONTINUED)
2,850 TripAdvisor, Inc. (a) $ 213,807
-------------
797,924
-------------
INTERNET SOFTWARE & SERVICES --
2.3%
2,447 Akamai Technologies, Inc. (a) 115,498
3,349 Blucora, Inc. (a) 66,980
2,546 comScore, Inc. (a) 73,732
1,052 Dealertrack Technologies,
Inc. (a) 39,345
197 Google, Inc., Class A (a) 174,857
1,169 j2 Global, Inc. 53,505
349 Liquidity Services, Inc. (a) 9,947
495 LogMeIn, Inc. (a) 14,711
583 OpenTable, Inc. (a) 37,126
3,724 Perficient, Inc. (a) 50,833
1,576 Stamps.com, Inc. (a) 62,819
3,187 ValueClick, Inc. (a) 77,890
2,218 XO Group, Inc. (a) 26,527
2,764 Yahoo!, Inc. (a) 77,641
-------------
881,411
-------------
IT SERVICES -- 3.3%
4,624 Acxiom Corp. (a) 119,160
752 Alliance Data Systems Corp. (a) 148,731
1,008 Automatic Data Processing, Inc. 72,667
2,959 Broadridge Financial Solutions,
Inc. 85,633
438 Cardtronics, Inc. (a) 12,903
1,132 CoreLogic, Inc. (a) 31,583
409 Exlservice Holdings, Inc. (a) 11,452
677 Forrester Research, Inc. 23,749
1,380 Gartner, Inc. (a) 82,814
1,334 Heartland Payment Systems, Inc. 49,771
1,113 Jack Henry & Associates, Inc. 53,758
3,242 Lender Processing Services, Inc. 105,949
121 MasterCard, Inc., Class A 73,884
1,000 MAXIMUS, Inc. 37,610
2,154 NeuStar, Inc., Class A (a) 120,796
923 Paychex, Inc. 36,403
2,242 Virtusa Corp. (a) 57,799
570 Visa, Inc., Class A 100,896
-------------
1,225,558
-------------
LEISURE EQUIPMENT & PRODUCTS --
0.8%
1,104 Arctic Cat, Inc. 60,764
777 Brunswick Corp. 29,332
2,298 Mattel, Inc. 96,585
828 Polaris Industries, Inc. 92,852
517 Sturm, Ruger & Co., Inc. 26,300
-------------
305,833
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.6%
3,556 Cambrex Corp. (a) 52,095
1,377 Covance, Inc. (a) 113,603
1,875 Life Technologies Corp. (a) 139,875
Page 70 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES
(CONTINUED)
587 Luminex Corp. (a) $ 11,687
1,352 PAREXEL International Corp. (a) 66,856
1,037 PerkinElmer, Inc. 35,351
2,050 Thermo Fisher Scientific, Inc. 186,776
-------------
606,243
-------------
MACHINERY -- 3.4%
367 Actuant Corp., Class A 12,959
734 EnPro Industries, Inc. (a) 41,713
1,285 Flowserve Corp. 72,834
1,659 Graco, Inc. 115,765
974 IDEX Corp. 58,099
1,003 Illinois Tool Works, Inc. 72,256
4,629 ITT Corp. 144,610
902 Kaydon Corp. 26,230
916 Lincoln Electric Holdings, Inc. 54,081
1,135 Nordson Corp. 81,902
1,293 PACCAR, Inc. 72,757
3,007 Pentair Ltd. 183,668
1,165 Snap-on, Inc. 110,500
229 Standex International Corp. 13,518
997 Terex Corp. (a) 29,391
466 Timken (The) Co. 27,224
266 Toro (The) Co. 13,108
183 Valmont Industries, Inc. 25,554
1,963 Wabtec Corp. 113,972
-------------
1,270,141
-------------
MARINE -- 0.2%
989 Kirby Corp. (a) 83,531
-------------
MEDIA -- 4.9%
2,081 AMC Networks, Inc., Class A (a) 142,049
2,130 CBS Corp., Class B 112,549
939 Cinemark Holdings, Inc. 27,344
1,657 Comcast Corp., Class A 74,698
1,642 Digital Generation, Inc. (a) 12,726
2,816 DIRECTV (a) 178,168
899 Discovery Communications, Inc.,
Class A (a) 71,668
7,093 Gannett Co., Inc. 182,716
11,925 Interpublic Group of Cos. (The),
Inc. 196,166
604 Lamar Advertising Co.,
Class A (a) 26,171
2,208 Omnicom Group, Inc. 141,908
1,040 Scripps Networks Interactive,
Class A 73,601
1,543 Time Warner Cable, Inc. 176,010
1,200 Time Warner, Inc. 74,712
4,824 Twenty-First Century Fox, Inc. 144,141
1,020 Viacom, Inc., Class B 74,225
2,198 Walt Disney (The) Co. 142,101
-------------
1,850,953
-------------
METALS & MINING -- 0.4%
4,293 Worthington Industries, Inc. 153,561
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MULTILINE RETAIL -- 1.1%
2,048 Dollar Tree, Inc. (a) $ 109,875
1,114 Family Dollar Stores, Inc. 76,599
2,316 Nordstrom, Inc. 141,832
5,988 Tuesday Morning Corp. (a) 67,185
-------------
395,491
-------------
OIL, GAS & CONSUMABLE FUELS --
2.9%
1,954 Cabot Oil & Gas Corp. 148,152
1,753 Carrizo Oil & Gas, Inc. (a) 55,518
527 EOG Resources, Inc. 76,673
2,186 EQT Corp. 189,089
257 Gulfport Energy Corp. (a) 13,672
613 HollyFrontier Corp. 27,922
1,734 Noble Energy, Inc. 108,358
482 PDC Energy, Inc. (a) 26,582
1,199 Pioneer Natural Resources Co. 185,557
436 Range Resources Corp. 34,488
874 SM Energy Co. 60,070
2,653 Tesoro Corp. 150,823
-------------
1,076,904
-------------
PAPER & FOREST PRODUCTS -- 0.2%
1,773 Louisiana-Pacific Corp. (a) 28,829
747 Schweitzer-Mauduit
International, Inc. 40,443
-------------
69,272
-------------
PERSONAL PRODUCTS -- 0.6%
513 Estee Lauder (The) Cos., Inc.,
Class A 33,678
2,177 Inter Parfums, Inc. 71,798
1,446 Medifast, Inc. (a) 39,534
2,131 Prestige Brands Holdings,
Inc. (a) 72,262
-------------
217,272
-------------
PHARMACEUTICALS -- 2.0%
1,375 Actavis, Inc. (a) 184,621
754 Bristol-Myers Squibb Co. 32,603
2,851 Endo Health Solutions, Inc. (a) 109,650
607 Impax Laboratories, Inc. (a) 12,589
808 Johnson & Johnson 75,548
807 Medicines (The) Co. (a) 24,936
4,473 Mylan, Inc. (a) 150,114
279 Perrigo Co. 34,705
1,093 Questcor Pharmaceuticals, Inc. 73,034
751 Salix Pharmaceuticals Ltd. (a) 55,499
422 ViroPharma, Inc. (a) 14,483
-------------
767,782
-------------
PROFESSIONAL SERVICES -- 1.1%
2,153 Corporate Executive Board
(The) Co. 145,177
1,068 Dun & Bradstreet (The) Corp. 110,677
572 Equifax, Inc. 36,167
2,324 On Assignment, Inc. (a) 70,952
See Notes to Financial Statements Page 71
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES
(CONTINUED)
1,802 WageWorks, Inc. (a) $ 60,853
-------------
423,826
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 1.2%
502 Colonial Properties Trust 12,154
380 Coresite Realty Corp. 12,905
165 Essex Property Trust, Inc. 26,613
1,876 Extra Space Storage, Inc. 78,886
732 Geo Group (The), Inc. 25,415
1,184 Inland Real Estate Corp. 12,183
495 Kilroy Realty Corp. 25,908
1,735 Medical Properties Trust, Inc. 25,331
3,381 OMEGA Healthcare Investors, Inc. 107,617
1,482 Parkway Properties, Inc. 25,935
951 Sabra Health Care REIT, Inc. 24,954
1,011 Senior Housing Properties Trust 25,427
187 Sovran Self Storage, Inc. 12,922
1,183 Weyerhaeuser Co. 33,597
-------------
449,847
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.3%
4,456 CBRE Group, Inc., Class A (a) 103,245
288 Jones Lang LaSalle, Inc. 26,217
-------------
129,462
-------------
ROAD & RAIL -- 0.9%
618 Genesee & Wyoming, Inc.,
Class A (a) 55,410
726 J.B. Hunt Transport Services,
Inc. 54,399
655 Kansas City Southern 70,576
1,194 Old Dominion Freight Line,
Inc. (a) 52,154
675 Union Pacific Corp. 107,048
-------------
339,587
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.7%
695 Advanced Energy Industries,
Inc. (a) 15,054
4,655 Applied Materials, Inc. 75,923
2,132 Cree, Inc. (a) 149,027
1,913 Diodes, Inc. (a) 52,435
2,834 Entropic Communications,
Inc. (a) 12,555
3,302 Integrated Device Technology,
Inc. (a) 29,751
1,392 Intel Corp. 32,434
3,130 Lam Research Corp. (a) 154,059
4,721 LSI Corp. (a) 36,729
905 Microchip Technology, Inc. 35,965
12,108 Micron Technology, Inc. (a) 160,431
532 Microsemi Corp. (a) 13,119
14,702 RF Micro Devices, Inc. (a) 76,303
1,080 Rudolph Technologies, Inc. (a) 13,338
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
2,245 Semtech Corp. (a) $ 67,911
4,918 Sigma Designs, Inc. (a) 25,672
3,950 Teradyne, Inc. (a) 65,135
-------------
1,015,841
-------------
SOFTWARE -- 2.5%
740 Adobe Systems, Inc. (a) 34,987
2,991 Advent Software, Inc. 88,025
1,525 Blackbaud, Inc. 53,512
3,621 Cadence Design Systems, Inc. (a) 52,794
345 CommVault Systems, Inc. (a) 29,128
967 Concur Technologies, Inc. (a) 85,957
257 FactSet Research Systems, Inc. 28,059
572 Fair Isaac Corp. 28,577
1,203 Interactive Intelligence Group,
Inc. (a) 68,330
483 Manhattan Associates, Inc. (a) 42,668
4,023 Mentor Graphics Corp. 82,592
3,015 Microsoft Corp. 95,968
1,955 Monotype Imaging Holdings, Inc. 47,956
1,609 Synchronoss Technologies,
Inc. (a) 55,495
3,318 Take-Two Interactive Software,
Inc. (a) 58,165
2,415 Tangoe, Inc. (a) 43,615
725 Tyler Technologies, Inc. (a) 54,100
-------------
949,928
-------------
SPECIALTY RETAIL -- 9.1%
2,369 ANN, Inc. (a) 80,285
1,502 Ascena Retail Group, Inc. (a) 28,673
2,399 AutoNation, Inc. (a) 114,912
246 AutoZone, Inc. (a) 110,351
2,447 Bed Bath & Beyond, Inc. (a) 187,122
2,884 Brown Shoe Co., Inc. 68,553
477 Buckle (The), Inc. 26,702
2,102 Cabela's, Inc. (a) 144,281
3,759 CarMax, Inc. (a) 184,341
3,074 Chico's FAS, Inc. 52,658
7,370 Christopher & Banks Corp. (a) 50,411
1,047 Dick's Sporting Goods, Inc. 53,826
1,493 Foot Locker, Inc. 53,942
4,158 Gap (The), Inc. 190,852
2,699 Haverty Furniture Cos., Inc. 70,174
2,240 Home Depot (The), Inc. 177,027
1,409 L Brands, Inc. 78,580
1,165 Lithia Motors, Inc., Class A 76,005
3,394 Lowe's Cos., Inc. 151,305
797 Lumber Liquidators Holdings,
Inc. (a) 77,166
1,034 Monro Muffler Brake, Inc. 44,472
20,324 Office Depot, Inc. (a) 88,003
1,232 O'Reilly Automotive, Inc. (a) 154,320
503 PetSmart, Inc. 36,830
1,606 Ross Stores, Inc. 108,357
1,492 rue21, Inc. (a) 62,336
Page 72 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL (CONTINUED)
1,487 Select Comfort Corp. (a) $ 33,978
1,555 Signet Jewelers Ltd. 113,686
1,906 Tiffany & Co. 151,546
2,773 TJX (The) Cos., Inc. 144,307
1,157 Tractor Supply Co. 140,147
2,588 Urban Outfitters, Inc. (a) 110,145
2,436 Williams-Sonoma, Inc. 143,383
6,824 Zale Corp. (a) 63,327
1,728 Zumiez, Inc. (a) 47,641
-------------
3,419,644
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 3.8%
1,838 Carter's, Inc. 131,086
590 Coach, Inc. 31,347
2,780 Fifth & Pacific Cos., Inc. (a) 66,219
1,008 Fossil Group, Inc. (a) 110,779
2,647 Hanesbrands, Inc. 167,979
1,267 Iconix Brand Group, Inc. (a) 41,608
734 Movado Group, Inc. 26,776
2,180 NIKE, Inc., Class B 137,166
995 Oxford Industries, Inc. 67,332
1,387 PVH Corp. 182,793
194 Ralph Lauren Corp. 35,320
1,027 Steven Madden Ltd. (a) 52,808
1,756 Under Armour, Inc., Class A (a) 117,880
899 VF Corp. 177,103
1,137 Wolverine World Wide, Inc. 65,389
-------------
1,411,585
-------------
THRIFTS & MORTGAGE FINANCE --
0.1%
1,389 Washington Federal, Inc. 30,211
-------------
TOBACCO -- 0.1%
772 Lorillard, Inc. 32,833
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.1%
771 Applied Industrial Technologies,
Inc. 40,216
1,576 United Rentals, Inc. (a) 90,336
688 W.W. Grainger, Inc. 180,352
937 Watsco, Inc. 87,469
-------------
398,373
-------------
WATER UTILITIES -- 0.1%
1,676 Aqua America, Inc. 56,749
-------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.1%
466 Crown Castle International
Corp. (a) 32,736
-------------
TOTAL COMMON STOCKS -- 99.9% 37,576,164
(Cost $31,808,584)
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
MONEY MARKET FUND -- 0.3%
91,850 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.03% (b) $ 91,850
(Cost $91,850) -------------
TOTAL INVESTMENTS -- 100.2% 37,668,014
(Cost $31,900,434) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.2)% (59,125)
-------------
NET ASSETS -- 100.0% $ 37,608,889
=============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2013.
(c) Aggregate cost for federal income tax purposes is $31,999,944. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $5,844,427 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $176,357.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $37,576,164 $ -- $ --
Money Market Fund 91,850 -- --
-------------------------------------
Total Investments $37,668,014 $ -- $ --
=====================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 73
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND - FNK
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.5%
2,464 Alliant Techsystems, Inc. $ 229,398
1,684 Esterline Technologies Corp. (a) 137,145
11,771 Exelis, Inc. 173,975
697 Huntington Ingalls Industries,
Inc. 43,340
2,051 Triumph Group, Inc. 160,922
-------------
744,780
-------------
AIRLINES -- 1.0%
32,206 JetBlue Airways Corp. (a) 210,627
-------------
CAPITAL MARKETS -- 1.6%
15,729 Apollo Investment Corp. 127,877
1,437 Federated Investors, Inc.,
Class B 41,716
19,074 Janus Capital Group, Inc. 178,723
-------------
348,316
-------------
CHEMICALS -- 3.7%
632 Albemarle Corp. 39,190
4,338 Cabot Corp. 177,945
10,651 Intrepid Potash, Inc. 136,120
2,945 Minerals Technologies, Inc. 135,470
6,786 Olin Corp. 165,578
3,008 Sensient Technologies Corp. 132,382
-------------
786,685
-------------
COMMERCIAL BANKS -- 5.4%
7,829 Associated Banc-Corp. 132,623
2,225 BancorpSouth, Inc. 43,721
904 Commerce Bancshares, Inc. 41,250
2,951 East West Bancorp, Inc. 90,979
8,060 First Niagara Financial Group,
Inc. 86,161
1,966 FirstMerit Corp. 44,078
7,070 Fulton Financial Corp. 89,011
4,049 Hancock Holding Co. 132,645
3,594 International Bancshares Corp. 87,011
761 Prosperity Bancshares, Inc. 44,914
2,778 TCF Financial Corp. 42,337
3,302 Trustmark Corp. 89,055
8,570 Valley National Bancorp 88,700
4,741 Webster Financial Corp. 129,145
-------------
1,141,630
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.5%
3,181 Brink's (The) Co. 85,028
4,685 Deluxe Corp. 192,132
846 Mine Safety Appliances Co. 44,948
-------------
322,108
-------------
COMMUNICATIONS EQUIPMENT -- 0.4%
1,848 Plantronics, Inc. 85,914
-------------
COMPUTERS & PERIPHERALS -- 0.9%
5,310 Lexmark International, Inc.,
Class A 199,072
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CONSTRUCTION & ENGINEERING --
1.3%
2,727 Granite Construction, Inc. $ 82,492
4,297 URS Corp. 199,810
-------------
282,302
-------------
CONTAINERS & PACKAGING -- 2.3%
1,470 AptarGroup, Inc. 85,833
1,541 Greif, Inc., Class A 85,248
1,625 Rock Tenn Co., Class A 185,819
3,522 Sonoco Products Co. 135,562
-------------
492,462
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.8%
6,541 DeVry, Inc. 196,754
2,153 Matthews International Corp.,
Class A 83,278
2,493 Strayer Education, Inc. 110,340
-------------
390,372
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.2%
1,184 MSCI, Inc. (a) 41,499
-------------
ELECTRIC UTILITIES -- 5.3%
2,622 Cleco Corp. 127,193
7,201 Great Plains Energy, Inc. 174,192
3,207 Hawaiian Electric Industries,
Inc. 85,499
3,399 IDACORP, Inc. 179,365
5,189 NV Energy, Inc. 122,616
2,380 OGE Energy Corp. 89,012
7,315 PNM Resources, Inc. 171,756
5,079 Westar Energy, Inc. 170,604
-------------
1,120,237
-------------
ELECTRICAL EQUIPMENT -- 0.8%
2,503 Regal-Beloit Corp. 161,894
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
5.1%
5,092 Arrow Electronics, Inc. (a) 232,450
6,039 Avnet, Inc. (a) 227,489
8,548 Ingram Micro, Inc., Class A (a) 195,151
4,309 Tech Data Corp. (a) 221,224
14,608 Vishay Intertechnology, Inc. (a) 210,209
-------------
1,086,523
-------------
ENERGY EQUIPMENT & SERVICES --
5.5%
3,898 Atwood Oceanics, Inc. (a) 219,613
2,407 CARBO Ceramics, Inc. 211,479
10,483 Patterson-UTI Energy, Inc. 207,249
7,822 Superior Energy Services,
Inc. (a) 200,400
2,849 Tidewater, Inc. 168,062
3,812 Unit Corp. (a) 171,845
-------------
1,178,648
-------------
Page 74 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND - FNK
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING -- 0.6%
2,598 Harris Teeter Supermarkets,
Inc. $ 127,770
-------------
FOOD PRODUCTS -- 1.2%
3,931 Dean Foods Co. (a) 42,848
505 Lancaster Colony Corp. 41,930
1,859 Post Holdings, Inc. (a) 86,239
2,478 Smithfield Foods, Inc. (a) 82,270
-------------
253,287
-------------
GAS UTILITIES -- 2.7%
2,965 Atmos Energy Corp. 131,171
1,401 National Fuel Gas Co. 90,827
1,651 Questar Corp. 39,393
3,113 UGI Corp. 130,715
3,756 WGL Holdings, Inc. 172,663
-------------
564,769
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.6%
3,615 Hill-Rom Holdings, Inc. 134,008
1,858 Masimo Corp. 43,273
2,839 STERIS Corp. 127,812
508 Teleflex, Inc. 40,350
-------------
345,443
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 3.3%
3,462 Community Health Systems, Inc. 159,460
2,505 Health Management Associates,
Inc., Class A (a) 33,767
3,323 LifePoint Hospitals, Inc. (a) 163,359
826 Omnicare, Inc. 43,605
1,164 Owens & Minor, Inc. 41,857
1,818 Universal Health Services, Inc.,
Class B 127,169
2,192 WellCare Health Plans, Inc. (a) 133,778
-------------
702,995
-------------
HOTELS, RESTAURANTS & LEISURE
-- 2.2%
3,868 International Speedway Corp.,
Class A 130,932
2,429 Life Time Fitness, Inc. (a) 129,442
6,756 Wendy's (The) Co. 48,035
6,363 WMS Industries, Inc. (a) 163,847
-------------
472,256
-------------
HOUSEHOLD PRODUCTS -- 0.4%
807 Energizer Holdings, Inc. 82,153
-------------
INDUSTRIAL CONGLOMERATES -- 0.8%
2,605 Carlisle Cos., Inc. 176,463
-------------
INSURANCE -- 9.1%
423 Alleghany Corp. (a) 170,841
3,319 American Financial Group, Inc. 171,559
5,470 Aspen Insurance Holdings Ltd. 205,070
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INSURANCE (CONTINUED)
1,582 Everest Re Group, Ltd. $ 211,245
8,522 Fidelity National Financial,
Inc., Class A 208,619
805 Hanover Insurance Group (The),
Inc. 43,333
3,765 HCC Insurance Holdings, Inc. 167,655
2,370 Kemper Corp. 82,832
896 Mercury General Corp. 39,603
2,168 Primerica, Inc. 88,975
3,169 Protective Life Corp. 137,313
2,349 Reinsurance Group of America,
Inc. 159,943
2,464 StanCorp Financial Group, Inc. 130,814
2,979 W. R. Berkley Corp. 126,220
-------------
1,944,022
-------------
INTERNET SOFTWARE & SERVICES --
2.1%
5,562 AOL, Inc. 204,904
41,324 Monster Worldwide, Inc. (a) 236,373
-------------
441,277
-------------
IT SERVICES -- 2.9%
2,260 Convergys Corp. 42,782
3,106 DST Systems, Inc. 217,513
850 Global Payments, Inc. 39,363
7,768 ManTech International Corp.,
Class A 229,467
4,828 VeriFone Systems, Inc. (a) 92,070
-------------
621,195
-------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.8%
1,085 Bio-Rad Laboratories, Inc.,
Class A (a) 132,359
570 Techne Corp. 42,032
-------------
174,391
-------------
MACHINERY -- 4.5%
4,043 AGCO Corp. 227,419
754 CLARCOR, Inc. 41,455
657 Crane Co. 40,011
1,104 Donaldson Co., Inc. 40,020
4,180 Kennametal, Inc. 181,161
3,206 Oshkosh Corp. (a) 143,693
5,278 Trinity Industries, Inc. 207,795
2,029 Woodward, Inc. 83,027
-------------
964,581
-------------
MARINE -- 0.4%
3,246 Matson, Inc. 91,927
-------------
MEDIA -- 4.0%
4,049 John Wiley & Sons, Inc.,
Class A 182,731
1,701 Meredith Corp. 80,832
11,007 New York Times (The) Co.,
Class A (a) 134,065
6,927 Scholastic Corp. 211,274
See Notes to Financial Statements Page 75
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND - FNK
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
8,251 Valassis Communications, Inc. $ 236,226
-------------
845,128
-------------
METALS & MINING -- 3.3%
2,701 Carpenter Technology Corp. 141,208
10,990 Commercial Metals Co. 170,235
3,095 Reliance Steel & Aluminum Co. 217,269
10,887 Steel Dynamics, Inc. 169,402
-------------
698,114
-------------
MULTILINE RETAIL -- 1.3%
6,435 Big Lots, Inc. (a) 232,496
2,888 Saks, Inc. (a) 46,266
-------------
278,762
-------------
MULTI-UTILITIES -- 1.9%
2,415 Alliant Energy Corp. 127,922
2,497 Black Hills Corp. 132,466
3,599 Vectren Corp. 133,235
-------------
393,623
-------------
OFFICE ELECTRONICS -- 0.4%
1,868 Zebra Technologies Corp.,
Class A (a) 86,246
-------------
OIL, GAS & CONSUMABLE FUELS --
4.5%
8,028 Bill Barrett Corp. (a) 179,988
3,122 Cimarex Energy Co. 238,614
3,882 Energen Corp. 232,493
4,772 Rosetta Resources, Inc. (a) 217,651
2,030 World Fuel Services Corp. 78,642
-------------
947,388
-------------
PAPER & FOREST PRODUCTS -- 1.0%
3,051 Domtar Corp. 212,075
-------------
PROFESSIONAL SERVICES -- 0.6%
719 Manpowergroup, Inc. 48,079
990 Towers Watson & Co., Class A 83,388
-------------
131,467
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 0.2%
711 Rayonier, Inc. 41,551
-------------
ROAD & RAIL -- 1.4%
2,083 Con-way, Inc. 86,340
765 Landstar System, Inc. 41,356
6,716 Werner Enterprises, Inc. 161,587
-------------
289,283
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.5%
5,881 Fairchild Semiconductor
International, Inc. (a) $ 74,218
951 Silicon Laboratories, Inc. (a) 37,146
-------------
111,364
-------------
SOFTWARE -- 0.6%
913 MICROS Systems, Inc. (a) 44,490
2,270 Synopsys, Inc. (a) 84,081
-------------
128,571
-------------
SPECIALTY RETAIL -- 4.4%
7,244 Aaron's, Inc. 207,613
1,000 Advance Auto Parts, Inc. 82,490
5,085 Barnes & Noble, Inc. (a) 90,767
6,586 CST Brands, Inc. (a) 214,769
3,923 Guess?, Inc. 132,127
5,403 Rent-A-Center, Inc. 216,066
-------------
943,832
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.8%
3,214 Deckers Outdoor Corp. (a) 176,224
-------------
THRIFTS & MORTGAGE FINANCE --
0.6%
3,654 Astoria Financial Corp. 44,579
5,797 New York Community Bancorp,
Inc. 87,940
-------------
132,519
-------------
TOBACCO -- 1.0%
3,507 Universal Corp. 214,979
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.6%
2,567 GATX Corp. 115,977
-------------
TOTAL INVESTMENTS -- 100.0% 21,302,701
(Cost $19,965,280) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (1,045)
-------------
NET ASSETS -- 100.0% $ 21,301,656
=============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $20,113,471. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $1,512,543 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $323,313.
Page 76 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND - FNK
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $21,302,701 $ -- $ --
=====================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 77
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND - FNY
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.3%
4,230 B/E Aerospace, Inc. (a) $ 294,873
-------------
AIRLINES -- 0.8%
2,965 Alaska Air Group, Inc. (a) 181,369
-------------
AUTO COMPONENTS -- 0.5%
4,459 Gentex Corp. 100,684
-------------
AUTOMOBILES -- 1.3%
5,426 Thor Industries, Inc. 293,275
-------------
BIOTECHNOLOGY -- 1.5%
3,123 United Therapeutics Corp. (a) 233,725
1,287 Vertex Pharmaceuticals, Inc. (a) 102,703
-------------
336,428
-------------
BUILDING PRODUCTS -- 2.3%
6,888 Fortune Brands Home & Security,
Inc. 284,543
3,185 Lennox International, Inc. 228,747
-------------
513,290
-------------
CAPITAL MARKETS -- 3.1%
1,254 Affiliated Managers Group,
Inc. (a) 226,159
1,367 Eaton Vance Corp. 55,323
2,391 Raymond James Financial, Inc. 105,371
3,615 SEI Investments Co. 114,270
3,544 Waddell & Reed Financial, Inc.,
Class A 180,957
-------------
682,080
-------------
CHEMICALS -- 2.0%
1,846 Ashland Inc. 160,307
1,403 Cytec Industries, Inc. 109,294
3,218 RPM International, Inc. 113,402
795 Valspar (The) Corp. 54,155
-------------
437,158
-------------
COMMERCIAL BANKS -- 3.5%
3,244 City National Corp. 225,555
4,588 First Horizon National Corp. 56,570
1,857 Signature Bank (a) 170,009
2,467 SVB Financial Group (a) 215,172
35,198 Synovus Financial Corp. 117,209
-------------
784,515
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.2%
5,695 Herman Miller, Inc. 160,086
3,968 Rollins, Inc. 101,184
4,996 Waste Connections, Inc. 216,127
-------------
477,397
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.5%
10,585 Ciena Corp. (a) $ 233,505
2,302 InterDigital, Inc. 91,459
-------------
324,964
-------------
COMPUTERS & PERIPHERALS -- 2.6%
6,078 3D Systems Corp. (a) 287,064
8,088 NCR Corp. (a) 291,168
-------------
578,232
-------------
CONSTRUCTION MATERIALS -- 0.9%
2,326 Eagle Materials Inc. 156,959
522 Martin Marietta Materials, Inc. 51,991
-------------
208,950
-------------
CONTAINERS & PACKAGING -- 1.6%
5,450 Packaging Corp. of America 293,155
1,094 Silgan Holdings, Inc. 52,775
-------------
345,930
-------------
DISTRIBUTORS -- 1.2%
10,362 LKQ Corp. (a) 270,137
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.3%
14,799 Service Corp. International 280,737
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.0%
4,407 CBOE Holdings, Inc. 220,791
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.2%
1,826 tw telecom inc. (a) 54,378
-------------
ELECTRICAL EQUIPMENT -- 1.5%
2,041 Acuity Brands, Inc. 176,547
1,215 AMETEK, Inc. 56,230
1,038 Hubbell, Inc., Class B 111,429
-------------
344,206
-------------
ENERGY EQUIPMENT & SERVICES --
4.0%
1,714 Dresser-Rand Group, Inc. (a) 104,331
2,277 Dril-Quip, Inc. (a) 207,002
3,696 Oceaneering International, Inc. 299,709
2,880 Oil States International,
Inc. (a) 280,022
-------------
891,064
-------------
FOOD & STAPLES RETAILING -- 0.8%
2,855 United Natural Foods, Inc. (a) 167,303
-------------
FOOD PRODUCTS -- 3.5%
12,101 Flowers Foods, Inc. 277,839
3,555 Green Mountain Coffee Roasters,
Inc. (a) 274,375
783 Ingredion, Inc. 52,617
4,851 Tootsie Roll Industries, Inc. 164,255
-------------
769,086
-------------
Page 78 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND - FNY
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.2%
1,727 Cooper (The) Cos., Inc. $ 219,934
1,139 ResMed, Inc. 54,273
-------------
274,207
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 1.5%
1,610 Henry Schein, Inc. (a) 167,166
1,683 MEDNAX, Inc. (a) 163,958
-------------
331,124
-------------
HOTELS, RESTAURANTS & LEISURE
-- 5.9%
3,643 Bally Technologies, Inc. (a) 261,130
3,282 Bob Evans Farms, Inc. 166,791
5,213 Brinker International, Inc. 209,302
4,907 Cheesecake Factory (The), Inc. 208,253
4,589 Domino's Pizza, Inc. 287,180
1,105 Panera Bread Co., Class A (a) 184,590
-------------
1,317,246
-------------
HOUSEHOLD DURABLES -- 4.2%
6,099 Jarden Corp. (a) 277,321
13,593 KB Home 241,276
1,827 Mohawk Industries, Inc. (a) 217,395
2,341 Tempur Sealy International,
Inc. (a) 92,821
1,323 Tupperware Brands Corp. 111,502
-------------
940,315
-------------
INSURANCE -- 1.9%
4,705 Arthur J. Gallagher & Co. 208,808
3,188 Brown & Brown, Inc. 105,172
4,663 First American Financial Corp. 105,990
-------------
419,970
-------------
INTERNET & CATALOG RETAIL --
0.5%
1,913 HSN, Inc. 114,895
-------------
INTERNET SOFTWARE & SERVICES --
0.7%
6,247 ValueClick, Inc. (a) 152,677
-------------
IT SERVICES -- 6.6%
9,063 Acxiom Corp. (a) 233,553
1,474 Alliance Data Systems Corp. (a) 291,528
5,800 Broadridge Financial Solutions,
Inc. 167,852
2,218 CoreLogic, Inc. (a) 61,882
2,705 Gartner, Inc. (a) 162,327
2,181 Jack Henry & Associates, Inc. 105,342
6,354 Lender Processing Services, Inc. 207,649
4,223 NeuStar, Inc., Class A (a) 236,826
-------------
1,466,959
-------------
LEISURE EQUIPMENT & PRODUCTS --
0.8%
1,623 Polaris Industries, Inc. 182,003
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
LIFE SCIENCES TOOLS & SERVICES -- 1.0%
2,700 Covance, Inc. (a) $ 222,750
-------------
MACHINERY -- 5.8%
3,252 Graco, Inc. 226,925
1,910 IDEX Corp. 113,931
9,073 ITT Corp. 283,440
1,795 Lincoln Electric Holdings, Inc. 105,977
2,224 Nordson Corp. 160,484
1,954 Terex Corp. (a) 57,604
913 Timken (The) Co. 53,337
359 Valmont Industries, Inc. 50,131
3,847 Wabtec Corp. 223,357
-------------
1,275,186
-------------
MARINE -- 0.7%
1,938 Kirby Corp. (a) 163,683
-------------
MEDIA -- 1.7%
4,079 AMC Networks, Inc., Class A (a) 278,432
1,841 Cinemark Holdings, Inc. 53,610
1,184 Lamar Advertising Co.,
Class A (a) 51,303
-------------
383,345
-------------
METALS & MINING -- 1.4%
8,415 Worthington Industries, Inc. 301,005
-------------
OIL, GAS & CONSUMABLE FUELS --
0.8%
1,201 HollyFrontier Corp. 54,706
1,714 SM Energy Co. 117,803
-------------
172,509
-------------
PAPER & FOREST PRODUCTS -- 0.3%
3,475 Louisiana-Pacific Corp. (a) 56,504
-------------
PHARMACEUTICALS -- 1.0%
5,587 Endo Health Solutions, Inc. (a) 214,876
-------------
PROFESSIONAL SERVICES -- 1.3%
4,221 Corporate Executive Board (The)
Co. 284,622
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 2.3%
323 Essex Property Trust, Inc. 52,097
3,677 Extra Space Storage, Inc. 154,618
969 Kilroy Realty Corp. 50,718
6,627 OMEGA Healthcare Investors, Inc. 210,937
1,982 Senior Housing Properties Trust 49,847
-------------
518,217
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.2%
564 Jones Lang LaSalle, Inc. 51,341
-------------
See Notes to Financial Statements Page 79
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND - FNY
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL -- 1.0%
1,211 Genesee & Wyoming, Inc.,
Class A (a) $ 108,578
1,423 J.B. Hunt Transport Services,
Inc. 106,626
-------------
215,204
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.9%
4,178 Cree, Inc. (a) 292,042
6,472 Integrated Device Technology,
Inc. (a) 58,313
28,816 RF Micro Devices, Inc. (a) 149,555
4,401 Semtech Corp. (a) 133,130
-------------
633,040
-------------
SOFTWARE -- 3.5%
5,863 Advent Software, Inc. 172,548
7,098 Cadence Design Systems, Inc. (a) 103,489
677 CommVault Systems, Inc. (a) 57,159
1,894 Concur Technologies, Inc. (a) 168,358
504 FactSet Research Systems Inc. 55,027
1,121 Fair Isaac Corp. 56,005
7,886 Mentor Graphics Corp. 161,899
-------------
774,485
-------------
SPECIALTY RETAIL -- 7.9%
4,644 ANN Inc. (a) 157,385
2,945 Ascena Retail Group, Inc. (a) 56,220
4,120 Cabela's, Inc. (a) 282,797
6,024 Chico's FAS, Inc. 103,191
2,053 Dick's Sporting Goods, Inc. 105,545
2,926 Foot Locker, Inc. 105,716
39,836 Office Depot, Inc. (a) 172,490
3,048 Signet Jewelers Ltd. 222,839
2,269 Tractor Supply Co. 274,844
4,774 Williams-Sonoma, Inc. 280,998
-------------
1,762,025
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 3.7%
3,602 Carter's, Inc. 256,895
5,189 Hanesbrands, Inc. 329,294
3,443 Under Armour, Inc., Class A (a) 231,128
-------------
817,317
-------------
THRIFTS & MORTGAGE FINANCE --
0.3%
2,722 Washington Federal, Inc. 59,204
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.6%
3,089 United Rentals, Inc. (a) 177,061
1,836 Watsco, Inc. 171,391
-------------
348,452
-------------
WATER UTILITIES -- 0.5%
3,285 Aqua America, Inc. 111,230
-------------
DESCRIPTION VALUE
-----------------------------------------------------------
TOTAL INVESTMENTS -- 99.8% $ 22,121,238
(Cost $19,342,580) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.2% 39,746
-------------
NET ASSETS -- 100.0% $ 22,160,984
=============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $19,468,546. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $2,772,040 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $119,348.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $22,121,238 $ -- $ --
=====================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
Page 80 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 4.1%
12,453 AAR Corp. $ 301,861
10,642 Aerovironment, Inc. (a) 240,616
959 American Science & Engineering,
Inc. 58,298
4,465 Cubic Corp. 225,706
5,795 Curtiss-Wright Corp. 235,509
4,168 Moog, Inc., Class A (a) 234,408
2,981 National Presto Industries, Inc. 221,011
12,364 Orbital Sciences Corp. (a) 229,228
1,388 Teledyne Technologies, Inc. (a) 111,276
-------------
1,857,913
-------------
AIR FREIGHT & LOGISTICS -- 1.0%
6,255 Atlas Air Worldwide Holdings,
Inc. (a) 279,223
2,805 Forward Air Corp. 102,579
1,474 Hub Group, Inc., Class A (a) 56,381
-------------
438,183
-------------
AIRLINES -- 0.7%
20,215 SkyWest, Inc. 305,651
-------------
AUTO COMPONENTS -- 0.9%
3,127 Standard Motor Products, Inc. 107,537
15,904 Superior Industries
International, Inc. 289,612
-------------
397,149
-------------
BIOTECHNOLOGY -- 0.4%
11,170 Emergent Biosolutions, Inc. (a) 197,597
-------------
BUILDING PRODUCTS -- 1.1%
2,237 Apogee Enterprises, Inc. 59,862
7,375 Gibraltar Industries, Inc. (a) 113,575
14,317 Griffon Corp. 170,372
1,825 Simpson Manufacturing Co., Inc. 60,261
2,690 Universal Forest Products, Inc. 110,963
-------------
515,033
-------------
CAPITAL MARKETS -- 1.9%
20,453 Calamos Asset Management, Inc.,
Class A 217,824
8,659 Piper Jaffray Cos., Inc. (a) 290,509
19,885 Prospect Capital Corp. 217,741
3,010 Stifel Financial Corp. (a) 113,327
-------------
839,401
-------------
CHEMICALS -- 3.1%
8,007 A. Schulman, Inc. 214,588
3,219 Calgon Carbon Corp. (a) 57,717
2,726 Hawkins, Inc. 105,632
3,415 Innophos Holdings, Inc. 170,204
2,812 Koppers Holdings, Inc. 108,684
7,062 LSB Industries, Inc. (a) 232,198
2,896 Stepan Co. 173,354
6,267 Tredegar Corp. 188,073
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
CHEMICALS (CONTINUED)
10,175 Zep, Inc. $ 133,089
-------------
1,383,539
-------------
COMMERCIAL BANKS -- 4.2%
4,767 Banner Corp. 176,760
1,378 City Holding Co. 60,990
3,481 Community Bank System, Inc. 116,753
4,565 CVB Financial Corp. 59,756
7,207 First Financial Bancorp 116,105
12,154 Hanmi Financial Corp. (a) 206,618
6,010 MB Financial, Inc. 172,968
2,536 NBT Bancorp, Inc. 57,238
7,764 Old National Bancorp 111,879
5,478 S&T Bancorp, Inc. 134,101
4,116 Simmons First National Corp.,
Class A 112,573
9,536 Taylor Capital Group, Inc. (a) 213,892
1,188 Tompkins Financial Corp. 53,614
3,577 Umpqua Holdings Corp. 60,237
2,030 United Bankshares, Inc. 57,490
4,208 Wintrust Financial Corp. 172,149
-------------
1,883,123
-------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.1%
6,571 ABM Industries, Inc. 170,189
4,568 Consolidated Graphics, Inc. (a) 244,799
2,256 G&K Services, Inc., Class A 119,139
11,642 Tetra Tech, Inc. (a) 274,751
2,353 UniFirst Corp. 230,641
6,401 United Stationers, Inc. 264,938
4,379 Viad Corp. 105,315
-------------
1,409,772
-------------
COMMUNICATIONS EQUIPMENT -- 1.7%
7,983 Bel Fuse, Inc., Class B 124,934
10,810 Black Box Corp. 292,518
5,990 Comtech Telecommunications
Corp. 162,209
11,460 Digi International, Inc. (a) 113,798
11,957 Symmetricom, Inc. (a) 61,459
-------------
754,918
-------------
COMPUTERS & PERIPHERALS -- 1.2%
28,630 QLogic Corp. (a) 315,217
10,092 Super Micro Computer, Inc. (a) 116,966
2,785 Synaptics, Inc. (a) 111,400
-------------
543,583
-------------
CONSTRUCTION & ENGINEERING --
1.1%
9,540 Aegion Corp. (a) 217,703
6,960 Dycom Industries, Inc. (a) 184,301
2,642 EMCOR Group, Inc. 109,061
-------------
511,065
-------------
See Notes to Financial Statements Page 81
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSUMER FINANCE -- 1.6%
6,021 Cash America International,
Inc. $ 252,882
16,215 EZCORP, Inc., Class A (a) 293,167
1,853 World Acceptance Corp. (a) 154,318
-------------
700,367
-------------
CONTAINERS & PACKAGING -- 0.5%
10,731 Myers Industries, Inc. 208,933
-------------
DISTRIBUTORS -- 0.7%
22,307 VOXX International Corp. (a) 302,260
-------------
DIVERSIFIED CONSUMER SERVICES
-- 2.0%
5,156 Capella Education Co. (a) 252,696
122,191 Corinthian Colleges, Inc. (a) 273,708
8,801 ITT Educational Services,
Inc. (a) 230,850
10,395 Universal Technical Institute,
Inc. 121,621
-------------
878,875
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.1%
3,362 Interactive Brokers Group, Inc.,
Class A 54,464
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.2%
4,324 Atlantic Tele-Network, Inc. 220,524
20,544 Cbeyond, Inc. (a) 174,008
13,714 General Communication, Inc.,
Class A (a) 121,369
-------------
515,901
-------------
ELECTRIC UTILITIES -- 1.6%
3,231 ALLETE, Inc. 173,246
4,561 El Paso Electric Co. 172,269
4,211 UIL Holdings Corp. 171,977
3,601 UNS Energy Corp. 183,111
-------------
700,603
-------------
ELECTRICAL EQUIPMENT -- 1.5%
1,747 Brady Corp., Class A 58,123
4,379 EnerSys, Inc. 231,737
13,208 II-VI, Inc. (a) 233,517
3,118 Powell Industries, Inc. (a) 153,405
-------------
676,782
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
5.9%
10,684 Benchmark Electronics, Inc. (a) 236,330
1,950 Coherent, Inc. 110,526
11,808 CTS Corp. 165,902
15,698 Daktronics, Inc. 170,794
1,587 FARO Technologies, Inc. (a) 58,291
15,429 Insight Enterprises, Inc. (a) 330,026
12,625 Methode Electronics, Inc. 238,486
2,236 Park Electrochemical Corp. 60,819
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
(CONTINUED)
7,185 Plexus Corp. (a) $ 251,260
6,458 Rofin-Sinar Technologies,
Inc. (a) 149,244
5,784 Rogers Corp. (a) 321,706
6,711 ScanSource, Inc. (a) 238,979
6,474 SYNNEX Corp. (a) 320,593
-------------
2,652,956
-------------
ENERGY EQUIPMENT & SERVICES --
4.6%
13,322 Basic Energy Services, Inc. (a) 152,404
2,466 Bristow Group, Inc. 167,712
14,130 C&J Energy Services, Inc. (a) 273,415
8,212 Era Group, Inc. (a) 200,291
2,804 Gulf Island Fabrication, Inc. 69,343
45,466 ION Geophysical Corp. (a) 279,616
6,892 Matrix Service Co. (a) 109,238
41,345 Pioneer Energy Services
Corp. (a) 280,319
1,293 SEACOR Holdings, Inc. 113,215
20,657 Tesco Corp. (a) 273,499
15,698 TETRA Technologies, Inc. (a) 158,864
-------------
2,077,916
-------------
FOOD & STAPLES RETAILING -- 1.2%
3,028 Andersons (The), Inc. 179,621
892 Casey's General Stores, Inc. 59,077
14,843 Spartan Stores, Inc. 291,962
-------------
530,660
-------------
FOOD PRODUCTS -- 1.5%
4,617 Cal-Maine Foods, Inc. 233,990
808 Sanderson Farms, Inc. 57,077
8,921 Seneca Foods Corp., Class A (a) 313,573
819 TreeHouse Foods, Inc. (a) 58,141
-------------
662,781
-------------
GAS UTILITIES -- 1.6%
3,528 Laclede Group (The), Inc. 161,794
1,293 New Jersey Resources Corp. 57,875
3,792 Northwest Natural Gas Co. 166,620
3,182 Piedmont Natural Gas Co., Inc. 109,938
4,590 Southwest Gas Corp. 227,848
-------------
724,075
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 2.1%
3,437 CONMED Corp. 112,734
34,306 CryoLife, Inc. 242,886
1,466 Integra LifeSciences
Holdings (a) 57,746
3,739 Invacare Corp. 58,366
14,445 Merit Medical Systems, Inc. (a) 189,807
2,683 SurModics, Inc. (a) 54,304
25,505 Symmetry Medical, Inc. (a) 222,148
-------------
937,991
-------------
Page 82 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS &
SERVICES -- 3.8%
14,406 Almost Family, Inc. $ 275,587
3,059 AmSurg Corp. (a) 119,638
2,224 Chemed Corp. 156,992
16,356 Kindred Healthcare, Inc. (a) 251,228
13,979 LHC Group, Inc. (a) 320,678
4,881 Magellan Health Services,
Inc. (a) 278,949
19,748 PharMerica Corp. (a) 289,111
-------------
1,692,183
-------------
HEALTH CARE TECHNOLOGY -- 0.3%
1,093 Computer Programs & Systems,
Inc. 60,924
2,870 Quality Systems, Inc. 65,637
-------------
126,561
-------------
HOTELS, RESTAURANTS & LEISURE
-- 2.0%
262 Biglari Holdings, Inc. (a) 109,139
2,616 CEC Entertainment, Inc. 108,799
567 Cracker Barrel Old Country
Store, Inc. 55,509
780 DineEquity, Inc. 54,343
21,518 Marcus (The) Corp. 278,658
9,553 Monarch Casino & Resort,
Inc. (a) 195,837
1,946 Red Robin Gourmet Burgers,
Inc. (a) 110,688
-------------
912,973
-------------
HOUSEHOLD DURABLES -- 2.5%
15,022 American Greetings Corp.,
Class A 286,019
7,692 Blyth, Inc. 107,765
7,133 Helen of Troy Ltd. (a) 303,010
32,858 Standard Pacific Corp. (a) 268,778
5,726 Universal Electronics, Inc. (a) 176,533
-------------
1,142,105
-------------
HOUSEHOLD PRODUCTS -- 0.8%
39,668 Central Garden & Pet Co.,
Class A (a) 299,097
985 WD-40 Co. 56,647
-------------
355,744
-------------
INSURANCE -- 4.5%
8,783 Employers Holdings, Inc. 230,905
8,809 Horace Mann Educators Corp. 249,647
1,797 Infinity Property & Casualty
Corp. 116,823
6,686 Meadowbrook Insurance Group,
Inc. 50,747
3,765 Navigators Group (The), Inc. (a) 218,219
5,247 ProAssurance Corp. 280,872
703 RLI Corp. 58,026
4,427 Safety Insurance Group, Inc. 238,040
2,332 Selective Insurance Group, Inc. 57,017
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
INSURANCE (CONTINUED)
10,451 Stewart Information Services
Corp. $ 323,249
6,487 United Fire Group, Inc. 168,727
-------------
1,992,272
-------------
INTERNET & CATALOG RETAIL --
0.3%
8,522 PetMed Express, Inc. 142,743
-------------
INTERNET SOFTWARE & SERVICES --
0.3%
14,166 United Online, Inc. 115,028
-------------
IT SERVICES -- 2.5%
4,311 CACI International, Inc.,
Class A (a) 286,250
9,897 CSG Systems International, Inc. 234,361
9,225 Higher One Holdings, Inc. (a) 99,630
17,367 Sykes Enterprises, Inc. (a) 304,965
6,874 TeleTech Holdings, Inc. (a) 172,194
-------------
1,097,400
-------------
MACHINERY -- 2.3%
3,131 Astec Industries, Inc. 109,585
3,580 Barnes Group, Inc. 118,140
2,712 Briggs & Stratton Corp. 54,918
3,316 ESCO Technologies, Inc. 114,833
2,555 John Bean Technologies Corp. 60,579
2,129 Mueller Industries, Inc. 116,861
1,112 Tennant Co. 57,379
16,224 Titan International, Inc. 279,702
2,368 Watts Water Technologies, Inc.,
Class A 123,799
-------------
1,035,796
-------------
MEDIA -- 0.5%
1,156 Arbitron, Inc. 53,130
10,338 E.W. Scripps (The) Co.,
Class A (a) 171,714
-------------
224,844
-------------
METALS & MINING -- 3.3%
5,083 AMCOL International Corp. 178,312
5,785 Century Aluminum Co. (a) 48,536
3,365 Haynes International, Inc. 161,856
4,419 Kaiser Aluminum Corp. 288,340
7,927 Materion Corp. 238,920
4,383 Olympic Steel, Inc. 122,066
5,813 RTI International Metals,
Inc. (a) 178,168
19,996 Stillwater Mining Co. (a) 241,952
-------------
1,458,150
-------------
MULTILINE RETAIL -- 0.7%
17,670 Fred's, Inc., Class A 303,924
-------------
MULTI-UTILITIES -- 0.9%
7,948 Avista Corp. 228,744
4,037 NorthWestern Corp. 170,361
-------------
399,105
-------------
See Notes to Financial Statements Page 83
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS --
3.1%
2,185 Approach Resources, Inc. (a) $ 57,881
16,608 Cloud Peak Energy, Inc. (a) 266,226
13,653 Comstock Resources, Inc. 228,961
45,692 Penn Virginia Corp. (a) 230,288
12,424 Stone Energy Corp. (a) 302,648
22,828 Swift Energy Co. (a) 290,829
-------------
1,376,833
-------------
PAPER & FOREST PRODUCTS -- 1.8%
5,798 Buckeye Technologies, Inc. 215,802
3,423 Clearwater Paper Corp. (a) 167,453
6,760 Neenah Paper, Inc. 267,493
6,417 P.H. Glatfelter Co. 169,858
-------------
820,606
-------------
PHARMACEUTICALS -- 0.5%
6,469 Hi-Tech Pharmacal Co., Inc. 232,496
-------------
PROFESSIONAL SERVICES -- 3.0%
19,330 CDI Corp. 304,061
908 Exponent, Inc. 60,037
3,211 Heidrick & Struggles
International, Inc. 49,385
1,772 Insperity, Inc. 58,600
15,667 Kelly Services, Inc., Class A 306,603
2,865 Korn/Ferry International (a) 55,953
22,809 Navigant Consulting, Inc. (a) 306,097
13,885 Resources Connection, Inc. 184,671
-------------
1,325,407
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 1.4%
41,458 Cedar Realty Trust, Inc. 229,677
15,947 Cousins Properties, Inc. 163,457
2,136 EPR Properties 107,612
2,129 Government Properties Income
Trust 53,800
4,597 Lexington Realty Trust 57,646
-------------
612,192
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.1%
2,676 Forestar Group, Inc. (a) 57,828
-------------
ROAD & RAIL -- 1.1%
7,018 Arkansas Best Corp. 152,291
11,613 Heartland Express, Inc. 170,943
9,576 Knight Transportation, Inc. 162,505
-------------
485,739
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.9%
11,573 ATMI, Inc. (a) $ 287,589
28,130 Brooks Automation, Inc. 276,237
3,253 Cabot Microelectronics Corp. (a) 120,296
11,407 Volterra Semiconductor Corp. (a) 171,903
-------------
856,025
-------------
SOFTWARE -- 1.2%
29,558 Ebix, Inc. 342,873
15,943 EPIQ Systems, Inc. 207,418
-------------
550,291
-------------
SPECIALTY RETAIL -- 6.1%
2,446 Big 5 Sporting Goods Corp. 49,580
10,966 Cato (The) Corp., Class A 308,693
3,919 Children's Place Retail Stores
(The), Inc. (a) 211,783
9,824 Finish Line (The), Inc.,
Class A 218,682
3,206 Genesco, Inc. (a) 225,638
1,669 Group 1 Automotive, Inc. 121,487
5,197 Jos. A. Bank Clothiers, Inc. (a) 212,349
6,225 Kirkland's, Inc. (a) 109,436
7,231 Men's Wearhouse (The), Inc. 288,734
26,755 OfficeMax, Inc. 304,739
18,545 Pep Boys-Manny, Moe & Jack
(The) (a) 230,885
7,619 Sonic Automotive, Inc., Class A 168,685
6,854 Stage Stores, Inc. 171,076
7,866 Stein Mart, Inc. 109,888
-------------
2,731,655
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.6%
16,588 Crocs, Inc. (a) 226,758
9,294 Maidenform Brands, Inc. (a) 217,108
10,574 Perry Ellis International, Inc. 212,537
2,236 Skechers U.S.A., Inc.,
Class A (a) 60,998
-------------
717,401
-------------
THRIFTS & MORTGAGE FINANCE --
1.2%
9,519 Bank Mutual Corp. 59,113
12,371 Brookline Bancorp, Inc. 121,978
3,504 Dime Community Bancshares, Inc. 61,495
3,974 Northwest Bancshares, Inc. 54,921
6,805 Provident Financial Services,
Inc. 121,061
19,738 TrustCo Bank Corp. 117,244
-------------
535,812
-------------
TOBACCO -- 0.5%
56,514 Alliance One International,
Inc. (a) 215,318
-------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.1%
1,553 Kaman Corp. 58,797
-------------
Page 84 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
WATER UTILITIES -- 0.3%
2,001 American States Water Co. $ 128,504
WIRELESS TELECOMMUNICATION
SERVICES -- 0.8%
3,262 NTELOS Holdings Corp. 61,097
20,170 USA Mobility, Inc. 315,056
-------------
376,153
-------------
TOTAL INVESTMENTS -- 100.0% 44,741,376
(Cost $42,542,630) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 1,865
-------------
NET ASSETS -- 100.0% $ 44,743,241
=============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $42,777,767. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $2,609,420 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $645,811.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $44,741,376 $ -- $ --
=====================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 85
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND - FYC
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 0.9%
6,552 GenCorp, Inc. (a) $ 114,726
-------------
AIRLINES -- 0.8%
1,006 Allegiant Travel Co. 97,964
-------------
AUTO COMPONENTS -- 1.5%
1,868 Dorman Products, Inc. 87,946
2,710 Drew Industries, Inc. 110,649
-------------
198,595
-------------
AUTOMOBILES -- 0.9%
5,076 Winnebago Industries, Inc. (a) 121,418
-------------
BEVERAGES -- 0.5%
374 Boston Beer (The) Co., Inc.,
Class A (a) 66,939
-------------
BIOTECHNOLOGY -- 0.8%
1,292 Acorda Therapeutics, Inc. (a) 49,057
882 Cubist Pharmaceuticals, Inc. (a) 54,975
-------------
104,032
-------------
BUILDING PRODUCTS -- 1.4%
1,762 A.O. Smith Corp. 72,806
4,844 AAON, Inc. 104,485
-------------
177,291
-------------
CAPITAL MARKETS -- 1.7%
2,337 Financial Engines, Inc. 111,568
1,169 HFF, Inc., Class A 24,549
483 Virtus Investment Partners,
Inc. (a) 90,080
-------------
226,197
-------------
CHEMICALS -- 2.0%
952 Balchem Corp. 47,372
1,691 H.B. Fuller Co. 67,894
3,440 PolyOne Corp. 99,450
688 Quaker Chemical Corp. 45,387
-------------
260,103
-------------
COMMERCIAL BANKS -- 5.4%
479 Bank of the Ozarks, Inc. 22,887
5,993 BBCN Bancorp, Inc. 87,558
1,951 Boston Private Financial
Holdings, Inc. 21,559
872 Columbia Banking System, Inc. 21,783
1,149 First Financial Bankshares, Inc. 70,836
2,881 Glacier Bancorp, Inc. 70,123
3,282 Home BancShares, Inc. 89,664
602 Independent Bank Corp. 22,418
678 PacWest Bancorp 24,015
2,487 Pinnacle Financial Partners,
Inc. (a) 70,830
3,013 PrivateBancorp, Inc. 71,077
4,974 Susquehanna Bancshares, Inc. 66,154
468 Texas Capital Bancshares,
Inc. (a) 21,289
373 UMB Financial Corp. 22,305
998 ViewPoint Financial Group, Inc. 21,527
-------------
704,025
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.3%
1,738 Healthcare Services Group,
Inc. $ 42,772
-------------
COMMUNICATIONS EQUIPMENT --
3.0%
7,298 CalAmp Corp. (a) 112,024
2,316 Ixia (a) 32,193
2,453 Oplink Communications, Inc. (a) 49,428
10,051 PC-Tel, Inc. 96,992
1,491 ViaSat, Inc. (a) 99,584
-------------
390,221
-------------
COMPUTERS & PERIPHERALS -- 0.9%
3,013 Electronics for Imaging,
Inc. (a) 90,481
2,112 Intermec, Inc. (a) 20,972
-------------
111,453
-------------
CONSTRUCTION MATERIALS -- 0.8%
4,821 Headwaters, Inc. (a) 45,462
981 Texas Industries, Inc. (a) 60,959
-------------
106,421
-------------
CONSUMER FINANCE -- 1.4%
1,931 Encore Capital Group, Inc. (a) 75,038
693 Portfolio Recovery Associates,
Inc. (a) 103,472
-------------
178,510
-------------
DISTRIBUTORS -- 0.5%
1,220 Pool Corp. 64,392
-------------
DIVERSIFIED CONSUMER SERVICES
-- 1.0%
1,147 American Public Education,
Inc. (a) 45,318
1,798 Hillenbrand, Inc. 44,572
727 Outerwall, Inc. (a) 40,167
-------------
130,057
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.7%
1,823 MarketAxess Holdings, Inc. 94,249
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.9%
6,230 Lumos Networks Corp. 118,059
-------------
ELECTRICAL EQUIPMENT -- 0.7%
539 AZZ, Inc. 20,390
609 Encore Wire Corp. 25,401
1,267 Franklin Electric Co., Inc. 47,209
-------------
93,000
-------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS --
3.9%
9,437 Agilysys, Inc. (a) 109,375
416 Belden, Inc. 24,382
942 Cognex Corp. 50,030
2,071 DTS, Inc. (a) 46,887
1,168 FEI Co. 90,461
Page 86 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND - FYC
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
(CONTINUED)
571 Littelfuse, Inc. $ 45,674
1,832 Measurement Specialties,
Inc. (a) 91,197
753 MTS Systems Corp. 47,477
-------------
505,483
-------------
ENERGY EQUIPMENT & SERVICES --
0.9%
3,789 Exterran Holdings, Inc. (a) 120,301
-------------
FOOD PRODUCTS -- 1.9%
1,878 B&G Foods, Inc. 65,429
763 Calavo Growers, Inc. 20,723
1,112 Darling International, Inc. (a) 22,574
984 Hain Celestial Group (The),
Inc. (a) 71,793
821 J & J Snack Foods Corp. 65,417
-------------
245,936
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 5.2%
1,346 Abaxis, Inc. 56,667
2,964 Abiomed, Inc. (a) 74,337
1,150 Align Technology, Inc. (a) 49,496
2,831 Cantel Medical Corp. 75,135
400 Cyberonics, Inc. (a) 20,796
1,640 Cynosure, Inc., Class A (a) 46,707
2,599 Greatbatch, Inc. (a) 98,242
502 Haemonetics Corp. (a) 21,194
887 ICU Medical, Inc. (a) 63,589
4,683 Natus Medical, Inc. (a) 59,896
767 Neogen Corp. (a) 43,320
910 West Pharmaceutical Services,
Inc. 67,122
-------------
676,501
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 4.0%
5,952 AMN Healthcare Services,
Inc. (a) 87,971
1,482 Bio-Reference Laboratories,
Inc. (a) 39,643
2,184 CorVel Corp. (a) 74,016
1,348 Hanger, Inc. (a) 49,768
6,130 Healthways, Inc. (a) 105,191
1,660 IPC Hospitalist (The) Co. (a) 83,614
519 MWI Veterinary Supply, Inc. (a) 73,786
-------------
513,989
-------------
HEALTH CARE TECHNOLOGY -- 2.0%
820 HealthStream, Inc. (a) 25,830
1,376 Medidata Solutions, Inc. (a) 127,321
5,184 Omnicell, Inc. (a) 109,383
-------------
262,534
-------------
HOTELS, RESTAURANTS & LEISURE
-- 6.6%
1,149 BJ's Restaurants, Inc. (a) 40,950
868 Buffalo Wild Wings, Inc. (a) 89,907
1,627 Jack in the Box, Inc. (a) 65,226
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
986 Marriott Vacations Worldwide
Corp. (a) $ 43,384
4,087 Multimedia Games Holding Co.,
Inc. (a) 143,004
1,303 Papa John's International,
Inc. (a) 87,119
8,827 Ruth's Hospitality Group, Inc. 105,571
3,610 SHFL entertainment, Inc. (a) 82,127
5,853 Sonic Corp. (a) 89,961
4,258 Texas Roadhouse, Inc. 104,066
-------------
851,315
-------------
HOUSEHOLD DURABLES -- 3.2%
721 Ethan Allen Interiors, Inc. 21,897
2,143 iRobot Corp. (a) 74,919
5,256 La-Z-Boy, Inc. 108,957
2,784 M/I Homes, Inc. (a) 59,188
1,474 Meritage Homes Corp. (a) 66,713
2,126 Ryland Group (The), Inc. 85,975
-------------
417,649
-------------
INSURANCE -- 0.4%
1,876 eHealth, Inc. (a) 57,668
-------------
INTERNET & CATALOG RETAIL --
0.5%
1,692 Blue Nile, Inc. (a) 65,700
-------------
INTERNET SOFTWARE & SERVICES --
5.8%
5,747 Blucora, Inc. (a) 114,940
4,368 comScore, Inc. (a) 126,497
1,804 Dealertrack Technologies,
Inc. (a) 67,470
2,004 j2 Global, Inc. 91,723
599 Liquidity Services, Inc. (a) 17,072
849 LogMeIn, Inc. (a) 25,232
1,000 OpenTable, Inc. (a) 63,680
6,389 Perficient, Inc. (a) 87,210
2,704 Stamps.com, Inc. (a) 107,781
3,806 XO Group, Inc. (a) 45,520
-------------
747,125
-------------
IT SERVICES -- 2.6%
752 Cardtronics, Inc. (a) 22,154
702 Exlservice Holdings, Inc. (a) 19,656
1,161 Forrester Research, Inc. 40,728
2,288 Heartland Payment Systems, Inc. 85,365
1,717 MAXIMUS, Inc. 64,576
3,847 Virtusa Corp. (a) 99,176
-------------
331,655
-------------
LEISURE EQUIPMENT & PRODUCTS --
1.5%
1,894 Arctic Cat, Inc. 104,246
1,333 Brunswick Corp. 50,321
887 Sturm, Ruger & Co., Inc. 45,121
-------------
199,688
-------------
See Notes to Financial Statements Page 87
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND - FYC
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES
-- 1.7%
6,101 Cambrex Corp. (a) $ 89,380
1,008 Luminex Corp. (a) 20,069
2,319 PAREXEL International Corp. (a) 114,674
-------------
224,123
-------------
MACHINERY -- 1.4%
630 Actuant Corp., Class A 22,245
1,259 EnPro Industries, Inc. (a) 71,549
1,547 Kaydon Corp. 44,987
393 Standex International Corp. 23,199
457 Toro (The) Co. 22,521
-------------
184,501
-------------
MEDIA -- 0.2%
2,817 Digital Generation, Inc. (a) 21,832
-------------
MULTILINE RETAIL -- 0.9%
10,274 Tuesday Morning Corp. (a) 115,274
-------------
OIL, GAS & CONSUMABLE FUELS --
1.3%
3,009 Carrizo Oil & Gas, Inc. (a) 95,295
441 Gulfport Energy Corp. (a) 23,461
828 PDC Energy, Inc. (a) 45,664
-------------
164,420
-------------
PAPER & FOREST PRODUCTS -- 0.5%
1,281 Schweitzer-Mauduit
International, Inc. 69,353
-------------
PERSONAL PRODUCTS -- 2.4%
3,736 Inter Parfums, Inc. 123,213
2,481 Medifast, Inc. (a) 67,831
3,657 Prestige Brands Holdings,
Inc. (a) 124,009
-------------
315,053
-------------
PHARMACEUTICALS -- 2.4%
1,041 Impax Laboratories, Inc. (a) 21,590
1,386 Medicines (The) Co. (a) 42,827
1,874 Questcor Pharmaceuticals, Inc. 125,221
1,289 Salix Pharmaceuticals Ltd. (a) 95,257
724 ViroPharma, Inc. (a) 24,848
-------------
309,743
-------------
PROFESSIONAL SERVICES -- 1.7%
3,988 On Assignment, Inc. (a) 121,753
3,092 WageWorks, Inc. (a) 104,417
-------------
226,170
-------------
REAL ESTATE INVESTMENT TRUSTS
-- 2.0%
861 Colonial Properties Trust 20,845
652 Coresite Realty Corp. 22,142
1,256 Geo Group (The), Inc. 43,608
2,031 Inland Real Estate Corp. 20,899
2,976 Medical Properties Trust, Inc. 43,449
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
2,542 Parkway Properties, Inc. $ 44,485
1,632 Sabra Health Care REIT, Inc. 42,824
320 Sovran Self Storage, Inc. 22,112
-------------
260,364
-------------
ROAD & RAIL -- 0.7%
2,048 Old Dominion Freight Line,
Inc. (a) 89,457
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.7%
1,192 Advanced Energy Industries,
Inc. (a) 25,819
3,282 Diodes, Inc. (a) 89,960
4,862 Entropic Communications,
Inc. (a) 21,539
912 Microsemi Corp. (a) 22,490
1,853 Rudolph Technologies, Inc. (a) 22,884
8,439 Sigma Designs, Inc. (a) 44,051
-------------
226,743
-------------
SOFTWARE -- 5.6%
2,617 Blackbaud, Inc. 91,830
2,064 Interactive Intelligence Group,
Inc. (a) 117,235
829 Manhattan Associates, Inc. (a) 73,234
3,354 Monotype Imaging Holdings, Inc. 82,274
2,761 Synchronoss Technologies,
Inc. (a) 95,227
5,693 Take-Two Interactive Software,
Inc. (a) 99,798
4,143 Tangoe, Inc. (a) 74,823
1,243 Tyler Technologies, Inc. (a) 92,753
-------------
727,174
-------------
SPECIALTY RETAIL -- 8.2%
4,949 Brown Shoe Co., Inc. 117,638
819 Buckle (The), Inc. 45,847
12,646 Christopher & Banks Corp. (a) 86,499
4,630 Haverty Furniture Cos., Inc. 120,380
1,999 Lithia Motors, Inc., Class A 130,415
1,368 Lumber Liquidators Holdings,
Inc. (a) 132,450
1,773 Monro Muffler Brake, Inc. 76,257
2,560 rue21, Inc. (a) 106,957
2,551 Select Comfort Corp. (a) 58,290
11,708 Zale Corp. (a) 108,650
2,964 Zumiez, Inc. (a) 81,717
-------------
1,065,100
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 4.2%
4,769 Fifth & Pacific Cos., Inc. (a) 113,598
2,173 Iconix Brand Group, Inc. (a) 71,361
1,260 Movado Group, Inc. 45,965
1,708 Oxford Industries, Inc. 115,580
1,762 Steven Madden Ltd. (a) 90,602
1,951 Wolverine World Wide, Inc. 112,202
-------------
549,308
-------------
Page 88 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND - FYC
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES &
DISTRIBUTORS -- 0.5%
1,322 Applied Industrial
Technologies, Inc. $ 68,956
-------------
TOTAL INVESTMENTS -- 100.0% 13,013,539
(Cost $11,321,481) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% (6,421)
-------------
NET ASSETS -- 100.0% $ 13,007,118
=============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $11,367,059. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $1,762,598 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $116,118.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $13,013,539 $ -- $ --
=====================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 89
FIRST TRUST MEGA CAP ALPHADEX(R) FUND - FMK
PORTFOLIO OF INVESTMENTS
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.9%
3,181 Boeing (The) Co. $ 334,323
822 Honeywell International, Inc. 68,209
-------------
402,532
-------------
AUTOMOBILES -- 6.2%
21,073 Ford Motor Co. 355,712
7,829 General Motors Co. (a) 280,826
-------------
636,538
-------------
BIOTECHNOLOGY -- 5.8%
909 Biogen Idec, Inc. (a) 198,280
1,115 Celgene Corp. (a) 163,749
3,820 Gilead Sciences, Inc. (a) 234,739
-------------
596,768
-------------
CAPITAL MARKETS -- 4.8%
1,723 Goldman Sachs Group (The), Inc. 282,624
8,005 Morgan Stanley 217,816
-------------
500,440
-------------
CHEMICALS -- 2.0%
2,952 LyondellBasell Industries N.V.,
Class A 202,832
-------------
COMMERCIAL BANKS -- 2.0%
1,788 PNC Financial Services Group,
Inc. 135,977
1,579 Wells Fargo & Co. 68,687
-------------
204,664
-------------
COMMUNICATIONS EQUIPMENT -- 2.6%
10,727 Cisco Systems, Inc. 274,075
-------------
COMPUTERS & PERIPHERALS -- 5.7%
824 Apple, Inc. 372,860
5,521 EMC Corp. 144,374
2,629 Hewlett-Packard Co. 67,513
-------------
584,747
-------------
CONSUMER FINANCE -- 2.6%
1,744 American Express Co. 128,655
2,075 Capital One Financial Corp. 143,216
-------------
271,871
-------------
DIVERSIFIED FINANCIAL SERVICES
-- 2.7%
1,359 Citigroup, Inc. 70,858
3,704 JPMorgan Chase & Co. 206,424
-------------
277,282
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.3%
3,684 AT&T, Inc. 129,935
-------------
ELECTRIC UTILITIES -- 0.7%
967 Duke Energy Corp. 68,657
-------------
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
ENERGY EQUIPMENT & SERVICES --
2.0%
4,688 Halliburton Co. $ 211,851
-------------
FOOD & STAPLES RETAILING --
1.4%
2,281 CVS Caremark Corp. 140,259
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.3%
7,476 Abbott Laboratories 273,846
1,266 Medtronic, Inc. 69,934
-------------
343,780
-------------
HEALTH CARE PROVIDERS &
SERVICES -- 4.1%
2,113 Express Scripts Holding Co. (a) 138,507
3,982 UnitedHealth Group, Inc. 290,089
-------------
428,596
-------------
HOTELS, RESTAURANTS & LEISURE
-- 0.7%
995 Starbucks Corp. 70,884
-------------
INSURANCE -- 9.2%
7,293 American International Group,
Inc. (a) 331,904
2,330 Berkshire Hathaway, Inc.,
Class B (a) 269,977
7,123 MetLife, Inc. 344,896
-------------
946,777
-------------
INTERNET & CATALOG RETAIL --
2.0%
237 priceline.com, Inc. (a) 207,534
-------------
INTERNET SOFTWARE & SERVICES --
2.5%
296 Google, Inc., Class A (a) 262,729
-------------
MACHINERY -- 0.6%
790 Caterpillar, Inc. 65,499
-------------
MEDIA -- 4.6%
3,113 Comcast Corp., Class A 140,334
6,798 Twenty-First Century Fox, Inc. 203,124
2,066 Walt Disney (The) Co. 133,567
-------------
477,025
-------------
MULTILINE RETAIL -- 0.7%
947 Target Corp. 67,474
-------------
OIL, GAS & CONSUMABLE FUELS --
15.8%
759 Anadarko Petroleum Corp. 67,187
2,755 Chevron Corp. 346,827
4,310 ConocoPhillips 279,547
3,608 Exxon Mobil Corp. 338,250
2,922 Occidental Petroleum Corp. 260,204
5,533 Phillips 66 340,279
-------------
1,632,294
-------------
Page 90 See Notes to Financial Statements
FIRST TRUST MEGA CAP ALPHADEX(R) FUND - FMK
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2013
SHARES DESCRIPTION VALUE
-----------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS -- 2.7%
5,309 Eli Lilly & Co. $ 281,961
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.0%
13,460 Intel Corp. 313,618
-------------
SOFTWARE -- 2.0%
6,368 Oracle Corp. 206,005
-------------
SPECIALTY RETAIL -- 3.2%
4,207 Home Depot (The), Inc. 332,479
-------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.9%
3,072 NIKE, Inc., Class B 193,290
-------------
TOTAL INVESTMENTS -- 100.0% 10,332,396
(Cost $9,594,851) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 2,226
-------------
NET ASSETS -- 100.0% $ 10,334,622
=============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $9,657,184. As of July
31, 2013, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $706,320 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $31,108.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2013
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------------------------
Common Stocks* $10,332,396 $ -- $ --
=====================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2013.
See Notes to Financial Statements Page 91
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2013
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX) (FYX)
---------------- ---------------- ----------------
ASSETS:
Investments, at value............................................... $ 501,001,159 $ 499,751,870 $ 295,029,871
Cash .............................................................. 1,026 -- --
Receivables:
Capital shares sold........................................... -- 4,468,049 --
Investment securities sold.................................... 5,284 1,518,814 403,742
Dividends..................................................... 349,349 175,567 89,996
Reclaims...................................................... 1,445 -- --
Interest...................................................... 3 12 5
Securities lending income..................................... -- 24,278 6,587
Prepaid expenses.................................................... 4,279 3,770 2,076
-------------- -------------- --------------
TOTAL ASSETS............................................ 501,362,545 505,942,360 295,532,277
-------------- -------------- --------------
LIABILITIES:
Due to custodian.................................................... -- -- --
Payables:
Investment securities purchased............................... -- 6,253,220 404,838
Investment advisory fees...................................... 205,516 196,190 110,519
Licensing fees................................................ 78,881 78,224 46,493
Printing fees................................................. 24,328 25,267 15,005
Audit and tax fees............................................ 22,925 22,925 22,925
Trustees' fees................................................ 1,618 1,543 955
Collateral for securities on loan............................. -- 13,709,819 5,728,995
Due to broker................................................. -- -- --
Other liabilities................................................... 200,636 199,612 120,747
-------------- -------------- --------------
TOTAL LIABILITIES........................................ 533,904 20,486,800 6,450,477
-------------- -------------- --------------
NET ASSETS.......................................................... $ 500,828,641 $ 485,455,560 $ 289,081,800
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 476,184,696 $ 471,372,996 $ 273,632,806
Par value........................................................... 135,000 108,000 68,500
Accumulated net investment income (loss)............................ 243,413 593,008 --
Accumulated net realized gain (loss) on investments................. (45,129,967) (52,382,987) (24,054,358)
Net unrealized appreciation (depreciation) on investments........... 69,395,499 65,764,543 39,434,852
-------------- -------------- --------------
NET ASSETS.......................................................... $ 500,828,641 $ 485,455,560 $ 289,081,800
============== ============== ==============
NET ASSET VALUE, per share.......................................... $ 37.10 $ 44.95 $ 42.20
============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 13,500,002 10,800,002 6,850,002
-------------- -------------- --------------
Investments, at cost................................................ $ 431,605,660 $ 433,987,327 $ 255,595,019
============== ============== ==============
Securities on loan, at value........................................ $ -- $ 13,402,887 $ 5,603,169
============== ============== ==============
Page 92 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FTA) (FTC) (FAB) (FAD) (FNK)
---------------- ---------------- ---------------- ---------------- ----------------
$ 467,156,392 $ 170,595,483 $ 92,284,349 $ 37,668,014 $ 21,302,701
-- -- 152,684 -- 109,045
-- -- 3,997,558 -- 2,652,532
9,023 -- 205,460 -- 122,402
459,236 61,090 62,764 12,994 7,460
2,392 -- 231 -- --
1 -- 1 2 --
-- -- -- -- --
3,209 1,806 657 484 --
-------------- -------------- -------------- -------------- --------------
467,630,253 170,658,379 96,703,704 37,681,494 24,194,140
-------------- -------------- -------------- -------------- --------------
-- 29,235 -- -- --
-- -- 4,199,553 -- 2,774,370
191,545 75,015 31,990 9,609 11,030
73,953 33,087 21,089 14,122 --
21,384 9,607 5,407 3,667 --
22,925 22,925 22,925 22,925 --
1,412 795 550 446 --
-- -- -- -- --
-- -- 152,684 -- 107,084
194,810 68,963 42,865 21,836 --
-------------- -------------- -------------- -------------- --------------
506,029 239,627 4,477,063 72,605 2,892,484
-------------- -------------- -------------- -------------- --------------
$ 467,124,224 $ 170,418,752 $ 92,226,641 $ 37,608,889 $ 21,301,656
============== ============== ============== ============== ==============
$ 445,157,558 $ 187,176,466 $ 91,867,151 $ 43,391,236 $ 20,816,258
127,000 47,000 23,000 9,500 8,000
514,412 -- 54,340 18,336 4,486
(29,611,844) (40,170,287) (9,919,230) (11,577,763) (864,509)
50,937,098 23,365,573 10,201,380 5,767,580 1,337,421
-------------- -------------- -------------- -------------- --------------
$ 467,124,224 $ 170,418,752 $ 92,226,641 $ 37,608,889 $ 21,301,656
============== ============== ============== ============== ==============
$ 36.78 $ 36.26 $ 40.10 $ 39.59 $ 26.63
============== ============== ============== ============== ==============
12,700,002 4,700,002 2,300,002 950,002 800,002
-------------- -------------- -------------- -------------- --------------
$ 416,219,294 $ 147,229,910 $ 82,082,969 $ 31,900,434 $ 19,965,280
============== ============== ============== ============== ==============
$ -- $ -- $ -- $ -- $ --
============== ============== ============== ============== ==============
See Notes to Financial Statements Page 93
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 2013
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FNY) (FYT) (FYC) (FMK)
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments, at value.............................. $ 22,121,238 $ 44,741,376 $ 13,013,539 $ 10,332,396
Cash ............................................. 43,412 141,008 -- --
Receivables:
Investment securities sold................... -- 108,121 -- --
Capital shares sold.......................... -- 4,196,291 -- --
Dividends.................................... 9,359 18,014 1,905 12,114
Reclaims..................................... -- -- -- --
Interest..................................... -- -- -- --
Securities lending income.................... -- -- -- --
Prepaid expenses................................... -- -- -- --
-------------- -------------- -------------- --------------
TOTAL ASSETS............................ 22,174,009 49,204,810 13,015,444 10,344,510
-------------- -------------- -------------- --------------
LIABILITIES:
Due to custodian................................... -- -- 1,039 3,065
Payables:
Investment securities purchased.............. -- 4,339,918 -- --
Investment advisory fees..................... 13,025 23,603 7,287 6,823
Licensing fees............................... -- -- -- --
Printing fees................................ -- -- -- --
Audit and tax fees........................... -- -- -- --
Trustees' fees............................... -- -- -- --
Collateral for securities on loan............ -- -- -- --
Due to broker................................ -- 98,048 -- --
Other liabilities.................................. -- -- -- --
-------------- -------------- -------------- --------------
TOTAL LIABILITIES....................... 13,025 4,461,569 8,326 9,888
-------------- -------------- -------------- --------------
NET ASSETS......................................... $ 22,160,984 $ 44,743,241 $ 13,007,118 $ 10,334,622
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital.................................... $ 21,763,387 $ 43,185,071 $ 13,311,234 $ 10,969,612
Par value.......................................... 9,000 16,000 5,000 4,500
Accumulated net investment income (loss)........... 51,950 10 (7,732) 8,191
Accumulated net realized gain (loss) on
investments..................................... (2,442,011) (656,586) (1,993,442) (1,385,226)
Net unrealized appreciation (depreciation) on
investments..................................... 2,778,658 2,198,746 1,692,058 737,545
-------------- -------------- -------------- --------------
NET ASSETS......................................... $ 22,160,984 $ 44,743,241 $ 13,007,118 $ 10,334,622
============== ============== ============== ==============
NET ASSET VALUE, per share......................... $ 24.62 $ 27.96 $ 26.01 $ 22.97
============== ============== ============== ==============
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)... 900,002 1,600,002 500,002 450,002
-------------- -------------- -------------- --------------
Investments at cost................................ $ 19,342,580 $ 42,542,630 $ 11,321,481 $ 9,594,851
============== ============== ============== ==============
Securities on loan, at value....................... $ -- $ -- $ -- $ --
============== ============== ============== ==============
Page 94 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2013
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX) (FYX)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 8,074,960 $ 6,010,414 $ 2,878,553
Interest............................................................ 107 96 44
Foreign tax withholding............................................. (17,548) -- --
Securities lending income (net of fees)............................. -- 126,793 166,940
-------------- -------------- --------------
Total investment income....................................... 8,057,519 6,137,303 3,045,537
-------------- -------------- --------------
EXPENSES:
Investment advisory fees............................................ 1,891,257 1,798,892 971,903
Accounting and administration fees.................................. 195,647 190,563 112,178
Licensing fees...................................................... 138,464 132,923 83,303
Legal fees.......................................................... 67,488 63,320 35,937
Printing fees....................................................... 56,690 60,592 39,833
Custodian fees...................................................... 47,281 44,972 24,298
Audit and tax fees.................................................. 24,570 24,405 23,632
Trustees' fees and expenses......................................... 19,981 19,201 12,133
Transfer agent fees................................................. 18,912 17,989 9,719
Listing fees........................................................ 8,221 8,221 8,221
Registration and filing fees........................................ 6,468 8,589 10,026
Expenses previously waived or reimbursed............................ -- -- 23,470
Other expenses...................................................... 12,440 11,206 6,011
-------------- -------------- --------------
Total expenses................................................ 2,487,419 2,380,873 1,360,664
Less fees waived and expenses reimbursed by the
investment advisor....................................... -- -- --
-------------- -------------- --------------
Net expenses.................................................. 2,487,419 2,380,873 1,360,664
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 5,570,100 3,756,430 1,684,873
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (12,930,678) (16,166,155) (10,936,784)
In-kind redemptions........................................... 50,740,548 49,659,882 31,990,510
-------------- -------------- --------------
Net realized gain (loss)............................................ 37,809,870 33,493,727 21,053,726
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on investments. 59,574,142 63,098,856 37,239,060
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 97,384,012 96,592,583 58,292,786
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................................... $ 102,954,112 $ 100,349,013 $ 59,977,659
============== ============== ==============
See Notes to Financial Statements Page 95
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED JULY 31, 2013
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FTA) (FTC) (FAB)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 8,332,604 $ 2,146,567 $ 1,396,180
Interest............................................................ 90 40 18
Foreign tax withholding............................................. (5,919) (11,906) (573)
Securities lending income (net of fees)............................. -- -- --
-------------- -------------- --------------
Total investment income....................................... 8,326,775 2,134,701 1,395,625
-------------- -------------- --------------
EXPENSES:
Investment advisory fees............................................ 1,649,935 676,648 322,372
Accounting and administration fees.................................. 169,249 71,324 42,604
Licensing fees...................................................... 123,985 65,588 43,617
Legal fees.......................................................... 58,703 23,792 11,526
Printing fees....................................................... 49,633 23,466 13,735
Custodian fees...................................................... 41,249 16,916 8,059
Audit and tax fees.................................................. 24,170 23,579 23,166
Trustees' fees and expenses......................................... 17,715 9,954 7,788
Transfer agent fees................................................. 16,500 6,767 3,224
Listing fees........................................................ 8,221 8,221 7,890
Registration and filing fees........................................ 14,752 359 2,919
Expenses previously waived or reimbursed............................ 38,025 15,628 --
Other expenses...................................................... 9,433 5,066 1,293
-------------- -------------- --------------
Total expenses................................................ 2,221,570 947,308 488,193
Less fees waived and expenses reimbursed by the
investment advisor....................................... -- -- (36,873)
-------------- -------------- --------------
Net expenses.................................................. 2,221,570 947,308 451,320
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 6,105,205 1,187,393 944,305
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (10,911,481) (4,441,307) (2,645,852)
In-kind redemptions........................................... 46,996,652 24,889,519 10,711,577
-------------- -------------- --------------
Net realized gain (loss)............................................ 36,085,171 20,448,212 8,065,725
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on investments. 52,194,570 11,763,777 10,794,933
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 88,279,741 32,211,989 18,860,658
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................................... $ 94,384,946 $ 33,399,382 $ 19,804,963
============== ============== ==============
Page 96 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP FIRST TRUST
GROWTH VALUE GROWTH VALUE GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FAD) (FNK) (FNY) (FYT) (FYC) (FMK)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 478,635 $ 279,013 $ 287,264 $ 334,671 $ 97,850 $ 204,528
16 (1) -- -- -- --
(1,473) -- -- -- -- (464)
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
477,178 279,012 287,264 334,671 97,850 204,064
-------------- -------------- -------------- -------------- -------------- --------------
166,193 117,339 131,644 115,846 78,964 70,744
24,263 -- -- -- -- --
33,239 -- -- -- -- --
5,558 -- -- -- -- --
9,562 -- -- -- -- --
4,155 -- -- -- -- --
23,074 -- -- -- -- --
5,671 -- -- -- -- --
1,662 -- -- -- -- --
7,890 -- -- -- -- --
261 -- -- -- -- --
-- -- -- -- -- --
955 -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
282,483 117,339 131,644 115,846 78,964 70,744
(49,813) -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
232,670 117,339 131,644 115,846 78,964 70,744
-------------- -------------- -------------- -------------- -------------- --------------
244,508 161,673 155,620 218,825 18,886 133,320
-------------- -------------- -------------- -------------- -------------- --------------
(1,009,820) (738,863) (836,074) (635,499) (836,647) (512,166)
5,747,173 3,488,737 2,798,456 4,485,398 2,218,764 2,255,989
-------------- -------------- -------------- -------------- -------------- --------------
4,737,353 2,749,874 1,962,382 3,849,899 1,382,117 1,743,823
-------------- -------------- -------------- -------------- -------------- --------------
3,247,502 1,538,554 2,374,283 2,534,872 1,033,307 650,096
-------------- -------------- -------------- -------------- -------------- --------------
7,984,855 4,288,428 4,336,665 6,384,771 2,415,424 2,393,919
-------------- -------------- -------------- -------------- -------------- --------------
$ 8,229,363 $ 4,450,101 $ 4,492,285 $ 6,603,596 $ 2,434,310 $ 2,527,239
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 97
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX)
------------------------------------ ------------------------------------
For the Year For the Year For the Year For the Year
Ended Ended Ended Ended
7/31/2013 7/31/2012 7/31/2013 7/31/2012
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss).......................... $ 5,570,100 $ 3,697,768 $ 3,756,430 $ 1,719,545
Net realized gain (loss).............................. 37,809,870 (11,781,179) 33,493,727 (22,813,635)
Net change in unrealized appreciation (depreciation).. 59,574,142 9,671,236 63,098,856 5,862,318
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations.................................... 102,954,112 1,587,825 100,349,013 (15,231,772)
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................. (5,612,506) (3,513,526) (3,248,026) (1,639,580)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................. 344,836,586 190,451,762 351,702,994 179,569,448
Cost of shares redeemed............................... (268,039,424) (135,697,581) (257,423,796) (188,114,212)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from shareholder transactions...................... 76,797,162 54,754,181 94,279,198 (8,544,764)
------------- ------------- ------------- -------------
Total increase (decrease) in net assets............... 174,138,768 52,828,480 191,380,185 (25,416,116)
NET ASSETS:
Beginning of year..................................... 326,689,873 273,861,393 294,075,375 319,491,491
------------- ------------- ------------- -------------
End of year........................................... $ 500,828,641 $ 326,689,873 $ 485,455,560 $ 294,075,375
============= ============= ============= =============
Accumulated net investment income (loss)
at end of year..................................... $ 243,413 $ 285,819 $ 593,008$ 84,604
============= ============= ============= =============
CHANGES IN SHARES OUSTANDING:
Shares outstanding, beginning of period............... 11,400,002 9,650,002 8,600,002 9,350,002
Shares sold........................................... 10,300,000 6,650,000 8,750,000 5,200,000
Shares redeemed....................................... (8,200,000) (4,900,000) (6,550,000) (5,950,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period..................... 13,500,002 11,400,002 10,800,002 8,600,002
============= ============= ============= =============
Page 98 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FYX) (FTA) (FTC) (FAB)
------------------------------- ------------------------------- ------------------------------- -------------------------------
For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year
Ended Ended Ended Ended Ended Ended Ended Ended
7/31/2013 7/31/2012 7/31/2013 7/31/2012 7/31/2013 7/31/2012 7/31/2013 7/31/2012
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 1,684,873 $ 756,087 $ 6,105,205 $ 3,161,359 $ 1,187,393 $ 1,086,179 $ 944,305 $ 540,206
21,053,726 (3,784,981) 36,085,171 531,718 20,448,212 (10,734,088) 8,065,725 (78,771)
37,239,060 2,049,712 52,194,570 4,779,857 11,763,777 5,355,775 10,794,933 484,210
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
59,977,659 (979,182) 94,384,946 8,472,934 33,399,382 (4,292,134) 19,804,963 945,645
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(1,727,336) (765,930) (5,792,326) (3,138,591) (1,334,966) (1,045,280) (915,936) (533,761)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
226,844,839 67,371,164 372,257,229 147,469,809 170,871,482 60,592,085 76,384,780 35,938,107
(136,396,955) (42,772,095) (241,095,908) (83,485,811) (162,380,787) (64,713,498) (50,929,280) (27,937,723)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
90,447,884 24,599,069 131,161,321 63,983,998 8,490,695 (4,121,413) 25,455,500 8,000,384
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
148,698,207 22,853,957 219,753,941 69,318,341 40,555,111 (9,458,827) 44,344,527 8,412,268
140,383,593 117,529,636 247,370,283 178,051,942 129,863,641 139,322,468 47,882,114 39,469,846
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
$289,081,800 $140,383,593 $467,124,224 $247,370,283 $170,418,752 $129,863,641 $ 92,226,641 $ 47,882,114
============ ============ ============ ============ ============ ============ ============ ============
$ -- $ -- $ 514,412 $ 201,533 $ -- $ 107,852 $ 54,340 $ 25,971
============ ============ ============ ============ ============ ============ ============ ============
4,500,002 3,800,002 8,800,002 6,550,002 4,550,002 4,750,002 1,600,002 1,350,002
6,100,000 2,150,000 11,300,000 5,250,000 5,250,000 2,050,000 2,150,000 1,200,000
(3,750,000) (1,450,000) (7,400,000) (3,000,000) (5,100,000) (2,250,000) (1,450,000) (950,000)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
6,850,002 4,500,002 12,700,002 8,800,002 4,700,002 4,550,002 2,300,002 1,600,002
============ ============ ============ ============ ============ ============ ============ ============
See Notes to Financial Statements Page 99
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
MULTI CAP GROWTH MID CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FAD) (FNK)
------------------------------------ ------------------------------------
For the Year For the Year For the Year For the Year
Ended Ended Ended Ended
7/31/2013 7/31/2012 7/31/2013 7/31/2012
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss).......................... $ 244,508 $ 141,231 $ 161,673 $ 64,686
Net realized gain (loss).............................. 4,737,353 (3,369,477) 2,749,874 343,889
Net change in unrealized appreciation (depreciation).. 3,247,502 1,487,826 1,538,554 (40,580)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations.................................... 8,229,363 (1,740,420) 4,450,101 367,995
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................. (240,635) (134,015) (159,085) (63,030)
------------- ------------- ------------- -------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................. 31,876,922 14,612,366 39,054,237 10,704,488
Cost of shares redeemed............................... (31,862,918) (21,121,579) (30,928,553) (4,051,756)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from shareholder transactions...................... 14,004 (6,509,213) 8,125,684 6,652,732
------------- ------------- ------------- -------------
Total increase (decrease) in net assets............... 8,002,732 (8,383,648) 12,416,700 6,957,697
NET ASSETS:
Beginning of year..................................... 29,606,157 37,989,805 8,884,956 1,927,259
------------- ------------- ------------- -------------
End of year........................................... $ 37,608,889 $ 29,606,157 $ 21,301,656 $ 8,884,956
============= ============= ============= =============
Accumulated net investment income (loss)
at end of year..................................... $ 18,336 $ 14,463 $ 4,486 $ 1,898
============= ============= ============= =============
CHANGES IN SHARES OUSTANDING:
Shares outstanding, beginning of period............... 950,002 1,200,002 450,002 100,002
Shares sold........................................... 900,000 450,000 1,650,000 550,000
Shares redeemed....................................... (900,000) (700,000) (1,300,000) (200,000)
------------- ------------- ------------- -------------
Shares outstanding, end of period..................... 950,002 950,002 800,002 450,002
============= ============= ============= =============
Page 100 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FNY) (FYT) (FYC) (FMK)
------------------------------- ------------------------------- ------------------------------- -------------------------------
For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year
Ended Ended Ended Ended Ended Ended Ended Ended
7/31/2013 7/31/2012 7/31/2013 7/31/2012 7/31/2013 7/31/2012 7/31/2013 7/31/2012
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 155,620 $ 12,043 $ 218,825 $ 27,453 $ 18,886 $ 8,157 $ 133,320 $ 82,054
1,962,382 (1,558,333) 3,849,899 81,153 1,382,117 (949,732) 1,743,823 (936,633)
2,374,283 772,870 2,534,872 (205,585) 1,033,307 834,605 650,096 261,188
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
4,492,285 (773,420) 6,603,596 (96,979) 2,434,310 (106,970) 2,527,239 (593,391)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
(109,690) (6,080) (218,845) (27,780) (29,960) (9,945) (134,891) (74,860)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
20,137,555 21,769,260 68,452,356 7,976,496 22,406,981 7,090,962 16,619,287 15,846,454
(18,930,697) (11,394,273) (36,037,677) (3,888,173) (20,971,504) (3,784,153) (19,478,114) (8,154,456)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
1,206,858 10,374,987 32,414,679 4,088,323 1,435,477 3,306,809 (2,858,827) 7,691,998
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
5,589,453 9,595,487 38,799,430 3,963,564 3,839,827 3,189,894 (466,479) 7,023,747
16,571,531 6,976,044 5,943,811 1,980,247 9,167,291 5,977,397 10,801,101 3,777,354
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 22,160,984 $ 16,571,531 $ 44,743,241 $ 5,943,811 $ 13,007,118 $ 9,167,291 $ 10,334,622 $ 10,801,101
============ ============ ============ ============ ============ ============ ============ ============
$ 51,950 $ 6,020 $ 10 $ -- $ (7,732) $ -- $ 8,191 $ 9,762
============ ============ ============ ============ ============ ============ ============ ============
850,002 350,002 300,002 100,002 450,002 300,002 600,002 200,002
900,000 1,100,000 2,800,000 400,000 1,000,000 350,000 800,000 850,000
(850,000) (600,000) (1,500,000) (200,000) (950,000) (200,000) (950,000) (450,000)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
900,002 850,002 1,600,002 300,002 500,002 450,002 450,002 600,002
============ ============ ============ ============ ============ ============ ============ ============
See Notes to Financial Statements Page 101
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND - FEX
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 28.66 $ 28.38 $ 23.76 $ 19.60 $ 24.66
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.48 0.35 0.25 0.20 0.29
Net realized and unrealized gain (loss) 8.45 0.26 4.63 4.15 (5.06)
-------- -------- -------- -------- --------
Total from investment operations 8.93 0.61 4.88 4.35 (4.77)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.49) (0.33) (0.26) (0.19) (0.29)
-------- -------- -------- -------- --------
Net asset value, end of period $ 37.10 $ 28.66 $ 28.38 $ 23.76 $ 19.60
======== ======== ======== ======== ========
TOTAL RETURN (a) 31.41% 2.20% 20.54% 22.26% (19.18)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $500,829 $326,690 $273,861 $ 58,214 $ 13,720
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.66% 0.70% 0.70% 0.90% 1.17%
Ratio of net expenses to average net assets 0.66% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.47% 1.27% 1.04% 1.13% 1.63%
Portfolio turnover rate (b) 78% 95% 81% 91% 114%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND - FNX
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 34.19 $ 34.17 $ 27.10 $ 22.00 $ 26.30
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.42 0.21 0.12 0.16 0.21
Net realized and unrealized gain (loss) 10.71 0.01 7.09 5.10 (4.30)
-------- -------- -------- -------- --------
Total from investment operations 11.13 0.22 7.21 5.26 (4.09)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.37) (0.20) (0.14) (0.16) (0.21)
-------- -------- -------- -------- --------
Net asset value, end of period $ 44.95 $ 34.19 $ 34.17 $ 27.10 $ 22.00
======== ======== ======== ======== ========
TOTAL RETURN (a) 32.71% 0.66% 26.60% 23.94% (15.42)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $485,456 $294,075 $319,491 $ 56,919 $ 8,799
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.66% 0.70% 0.70% 0.90% 1.28%
Ratio of net expenses to average net assets 0.66% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.04% 0.63% 0.44% 0.73% 1.07%
Portfolio turnover rate (b) 81% 94% 86% 100% 120%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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
less than a year. In some years the total returns would have been lower if
certain fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 102 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST SMALL CAP CORE ALPHADEX(R) FUND - FYX
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 31.20 $ 30.93 $ 24.98 $ 20.77 $ 24.79
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.34 0.17 0.07 0.07 0.10
Net realized and unrealized gain (loss) 11.00 0.27 5.97 4.21 (4.02)
-------- -------- -------- -------- --------
Total from investment operations 11.34 0.44 6.04 4.28 (3.92)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.34) (0.17) (0.09) (0.07) (0.10)
-------- -------- -------- -------- --------
Net asset value, end of period $ 42.20 $ 31.20 $ 30.93 $ 24.98 $ 20.77
======== ======== ======== ======== ========
TOTAL RETURN (a) 36.58% 1.42% 24.20% 20.63% (15.77)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $289,082 $140,384 $117,530 $ 37,475 $ 8,307
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.74% 0.97% 1.40%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.87% 0.56% 0.24% 0.36% 0.49%
Portfolio turnover rate (b) 85% 101% 90% 97% 105%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND - FTA
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 28.11 $ 27.18 $ 23.24 $ 19.10 $ 23.16
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.58 0.40 0.32 0.34 0.47
Net realized and unrealized gain (loss) 8.66 0.93 3.93 4.14 (4.06)
-------- -------- -------- -------- --------
Total from investment operations 9.24 1.33 4.25 4.48 (3.59)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.57) (0.40) (0.31) (0.34) (0.47)
-------- -------- -------- -------- --------
Net asset value, end of period $ 36.78 $ 28.11 $ 27.18 $ 23.24 $ 19.10
======== ======== ======== ======== ========
TOTAL RETURN (a) 33.15% 4.96% 18.30% 23.53% (15.23)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $467,124 $247,370 $178,052 $ 49,958 $ 18,141
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.67% 0.70% 0.71% 0.88% 1.07%
Ratio of net expenses to average net assets 0.67% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.85% 1.56% 1.47% 1.73% 2.47%
Portfolio turnover rate (b) 69% 88% 76% 100% 146%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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
less than a year. In some years he total returns would have been lower if
certain fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 103
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND - FTC
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 28.54 $ 29.33 $ 23.91 $ 19.94 $ 26.57
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.30 0.24 0.17 0.06 0.14
Net realized and unrealized gain (loss) 7.75 (0.80) 5.43 3.96 (6.63)
-------- -------- -------- -------- --------
Total from investment operations 8.05 (0.56) 5.60 4.02 (6.49)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.33) (0.23) (0.18) (0.05) (0.14)
Return of capital -- -- -- -- (0.00) (a)
-------- -------- -------- -------- --------
Total distributions (0.33) (0.23) (0.18) (0.05) (0.14)
-------- -------- -------- -------- --------
Net asset value, end of period $ 36.26 $ 28.54 $ 29.33 $ 23.91 $ 19.94
======== ======== ======== ======== ========
TOTAL RETURN (b) 28.42% (1.89)% 23.43% 20.20% (24.38)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $170,419 $129,864 $139,322 $ 39,445 $ 13,960
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.72% 0.91% 1.01%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.88% 0.86% 0.59% 0.31% 0.54%
Portfolio turnover rate (c) 141% 162% 146% 168% 152%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND - FAB
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 29.93 $ 29.24 $ 24.61 $ 20.20 $ 23.23
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.51 0.36 0.32 0.37 0.29
Net realized and unrealized gain (loss) 10.16 0.69 4.64 4.39 (3.02)
-------- -------- -------- -------- --------
Total from investment operations 10.67 1.05 4.96 4.76 (2.73)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.50) (0.36) (0.33) (0.35) (0.30)
-------- -------- -------- -------- --------
Net asset value, end of period $ 40.10 $ 29.93 $ 29.24 $ 24.61 $ 20.20
======== ======== ======== ======== ========
TOTAL RETURN (b) 35.92% 3.62% 20.13% 23.65% (11.51)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 92,227 $ 47,882 $ 39,470 $ 20,917 $ 10,101
Ratios to average net assets:
Ratio of total expenses to average net assets 0.76% 0.80% 0.87% 0.94% 2.17%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 1.46% 1.24% 1.16% 1.45% 1.99%
Portfolio turnover rate (c) 70% 90% 74% 93% 134%
(a) Amount represents less than $0.01 per share.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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
less than a year. In some years the total returns would have been lower if
certain fees had not been waived and expenses reimbursed by the investment
advisor.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 104 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND - FAD
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
7/31/2013 7/31/2012 7/31/2011 7/31/2010 7/31/2009
------------- ------------- ------------- ------------- -------------
Net asset value, beginning of period $ 31.16 $ 31.66 $ 25.07 $ 20.78 $ 27.63
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.26 0.16 0.08 0.02 0.06
Net realized and unrealized gain (loss) 8.42 (0.51) 6.62 4.27 (6.84)
-------- -------- -------- -------- --------
Total from investment operations 8.68 (0.35) 6.70 4.29 (6.78)
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.25) (0.15) (0.11) -- (0.06)
Return of capital -- -- -- -- (0.01)
-------- -------- -------- -------- --------
Total distributions (0.25) (0.15) (0.11) -- (0.07)
-------- -------- -------- -------- --------
Net asset value, end of period $ 39.59 $ 31.16 $ 31.66 $ 25.07 $ 20.78
======== ======== ======== ======== ========
TOTAL RETURN (a) 28.01% (1.10)% 26.74% 20.64% (24.53)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 37,609 $ 29,606 $ 37,990 $ 7,520 $ 5,196
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.85% 0.85% 0.95% 1.40% 1.56%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to average
net assets 0.74% 0.48% 0.20% 0.08% 0.29%
Portfolio turnover rate (b) 147% 155% 149% 155% 153%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
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
less than a year. The total returns would have been lower if certain fees
had not been waived and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 105
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND - FNK
FOR THE PERIOD
FOR THE FOR THE 4/19/2011 (a)
YEAR ENDED YEAR ENDED THROUGH
7/31/2013 7/31/2012 7/31/2011
------------- ------------- -------------
Net asset value, beginning of period $ 19.74 $ 19.27 $ 20.06
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.25 0.15 0.04
Net realized and unrealized gain (loss) 6.89 0.47 (0.79)
-------- -------- --------
Total from investment operations 7.14 0.62 (0.75)
-------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.25) (0.15) (0.04)
-------- -------- --------
Net asset value, end of period $ 26.63 $ 19.74 $ 19.27
======== ======== ========
TOTAL RETURN (b) 36.37% 3.23% (3.75)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 21,302 $ 8,885 $ 1,927
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 0.96% 0.98% 0.74% (c)
Portfolio turnover rate (d) 66% 100% 14%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND - FNY
FOR THE PERIOD
FOR THE FOR THE 4/19/2011 (a)
YEAR ENDED YEAR ENDED THROUGH
7/31/2013 7/31/2012 7/31/2011
------------- ------------- -------------
Net asset value, beginning of period $ 19.50 $ 19.93 $ 20.17
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.18 0.02 (0.00) (e)
Net realized and unrealized gain (loss) 5.07 (0.44) (0.24)
-------- -------- --------
Total from investment operations 5.25 (0.42) (0.24)
-------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.01) --
-------- -------- --------
Net asset value, end of period $ 24.62 $ 19.50 $ 19.93
======== ======== ========
TOTAL RETURN (b) 27.05% (2.11)% (1.19)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 22,161 $ 16,572 $ 6,976
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 0.83% 0.11% (0.18)% (c)
Portfolio turnover rate (d) 156% 166% 48%
(a) Inception date.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(e) Amount represents less than $0.01 per share.
Page 106 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND - FYT
FOR THE PERIOD
FOR THE FOR THE 4/19/2011 (a)
YEAR ENDED YEAR ENDED THROUGH
7/31/2013 7/31/2012 7/31/2011
------------- ------------- -------------
Net asset value, beginning of period $ 19.81 $ 19.80 $ 19.97
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.20 0.14 0.03
Net realized and unrealized gain (loss) 8.15 0.01 (0.17)
-------- -------- --------
Total from investment operations 8.35 0.15 (0.14)
-------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.20) (0.14) (0.03)
-------- -------- --------
Net asset value, end of period $ 27.96 $ 19.81 $ 19.80
======== ======== ========
TOTAL RETURN (b) 42.34% 0.75% (0.70)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 44,743 $ 5,944 $ 1,980
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 1.32% 0.82% 0.57% (c)
Portfolio turnover rate (d) 104% 103% 15%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND - FYC
FOR THE PERIOD
FOR THE FOR THE 4/19/2011 (a)
YEAR ENDED YEAR ENDED THROUGH
7/31/2013 7/31/2012 7/31/2011
------------- ------------- -------------
Net asset value, beginning of period $ 20.37 $ 19.92 $ 20.08
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.05 0.02 (0.01)
Net realized and unrealized gain (loss) 5.66 0.46 (0.15)
-------- -------- --------
Total from investment operations 5.71 0.48 (0.16)
-------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.07) (0.03) --
-------- -------- --------
Net asset value, end of period $ 26.01 $ 20.37 $ 19.92
======== ======== ========
TOTAL RETURN (b) 28.14% 2.38% (0.80)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 13,007 $ 9,167 $ 5,977
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 0.17% 0.14% (0.36)% (c)
Portfolio turnover rate (d) 147% 162% 36%
(a) Inception date.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 107
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MEGA CAP ALPHADEX(R) FUND - FMK
FOR THE PERIOD
FOR THE FOR THE 5/11/2011 (a)
YEAR ENDED YEAR ENDED THROUGH
7/31/2013 7/31/2012 7/31/2011
------------- ------------- -------------
Net asset value, beginning of period $ 18.00 $ 18.89 $ 19.67
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.28 0.18 0.03
Net realized and unrealized gain (loss) 4.97 (0.90) (0.79)
-------- -------- --------
Total from investment operations 5.25 (0.72) (0.76)
-------- -------- --------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.28) (0.17) (0.02)
-------- -------- --------
Net asset value, end of period $ 22.97 $ 18.00 $ 18.89
======== ======== ========
TOTAL RETURN (b) 29.42% (3.78)% (3.88)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 10,335 $ 10,801 $ 3,777
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% (c)
Ratio of net investment income (loss) to average
net assets 1.32% 1.28% 0.77% (c)
Portfolio turnover rate (d) 135% 164% 52%
(a) Inception date.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 108 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds considered
either a Sector Fund or Style Fund, each type having a separate report. This
report covers the twelve Style Funds listed below. The shares of each Style Fund
are listed and traded on the NYSE Arca, Inc.
First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX")
First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX")
First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX")
First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA")
First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC")
First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB")
First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD")
First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK")
First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY")
First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT")
First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC")
First Trust Mega Cap AlphaDEX(R) Fund - (ticker "FMK")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Creation Units are issued and redeemed principally in-kind
for securities included in a Fund's relevant index. Except when aggregated in
Creation Units, shares are not redeemable securities of a Fund. 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:
FUND INDEX
First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index (1)
First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index (1)
First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index (1)
First Trust Large Cap Value AlphaDEX(R) Fund Defined Large Cap Value Index (1)
First Trust Large Cap Growth AlphaDEX(R) Fund Defined Large Cap Growth Index (1)
First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index (1)
First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index (1)
First Trust Mid Cap Value AlphaDEX(R) Fund Defined Mid Cap Value Index (1)
First Trust Mid Cap Growth AlphaDEX(R) Fund Defined Mid Cap Growth Index (1)
First Trust Small Cap Value AlphaDEX(R) Fund Defined Small Cap Value Index (1)
First Trust Small Cap Growth AlphaDEX(R) Fund Defined Small Cap Growth Index (1)
First Trust Mega Cap AlphaDEX(R) Fund Defined Mega Cap Index (1)
(1) This index is developed, maintained and sponsored by S&P Dow Jones Indices
LLC (licensee of Standard & Poor's Financial Services LLP "S&P"), and
licensed to First Trust Portfolios L.P. ("FTP"), the distributor of the
Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of the financial statements. The
preparation of the financial statements in accordance with accounting principles
generally accepted in the United States of America ("U.S. GAAP") requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. The NAV is calculated 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 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 in
accordance with valuation procedures adopted by the Trust's Board of Trustees
and in accordance with the 1940 Act. Each Fund's securities will be valued as
follows:
Page 109
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
Common stocks and other equity securities listed on any national or
foreign exchange (excluding the NASDAQ(R) Stock Market, LLC ("NASDAQ") and
the London Stock Exchange Alternative Investment Market ("AIM")) are
valued at the last sale price on the exchange on which they are
principally traded or, for NASDAQ and AIM securities, the official closing
price. Securities traded on more than one securities exchange are valued
at the last sale price or official closing price, as applicable, at the
close of the securities exchange representing the principal market for
such securities.
Securities traded in an over-the-counter market are valued at the closing
bid prices.
Short-term investments that mature in less than 60 days when purchased are
valued at amortized cost.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Board of Trustees or its delegate
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 pricing
service is unable to provide a market price; securities whose trading has been
formally suspended; a security whose market 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 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. The use of fair value prices by a Fund
generally results in prices used by the Fund that may differ from current market
quotations or official closing prices on the applicable exchange. A variety of
factors may be considered in determining the fair value of such securities,
including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in differences
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of July 31, 2013, is
included with each Fund's Portfolio of Investments.
Page 110
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. 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 agreement, the securities lending agent will
generally bear the risk that a borrower may default on its obligation to return
loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds'
securities lending agent and is responsible for executing the lending of the
portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities in
the form of fees or interest on the investment of any cash received as
collateral. The dividend and interest earned on the securities loaned is
accounted for in the same manner as other dividend and interest income. At July
31, 2013, only FNX and FYX have securities in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, the Funds sustain losses as a result of a borrower's
default, BBH indemnifies the Funds by purchasing replacement securities at its
expense, or paying the Funds an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
D. DIVIDENDS AND DISTRIBUTION TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from income and capital gains are determined in accordance with
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.
Page 111
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
The tax character of distributions paid by each Fund during the year ended July
31, 2013 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 5,612,506 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 3,248,026 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 1,727,336 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 5,792,326 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 1,334,966 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 915,936 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 240,635 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 159,085 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 109,690 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 218,845 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 29,960 -- --
First Trust Mega Cap AlphaDEX(R) Fund 134,891 -- --
The tax character of distributions paid by each Fund during the year ended July
31, 2012 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 3,513,526 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 1,639,580 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 765,930 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 3,138,591 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 1,045,280 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 533,761 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 134,015 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 63,030 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 6,080 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 27,780 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 9,945 -- --
First Trust Mega Cap AlphaDEX(R) Fund 74,860 -- --
As of July 31, 2013, the components of distributable earnings on a tax basis for
each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ----------------- ------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 243,413 $ (38,057,430) $ 62,322,962
First Trust Mid Cap Core AlphaDEX(R) Fund 593,008 (45,420,674) 58,802,230
First Trust Small Cap Core AlphaDEX(R) Fund -- (20,135,733) 35,516,227
First Trust Large Cap Value AlphaDEX(R) Fund 514,412 (21,947,447) 43,272,701
First Trust Large Cap Growth AlphaDEX(R) Fund -- (39,684,966) 22,880,252
First Trust Multi Cap Value AlphaDEX(R) Fund 54,340 (8,147,888) 8,430,038
First Trust Multi Cap Growth AlphaDEX(R) Fund 18,336 (11,478,253) 5,668,070
First Trust Mid Cap Value AlphaDEX(R) Fund 4,486 (716,318) 1,189,230
First Trust Mid Cap Growth AlphaDEX(R) Fund 51,950 (2,316,045) 2,652,692
First Trust Small Cap Value AlphaDEX(R) Fund 10 (421,449) 1,963,609
First Trust Small Cap Growth AlphaDEX(R) Fund -- (1,947,864) 1,646,480
First Trust Mega Cap AlphaDEX(R) Fund 8,191 (1,322,893) 675,212
E. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal or state income taxes. However, due to the
timing and amount of distributions, the Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of the Fund's taxable income exceeds
the distributions from such taxable income for the calendar year.
Page 112
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2010, 2011,
2012 and 2013 remain open to federal and state audit. As of July 31, 2013,
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 provisions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses arising for taxable years after December 22, 2010, may be
carried forward indefinitely, and their character is retained as short-term
and/or long-term losses. Previously, net capital losses were carried forward for
eight years and treated as short-term losses. As a transition rule, the Act
requires that post-enactment net capital losses be used before pre-enactment net
capital losses. At July 31, 2013, the Funds had pre-enactment and post-enactment
net capital losses for Federal income tax purposes as shown in the following
table. 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 Fund shareholders. The Funds are 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.
Capital Loss Capital Loss Capital Loss Capital Loss Capital Loss Post Total
Available Available Available Available Available Enactment - Capital
through through through through through No Loss
7/31/2015 7/31/2016 7/31/2017 7/31/2018 7/31/2019 Expiration Available
------------- ------------- ------------- ------------- ------------- ------------- -------------
First Trust Large Cap Core
AlphaDEX(R) Fund $ 15,102 $ 8,528 $ 2,600,275 $ 2,800,653 $ 1,020,863 $31,612,009 $38,057,430
First Trust Mid Cap Core
AlphaDEX(R) Fund 7,911 84,882 1,985,474 2,119,642 1,502,304 39,720,461 45,420,674
First Trust Small Cap Core
AlphaDEX(R) Fund 14,770 111,735 1,882,188 1,600,982 1,258,833 15,267,225 20,135,733
First Trust Large Cap
Value AlphaDEX(R) Fund 1,854 80,299 2,272,260 5,098,300 298,768 14,195,966 21,947,447
First Trust Large Cap Growth
AlphaDEX(R) Fund -- 162,514 10,217,162 3,224,180 1,803,151 24,277,959 39,684,966
First Trust Multi Cap Value
AlphaDEX(R) Fund 8,569 56,799 1,331,945 1,180,819 322,362 5,247,394 8,147,888
First Trust Multi Cap Growth
AlphaDEX(R) Fund 26,562 241,100 2,554,292 1,438,794 345,171 6,872,334 11,478,253
First Trust Mid Cap Value
AlphaDEX(R) Fund -- -- -- -- -- 716,318 716,318
First Trust Mid Cap Growth
AlphaDEX(R) Fund -- -- -- -- -- 2,316,045 2,316,045
First Trust Small Cap Value
AlphaDEX(R) Fund -- -- -- -- -- 421,449 421,449
First Trust Small Cap Growth
AlphaDEX(R) Fund -- -- -- -- -- 1,947,864 1,947,864
First Trust Mega Cap
AlphaDEX(R) Fund -- -- -- -- -- 1,322,893 1,322,893
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for Federal
income tax purposes. For the fiscal year ended July 31, 2013, the following Fund
incurred and elected to defer net ordinary losses as follows:
Qualified Late Year Losses
Ordinary Losses
-------------------
First Trust Small Cap Growth AlphaDEX(R) Fund $ 7,732
In order to present paid-in capital and accumulated net realized gain (loss) on
investments on the Statements of Assets and Liabilities that more closely
represent their tax character, certain adjustments have been made to paid-in
capital, accumulated net investment income (loss) and accumulated net realized
gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended July 31, 2013, the adjustments for each Fund were as follows:
Page 113
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
---------------- ---------------- ----------------
First Trust Large Cap Core AlphaDEX(R) Fund $ -- $(48,252,665) $ 48,252,665
First Trust Mid Cap Core AlphaDEX(R) Fund -- (46,463,221) 46,463,221
First Trust Small Cap Core AlphaDEX(R) Fund 42,463 (29,993,046) 29,950,583
First Trust Large Cap Value AlphaDEX(R) Fund -- (43,950,433) 43,950,433
First Trust Large Cap Growth AlphaDEX(R) Fund 39,721 (24,394,304) 24,354,583
First Trust Multi Cap Value AlphaDEX(R) Fund -- (9,753,578) 9,753,578
First Trust Multi Cap Growth AlphaDEX(R) Fund -- (5,648,944) 5,648,944
First Trust Mid Cap Value AlphaDEX(R) Fund -- (3,208,963) 3,208,963
First Trust Mid Cap Growth AlphaDEX(R) Fund -- (2,645,704) 2,645,704
First Trust Small Cap Value AlphaDEX(R) Fund 30 (4,201,852) 4,201,822
First Trust Small Cap Growth AlphaDEX(R) Fund 3,342 (2,087,062) 2,083,720
First Trust Mega Cap AlphaDEX(R) Fund -- (2,121,718) 2,121,718
F. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund, except for the First Trust Mid CapValue AlphaDEX(R) Fund,
First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value
AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund and First Trust
Mega Cap AlphaDEX(R) Fund (the "Unitary Fee Funds"), for which expenses other
than excluded expenses (discussed in Note 3) are paid by First Trust Advisors
L.P. ("First Trust" or the "Advisor"). General expenses of the Trust are
allocated to all the Funds based upon the net assets of each Fund.
FTP has entered into licensing agreements with Standard & Poor's for each of the
Style Funds. The license agreements allow for the use by FTP of certain
trademarks and tradenames. The Funds and First Trust are sub-licensees to the
applicable license agreement. The Funds, except for the Unitary Fee Funds, are
required to pay licensing fees, which are shown on the Statements of Operations.
The licensing fees for the Unitary Fee Funds are paid by First Trust from the
unitary investment advisory fees it receives from each of these Funds.
G. ACCOUNTING PRONOUNCEMENT
In December 2011, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). This disclosure requirement is 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. ASU
2011-11 requires entities to disclose both gross and net information about both
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. In addition, in January 2013, FASB issued Accounting
Standards Update No. 2013-1 "Clarifying the Scope of Offsetting Assets and
Liabilities" ("ASU 2013-1"), specifying which transactions are subject to
offsetting disclosures. The scope of the disclosure requirements is limited to
derivative instruments, repurchase agreements and reverse repurchase agreements,
and securities borrowing and securities lending transactions. ASU 2011-11 and
ASU 2013-1 are effective for financial statements with fiscal years beginning on
or after January 1, 2013, and interim periods within those fiscal years.
Management is currently evaluating the impact of the updated standards on the
Funds' financial statements, if any.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For the Unitary Fee Funds, First Trust is paid an annual unitary management fee
of 0.70% of such Fund's average daily net assets and is responsible for the
expenses of such Fund including the cost of transfer agency, custody, fund
administration, legal, audit and other services, and excluding distribution and
service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, taxes,
interest, and extraordinary expenses.
For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core
AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large
Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First
Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of such
Fund's average daily net assets. For such Funds, the Trust and First Trust have
entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement
("Recovery Agreement") in which the Advisor has agreed to waive fees and/or
reimburse Fund expenses to the extent that the operating expenses of each such
Fund (excluding interest expense, brokerage
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
commissions and other trading expenses, taxes and extraordinary expenses) exceed
0.70% of average daily net assets per year (the "Expense Cap"). These Funds will
have the Expense Cap in effect until at least November 30, 2014.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee was waived or expense was incurred, but no reimbursement payment will be
made by a Fund if it results in the Fund exceeding an expense ratio equal to the
Expense Cap in place at the time the expenses were reimbursed or fees waived by
First Trust. These amounts are included in "Expenses previously waived or
reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the year ended July 31,
2013 and the expenses borne by the Advisor subject to recovery from each Fund
for the periods indicated were as follows:
Expenses Borne by Advisor Subject to Recovery
----------------------------------------------------------
Advisory Expense Year Year Year
Fee Reim- Ended Ended Ended
Waivers bursements 7/31/2011 7/31/2012 7/31/2013 Total
---------- ---------- ------------- ------------- ------------- -------------
First Trust Small Cap Core AlphaDEX(R) Fund $ -- $ -- $ 31,316 $ -- $ -- $ 31,316
First Trust Large Cap Growth AlphaDEX(R) Fund -- -- 16,307 -- -- 16,307
First Trust Multi Cap Value AlphaDEX(R) Fund 36,873 -- 48,799 44,672 36,873 130,344
First Trust Multi Cap Growth AlphaDEX(R) Fund 49,813 -- 48,197 44,292 49,813 142,302
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the servicing agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
the Trust. As custodian, BNYM is responsible for custody of the Trust's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of the Trust's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for the Trust. BNYM is a
subsidiary of the Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer of $125,000 per year and an annual per fund fee of $4,000 for each
closed-end fund or other actively managed fund and $1,000 for each index fund in
the First Trust Fund Complex. The fixed annual retainer is allocated pro rata
among each fund in the First Trust Fund Complex based on net assets.
Additionally, the Lead Independent Trustee is paid $15,000 annually, the
Chairman of the Audit Committee is paid $10,000 annually, and each of the
Chairmen of the Nominating and Governance Committee and the Valuation Committee
is paid $5,000 annually to serve in such capacities, with such compensation
allocated pro rata among each fund in the First Trust Fund Complex based on net
assets. Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and each Committee
Chairman will serve two-year terms until December 31, 2013, before rotating to
serve as Chairman of another Committee or as Lead Independent Trustee. After
December 31, 2013, the Lead Independent Trustee and Committee Chairmen will
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 year ended July 31, 2013, the cost of purchases and proceeds from sales
of investment securities for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 295,679,867 $ 295,952,585
First Trust Mid Cap Core AlphaDEX(R) Fund 293,542,251 292,706,992
First Trust Small Cap Core AlphaDEX(R) Fund 164,697,137 164,513,605
First Trust Large Cap Value AlphaDEX(R) Fund 226,331,993 226,146,196
First Trust Large Cap Growth AlphaDEX(R) Fund 190,534,244 190,488,577
First Trust Multi Cap Value AlphaDEX(R) Fund 45,047,618 45,018,641
First Trust Multi Cap Growth AlphaDEX(R) Fund 48,448,489 48,418,908
First Trust Mid Cap Value AlphaDEX(R) Fund 11,152,243 11,112,552
First Trust Mid Cap Growth AlphaDEX(R) Fund 29,338,176 29,304,386
First Trust Small Cap Value AlphaDEX(R) Fund 17,393,560 17,326,495
First Trust Small Cap Growth AlphaDEX(R) Fund 16,949,493 17,034,375
First Trust Mega Cap AlphaDEX(R) Fund 13,348,295 13,348,713
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
For the year ended July 31, 2013, the cost of in-kind purchases and proceeds
from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 344,644,353 $ 267,584,336
First Trust Mid Cap Core AlphaDEX(R) Fund 351,513,751 257,395,419
First Trust Small Cap Core AlphaDEX(R) Fund 226,536,881 136,113,636
First Trust Large Cap Value AlphaDEX(R) Fund 372,064,909 240,815,016
First Trust Large Cap Growth AlphaDEX(R) Fund 170,844,138 162,310,817
First Trust Multi Cap Value AlphaDEX(R) Fund 76,374,877 50,914,859
First Trust Multi Cap Growth AlphaDEX(R) Fund 31,840,974 31,850,717
First Trust Mid Cap Value AlphaDEX(R) Fund 39,023,304 30,921,581
First Trust Mid Cap Growth AlphaDEX(R) Fund 20,128,794 18,921,465
First Trust Small Cap Value AlphaDEX(R) Fund 68,344,302 35,995,936
First Trust Small Cap Growth AlphaDEX(R) Fund 22,399,840 20,868,634
First Trust Mega Cap AlphaDEX(R) Fund 16,601,326 19,645,044
5. CREATION, REDEMPTION & TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares. Such transactions are generally permitted on an
in-kind basis, with a balancing cash component to equate the transaction to the
daily NAV per share of each Fund on the transaction date times the number of
shares in a Creation Unit. Purchasers of Creation Units must pay to BNYM, as
transfer agent, a standard creation transaction fee (the "Creation Transaction
Fee"), which is based on the number of different securities in a Creation Unit
of each Fund according to the fee schedule set forth below:
Number of Securities Creation
in a Creation Unit Transaction Fee
------------------------- -----------------
1-100 $ 500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
The Creation Transaction Fee is applicable to each purchase transaction
regardless of the number of Creation Units purchased in the transaction. An
additional variable fee of up to three times the Creation Transaction Fee may be
charged to approximate additional expenses incurred by a Fund with respect to
transactions effected outside of the clearing process (i.e., through a DTC
Participant) or to the extent that cash is used in lieu of securities to
purchase Creation Units. The price for each Creation Unit will equal the daily
NAV per share of a Fund on the transaction date times the number of shares in a
Creation Unit plus the fees described above and, if applicable, any transfer
taxes.
Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard
redemption transaction fee (the "Redemption Transaction Fee"), which is based on
the number of different securities in a Creation Unit of each Fund according to
the fee schedule set forth below:
Number of Securities Redemption
in a Creation Unit Transaction Fee
------------------------- -----------------
1-100 $ 500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
The Redemption Transaction Fee is applicable to each redemption transaction
regardless of the number of Creation Units redeemed in the transaction. An
additional variable fee of up to three times the Redemption Transaction Fee may
be charged to approximate additional expenses incurred by a Fund with respect to
redemptions effected outside of the clearing process or to the extent that
redemptions are for cash. Each Fund reserves the right to effect redemptions in
cash. A shareholder may request cash redemption in lieu of securities; however,
a Fund may, in its discretion, reject any such request.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013
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, the Funds will not pay 12b-1 fees any time before November 30,
2014.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
We have audited the accompanying statements of assets and liabilities of First
Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R)
Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value
AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust
Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund,
First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth
AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust
Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund,
each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Fund"),
including the portfolios of investments, as of July 31, 2013, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the periods presented. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
The Fund is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of July 31, 2013 by correspondence with the Fund's
custodian and brokers; where replies were not received, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the funds listed above included in the First Trust Exchange-Traded
AlphaDEX(R) Fund as of July 31, 2013, 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 periods
presented, in conformity with accounting principles generally accepted in the
United States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 20, 2013
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013 (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 12-months ended June 30 is available (1)
without charge, upon request, by calling (800) 988-5891; (2) on the Trust's
website located at http://www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Trust files its complete schedule of each Fund's portfolio holdings with the
SEC for the first and third quarters of each fiscal year on Form N-Q. The
Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the
Trust's website located at http://www.ftportfolios.com; (3) on the SEC's website
at http://www.sec.gov; and (4) for review and copying at the SEC's Public
Reference Room ("PRR") in Washington, DC. Information regarding the operation of
the PRR may be obtained by calling (800) SEC-0330.
FEDERAL TAX INFORMATION
For the taxable year ended July 31, 2013, the following percentages of income
dividend paid by the Funds qualified for the dividends received deduction
available to corporations:
Dividends Received Deduction
---------------------------------
First Trust Large Cap Core AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Core AlphaDEX(R) Fund 100.00%
First Trust Small Cap Core AlphaDEX(R) Fund 100.00%
First Trust Large Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Large Cap Value AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Value AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Value AlphaDEX(R) Fund 100.00%
First Trust Small Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Small Cap Value AlphaDEX(R) Fund 100.00%
First Trust Mega Cap AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2013, the following percentages of income
dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income
---------------------------------
First Trust Large Cap Core AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Core AlphaDEX(R) Fund 100.00%
First Trust Small Cap Core AlphaDEX(R) Fund 100.00%
First Trust Large Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Large Cap Value AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Value AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Value AlphaDEX(R) Fund 100.00%
First Trust Small Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Small Cap Value AlphaDEX(R) Fund 87.02%
First Trust Mega Cap AlphaDEX(R) Fund 100.00%
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013 (UNAUDITED)
ADVISORY AGREEMENT
Board Considerations Regarding Approval of Investment Management Agreement
The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the
"Trust"), including the Independent Trustees, unanimously approved the
continuation of the Investment Management Agreement (the "Agreement") with First
Trust Advisors L.P. (the "Advisor") on behalf of the following twelve series of
the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)
First Trust Mega Cap AlphaDEX(R) Fund (FMK)
The Board approved the continuation of the Agreement for a one-year period
ending March 31, 2014, for each Fund at a meeting held on March 10-11, 2013. The
Board of Trustees determined for each Fund that the continuation of the
Agreement is in the best interests of the Fund in light of the extent and
quality of services provided and such other matters as the Board considered to
be relevant in the exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. To assist the Board in its evaluation of the Agreement for
each Fund, the Independent Trustees received a report in advance of the Board
meeting responding to a request for information from counsel to the Independent
Trustees. The report, among other things, outlined the services provided by the
Advisor to each Fund (including the relevant personnel responsible for these
services and their experience); the advisory fee or unitary fee for each Fund as
compared to fees charged to a peer group of funds (all of which were
exchange-traded funds or "ETFs") compiled by Lipper Inc. ("Lipper"), an
independent source (the "Lipper Expense Group"), and as compared to fees charged
to other clients of the Advisor with similar investment objectives and to other
ETFs managed by the Advisor; expenses of each Fund compared to expense ratios of
the funds in the Fund's Lipper Expense Group; the nature of expenses incurred in
providing services to each Fund and the potential for economies of scale, if
any; financial data on the Advisor; fall-out benefits to the Advisor and its
affiliate, First Trust Portfolios L.P.; and a summary of the Advisor's
compliance program. Following receipt of this information, counsel to the
Independent Trustees posed follow-up questions to the Advisor, and the
Independent Trustees and their counsel then met separately to discuss the
information provided by the Advisor, including the supplemental responses. The
Board applied its business judgment to determine whether the arrangement between
the Trust and the Advisor is a reasonable business arrangement from each Fund's
perspective as well as from the perspective of shareholders. The Board
considered that shareholders chose to invest or remain invested in a Fund
knowing that the Advisor manages the Fund and knowing the Fund's investment
advisory fee or unitary fee.
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of services provided under the Agreement. The Board
considered that the Advisor is responsible for the overall management and
administration of the Trust and each Fund and reviewed all the services provided
by the Advisor to the Funds. The Board also considered the background and
experience of the persons responsible for the day-to-day management of the
Funds. The Board considered the compliance program that had been developed by
the Advisor and the procedures in place to monitor each Fund's investment
program. In light of the information presented and the considerations made, the
Board concluded that the nature, extent and quality of services provided to the
Trust and each Fund by the Advisor under the Agreement have been and are
expected to remain satisfactory and that the Advisor has managed each Fund
consistent with its investment objective and policies.
For FEX, FNX, FYX, FAD, FAB, FTC and FTA (the "Non-Unitary Fee Funds"), the
Board considered the advisory fees payable by each Non-Unitary Fee Fund under
the Agreement. The Board considered that the Advisor agreed to extend the
current expense cap for each Non-Unitary Fee Fund through November 30, 2014. For
each Non-Unitary Fee Fund, the Board noted that expenses borne or fees waived by
the Advisor are to be subject to reimbursement by the Non-Unitary Fee Fund for
up to three years from the date the fee was waived or expense was incurred, but
no reimbursement payment would be made by the Non-Unitary Fee Fund if it would
result in the Non-Unitary Fee Fund exceeding an expense ratio equal to the
expense cap in place at the time the expenses were borne or fees
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013 (UNAUDITED)
waived by the Advisor. The Board considered the advisory fees charged by the
Advisor to other First Trust ETFs not paying a unitary fee and other advisory
clients with investment objectives and policies similar to the Funds', noting
that those fees generally were similar to the advisory fees charged to the
Funds.
For FNK, FNY, FYT, FYC and FMK (the "Unitary Fee Funds"), the Board considered
the unitary fee payable by each Unitary Fee Fund under the Agreement, noting
that each Unitary Fee Fund pays the Advisor a fee equal to an annual rate of
0.70% of its average daily net assets and that the Advisor is responsible for
each Unitary Fee Fund's expenses, including the cost of transfer agency,
custody, fund administration, legal, audit, licensing and other services, but
excluding interest, taxes, brokerage commissions and other expenses connected
with the execution of portfolio transactions, service fees and distribution fees
pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Board
compared each Unitary Fee Fund's unitary fee to the total expense ratios (after
fee waivers and/or expense reimbursements, if any) of other First Trust ETFs,
including First Trust ETFs that pay a unitary fee, and to the advisory fees
charged by the Advisor to other advisory clients with investment objectives and
policies similar to the Funds'.
The Board also reviewed data prepared by Lipper showing the advisory fees and
expense ratios of each Non-Unitary Fee Fund and the unitary fee for each Unitary
Fee Fund as compared to each Fund's Lipper Expense Group. Because each
Non-Unitary Fee Fund's Lipper Expense Group included peer funds that pay a
unitary fee and because not all of the peer funds in the Unitary Fee Funds'
Lipper Expense Groups pay a unitary fee, the Board determined that expense
ratios were the more relevant data point. Based on the information provided, the
Board noted that the total (net) expense ratio of each Non-Unitary Fee Fund and
the unitary fee for each Unitary Fee Fund was above the median total expense
ratio of the peer funds in each Fund's respective Lipper Expense Group. The
Independent Trustees discussed with representatives of the Advisor the Advisor's
philosophy regarding expense ratios/unitary fees of ETFs it manages, and the
limitations in creating a relevant peer group for each Fund, including that (i)
some of the Funds are unique in their composition, which makes assembling peers
with similar strategies and asset mix difficult and (ii) differences in the net
assets of the peer funds as compared to the Funds caused the Funds' fixed
expenses to differ on a percentage basis as compared to the peer funds and in
some instances caused otherwise relevant peer funds to be omitted from a Fund's
peer group. The Board took these limitations into account in considering the
Lipper data.
The Board considered performance information for each Fund, noting that the
performance information included each Fund's quarterly performance report, which
is part of the process that the Board has established for monitoring each Fund's
performance on an ongoing basis. The Board determined that this process
continues to be effective for reviewing each Fund's performance. The Board also
considered information regarding the performance of each Fund's underlying
index, the correlation between each Fund's performance and that of its
underlying index, the Fund's tracking error and the Fund's excess return as
compared to a benchmark index. Based on the information provided and its ongoing
review of performance, the Board concluded that each Fund was correlated to its
underlying index and that the tracking error for each Fund was consistent with
the target set forth in the Fund's prospectus. In addition, the Board reviewed
data prepared by Lipper comparing each Fund's performance to a peer group
selected by Lipper (the "Lipper Performance Group") and to a broad-based
benchmark. In reviewing each Fund's performance as compared to the performance
of the Fund's Lipper Performance Group, the Board took into account the
limitations described above with respect to creating relevant peer groups for
the Funds.
On the basis of all the information provided on the fees, expenses and
performance of each Fund, the Board concluded that the advisory fee or unitary
fee for each Fund was reasonable and appropriate in light of the nature, extent
and quality of services provided by the Advisor to each Fund under the
Agreement.
The Board noted that the Advisor has continued to invest in personnel and
infrastructure and considered whether fee levels reflect any economies of scale
for the benefit of shareholders. The Board considered the Advisor's statement
that no material economies of scale exist at current Fund asset levels. For the
Unitary Fee funds, the Board noted that any reduction in fixed costs associated
with the management of the Unitary Fee Funds would benefit the Advisor, but that
the unitary fee structure provides certainty in expenses for the Unitary Fee
Funds. The Board also considered the costs of the services provided and profits
realized by the Advisor from serving as investment advisor to each Fund for the
twelve months ended December 31, 2012, as set forth in the materials provided to
the Board. Based on the information provided, the Board concluded that the
pre-tax profits (if any) estimated to have been realized by the Advisor in
connection with the management of each Fund for calendar year 2012 were not
unreasonable. The Board considered that the Advisor had identified as a fall-out
benefit to the Advisor and First Trust Portfolios L.P. their exposure to
investors and brokers who, in the absence of the Funds, may have had no dealings
with the Advisor, and noted that the Advisor does not utilize soft dollars in
connection with its management of the Funds' portfolios.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of the Trust and each Fund. No single
factor was determinative in the Board's analysis.
Page 121
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013 (UNAUDITED)
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT
OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN
DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://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. FOR ADDITIONAL INFORMATION ABOUT THE
RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF
ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE
DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE
DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND.
The following summarizes some of the risks that should be considered for the
Funds.
Each Fund's shares will change in value, and you could lose money by investing
in a Fund. Shares are subject to market fluctuations caused by such factors as
economic, political, regulatory or market developments, changes in interest
rates and perceived trends in stock prices. Overall stock values could decline
generally or could underperform other investments. Overall stock market values
could decline generally or could underperform other investments.
An investment in a Fund involves risks similar to those of investing in any fund
of equity securities traded on an exchange. Investors buying or selling Fund
shares on the secondary market may incur brokerage commissions. In addition,
investors who sell Fund shares may receive less than the Fund shares' net asset
value. Unlike shares of open-end mutual funds, investors are generally not able
to purchase ETF shares directly from a Fund and individual ETF shares are not
redeemable. However, specified large blocks of ETF shares called creation units
can be purchased from, or redeemed to, a Fund.
Each Fund is subject to index tracking risk. You should anticipate that the
value of each Fund's shares will decline, more or less, in correlation with any
decline in the value of that Fund's corresponding index.
Each Fund's return may not match the return of the index it seeks to track for a
number of reasons. While First Trust seeks to have a correlation of 0.95 or
better, before expenses, between a Fund's performance and the performance of its
corresponding index, there can be no assurance that a Fund will be able to
achieve such a correlation. Accordingly, each Fund's performance may correlate
to a lesser extent and may possibly vary substantially from the performance of
its corresponding index.
Each Fund is exposed to additional market risk due to its policy of investing
principally in the securities included in its corresponding index. As a result
of this policy, securities held by each Fund will generally not be bought or
sold in response to market fluctuations and the securities may be issued by
companies concentrated in a particular industry. As a result, the Funds will
generally not sell a stock because the stock's issuer is in financial trouble,
unless that stock is removed or is anticipated to be removed from the index the
Fund seeks to track.
Each Fund relies on a license and related sublicense from an index provider that
permits it to use its corresponding index and associated trade names, trademarks
and service marks in connection with the name and investment strategies of the
Fund. Such license and related sublicense may be terminated by the index
provider and, as a result, a Fund may lose its ability to use such intellectual
property. There is no guarantee the index provider has all the rights to license
such intellectual property on behalf of the Fund. In the event the license is
terminated or the index provider does not have rights to license such
intellectual property, it may have a significant effect on the operation of the
respective Fund.
Each Fund is subject to issuer specific change risk. The value of an individual
security or particular type of security can be more volatile than the market as
a whole and can perform differently from the value of the market as a whole.
Each Fund may be concentrated in stocks of companies in an individual industry
if the Fund's corresponding index is concentrated in such industry. A
concentration makes a Fund more susceptible to any single occurrence affecting
the industry and may subject a Fund to greater market risk than more diversified
funds.
Each Fund is considered to be non-diversified. As a result, each Fund is exposed
to additional market risk. A non-diversified fund may invest a relatively high
percentage of its assets in a limited number of issuers. As a result, changes in
the market value of a single portfolio security could cause greater fluctuations
in share price than would occur in a diversified fund. Furthermore,
non-diversified funds are more susceptible to any single political, regulatory
or economic occurrence.
Each Fund is not actively managed. A Fund may be affected by a general decline
in certain market segments relating to a Fund's corresponding index. A Fund
invests in securities included in or representative of its corresponding index
regardless of its investment merit. A Fund generally will not attempt to take
defensive positions in declining markets.
The First Trust Multi Cap Value AlphaDEX(R) Fund, the First Trust Multi Cap
Growth AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the
First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Value
AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First
Trust Small Cap Value AlphaDEX(R) Fund and the First Trust Small Cap Growth
Page 122
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2013 (UNAUDITED)
AlphaDEX(R) Fund may invest in small capitalization and/or mid capitalization
companies. Such companies may be more vulnerable to adverse general market or
economic developments, and their securities may be less liquid and may
experience greater price volatility than larger, more established companies as a
result of several factors, including limited trading volumes, products or
financial resources, management inexperience and less publicly available
information. Accordingly, such companies are generally subject to greater market
risk than larger, more established companies.
The First Trust Large Cap Value AlphaDEX(R) Fund and the First Trust Multi Cap
Value AlphaDEX(R) Fund invest with a value-oriented investment style and may not
be successful in realizing their respective investment objectives. Value
companies may have experienced adverse business developments or may be subject
to special risks that cause their securities to be out of favor, may never reach
what may be their full value or may go down in price.
The First Trust Large Cap Growth AlphaDEX(R) Fund and the First Trust Multi Cap
Growth AlphaDEX(R) Fund invest with a growth-oriented investment style and may
not be successful in realizing their respective investment objectives.
Securities of growth companies may experience significant fluctuations in price
in response to economic, political, regulatory, company specific, sector or
market developments, changes in perceptions or interest rate changes.
Each of the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap
Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the
First Trust Large Cap Value AlphaDEX(R) Fund, the First Trust Large Cap Growth
AlphaDEX(R) Fund, the First Trust Mid Cap Value AlphaDEX(R) Fund, the First
Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value
AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund and the
First Trust Mega Cap AlphaDEX(R) Fund normally invests at least 90% of its
assets in common stocks that comprise the Index upon which it is based. The
securities of companies represented in the Index upon which each Fund is based
generally have market capitalizations that are consistent with the name of the
Index. For purposes of determining the market capitalization range of such
securities, the Fund will use the current range of the Index upon which it is
based. However, the Fund will not be forced to sell a stock because the stock
has exceeded or fallen below the current market capitalization range of the
Index. Because of market movement, there can be no assurance that the securities
in a Fund will stay within a given market capitalization range. As a result,
each Fund may be exposed to additional risk or may not give investors the
opportunity to invest fully in a given market capitalization range.
Inflation risk is the risk that the value of assets or income from investments
will be less in the future as inflation decreases the value of money. As
inflation increases, the value of a Fund's assets can decline as can the value
of a Fund's distributions. Common stock prices may be particularly sensitive to
rising interest rates, as the cost of capital rises and borrowing costs
increase.
The Funds may invest in non-U.S. securities publicly traded in the United
States. Securities issued by non-U.S. companies present risks beyond those of
securities of U.S. issuers. Risks of investing in non-U.S. securities include:
different accounting standards; expropriation, nationalization or other adverse
political or economic developments; currency devaluation, blockages or transfer
restrictions; changes in non-U.S. currency exchange rates; taxes; restrictions
on non-U.S. investments and exchange of securities; and less government
supervision and regulation of issuers in non-U.S. countries. Prices of non-U.S.
securities also may be more volatile.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 123
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2013 (UNAUDITED)
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.
Number of
Portfolios in
Term of Office the First Trust Other
Name, Address, and Year First Fund Complex Trusteeships or
Date of Birth and Elected or Principal Occupations Overseen by Directorships
Position with the Trust Appointed During Past 5 Years Trustee Held by Trustee
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton 103 None
c/o First Trust Advisors L.P. Orthopedics; Limited Partner
120 E. Liberty Drive, o Since Inception Gundersen Real Estate Limited
Suite 400 Partnership; Member, Sportsmed LLC
Wheaton, IL 60187
D.O.B.: 04/51
Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to Present), Senior 103 Director of ADM
c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services,
120 E. Liberty Drive, o Since Inception (May 2007 to March 2010), ADM Investor Inc. and ADM
Suite 400 Services, Inc. (Futures Commission Investor Services,
Wheaton, IL 60187 Merchant) International
D.O.B.: 11/57
Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 103 None
c/o First Trust Advisors L.P. Enterprises (Financial and Management
120 E. Liberty Drive, o Since Inception Consulting)
Suite 400
Wheaton, IL 60187
D.O.B.: 11/56
Niel B. Nielson, Trustee o Indefinite Term President and Chief Executive Officer 103 Director of
c/o First Trust Advisors L.P. (June 2012 to Present), Dew Learning LLC Covenant
120 E. Liberty Drive, o Since Inception (Educational Products and Services); Transport Inc.
Suite 400 President (June 2002 to June 2012),
Wheaton, IL 60187 Covenant College
D.O.B.: 03/54
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer (December 2010 103 None
Chairman of the Board to Present), President (until December
120 E. Liberty Drive, o Since Inception 2010), First Trust Advisors L.P. and
Suite 400 First Trust Portfolios L.P.; Chairman of
Wheaton, IL 60187 the Board of Directors, BondWave LLC
D.O.B.: 09/55 (Software Development Company/
Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)
-------------------
1 Mr. Bowen is deemed an "interested person" of the Trust due to his position
as President of First Trust Advisors L.P., investment advisor of the Trust.
Page 124
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2013 (UNAUDITED)
Position and Term of Office
Name, Address Offices and Length of Principal Occupations
and Date of Birth with Trust Service During Past 5 Years
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS WHO ARE NOT TRUSTEES(2)
------------------------------------------------------------------------------------------------------------------------------------
Mark R. Bradley President and Chief Executive o Indefinite Term Chief Operating Officer (December 2010 to Present)
120 E. Liberty Drive, Officer and Chief Financial Officer, First Trust Advisors
Suite 400 o President and Chief L.P. and First Trust Portfolios L.P.; Chief Financial
Wheaton, IL 60187 Executive Officer Officer, BondWave LLC (Software Development Company/
D.O.B.: 11/57 Since January 2012 Investment Advisor) and Stonebridge Advisors LLC
(Investment Advisor)
o Treasurer, Chief
Financial Officer
and Chief Accounting
Officer from
Inception to
January 2012
James M. Dykas Treasurer, Chief Financial o Indefinite Term Controller (January 2011 to Present), Senior Vice
120 E. Liberty Drive, Officer and Chief President (April 2007 to January 2011), First
Suite 400 Accounting Officer o Treasurer, Chief Trust Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187 Financial Officer
D.O.B.: 01/66 and Chief Accounting
Officer Since
January 2012
o Assistant Treasurer
from December 2005
to January 2012
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and
120 E. Liberty Drive, Legal Officer First Trust Portfolios L.P.; Secretary, BondWave
Suite 400 o Since Inception LLC (Software Development Company/Investment Advisor)
Wheaton, IL 60187 and Stonebridge Advisors LLC (Investment Advisor)
D.O.B.: 05/60
Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
120 E. Liberty Drive, and First Trust Portfolios L.P.
Suite 400 o Since Inception
Wheaton, IL 60187
D.O.B.: 02/70
Kristi A. Maher Assistant Secretary and o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
120 E. Liberty Drive, Chief Compliance Officer and First Trust Portfolios L.P.
Suite 400 o Assistant Secretary
Wheaton, IL 60187 Since Inception
D.O.B.: 12/66
o Chief Compliance
Officer Since
January 2011
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
120 E. Liberty Drive, and First Trust Portfolios L.P.
Suite 400 o Since Inception
Wheaton, IL 60187
D.O.B.: 06/66
Stan Ueland Vice President o Indefinite Term Senior Vice President (September 2012 to Present)
120 E. Liberty Drive, Vice President (August 2005 to September 2012),
Suite 400 o Since Inception First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 Portfolios L.P.
D.O.B.: 11/70
-------------------
2 The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 125
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PRIVACY POLICY
--------------------------------------------------------------------------------
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information with affiliates of the Fund.
PRIVACY ONLINE
We allow third-party companies, including AddThis (a social media sharing
service), to collect certain anonymous information when you visit our website.
These companies may use non-personally identifiable information during your
visits to this and other websites in order to provide advertisements about goods
and services likely to be of greater interest to you. These companies typically
use a cookie, third party web beacon or pixel tags, to collect this information.
To learn more about this behavioral advertising practice, you can visit
www.networkadvertising.org.
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).
Page 126
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
--------------------------------------------------------------------------------
[BLANK BACK COVER]
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report,
has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by
the registrant or a third party.
(c) There have been no amendments, during the period covered by this
report, to a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial
officer, principal accounting officer or controller, or persons
performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party, and
that relates to any element of the code of ethics description.
(d) The registrant, during the period covered by this report, has not
granted any waivers, including an implicit waiver, from a provision
of the code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the
registrant or a third party, that relates to one or more of the
items set forth in paragraph (b) of this item's instructions.
(e) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of
trustees has determined that Thomas
R. Kadlec and Robert F. Keith are qualified to serve as audit committee
financial experts serving on its audit committee and that each of them is
"independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the
last two fiscal years for professional services rendered by the principal
accountant for the audit of the registrant's annual financial statements or
services that are normally provided by the accountant in connection with
statutory and regulatory filings or engagements were $430,500 for 2012 and
$420,000 for 2013.
(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 2012 and $0 for 2013.
Audit-Related Fees (Investment Adviser 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 2012 and $0 for 2013.
(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
$68,250.00 for 2012 and $68,250.00 for 2013. These fees were for tax
consultation.
Tax Fees (Investment Adviser 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 adviser and distributor were $0 for 2012 and $0 for 2013.
(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 2012 and $0 for 2013.
All Other Fees (Investment Adviser 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 adviser and
distributor, other than the services reported in paragraphs (a) through (c) of
this Item were $0 for 2012 and $0 for 2013 for the Adviser and $0 for 2012 and
$0 for 2013 for the Distributor.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval
Policy, the Audit Committee (the "Committee") is responsible for the
pre-approval of all audit services and permitted non-audit services (including
the fees and terms thereof) to be performed for the registrant by its
independent auditors. The Chairman of the Committee is authorized to give such
pre-approvals on behalf of the Committee up to $25,000 and report any such
pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent
auditor's engagements for non-audit services with the registrant's adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted or overseen by another investment adviser) and any entity
controlling, controlled by or under common control with the investment adviser
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 adviser (other than any sub-adviser whose role is primarily
portfolio management and is sub-contracted with or overseen by another
investment adviser) and any entity controlling, controlled by or under common
control with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to its policies, the Committee
will consider whether the provision of such non-audit services is compatible
with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b)
through (d) for the registrant and the registrant's investment adviser and
distributor of this Item that were approved by the audit committee pursuant to
the pre-approval exceptions included in paragraph (c)(7)(i)(C) or
paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: Adviser and Distributor:
----------- ------------------------
(b) 0% (b) 0%
(c) 0% (c) 0%
(d) 0% (d) 0%
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most recent
fiscal year that were attributed to work performed by persons other than the
principal accountant's full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's investment
adviser (not including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another investment adviser),
and any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant for 2012 were $68,250
for the registrant, $6,600 for the registrant's investment adviser and $86,065
for the registrant's distributor, and for 2013 were $68,250 for the registrant,
$3,000 for the registrant's investment adviser and $31,050 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 adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the investment adviser 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.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately designated standing audit committee established
in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934.
The audit committee of the registrant is comprised of: Richard E. Erickson,
Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
ITEM 6. INVESTMENTS.
(a) Schedule of Investments in securities of unaffiliated issuers as of the
close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this form.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days
of the filing date of the report that includes the disclosure required
by this paragraph, based on their evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15
(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's last fiscal
quarter of 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. EXHIBITS.
(a) (1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a) (3) Not Applicable
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section
906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) First Trust Exchange-Traded AlphaDEX(R) Fund
--------------------------------------------------
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: September 20, 2013
----------------------
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/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: September 20, 2013
----------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: September 20, 2013
----------------------
* Print the name and title of each signing officer under his or her signature.