UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22519
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First Trust Exchange-Traded AlphaDEX(R) Fund II
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(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: December 31
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Date of reporting period: December 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 II
Annual Report December 31, 2013
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First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund (FPA)
First Trust Europe AlphaDEX(R) Fund (FEP)
First Trust Latin America AlphaDEX(R) Fund (FLN)
First Trust Brazil AlphaDEX(R) Fund (FBZ)
First Trust China AlphaDEX(R) Fund (FCA)
First Trust Japan AlphaDEX(R) Fund (FJP)
First Trust South Korea AlphaDEX(R) Fund (FKO)
First Trust Developed Markets Ex-US AlphaDEX(R) Fund (FDT)
First Trust Emerging Markets AlphaDEX(R) Fund (FEM)
First Trust Germany AlphaDEX(R) Fund (FGM)
First Trust Canada AlphaDEX(R) Fund (FCAN)
First Trust Australia AlphaDEX(R) Fund (FAUS)
First Trust United Kingdom AlphaDEX(R) Fund (FKU)
First Trust Taiwan AlphaDEX(R) Fund (FTW)
First Trust Hong Kong AlphaDEX(R) Fund (FHK)
First Trust Switzerland AlphaDEX(R) Fund (FSZ)
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund (FDTS)
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund (FEMS)
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 II
ANNUAL REPORT
DECEMBER 31, 2013
Shareholder Letter ......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund (FPA)................ 4
First Trust Europe AlphaDEX(R) Fund (FEP)............................... 6
First Trust Latin America AlphaDEX(R) Fund (FLN)........................ 8
First Trust Brazil AlphaDEX(R) Fund (FBZ)............................... 10
First Trust China AlphaDEX(R) Fund (FCA)................................ 12
First Trust Japan AlphaDEX(R) Fund (FJP)................................ 14
First Trust South Korea AlphaDEX(R) Fund (FKO).......................... 16
First Trust Developed Markets Ex-US AlphaDEX(R) Fund (FDT).............. 18
First Trust Emerging Markets AlphaDEX(R) Fund (FEM)..................... 20
First Trust Germany AlphaDEX(R) Fund (FGM).............................. 22
First Trust Canada AlphaDEX(R) Fund (FCAN).............................. 24
First Trust Australia AlphaDEX(R) Fund (FAUS)........................... 26
First Trust United Kingdom AlphaDEX(R) Fund (FKU)....................... 28
First Trust Taiwan AlphaDEX(R) Fund (FTW)............................... 30
First Trust Hong Kong AlphaDEX(R) Fund (FHK)............................ 32
First Trust Switzerland AlphaDEX(R) Fund (FSZ).......................... 34
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund (FDTS)... 36
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund (FEMS).......... 38
Notes to Fund Performance Overview.......................................... 40
Understanding Your Fund Expenses............................................ 41
Portfolio of Investments
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund (FPA)................ 43
First Trust Europe AlphaDEX(R) Fund (FEP)............................... 45
First Trust Latin America AlphaDEX(R) Fund (FLN)........................ 50
First Trust Brazil AlphaDEX(R) Fund (FBZ)............................... 52
First Trust China AlphaDEX(R) Fund (FCA)................................ 54
First Trust Japan AlphaDEX(R) Fund (FJP)................................ 56
First Trust South Korea AlphaDEX(R) Fund (FKO).......................... 59
First Trust Developed Markets Ex-US AlphaDEX(R) Fund (FDT).............. 61
First Trust Emerging Markets AlphaDEX(R) Fund (FEM)..................... 67
First Trust Germany AlphaDEX(R) Fund (FGM).............................. 71
First Trust Canada AlphaDEX(R) Fund (FCAN).............................. 73
First Trust Australia AlphaDEX(R) Fund (FAUS)........................... 75
First Trust United Kingdom AlphaDEX(R) Fund (FKU)....................... 77
First Trust Taiwan AlphaDEX(R) Fund (FTW)............................... 80
First Trust Hong Kong AlphaDEX(R) Fund (FHK)............................ 82
First Trust Switzerland AlphaDEX(R) Fund (FSZ).......................... 84
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund (FDTS)... 86
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund (FEMS).......... 93
Statements of Assets and Liabilities........................................ 98
Statements of Operations.................................................... 102
Statements of Changes in Net Assets......................................... 106
Financial Highlights........................................................ 112
Notes to Financial Statements............................................... 125
Report of Independent Registered Public Accounting Firm..................... 136
Additional Information...................................................... 137
Board of Trustees and Officers ............................................. 144
Privacy Policy.............................................................. 146
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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 II (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, 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 market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The 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 II
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
DECEMBER 31, 2013
Dear Shareholders:
I am pleased to present you with the annual report for your investment in First
Trust Exchange-Traded Fund AlphaDEX(R) Fund II (the "Trust").
As a shareholder, twice a year you receive a detailed report about your
investment, including a market overview and performance analysis for the period.
Additionally, First Trust Advisors L.P. ("First Trust") compiles the Trust's
financial statements for you to review. These reports are intended to keep you
up-to-date on your investment, and I encourage you to read this document and
discuss it with your financial advisor.
As you are probably aware, the twelve months covered by this report saw
challenging economic and political issues in the U.S. However, the period was
still positive for the markets. In fact, the S&P 500 Index, as measured on a
total return basis, rose 32.39% during the twelve months ended December 31,
2013. Of course, past performance can never be an indicator of future
performance, but First Trust believes that staying invested in quality products
through up and down markets and having a long-term horizon can help investors as
they work toward their financial goals.
First Trust continues to offer a variety of products that we believe could fit
the financial plans for many investors seeking long-term investment success.
Your financial advisor can tell you about the other investments First Trust
offers that might fit your financial goals. We encourage you to discuss those
goals with your financial advisor regularly so that he or she can help keep you
on track and help you choose investments that match your goals.
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.
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 II
ANNUAL REPORT
DECEMBER 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 GLOBAL ECONOMY
Various surveys, such as the Blue Chip Economic Indicators survey, of leading
economists show that expectations for U.S. GDP growth in 2014 target a growth
rate of about 2.8%, up from 2.1% over the past four quarters through Q3'13. As
of the close of 2013, the U.S. economic recovery turned 54 months old, or 4.5
years. The U.S. has the largest economy, with China and Japan a distant second
and third. The U.S. economy, as measured by real GDP, stood at an annualized
$15.84 trillion in Q3'13, according to the Bureau of Economic Analysis. The U.S.
economy is still the most important contributor to the global economy, as we
witnessed in 2008 during the financial crisis when the recession clearly
influenced economic activity worldwide. It negatively impacted Europe and was
particularly tough on emerging market economies, which had been thriving prior
to the subprime mortgage meltdown. The U.S. was one of the bright spots
worldwide in 2013, and is poised to improve in 2014, in our opinion.
The modest, yet solid, economic growth helped push U.S. stock indices higher in
2013. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index were up
32.39%, 33.50% and 41.31%, respectively, according to Bloomberg. These lofty
gains, in turn, helped push the U.S.'s share of worldwide total equity market
capitalization considerably higher. At the close of the bull market that ran
from October 9, 2002 through October 9, 2007, the U.S. stock market represented
31.07% of the total world market capitalization, according to Bespoke Investment
Group. It stood at 32.21% on December 31, 2012. U.S. equities performed so well
in 2013, on a relative basis, that the U.S. total equity market capitalization
closed Q4 at approximately 36.00%. Investors poured a combined $72.5 billion
(net) into U.S. equity and sector funds in 2013, compared to net outflows
totaling $106.1 billion in 2012, according to Morningstar.
The International Monetary Fund estimates that global growth will increase from
2.9% in 2013 to 3.6% in 2014, according to its own release. It estimates that
the average GDP growth rate for "emerging and developing economies" will be 5.1%
in 2014, up from 4.5% in 2013. With respect to "advanced economies," it sees a
GDP growth rate of 2.0% in 2014, up from 1.3% in 2012. Growth is slowly heading
in the right direction for investors, in our opinion. In 2013, investors
funneled a net $146.2 billion into international equity funds, up from a net
$8.1 billion in 2012, according to Morningstar. On a relative basis, the
earnings growth potential for foreign equities in 2014 is much higher than that
of U.S. equities, according to estimates from Bloomberg. Bloomberg forecasts a
2014 earnings growth rate of 10.74% for the S&P 500, compared to 37.63% and
22.39%, respectively, for the MSCI World (Ex U.S.) and MSCI Emerging Markets
Indices.
PERFORMANCE OF FOREIGN STOCKS AND BONDS
U.S. investors shied away from foreign debt securities in 2013. The Barclays
Global Emerging Markets Index of debt securities fell 2.66% (USD), while the
Barclays Global Aggregate Index of higher-quality debt declined by 2.60% (USD).
Investors seemed just as disinterested in emerging markets equities. The MSCI
Emerging Markets Index posted a total return of -2.60% (USD). On the other hand,
investors were attracted to equities from developed nations. The MSCI World
Index (Ex U.S.) posted a total return of 21.02% (USD). The U.S. dollar rose just
0.33% against a basket of major currencies, as measured by the U.S. Dollar
Index. In our opinion, the dollar had little influence on returns for U.S.
investors in 2013.
Page 3
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FUND PERFORMANCE OVERVIEW
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FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA)
The First Trust Asia Pacific Ex-Japan 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 Asia Pacific
Ex-Japan Index (the "Index"). The Fund will normally invest at least 90% of its
net assets in common stocks that comprise the 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 "FPA." The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Asia Pacific Ex-Japan BMI Index which may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/18/11) Inception (4/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 3.83% -0.18% -0.48%
Market Price 3.89% 0.24% 0.64%
INDEX PERFORMANCE
Defined Asia Pacific Ex-Japan Index 5.93% 0.83% 2.25%
S&P Asia Pacific Ex-Japan BMI Index 4.22% 1.77% 4.85%
MSCI Pacific ex-Japan Index 5.49% 3.33% 9.26%
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(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of 3.83% during the 12-month
period covered by this report. During the same period, the benchmark MSCI
Pacific ex-Japan Index generated a return of 5.49%. Australian stocks, while
generating a very strong return in local terms (+20.9%), were hurt in US Dollar
("USD") terms as the currency lost -14.2% against the USD, as the Chinese
slowdown hurt demand for the Australian dollar. Both the Fund and the benchmark
had an exposure of about 25% to Australian stocks. A negative selection effect
in Australian stocks, where Fund stocks returned 15.4% (local) vs. the 20.9%
(local) of the benchmark was the main source of the Fund's underperformance
during the period. South Korean and Hong Kong stocks were key contributors to
the Fund's return, while stocks in Singapore detracted from the Fund's
performance.
Page 4
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FUND PERFORMANCE OVERVIEW (CONTINUED)
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FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA) (CONTINUED)
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PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
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% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 30.5%
Consumer Discretionary 23.6
Industrials 16.8
Materials 9.2
Information Technology 7.3
Telecommunication Services 4.4
Energy 3.3
Consumer Staples 2.1
Health Care 1.6
Utilities 1.2
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Total 100.0%
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TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
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% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Sands China Ltd. 2.2%
Fortescue Metals Group Ltd. 2.0
Challenger Ltd. 1.8
Hanwha Corp. 1.8
MGM China Holdings Ltd. 1.7
Daewoo Shipbuilding & Marine
Engineering Co., Ltd. 1.7
Galaxy Entertainment Group Ltd. 1.7
Hopewell Holdings Ltd. 1.7
UOL Group Ltd. 1.7
Link REIT 1.7
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Total 18.0%
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PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust Asia Pacific Defined Asia Pacific S&P Asia Pacific MSCI Pacific
Ex-Japan AlphaDEX(R) Fund Ex-Japan Index Ex-Japan BMI Index Ex-Japan Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 10,170 10,139 9,825 9,772
12/31/11 7,822 7,876 8,216 8,314
6/30/12 8,100 8,119 8,614 8,798
12/31/12 9,586 9,653 10,061 10,357
6/30/13 8,635 8,832 9,335 9,875
12/31/13 9,953 10,226 10,487 10,926
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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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 69 43 9 1
1/1/12 - 12/31/12 94 70 11 1
1/1/13 - 12/31/13 93 77 18 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%
4/19/11 - 12/31/11 43 7 5 1
1/1/12 - 12/31/12 61 13 0 0
1/1/13 - 12/31/13 44 15 5 0
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
The First Trust Europe 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 Europe Index (the "Index"). The
Fund will normally invest at least 90% of its net assets in common stocks that
comprise the Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FEP." The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Europe BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/18/11) Inception (04/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 31.33% 7.26% 20.90%
Market Price 30.23% 7.65% 22.08%
INDEX PERFORMANCE
Defined Europe Index 33.51% 8.37% 24.29%
S&P Europe BMI Index 27.16% 9.30% 27.19%
MSCI Europe Index 25.23% 8.79% 25.58%
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(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 31.33% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Europe Index generated a
return of 25.23%. The UK was the top contributor to absolute return in both the
Fund and the benchmark. UK stocks returned 18.7% in the benchmark, and make up
33.6% of the benchmark index. In addition, the strong return from UK stocks
contributed to the outperformance of the Fund, as UK Fund stocks did even
better, returning 34.6% in local currency terms. In particular, the Fund had a
bias toward home building and airlines stocks in the country that performed
quite well during the year. French stocks also performed quite well, recovering
much of their prior losses from 2011 and 2012. In local currency terms, French
stocks returned 20.1% in the benchmark and 35.9% in the Fund. The strong return
from the Fund's French stocks also contributed to the Fund's strong return
during the year. German stocks were a top performer for the benchmark, while
Italian stocks lifted performance in the Fund. Italian stocks in the Fund
returned 30.9% (local terms) and returned a more modest 16.3% in the benchmark;
the stronger return from Italian Fund stocks was a top contributor to the Fund's
strong relative performance. For example, Mediaset SpA. (+119.8% local) and
Mediolanum SpA. (+50.4% local) were two of the best-performing Italian stocks,
both of which had a zero weight in the benchmark but contributed to the Fund's
outperformance.
Page 6
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP) (CONTINUED)
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PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
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% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 22.0%
Consumer Discretionary 17.6
Industrials 17.2
Utilities 10.9
Energy 9.0
Materials 8.5
Consumer Staples 6.1
Telecommunication Services 4.6
Information Technology 2.8
Health Care 1.3
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Total 100.0%
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TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
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% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Faurecia 1.0
Alcatel-Lucent 1.0
Public Power Corp. S.A. 1.0
Valeo S.A. 1.0
Piraeus Bank S.A. 1.0
International Consolidated Airlines
Group S.A. 0.9
European Aeronautic Defence and Space
Co. N.V. 0.9
Volkswagen AG (Preference Shares) 0.9
Porsche Automobil Holding SE
(Preference Shares) 0.9
K+S AG 0.9
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Total 9.5%
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PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust Europe
AlphaDEX(R) Fund Defined Europe Index S&P Europe BMI Index MSCI Europe Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 10,265 10,315 10,315 10,321
12/31/11 7,547 7,654 8,320 8,418
6/30/12 7,650 7,755 8,567 8,620
12/31/12 9,206 9,310 10,002 10,028
6/30/13 9,672 9,859 10,295 10,247
12/31/13 12,091 12,428 12,718 12,560
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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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 69 60 21 3
1/1/12 - 12/31/12 71 110 49 1
1/1/13 - 12/31/13 70 152 22 1
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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%
4/19/11 - 12/31/11 19 6 0 0
1/1/12 - 12/31/12 18 1 0 0
1/1/13 - 12/31/13 6 1 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN)
The First Trust Latin America 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 Latin America Index (the
"Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Index. The shares of the Fund are listed and trade on
the NYSE Arca under the ticker symbol "FLN." The Fund commenced trading on April
19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Latin America BMI Index which may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/18/11) Inception (04/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV -10.17% -5.78% -14.89%
Market Price -11.35% -5.72% -14.73%
INDEX PERFORMANCE
Defined Latin America Index -9.00% -4.29% -11.18%
S&P Latin America BMI Index -13.03% -8.19% -20.63%
MSCI EM Latin America Index -13.36% -8.98% -22.46%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -10.17% during the 12-month period covered by
this report. During the same period, the benchmark MSCI EM Latin America Index
generated a return of -13.36%. Concerns and uncertainty about the timing and
quantity of U.S. Federal Reserve tapering had a significant impact on Latin
emerging markets during the last year. In addition to the impact on Latin
American and emerging equity markets, the concern about Federal Reserve activity
was felt in the currency movements, impacting investors in the Fund who are
exposed to the local currency. For example, the Brazilian Real was one of the
weakest emerging market currencies, as it was off -13.2% for the year, versus
the USD; this impact was almost equally experienced in the Fund and the
benchmark, as the Fund allocated 59.2% of the weight to Brazilian stocks, and
the benchmark allocated about 57.4% to Brazil. Mexican stocks in the benchmark
traded fairly flat for the year in the benchmark, returning 1.1% in local
currency terms. However, in the Fund, Mexican stocks returned 12.8% in local
currency terms; this outperformance from the Fund's Mexican stocks was a leading
contributor to the Fund's outperformance. For example, Gruma S.A.B. de C.V.
(+48.7% local) and Alfa S.A.B de C.V. (+36.3% local) were two stocks that were
overweighted by the Fund, leading to the Fund's outperformance.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Utilities 20.2%
Materials 19.0
Consumer Staples 15.9
Financials 15.1
Industrials 9.8
Telecommunication Services 8.9
Energy 6.2
Consumer Discretionary 2.8
Information Technology 2.1
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Ternium S.A., ADR 4.4%
Cia de Saneamento Basico do Estado de
Sao Paulo 3.9
Braskem S.A. (Preference Shares) 3.8
JBS S.A. 3.6
Porto Seguro S.A. 3.4
Cia de Gas de Sao Paulo
(Preference Shares) 3.2
Tim Participacoes S.A. 3.1
Cia Energetica de Minas Gerais
(Preference Shares) 3.1
Petroleo Brasileiro S.A.
(Preference Shares) 3.0
BRF S.A. 2.9
------
Total 34.4%
======
---------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust Latin America Defined Latin S&P Latin America MSCI EM Latin
AlphaDEX(R) Fund America Index BMI Index America Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 10,114 10,154 10,046 10,039
12/31/11 8,359 8,513 8,185 8,236
6/30/12 8,525 8,699 8,258 8,196
12/31/12 9,474 9,759 9,127 8,949
6/30/13 8,424 8,774 7,859 7,625
12/31/13 8,510 8,880 7,938 7,754
---------------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 31 80 42 3
1/1/12 - 12/31/12 151 73 3 2
1/1/13 - 12/31/13 85 41 8 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%
4/19/11 - 12/31/11 17 5 0 0
1/1/12 - 12/31/12 20 1 0 0
1/1/13 - 12/31/13 102 14 2 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ)
The First Trust Brazil 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 Brazil Index (the "Index"). The
Fund will normally invest at least 90% of its net assets in common stocks that
comprise the Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FBZ." The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Brazil BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/18/11) Inception (04/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV -14.72% -11.94% -29.11%
Market Price -14.95% -11.63% -28.45%
INDEX PERFORMANCE
Defined Brazil Index -13.92% -10.87% -26.73%
S&P Brazil BMI Index -16.58% -13.18% -31.77%
MSCI Brazil Index -16.04% -14.12% -33.75%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -14.72% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Brazil Index generated a
return of -16.04%. Concerns and uncertainty about the timing and quantity of
U.S. Federal Reserve tapering had a significant impact on emerging markets
during the last year, especially in Brazil. In addition to the impact on
emerging equity markets, the concern around Federal Reserve activity was also
felt in the currency movements, impacting investors in the Fund who are exposed
to the Brazilian Real. The Brazilian Real was one of the weakest emerging market
currencies, as it was off -13.2% for the year, versus the USD. At a sector
level, the negative impact was greatest in the Energy and Materials sectors,
where tapering concerns affected companies like Vale S.A. (-11.5% local) and
Petroleo Brasileiro SA (-17.2% local). The Financials sector (-0.9% local) in
the benchmark was also a major detractor, but more as a result of the large
weight allocated by the benchmark (29.2%). The Fund's relative outperformance
during the period was a result of the underweight position in the Financials
sector, as well as a stronger stock selection effect in the Consumer
Discretionary and Consumer Staples sectors.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ) (CONTINUED)
--------------------------------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
--------------------------------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Materials 17.1%
Utilities 15.7
Financials 15.5
Consumer Staples 13.6
Consumer Discretionary 11.6
Telecommunication Services 8.3
Energy 8.1
Industrials 7.9
Information Technology 2.2
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
BB Seguridade Participacoes S.A. 4.3%
JBS S.A. 4.2
Braskem S.A. (Preference Shares) 4.0
Tim Participacoes S.A. 3.8
Cia Paranaense de Energia
(Preference Shares) 3.4
BRF S.A. 3.2
BR Properties S.A. 3.0
M Dias Branco S.A. 3.0
Anhanguera Educacional Participacoes
S.A. 2.9
Embraer S.A. 2.9
------
Total 34.7%
======
----------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust Brazil Defined S&P Brazil MSCI Brazil
AlphaDEX(R) Fund Brazil Index BMI Index Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 9,884 9,933 9,949 9,926
12/31/11 7,858 7,946 7,929 7,887
6/30/12 7,907 8,002 7,413 7,280
12/31/12 8,314 8,512 8,180 7,890
6/30/13 6,918 7,182 6,718 6,471
12/31/13 7,090 7,327 6,824 6,624
----------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 16 27 52 64
1/1/12 - 12/31/12 84 38 11 1
1/1/13 - 12/31/13 166 57 7 1
--------------------------------------------------------------------------------
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%
4/19/11 - 12/31/11 14 4 1 0
1/1/12 - 12/31/12 107 8 1 0
1/1/13 - 12/31/13 16 3 2 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA)
The First Trust China 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 China Index (the "Index"). The
Fund will normally invest at least 90% of its net assets in common stocks that
comprise the Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FCA." The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
China BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/18/11) Inception (04/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV -1.63% -6.12% -15.70%
Market Price -2.31% -5.85% -15.06%
INDEX PERFORMANCE
Defined China Index 1.00% -5.45% -14.06%
S&P China BMI Index 10.37% -0.06% -0.16%
MSCI China Index 3.64% -0.54% -1.45%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -1.63% during the 12-month period covered by
this report. During the same period, the benchmark MSCI China Index generated a
return of 3.64%. Consumer Discretionary stocks were the top performing sector
during the period, returning 52.1% in local terms, led by strong performance
from internet companies such as Ctrip.com International (+47.6% local) and
automobile companies such as Great Wall Motor Co., Ltd. (+76.5% local). Also
contributing to positive returns were Utilities stocks, such as Beijing
Enterprises Water Group Ltd. (+65.8% local) and China Gas Holdings Ltd.
(+72.3%). On the other hand, as concerns increased regarding the growth of the
local economy, Energy, Materials and Financials stocks all dragged down the
return of the Fund. In particular, Financials stocks, with a 23.1% weight in the
Fund, were a drag on performance as the sector returned -17.4% in the Fund, with
real estate companies delivering the weakest returns. On a relative basis, the
performance of the Fund was hurt by this exposure in the Financials sector,
where the Fund was overweight the weakest subset of financial companies--real
estate.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 14.9%
Financials 14.5
Materials 12.3
Industrials 11.6
Energy 11.4
Utilities 11.0
Information Technology 9.0
Health Care 7.8
Consumer Staples 4.7
Telecommunication Services 2.8
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Ctrip.com International Ltd., ADR 4.2%
Beijing Enterprises Water Group Ltd. 3.8
China Hongqiao Group Ltd. 3.8
Huaneng Renewables Corp. Ltd., Class H 3.6
Yanzhou Coal Mining Co., Ltd., Class H 3.5
Great Wall Motor Co., Ltd. 3.5
Biostime International Holdings Ltd. 3.5
Zijin Mining Group Co., Ltd., Class H 3.3
Yangzijiang Shipbuilding Holdings Ltd. 3.1
CITIC Pacific Ltd. 3.1
------
Total 35.4%
======
--------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust China Defined S&P China MSCI China
AlphaDEX(R) Fund China Index BMI Index Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 9,334 9,279 9,446 9,583
12/31/11 6,692 6,670 7,502 7,746
6/30/12 7,023 6,935 7,764 8,048
12/31/12 8,568 8,506 9,045 9,508
6/30/13 6,942 7,022 8,322 8,463
12/31/13 8,428 8,591 9,982 9,855
--------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 32 35 36 16
1/1/12 - 12/31/12 84 49 16 4
1/1/13 - 12/31/13 64 31 16 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%
4/19/11 - 12/31/11 31 20 7 1
1/1/12 - 12/31/12 70 23 4 0
1/1/13 - 12/31/13 54 51 33 3
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
The First Trust Japan 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 Japan Index (the "Index"). The
Fund will normally invest at least 90% of its net assets in common stocks that
comprise the Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FJP." The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Japan BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/18/11) Inception (04/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 30.66% 6.58% 18.84%
Market Price 31.56% 7.09% 20.38%
INDEX PERFORMANCE
Defined Japan Index 32.80% 6.89% 19.74%
S&P Japan BMI Index 26.50% 9.50% 27.81%
MSCI Japan Index 27.16% 9.44% 27.64%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 30.66% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Japan Index generated a
return of 27.16%. Japan had very strong USD returns across almost all sectors
despite the Japanese Yen depreciating -18.8% against the U.S. Dollar. The
Consumer Discretionary sector led all sectors in the Fund with a 10.3%
contribution to the Fund's return. The sector was the heaviest weighted in the
Fund with an average weight of 25.9%, and returned 65.4% (local). The
Industrials sector was the second best-contributing sector in the Fund, with a
7.5% contribution to return. The Fund's holdings from the sector returned 55.9%
(local) and comprised an average of 25.1% of the Fund's weight. The Utilities
sector was the best-performing sector in the Fund with a 85.3% local return.
Tokyo Electric Power Co., Inc. was a large factor in the sector's return as the
company appreciated 133.9% in local currency. The Utilities sector's low average
weight of 5.4% limited its contribution to the Fund's return to 2.2%. The Fund's
outperformance of its benchmark was caused by positive selection effect in the
Information Technology (+67.7% vs. +47.5% local return), Industrials (+55.9% vs.
+44.9% local return), and Utilities (+85.3% vs. +37.9% local return) sectors.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 24.0%
Industrials 22.0
Information Technology 14.0
Financials 10.0
Materials 8.7
Energy 7.6
Utilities 5.2
Telecommunication Services 4.3
Health Care 2.2
Consumer Staples 2.0
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Seiko Epson Corp. 2.4%
Fuji Electric Co., Ltd. 2.0
Mazda Motor Corp. 2.0
Inpex Corp. 1.9
Fuji Heavy Industries Ltd. 1.8
Sumitomo Metal Mining Co., Ltd. 1.8
IHI Corp. 1.7
Mitsui & Co., Ltd. 1.7
Mitsubishi Corp. 1.7
Namco Bandai Holdings, Inc. 1.7
------
Total 18.7%
======
--------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust Japan Defined S&P Japan MSCI Japan
AlphaDEX(R) Fund Japan Index BMI Index Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 10,724 10,567 10,350 10,315
12/31/11 9,534 9,452 9,395 9,278
6/30/12 9,270 9,136 9,671 9,569
12/31/12 9,096 9,016 10,102 10,037
6/30/13 10,707 10,698 11,682 11,698
12/31/13 11,885 11,972 12,780 12,764
--------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 79 52 5 3
1/1/12 - 12/31/12 113 30 8 1
1/1/13 - 12/31/13 71 70 40 9
--------------------------------------------------------------------------------
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%
4/19/11 - 12/31/11 33 5 1 0
1/1/12 - 12/31/12 79 17 2 0
1/1/13 - 12/31/13 37 19 4 2
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO)
The First Trust South Korea 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 South Korea Index (the
"Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Index. The shares of the Fund are listed and trade on
the NYSE Arca under the ticker symbol "FKO." The Fund commenced trading on April
19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
South Korea BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/18/11) Inception (04/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 6.54% -1.27% -3.39%
Market Price 6.09% -0.49% -1.33%
INDEX PERFORMANCE
Defined South Korea Index 8.79% -0.30% -0.80%
S&P South Korea BMI Index 4.06% 1.14% 3.10%
MSCI South Korea Index 3.94% 0.58% 1.58%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 6.54% during the 12-month period covered by
this report. During the same period, the benchmark MSCI South Korea Index
generated a return of 3.94%. The Information Technology sector was the top
contributor to the Fund, adding 3.0% to the Fund's return. The Fund's holdings
in the sector returned 17.8% (local) and had an average weight in the Fund of
10.7%. The sector's performance was helped by Internet Software & Services
company NAVER Corp., which contributed 2.3% to the Fund's return and appreciated
103.7% in local currency. The Telecommunication Services sector was the
best-performing sector in the Fund with a 26.5% local return. The sector had an
average Fund weight of 9.9% and contributed 2.8% to the Fund's return. The
Consumer Staples sector was the largest detractor from the Fund's return with a
-1.7% contribution. The sector was hurt by the Food Product industry's -19.5%
local return. The Fund outperformed its benchmark due to being overweight the
Telecommunication Services sector (9.9% vs. 0.9% average weight) and positive
selection effect in the Industrials (+5.0% vs. -5.4% local return) and
Information Technology (+17.8% vs. 2.1% local return) sectors.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 21.1%
Industrials 19.6
Financials 16.0
Materials 13.8
Information Technology 13.6
Telecommunication Services 8.5
Utilities 4.6
Energy 2.0
Consumer Staples 0.8
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
KCC Corp. 4.2%
Hyundai Steel Co. 4.0
Samsung SDI Co., Ltd. 3.5
Cheil Worldwide, Inc. 3.3
SK Telecom Co., Ltd., ADR 3.3
Halla Visteon Climate Control Corp. 3.2
Korea Gas Corp. 3.1
NAVER Corp. 3.0
Samsung Electronics Co., Ltd. 3.0
Coway Co., Ltd. 2.8
------
Total 33.4%
======
--------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust South Korea Defined South S&P South Korea MSCI South
AlphaDEX(R) Fund Korea Index BMI Index Korea Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 10,266 10,241 9,969 9,922
12/31/11 7,729 7,800 8,262 8,064
6/30/12 7,704 7,694 8,614 8,488
12/31/12 9,067 9,119 9,907 9,772
6/30/13 7,844 8,022 8,749 8,498
12/31/13 9,660 9,921 10,309 10,158
--------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 13 5 0 1
1/1/12 - 12/31/12 51 71 13 6
1/1/13 - 12/31/13 86 72 13 7
--------------------------------------------------------------------------------
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%
4/19/11 - 12/31/11 31 37 56 35
1/1/12 - 12/31/12 57 36 16 0
1/1/13 - 12/31/13 53 21 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
The First Trust Developed Markets Ex-US 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 Developed
Markets Ex-US Index (the "Index"). The Fund will normally invest at least 90% of
its net assets in common stocks that comprise the Index. The shares of the Fund
are listed and trade on the NYSE Arca under the ticker symbol "FDT." The Fund
commenced trading on April 19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Developed Markets Ex-US BMI Index which may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/18/11) Inception (04/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 18.40% 3.42% 9.52%
Market Price 18.71% 3.77% 10.54%
INDEX PERFORMANCE
Defined Developed Markets Ex-US Index 20.59% 4.39% 12.32%
S&P Developed Markets Ex-US BMI Index 20.88% 6.87% 19.68%
MSCI World Ex-US Index 21.02% 7.10% 20.39%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 18.40% during the 12-month period covered by
this report. During the same period, the benchmark MSCI World Ex-US Index
generated a return of 21.02%. Developed countries around the world did quite
well during the period, with the 10 largest countries in the benchmark returning
an average of 23.5% in local terms, as the current bull market passed its 4 year
anniversary. Japan, with the advent of Abenomics and associated easy money,
returned 54.6% in local terms, while the currency lost -17.6% during the year.
Even after accounting for the devaluation in the Yen, the country was still the
top contributor to absolute return in both the Fund and the benchmark. The UK
was the second largest contributor, in both the Fund and the benchmark, with
home builders and telecommunications companies contributing the most to the
performance. Australian stocks, while generating a very strong return in local
terms (+20.9%) were hurt in USD terms as the currency lost -14.2% against the
USD, as the Chinese slowdown hurt demand for the Australian dollar. On a
relative basis, Fund performance was in line with the benchmark, with exposures
in Hong Kong, South Korea and Japan, the only countries with slight
underperformance.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 24.6%
Consumer Discretionary 18.4
Industrials 17.5
Materials 12.1
Information Technology 7.5
Energy 7.4
Utilities 4.6
Telecommunication Services 3.9
Consumer Staples 3.1
Health Care 0.9
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Seiko Epson Corp. 0.9%
Alcatel-Lucent 0.7
Faurecia 0.7
Public Power Corp. S.A. 0.7
Piraeus Bank S.A. 0.7
Genworth MI Canada, Inc. 0.7
International Consolidated Airlines
Group S.A. 0.6
Volkswagen AG (Preference Shares) 0.6
Porsche Automobil Holding SE
(Preference Shares) 0.6
K+S AG 0.6
------
Total 6.8%
======
--------------------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust Developed Markets Defined Developed S&P Developed Markets MSCI World
Ex-US AlphaDEX(R) Fund Markets Ex-US Index Ex-US BMI Index Ex-US Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 10,218 10,215 10,173 10,192
12/31/11 7,908 7,970 8,476 8,545
6/30/12 7,951 7,996 8,701 8,753
12/31/12 9,249 9,315 9,900 9,948
6/30/13 9,465 9,622 10,160 10,247
12/31/13 10,951 11,233 11,966 12,039
--------------------------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 48 26 9 1
1/1/12 - 12/31/12 133 59 12 0
1/1/13 - 12/31/13 132 77 5 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%
4/19/11 - 12/31/11 52 39 3 0
1/1/12 - 12/31/12 40 6 0 0
1/1/13 - 12/31/13 30 8 0 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
The First Trust Emerging Markets 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 Emerging Markets Index (the
"Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Index. The shares of the Fund are listed and trade on
the NYSE Arca under the ticker symbol "FEM." The Fund commenced trading on April
19, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Emerging Markets BMI Index which may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (04/18/11) Inception (04/18/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV -3.35% -3.89% -10.19%
Market Price -3.47% -3.52% -9.23%
INDEX PERFORMANCE
Defined Emerging Markets Index -1.86% -2.84% -7.49%
S&P Emerging Markets BMI Index -1.53% -2.99% -7.89%
MSCI Emerging Markets Index -2.60% -2.80% -7.40%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -3.35% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Emerging Markets Index
generated a return of -2.60%. Concerns and uncertainty about the timing and
quantity of U.S. Federal Reserve (the "Fed") tapering had a significant impact
on emerging markets during the last year. The absolute returns tell very little
of the story, and in fact, it's more helpful to consider macro events and
announcements as they have had a material effect on the performance of the Fund
and benchmark. For example, from May 10 to June 24, the benchmark lost -15.9% in
value; not surprisingly, the Fund slightly underperformed, returning -17.9% over
the same period. In addition to the weakness in the local equity markets, a
negative currency effect was also realized by emerging market investors who
invest with USD. During the peak to trough of the equity markets, emerging
market currencies averaged a sell off of -4.4% vs. the USD with the greatest
weakness in the Brazilian Real, which lost -9.7% vs. the USD. The Brazilian Real
was one of the weakest emerging market currencies, as it was off -13.2% for the
year, versus the USD. While the Fed eased concerns around tapering in late
August and September, the benchmark rose 11.8%, while the Fund outperformed this
measure by about 0.51%, returning 12.3%. On a relative basis, the Fund performed
in line with the benchmark, with relative outperformance in Hong Kong and Mexico
that was offset by weaker performance in South Africa and Taiwan.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Information Technology 16.8%
Energy 14.0
Financials 12.2
Consumer Discretionary 11.9
Materials 11.5
Industrials 10.8
Utilities 8.8
Consumer Staples 7.1
Telecommunication Services 5.6
Health Care 1.3
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Haier Electronics Group Co., Ltd. 1.6%
Himax Technologies, Inc., ADR 1.6
SouFun Holdings Ltd., ADR 1.4
Steinhoff International Holdings Ltd. 1.3
Beijing Enterprises Water Group Ltd. 1.3
China Hongqiao Group Ltd. 1.3
Magnit OJSC 1.2
Telecom Egypt 1.2
Pou Chen Corp. 1.1
TAV Havalimanlari Holding A.S. 1.1
------
Total 13.1%
======
-------------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2013
First Trust Emerging Defined Emerging S&P Emerging Markets MSCI Emerging
Markets AlphaDEX(R) Fund Markets Index BMI Index Markets Index
4/18/11 $10,000 $10,000 $10,000 $10,000
6/30/11 9,787 9,770 9,888 9,945
12/31/11 7,678 7,729 7,895 8,042
6/30/12 8,052 8,125 8,253 8,358
12/31/12 9,293 9,427 9,355 9,507
6/30/13 8,423 8,651 8,636 8,597
12/31/13 8,981 9,251 9,213 9,259
-------------------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 19, 2011 (commencement
of trading) through December 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%
4/19/11 - 12/31/11 31 60 57 5
1/1/12 - 12/31/12 105 72 14 1
1/1/13 - 12/31/13 100 60 12 1
--------------------------------------------------------------------------------
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%
4/19/11 - 12/31/11 12 12 1 0
1/1/12 - 12/31/12 47 10 1 0
1/1/13 - 12/31/13 50 24 5 0
Page 21
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM)
The First Trust Germany 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 call the Defined Germany Index (the "Index"). The
Fund will normally invest at least 90% of its net assets in common stocks that
comprise the Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FGM." The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Germany BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/14/11) Inception (02/14/11)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 26.61% 21.05% 43.18%
Market Price 27.70% 21.94% 45.19%
INDEX PERFORMANCE
Defined Germany Index 28.32% 21.57% 44.28%
S&P Germany BMI Index 31.43% 23.48% 48.56%
MSCI Germany Index 31.37% 23.67% 48.98%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of 26.61% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Germany Index generated
a return of 31.37%. The Consumer Discretionary sector contributed 16.9%, making
it responsible for more than half of the Fund's return. The Fund's holdings in
the sector had an average weight of 32.9% and returned 45.7% (local). Within the
sector, the Auto Components industry had a particularly strong return of 66.7%.
The Materials sector was the largest detractor from the Fund's return with a
-1.9% contribution. The sector had an average weight in the Fund of 17.2% and a
return of -7.1% (local). Relative to the benchmark, the Fund gained by being
overweight the strong-performing Consumer Discretionary sector, but that effect
could not overcome poor selection effects in the Consumer Staples and Materials
sectors.
Page 22
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 37.6%
Industrials 12.1
Materials 12.0
Health Care 9.3
Telecommunication Services 7.4
Information Technology 6.6
Financials 6.4
Utilities 5.3
Consumer Staples 3.3
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Continental AG 5.5%
United Internet AG 5.0
Volkswagen AG (Preference Shares) 4.6
TUI AG 4.6
Porsche Automobil Holding SE
(Preference Shares) 4.5
Sky Deutschland AG 4.2
Kabel Deutschland Holding AG 3.9
Deutsche Post AG 3.9
Celesio AG 3.9
Daimler AG 3.8
------
Total 43.9%
======
-------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2013
First Trust Germany Defined S&P Germany MSCI Germany
AlphaDEX(R) Fund Germany Index BMI Index Index
2/14/12 $10,000 $10,000 $10,000 $10,000
6/30/12 9,157 9,132 9,197 9,174
12/31/12 11,309 11,243 11,304 11,342
6/30/13 11,312 11,323 11,668 11,670
12/31/13 14,319 14,428 14,857 14,900
-------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 15, 2012
(commencement of trading) through December 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%
2/15/12 - 12/31/12 116 45 4 1
1/1/13 - 12/31/13 163 35 2 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%
2/15/12 - 12/31/12 45 8 1 0
1/1/13 - 12/31/13 49 3 0 0
Page 23
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN)
The First Trust Canada 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 Canada Index (the "Index"). The
Fund will normally invest at least 90% of its net assets in common stocks that
comprise the Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FCAN." The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Canada BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/14/12) Inception (02/14/12)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 15.75% 12.20% 24.16%
Market Price 15.45% 12.37% 24.50%
INDEX PERFORMANCE
Defined Canada Index 16.70% 12.94% 25.66%
S&P Canada BMI Index 5.28% 3.94% 7.52%
MSCI Canada Index 5.63% 4.87% 9.34%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of 15.75% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Canada Index generated a
return of 5.63%. The Consumer Discretionary sector led all other sectors in the
Fund with a 7.8% contribution to the Fund's return. The Fund's holdings in the
sector comprised an average of 14.5% of the Fund's weight and returned 68.3%
(local). The Information Technology sector was the second-best sector with a
4.8% contribution. The Fund's holdings in the sector returned 85.7% (local) but
had an average weight of only 5.9%. A significant selection effect in the
Materials sector was the largest cause of the Fund's outperformance of the
benchmark. The Fund's holdings in the Materials sector returned 13.0% (local)
versus the benchmark's return of -31.9% (local). The Fund also benefitted from a
selection effect in the Consumer Discretionary (+68.3% vs. +47.0% local return)
and Information Technology (+85.7% vs. +24.2% local return) sectors.
Page 24
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 27.3%
Energy 16.9
Consumer Staples 15.9
Consumer Discretionary 14.2
Materials 11.6
Information Technology 10.0
Health Care 4.1
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Alimentation Couche Tard, Inc.,
Class B 4.8%
First Quantum Minerals Ltd. 4.6
Magna International, Inc. 4.4
Lions Gate Entertainment Corp. 4.4
Valeant Pharmaceuticals International,
Inc. 4.1
Boardwalk Real Estate Investment Trust 3.8
RioCan Real Estate Investment Trust 3.7
Calloway Real Estate Investment Trust 3.7
Constellation Software, Inc. 3.5
CGI Group, Inc., Class A 3.5
------
Total 40.5%
======
--------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2013
First Trust Canada Defined S&P Canada MSCI Canada
AlphaDEX(R) Fund Canada Index BMI Index Index
2/14/12 $10,000 $10,000 $10,000 $10,000
6/30/12 9,358 9,369 9,194 9,312
12/31/12 10,726 10,768 10,213 10,351
6/30/13 11,210 11,272 9,499 9,662
12/31/13 12,415 12,566 10,752 10,934
--------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 15, 2012
(commencement of trading) through December 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%
2/15/12 - 12/31/12 150 13 27 1
1/1/13 - 12/31/13 187 12 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%
2/15/12 - 12/31/12 28 1 0 0
1/1/13 - 12/31/13 50 3 0 0
Page 25
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS)
The First Trust Australia 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 Australia Index (the "Index").
The Fund will normally invest at least 90% of its net assets in common stocks
that comprise the Index. The shares of the Fund are listed and trade on the NYSE
Arca under the ticker symbol "FAUS." The Fund commenced trading on February 15,
2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Australia BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/14/12) Inception (02/14/12)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV -0.61% 4.65% 8.92%
Market Price -1.42% 4.78% 9.18%
INDEX PERFORMANCE
Defined Australia Index 1.09% 5.28% 10.14%
S&P Australia BMI Index 2.29% 6.44% 12.43%
MSCI Australia Index 4.16% 8.78% 17.10%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of -0.61% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Australia Index
generated a return of 4.16%. The Australian Dollar depreciated -13.5% against
the USD, weighing heavily on the returns of the Fund and the benchmark. The
Consumer Discretionary sector led all sectors in the Fund with a 3.6%
contribution to return. The Fund's holdings in the sector had a local return of
58.0%, which represented 36.1% in USD terms, and comprised an average of 14.0%
of the Fund's weight. The Materials sector was the heaviest-weighted sector in
the Fund (21.9% average weight) and the largest detractor from total return
(-3.8% contribution). The Fund's holdings in the sector were focused in the
Metals & Mining industry, which had a -18.9% local return and a -30.1% return in
USD terms. The Fund's performance relative to the benchmark was most impacted by
the generally strong-performing Financials sector. Within the sector the Fund
suffered from a poor selection effect (+20.0% vs. +29.1% local return) and from
being significantly underweight (21.7% vs. 50.6% average weight).
Page 26
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Materials 23.6%
Financials 23.1
Industrials 13.4
Consumer Discretionary 9.4
Energy 7.2
Health Care 7.1
Telecommunication Services 5.7
Consumer Staples 5.6
Utilities 3.2
Information Technology 1.7
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
TPG Telecom Ltd. 5.7%
Lend Lease Group 5.0
Flight Centre Ltd. 4.5
Ramsay Health Care Ltd. 4.5
Amcor Ltd. 4.4
Fortescue Metals Group Ltd. 4.3
Macquarie Group Ltd. 4.0
Westfield Retail Trust 3.6
Incitec Pivot Ltd. 3.5
Woodside Petroleum Ltd. 3.3
------
Total 42.8%
======
---------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2013
First Trust Australia Defined S&P Australia MSCI Australia
AlphaDEX(R) Fund Australia Index BMI Index Index
2/14/12 $10,000 $10,000 $10,000 $10,000
6/30/12 9,414 9,374 9,377 9,525
12/31/12 10,959 10,895 10,991 11,242
6/30/13 10,075 10,172 10,112 10,553
12/31/13 10,893 11,013 11,244 11,711
---------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 15, 2012
(commencement of trading) through December 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%
2/15/12 - 12/31/12 94 73 9 2
1/1/13 - 12/31/13 108 66 4 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%
2/15/12 - 12/31/12 34 8 0 0
1/1/13 - 12/31/13 62 12 0 0
Page 27
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
The First Trust United Kingdom 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 United Kingdom Index (the
"Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Index. The shares of the Fund are listed and trade on
the NYSE Arca under the ticker symbol "FKU." The Fund commenced trading on
February 15, 2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
United Kingdom BMI Index which may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/14/12) Inception (02/14/12)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 28.17% 23.59% 48.91%
Market Price 29.59% 24.40% 50.73%
INDEX PERFORMANCE
Defined United Kingdom Index 31.10% 25.16% 52.38%
S&P United Kingdom BMI Index 23.44% 17.39% 35.11%
MSCI United Kingdom Index 20.67% 15.11% 30.22%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of 28.17% during the 12-month period covered by
this report. During the same period, the benchmark MSCI United Kingdom Index
generated a return of 20.67%. The Consumer Discretionary (+47.1% local) and
Industrials (+47.6% local) sectors were two of the top performing sectors, with
strong performances coming from Sports Direct International Plc (+83.6%),
Barratt Developments Plc (+66.9%), and easyJet plc (+102.7%) all leading the
sectors higher. The two sectors combined for a 42.2% weight in the Fund, and
thus were top contributors to the Fund's absolute return. On a relative basis,
the Fund's outperformance came in the form of both superior stock selection as
well as stronger allocation amongst the sectors. The Consumer Discretionary
sector was the third strongest of 10 sectors during the period, and investors
were rewarded as the Fund was overweight this strong sector (25.1% Fund weight
vs. 7.1% weight in the benchmark). From a stock selection perspective, the Fund
also did well in the Consumer Discretionary sector, as Fund stocks in the sector
returned 35.7% during the period, while only returning 25.7% in the benchmark.
Also leading to outperformance during the period was the Industrials sector
where Fund stocks returned 47.6%, while returning only 29.2% in the benchmark.
Similarly, the Financials sector was a source of outperformance coming from
stock selection as the Fund stocks returned 33.9%, while returning only 18.7% in
the benchmark. Separately, but also leading to outperformance, was the Consumer
Staples sector, where the Fund generated alpha by underweighting this sector
(5.9% Fund weight vs. 17.0% weight in the benchmark). This underweight was an
alpha generator as the defensive Consumer Staples sector was the third
worst-performing in the benchmark.
Page 28
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 25.1%
Financials 24.1
Industrials 17.3
Energy 9.9
Materials 9.8
Health Care 4.6
Consumer Staples 4.5
Utilities 2.4
Telecommunication Services 1.5
Information Technology 0.8
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
International Consolidated Airlines
Group S.A. 3.0%
Sports Direct International PLC 2.5
Thomas Cook Group PLC 2.5
Lloyds Banking Group PLC 2.4
GKN PLC 2.4
easyJet PLC 2.3
Ocado Group PLC 2.3
Ashtead Group PLC 2.3
AstraZeneca PLC 2.2
St. James's Place PLC 2.1
------
Total 24.0%
======
-----------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2013
First Trust United Kingdom Defined United S&P United Kingdom MSCI United
AlphaDEX(R) Fund Kingdom Index BMI Index Kingdom Index
2/14/12 $10,000 $10,000 $10,000 $10,000
6/30/12 9,737 9,761 9,718 9,678
12/31/12 11,617 11,622 10,945 10,792
6/30/13 11,954 12,115 11,108 10,821
12/31/13 14,890 15,237 13,511 13,022
-----------------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 15, 2012
(commencement of trading) through December 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%
2/15/12 - 12/31/12 87 100 21 1
1/1/13 - 12/31/13 96 125 14 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%
2/15/12 - 12/31/12 9 2 0 0
1/1/13 - 12/31/13 17 0 0 0
Page 29
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW)
The First Trust Taiwan 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 Taiwan Index (the "Index"). The
Fund will normally invest at least 90% of its net assets in common stocks that
comprise the Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FTW." The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Taiwan BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/14/12) Inception (02/14/12)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 9.80% 5.49% 10.58%
Market Price 9.54% 5.97% 11.51%
INDEX PERFORMANCE
Defined Taiwan Index 11.73% 6.72% 12.97%
S&P Taiwan BMI Index 12.29% 7.26% 14.06%
MSCI Taiwan Index 9.06% 6.68% 12.89%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of 9.80% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Taiwan Index generated a
return of 9.06%. The Consumer Discretionary sector was the top-performing and
best-contributing sector in the Fund. The Fund's holdings in the sector returned
40.2% (local), had an average weight in the Fund of 16.1% and contributed 5.2%
to the Fund's return. The Information Technology sector was by far the
heaviest-weighted sector in the Fund with a 57.7% average weight. The sector had
a relatively weak return of 7.4% (local), as decent returns in the Computer &
Peripherals (+17.2% local) and Semiconductor (+15.0% local) industries were
weighed down by poor performance in the Electronic Equipment Instruments &
Components (-8.0% local) industry and HTC Corp. (-36.9% local return while held
in the Fund).
Page 30
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Information Technology 60.2%
Consumer Discretionary 19.2
Financials 7.4
Consumer Staples 5.7
Materials 4.4
Industrials 1.7
Telecommunication Services 1.4
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Compal Electronics, Inc. 5.4%
Pou Chen Corp. 5.0
Catcher Technology Co., Ltd. 4.9
Hon Hai Precision Industry Co., Ltd. 4.7
Hotai Motor Co., Ltd. 4.5
Largan Precision Co., Ltd. 4.0
Giant Manufacturing Co., Ltd. 4.0
United Microelectronics Corp. 3.4
President Chain Store Corp. 3.3
Novatek Microelectronics Corp. 3.3
------
Total 42.5%
======
--------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2013
First Trust Taiwan Defined S&P Taiwan MSCI Taiwan
AlphaDEX(R) Fund Taiwan Index BMI Index Index
2/14/12 $10,000 $10,000 $10,000 $10,000
6/30/12 9,263 9,200 9,129 9,195
12/31/12 10,070 10,111 10,158 10,353
6/30/13 10,323 10,481 10,365 10,496
12/31/13 11,057 11,297 11,406 11,291
--------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 15, 2012
(commencement of trading) through December 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%
2/15/12 - 12/31/12 70 74 30 1
1/1/13 - 12/31/13 75 45 12 2
--------------------------------------------------------------------------------
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%
2/15/12 - 12/31/12 36 8 0 1
1/1/13 - 12/31/13 78 33 6 1
Page 31
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK)
The First Trust Hong Kong 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 Hong Kong Index (the "Index").
The Fund will normally invest at least 90% of its net assets in common stocks
that comprise the Index. The shares of the Fund are listed and trade on the NYSE
Arca under the ticker symbol "FHK." The Fund commenced trading on February 15,
2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Hong Kong BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/14/12) Inception (02/14/12)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 14.42% 17.11% 34.56%
Market Price 14.47% 17.64% 35.71%
INDEX PERFORMANCE
Defined Hong Kong Index 17.06% 18.43% 37.37%
S&P Hong Kong BMI Index 10.64% 11.74% 23.16%
MSCI Hong Kong Index 11.09% 12.88% 25.53%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of 14.42% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Hong Kong Index
generated a return of 11.09%. The Consumer Discretionary sector led all sectors
in the Fund with a 13.0% contribution to the Fund's return. The sector had an
average weight in the Fund of 26.6% and returned 60.8% (local). The Hotels
Restaurants & Leisure industry drove the return of the sector. The industry had
an average Fund weight of 16.4% and a local return of 104.6% which resulted in
an 11.9% contribution to return. The Financials sector was by far the
heaviest-weighted sector in the Fund with an average weight of 51.1%, but
weakness in real-estate related industries held the sector's return to 1.5%
(local). The main reason the Fund was able to outperform its benchmark was the
Fund's overweight position in the Consumer Discretionary sector (26.6% vs. 14.3%
average weight).
Page 32
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 45.3%
Consumer Discretionary 30.2
Utilities 8.2
Industrials 6.6
Telecommunication Services 4.2
Materials 2.9
Information Technology 1.9
Consumer Staples 0.7
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Galaxy Entertainment Group Ltd. 6.5%
Chinese Estates Holdings Ltd. 6.3
MGM China Holdings Ltd. 5.8
ENN Energy Holdings Ltd. 4.9
SA SA International Holdings Ltd. 4.3
Hopewell Holdings Ltd. 3.7
Hysan Development Co., Ltd. 3.6
Champion REIT 3.5
AIA Group Ltd. 3.4
Towngas China Co., Ltd. 3.4
------
Total 45.4%
======
---------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2013
First Trust Hong Kong Defined S&P Hong Kong MSCI Hong Kong
AlphaDEX(R) Fund Hong Kong Index BMI Index Index
2/14/12 $10,000 $10,000 $10,000 $10,000
6/30/12 9,573 9,507 9,375 9,502
12/31/12 11,759 11,734 11,132 11,299
6/30/13 11,586 11,777 11,006 11,154
12/31/13 13,455 13,736 12,316 12,553
---------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 15, 2012
(commencement of trading) through December 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%
2/15/12 - 12/31/12 64 70 31 1
1/1/13 - 12/31/13 94 56 14 2
--------------------------------------------------------------------------------
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%
2/15/12 - 12/31/12 43 11 0 0
1/1/13 - 12/31/13 51 31 3 1
Page 33
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ)
The First Trust Switzerland 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 Switzerland Index (the
"Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Index. The shares of the Fund are listed and trade on
the NYSE Arca under the ticker symbol "FSZ." The Fund commenced trading on
February 15, 2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Switzerland BMI Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/14/12) Inception (02/14/12)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 28.89% 20.44% 41.83%
Market Price 29.06% 21.02% 43.12%
INDEX PERFORMANCE
Defined Switzerland Index 30.99% 21.35% 43.79%
S&P Switzerland BMI Index 27.50% 21.70% 44.57%
MSCI Switzerland Index 26.61% 21.45% 44.01%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of 28.89% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Switzerland Index
generated a return of 26.61%. The Industrials sector led all sectors in the Fund
with a 9.2% contribution to the Fund's return. The Fund's holdings in the sector
comprised an average of 25.3% of the Fund's weight and returned 34.4% (local).
The second best-contributing sector was the Financials sector with a 8.3%
contribution. The sector was the heaviest-weighted sector in the Fund with an
average weight of 33.2%, but had a slightly below average local return of 20.5%.
The Health Care sector was the best-performing sector with a return of 62.8%
(local), but the sector's average Fund weight of 10.5% limited its contribution
to the Fund's return to 6.4%. The Fund's outperformance of the benchmark came
from the Industrials sector where the Fund was overweight the benchmark (25.3%
vs. 9.4% average weight) and outperformed the benchmark (+34.4% vs. +22.1%).
Page 34
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 32.1%
Industrials 26.5
Health Care 14.3
Materials 10.8
Consumer Staples 5.4
Consumer Discretionary 3.9
Utilities 3.7
Telecommunication Services 2.5
Information Technology 0.8
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Baloise Holding AG 4.5%
Swiss Life Holding AG 4.4
Georg Fischer AG 4.4
OC Oerlikon Corp., AG 4.4
Lonza Group AG 4.3
Swiss Re AG 4.3
Bucher Industries AG 4.2
BKW AG 3.7
Daetwyler Holding AG 3.6
PSP Swiss Property AG 3.4
------
Total 41.2%
======
-----------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2013
First Trust Switzerland Defined S&P Switzerland MSCI Switzerland
AlphaDEX(R) Fund Switzerland Index BMI Index Index
2/14/12 $10,000 $10,000 $10,000 $10,000
6/30/12 9,444 9,432 9,760 9,769
12/31/12 11,004 10,977 11,338 11,374
6/30/13 11,808 11,869 12,563 12,616
12/31/13 14,183 14,378 14,458 14,401
-----------------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 15, 2012
(commencement of trading) through December 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%
2/15/12 - 12/31/12 137 36 2 0
1/1/13 - 12/31/13 165 13 1 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%
2/15/12 - 12/31/12 41 4 0 0
1/1/13 - 12/31/13 68 5 0 0
Page 35
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
The First Trust Developed Markets ex-US Small 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
Developed Markets ex-US Small Cap Index (the "Index"). The Fund will normally
invest at least 90% of its net assets in common stocks that comprise the Index.
The shares of the Fund are listed and trade on the NYSE Arca under the ticker
symbol "FDTS." The Fund commenced trading on February 16, 2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Developed Markets ex-US SmallCap Index which may generate positive alpha
relative to traditional passive indices. The Index is a modified equal-dollar
weighted index where higher ranked stocks receive a higher weight within the
Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/15/12) Inception (02/15/12)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 22.56% 13.52% 26.88%
Market Price 22.76% 14.10% 28.09%
INDEX PERFORMANCE
Defined Developed Markets ex-US Small Cap
Index 26.10% 15.29% 30.56%
S&P Developed Markets ex-US SmallCap Index 25.56% 16.50% 33.14%
MSCI World ex US Small Cap Index 25.55% 16.11% 32.31%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of 22.56% during the 12-month period covered by
this report. During the same period, the benchmark MSCI World ex US Small Cap
Index generated a return of 25.55%. Countries domiciled in Japan led all other
countries in the Fund with a 9.2% contribution to the Fund's return. The Fund's
holdings from the country comprised an average of 34.6% of the Fund's weight and
had a 49.5% local return, but only a 23.1% USD return due to a weak Japanese
Yen. South Korea was the second best-contributing country with a +2.9%
contribution to the Fund's return. The Fund's holdings from the country returned
18.4% (local) and had an average Fund weight of 13.0%. Australian companies were
the largest detractors from return with a contribution of -1.8%. The Fund's
Australian holdings had a -7.8% local return, but a -20.5% USD return due to a
weak Australian dollar. A poor selection effect among Australian companies and
being underweight the strong-performing United Kingdom relative to the benchmark
were the main causes of Fund underperformance.
Page 36
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
(CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 29.9%
Consumer Discretionary 22.6
Financials 14.7
Information Technology 10.5
Materials 10.5
Energy 3.9
Consumer Staples 3.6
Health Care 2.0
Telecommunication Services 1.2
Utilities 1.1
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Minebea Co., Ltd. 0.6%
Impregilo S.p.A. 0.6
Reply S.p.A. 0.5
SMK Corp. 0.5
Dynam Japan Holdings Co., Ltd. 0.5
Mount Gibson Iron Ltd. 0.5
ASTM S.p.A. 0.5
Autoneum Holding AG 0.5
Eniro AB 0.5
Navios Maritime Holdings, Inc. 0.5
------
Total 5.2%
======
------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 15, 2012 - DECEMBER 31, 2013
First Trust Developed Markets ex-US Defined Developed Markets S&P Developed Markets MSCI World ex US
Small Cap AlphaDEX(R) Fund ex-US Small Cap Index ex-US SmallCap Index Small Cap Index
2/15/12 $10,000 $10,000 $10,000 $10,000
6/30/12 8,976 8,930 9,318 9,258
12/31/12 10,352 10,311 10,604 10,538
6/30/13 10,509 10,625 11,001 10,907
12/31/13 12,686 13,056 13,315 13,231
------------------------------------------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 16, 2012
(commencement of trading) through December 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%
2/16/12 - 12/31/12 35 9 4 0
1/1/13 - 12/31/13 104 38 2 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%
2/16/12 - 12/31/12 82 84 2 3
1/1/13 - 12/31/13 77 30 1 0
Page 37
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
The First Trust Emerging Markets Small 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 Emerging Markets
Small Cap Index (the "Index"). The Fund will normally invest at least 90% of its
net assets in common stocks that comprise the Index. The shares of the Fund are
listed and trade on the NYSE Arca under the ticker symbol "FEMS." The Fund
commenced trading on February 16, 2012.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the S&P
Emerging Markets Small Cap Index which may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (02/15/12) Inception (02/15/12)
12/31/13 to 12/31/13 to 12/31/13
FUND PERFORMANCE
NAV 5.65% 11.22% 22.08%
Market Price 5.87% 12.10% 23.91%
INDEX PERFORMANCE
Defined Emerging Markets Small Cap Index 7.79% 12.21% 24.09%
S&P Emerging Markets SmallCap Index 1.46% 3.77% 7.18%
MSCI Emerging Markets Small Cap Index 1.04% 2.14% 4.04%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 40.)
The Fund generated a NAV return of 5.65% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Emerging Markets Small
Cap Index generated a return of 1.04%. Companies domiciled in Taiwan led all
other countries in the Fund with a 4.9% contribution to the Fund's return. The
Fund's holdings from the country comprised an average of 11.9% of the Fund's
weight and returned 57.2% (local). Within the country, companies in the Consumer
Discretionary sector had a particularly strong return of 113.5% (local).
Companies domiciled in Hong Kong had the next largest contribution to return
with +4.7%. These companies comprised an average of 11.8% of the Fund's weight
and returned 47.0% (local). Within the country the Information Technology sector
was the strongest performer with a 118.6% return (local). Indonesia was the
worst-contributing country in the Fund with a -2.6% contribution. The Fund's
holdings from the country had a local return of -4.0%, but a weak Rupiah caused
the USD return for the companies to be -24.0%. A strong stock selection effect
among Taiwan and Hong Kong companies was the primary driver of the Fund's
outperformance relative to the benchmark.
Page 38
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 19.6%
Information Technology 19.2
Consumer Discretionary 17.9
Industrials 12.8
Materials 10.0
Consumer Staples 8.0
Utilities 4.0
Health Care 3.1
Telecommunication Services 3.0
Energy 2.4
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2013
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Hisense Kelon Electrical Holdings
Co., Ltd. 1.7%
REXLot Holdings Ltd. 1.4
TCL Communication Technology Holdings
Ltd., ADR 1.3
Bitauto Holdings, Ltd., ADR 1.3
TAL Education Group 1.2
Sinotrans Ltd. 1.2
Gruma S.A.B. de C.V., Series B 1.1
Changshouhua Food Co., Ltd. 1.0
Orascom Telecom Media And Technology
Holding SAE 1.0
CIFI Holdings Group Co., Ltd. 1.0
------
Total 12.2%
======
----------------------------------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 15, 2012 - DECEMBER 31, 2013
First Trust Emerging Markets Defined Emerging Markets S&P Emerging Markets MSCI Emerging Markets
Small Cap AlphaDEX(R) Fund Small Cap Index SmallCap Index Small Cap Index
2/15/12 $10,000 $10,000 $10,000 $10,000
6/30/12 8,991 8,898 9,016 9,037
12/31/12 11,556 11,512 10,563 10,297
6/30/13 11,559 11,703 10,069 9,928
12/31/13 12,209 12,409 10,718 10,404
----------------------------------------------------------------------------------------------------------------------------
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 THROUGH DECEMBER 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 February 16, 2012
(commencement of trading) through December 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%
2/16/12 - 12/31/12 94 83 12 0
1/1/13 - 12/31/13 66 86 44 3
--------------------------------------------------------------------------------
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%
2/16/12 - 12/31/12 25 5 0 0
1/1/13 - 12/31/13 34 12 6 1
Page 39
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average annual total returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative total
returns" represent the total change in value of an investment over the periods
indicated.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint 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 each Fund did not trade in the
secondary market until after their inception, for the period from inception to
the first day of secondary market trading in shares of the Fund, the NAV of each
Fund is used as a proxy for the secondary market trading price to calculate
market returns. NAV and market returns assume that all 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 40
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2013 (UNAUDITED)
As a shareholder of First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund, First
Trust Europe AlphaDEX(R) Fund, First Trust Latin America AlphaDEX(R) Fund, First
Trust Brazil AlphaDEX(R) Fund, First Trust China AlphaDEX(R) Fund, First Trust
Japan AlphaDEX(R) Fund, First Trust South Korea AlphaDEX(R) Fund, First Trust
Developed Markets Ex-US AlphaDEX(R) Fund, First Trust Emerging Markets
AlphaDEX(R) Fund, First Trust Germany AlphaDEX(R) Fund, First Trust Canada
AlphaDEX(R) Fund, First Trust Australia AlphaDEX(R) Fund, First Trust United
Kingdom AlphaDEX(R) Fund, First Trust Taiwan AlphaDEX(R) Fund, First Trust Hong
Kong AlphaDEX(R) Fund, First Trust Switzerland AlphaDEX(R) Fund, First Trust
Developed Markets ex-US Small Cap AlphaDEX(R) Fund, and First Trust Emerging
Markets Small 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 (in U.S. dollars) of investing in the Funds and to compare these costs
with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended December 31, 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
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2013 DECEMBER 31, 2013 PERIOD PERIOD (a)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R)
FUND (FPA)
Actual $1,000.00 $1,152.60 0.80% $4.34
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
Actual $1,000.00 $1,250.10 0.80% $4.54
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN)
Actual $1,000.00 $1,010.20 0.80% $4.05
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ)
Actual $1,000.00 $1,024.90 0.80% $4.08
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA)
Actual $1,000.00 $1,214.10 0.80% $4.46
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
Actual $1,000.00 $1,110.00 0.80% $4.25
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
Page 41
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
DECEMBER 31, 2013 (UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2012 DECEMBER 31, 2012 PERIOD PERIOD (a)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO)
Actual $1,000.00 $1,231.50 0.80% $4.50
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R)
FUND (FDT)
Actual $1,000.00 $1,157.00 0.80% $4.35
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
Actual $1,000.00 $1,066.30 0.80% $4.17
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM)
Actual $1,000.00 $1,265.80 0.80% $4.57
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN)
Actual $1,000.00 $1,107.50 0.80% $4.25
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS)
Actual $1,000.00 $1,081.20 0.80% $4.20
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
Actual $1,000.00 $1,245.60 0.80% $4.53
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW)
Actual $1,000.00 $1,071.10 0.80% $4.18
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK)
Actual $1,000.00 $1,161.30 0.80% $4.36
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ)
Actual $1,000.00 $1,201.10 0.80% $4.44
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP
ALPHADEX(R) FUND (FDTS)
Actual $1,000.00 $1,207.20 0.80% $4.45
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST EMERGING MARKETS SMALL CAP
ALPHADEX(R) FUND (FEMS)
Actual $1,000.00 $1,056.20 0.80% $4.15
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
-------------------
(a) Expenses are equal to the annualized expense ratio as indicated in the
table, multiplied by the average account value over the period (July 1,
2013 through December 31, 2013), multiplied by 184/365 (to reflect the
one-half year period).
Page 42
FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 100.0%
AUSTRALIA - 22.9%
39,220 Ansell Ltd. $ 723,854
70,233 Asciano Ltd. 361,216
174,983 Aurizon Holdings Ltd. 762,462
42,652 Boral Ltd. 181,660
35,761 carsales.com Ltd. 325,377
186,119 Challenger Resorts Ltd. 1,030,351
39,498 Crown Resorts Ltd. 594,262
611,136 Dexus Property Group 548,412
21,194 Flight Centre Ltd. 899,842
215,506 Fortescue Metals Group Ltd. 1,119,915
58,831 GPT Group 178,603
16,577 GrainCorp Ltd. 125,814
64,381 Harvey Norman Holdings Ltd. 181,655
228,324 Incitec Pivot Ltd. 546,373
31,906 Leighton Holdings Ltd. 458,956
40,301 Lend Lease Group 400,870
4,053 Macquarie Group Ltd. 198,932
5,965 National Australia Bank Ltd. 185,510
29,040 Origin Energy Ltd. 364,832
138,800 Qantas Airways Ltd. (b) 135,708
27,088 REA Group Ltd. 913,296
27,153 Santos Ltd. 354,703
68,933 Seek Ltd. 825,389
4,295 Sydney Airport 14,573
188,692 TPG Telecom Ltd. 896,330
137,866 Westfield Retail Trust 365,609
10,688 Woodside Petroleum Ltd. 371,235
------------
13,065,739
------------
BERMUDA - 3.5%
211,831 Kerry Properties Ltd. 734,851
246,685 NWS Holdings Ltd. 376,026
274,199 Yue Yuen Industrial Holdings
Ltd. 915,847
------------
2,026,724
------------
CAYMAN ISLANDS - 6.2%
18,043 Melco Crown Entertainment Ltd.,
ADR (b) 707,646
230,647 MGM China Holdings Ltd. 986,027
509,994 SA SA International Holdings
Ltd. 598,500
155,002 Sands China Ltd. 1,271,311
------------
3,563,484
------------
HONG KONG - 24.3%
122,230 AIA Group Ltd. 613,176
2,096,797 Champion REIT 930,191
50,461 Cheung Kong Holdings Ltd. 797,167
109,215 Galaxy Entertainment Group
Ltd. (b) 979,573
155,056 Henderson Land Development
Co., Ltd. 884,829
286,005 Hopewell Holdings Ltd. 970,034
214,699 Hysan Development Co., Ltd. 924,770
195,199 Link REIT 949,022
213,892 Melco International Development
Ltd. 787,514
509,156 New World Development Co., Ltd. 644,792
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HONG KONG (CONTINUED)
649,527 Sino Land Co., Ltd. $ 887,893
136,374 SJM Holdings Ltd. 455,500
55,999 Sun Hung Kai Properties Ltd. 710,612
47,934 Swire Pacific Ltd. 563,453
272,956 Swire Properties Ltd. 689,932
146,756 Techtronic Industries Co. 417,313
110,376 Wharf Holdings Ltd. 842,663
180,536 Wheelock & Co., Ltd. 830,005
------------
13,878,439
------------
NEW ZEALAND - 0.7%
24,194 Fletcher Building Ltd. 169,325
33,070 Ryman Healthcare Ltd. 213,494
------------
382,819
------------
SINGAPORE - 7.3%
497,000 CapitaCommercial Trust 571,061
84,239 Flextronics International
Ltd. (b) 654,537
271,000 Keppel Land Ltd. 717,255
584,000 Keppel REIT 548,389
157,000 Olam International Ltd. 190,970
23,000 Singapore Airlines Ltd. 189,730
293,000 Suntec Real Estate Investment
Trust 357,558
195,000 UOL Group Ltd. 956,496
------------
4,185,996
------------
SOUTH KOREA - 35.1%
6,915 Coway Co., Ltd. 435,075
6,363 Daelim Industrial Co., Ltd. 567,355
29,730 Daewoo Shipbuilding & Marine
Engineering Co., Ltd. 985,976
6,812 Doosan Corp. 900,435
3,400 E-Mart Co., Ltd. 858,578
7,295 GS Holdings 396,080
25,240 Halla Visteon Climate Control
Corp. 926,754
27,140 Hanwha Corp. 1,008,090
1,559 Hyundai Heavy Industries Co.,
Ltd. 379,649
4,470 Hyundai Hysco Co., Ltd. (c) 175,776
1,310 Hyundai Mipo Dockyard 220,950
2,158 Hyundai Mobis 600,154
3,279 Hyundai Motor Co. 734,812
7,463 Hyundai Steel Co. 610,278
17,290 Industrial Bank of Korea 199,056
1,821 KCC Corp. 808,394
12,602 Kia Motors Corp. 669,894
6,850 Korea Electric Power Corp. (b) 225,553
7,219 Korea Gas Corp. 455,570
1,266 Korea Zinc Co., Ltd. 381,473
17,170 KT Corp. 513,302
667 LG Chem Ltd. 189,289
3,108 LG Corp. 188,480
7,910 LG Display Co., Ltd. (b) 190,002
53,440 LG Uplus Corp. (b) 544,350
1,080 Lotte Shopping Co., Ltd. 413,436
1,108 NAVER Corp. 760,119
See Notes to Financial Statements Page 43
FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SOUTH KOREA (CONTINUED)
350 Neo Holdings Co., Ltd. (b) (c) 0
1,288 POSCO 398,476
2,384 Samsung Electro-Mechanics Co.,
Ltd. 164,905
602 Samsung Electronics Co., Ltd. 782,626
833 Samsung Fire & Marine
Insurance Co., Ltd. 204,432
23,920 Samsung Heavy Industries Co.,
Ltd. 862,421
5,486 Samsung SDI Co., Ltd. 842,121
3,578 SK C&C Co., Ltd. 457,697
3,181 SK Holdings Co., Ltd. 575,706
2,818 SK Innovation Co., Ltd. 377,834
2,672 SK Telecom Co., Ltd. 582,328
413 Young Poong Corp. 495,827
------------
20,083,253
------------
TOTAL INVESTMENTS - 100.0% 57,186,454
(Cost $55,747,626) (d)
NET OTHER ASSETS AND
LIABILITIES - 0.0% (19,703)
------------
NET ASSETS - 100.0% $ 57,166,751
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) Non-income producing security.
(c) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $175,776 or 0.31% of net assets.
(d) Aggregate cost for federal income tax purposes is $56,174,888. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$3,379,456 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$2,367,890.
ADR American Depositary Receipt
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Australia $ 13,065,739 $ 13,065,739 $ -- $ --
Bermuda 2,026,724 2,026,724 -- --
Cayman Islands 3,563,484 3,563,484 -- --
Hong Kong 13,878,439 13,878,439 -- --
New Zealand 382,819 382,819 -- --
Singapore 4,185,996 4,185,996 -- --
South Korea 20,083,253 19,907,477 175,776 --
-------------------------------------------------------
Total Investments $ 57,186,454 $ 57,010,678 $ 175,776 $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $7,442,380 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the New York Stock Exchange ("NYSE") close on December 31,
2012 exceeding a certain threshold.
INDUSTRY % OF NET ASSETS
--------------------------------------------------------
Real Estate Management & Development 18.5%
Hotels, Restaurants & Leisure 11.7
Real Estate Investment Trusts 7.8
Metals & Mining 5.6
Industrial Conglomerates 5.3
Machinery 4.3
Diversified Telecommunication Services 3.4
Oil, Gas & Consumable Fuels 3.3
Electronic Equipment, Instruments &
Components 3.2
Chemicals 3.0
Auto Components 2.7
Automobiles 2.5
Road & Rail 2.0
Internet Software & Services 1.9
Food & Staples Retailing 1.8
Diversified Financial Services 1.8
Construction & Engineering 1.8
Textiles, Apparel & Luxury Goods 1.6
Media 1.6
Household Durables 1.5
Professional Services 1.4
Insurance 1.4
Building Products 1.4
Semiconductors & Semiconductor Equipment 1.4
Health Care Equipment & Supplies 1.3
Specialty Retail 1.0
Multiline Retail 1.0
Wireless Telecommunication Services 1.0
IT Services 0.8
Gas Utilities 0.8
Commercial Banks 0.7
Construction Materials 0.6
Airlines 0.6
Electric Utilities 0.4
Health Care Providers & Services 0.4
Capital Markets 0.3
Food Products 0.2
Transportation Infrastructure 0.0
--------------------------------------------------------
TOTAL INVESTMENTS 100.0
NET OTHER ASSETS AND LIABILITIES (0.0)*
------------
TOTAL 100.0%
============
* Amount is less than 0.1%.
Page 44 See Notes to Financial Statements
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.6%
AUSTRIA - 2.1%
122,101 EVN AG $ 1,937,584
62,949 OMV AG 3,012,777
109,869 Verbund AG 2,345,042
25,993 Voestalpine AG 1,249,047
------------
8,544,450
------------
BELGIUM - 1.8%
15,358 Ageas 653,912
70,139 Belgacom S.A. 2,075,022
40,181 D'ieteren S.A. N.V. 2,001,027
19,744 Delhaize Group S.A. 1,173,391
27,931 Elia System Operator S.A. N.V. 1,294,911
------------
7,198,263
------------
BERMUDA - 0.5%
59,238 Hiscox Ltd. 681,762
27,710 Seadrill Ltd. 1,131,188
------------
1,812,950
------------
CAYMAN ISLANDS - 0.2%
51,553 Phoenix Group Holdings 621,061
------------
DENMARK - 2.9%
321 AP Moller - Maersk A.S. 3,483,629
45,142 Pandora A.S. 2,447,420
220,418 TDC A.S. 2,138,027
123,204 Vestas Wind Systems A.S. (b) 3,639,718
------------
11,708,794
------------
FINLAND - 3.1%
32,080 Cargotec OYJ 1,195,548
82,762 Fortum OYJ 1,893,420
41,431 Kesko OYJ 1,527,510
140,545 Neste Oil OYJ 2,778,407
283,780 Nokia OYJ (b) 2,272,106
220,037 Stora Enso OYJ 2,208,232
44,906 UPM-Kymmene OYJ 758,624
------------
12,633,847
------------
FRANCE - 17.7%
62,447 Air France-KLM (b) 651,701
912,680 Alcatel-Lucent (b) 4,090,660
26,853 AXA S.A. 746,591
18,385 BNP Paribas S.A. 1,432,806
5,937 Bollore S.A. 3,484,677
68,133 Bouygues S.A. 2,570,092
36,226 Carrefour S.A. 1,435,778
18,099 Casino Guichard Perrachon S.A. 2,085,772
6,348 Christian Dior S.A. 1,199,470
12,546 Cie de St-Gobain 689,950
22,442 Cie Generale des Etablissements
Michelin 2,384,975
169,131 Credit Agricole S.A. (b) 2,165,027
11,326 Eiffage S.A. 652,072
98,275 Electricite de France S.A. 3,472,533
15,261 Euler Hermes S.A. 2,101,555
SHARES DESCRIPTION VALUE
------------------------------------------------------------
FRANCE (CONTINUED)
107,374 Faurecia (b) (c) $ 4,092,428
24,742 GDF Suez 581,872
17,817 Imerys S.A. 1,549,331
33,777 JCDecaux S.A. 1,392,616
28,978 Metropole Television S.A. 663,753
49,564 Orange S.A. 613,667
189,113 Peugeot S.A. (b) (c) 2,455,416
122,948 Plastic Omnium S.A. 3,433,533
31,175 Renault S.A. 2,506,771
30,293 Safran S.A. 2,104,958
62,399 Societe Generale S.A. 3,624,262
71,457 Societe Television Francaise 1 1,377,230
38,306 Suez Environnement Co. 686,386
25,702 Teleperformance 1,566,193
22,609 Thales S.A. 1,455,630
42,858 Total S.A. 2,625,478
36,421 Valeo S.A. 4,029,894
109,208 Veolia Environnement S.A. 1,781,065
8,768 Vicat S.A. 651,355
22,945 Wendel S.A. 3,344,358
11,729 Zodiac Aerospace (c) 2,077,457
------------
71,777,312
------------
GERMANY - 11.4%
11,559 Bayerische Motoren Werke AG 1,355,144
11,010 Continental AG 2,414,345
31,889 Daimler AG 2,759,404
95,625 Deutsche Lufthansa AG (b) 2,028,521
74,940 Deutsche Post AG 2,732,016
25,406 Duerr AG 2,265,177
104,838 E.ON SE 1,934,787
27,640 ElringKlinger AG 1,124,380
17,826 Evonik Industries AG (b) 726,623
77,099 Freenet AG 2,310,098
4,095 Generali Deutschland Holding
AG 633,205
8,068 HeidelbergCement AG 612,118
35,590 Hochtief AG 3,038,530
119,909 K+S AG (c) 3,690,953
14,631 Krones AG 1,256,583
15,687 Metro AG 759,637
35,559 Porsche Automobil Holding SE
(Preference Shares) 3,701,175
67,485 Sky Deutschland AG (b) 742,713
84,385 Suedzucker AG 2,277,655
393,774 Telefonica Deutschland
Holding AG 3,250,289
65,647 United Internet AG 2,792,403
13,187 Volkswagen AG (Preference
Shares) 3,703,558
------------
46,109,314
------------
GREECE - 3.6%
3,234,691 Alpha Bank AE (b) 2,807,928
119,304 Hellenic Telecommunications
Organization S.A. (b) 1,587,103
167,049 OPAP S.A. 2,222,256
See Notes to Financial Statements Page 45
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
GREECE (CONTINUED)
1,837,298 Piraeus Bank S.A. (b) $ 3,867,184
274,380 Public Power Corp. S.A. 4,076,617
------------
14,561,088
------------
GUERNSEY - 0.7%
483,474 Resolution Ltd. 2,834,155
------------
IRELAND - 2.2%
8,753,077 Bank of Ireland (b) 3,034,485
45,581 ICON PLC (b) 1,841,928
74,551 Kingspan Group PLC 1,364,046
405 Perrigo Co PLC 62,151
109,869 Smurfit Kappa Group PLC 2,704,016
------------
9,006,626
------------
ISLE OF MAN (U.K.) - 0.2%
52,193 Playtech PLC 636,982
------------
ITALY - 7.0%
2,545,899 A2A S.p.A. 2,978,785
84 Atlantia S.p.A. 1,885
106,117 Autogrill S.p.A. (b) 896,349
81,616 Azimut Holding S.p.A. 2,226,495
579,864 Enel Green Power S.p.A 1,460,623
324,541 Enel S.p.A 1,417,099
108,460 ENI S.p.A. 2,609,655
82,851 Exor S.p.A. 3,295,108
312,077 Fiat S.p.A. (b) 2,552,333
21,746 GTECH S.p.A 662,938
1,249,173 Hera S.p.A. 2,835,504
256,726 Mediolanum S.p.A 2,225,021
185,615 Parmalat S.p.A 632,248
292,569 UniCredit S.p.A. 2,165,381
421,855 Unipol Gruppo Finanziario S.p.A. 2,521,023
------------
28,480,447
------------
JERSEY - 0.4%
422,126 Regus PLC 1,518,270
------------
LUXEMBOURG - 0.4%
2,464 Eurofins Scientific 666,081
59,839 Subsea 7 S.A. 1,145,419
------------
1,811,500
------------
NETHERLANDS - 3.9%
168,022 Aegon N.V. 1,586,137
48,784 Airbus Group N.V. 3,745,529
50,961 Fugro N.V., ADR 3,036,687
8,783 Heineken N.V. 593,022
35,911 Koninklijke Ahold N.V. 644,706
14,026 Koninklijke Boskalis Westminster
N.V. 741,046
23,801 Nutreco N.V. 1,182,351
33,422 NXP Semiconductor N.V. (b) 1,535,072
33,100 Randstad Holding N.V. 2,147,007
31,373 SBM Offshore N.V. (b) 638,766
------------
15,850,323
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
NORWAY - 4.0%
56,032 Fred Olsen Energy ASA $ 2,280,893
251,680 Petroleum Geo-Services ASA 2,964,822
109,598 Statoil ASA 2,656,242
448,987 Storebrand ASA (b) 2,805,568
84,524 TGS Nopec Geophysical Co. ASA 2,240,855
75,292 Yara International ASA 3,239,941
------------
16,188,321
------------
PORTUGAL - 2.0%
340,386 EDP - Energias de Portugal S.A. 1,250,279
855,446 Portucel S.A. 3,424,596
137,948 Portugal Telecom SGPS S.A. 599,689
1,495,234 Sonae 2,157,786
104,434 ZON OPTIMUS SGPS S.A. 775,817
------------
8,208,167
------------
SPAIN - 7.9%
32,789 Acciona S.A. (c) 1,883,928
39,127 ACS Actividades de Construccion
y Servicios S.A. 1,346,752
48,313 Atresmedia Corp de Medios de
Comunicaion S.A. (b) 798,900
493,866 Banco de Sabadell S.A. 1,288,164
115,565 Bankinter S.A. 792,847
358,911 EDP Renovaveis S.A. 1,906,384
25,385 Enagas S.A. 663,346
95,474 Endesa S.A. (b) (c) 3,060,305
125,133 Fomento de Construcciones y
Contratas S.A. (b) 2,784,453
89,353 Gas Natural SDG S.A. 2,298,044
81,781 Grupo Catalana Occidente S.A. 2,927,409
427,969 Iberdrola S.A. 2,728,889
567,719 International Consolidated
Airlines Group S.A. (b) 3,773,619
81,967 Obrascon Huarte Lain S.A. 3,320,277
100,304 Repsol S.A. 2,527,944
------------
32,101,261
------------
SWEDEN - 7.5%
165,954 Boliden AB 2,540,198
77,339 Holmen AB 2,812,502
244,223 Hufvudstaden AB 3,271,191
100,993 ICA Gruppen AB (b) 3,156,105
168,872 Industrivarden AB 3,211,058
102,437 Investor AB 3,524,539
59,747 Lundbergforetagen AB 2,533,176
62,665 NCC AB 2,045,039
133,512 Ratos AB 1,207,075
108,859 Securitas AB 1,156,823
124,868 Swedish Orphan Biovitrum AB (b) 1,295,885
194,436 Tele2 AB 2,202,269
162,279 TeliaSonera AB 1,351,095
------------
30,306,955
------------
SWITZERLAND - 4.4%
5,628 Baloise Holding AG 716,710
735 Galenica AG 739,902
Page 46 See Notes to Financial Statements
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SWITZERLAND (CONTINUED)
4,103 Georg Fischer AG $ 2,886,198
754 Lindt & Spruengli AG 3,398,727
92,965 OC Oerlikon Corp. AG 1,391,270
21,099 Panalpina Welttransport Holding
AG 3,536,013
14,345 PSP Swiss Property AG 1,214,111
9,849 Swiss Life Holding AG 2,044,767
15,026 Swiss Re AG 1,382,079
15,974 Vontobel Holding AG 661,666
------------
17,971,443
------------
UNITED KINGDOM - 15.7%
11,950 AstraZeneca PLC 707,344
42,340 Berendsen PLC 656,607
32,546 BG Group PLC 699,282
42,199 BHP Billiton PLC 1,306,047
443,459 BP PLC 3,583,975
573,321 Capital & Counties Properties
PLC 3,125,395
18,344 Carnival PLC 759,722
81,078 Derwent London PLC 3,349,815
3,292,261 Dixons Retail PLC (b) 2,644,678
112,551 Drax Group PLC 1,491,962
666,882 DS Smith PLC 3,666,353
224,637 GKN PLC 1,388,630
213,809 Great Portland Estates PLC 2,120,801
973,303 Hays PLC 2,092,040
251,681 Inchcape PLC 2,561,059
294,344 J Sainsbury PLC 1,779,079
228,879 Jazztel PLC (b) 2,449,365
298,622 Kingfisher PLC 1,902,353
454,041 Ladbrokes PLC 1,345,094
783,126 Legal & General Group PLC 2,888,012
2,610,256 Lloyds Banking Group PLC (b) 3,409,551
147,299 Mondi PLC 2,551,401
388,006 Ocado Group PLC (b) 2,837,362
472,045 Premier Oil PLC 2,451,357
33,361 Prudential PLC 740,272
271,464 Sports Direct International
PLC (b) 3,214,145
249,842 St. James's Place PLC 3,011,924
1,001,629 Thomas Cook Group PLC (b) 2,773,259
35,505 Vedanta Resources PLC 548,847
411,563 WM Morrison Supermarkets PLC 1,778,787
------------
63,834,518
------------
TOTAL COMMON STOCKS 403,716,047
(Cost $373,798,079) ------------
RIGHTS (a) - 0.0%
ITALY - 0.0%
1,860 Gemina S.p.A. expiring
12/31/49 (b) (d) 0
------------
SPAIN - 0.0%
100,304 Repsol S.A. expiring 1/9/14 (b) 68,442
------------
TOTAL RIGHTS 68,442
(Cost $1,846) ------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MONEY MARKET FUNDS - 2.8%
11,266,002 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class -
0.001% (e) (f) $ 11,266,002
------------
(Cost $11,266,002)
TOTAL INVESTMENTS - 102.4% 415,050,491
(Cost $385,065,927) (g)
NET OTHER ASSETS AND
LIABILITIES - (2.4)% (9,569,580)
------------
NET ASSETS - 100.0% $405,480,911
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) Non-income producing security.
(c) All or a portion of this security is on loan. (See Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $10,726,044 and the total value of the collateral held by
the Fund is $11,266,002.
(d) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $0 or 0.00% of net assets.
(e) Interest rate shown reflects yield as of December 31, 2013.
(f) This security serves as collateral for securities on loan.
(g) Aggregate cost for federal income tax purposes is $386,491,553. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$31,778,077 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$3,219,139.
ADR - American Depositary Receipt
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $403,716,047 $403,716,047 $ -- $ --
Rights* 68,442 68,442 --** --
Money Market
Funds 11,266,002 11,266,002 -- --
-------------------------------------------------------
Total Investments $415,050,491 $415,050,491 $ --** $ --
=======================================================
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
See Notes to Financial Statements Page 47
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
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. As of December
31, 2013, the Fund transferred common stocks valued at $18,348,598 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
OFFSETTING ASSETS AND LIABILITIES
The Fund's loaned securities were all subject to enforceable Securities Lending
Agency Agreements. Securities lent in accordance with a Securities Lending
Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENTS
Total gross amount presented in Statements of
Assets and Liabilities(1) $ 10,726,044
Non-cash Collateral(2) (10,726,044)
------------
Net Amount $ --
============
(1) The amounts presented on the Statement of Assets and Liabilities are not
offset and are shown on a gross basis.
(2) At December 31, 2013, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed in the Portfolio of Investments.
INDUSTRY % OF NET ASSETS
--------------------------------------------------------
Insurance 7.7%
Electric Utilities 6.3
Commercial Banks 6.1
Oil, Gas & Consumable Fuels 5.7
Automobiles 4.7
Auto Components 4.6
Food & Staples Retailing 4.1
Construction & Engineering 4.1
Diversified Financial Services 3.9
Diversified Telecommunication Services 3.5
Energy Equipment & Services 3.3
Paper & Forest Products 2.9
Money Market Funds 2.8
Multi-Utilities 2.7
Air Freight & Logistics 2.4
Aerospace & Defense 2.3
Machinery 2.2
Hotels, Restaurants & Leisure 2.1
Specialty Retail 1.9
Chemicals 1.9
Real Estate Management & Development 1.9
Food Products 1.8
Airlines 1.6
Containers & Packaging 1.6
Communications Equipment 1.6
Professional Services 1.4
Media 1.4
Metals & Mining 1.4
Real Estate Investment Trusts 1.3
Independent Power Producers & Energy Traders 1.2
Distributors 1.1
Wireless Telecommunication Services 1.1
Capital Markets 1.0
Textiles, Apparel & Luxury Goods 0.9
Electrical Equipment 0.9
Marine 0.9
Commercial Services & Supplies 0.8
Gas Utilities 0.7
Internet & Catalog Retail 0.7
Construction Materials 0.7
Internet Software & Services 0.7
Life Sciences Tools & Services 0.6
Building Products 0.5
Semiconductors & Semiconductor Equipment 0.4
Pharmaceuticals 0.4
Biotechnology 0.3
Software 0.2
Beverages 0.1
Transportation Infrastructure 0.0+
--------------------------------------------------------
TOTAL INVESTMENTS 102.4
NET OTHER ASSETS AND LIABILITIES (2.4)
------------
TOTAL 100.0%
============
+ Amount is less than 0.1%.
Page 48 See Notes to Financial Statements
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
% OF TOTAL
CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS
--------------------------------------------------------
Euro 60.3%
British Pound Sterling 17.2
Swedish Krona 7.3
Norwegian Krone 4.5
Swiss Franc 4.3
US Dollar 3.6
Danish Krone 2.8
------------
TOTAL 100.0%
============
See Notes to Financial Statements Page 49
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.3%
BRAZIL - 64.3%
5,779 AES Tiete S.A. (Preference
Shares) $ 46,761
9,614 Banco do Brasil S.A. 99,431
8,121 Banco do Estado do Rio Grande
do Sul S.A. (Preference
Shares) 43,372
8,317 Banco Santander Brasil SA 49,283
30,909 BR Malls Participacoes S.A. 223,375
18,922 BR Properties S.A. 149,178
35,002 Braskem S.A. (Preference
Shares) (b) 311,558
11,505 BRF S.A. 240,170
10,725 Cia de Gas de Sao Paulo
(Preference Shares) 264,801
28,710 Cia de Saneamento Basico do
Estado de Sao Paulo 321,995
42,225 Cia Energetica de Minas Gerais
(Preference Shares) 250,746
15,762 Cia Energetica de Sao Paulo
(Preference Shares) 149,787
15,804 Cia Paranaense de Energia
(Preference Shares) 204,513
6,219 Cielo S.A. 173,054
29,673 Cyrela Brazil Realty S.A.
Empreendimentos e
Participacoes 181,113
28,261 Duratex S.A. 157,521
10,303 EDP - Energias do Brasil S.A. 49,566
9,757 Fibria Celulose S.A. (b) 114,350
7,485 Gerdau S.A. (Preference Shares) 58,186
6,295 Grendene S.A. 48,268
20,848 Hypermarcas S.A. 155,968
80,165 JBS S.A. 297,996
4,873 M Dias Branco S.A. 206,549
11,744 Metalurgica Gerdau S.A.
(Preference Shares) 116,482
58,064 Oi S.A. (Preference Shares) 88,354
33,839 Petroleo Brasileiro S.A.
(Preference Shares) 244,980
22,189 Porto Seguro S.A. 279,802
10,108 Telefonica Brasil S.A.
(Preference Shares) 192,070
48,349 Tim Participacoes S.A. 252,683
6,820 Ultrapar Participacoes S.A. 161,737
23,623 Usinas Siderurgicas de Minas
Gerais S.A. (Perference
Shares) (b) 142,284
------------
5,275,933
------------
CHILE - 6.0%
27,246 Cia General de Electricidad S.A. 147,262
524,261 Enersis S.A. 157,143
13,778 ENTEL Chile S.A. 187,220
------------
491,625
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COLOMBIA - 6.4%
31,922 Cementos Argos S.A. $ 162,091
5,435 Corp Financiera Colombiana SA 111,516
48,588 Ecopetrol S.A. 93,148
69,096 Empresa de Energia de Bogota
SA ESP 54,955
2,791 Grupo de Inversiones
Suramericana SA 48,734
3,909 Grupo Nutresa SA 53,551
------------
523,995
------------
LUXEMBOURG - 4.4%
11,619 Ternium S.A., ADR 363,675
------------
MEXICO - 16.7%
83,309 Alfa S.A.B. de C.V., Series A 234,808
120,260 Compartamos S.A.B. de C.V. (b) 224,650
53,168 Controladora Comercial
Mexicana SAB de C.V. 230,891
11,005 Grupo Aeroportuario del
Pacifico SAB de C.V., Series B 58,487
36,116 Grupo Bimbo S.A.B. de C.V.,
Series A 111,613
31,527 Grupo Carso S.A.B. de C.V.,
Series A1 166,394
37,566 Grupo Mexico SAB de C.V.,
Series B 124,036
85,070 OHL Mexico S.A.B. de C.V. (b) 216,772
------------
1,367,651
------------
PERU - 1.5%
28,093 Grana y Montero SAA 119,536
------------
TOTAL INVESTMENTS - 99.3% 8,142,415
(Cost $8,633,436) (c)
NET OTHER ASSETS AND
LIABILITIES - 0.7% 59,604
------------
NET ASSETS - 100.0% $ 8,202,019
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $8,785,252. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$637,873 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$1,280,710.
ADR - American Depositary Receipt
Page 50 See Notes to Financial Statements
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $ 8,142,415 $ 8,142,415 $ -- $ --
=======================================================
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 December 31, 2013.
* See Portfolio of Investments for country breakout.
INDUSTRY % OF NET ASSETS
--------------------------------------------------------
Food Products 11.1%
Electric Utilities 9.9
Metals & Mining 9.8
Oil, Gas & Consumable Fuels 6.1
Wireless Telecommunication Services 5.4
Industrial Conglomerates 4.9
Real Estate Management & Development 4.5
Water Utilities 3.9
Gas Utilities 3.9
Chemicals 3.8
Diversified Telecommunication Services 3.4
Insurance 3.4
Transportation Infrastructure 3.4
Paper & Forest Products 3.3
Food & Staples Retailing 2.8
Consumer Finance 2.7
Independent Power Producers & Energy Traders 2.4
Commercial Banks 2.3
Household Durables 2.2
IT Services 2.1
Construction Materials 2.0
Diversified Financial Services 2.0
Personal Products 1.9
Construction & Engineering 1.5
Textiles, Apparel & Luxury Goods 0.6
--------------------------------------------------------
TOTAL INVESTMENTS 99.3
NET OTHER ASSETS AND LIABILITIES 0.7
------------
TOTAL 100.0%
============
See Notes to Financial Statements Page 51
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.9%
AEROSPACE & DEFENSE - 2.9%
20,821 Embraer S.A. $ 166,709
------------
CHEMICALS - 4.0%
25,928 Braskem S.A. (Preference
Shares) (a) 230,789
------------
COMMERCIAL BANKS - 3.2%
7,719 Banco do Brasil S.A. 79,832
5,645 Banco do Estado do Rio Grande
do Sul S.A. (Preference
Shares) 30,148
12,606 Banco Santander Brasil SA 74,698
------------
184,678
------------
CONTAINERS & PACKAGING - 0.7%
7,694 Klabin S.A. (Preference Shares) 39,982
------------
DIVERSIFIED CONSUMER
SERVICES - 4.4%
26,482 Anhanguera Educacional
Participacoes S.A. 167,249
5,528 Kroton Educacional S.A. 91,991
------------
259,240
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 4.5%
87,149 Oi S.A. (Preference Shares) 132,612
6,778 Telefonica Brasil S.A.
(Preference Shares) 128,794
------------
261,406
------------
ELECTRIC UTILITIES - 7.5%
28,046 Cia Energetica de Minas Gerais
(Preference Shares) 166,546
15,427 Cia Paranaense de Energia
(Preference Shares) 199,634
4,124 CPFL Energia S.A. 33,370
7,538 EDP - Energias do Brasil S.A. 36,264
------------
435,814
------------
FOOD & STAPLES RETAILING - 3.2%
2,572 Cia Brasileira de Distribuicao
Grupo Pao de Acucar
(Preference Shares) 114,370
11,835 Raia Drogasil S.A. 74,143
------------
188,513
------------
FOOD PRODUCTS - 10.3%
8,814 BRF S.A. 183,995
66,002 JBS S.A. 245,348
4,091 M Dias Branco S.A. 173,402
------------
602,745
------------
GAS UTILITIES - 1.5%
3,524 Cia de Gas de Sao Paulo
(Preference Shares) 87,008
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HOUSEHOLD DURABLES - 1.7%
16,703 Cyrela Brazil Realty S.A.
Empreendimentos e
Participacoes $ 101,949
------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS - 3.9%
8,103 AES Tiete S.A. (Preference
Shares) 65,566
13,052 Cia Energetica de Sao Paulo
(Preference Shares) 124,033
2,463 Tractebel Energia S.A. 37,521
------------
227,120
------------
INSURANCE - 6.6%
24,263 BB Seguridade Participacoes S.A. 251,963
10,811 Porto Seguro S.A. 136,326
------------
388,289
------------
IT SERVICES - 2.2%
4,575 Cielo S.A. 127,307
------------
MACHINERY - 3.0%
26,836 Marcopolo S.A. (Preference
Shares) 58,012
9,102 WEG S.A. 120,215
------------
178,227
------------
METALS & MINING - 8.4%
4,228 Bradespar S.A. (Preference
Shares) 44,946
20,319 Gerdau S.A. (Preference Shares) 157,953
16,024 Metalurgica Gerdau S.A.
(Preference Shares) 158,932
9,472 Vale S.A. (Preference Shares) 131,406
------------
493,237
------------
MULTILINE RETAIL - 0.6%
5,461 Lojas Americanas S.A.
(Preference Shares) 36,411
------------
OIL, GAS & CONSUMABLE
FUELS - 8.1%
9,871 Cosan S.A. Industria e Comercio 165,601
21,114 Petroleo Brasileiro S.A.
(Preference Shares) 152,857
6,431 Ultrapar Participacoes S.A. 152,512
------------
470,970
------------
PAPER & FOREST PRODUCTS - 4.0%
13,324 Duratex S.A. 74,265
6,901 Fibria Celulose S.A. (a) 80,879
20,704 Suzano Papel e Celulose S.A.
(Preference Shares) 81,087
------------
236,231
------------
Page 52 See Notes to Financial Statements
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 5.7%
21,373 BR Malls Participacoes S.A. $ 154,460
22,475 BR Properties S.A. 177,190
------------
331,650
------------
ROAD & RAIL - 0.9%
18,056 All America Latina Logistica
S.A. 50,205
------------
TEXTILES, APPAREL & LUXURY
GOODS - 4.8%
23,691 Alpargatas S.A. (Preference
Shares) 148,618
16,862 Grendene S.A. 129,292
------------
277,910
------------
TRANSPORTATION
INFRASTRUCTURE - 1.2%
4,230 Arteris S.A. 34,155
5,454 EcoRodovias Infraestrutura e
Logistica S.A. 34,214
------------
68,369
------------
WATER UTILITIES - 2.8%
14,783 Cia de Saneamento Basico do
Estado de Sao Paulo 165,798
------------
WIRELESS TELECOMMUNICATION
SERVICES - 3.8%
42,228 Tim Participacoes S.A. 220,694
------------
TOTAL INVESTMENTS - 99.9% 5,831,251
(Cost $6,275,222) (b)
NET OTHER ASSETS AND
LIABILITIES - 0.1% 4,087
------------
NET ASSETS - 100.0% $ 5,835,338
============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $6,419,782. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$698,539 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$1,287,070.
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $ 5,831,251 $ 5,831,251 $ -- $ --
=======================================================
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 December 31, 2013.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
Brazil 99.9%
Net Other Assets and Liabilities 0.1
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of incorporation.
See Notes to Financial Statements Page 53
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.0%
AEROSPACE & DEFENSE - 3.1%
252,000 AviChina Industry & Technology
Co., Ltd., Class H $ 146,891
------------
AIRLINES - 2.3%
84,000 China Eastern Airlines Corp.
Ltd., Class H (a) 31,632
192,397 China Southern Airlines Co.,
Ltd., Class H 75,179
------------
106,811
------------
AUTO COMPONENTS - 2.2%
116,000 Xinyi Glass Holdings Ltd. 102,472
------------
AUTOMOBILES - 3.5%
29,918 Great Wall Motor Co., Ltd.,
Class H 164,747
------------
CHEMICALS - 0.6%
42,000 China BlueChemical Ltd.,
Class H 26,432
------------
CONSTRUCTION & ENGINEERING
- 1.9%
33,000 China Communications
Construction Co., Ltd.,
Class H 26,598
34,000 China State Construction
International Holdings Ltd. 61,035
------------
87,633
------------
CONSTRUCTION MATERIALS - 2.3%
126,166 BBMG Corp., Class H 109,826
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 2.8%
122,000 China Communications Services
Corp., Ltd. 75,519
108,400 China Telecom Corp., Ltd.,
Class H 54,799
------------
130,318
------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS AND COMPONENTS
- 1.9%
18,500 AAC Technologies Holdings, Inc. 89,824
------------
FOOD & STAPLES RETAILING - 0.5%
18,000 Sun Art Retail Group Ltd. 25,302
------------
FOOD PRODUCTS - 4.2%
18,500 Biostime International Holdings
Ltd. 164,618
7,000 China Mengniu Dairy Co., Ltd. 33,266
------------
197,884
------------
GAS UTILITIES - 2.3%
26,000 China Gas Holdings Ltd. 38,224
20,000 China Resources Gas Group Ltd. 69,252
------------
107,476
------------
HOUSEHOLD DURABLES - 2.0%
32,198 Haier Electronics Group Co.,
Ltd. 93,634
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS - 4.9%
128,189 Datang International Power
Generation Co., Ltd., Class H $ 59,017
358,000 Huaneng Renewables Corp. Ltd.,
Class H 171,745
------------
230,762
------------
INDUSTRIAL CONGLOMERATES - 3.1%
96,475 CITIC Pacific Ltd. 147,556
------------
INTERNET & CATALOG RETAIL
- 4.2%
3,967 Ctrip.com International Ltd.,
ADR (a) 196,843
------------
INTERNET SOFTWARE & SERVICES
- 5.3%
1,681 Sohu.com, Inc. (a) 122,595
2,000 Tencent Holdings Ltd. 127,413
------------
250,008
------------
MACHINERY - 4.3%
34,000 CIMC Enric Holdings Ltd. 54,808
158,000 Yangzijiang Shipbuilding
Holdings Ltd. 148,366
------------
203,174
------------
METALS & MINING - 9.4%
257,501 China Hongqiao Group Ltd. 177,328
61,000 Jiangxi Copper Co., Ltd.,
Class H 110,132
732,400 Zijin Mining Group Co., Ltd.,
Class H 155,844
------------
443,304
------------
OIL, GAS & CONSUMABLE FUELS
- 11.4%
246,867 China Coal Energy Co., Ltd.,
Class H 138,806
30,500 China Shenhua Energy Co., Ltd.,
Class H 95,973
45,666 CNOOC Ltd. 84,921
48,000 PetroChina Co., Ltd., Class H 52,554
181,335 Yanzhou Coal Mining Co., Ltd.,
Class H 165,566
------------
537,820
------------
PHARMACEUTICALS - 7.8%
36,000 Guangzhou Baiyunshan
Pharmaceutical Holdings Co.,
Ltd., Class H (a) 127,439
158,000 Sihuan Pharmaceutical Holdings
Group Ltd. 144,057
120,000 Sino Biopharmaceutical Ltd. 95,328
------------
366,824
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 14.4%
96,000 Agile Property Holdings Ltd. 102,880
40,667 China Overseas Grand Oceans
Group Ltd. 38,704
Page 54 See Notes to Financial Statements
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 14.4%
49,246 Country Garden Holdings Co.,
Ltd. $ 29,658
280,192 Evergrande Real Estate Group
Ltd. 106,594
78,000 Franshion Properties China Ltd. 26,958
15,999 Greentown China Holdings Ltd. 24,429
53,680 Guangzhou R&F Properties Co.,
Ltd., Class H 78,502
18,000 Hopson Development Holdings
Ltd. (a) 21,774
95,332 Sino-Ocean Land Holdings Ltd. 62,331
162,500 SOHO China Ltd. 139,149
204,000 Yuexiu Property Co., Ltd. 50,248
------------
681,227
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 1.8%
1,059,600 Semiconductor Manufacturing
International Corp. (a) 83,354
------------
WATER UTILITIES - 3.8%
288,000 Beijing Enterprises Water Group
Ltd. 180,875
------------
TOTAL INVESTMENTS - 100.0% 4,710,997
(Cost $4,485,287) (b)
NET OTHER ASSETS AND
LIABILITIES - 0.0% 469
------------
NET ASSETS - 100.0% $ 4,711,466
============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $4,501,512. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$575,992 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$366,507.
ADR - American Depositary Receipt
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $ 4,710,997 $ 4,710,997 $ -- $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $1,173,997 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
China 39.6%
Cayman Islands 33.7
Bermuda 11.6
Hong Kong 9.3
Singapore 3.2
United States 2.6
--------------------------------------------------------
TOTAL INVESTMENTS 100.0
NET OTHER ASSETS AND LIABILITIES 0.0+
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
+ Amount is less than 0.1%.
See Notes to Financial Statements Page 55
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.3%
AIR FREIGHT & LOGISTICS - 0.3%
14,200 Yamato Holdings Co., Ltd. $ 286,670
------------
AIRLINES - 2.4%
451,000 ANA Holdings, Inc. (a) 899,345
31,100 Japan Airlines Co., Ltd. 1,532,703
------------
2,432,048
------------
AUTO COMPONENTS - 8.5%
32,100 Aisin Seiki Co., Ltd. 1,301,557
26,900 Denso Corp. 1,417,672
59,000 Koito Manufacturing Co., Ltd. 1,124,423
57,000 NGK Spark Plug Co., Ltd. 1,347,735
54,000 NHK Spring Co., Ltd. 608,147
80,100 NOK Corp. 1,308,252
17,100 Stanley Electric Co., Ltd. 391,006
13,300 Toyoda Gosei Co., Ltd. 309,041
44,700 Toyota Boshoku Corp. 557,318
39,000 Yokohama Rubber (The) Co., Ltd. 382,556
------------
8,747,707
------------
AUTOMOBILES - 7.4%
17,100 Daihatsu Motor Co., Ltd. 289,357
63,200 Fuji Heavy Industries Ltd. 1,809,401
91,000 Isuzu Motors Ltd. 565,132
402,000 Mazda Motor Corp. (b) 2,076,612
22,600 Mitsubishi Motors Corp. (a) (b) 242,289
31,400 Nissan Motor Co., Ltd. 263,580
40,600 Suzuki Motor Corp. 1,090,274
21,700 Toyota Motor Corp. 1,322,894
------------
7,659,539
------------
BIOTECHNOLOGY - 0.5%
27,000 Takara Bio, Inc. 558,152
------------
BUILDING PRODUCTS - 1.7%
140,000 Asahi Glass Co., Ltd. 869,433
56,000 TOTO Ltd. 886,450
------------
1,755,883
------------
CAPITAL MARKETS - 3.5%
145,000 Daiwa Securities Group, Inc. 1,445,732
170,900 Nomura Holdings, Inc. 1,312,868
58,100 SBI Holdings, Inc. 877,210
------------
3,635,810
------------
CHEMICALS - 4.9%
15,000 Air Water, Inc. 202,830
138,000 Asahi Kasei Corp. 1,079,783
81,000 Daicel Corp. 658,399
59,300 Hitachi Chemical Co., Ltd. 944,318
22,500 Kuraray Co., Ltd. 267,709
67,500 Mitsubishi Chemical Holdings
Corp. 311,509
82,000 Nippon Paint Co., Ltd. 1,361,865
4,700 Nitto Denko Corp. 197,935
------------
5,024,348
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMERCIAL BANKS - 1.2%
193,500 Resona Holdings, Inc. $ 984,863
5,600 Sumitomo Mitsui Financial
Group, Inc. 288,216
------------
1,273,079
------------
COMPUTERS & PERIPHERALS - 3.2%
366,000 NEC Corp. 823,682
90,900 Seiko Epson Corp. 2,438,444
------------
3,262,126
------------
CONSTRUCTION & ENGINEERING
- 1.2%
266,000 Taisei Corp. 1,207,369
------------
CONSTRUCTION MATERIALS - 0.7%
188,000 Taiheiyo Cement Corp. 721,223
------------
CONSUMER FINANCE - 0.9%
31,600 Hitachi Capital Corp. 919,704
------------
DIVERSIFIED FINANCIAL SERVICES
- 1.7%
49,000 Japan Exchange Group, Inc. 1,390,760
67,200 Mitsubishi UFJ Lease & Finance
Co., Ltd. 411,585
------------
1,802,345
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 1.6%
30,900 Nippon Telegraph & Telephone
Corp. 1,660,754
------------
ELECTRIC UTILITIES - 3.8%
22,600 Kansai Electric Power Co.,
Inc. (b) 259,457
62,900 Kyushu Electric Power Co.,
Inc. (b) 801,555
125,900 Tohoku Electric Power Co.,
Inc. (b) 1,414,298
302,000 Tokyo Electric Power Co.,
Inc. (b) 1,482,613
------------
3,957,923
------------
ELECTRICAL EQUIPMENT - 2.0%
448,000 Fuji Electric Co., Ltd. 2,093,021
------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
- 4.6%
57,800 FUJIFILM Holdings Corp. 1,636,139
31,000 Hoya Corp. 860,146
264,000 Nippon Electric Glass Co., Ltd. 1,383,800
18,000 TDK Corp. 861,457
------------
4,741,542
------------
FOOD & STAPLES RETAILING - 0.3%
23,200 Aeon Co., Ltd. 313,930
------------
FOOD PRODUCTS - 1.7%
40,200 Calbee, Inc. 975,320
43,000 Nippon Meat Packers, Inc. 737,423
------------
1,712,743
------------
Page 56 See Notes to Financial Statements
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
GAS UTILITIES - 0.9%
225,000 Osaka Gas Co., Ltd. $ 882,395
------------
HEALTH CARE TECHNOLOGY - 0.3%
138 M3, Inc. 345,295
------------
HOUSEHOLD DURABLES - 2.5%
34,000 Sekisui Chemical Co., Ltd. 416,484
63,800 Sekisui House Ltd. 890,571
75,800 Sony Corp. 1,314,318
------------
2,621,373
------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS - 0.5%
19,000 Electric Power Development Co.,
Ltd. 552,986
------------
INSURANCE - 2.5%
62,400 MS&AD Insurance Group
Holdings 1,672,137
45,800 T&D Holdings, Inc. 638,878
9,400 Tokio Marine Holdings, Inc. 313,750
------------
2,624,765
------------
INTERNET SOFTWARE & SERVICES
- 2.0%
31,600 Dena Co., Ltd. (a) 663,747
82,100 Kakaku.com, Inc. 1,439,927
------------
2,103,674
------------
IT SERVICES - 1.2%
39,600 Nomura Research Institute Ltd. 1,246,548
------------
LEISURE EQUIPMENT & PRODUCTS
- 1.6%
76,700 Namco Bandai Holdings, Inc. 1,699,913
------------
MACHINERY - 3.9%
101,000 Hino Motors Ltd. 1,584,389
409,000 IHI Corp. 1,763,232
59,000 NSK Ltd. 732,808
------------
4,080,429
------------
MARINE - 0.7%
171,000 Mitsui OSK Lines Ltd. 769,670
------------
MEDIA - 0.3%
14,500 Fuji Media Holdings, Inc. 296,031
------------
METALS & MINING - 3.0%
138,000 Dowa Holdings Co., Ltd. 1,347,109
138,000 Sumitomo Metal Mining Co.,
Ltd. 1,804,444
------------
3,151,553
------------
MULTILINE RETAIL - 2.6%
5,800 Don Quijote Co., Ltd. 350,831
188,000 J Front Retailing Co., Ltd. 1,421,023
91,000 Takashimaya Co., Ltd. 904,729
------------
2,676,583
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
OFFICE ELECTRONICS - 2.9%
85,100 Brother Industries Ltd. $ 1,161,226
18,600 Canon, Inc. 588,149
130,000 Konica Minolta, Inc. 1,294,939
------------
3,044,314
------------
OIL, GAS & CONSUMABLE FUELS
- 7.6%
67,900 Idemitsu Kosan Co., Ltd. 1,542,918
152,200 Inpex Corp. 1,948,206
324,000 JX Holdings, Inc. 1,664,457
113,000 Showa Shell Sekiyu K.K. 1,145,988
167,000 TonenGeneral Sekiyu K.K. (a) 1,530,292
------------
7,831,861
------------
PHARMACEUTICALS - 1.3%
49,300 Mitsubishi Tanabe Pharma Corp. 686,296
30,800 Shionogi & Co., Ltd. 666,831
------------
1,353,127
------------
ROAD & RAIL - 2.2%
8,100 Central Japan Railway Co. 952,217
30,600 West Japan Railway Co. 1,325,003
------------
2,277,220
------------
SPECIALTY RETAIL - 1.0%
310,300 Yamada Denki Co., Ltd. 1,013,609
------------
TRADING COMPANIES & DISTRIBUTORS
- 7.5%
108,200 ITOCHU Corp. 1,334,648
184,000 Marubeni Corp. 1,320,900
90,800 Mitsubishi Corp. 1,739,090
125,800 Mitsui & Co., Ltd. 1,750,043
126,000 Sumitomo Corp. 1,580,534
------------
7,725,215
------------
WIRELESS TELECOMMUNICATION
SERVICES - 2.7%
18,000 KDDI Corp. 1,105,878
100,000 NTT DoCoMo, Inc. 1,638,021
------------
2,743,899
------------
TOTAL COMMON STOCKS 102,806,376
(Cost $98,745,599) ------------
See Notes to Financial Statements Page 57
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MONEY MARKET FUNDS - 1.4%
1,460,545 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class -
0.001% (c) (d) $ 1,460,545
(Cost $1,460,545) ------------
TOTAL INVESTMENTS - 100.7% 104,266,921
(Cost $100,206,144) (e)
NET OTHER ASSETS AND
LIABILITIES - (0.7)% (716,764)
------------
NET ASSETS - 100.0% $103,550,157
============
(a) All or a portion of this security is on loan. (See Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $1,389,971 and the total value of the collateral held by the
Fund is $1,460,545.
(b) Non-income producing security.
(c) Interest rate shown reflects yield as of December 31, 2013.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $100,496,645. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$9,510,837 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$5,740,561.
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $102,806,376 $102,806,376 $ -- $ --
Money Market
Funds 1,460,545 1,460,545 -- --
-------------------------------------------------------
Total Investments $104,266,921 $104,266,921 $ -- $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $805,756 from Level 2 to
Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
Japan 99.3%
United States 1.4
--------------------------------------------------------
TOTAL INVESTMENTS 100.7
NET OTHER ASSETS AND LIABILITIES (0.7)
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
OFFSETTING ASSETS AND LIABILITIES
The Fund's loaned securities were all subject to enforceable Securities Lending
Agency Agreements. Securities lent in accordance with a Securities Lending
Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENTS
Total gross amount presented in Statements of
Assets and Liabilities(1) $ 1,389,971
Non-cash Collateral(2) (1,389,971)
------------
Net Amount $ --
============
(1) The amounts presented on the Statement of Assets and Liabilities are not
offset and are shown on a gross basis.
(2) At December 31, 2013, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed in the Portfolio of Investments.
Page 58 See Notes to Financial Statements
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.0%
AEROSPACE & DEFENSE - 2.3%
4,580 Korea Aerospace Industries Ltd. $ 125,854
------------
AIR FREIGHT & LOGISTICS - 0.7%
180 Hyundai Glovis Co., Ltd. 39,399
------------
AUTO COMPONENTS - 5.8%
4,820 Halla Visteon Climate Control
Corp. 176,979
256 Hyundai Mobis 71,195
411 Hyundai Wia Corp. 73,995
------------
322,169
------------
AUTOMOBILES - 4.1%
619 Hyundai Motor Co. 138,716
1,687 Kia Motors Corp. 89,677
------------
228,393
------------
BUILDING PRODUCTS - 4.2%
532 KCC Corp. 236,170
------------
CHEMICALS - 2.6%
138 LG Chem Ltd. 39,164
488 Lotte Chemical Corp. 107,278
------------
146,442
------------
COMMERCIAL BANKS - 6.6%
3,148 Hana Financial Group, Inc. 130,949
9,570 Industrial Bank of Korea 110,177
1,020 KB Financial Group, Inc. 40,835
6,620 Woori Finance Holdings Co., Ltd. 83,428
------------
365,389
------------
CONSTRUCTION & ENGINEERING
- 3.6%
1,609 Daelim Industrial Co., Ltd. 143,466
1,640 Doosan Heavy Industries &
Construction Co., Ltd. 55,011
------------
198,477
------------
CONSUMER FINANCE - 2.3%
3,590 Samsung Card Co., Ltd. 127,224
------------
DIVERSIFIED FINANCIAL SERVICES
- 0.0%
196 Neo Holdings Co., Ltd. (a) (b) 0
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 5.3%
9,736 KT Corp., ADR 144,774
14,606 LG Uplus Corp. (b) 148,780
------------
293,554
------------
ELECTRIC UTILITIES - 1.6%
2,636 Korea Electric Power Corp. (b) 86,797
------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
- 4.6%
2,540 LG Display Co., Ltd. (b) 61,012
1,279 Samsung SDI Co., Ltd. 196,331
------------
257,343
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
FOOD & STAPLES RETAILING - 0.8%
174 E-Mart Co., Ltd. $ 43,939
------------
GAS UTILITIES - 3.1%
2,727 Korea Gas Corp. 172,093
------------
HOTELS, RESTAURANTS & LEISURE
- 0.6%
1,100 Kangwon Land, Inc. 32,259
------------
HOUSEHOLD DURABLES - 3.9%
2,503 Coway Co., Ltd. 157,482
957 LG Electronics, Inc. 61,754
------------
219,236
------------
INDUSTRIAL CONGLOMERATES - 5.7%
1,230 CJ Corp. 135,779
550 LG Corp. 33,354
824 SK Holdings Co., Ltd. 149,130
------------
318,263
------------
INSURANCE - 7.1%
2,168 Dongbu Insurance Co., Ltd. 115,452
3,460 Hyundai Marine & Fire
Insurance Co., Ltd. 106,552
450 Samsung Fire & Marine
Insurance Co., Ltd. 110,437
647 Samsung Life Insurance Co., Ltd. 63,759
------------
396,200
------------
INTERNET SOFTWARE & SERVICES
- 3.0%
247 NAVER Corp. 169,449
------------
IT SERVICES - 0.8%
350 SK C&C Co., Ltd. 44,772
------------
MACHINERY - 3.1%
571 Hyundai Heavy Industries Co.,
Ltd. 139,050
970 Samsung Heavy Industries Co.,
Ltd. 34,973
------------
174,023
------------
MEDIA - 3.3%
7,100 Cheil Worldwide, Inc. (b) 185,010
------------
METALS & MINING - 11.2%
1,020 Hyundai Hysco Co., Ltd. (a) 40,110
2,719 Hyundai Steel Co. 222,343
252 Korea Zinc Co., Ltd. 75,933
468 POSCO 144,788
118 Young Poong Corp. 141,665
------------
624,839
------------
MULTILINE RETAIL - 3.3%
233 Hyundai Department Store Co.,
Ltd. 35,545
393 Lotte Shopping Co., Ltd. 150,445
------------
185,990
------------
See Notes to Financial Statements Page 59
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
- 2.0%
2,038 GS Holdings $ 110,653
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 5.1%
130 Samsung Electronics Co., Ltd. 169,006
3,360 SK Hynix, Inc. (b) 117,163
------------
286,169
------------
WIRELESS TELECOMMUNICATION
SERVICES - 3.3%
7,405 SK Telecom Co., Ltd., ADR 182,311
------------
TOTAL INVESTMENTS - 100.0% 5,572,417
(Cost $4,988,809) (c)
NET OTHER ASSETS AND
LIABILITIES - 0.0% (2,043)
------------
NET ASSETS - 100.0% $ 5,570,374
============
(a) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $40,110 or 0.72% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $5,071,332. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$585,823 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$84,738.
ADR - American Depositary Receipt
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Diversified
Financial
Services $ --* $ -- $ --* $ --
Metals & Mining 624,839 584,729 40,110 --
Other Industry
Categories** 4,947,578 4,947,578 -- --
-------------------------------------------------------
Total Investments $ 5,572,417 $ 5,532,307 $ 40,110 $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $1,638,522 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION*** % OF NET ASSETS
--------------------------------------------------------
South Korea 100.0%
Net Other Assets and Liabilities (0.0)+
------------
TOTAL 100.0%
============
* Investment is valued at zero.
** See Portfolio of Investments for industry breakout.
*** Portfolio securities are categorized based on their country of
incorporation.
+ Amount is less than 0.1%.
Page 60 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.9%
AUSTRALIA - 2.1%
92,295 Challenger Ltd. $ 510,943
505,099 Dexus Property Group 453,258
10,510 Flight Centre Travel Group Ltd. 446,227
35,622 Fortescue Metals Group Ltd. 185,116
48,623 GPT Group 147,613
251,611 Incitec Pivot Ltd. 602,098
8,955 REA Group Ltd. 301,926
56,972 Westfield Retail Trust 151,085
8,834 Woodside Petroleum Ltd. 306,838
------------
3,105,104
------------
AUSTRIA - 0.7%
10,353 EVN AG 164,289
12,809 OMV AG 613,046
13,972 Verbund AG 298,218
------------
1,075,553
------------
BELGIUM - 0.2%
5,948 Belgacom S.A. 175,968
3,407 D'ieteren S.A. N.V. 169,670
------------
345,638
------------
BERMUDA - 1.2%
2,800 Jardine Matheson Holdings Ltd. 146,468
177,047 Kerry Properties Ltd. 614,184
203,752 NWS Holdings Ltd. 310,582
226,735 Yue Yuen Industrial Holdings
Ltd. 757,314
------------
1,828,548
------------
CANADA - 7.0%
3,757 Agrium, Inc. 343,674
20,718 Athabasca Oil Corp. (b) 126,385
31,703 Bell Aliant, Inc. 797,761
14,115 Boardwalk Real Estate
Investment Trust 795,277
32,955 Brookfield Office Properties,
Inc. 634,436
33,395 Calloway Real Estate Investment
Trust (c) 790,980
20,975 Canfor Corp. (b) 526,424
13,496 CGI Group, Inc., Class A (b) 451,539
2,686 Constellation Software, Inc. 568,909
28,002 Dundee Real Estate Investment
Trust, Class A 759,725
28,069 Genworth MI Canada, Inc. (c) 967,915
10,982 Husky Energy, Inc. 348,405
22,570 Lions Gate Entertainment Corp. 714,566
9,572 Magna International, Inc. 784,863
7,573 Metro, Inc. 462,686
26,488 New Gold, Inc. (b) 138,643
3,006 Onex Corp. 162,291
20,078 RioCan Real Estate Investment
Trust 468,187
5,483 Shoppers Drug Mart Corp. 300,358
1,514 Valeant Pharmaceuticals
International, Inc. (b) 177,618
------------
10,320,642
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CAYMAN ISLANDS - 0.1%
314,007 New World China Land Ltd. $ 152,260
------------
DENMARK - 1.6%
69 AP Moeller - Maersk A.S. 748,817
11,485 Pandora A.S. 622,671
31,334 Vestas Wind Systems A.S. (b) 925,676
------------
2,297,164
------------
FINLAND - 0.9%
35,743 Neste Oil OYJ (c) 706,596
48,119 Nokia OYJ (b) 385,268
18,656 Stora Enso OYJ 187,227
------------
1,279,091
------------
FRANCE - 7.5%
233,148 Alcatel-Lucent (b) 1,044,976
1,513 Bollore S.A. 888,044
8,666 Bouygues S.A. 326,896
1,535 Casino Guichard Perrachon S.A. 176,897
806 Christian Dior S.A. 152,296
2,852 Cie Generale des Etablissements
Michelin 303,090
14,340 Credit Agricole S.A. (b) 183,565
24,996 Electricte de France S.A. 883,230
2,590 Euler Hermes S.A. 356,663
27,315 Faurecia (b) 1,041,078
38,480 Peugeot S.A. (b) (c) 499,619
31,269 Plastic Omnium S.A. 873,240
5,950 Renault S.A. 478,437
5,134 Safran S.A. 356,744
15,868 Societe Generale S.A. 921,646
9,085 Societe Television Francaise 1 175,100
8,174 Total S.A. 500,739
7,407 Valeo S.A. 819,566
9,258 Veolia Environnement S.A. 150,988
4,666 Wendel S.A. 680,095
1,987 Zodiac Aerospace 351,940
------------
11,164,849
------------
GERMANY - 5.1%
1,865 Continental AG 408,970
4,057 Daimler AG 351,058
8,108 Deutsche Lufthansa AG (b) 171,997
14,295 Deutsche Post AG 521,139
4,305 Duerr AG 383,830
17,777 E.ON SE 328,075
9,056 Hochtief AG 773,165
30,502 K+S AG (c) 938,891
9,046 Porsche Automobil Holding SE
(Preference Shares) 941,557
16,099 Suedzucker AG 434,532
100,156 Telefonica Deutschland
Holding AG 826,708
12,523 United Internet AG 532,686
3,354 Volkswagen AG (Preference
Shares) 941,968
------------
7,554,576
------------
See Notes to Financial Statements Page 61
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
GREECE - 2.0%
823,116 Alpha Bank AE (b) $ 714,520
15,179 Hellenic Telecommunications
Organization S.A. (b) 201,926
467,530 Piraeus Bank S.A. (b) 984,067
69,822 Public Power Corp. S.A. 1,037,385
------------
2,937,898
------------
GUERNSEY - 0.4%
92,229 Resolution Ltd. 540,652
------------
HONG KONG - 6.7%
1,733,238 Champion REIT (c) 768,907
41,670 Cheung Kong Holdings Ltd. 658,290
200,703 Fosun International Ltd. (c) 198,780
22,483 Galaxy Entertainment Group
Ltd. (b) 201,655
128,039 Henderson Land Development
Co., Ltd. 730,656
236,299 Hopewell Holdings Ltd. 801,447
177,610 Hysan Development Co., Ltd. 765,017
161,018 Link REIT 782,840
59,180 Melco International
Development Ltd. 217,891
526,213 New World Development Co., Ltd. 666,393
537,253 Sino Land Co., Ltd. 734,416
57,739 Sun Hung Kai Properties Ltd. 732,692
53,062 Swire Pacific Ltd. 623,732
282,027 Swire Properties Ltd. 712,860
91,663 Wharf Holdings Ltd. 699,799
148,920 Wheelock & Co., Ltd. 684,652
------------
9,980,027
------------
IRELAND - 1.3%
2,226,332 Bank of Ireland (b) 771,817
7,732 ICON PLC (b) 312,450
778 Perrigo Co PLC 119,392
27,946 Smurfit Kappa Group PLC 687,786
------------
1,891,445
------------
ITALY - 3.0%
485,661 A2A S.p.A. 568,239
17,996 Autogrill S.p.A. (b) 152,009
13,840 Azimut Holding S.p.A. 377,557
20,687 ENI S.p.A. 497,750
21,075 Exor S.p.A. 838,184
59,532 Fiat S.p.A. (b) 486,885
238,293 Hera S.p.A. 540,902
43,532 Mediolanum S.p.A 377,288
24,806 UniCredit S.p.A. 183,596
71,532 Unipol Gruppo Finanziario S.p.A. 427,478
------------
4,449,888
------------
JAPAN - 32.1%
3,300 ABC-Mart, Inc. 143,989
53,000 Amada Co., Ltd. 466,537
25,000 Asahi Glass Co., Ltd. 155,256
63,000 Asahi Kasei Corp. 492,945
SHARES DESCRIPTION VALUE
------------------------------------------------------------
JAPAN (CONTINUED)
5,500 Calbee, Inc. $ 133,439
5,100 Century Tokyo Leasing Corp. 168,047
3,600 Cosmos Pharmaceutical Corp. 390,048
16,400 Daihatsu Motor Co., Ltd. 277,512
14,900 Daikin Industries Ltd. 926,740
23,300 Dena Co., Ltd. (c) 489,408
4,200 Dentsu, Inc. 171,494
57,000 DIC Corp. 173,203
10,100 Don Quijote Co., Ltd. 610,930
47,000 Dowa Holdings Co., Ltd. 458,798
194,000 Fuji Electric Co., Ltd. 906,353
22,900 Fuji Heavy Industries Ltd. 655,622
19,700 FUJIFILM Holdings Corp. 557,646
7,500 Hikari Tsushin, Inc. 564,761
11,000 Hino Motors Ltd. 172,557
19,600 Hitachi Chemical Co., Ltd. 312,119
29,200 Idemitsu Kosan Co., Ltd. 663,523
38,000 IHI Corp. 163,821
40,200 Inpex Corp. 514,572
38,800 ITOCHU Corp. 478,598
10,500 Japan Airlines Co., Ltd. 517,472
18,300 JFE Holdings, Inc. 434,779
46,300 JTEKT Corp. 786,981
122,000 JX Holdings, Inc. 626,740
156,000 Kajima Corp. 585,130
27,200 Kakaku.com, Inc. 477,053
147,000 Kawasaki Heavy Industries Ltd. 615,583
6,200 KDDI Corp. 380,913
341,000 Kobe Steel Ltd. (b) 582,851
37,500 Konica Minolta, Inc. 373,540
39,700 Kuraray Co., Ltd. 472,359
114 M3, Inc. 285,244
80,000 Marubeni Corp. 574,304
142,000 Mazda Motor Corp. (b) 733,530
34,000 Mitsubishi Chemical Holdings
Corp. 156,908
15,700 Mitsubishi Corp. 300,702
57,000 Mitsubishi Gas Chemical Co., Inc. 418,935
39,000 Mitsubishi Materials Corp. 143,690
43,600 Mitsui & Co., Ltd. 606,533
231,000 Mitsui Chemicals, Inc. 557,155
175,000 Mitsui OSK Lines Ltd. 787,674
12,100 MS&AD Insurance Group
Holdings 324,245
16,900 Namco Bandai Holdings, Inc. 374,557
14,000 NGK Spark Plug Co., Ltd. 331,023
46,400 NHK Spring Co., Ltd. 522,556
59,000 Nippon Electric Glass Co., Ltd. 309,258
30,000 Nippon Paint Co., Ltd. 498,243
12,200 Nippon Telegraph & Telephone
Corp. 655,702
250,000 Nippon Yusen K.K. 797,645
31,500 Nissan Motor Co., Ltd. 264,419
27,000 Nissan Shatai Co Ltd 392,014
12,300 NKSJ Holdings, Inc. 341,517
40,600 NOK Corp. 663,109
39,000 NTT DoCoMo, Inc. 638,828
Page 62 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
JAPAN (CONTINUED)
132,000 Obayashi Corp. $ 750,812
4,900 Obic Co., Ltd. 144,473
135,000 Oji Holdings Corp. 690,960
17,500 Omron Corp. 771,888
2,400 Otsuka Corp. 305,612
5,500 Otsuka Holdings Co., Ltd. 158,769
32,800 Panasonic Corp. 381,229
31,300 Rakuten, Inc. 464,849
33,200 Renesas Electronics Corp. (b)(c) 195,461
30,900 Resona Holdings, Inc. 157,273
61,400 SBI Holdings, Inc. 927,034
32,900 SCSK Corp. 861,317
48,300 Seiko Epson Corp. 1,295,675
162,000 Shimizu Corp. 816,845
15,100 Shionogi & Co., Ltd. 326,921
70,700 Showa Shell Sekiyu K.K. 717,003
7,400 Sony Corp. 128,311
25,900 Sony Financial Holdings, Inc. 470,730
16,900 Start Today Co., Ltd. 419,010
166,000 Sumitomo Chemical Co., Ltd. 649,435
47,000 Sumitomo Corp. 589,564
32,800 Sumitomo Electric Industries
Ltd. 546,303
45,000 Sumitomo Metal Mining Co., Ltd. 588,406
7,000 Sumitomo Realty &
Development Co., Ltd. 347,640
3,200 Sundrug Co., Ltd. 142,968
181,000 Taiheiyo Cement Corp. 694,369
161,000 Taisei Corp. 730,776
34,900 Tokyo Broadcasting System
Holdings, Inc. 432,812
127,100 Tokyo Electric Power (The) Co.,
Inc. (b) 623,974
35,000 Tokyo Tatemono Co., Ltd. 388,187
68,000 TonenGeneral Sekiyu K.K. (c) 623,113
45,000 TOTO Ltd. 712,326
40,300 Toyo Seikan Group Holdings Ltd. 864,473
6,400 Toyoda Gosei Co., Ltd. 148,711
20,100 TS Tech Co., Ltd. 676,617
3,700 West Japan Railway Co. 160,213
44,400 Yamaha Corp. 703,671
4,300 Yamato Kogyo Co Ltd 137,195
34,000 Yaskawa Electric Corp. 536,910
11,100 Yokogawa Electric Corp. 170,226
48,000 Yokohama Rubber (The) Co.,
Ltd. 470,838
------------
47,502,009
------------
JERSEY - 0.1%
53,682 Regus PLC 193,079
------------
NETHERLANDS - 1.1%
9,927 Airbus Group N.V. 762,173
7,776 Fugro N.V., ADR 463,360
3,027 Nutreco N.V. 150,371
2,806 Randstad Holding N.V. 182,009
------------
1,557,913
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
NORWAY - 2.0%
7,128 Fred Olsen Energy ASA $ 290,159
51,228 Petroleum Geo-Services ASA 603,472
13,942 Statoil ASA 337,902
114,233 Storebrand ASA (b) 713,803
16,129 TGS Nopec Geophysical Co.
ASA 427,603
15,329 Yara International ASA 659,633
------------
3,032,572
------------
PORTUGAL - 0.7%
174,062 Portucel S.A. 696,820
253,541 Sonae 365,888
------------
1,062,708
------------
SINGAPORE - 1.8%
243,000 Blumont Group Ltd. (b) 16,560
274,000 CapitaCommercial Trust 314,830
280,630 Keppel Land Ltd. 742,743
484,000 Keppel REIT 454,487
242,498 Suntec Real Estate Investment
Trust 295,929
161,294 UOL Group Ltd. 791,164
------------
2,615,713
------------
SOUTH KOREA - 6.3%
3,506 Daelim Industrial Co., Ltd. 312,612
4,910 Daewoo Shipbuilding & Marine
Engineering Co., Ltd. 162,837
2,252 Doosan Corp. 297,678
6,029 GS Holdings 327,343
12,520 Halla Visteon Climate Control
Corp. 459,705
13,460 Hanwha Corp. 499,959
1,784 Hyundai Mobis 496,142
2,710 Hyundai Motor Co. 607,301
6,169 Hyundai Steel Co. 504,463
10,416 Kia Motors Corp. 553,691
2,983 Korea Gas Corp. 188,248
1,046 Korea Zinc Co., Ltd. 315,183
18,920 KT Corp. 565,619
6,540 LG Display Co., Ltd. (b) 157,094
892 Lotte Shopping Co., Ltd. 341,468
1,064 POSCO 329,176
622 Samsung Electronics Co., Ltd. 808,626
4,534 Samsung SDI Co., Ltd. 695,985
1,753 SK Holdings Co., Ltd. 317,263
2,329 SK Innovation Co., Ltd. 312,269
3,111 SK Telecom Co., Ltd. 678,003
341 Young Poong Corp. 409,387
------------
9,340,052
------------
SPAIN - 3.5%
5,559 Acciona S.A. (c) 319,398
62,806 Banco de Sabadell S.A. 163,819
30,431 EDP Renovaveis S.A. 161,637
18,211 Endesa S.A. (b) (c) 583,732
15,913 Fomento de Construcciones y
Contratas S.A. (b) 354,095
See Notes to Financial Statements Page 63
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SPAIN (CONTINUED)
7,575 Gas Natural SDG S.A. $ 194,819
10,399 Grupo Catalana Occidente S.A. 372,240
108,855 Iberdrola S.A. 694,100
144,401 International Consolidated
Airlines Group S.A. (b) 959,831
20,846 Obrascon Huarte Lain S.A. 844,419
19,135 Repsol S.A. 482,256
------------
5,130,346
------------
SWEDEN - 3.3%
31,659 Boliden AB 484,593
14,750 Holmen AB 536,397
37,271 Hufvudstaden AB 499,218
20,551 ICA Gruppen AB (b) 642,234
42,952 Industrivarden AB 816,721
26,058 Investor AB 896,575
11,397 Lundbergforetagen AB 483,214
5,313 NCC AB 173,387
24,726 Tele2 AB 280,058
------------
4,812,397
------------
SWITZERLAND - 1.7%
520 Georg Fischer AG (b) 365,787
192 Lindt & Spruengli AG 865,458
4,293 Panalpina Welttransport
Holding AG 719,470
1,671 Swiss Life Holding AG 346,919
1,913 Swiss Re AG 175,956
------------
2,473,590
------------
UNITED KINGDOM - 7.5%
112,794 BP PLC 911,586
116,658 Capital & Counties Properties
PLC 635,948
16,497 Derwent London PLC 681,589
837,382 Dixons Retail PLC (b) 672,670
135,696 DS Smith PLC 746,023
28,568 GKN PLC 176,598
18,126 Great Portland Estates PLC 179,794
165,036 Hays PLC 354,732
48,010 Inchcape PLC 488,541
24,956 J Sainsbury PLC 150,840
58,216 Jazztel PLC (b) 623,003
149,391 Legal & General Group PLC 550,924
663,913 Lloyds Banking Group PLC (b) 867,212
28,102 Mondi PLC 486,761
98,689 Ocado Group PLC (b) 721,681
90,048 Premier Oil PLC 467,625
55,237 Sports Direct International
PLC (b) 654,008
63,546 St. James's Place PLC 766,067
254,763 Thomas Cook Group PLC (b) 705,375
69,787 WM Morrison Supermarkets PLC 301,621
------------
11,142,598
------------
TOTAL COMMON STOCKS 147,786,312
(Cost $136,870,403) ------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
RIGHTS - 0.0%
ITALY - 0.0%
7,654 Gemina S.p.A. expiring
12/31/49 (b) (d) $ 0
------------
SPAIN - 0.0%
19,135 Repsol S.A. expiring 1/9/14 (b) 13,057
------------
TOTAL RIGHTS 13,057
(Cost $642) ------------
MONEY MARKET FUNDS - 2.8%
4,078,055 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class -
0.001% (e) (f) 4,078,055
(Cost $4,078,055) ------------
TOTAL INVESTMENTS - 102.7% 151,877,424
(Cost $140,949,100) (g)
NET OTHER ASSETS AND
LIABILITIES - (2.7)% (4,000,839)
------------
NET ASSETS - 100.0% $147,876,585
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) Non-income producing security.
(c) All or a portion of this security is on loan. (See Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $3,693,591 and the total value of the collateral held by the
Fund is $4,078,055.
(d) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $0 or 0.00% of net assets.
(e) Interest rate shown reflects yield as of December 31, 2013.
(f) This security serves as collateral for securities on loan.
(g) Aggregate cost for federal income tax purposes is $141,925,272. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$15,904,155 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$5,952,003.
ADR - American Depositary Receipt
Page 64 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $147,786,312 $147,786,312 $ -- $ --
Rights* 13,057 13,057 --** --
Money Market
Funds 4,078,055 4,078,055 -- --
-------------------------------------------------------
Total Investments $151,877,424 $151,877,424 $ --** $ --
=======================================================
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
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. As of December
31, 2013, the Fund transferred common stocks valued at $30,862,616 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
The following table presents the activity of the Fund's investments measured at
fair value on a recurring basis using significant unobservable inputs (Level 3)
for the period presented.
BEGINNING BALANCE AT DECEMBER 31, 2012
Common Stocks $ 5
Net Realized Gain (Loss) --
Net Change in Unrealized Appreciation/Depreciation --
Purchases --
Sales (5)
Transfers In --
Transfers Out --
ENDING BALANCE AT DECEMBER 31, 2013
Common Stocks --
--------
Total Level 3 holdings $ --
========
OFFSETTING ASSETS AND LIABILITIES
The Fund's loaned securities were all subject to enforceable Securities Lending
Agency Agreements. Securities lent in accordance with a Securities Lending
Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENTS
Total gross amount presented in Statements of
Assets and Liabilities(1) $ 3,693,591
Non-cash Collateral(2) (3,693,591)
------------
Net Amount $ --
============
(1) The amounts presented on the Statement of Assets and Liabilities are not
offset and are shown on a gross basis.
(2) At December 31, 2013, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed in the Portfolio of Investments.
INDUSTRY % OF NET ASSETS
--------------------------------------------------------
Real Estate Management & Development 8.0%
Oil, Gas & Consumable Fuels 6.1
Auto Components 5.8
Real Estate Investment Trusts 4.8
Automobiles 4.6
Chemicals 4.6
Insurance 3.9
Construction & Engineering 3.8
Commercial Banks 3.3
Metals & Mining 3.3
Electric Utilities 3.1
Diversified Financial Services 3.1
Money Market Funds 2.8
Diversified Telecommunication Services 2.6
Electronic Equipment, Instruments & Components 2.2
Paper & Forest Products 2.1
Machinery 2.1
Food & Staples Retailing 2.0
Trading Companies & Distributors 1.7
Electrical Equipment 1.6
Marine 1.6
Containers & Packaging 1.5
Air Freight & Logistics 1.4
Specialty Retail 1.4
Wireless Telecommunication Services 1.3
Industrial Conglomerates 1.3
Media 1.2
Building Products 1.2
Energy Equipment & Services 1.2
IT Services 1.2
Hotels, Restaurants & Leisure 1.2
Airlines 1.1
Internet & Catalog Retail 1.1
Multi-Utilities 1.1
Food Products 1.1
Textiles, Apparel & Luxury Goods 1.0
Internet Software & Services 1.0
Aerospace & Defense 1.0
Communications Equipment 1.0
Capital Markets 0.9
See Notes to Financial Statements Page 65
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
INDUSTRY (CONTINUED) % OF NET ASSETS
--------------------------------------------------------
Computers & Peripherals 0.9%
Leisure Equipment & Products 0.7
Semiconductors & Semiconductor Equipment 0.7
Thrifts & Mortgage Finance 0.7
Multiline Retail 0.6
Pharmaceuticals 0.5
Construction Materials 0.5
Distributors 0.4
Software 0.4
Professional Services 0.4
Household Durables 0.3
Gas Utilities 0.3
Office Electronics 0.3
Life Sciences Tools & Services 0.2
Health Care Technology 0.2
Commercial Services & Supplies 0.1
Independent Power Producers & Energy Traders 0.1
Road & Rail 0.1
Transportation Infrastructure 0.0
--------------------------------------------------------
TOTAL INVESTMENTS 102.7
NET OTHER ASSETS AND LIABILITIES (2.7)
------------
TOTAL 100.0%
============
% OF TOTAL
CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS
--------------------------------------------------------
Japanese Yen 31.3%
Euro 24.8
British Pound Sterling 8.0
Hong Kong Dollar 7.8
Canadian Dollar 6.3
South Korean Won 6.2
US Dollar 3.5
Swedish Krona 3.2
Australian Dollar 2.1
Norwegian Krone 2.0
Singapore Dollar 1.7
Swiss Franc 1.6
Danish Krone 1.5
------------
TOTAL 100.0%
============
Page 66 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 100.1%
BERMUDA - 3.4%
6,965,250 Beijing Enterprises Water Group
Ltd. (b) $ 4,374,446
1,850,282 Haier Electronics Group Co.,
Ltd. 5,380,738
123,432 VimpelCom Ltd., ADR 1,597,210
------------
11,352,394
------------
BRAZIL - 8.9%
321,240 BR Malls Participacoes S.A. 2,321,561
181,886 Braskem S.A. (Preference
Shares) (c) 1,618,992
89,673 BRF S.A. 1,871,949
83,604 Cia de Gas de Sao Paulo
(Preference Shares) 2,064,187
223,791 Cia de Saneamento Basico do
Estado de Sao Paulo 2,509,912
548,553 Cia Energetica de Minas Gerais
(Preference Shares) 3,257,487
68,264 Cia Energetica de Sao Paulo
(Preference Shares) 648,714
102,666 Cia Paranaense de Energia
(Preference Shares) 1,328,555
96,369 Cyrela Brazil Realty S.A.
Empreendimentos e
Participacoes 588,201
833,162 JBS S.A. 3,097,099
47,466 M Dias Branco S.A. 2,011,911
377,162 Oi S.A. (Preference Shares) 573,916
351,682 Petroleo Brasileiro S.A.
(Preference Shares) 2,546,033
172,957 Porto Seguro S.A. 2,180,977
65,658 Telefonica Brasil S.A.
(Preference Shares) 1,247,620
314,048 Tim Participacoes S.A. 1,641,289
------------
29,508,403
------------
CAYMAN ISLANDS - 19.9%
2,634,049 Agile Property Holdings Ltd. 2,822,814
14,015 Baidu, Inc., ADR (c) 2,492,988
383,760 Biostime International
Holdings Ltd. (b) 3,414,807
6,126,090 China Hongqiao Group Ltd. 4,218,733
5,668,834 Country Garden Holdings Co.,
Ltd. 3,414,035
62,061 Ctrip.com International Ltd.,
ADR (c) 3,079,467
5,206,484 Evergrande Real Estate Group
Ltd. (b) 1,980,724
2,337,773 FIH Mobile Ltd. (c) 1,257,175
7,531,816 GCL-Poly Energy Holdings
Ltd. (c) 2,321,427
5,637,719 Geely Automobile Holdings Ltd. 2,719,145
1,543,007 Greentown China Holdings Ltd. 2,356,009
362,574 Himax Technologies, Inc., ADR 5,333,464
1,128,014 Kingboard Chemical Holdings
Ltd. 2,938,484
1,222,359 Kingsoft Corp Ltd. 3,523,171
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CAYMAN ISLANDS (CONTINUED)
34,874 Qihoo 360 Technology Co., Ltd.,
ADR (c) $ 2,861,412
4,215,555 SOHO China Ltd. 3,609,776
56,174 SouFun Holdings Ltd., ADR 4,629,299
41,507 Tencent Holdings Ltd. 2,644,269
319,396 TPK Holding Co., Ltd. 1,886,144
3,647,412 Xinyi Glass Holdings Ltd. 3,222,054
58,049 Xinyi Solar Holdings Ltd. (c) 11,903
79,391 Youku Tudou, Inc., ADR (c) 2,405,547
1,840,752 Zhongsheng Group Holdings Ltd. 2,530,521
------------
65,673,368
------------
CHILE - 0.4%
117,997 Cia General de Electricidad S.A. 637,761
44,740 ENTEL Chile S.A. 607,943
------------
1,245,704
------------
CHINA - 14.4%
2,167,142 BBMG Corp., Class H 1,886,464
325,183 Byd Co., Ltd., Class H (b) (c) 1,593,562
4,921,607 China BlueChemical Ltd.,
Class H 3,097,306
4,847,372 China Coal Energy Co., Ltd.,
Class H 2,725,525
1,837,352 China Communications
Construction Co., Ltd.,
Class H 1,480,914
1,213,232 China Minsheng Banking Corp.
Ltd., Class H 1,345,550
867,903 China Oilfield Services Ltd.,
Class H 2,691,806
3,705,917 China Petroleum & Chemical
Corp., Class H 3,025,219
3,428,715 China Railway Construction
Corp. Ltd., Class H 3,413,549
6,631,500 China Railway Group Ltd.,
Class H 3,429,364
714,746 China Shenhua Energy Co., Ltd.,
Class H 2,249,049
668,755 Great Wall Motor Co., Ltd.,
Class H 3,682,581
2,006,465 Guangzhou Automobile Group
Co., Ltd., Class H 2,191,656
828,256 Guangzhou Baiyunshan
Pharmaceutical Holdings Co.,
Ltd., Class H (c) 2,932,003
1,391,895 Guangzhou R&F Properties Co.,
Ltd., Class H 2,035,527
1,107,426 Jiangxi Copper Co., Ltd.,
Class H 1,999,402
1,971,516 PetroChina Co., Ltd., Class H 2,158,566
1,603,402 PICC Property & Casualty Co.,
Ltd., Class H 2,377,922
15,117,752 Zijin Mining Group Co., Ltd.,
Class H (b) 3,216,833
------------
47,532,798
------------
COLOMBIA - 0.2%
138,243 Cementos Argos S.A. 701,959
------------
See Notes to Financial Statements Page 67
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
CZECH REPUBLIC - 1.1%
112,326 CEZ AS $ 2,924,192
45,726 Telefonica Czech Republic A.S. 679,235
------------
3,603,427
------------
EGYPT - 2.2%
393,048 Commercial International Bank
Egypt SAE 1,838,378
2,276,701 Global Telecom Holding SAE (c) 1,536,684
1,845,389 Telecom Egypt Co. 3,850,896
------------
7,225,958
------------
HONG KONG - 2.9%
194,682 China Mobile Ltd. 2,014,783
1,676,847 CITIC Pacific Ltd. (b) 2,564,694
1,425,960 CNOOC Ltd. 2,651,734
6,616,640 Franshion Properties China Ltd. 2,286,808
------------
9,518,019
------------
HUNGARY - 0.4%
20,023 MOL Hungarian Oil and Gas PLC 1,341,328
------------
INDONESIA - 0.2%
515,157 United Tractors Tbk PT 804,271
------------
LUXEMBOURG - 1.3%
121,870 O'Key Group S.A., GDR 1,450,253
90,576 Ternium S.A., ADR 2,835,029
------------
4,285,282
------------
MALAYSIA - 2.5%
1,837,000 KLCC Property Holdings BHD 3,280,858
1,244,800 Malaysia Airports Holdings BHD 3,420,302
81,400 Petronas Dagangan BHD 781,321
262,500 Tenaga Nasional BHD 911,998
------------
8,394,479
------------
MEXICO - 1.4%
541,141 Alfa S.A.B. de C.V., Series A 1,525,216
390,572 Compartamos S.A.B. de C.V. 729,602
345,357 Controladora Comercial
Mexicana SAB de C.V. 1,499,770
276,280 OHL Mexico S.A.B. de C.V. (c) 704,005
------------
4,458,593
------------
NETHERLANDS - 0.8%
59,730 Yandex N.V., Class A (c) 2,577,349
------------
PHILIPPINES - 1.1%
1,343,700 Alliance Global Group, Inc. 781,107
686,320 DMCI Holdings, Inc. 865,970
2,270,200 Puregold Price Club, Inc. 1,938,615
------------
3,585,692
------------
POLAND - 6.6%
633,160 Bank Millennium S.A. (c) 1,508,996
122,357 Grupa Azoty S.A. 2,531,343
61,810 Jastrzebska Spolka Weglowa S.A. 1,087,028
91,783 KGHM Polska Miedz S.A. 3,584,977
SHARES DESCRIPTION VALUE
------------------------------------------------------------
POLAND (CONTINUED)
1,050 LPP S.A. $ 3,128,051
545,437 Orange Polska S.A. 1,769,346
544,123 PGE S.A. 2,932,200
1,107,757 Polskie Gornictwo Naftowe i
Gazownictwo S.A. 1,888,399
2,362,742 Tauron Polska Energia S.A. 3,417,746
------------
21,848,086
------------
RUSSIA - 8.9%
1,376 AK Transneft OAO (Preference
Shares) (d) 3,620,372
652,386 Alrosa AO (d) 694,218
47,548,598 E.ON Russia JSC (d) 3,417,223
237,641,874 Federal Grid Co. Unified Energy
System JSC (c) (d) 651,614
814,631 Gazprom OAO (d) 3,436,504
57,134 Lukoil OAO (d) 3,543,625
14,294 Magnit OJSC (d) 4,006,196
462,294 Rostelecom OJSC (d) 1,554,520
4,130,677 Surgutneftegas OAO (d) 3,555,992
551,517 Tatneft OAO (d) 3,481,712
276,535 Uralkali OJSC (d) 1,445,270
------------
29,407,246
------------
SINGAPORE - 0.9%
3,307,000 Yangzijiang Shipbuilding
Holdings Ltd. 3,105,349
------------
SOUTH AFRICA - 6.1%
55,534 Aspen Pharmacare Holdings Ltd. 1,422,602
16,738 Assore Ltd. 543,482
28,999 Bidvest Group Ltd. 741,838
133,094 Exxaro Resources Ltd. 1,858,241
475,007 Gold Fields Ltd. 1,489,321
299,087 MMI Holdings Ltd. 721,344
213,318 Mondi Ltd. 3,654,266
23,590 Naspers Ltd. 2,464,717
1,496,950 Redefine Properties Ltd. 1,389,923
60,866 Standard Bank Group Ltd. 750,932
1,020,639 Steinhoff International Holdings
Ltd. 4,390,986
98,373 Woolworths Holdings Ltd. 700,052
------------
20,127,704
------------
TAIWAN - 6.3%
1,504,567 Advanced Semiconductor
Engineering, Inc. 1,398,376
182,085 ASUSTeK Computer, Inc. 1,637,351
547,988 Catcher Technology Co., Ltd. 3,557,826
558,349 Foxconn Technology Co., Ltd. 1,303,910
282,476 Hon Hai Precision Industry Co.,
Ltd. 759,184
3,748,278 Inventec Corp. 3,313,944
21,545 Largan Precision Co., Ltd. 878,326
508,069 Pegatron Corp. 654,616
2,489,414 Pou Chen Corp. 3,721,153
100,413 President Chain Store Corp. 695,733
Page 68 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
TAIWAN (CONTINUED)
6,779,511 United Microelectronics Corp. $ 2,809,300
------------
20,729,719
------------
THAILAND - 3.5%
117,300 Airports of Thailand PCL 565,796
10,367,800 BTS Group Holdings PCL 2,744,974
276,000 PTT Exploration and Production
Public Co., Ltd. 1,398,478
913,500 PTT Global Chemical PCL 2,196,181
142,600 PTT PCL 1,241,132
1,178,900 Thai Oil PCL 2,018,050
8,792,100 TMB Bank PCL 551,179
2,927,300 True Corp. PCL (c) 668,130
------------
11,383,920
------------
TURKEY - 5.4%
313,424 Anadolu Efes Biracilik Ve Malt
Sanayii AS 3,390,930
1,611,912 Emlak Konut Gayrimenkul
Yatirim Ortakligi AS 1,575,158
1,222,368 Enka Insaat ve Sanayi AS 3,424,223
1,145,970 Eregli Demir ve Celik
Fabrikalari TAS 1,375,804
514,674 TAV Havalimanlari Holding AS 3,700,192
1,243,086 Turk Ekonomi Bankasi AS (c) 1,272,587
762,006 Turk Hava Yollari 2,283,536
123,258 Turkcell Iletisim Hizmetleri
AS (c) 650,990
------------
17,673,420
------------
UNITED STATES - 1.0%
45,994 Sohu.com, Inc. (c) 3,354,342
------------
VIRGIN ISLANDS (BRITISH) - 0.3%
18,995 Mail.ru Group Ltd., GDR 847,177
------------
TOTAL COMMON STOCKS 330,285,987
(Cost $329,370,383)
MONEY MARKET FUNDS - 3.8%
12,638,239 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class -
0.001% (e) (f) 12,638,239
(Cost $12,638,239) ------------
TOTAL INVESTMENTS - 103.9% 342,924,226
(Cost $342,008,622) (g)
NET OTHER ASSETS AND
LIABILITIES - (3.9)% (12,788,244)
------------
NET ASSETS - 100.0% $330,135,982
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) All or a portion of this security is on loan. (See Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $11,149,060 and the total value of the collateral held by
the Fund is $12,638,239.
(c) Non-income producing security.
(d) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $29,407,246 or 8.91% of net assets.
(e) Interest rate shown reflects yield as of December 31, 2013.
(f) This security serves as collateral for securities on loan.
(g) Aggregate cost for federal income tax purposes is $344,702,849. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$19,703,915 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$21,482,538.
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Bermuda $ 11,352,394 $ 11,352,394 $ -- $ --
Brazil 29,508,403 29,508,403 -- --
Cayman Islands 65,673,368 65,673,368 -- --
Chile 1,245,704 1,245,704 -- --
China 47,532,798 47,532,798 -- --
Colombia 701,959 701,959 -- --
Czech Republic 3,603,427 3,603,427 -- --
Egypt 7,225,958 7,225,958 -- --
Hong Kong 9,518,019 9,518,019 -- --
Hungary 1,341,328 1,341,328 -- --
Indonesia 804,271 804,271 -- --
Luxembourg 4,285,282 4,285,282 -- --
Malaysia 8,394,479 8,394,479 -- --
Mexico 4,458,593 4,458,593 -- --
Netherlands 2,577,349 2,577,349 -- --
Philippines 3,585,692 3,585,692 -- --
Poland 21,848,086 21,848,086 -- --
Russia 29,407,246 -- 29,407,246 --
Singapore 3,105,349 3,105,349 -- --
South Africa 20,127,704 20,127,704 -- --
Taiwan 20,729,719 20,729,719 -- --
Thailand 11,383,920 11,383,920 -- --
Turkey 17,673,420 17,673,420 -- --
United States 3,354,342 3,354,342 -- --
Virgin Islands
(British) 847,177 847,177 -- --
-------------------------------------------------------
Total Common
Stocks 330,285,987 300,878,741 29,407,246 --
Money Market
Funds 12,638,239 12,638,239 -- --
-------------------------------------------------------
Total
Investments $342,924,226 $313,516,980 $29,407,246 $ --
=======================================================
See Notes to Financial Statements Page 69
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
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. As of December
31, 2013, the Fund transferred common stocks valued at $31,248,162 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
OFFSETTING ASSETS AND LIABILITIES
The Fund's loaned securities were all subject to enforceable Securities Lending
Agency Agreements. Securities lent in accordance with a Securities Lending
Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENTS
Total gross amount presented in Statements of
Assets and Liabilities(1) $ 11,149,060
Non-cash Collateral(2) (11,149,060)
------------
Net Amount $ --
============
(1) The amounts presented on the Statement of Assets and Liabilities are not
offset and are shown on a gross basis.
(2) At December 31, 2013, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed in the Portfolio of Investments.
INDUSTRY % OF NET ASSETS
--------------------------------------------------------
Oil, Gas & Consumable Fuels 13.2%
Real Estate Management & Development 6.7
Internet Software & Services 6.6
Metals & Mining 6.4
Electric Utilities 4.9
Money Market Funds 3.8
Semiconductors & Semiconductor Equipment 3.6
Chemicals 3.3
Computers & Peripherals 3.2
Food Products 3.2
Household Durables 3.1
Diversified Telecommunication Services 3.1
Automobiles 3.1
Industrial Conglomerates 3.0
Food & Staples Retailing 2.9
Transportation Infrastructure 2.6
Construction & Engineering 2.5
Wireless Telecommunication Services 2.5
Electronic Equipment, Instruments &
Components 2.3
Commercial Banks 2.2
Water Utilities 2.1
Textiles, Apparel & Luxury Goods 2.1
Insurance 1.6
Real Estate Investment Trusts (REITs) 1.5
Pharmaceuticals 1.3
Independent Power Producers & Energy
Traders 1.2
Machinery 1.2
Paper & Forest Products 1.1
Software 1.1
Beverages 1.0
Auto Components 1.0
Internet & Catalog Retail 0.9
Road & Rail 0.8
Energy Equipment & Services 0.8
Construction Materials 0.8
Specialty Retail 0.8
Media 0.7
Airlines 0.7
Gas Utilities 0.6
Consumer Finance 0.2
Multiline Retail 0.2
--------------------------------------------------------
TOTAL INVESTMENTS 103.9
NET OTHER ASSETS AND LIABILITIES (3.9)
------------
TOTAL 100.0%
============
Page 70 See Notes to Financial Statements
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.1%
AIR FREIGHT & LOGISTICS - 3.9%
51,037 Deutsche Post AG $ 1,860,607
------------
AIRLINES - 2.1%
46,871 Deutsche Lufthansa AG (a) 994,288
------------
AUTO COMPONENTS - 5.5%
11,871 Continental AG 2,603,151
------------
AUTOMOBILES - 15.6%
10,880 Bayerische Motoren Werke AG 1,275,540
20,970 Daimler AG 1,814,566
20,476 Porsche Automobil Holding SE
(Preference Shares) 2,131,254
7,826 Volkswagen AG (Preference
Shares) 2,197,926
------------
7,419,286
------------
CHEMICALS - 8.3%
3,547 BASF SE 378,121
17,916 Evonik Industries AG (a) 730,292
42,890 K+S AG (b) 1,320,209
15,797 Lanxess AG 1,053,455
4,212 Wacker Chemie AG 465,758
------------
3,947,835
------------
CONSTRUCTION & ENGINEERING
- 1.7%
9,703 Hochtief AG 828,403
------------
CONSTRUCTION MATERIALS - 1.5%
9,430 HeidelbergCement AG 715,453
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 3.8%
219,098 Telefonica Deutschland Holding
AG 1,808,479
------------
FOOD & STAPLES RETAILING - 1.0%
10,022 Metro AG 485,312
------------
FOOD PRODUCTS - 2.3%
40,959 Suedzucker AG 1,105,534
------------
HEALTH CARE EQUIPMENT &
SUPPLIES - 1.3%
19,111 Carl Zeiss Meditec AG 636,637
------------
HEALTH CARE PROVIDERS &
SERVICES - 4.7%
58,354 Celesio AG (b) 1,846,385
13,751 Rhoen Klinikum AG 402,086
------------
2,248,471
------------
HOTELS, RESTAURANTS & LEISURE
- 4.6%
133,381 TUI AG (a) 2,197,320
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
INSURANCE - 6.4%
6,510 Allianz SE $ 1,167,389
7,314 Generali Deutschland Holding
AG 1,130,954
3,448 Muenchener Rueckversicherungs
AG 759,658
------------
3,058,001
------------
INTERNET SOFTWARE & SERVICES
- 5.0%
56,172 United Internet AG 2,389,368
------------
MACHINERY - 2.0%
2,834 Rational AG 939,985
------------
MEDIA - 8.9%
14,440 Kabel Deutschland Holding AG 1,871,690
7,380 ProSiebenSat.1 Media AG 365,496
182,160 Sky Deutschland AG (a) 2,004,780
------------
4,241,966
------------
METALS & MINING - 2.3%
17,735 Aurubis AG 1,080,833
------------
MULTI-UTILITIES - 5.3%
77,282 E.ON SE 1,426,240
29,808 RWE AG 1,090,988
------------
2,517,228
------------
PHARMACEUTICALS - 3.2%
2,971 Bayer AG 416,690
4,163 Merck KGaA 745,947
7,364 Stada Arzneimittel AG 363,944
------------
1,526,581
------------
SOFTWARE - 1.6%
21,187 Software AG 740,333
------------
TEXTILES, APPAREL & LUXURY
GOODS - 3.1%
11,725 Adidas AG 1,494,291
------------
TRADING COMPANIES &
DISTRIBUTORS - 1.6%
4,180 Brenntag AG 774,870
------------
TRANSPORTATION INFRASTRUCTURE
- 0.8%
5,243 Fraport AG Frankfurt Airport
Services Worldwide 392,304
------------
WIRELESS TELECOMMUNICATION
SERVICES - 3.6%
58,077 Freenet AG 1,740,146
------------
TOTAL COMMON STOCKS 47,746,682
(Cost $42,238,215)
See Notes to Financial Statements Page 71
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MONEY MARKET FUNDS - 3.6%
1,702,550 Goldman Sachs Financial Square
Treasury Instruments Fund -
Institutional Class -
0.001% (c) (d) $ 1,702,550
(Cost $1,702,550) ------------
TOTAL INVESTMENTS - 103.7% 49,449,232
(Cost $43,940,765) (e)
NET OTHER ASSETS AND
LIABILITIES - (3.7%) (1,746,909)
------------
NET ASSETS - 100.0% $ 47,702,323
============
(a) Non-income producing security.
(b) All or a portion of this security is on loan. (See Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $1,619,491 and the total value of the collateral held by the
Fund is $1,702,550.
(c) Interest rate shown reflects yield as of December 31, 2013.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $44,053,497. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$5,917,482 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$521,747.
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $ 47,746,682 $ 47,746,682 $ -- $ --
Money Market
Funds 1,702,550 1,702,550 -- --
-------------------------------------------------------
Total Investments $ 49,449,232 $ 49,449,232 $ -- $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $3,445,689 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
Germany 100.1%
United States 3.6
--------------------------------------------------------
TOTAL INVESTMENTS 103.7
NET OTHER ASSETS AND LIABILITIES (3.7)
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
OFFSETTING ASSETS AND LIABILITIES
The Fund's loaned securities were all subject to enforceable Securities Lending
Agency Agreements. Securities lent in accordance with a Securities Lending
Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENTS
Total gross amount presented in Statements of
Assets and Liabilities(1) $ 1,619,491
Non-cash Collateral(2) (1,619,491)
------------
Net Amount $ --
============
(1) The amounts presented on the Statement of Assets and Liabilities are not
offset and are shown on a gross basis.
(2) At December 31, 2013, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed in the Portfolio of Investments.
Page 72 See Notes to Financial Statements
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.9%
AUTO COMPONENTS - 4.4%
41,270 Magna International, Inc. $ 3,383,965
------------
CHEMICALS - 4.5%
20,330 Agrium, Inc. 1,859,700
27,431 Methanex Corp. 1,622,231
------------
3,481,931
------------
DIVERSIFIED FINANCIAL SERVICES
- 0.9%
12,948 Onex Corp. 699,052
------------
ENERGY EQUIPMENT & SERVICES
- 3.1%
151,815 Ensign Energy Services, Inc. 2,391,024
------------
FOOD & STAPLES RETAILING - 15.9%
49,510 Alimentation Couche Tard, Inc.,
Class B 3,723,096
38,416 Empire Co., Ltd., Class A 2,624,837
29,517 George Weston Ltd. 2,153,512
38,984 Loblaw Cos Ltd. 1,555,323
26,301 Metro, Inc. 1,606,905
12,734 Shoppers Drug Mart Corp. 697,568
------------
12,361,241
------------
INSURANCE - 8.6%
3,893 E-L Financial Corp. Ltd. (a) 2,638,701
29,706 Industrial Alliance Insurance &
Financial Services, Inc. 1,312,965
21,895 Power Corp. of Canada 658,550
60,617 Power Financial Corp. 2,054,330
------------
6,664,546
------------
IT SERVICES - 3.5%
80,245 CGI Group, Inc., Class A (b) 2,684,780
------------
MEDIA - 6.0%
106,607 Lions Gate Entertainment Corp. 3,375,178
53,060 Quebecor, Inc., Class B 1,320,693
------------
4,695,871
------------
METALS & MINING - 7.1%
198,040 First Quantum Minerals Ltd. 3,568,356
23,655 Goldcorp, Inc. 513,072
54,996 Teck Resources Ltd., Class B 1,431,527
------------
5,512,955
------------
MULTILINE RETAIL - 2.8%
15,607 Canadian Tire Corp. Ltd.,
Class A 1,461,746
8,394 Dollarama, Inc. 697,044
------------
2,158,790
------------
OIL, GAS & CONSUMABLE FUELS
- 13.7%
379,653 Athabasca Oil Corp. (b) 2,315,982
41,678 Canadian Natural Resources Ltd. 1,410,127
66,154 Husky Energy, Inc. 2,098,743
15,390 Imperial Oil Ltd. 681,521
SHARES DESCRIPTION VALUE
------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
133,814 Pacific Rubiales Energy Corp. $ 2,310,331
55,666 Penn West Petroleum Ltd. 464,822
39,863 Suncor Energy, Inc. 1,397,503
------------
10,679,029
------------
PHARMACEUTICALS - 4.1%
27,256 Valeant Pharmaceuticals
International, Inc. (b) 3,197,593
------------
REAL ESTATE INVESTMENT TRUSTS
- 15.2%
53,001 Boardwalk Real Estate
Investment Trust 2,986,218
120,165 Calloway Real Estate Investment
Trust 2,846,177
118,596 Cominar Real Estate Investment
Trust 2,058,753
37,860 Dundee Real Estate Investment
Trust, Class A 1,027,183
122,256 RioCan Real Estate Investment
Trust 2,850,817
------------
11,769,148
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 2.6%
105,984 Brookfield Office Properties,
Inc. 2,040,360
------------
SOFTWARE - 6.5%
12,784 Constellation Software, Inc. 2,707,717
25,781 Open Text Corp. 2,371,439
------------
5,079,156
------------
TEXTILES, APPAREL & LUXURY GOODS
- 1.0%
14,487 Gildan Activewear, Inc. 772,049
------------
TOTAL INVESTMENTS - 99.9% 77,571,490
(Cost $75,259,612) (c)
NET OTHER ASSETS AND
LIABILITIES - 0.1% 56,128
------------
NET ASSETS - 100.0% $ 77,627,618
============
(a) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $2,638,701 or 3.40% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $75,283,935. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$5,288,269 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$3,000,714.
See Notes to Financial Statements Page 73
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Insurance $ 6,664,546 $ 4,025,845 $ 2,638,701 $ --
Other Industry
Categories* 70,906,944 70,906,944 -- --
-------------------------------------------------------
Total Investments $ 77,571,490 $ 74,932,789 $ 2,638,701 $ --
=======================================================
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. The common
stock that transferred from Level 1 to Level 2 did so as a result of a lack of
trading volume on the primary exchange.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
Canada 99.9%
Net Other Assets and Liabilities 0.1
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
Page 74 See Notes to Financial Statements
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.5%
AIR FREIGHT & LOGISTICS - 0.8%
2,361 Toll Holdings Ltd. $ 11,974
------------
AIRLINES - 1.8%
27,918 Qantas Airways Ltd. (a) 27,296
------------
BEVERAGES - 1.2%
4,317 Treasury Wine Estates Ltd. 18,579
------------
BIOTECHNOLOGY - 2.5%
612 CSL Ltd. 37,684
------------
CAPITAL MARKETS - 4.0%
1,218 Macquarie Group Ltd. 59,783
------------
CHEMICALS - 3.5%
21,963 Incitec Pivot Ltd. 52,557
------------
COMMERCIAL BANKS - 0.9%
423 National Australia Bank Ltd. 13,155
------------
COMMERCIAL SERVICES & SUPPLIES
- 2.9%
5,380 Brambles Ltd. 43,955
------------
CONSTRUCTION & ENGINEERING
- 2.3%
2,439 Leighton Holdings Ltd. 35,084
------------
CONSTRUCTION MATERIALS - 2.1%
2,676 James Hardie Industries PLC,
ADR 30,919
------------
CONTAINERS & PACKAGING - 4.4%
6,950 Amcor Ltd. 65,470
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 5.6%
17,845 TPG Telecom Ltd. 84,768
------------
ELECTRIC UTILITIES - 3.2%
42,767 SP AusNet 47,542
------------
ENERGY EQUIPMENT & SERVICES
- 1.3%
1,289 WorleyParsons Ltd. 19,106
------------
FOOD & STAPLES RETAILING - 2.4%
313 Wesfarmers Ltd. 12,308
766 Woolworths Ltd. 23,152
------------
35,460
------------
FOOD PRODUCTS - 2.0%
4,014 GrainCorp Ltd., Class A 30,465
------------
HEALTH CARE PROVIDERS & SERVICES
- 4.5%
1,754 Ramsay Health Care Ltd. 67,751
------------
HOTELS, RESTAURANTS & LEISURE
- 6.3%
1,037 Crown Ltd. 15,602
1,597 Flight Centre Travel Group Ltd. 67,804
3,963 Tatts Group Ltd. 10,970
------------
94,376
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
INSURANCE - 6.0%
4,619 Insurance Australia Group Ltd. $ 24,003
1,665 QBE Insurance Group Ltd. 17,112
4,216 Suncorp Group Ltd. 49,315
------------
90,430
------------
IT SERVICES - 1.7%
2,447 Computershare Ltd. 24,864
------------
MEDIA - 3.1%
1,369 REA Group Ltd. 46,157
------------
METALS & MINING - 13.5%
400 BHP Billiton Ltd. 13,569
8,070 BlueScope Steel Ltd. (a) 41,937
12,398 Fortescue Metals Group Ltd. 64,428
5,030 Iluka Resources Ltd. 38,760
6,364 Newcrest Mining Ltd. 44,323
------------
203,017
------------
OIL, GAS & CONSUMABLE FUELS
- 5.9%
999 Origin Energy Ltd. 12,550
2,005 Santos Ltd. 26,192
1,435 Woodside Petroleum Ltd. 49,843
------------
88,585
------------
REAL ESTATE INVESTMENT TRUSTS
- 7.1%
11,421 Commonwealth Property Office
Fund 12,696
13,086 GPT Group 39,727
20,263 Westfield Retail Trust 53,736
------------
106,159
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 5.0%
7,523 Lend Lease Group 74,831
------------
ROAD & RAIL - 5.2%
7,508 Asciano, Ltd. 38,614
9,060 Aurizon Holdings Ltd. 39,478
------------
78,092
------------
TRANSPORTATION INFRASTRUCTURE
- 0.3%
1,200 Sydney Airport 4,072
------------
TOTAL INVESTMENTS - 99.5% 1,492,131
(Cost $1,469,226) (b)
NET OTHER ASSETS AND
LIABILITIES - 0.5% 7,509
------------
NET ASSETS - 100.0% $ 1,499,640
============
See Notes to Financial Statements Page 75
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $1,471,526. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$257,601 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$236,996.
ADR - American Depositary Receipt
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $ 1,492,131 $ 1,492,131 $ -- $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $622,798 from Level 2 to
Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
Australia 97.4%
Ireland 2.1
--------------------------------------------------------
TOTAL INVESTMENTS 99.5
NET OTHER ASSETS AND LIABILITIES 0.5
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
Page 76 See Notes to Financial Statements
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.9%
AEROSPACE & DEFENSE - 3.4%
49,554 Cobham PLC $ 225,252
25,098 Meggitt PLC 219,234
22,907 Rolls-Royce Holdings PLC 483,644
1,673,388 Rolls-Royce Holdings PLC
(Preference Shares) (a) (b) 2,771
------------
930,901
------------
AIRLINES - 5.3%
25,054 easyJet PLC 637,258
123,040 International Consolidated
Airlines Group S.A. (b) 817,845
------------
1,455,103
------------
AUTO COMPONENTS - 2.4%
107,767 GKN PLC 666,179
------------
CAPITAL MARKETS - 3.1%
57,708 3i Group PLC 368,007
14,626 Hargreaves Lansdown PLC 327,938
44,298 Henderson Group PLC 167,690
------------
863,635
------------
CHEMICALS - 1.0%
18,515 Essentra PLC 263,369
------------
COMMERCIAL BANKS - 2.4%
514,094 Lloyds Banking Group PLC (b) 671,516
------------
COMMERCIAL SERVICES & SUPPLIES
- 2.3%
11,865 Aggreko PLC 335,782
5,888 Babcock International Group PLC 132,116
21,067 Serco Group PLC 174,150
------------
642,048
------------
CONTAINERS & PACKAGING - 1.1%
52,498 DS Smith PLC 288,621
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 1.5%
42,005 BT Group PLC 263,904
28,940 TalkTalk Telecom Group PLC 146,645
------------
410,549
------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
- 0.5%
3,400 Spectris PLC 144,190
------------
ENERGY EQUIPMENT & SERVICES
- 1.6%
12,923 AMEC PLC 232,830
10,841 Petrofac Ltd. 219,735
------------
452,565
------------
FOOD & STAPLES RETAILING - 4.5%
53,449 Booker Group PLC 143,827
91,388 J Sainsbury PLC 552,369
124,027 WM Morrison Supermarkets PLC 536,048
------------
1,232,244
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES
- 1.8%
35,342 Smith & Nephew PLC $ 503,897
------------
HOTELS, RESTAURANTS & LEISURE
- 9.9%
25,138 Greene King PLC 366,528
129,946 Ladbrokes PLC 384,964
251,123 Thomas Cook Group PLC (b) 695,296
72,783 TUI Travel PLC 497,889
6,375 Whitbread PLC 395,981
58,916 William Hill PLC 392,102
------------
2,732,760
------------
HOUSEHOLD DURABLES - 4.9%
9,142 Berkeley Group Holdings PLC 402,084
21,995 Persimmon PLC (b) 451,276
271,291 Taylor Wimpey PLC 500,907
------------
1,354,267
------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS - 1.6%
33,446 Drax Group PLC 443,356
------------
INDUSTRIAL CONGLOMERATES - 0.4%
4,965 Smiths Group PLC 121,683
------------
INSURANCE - 12.7%
49,535 Amlin PLC 376,424
52,035 Catlin Group Ltd. 500,201
22,806 Hiscox Ltd. 262,471
7,136 Jardine Lloyd Thompson Group
PLC 120,296
37,888 Legal & General Group PLC 139,723
107,815 Old Mutual PLC 337,612
24,164 Prudential PLC 536,193
45,572 Resolution Ltd. 267,146
109,143 RSA Insurance Group PLC 165,192
48,104 St. James's Place PLC 579,909
37,570 Standard Life PLC 223,722
------------
3,508,889
------------
INTERNET & CATALOG RETAIL
- 2.3%
87,081 Ocado Group PLC (b) 636,795
------------
INTERNET SOFTWARE & SERVICES
- 0.3%
6,404 Telecity Group PLC 76,937
------------
MACHINERY - 0.4%
3,019 Weir Group PLC 106,585
------------
METALS & MINING - 6.8%
40,843 Antofagasta PLC 557,304
11,583 BHP Billiton PLC 358,491
22,089 Fresnillo PLC 272,691
6,359 Randgold Resources Ltd. 399,094
19,100 Vedanta Resources PLC 295,253
------------
1,882,833
------------
See Notes to Financial Statements Page 77
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES - 0.8%
18,029 Centrica PLC $ 103,806
8,705 National Grid PLC 113,591
------------
217,397
------------
OIL, GAS & CONSUMABLE FUELS
- 8.2%
17,418 BG Group PLC 374,242
71,324 BP PLC 576,431
14,156 Genel Energy PLC (b) 251,998
97,479 Premier Oil PLC 506,214
14,922 Royal Dutch Shell PLC 563,390
------------
2,272,275
------------
PAPER & FOREST PRODUCTS - 1.0%
15,878 Mondi PLC 275,027
------------
PHARMACEUTICALS - 2.7%
10,424 AstraZeneca PLC 617,017
6,829 Hikma Pharmaceuticals PLC 135,815
------------
752,832
------------
PROFESSIONAL SERVICES - 1.3%
20,168 Capita PLC 346,663
------------
REAL ESTATE INVESTMENT TRUSTS
- 3.9%
11,294 Derwent London PLC 466,622
48,873 Great Portland Estates PLC 484,778
7,346 Land Securities Group PLC 117,206
------------
1,068,606
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 2.0%
99,297 Capital & Counties Properties
PLC 541,306
------------
SPECIALTY RETAIL - 5.6%
27,430 Dunelm Group PLC 408,804
76,883 Howden Joinery Group PLC 438,980
58,769 Sports Direct International
PLC (b) 695,828
------------
1,543,612
------------
TRADING COMPANIES &
DISTRIBUTORS - 4.2%
50,302 Ashtead Group PLC 633,062
5,073 Bunzl PLC 121,809
13,381 Travis Perkins PLC 414,803
------------
1,169,674
------------
TOTAL INVESTMENTS - 99.9% 27,576,314
(Cost $23,659,646) (c)
NET OTHER ASSETS AND
LIABILITIES - 0.1% 21,994
------------
NET ASSETS - 100.0% $ 27,598,308
============
(a) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $2,771 or 0.01% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $23,710,798. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$4,477,082 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$611,566.
Page 78 See Notes to Financial Statements
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Aerospace &
Defense $ 930,901 $ 928,130 $ 2,771 $ --
Other Industry
Categories* 26,645,413 26,645,413 -- --
-------------------------------------------------------
TOTAL INVESTMENTS $ 27,576,314 $ 27,573,543 $ 2,771 $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $4,947,922 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
United Kingdom 89.5%
Jersey 3.7
Spain 3.0
Bermuda 2.7
Guernsey 1.0
------------
TOTAL INVESTMENTS 99.9
NET OTHER ASSETS AND LIABILITIES 0.1
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
See Notes to Financial Statements Page 79
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.1%
AUTO COMPONENTS - 3.0%
18,352 Cheng Shin Rubber Industry Co.,
Ltd. $ 48,030
------------
AUTOMOBILES - 2.7%
23,589 Yulon Motor Co., Ltd. 42,740
------------
CHEMICALS - 1.6%
6,031 Nan Ya Plastics Corp. 13,942
5,213 Taiwan Fertilizer Co., Ltd. 11,807
------------
25,749
------------
COMMERCIAL BANKS - 2.8%
21,771 CTBC Financial Holding Co.,
Ltd. 14,865
28,595 SinoPac Financial Holdings Co.,
Ltd. 14,248
31,140 Taishin Financial Holding Co.,
Ltd. 15,307
------------
44,420
------------
COMPUTERS & PERIPHERALS - 25.1%
5,279 Advantech Co., Ltd. 36,577
5,852 ASUSTeK Computer, Inc. 52,622
12,097 Catcher Technology Co., Ltd. 78,540
111,997 Compal Electronics, Inc. 85,867
21,774 Foxconn Technology Co., Ltd. 50,849
28,844 LiteOn Technology Corp. 46,261
38,124 Pegatron Corp. 49,120
------------
399,836
------------
CONSTRUCTION MATERIALS - 2.8%
10,432 Asia Cement Corp. 13,511
20,457 Taiwan Cement Corp. 31,746
------------
45,257
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 0.7%
3,700 Chunghwa Telecom Co., Ltd. 11,558
------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
- 18.5%
103,880 AU Optronics Corp. (a) 33,182
5,530 Delta Electronics, Inc. 31,543
68,752 FIH Mobile Ltd. (a) 36,972
28,052 Hon Hai Precision Industry Co.,
Ltd. 75,393
100,984 Innolux Corp. (a) 38,457
1,573 Largan Precision Co., Ltd. 64,127
2,359 TPK Holding Co., Ltd. 13,931
------------
293,605
------------
FOOD & STAPLES RETAILING - 3.4%
7,683 President Chain Store Corp. 53,233
------------
FOOD PRODUCTS - 2.3%
20,551 Uni-President Enterprises Corp. 37,029
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
INDUSTRIAL CONGLOMERATES - 1.7%
23,763 Far Eastern New Century Corp. $ 27,428
------------
INSURANCE - 4.7%
29,559 Cathay Financial Holding Co.,
Ltd. 47,854
76,699 Shin Kong Financial Holding
Co., Ltd. 26,507
------------
74,361
------------
LEISURE EQUIPMENT & PRODUCTS
- 4.0%
9,161 Giant Manufacturing Co., Ltd. 63,013
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 16.6%
45,021 Advanced Semiconductor
Engineering, Inc. 41,844
70,000 Inotera Memories, Inc. (a) 51,672
121,000 Nanya Technology Corp. (a) 16,280
12,970 Novatek Microelectronics Corp. 53,092
20,023 Siliconware Precision
Industries Co. 23,917
6,801 Taiwan Semiconductor
Manufacturing Co., Ltd. 24,075
130,148 United Microelectronics Corp. 53,931
------------
264,811
------------
SPECIALTY RETAIL - 4.5%
5,843 Hotai Motor Co., Ltd. 72,147
------------
TEXTILES, APPAREL & LUXURY
GOODS - 5.0%
53,066 Pou Chen Corp. 79,323
------------
WIRELESS TELECOMMUNICATION
SERVICES - 0.7%
4,689 Far EasTone Telecommunications
Co., Ltd. 10,305
------------
TOTAL INVESTMENTS - 100.1% 1,592,845
(Cost $1,438,759) (b)
NET OTHER ASSETS AND
LIABILITIES - (0.1%) (2,007)
------------
NET ASSETS - 100.0% $ 1,590,838
============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $1,440,358. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$232,897 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$80,410.
Page 80 See Notes to Financial Statements
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $ 1,592,845 $ 1,592,845 $ -- $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $821,909 from Level 2 to
Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
Taiwan 96.9%
Cayman Islands 3.2
------------
TOTAL INVESTMENTS 100.1
NET OTHER ASSETS AND LIABILITIES (0.1)
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
See Notes to Financial Statements Page 81
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.6%
CAPITAL MARKETS - 1.6%
5,000 Guoco Group Ltd. $ 61,450
------------
COMMUNICATIONS EQUIPMENT - 1.8%
5,500 VTech Holdings Ltd. 71,496
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 4.1%
211,996 Hutchison Telecommunications
Hong Kong Holdings Ltd. 80,104
177,996 PCCW Ltd. 79,652
------------
159,756
------------
FOOD & STAPLES RETAILING - 0.7%
2,700 Dairy Farm International
Holdings Ltd. 25,650
------------
GAS UTILITIES - 8.2%
25,239 ENN Energy Holdings Ltd. 186,990
111,998 Towngas China Co., Ltd. 129,846
------------
316,836
------------
HOTELS, RESTAURANTS & LEISURE
- 19.5%
28,069 Galaxy Entertainment Group
Ltd. (a) 251,757
2,492 Melco Crown Entertainment
Ltd., ADR (a) 97,736
15,000 Melco International
Development Ltd. 55,228
52,399 MGM China Holdings Ltd. 224,008
6,000 Sands China Ltd. 49,211
23,000 SJM Holdings Ltd. 76,822
------------
754,762
------------
HOUSEHOLD DURABLES - 2.6%
35,001 Techtronic Industries Co. 99,528
------------
INDUSTRIAL CONGLOMERATES - 5.5%
41,873 Hopewell Holdings Ltd. 142,019
3,000 Hutchison Whampoa Ltd. 40,816
18,642 NWS Holdings Ltd. 28,417
------------
211,252
------------
INSURANCE - 3.4%
26,399 AIA Group Ltd. 132,432
------------
MARINE - 1.1%
8,500 Orient Overseas International
Ltd. 42,750
------------
METALS & MINING - 2.9%
113,576 Fosun International Ltd. 112,488
------------
REAL ESTATE INVESTMENT TRUSTS
- 6.4%
304,994 Champion REIT 135,303
22,928 Link REIT 111,472
------------
246,775
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 33.8%
3,680 Cheung Kong Holdings Ltd. $ 58,135
77,998 Chinese Estates Holdings
Ltd. (b) 242,414
28,999 Great Eagle Holdings Ltd. 99,290
13,728 Henderson Land Development
Co., Ltd. 78,339
4,000 Hongkong Land Holdings Ltd. 23,600
32,193 Hysan Development Co., Ltd. 138,665
17,000 Kerry Properties Ltd. 58,974
71,999 New World China Land Ltd. 34,912
60,513 New World Development Co.,
Ltd. 76,633
79,320 Sino Land Co., Ltd. 108,429
6,452 Sun Hung Kai Properties Ltd. 81,874
2,164 Swire Pacific Ltd. 25,437
28,399 Swire Properties Ltd. 71,782
13,308 Wharf Holdings Ltd. 101,600
22,502 Wheelock & Co., Ltd. 103,452
------------
1,303,536
------------
SPECIALTY RETAIL - 6.1%
37,199 Esprit Holdings Ltd. 71,958
139,997 SA SA International Holdings
Ltd. 164,292
------------
236,250
------------
TEXTILES, APPAREL & LUXURY
GOODS - 1.9%
21,500 Yue Yuen Industrial Holdings
Ltd. 71,812
------------
TOTAL INVESTMENTS - 99.6% 3,846,773
(Cost $3,522,986) (c)
NET OTHER ASSETS AND
LIABILITIES - 0.4% 13,552
------------
NET ASSETS - 100.0% $ 3,860,325
============
(a) Non-income producing security.
(b) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with the provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $242,414 or 6.28% of net assets.
(c) Aggregate cost for federal income tax purposes is $3,527,312. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$497,207 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$177,746.
ADR - American Depositary Receipt
Page 82 See Notes to Financial Statements
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Capital Markets $ 61,450 $ 61,450 $ -- $ --
Communications
Equipment 71,496 71,496 -- --
Diversified
Telecommunication
Services 159,756 159,756 -- --
Food & Staples
Retailing 25,650 25,650 -- --
Gas Utilities 316,836 316,836 -- --
Hotels, Restaurants
& Leisure 754,762 754,762 -- --
Household Durables 99,528 99,528 -- --
Industrial
Conglomerates 211,252 211,252 -- --
Insurance 132,432 132,432 -- --
Marine 42,750 42,750 -- --
Metals & Mining 112,488 112,488 -- --
Real Estate
Investment Trusts 246,775 246,775 -- --
Real Estate
Management &
Development 1,303,536 1,061,122 242,414 --
Specialty Retail 236,250 236,250 -- --
Textiles, Apparel &
Luxury Goods 71,812 71,812 -- --
-------------------------------------------------------
TOTAL INVESTMENTS $ 3,846,773 $ 3,604,359 $ 242,414 $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $1,117,194 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION* % OF NET ASSETS
--------------------------------------------------------
Hong Kong 53.9%
Cayman Islands 25.0
Bermuda 20.7
------------
TOTAL INVESTMENTS 99.6
NET OTHER ASSETS AND LIABILITIES 0.4
------------
TOTAL 100.0%
============
* Portfolio securities are categorized based on their country of
incorporation.
See Notes to Financial Statements Page 83
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.1%
AIR FREIGHT & LOGISTICS - 3.2%
5,093 Panalpina Welttransport Holding
AG $ 853,543
------------
BIOTECHNOLOGY - 2.9%
9,118 Actelion Ltd. 770,182
------------
CAPITAL MARKETS - 7.6%
13,809 Credit Suisse Group AG 422,141
60,162 EFG International AG 859,891
2,705 Partners Group Holding AG 721,394
------------
2,003,426
------------
CHEMICALS - 8.5%
38,840 Clariant AG 710,140
1,237 EMS-Chemie Holding AG 439,582
426 Givaudan S.A. 608,401
142 Sika AG 504,772
------------
2,262,895
------------
COMMERCIAL BANKS - 1.4%
4,522 Basler Kantonalbank 366,505
------------
CONSTRUCTION MATERIALS - 2.2%
7,880 Holcim Ltd. 589,642
------------
DIVERSIFIED FINANCIAL SERVICES
- 3.3%
10,973 Pargesa Holding S.A. 884,433
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 2.5%
1,256 Swisscom AG 663,024
------------
ELECTRIC UTILITIES - 3.7%
30,238 BKW AG 971,155
------------
FOOD PRODUCTS - 5.4%
3,258 Aryzta AG 249,815
2,499 Emmi AG 766,186
49 Lindt & Spruengli AG 220,872
2,792 Nestle S.A. 204,381
------------
1,441,254
------------
HEALTH CARE EQUIPMENT &
SUPPLIES - 1.8%
30,081 Nobel Biocare Holding AG 468,725
------------
INDUSTRIAL CONGLOMERATES - 3.6%
6,954 Daetwyler Holding AG 965,866
------------
INSURANCE - 15.8%
9,415 Baloise Holding AG 1,198,973
1,361 Helvetia Holding AG 682,750
5,630 Swiss Life Holding AG 1,168,854
12,301 Swiss Re AG 1,131,436
------------
4,182,013
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
LIFE SCIENCES TOOLS & SERVICES
- 4.4%
12,155 Lonza Group AG $ 1,152,753
------------
MACHINERY - 14.4%
3,822 Bucher Industries AG 1,109,689
1,661 Georg Fischer AG 1,168,407
77,217 OC Oerlikon Corp., AG 1,155,593
2,289 Sulzer AG 369,248
------------
3,802,937
------------
PHARMACEUTICALS - 5.3%
583 Galenica AG 586,889
2,577 Novartis AG 205,686
2,208 Roche Holding AG 616,819
------------
1,409,394
------------
PROFESSIONAL SERVICES - 4.5%
6,424 Adecco S.A. 508,418
8,904 DKSH Holding AG 691,718
------------
1,200,136
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 4.1%
10,572 PSP Swiss Property AG 894,777
2,491 Swiss Prime Site AG 192,818
------------
1,087,595
------------
SOFTWARE - 0.8%
7,488 Temenos Group AG 211,533
------------
TEXTILES, APPAREL & LUXURY
GOODS - 3.9%
8,281 Cie Financiere Richemont S.A. 824,340
335 Swatch Group AG 221,381
------------
1,045,721
------------
TRANSPORTATION INFRASTRUCTURE
- 0.8%
364 Flughafen Zuerich AG 212,797
------------
TOTAL INVESTMENTS - 100.1% 26,545,529
(Cost $22,275,471) (a)
NET OTHER ASSETS AND
LIABILITIES - (0.1%) (35,068)
------------
NET ASSETS - 100.0% $ 26,510,461
============
(a) Aggregate cost for federal income tax purposes is $22,443,121. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$4,430,651 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$328,243.
Page 84 See Notes to Financial Statements
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
COMMON STOCKS* $ 26,545,529 $ 26,545,529 $ -- $ --
=======================================================
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. As of December
31, 2013, the Fund transferred common stocks valued at $4,492,103 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
--------------------------------------------------------
Switzerland 100.1%
------------
TOTAL INVESTMENTS 100.1
NET OTHER ASSETS AND LIABILITIES (0.1)
------------
TOTAL 100.0%
============
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
See Notes to Financial Statements Page 85
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.9%
AUSTRALIA - 6.5%
7,378 Aquila Resources Ltd. (b) $ 15,152
7,802 Arrium Ltd. 12,191
10,136 Ausdrill Ltd. 9,322
1,448 BC Iron Ltd. 6,710
7,130 Beach Energy Ltd. 9,104
362 Breville Group Ltd. 2,886
1,472 BT Investment Management Ltd. 7,558
2,572 Cabcharge Australia Ltd. 9,163
1,278 Cedar Woods Properties Ltd. 8,718
1,416 Downer EDI Ltd. 6,145
18,774 Evolution Mining Ltd. 10,309
604 Forge Group Ltd. 938
950 G8 Education Ltd. 2,680
5,144 Hills Ltd. 7,992
606 JB Hi-Fi Ltd. 11,634
2,568 MACA Ltd. 6,031
5,690 Medusa Mining Ltd. (b) 10,364
292 Mineral Resources Ltd. 3,095
21,582 Mount Gibson Iron Ltd. 19,560
8,752 NRW Holdings Ltd. 10,706
8,404 Pacific Brands Ltd. 4,803
3,008 PanAust Ltd. 4,848
4,432 RCR Tomlinson Ltd. 14,484
24,594 Resolute Mining Ltd. (b) 12,188
1,944 Seven Group Holdings Ltd. 13,938
1,738 Slater & Gordon Ltd. 7,511
9,064 Sundance Energy Australia
Ltd. (b) 8,053
1,034 Tassal Group Ltd. 3,047
------------
239,130
------------
AUSTRIA - 0.5%
90 RHI AG 2,793
844 Wienerberger AG 13,381
184 Zumtobel AG 2,873
------------
19,047
------------
BELGIUM - 0.8%
74 Barco N.V. 5,772
116 Cie d'Entreprises CFE 10,334
222 KBC Ancora (b) 8,023
348 Mobistar S.A. 6,607
------------
30,736
------------
BERMUDA - 4.1%
6,000 APT Satellite Holdings Ltd. 7,134
4,372 BW Offshore Ltd. 5,226
500 China Yuchai International Ltd. 10,435
53,811 Emperor International Holdings 14,573
428 Fly Leasing Ltd., ADR 6,878
12,000 Goldpoly New Energy Holdings
Ltd. (b) 2,337
4,000 Great Eagle Holdings Ltd. 13,696
29,999 IT Ltd. 7,737
27,999 K Wah International Holdings
Ltd. 16,971
5,600 Man Wah Holdings Ltd. 8,767
SHARES DESCRIPTION VALUE
------------------------------------------------------------
BERMUDA (CONTINUED)
27,999 PAX Global Technology Ltd. (b) $ 11,266
35,999 Playmates Toys Ltd. (b) 16,852
16,000 Regal Hotels International
Holdings Ltd. 9,966
388 Ship Finance International Ltd. 6,355
2,000 SmarTone Telecommunications
Holdings Ltd. 2,272
27,999 Trinity Ltd. 9,316
------------
149,781
------------
CANADA - 8.2%
376 Allied Properties Real Estate
Investment Trust 11,596
506 Argonaut Gold, Inc. (b) 2,534
858 Artis Real Estate Investment
Trust 12,003
412 AutoCanada, Inc. 17,799
162 Avigilon Corp. (b) 4,689
140 Badger Daylighting Ltd. 11,236
788 Bankers Petroleum Ltd. (b) 3,242
596 Canadian Apartment Properties
REIT 11,923
350 Canadian Solar, Inc. (b) 10,437
286 Capital Power Corp. 5,735
634 Cominar Real Estate Investment
Trust 11,006
124 Corus Entertainment, Inc. 3,002
1,212 Dominion Diamond Corp. (b) 17,366
798 Dundee Corp. (b) 14,041
534 Dundee Precious Metals, Inc. (b) 1,543
1,380 Endeavour Silver Corp. (b) 4,989
166 Granite Real Estate Investment
Trust 6,041
1,240 IAMGOLD Corp. 4,121
512 International Forest Products
Ltd., Class A (b) 6,478
4,822 Ithaca Energy, Inc. (b) 12,120
88 Linamar Corp. 3,661
1,766 MFC Industrial Ltd. 14,110
932 Morguard Real Estate Investment
Trust 14,433
3,718 Nevsun Resources Ltd. 12,355
550 Northern Property Real Estate
Investment Trust 14,368
820 NorthWest Healthcare Properties
Real Estate Investment Trust 8,059
5,980 OceanaGold Corp. (b) 9,232
524 Parex Resources, Inc. (b) 3,246
1,750 Redknee Solutions, Inc. (b) 10,577
1,074 RMP Energy, Inc. (b) 5,682
400 Savanna Energy Services Corp. 3,201
790 Sherritt International Corp. 2,752
358 Sirius XM Canada Holdings, Inc. 3,336
206 Transcontinental, Inc., Class A 2,835
1,510 TransGlobe Energy Corp. (b) 12,623
4,250 Western Forest Products, Inc. 7,682
------------
300,053
------------
Page 86 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
CAYMAN ISLANDS - 1.9%
5,000 Bloomage Biotechnology Corp.
Ltd. $ 11,091
12,000 Bonjour Holdings Ltd. 2,615
4,000 Daphne International Holdings
Ltd. 1,800
45,999 Far East Consortium
International Ltd. 17,322
8,000 HC International, Inc. (b) 10,606
20,000 TCC International Holdings Ltd. 9,801
7,000 Texhong Textile Group Ltd. 9,099
10,000 Truly International Holdings
Ltd. 5,391
------------
67,725
------------
DENMARK - 0.8%
176 Auriga Industries, Class B (b) 6,021
144 Genmab A/S (b) 5,630
406 Schouw & Co. 16,658
------------
28,309
------------
FINLAND - 0.5%
274 PKC Group OYJ 9,118
638 YIT OYJ 8,918
------------
18,036
------------
FRANCE - 1.8%
854 Derichebourg S.A. (b) 2,840
560 GameLoft SE (b) 6,309
346 Groupe Steria SCA 6,792
250 Interparfums S.A. 10,782
62 LISI 9,195
120 Medica S.A. 3,133
2,846 MPI 12,098
110 Nexans S.A. 5,573
82 Rallye S.A. 3,438
384 UBISOFT Entertainment (b) 5,431
------------
65,591
------------
GERMANY - 2.8%
458 Aurelius AG 18,587
2,216 Balda AG (b) 14,901
328 Deutz AG (b) 2,926
218 DMG MORI SEIKI AG 6,943
310 Grammer AG 14,779
190 Jenoptik AG 3,228
50 Jungheinrich (Preference
Shares) AG 3,253
48 Leoni AG 3,588
160 LPKF Laser & Electronics AG 4,090
1,014 Nordex SE (b) 13,394
2,192 QSC AG 12,952
54 XING AG 5,527
------------
104,168
------------
GREECE - 0.2%
1,790 Ellaktor S.A. (b) 7,831
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HONG KONG - 2.0%
1,600 Dah Sing Banking Group Ltd. $ 2,810
2,000 Hongkong & Shanghai Hotels 2,713
189,996 Interchina Holdings Co.,
Ltd. (b) 12,251
9,402 Kowloon Development Co., Ltd. 11,579
504,998 Lai Sun Development (b) 13,676
48,999 Prosperity REIT 14,281
27,999 Shun Tak Holdings Ltd. 16,538
------------
73,848
------------
IRELAND - 0.6%
628 Grafton Group PLC 6,729
3,726 Greencore Group PLC 13,759
------------
20,488
------------
ISRAEL - 1.4%
194 Caesarstone Sdot-Yam Ltd. 9,636
2,198 Discount Investment Corp. (b) 15,997
44 Electra Ltd. 6,525
1,034 Harel Insurance Investments &
Financial Services Ltd. 6,034
1,648 Israel Discount Bank Ltd.,
Class A (b) 3,145
106 Rami Levi Chain Stores
Hashikma Marketing 2006 Ltd. 5,795
690 Shufersal Ltd. 2,657
------------
49,789
------------
ITALY - 4.8%
304 ACEA S.p.A. 3,461
1,204 ASTM S.p.A. 19,048
886 Banca IFIS S.p.A. 15,784
568 Brembo S.p.A. 15,300
92 Brunello Cucinelli S.p.A. 3,269
1,130 Cairo Communication S.p.A. 9,257
3,750 CIR-Compagnie Industriali
Riunite S.p.A. (b) 5,897
588 ERG S.p.A. 7,883
3,160 Impregilo S.p.A. 21,241
308 Indesit Co., S.p.A. 4,068
7,288 Iren S.p.A 11,159
254 Reply S.p.A. 19,882
1,508 Societa Iniziative Autostradali
e Servizi S.p.A 14,968
1,370 Sogefi S.p.A. 8,232
346 Yoox S.p.A. (b) 15,517
------------
174,966
------------
JAPAN - 33.4%
500 ASKUL Corp. 14,647
1,800 Belluna Co., Ltd. 8,700
3,000 Bunka Shutter Co., Ltd. 18,232
800 Chudenko Corp. 14,510
400 Coca-Cola West Co., Ltd. 8,459
200 COOKPAD, Inc. 6,239
200 CROOZ, Inc. 7,843
400 CyberAgent, Inc. 16,257
1,000 Daifuku Co., Ltd. 12,762
See Notes to Financial Statements Page 87
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
JAPAN (CONTINUED)
4,000 Daikyo, Inc. $ 10,863
1,000 Daio Paper Corp. 9,999
1,200 DCM Holdings Co., Ltd. 8,318
2,000 Denki Kogyo Co., Ltd. 13,845
400 Digital Garage, Inc. 10,381
5,600 Dynam Japan Holdings Co., Ltd. 19,607
1,000 Eagle Industry Co., Ltd. 16,608
400 Exedy Corp. 11,680
500 F@N Communications, Inc. 14,861
400 FCC Co., Ltd. 7,961
700 Foster Electric Co., Ltd. 12,889
1,000 Fujitec Co., Ltd. 12,981
4,000 Furukawa Co., Ltd. 7,900
500 G-Tekt Corp. 17,045
1,200 Geo Holdings Corp. 10,745
900 GMO internet, Inc. 11,794
2,000 Gun-Ei Chemical Industry Co.,
Ltd. 9,059
600 Gurunavi, Inc. 17,805
200 H.I.S. Co., Ltd. 9,971
2,000 Haseko Corp. (b) 15,193
3,600 Hazama Ando Corp. 12,819
2,000 Hokuetsu Kishu Paper Co., Ltd. 9,401
2,200 Hosiden Corp. 11,866
600 Ichiyoshi Securities Co., Ltd. 10,010
4 Ikyu Corp. 5,663
1,200 Inabata & Co., Ltd. 13,127
300 Iriso Electronics Co., Ltd. 13,788
1,000 IwaiCosmo Holdings, Inc. 14,073
400 Japan Airport Terminal Co., Ltd. 9,032
1,000 Japan Aviation Electronics
Industry Ltd. 12,838
4,200 Japan Bridge Corp. (b) 7,976
400 Japan Cash Machine Co., Ltd. 7,866
700 Japan Digital Laboratory Co.,
Ltd. 9,798
26 Japan Hotel REIT Investment
Corp. 12,443
2 Japan Tissue Engineering Co.,
Ltd. (b) 8,024
1,000 Kinden Corp. 10,445
6,000 KNT-CT Holdings Co., Ltd. (b) 9,971
1,000 Kohnan Shoji Co., Ltd. 10,303
6,000 Kumagai Gumi Co., Ltd. (b) 17,491
600 Kyokuto Kaihatsu Kogyo Co.,
Ltd. 7,731
200 Kyokuto Securities Co., Ltd. 4,047
200 Kyoritsu Maintenance Co., Ltd. 7,179
1,200 Leopalace21 Corp. (b) 6,336
300 Macnica, Inc. 8,005
2,000 Maeda Corp. 13,218
400 Mars Engineering Corp. 7,384
600 Matsuda Sangyo Co., Ltd. 8,028
700 Megachips Corp. 10,688
3,000 Minebea Co., Ltd. 21,907
1,000 Mito Securities Co., Ltd. 4,881
800 Mitsuba Corp. 12,983
SHARES DESCRIPTION VALUE
------------------------------------------------------------
JAPAN (CONTINUED)
4,000 Mitsui Engineering &
Shipbuilding Co., Ltd. $ 8,242
4,000 Mitsui Sugar Co., Ltd. 15,345
1,200 Namura Shipbuilding Co., Ltd. 16,169
100 Nihon M&A Center, Inc. 6,732
200 Nihon Trim Co., Ltd. 15,421
2,000 Nippon Chemi-Con Corp. (b) 7,673
2,000 Nippon Flour Mills Co., Ltd. 9,838
2,000 Nippon Road (The) Co., Ltd. 11,262
2,000 Nippon Sharyo Ltd. 9,914
2,000 Nippon Yakin Kogyo Co., Ltd. (b) 6,723
3,000 Nishimatsu Construction Co.,
Ltd. 9,515
500 Nishio Rent All Co., Ltd. 12,629
2,000 Nittetsu Mining Co., Ltd. 9,857
1,400 Nomura Co., Ltd. 11,646
4,000 NS United Kaiun Kaisha Ltd. (b) 11,737
3,000 NTN Corp. (b) 13,588
1,200 Pacific Industrial Co., Ltd. 8,341
1,600 Pasona Group, Inc. 11,243
2,000 Press Kogyo Co., Ltd. 8,280
2,000 Riken Corp. 8,698
3,000 Ryobi Ltd. 12,050
400 Sankyo Tateyama, Inc. 7,931
2,000 Shindengen Electric
Manufacturing Co., Ltd. 12,136
1,600 Sintokogio Ltd. 11,987
3,000 SMK Corp. 19,799
200 Sosei Group Corp. (b) 8,195
800 Starbucks Coffee Japan Ltd. 8,858
500 Starts Corp., Inc. 7,165
7,000 Sumitomo Mitsui Construction
Co., Ltd. (b) 8,508
2,000 Sumitomo Seika Chemicals Co.,
Ltd. 16,371
10,000 SWCC Showa Holdings Co.,
Ltd. (b) 10,160
1,000 Taiho Kogyo Co., Ltd. 11,651
800 Takeei Corp. 9,731
4,000 Tekken Corp. (b) 12,269
6,000 Toa Corp. (b) 14,301
2,600 Tokyu Construction Co., Ltd. (b) 13,135
1,100 Topre Corp. 16,274
3,000 Tosoh Corp. 13,930
500 Totetsu Kogyo Co., Ltd. 9,391
600 TPR Co., Ltd. 10,170
2,000 Tsugami Corp. 11,965
600 Unipres Corp. 11,235
500 Universal Entertainment Corp. 9,211
3,800 Usen Corp. (b) 15,191
1,200 ValueCommerce Co., Ltd. 14,734
1,000 Wakita & Co., Ltd. 11,756
1,000 Yokogawa Bridge Holdings Corp. 14,642
600 Yorozu Corp. 10,956
------------
1,223,030
------------
JERSEY - 0.4%
20,620 Centamin PLC (b) 15,212
------------
Page 88 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
LUXEMBOURG - 0.1%
242 SAF-Holland SA (b) $ 3,597
------------
MARSHALL ISLANDS - 1.7%
750 Aegean Marine Petroleum
Network, Inc. 8,415
2,514 DryShips, Inc. (b) 11,816
804 Navios Maritime Acquisition
Corp. 3,538
1,666 Navios Maritime Holdings, Inc. 18,592
1,746 Safe Bulkers, Inc. 18,158
------------
60,519
------------
NETHERLANDS - 1.2%
152 AerCap Holdings N.V. (b) 5,829
426 ASM International N.V. 14,036
372 AVG Technologies N.V. (b) 6,402
74 Eurocommercial Properties N.V.,
ADR 3,142
686 PostNL N.V. (b) 3,916
1,590 SNS REAAL N.V. (b) (c) 0
830 TomTom N.V. (b) 5,882
52 VistaPrint N.V. (b) 2,956
------------
42,163
------------
NEW ZEALAND - 0.7%
2,350 Air New Zealand Ltd. 3,169
1,320 Chorus Ltd. 1,563
14,390 Precinct Properties New
Zealand Ltd. 11,716
376 Xero Ltd. (b) 9,988
------------
26,436
------------
NORWAY - 0.9%
684 Borregaard ASA 3,406
104 Leroey Seafood Group ASA 3,035
560 Opera Software ASA 7,658
522 Salmar ASA (b) 6,369
1,252 Wilh Wilhelmsen ASA 11,714
------------
32,182
------------
PORTUGAL - 1.0%
2,992 Mota-Engil SGPS S.A. 17,794
316 Semapa-Sociedade de
Investimento e Gestao 3,540
4,268 Sonaecom SGPS S.A. 15,084
------------
36,418
------------
SINGAPORE - 3.3%
4,000 AIMS AMP Capital Industrial
REIT 4,533
12,000 Cambridge Industrial Trust 6,561
10,300 CapitaRetail China Trust 10,856
22,000 Chip Eng Seng Corp. Ltd. 12,552
2,000 Frasers Centrepoint Trust 2,789
14,000 Frasers Commercial Trust 14,089
5,000 Ho Bee Land Ltd. 8,400
22,000 Jaya Holdings Ltd. 12,552
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SINGAPORE (CONTINUED)
34,000 Lippo Malls Indonesia Retail
Trust $ 11,181
6,000 Mapletree Commercial Trust 5,658
6,000 Mapletree Industrial Trust 6,347
4,000 Sabana Shari'ah Compliant
Industrial Real Estate
Investment Trust 3,423
6,000 Sinarmas Land Ltd. 2,282
8,000 Tat Hong Holdings Ltd. 5,706
9,000 Wing Tai Holdings Ltd. 14,014
------------
120,943
------------
SOUTH KOREA - 9.7%
400 AK Holdings, Inc. 15,521
132 ASIA Holdings Co., Ltd. 15,760
62 Chong Kun Dang Pharm Corp. 2,491
380 CJ Hellovision Co., Ltd. 6,913
1,760 Daeduck Electronics Co. 13,892
300 Daeduck GDS Co., Ltd. 4,989
20 Dong-A Socio Holdings Co., Ltd. 2,795
12 Dongwon Industries Co., Ltd. 3,599
520 Dongyang Mechatronics Corp. 5,543
1,680 Doosan Engine Co., Ltd. (b) 14,088
46 Fila Korea Ltd. 3,443
118 Global & Yuasa Battery Co., Ltd. 6,127
220 Handsome Co., Ltd. 6,577
860 Hanil E-Wha Co., Ltd. 13,894
620 Hankook Tire Worldwide Co., Ltd. 12,954
280 Hansol Paper Co. 2,998
360 Hanssem Co., Ltd. 17,158
840 Huvis Corp. 8,357
44 Hyosung Corp. 2,931
3,140 Hyundai Hy Communications &
Networks Co., Ltd. 15,412
400 Iljin Materials Co., Ltd. 4,037
200 IS Dongseo Co., Ltd. (b) 3,023
238 KH Vatec Co., Ltd. 5,706
56 Kolon Industries, Inc. 2,903
96 Korea District Heating Corp. 7,823
80 Korea Electric Terminal Co.,
Ltd. 3,146
48 Korea Petrochemical Ind. Co.,
Ltd. (b) 3,966
100 LG Fashion Corp. 3,193
48 LG Hausys Ltd. 6,436
300 LG International Corp. 8,173
40 Medy-Tox, Inc. 6,436
82 MegaStudy Co., Ltd. 6,053
14 Namyang Dairy Products Co.,
Ltd. 12,470
240 NICE Holdings Co., Ltd. 2,683
504 Pyeong Hwa Automotive Co.,
Ltd. 10,244
46 Samchully Co., Ltd. 5,536
106 Samyang Holdings Corp. 7,493
200 Seah Besteel Corp. 4,908
134 SeAH Steel Corp. 11,212
78 Seoul Semiconductor Co., Ltd. 2,986
See Notes to Financial Statements Page 89
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SOUTH KOREA (CONTINUED)
420 Silla Co., Ltd. $ 9,671
102 Sindoh Co., Ltd. 6,650
127 SK Gas Co., Ltd. 9,013
600 SL Corp. 9,295
180 Suheung Capsule Co., Ltd. 6,609
600 Sungwoo Hitech Co., Ltd. 8,755
6 Taekwang Industrial Co., Ltd. 7,334
100 Unid Co., Ltd. 5,609
------------
356,805
------------
SPAIN - 1.5%
1,698 ENCE Energia y Celulosa S.A. 6,366
1,020 Gamesa Corp Tecnologica
S.A. (b) 10,636
300 Melia Hotels International S.A. 3,853
2,370 Papeles y Cartones de Europa
S.A. 12,536
215 Pescanova S.A. (b) 1,748
3,216 Sacyr S.A. (b) 16,666
748 Tubacex S.A. 2,974
------------
54,779
------------
SWEDEN - 2.9%
118 Arcam AB (b) 17,576
136 Bilia AB 3,468
2,432 Eniro AB (b) 18,751
536 Fabege AB 6,400
1,088 Fastighets AB Balder (b) 11,164
2,220 Kungsleden AB 14,911
370 Nobia AB 3,135
588 Orexo AB (b) 14,993
4,216 SAS AB (b) 10,816
282 Tethys Oil AB (b) 2,959
216 Wallenstam AB 3,266
------------
107,439
------------
SWITZERLAND - 1.9%
124 Autoneum Holding AG 18,988
170 BKW AG 5,460
4 Forbo Holding AG 3,417
206 HBM Healthcare Investments AG 15,299
22 Kuoni Reisen Holding AG 9,933
2 Metall Zug AG 5,314
72 U-Blox AG 7,760
14 Valora Holding AG 3,903
------------
70,074
------------
UNITED KINGDOM - 4.2%
1,324 Afren PLC (b) 3,710
2,234 African Barrick Gold PLC 6,873
7,024 EnQuest PLC (b) 15,656
432 Greggs PLC 3,080
3,380 HellermannTyton Group PLC 16,903
2,180 Home Retail Group PLC 6,927
300 International Personal Finance
PLC 2,474
SHARES DESCRIPTION VALUE
------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
978 Interserve PLC $ 10,090
5,886 Lookers PLC 11,794
396 LSL Property Services PLC 2,885
438 Mears Group PLC 3,445
26,939 Pendragon PLC 15,279
4,698 Premier Foods PLC (b) 9,725
660 Ricardo PLC 7,317
466 SOCO International PLC 3,050
480 SuperGroup PLC (b) 11,247
1,414 SVG Capital PLC (b) 10,115
1,856 Unite Group PLC 12,374
------------
152,944
------------
UNITED STATES - 0.1%
276 Magnachip Semiconductor
Corp. (b) 5,382
------------
TOTAL INVESTMENTS - 99.9% 3,657,421
(Cost $3,452,385) (d)
NET OTHER ASSETS AND
LIABILITIES - 0.1% 5,227
------------
NET ASSETS - 100.0% $ 3,662,648
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) Non-income producing security.
(c) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $0 or 0.00% of net assets.
(d) Aggregate cost for federal income tax purposes is $3,472,800. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$314,097 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$129,476.
ADR - American Depositary Receipt
Page 90 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Netherlands $ 42,163 $ 42,163 $ --** $ --
All Other
Countries* 3,615,258 3,615,258 -- --
-------------------------------------------------------
TOTAL INVESTMENTS $ 3,657,421 $ 3,657,421 $ --** $ --
=======================================================
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
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. As of December
31, 2013, the Fund transferred common stocks valued at $376,739 from Level 2 to
Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
INDUSTRY % OF NET ASSETS
--------------------------------------------------------
Construction & Engineering 9.5%
Auto Components 7.8
Machinery 6.5
Real Estate Management & Development 5.5
Metals & Mining 5.1
Real Estate Investment Trusts 5.0
Electronic Equipment, Instruments & Components 4.0
Oil, Gas & Consumable Fuels 3.6
Specialty Retail 3.4
Media 3.3
Food Products 3.1
Trading Companies & Distributors 2.7
Capital Markets 2.7
Chemicals 2.7
Household Durables 2.3
Hotels, Restaurants & Leisure 2.2
Marine 2.0
Electrical Equipment 2.0
Internet Software & Services 1.9
Semiconductors & Semiconductor Equipment 1.8
Paper & Forest Products 1.7
Building Products 1.6
Transportation Infrastructure 1.4
Internet & Catalog Retail 1.4
Commercial Services & Supplies 1.2
Software 1.1
Industrial Conglomerates 1.0
IT Services 1.0
Professional Services 1.0
Textiles, Apparel & Luxury Goods 1.0
Leisure Equipment & Products 0.9
Pharmaceuticals 0.8
Diversified Financial Services 0.7
Wireless Telecommunication Services 0.6
Construction Materials 0.6
Diversified Telecommunication Services 0.6
Health Care Equipment & Supplies 0.6
Biotechnology 0.5
Diversified Consumer Services 0.4
Food & Staples Retailing 0.4
Multi-Utilities 0.4
Airlines 0.4
Communications Equipment 0.4
Gas Utilities 0.4
Containers & Packaging 0.3
Personal Products 0.3
Computers & Peripherals 0.3
Beverages 0.2
Energy Equipment & Services 0.2
Distributors 0.2
Office Electronics 0.2
Insurance 0.2
Commercial Banks 0.2
Independent Power Producers & Energy Traders 0.2
Electric Utilities 0.1
Air Freight & Logistics 0.1
Health Care Providers & Services 0.1
Consumer Finance 0.1
--------------------------------------------------------
TOTAL INVESTMENTS 99.9
NET OTHER ASSETS AND LIABILITIES 0.1
------------
TOTAL 100.0%
============
See Notes to Financial Statements Page 91
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
% OF TOTAL
CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS
--------------------------------------------------------
Japanese Yen 32.9%
Euro 14.8
South Korean Won 9.8
Hong Kong Dollar 7.7
Canadian Dollar 7.5
Australian Dollar 6.6
British Pound Sterling 5.2
US Dollar 3.8
Singapore Dollar 3.3
Swedish Krona 2.9
Swiss Franc 1.9
Israeli Shekel 1.1
Norwegian Krone 1.0
Danish Krone 0.8
New Zealand Dollar 0.7
------------
TOTAL 100.0%
============
Page 92 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 100.0%
AUSTRIA - 0.9%
16,981 CAT Oil AG $ 471,887
------------
BERMUDA - 5.3%
223,063 China Singyes Solar
Technologies Holdings Ltd. 224,378
786,156 Huabao International Holdings
Ltd. 435,948
493,912 Newocean Energy Holdings Ltd. 403,191
351,772 Ports Design Ltd. 272,189
5,251,134 REXLot Holdings Ltd. 711,049
1,685,460 Shanghai Industrial Urban
Development Group Ltd. (b) 417,327
212,200 SOCAM Development Ltd. 245,742
------------
2,709,824
------------
BRAZIL - 2.1%
51,909 B2W Cia Digital (b) 335,976
15,762 Cia de Saneamento de Minas
Gerais-copasa MG 248,531
21,507 Eletropaulo Metropolitana
Eletricidade de Sao Paulo S.A.
(Preference Shares) 85,326
43,575 Even Construtora e
Incorporadora S.A. 150,529
6,711 Iochpe-Maxion S.A. 74,385
38,151 Paranapanema S.A. (b) 84,250
11,514 Sul America S.A. 72,180
------------
1,051,177
------------
CAYMAN ISLANDS - 27.9%
14,963 21Vianet Group, Inc., ADR (b) 351,930
443,614 Baoxin Auto Group Ltd. 431,926
20,408 Bitauto Holdings, Ltd., ADR (b) 652,240
53,289 Bizlink Holding, Inc. 227,971
417,446 Changshouhua Food Co., Ltd. 537,803
9,261 Changyou.com Ltd., ADR (b) 296,815
606,185 Chaowei Power Holdings Ltd. 319,732
884,351 China All Access Holdings Ltd. 378,634
1,622,090 China Aoyuan Property Group
Ltd. 340,973
381,512 China Huiyuan Juice Group
Ltd. (b) 245,508
1,539,605 China ITS Holdings Co., Ltd. 367,315
2,122,158 China Lumena New Materials
Corp. 415,986
11,550 China Metal Recycling Holdings
Ltd. (b) (c) 0
786,499 China Sanjiang Fine Chemicals
Co., Ltd. 399,624
642,909 China Shanshui Cement Group
Ltd. 276,090
265,871 China Tian Lun Gas Holdings
Ltd. (b) 252,352
828,300 China Wireless Technologies Ltd. 271,318
1,090,272 China Zhongwang Holdings
Ltd. (b) 337,445
2,354,706 CIFI Holdings Group Co., Ltd. 498,010
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CAYMAN ISLANDS (CONTINUED)
340,179 Dongyue Group $ 134,680
39,238 E-Commerce China Dangdang,
Inc., ADR (b) 374,723
2,083,682 Fantasia Holdings Group Co.,
Ltd. 360,076
55,445 Hanwha SolarOne Co., Ltd.,
ADR (b) 153,583
1,215,066 Hua Han Bio-Pharmaceutical
Holdings Ltd. 238,178
14,588 JinkoSolar Holding Co., Ltd.,
ADR (b) 427,428
141,510 Ju Teng International Holdings
Ltd. 93,436
889,414 Kaisa Group Holdings Ltd. (b) 290,190
600,450 Kingboard Laminates Holdings
Ltd. 254,759
25,113 KongZhong Corp., ADR (b) 181,316
524,224 KWG Property Holding Ltd. 292,051
317,731 Magic Holdings International
Ltd. 251,585
60,994 NetDragon Websoft, Inc. 111,695
15,098 NQ Mobile, Inc., ADR (b) 221,941
21,515 RDA Microelectronics, Inc.,
ADR 384,688
6,297 Silicon Motion Technology
Corp., ADR 89,102
28,359 TAL Education Group (b) 623,614
640,511 TCL Communication Technology
Holdings Ltd., ADR (b) 655,024
624,694 Tiangong International Co., Ltd. 180,457
1,061,606 Tianneng Power International
Ltd. 390,181
1,047,096 Trigiant Group Ltd. 352,439
21,279 Trina Solar Ltd., ADR (b) 290,884
64,700 Wisdom Marine Lines Co., Ltd. 75,872
9,003 WuXi PharmaTech Cayman, Inc.,
ADR (b) 345,535
68,420 Xinyuan Real Estate Co., Ltd.,
ADR 366,047
47,403 Yingli Green Energy Holding
Co., Ltd., ADR (b) 239,385
1,884,589 Zhong An Real Estate Ltd. (b) 349,975
------------
14,330,516
------------
CHINA - 5.8%
761,895 Anhui Expressway Co. 422,495
401,798 Harbin Electric Co., Ltd. 260,117
564,231 Hisense Kelon Electrical
Holdings Co., Ltd. (b) 854,245
435,256 Shenzhen Expressway Co., Ltd. 196,458
1,143,298 Sichuan Expressway Co., Ltd. 337,639
1,569,736 Sinotrans Ltd. 593,132
600,087 Xinhua Winshare Publishing and
Media Co., Ltd. 330,445
------------
2,994,531
------------
See Notes to Financial Statements Page 93
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
EGYPT - 2.3%
18,092 Eastern Tobacco $ 302,030
49,246 Ezz Steel (b) 107,017
111,844 Juhayna Food Industries 250,293
4,824,465 Orascom Telecom Media And
Technology Holding SAE 534,621
------------
1,193,961
------------
HONG KONG - 2.0%
1,290,929 China South City Holdings Ltd. 366,254
619,420 CSPC Pharmaceutical Group
Ltd. 488,871
408,123 Shenzhen Investment Ltd. 153,685
------------
1,008,810
------------
HUNGARY - 0.3%
118,640 Magyar Telekom
Telecommunications PLC 172,404
------------
INDONESIA - 4.2%
3,416,369 Agung Podomoro Land Tbk PT 60,355
3,368,251 Aneka Tambang Persero Tbk PT 301,676
1,125,392 Arwana Citramulia Tbk PT 75,828
1,234,301 Gajah Tunggal Tbk PT 170,388
354,290 Harum Energy Tbk PT 80,057
1,581,130 Indah Kiat Pulp & Paper Corp
Tbk PT (b) 181,888
364,413 Medco Energi Internasional
Tbk PT 62,882
3,857,000 Mitra Pinasthika Mustika Tbk
PT (b) 405,666
27,970,275 Panin Financial Tbk PT (b) 448,168
2,259,646 Perusahaan Perkebunan London
Sumatra Indonesia Tbk PT 358,350
------------
2,145,258
------------
MALAYSIA - 6.5%
485,100 AirAsia X Bhd (b) 147,359
175,400 BIMB Holdings Bhd 243,113
53,000 Cahya Mata Sarawak Bhd 111,162
316,800 Kossan Rubber Industries 417,822
198,000 Mudajaya Group Bhd 175,301
137,400 My EG Services Bhd 111,581
815,900 OSK Holdings Bhd 411,001
791,900 Pavilion Real Estate Investment
Trust 309,459
428,800 Puncak Niaga Holdings Bhd 425,462
99,200 Scientex Bhd 172,324
83,900 Sunway Bhd 69,671
114,900 Syarikat Takaful Malaysia Bhd 361,310
390,200 TA Enterprise Bhd 92,919
70,900 TIME dotCom Bhd (b) 76,842
363,900 UOA Development Bhd 215,529
------------
3,340,855
------------
MALTA - 0.4%
38,893 Brait SE (b) 194,428
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MEXICO - 2.0%
1,362,671 Axtel SAB de CV (b) $ 487,395
229,786 Corp. GEO SAB de C.V. (b) (c) 0
74,460 Gruma S.A.B. de C.V.,
Series B (b) 562,877
------------
1,050,272
------------
PHILIPPINES - 0.7%
430,700 First Gen Corp. 126,738
2,381,700 Lopez Holdings Corp. 214,652
236,900 SM Development Corp. (c) 36,985
------------
378,375
------------
POLAND - 3.6%
452,379 Boryszew S.A. (b) 74,871
52,057 CD Projekt S.A. (b) 302,239
72,892 Enea S.A. 328,141
323,128 Getin Holding S.A. 403,235
541,715 Getin Noble Bank S.A. (b) 478,767
21,021 Grupa Lotos S.A. (b) 246,668
------------
1,833,921
------------
RUSSIA - 2.0%
13,304 Acron JSC (c) 454,644
49,146 Aeroflot - Russian Airlines
OJSC (c) 125,229
39,977,602 OGK-2 OAO (c) 309,347
5,632,634 Russian Grids OAO (c) (b) 133,060
------------
1,022,280
------------
SINGAPORE - 0.6%
461,000 China Minzhong Food Corp.,
Ltd. 325,124
------------
SOUTH AFRICA - 10.4%
18,532 Acucap Properties Ltd. 77,043
66,696 African Bank Investments Ltd. 76,615
17,432 Barloworld Ltd. 166,194
392,879 Capital Property Fund 398,871
12,119 Coronation Fund Managers Ltd. 92,377
27,949 DataTec Ltd. 137,987
112,953 Emira Property Fund 153,978
46,593 EOH Holdings Ltd. 357,554
33,360 Grindrod Ltd. 89,140
94,469 Group Five Ltd. 365,088
45,335 Hyprop Investments Ltd. 330,613
106,240 JD Group Ltd. 293,806
9,667 JSE Ltd. 82,690
50,900 Lewis Group Ltd. 344,024
62,086 Mpact Ltd. 159,210
16,463 Omnia Holdings Ltd. 316,940
19,002 Pioneer Foods Ltd. 166,290
70,902 Raubex Group Ltd. 147,008
61,901 Resilient Property Income Fund
Ltd. 327,503
831,331 SA Corporate Real Estate Fund
Nominees Pty Ltd. 316,207
68,282 Super Group Ltd. (b) 170,217
160,303 Sycom Property Fund 380,204
Page 94 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SOUTH AFRICA (CONTINUED)
102,087 Telkom S.A. SOC Ltd. (b) $ 272,491
10,392 Wilson Bayly Holmes-Ovcon Ltd. 144,636
------------
5,366,686
------------
TAIWAN - 16.8%
120,465 A-DATA Technology Co., Ltd. 283,747
226,851 AcBel Polytech, Inc. 233,294
146,034 Chimei Materials Technology
Corp. 178,601
135,190 Chin-Poon Industrial Co. 225,895
73,273 Chong Hong Construction Co. 224,956
171,398 Compeq Manufacturing Co., Ltd. 100,354
25,180 Depo Auto Parts Ind. Co., Ltd. 99,272
28,236 Eclat Textile Co., Ltd. 318,328
188,604 Everlight Chemical Industrial
Corp. 154,409
103,201 Feng TAY Enterprise Co., Ltd. 247,584
398,764 Formosan Rubber Group, Inc. 375,303
84,954 Gigabyte Technology Co., Ltd. 102,617
116,306 Grand Pacific Petrochemical 90,341
53,680 Grape King Bio Ltd. 270,170
605,560 HannStar Display Corp. (b) 224,519
294,505 Hey Song Corp. 345,855
56,407 Huaku Development Co., Ltd. 159,359
240,042 King Yuan Electronics Co., Ltd. 164,707
1,071,240 Kinpo Electronics 393,581
56,801 KMC Kuei Meng International,
Inc. 239,184
517,829 Li Peng Enterprise Co., Ltd. 251,934
29,786 Merry Electronics Co., Ltd. 173,898
257,776 Micro-Star International Co.,
Ltd. 209,310
217,346 Namchow Chemical Industrial
Co., Ltd. 331,815
50,533 Poya Co., Ltd. 316,218
172,204 Sanyang Industry Co., Ltd. 282,254
27,913 ScinoPharm Taiwan Ltd. 82,043
37,461 Shin Zu Shing Co., Ltd. 93,516
31,074 Sunspring Metal Corp. 84,453
200,610 Systex Corp. 451,656
213,779 Taiwan Life Insurance Co.,
Ltd. (b) 202,277
78,033 Teco Electric and Machinery
Co., Ltd. 89,413
110,143 Tong Yang Industry Co., Ltd. 164,826
61,834 TXC Corp. 74,897
96,922 Unimicron Technology Corp. 73,496
95,781 Universal Cement Corp. 90,788
48,849 Vivotek, Inc. 301,583
84,660 Wei Chuan Foods Corp. 148,848
175,399 Win Semiconductors Corp. 163,314
76,685 Wistron NeWeb Corp. 199,152
232,612 Yageo Corp. 83,902
71,208 Yungshin Construction &
Development Co., Ltd. 173,698
62,868 Yungtay Engineering Co., Ltd. 180,355
------------
8,655,722
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
THAILAND - 2.5%
374,500 Bangkok Expressway PCL $ 381,794
123,600 CH Karnchang PCL 58,302
104,900 Delta Electronics Thailand PCL 170,790
41,700 Electricity Generating PCL 155,455
33,600 MBK PCL 143,153
795,100 Sri Trang Agro-Industry PCL 314,555
129,800 Thai Airways International PCL 54,511
------------
1,278,560
------------
TURKEY - 3.1%
39,134 Aksa Akrilik Kimya Sanayii 146,047
38,861 Cimsa Cimento Sanayi VE Tica 206,150
40,558 Koza Anadolu Metal Madencilik
Isletmeleri A.S. (b) 45,673
59,046 Park Elektrik Uretim Madencilik
Sanayi ve Ticaret A.S. (b) 135,182
182,823 Tekfen Holding A.S. 426,218
246,461 Torunlar Gayrimenkul Yatirim
Ortakligi A.S. 316,534
34,015 Yazicilar Holding A.S. 296,780
------------
1,572,584
------------
VIRGIN ISLANDS (BRITISH) - 0.6%
82,408 ReneSola Ltd., ADR (b) 284,308
------------
TOTAL INVESTMENTS - 100.0% 51,381,483
(Cost $50,455,836) (d)
NET OTHER ASSETS AND
LIABILITIES - 0.0% 9,841
------------
NET ASSETS - 100.0% $ 51,391,324
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) Non-income producing security.
(c) This security is fair valued in accordance with procedures adopted by the
Trust's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended. At December 31, 2013,
securities noted as such amounted to $1,059,265 or 2.06% of net assets.
(d) Aggregate cost for federal income tax purposes is $50,653,771. As of
December 31, 2013, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$4,442,621 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$3,714,909.
ADR - American Depositary Receipt
See Notes to Financial Statements Page 95
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2013
---------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 12/31/2013 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Austria $ 471,887 $ 471,887 $ -- $ --
Bermuda 2,709,824 2,709,824 -- --
Brazil 1,051,177 1,051,177 -- --
Cayman Islands 14,330,516 14,330,516 -- --*
China 2,994,531 2,994,531 -- --
Egypt 1,193,961 1,193,961 -- --
Hong Kong 1,008,810 1,008,810 -- --
Hungary 172,404 172,404 -- --
Indonesia 2,145,258 2,145,258 -- --
Malaysia 3,340,855 3,340,855 -- --
Malta 194,428 194,428 -- --
Mexico 1,050,272 1,050,272 -- --*
Philippines 378,375 341,390 36,985 --
Poland 1,833,921 1,833,921 -- --
Russia 1,022,280 -- 1,022,280 --
Singapore 325,124 325,124 -- --
South Africa 5,366,686 5,366,686 -- --
Taiwan 8,655,722 8,655,722 -- --
Thailand 1,278,560 1,278,560 -- --
Turkey 1,572,584 1,572,584 -- --
Virgin Islands
(British) 284,308 284,308 -- --
-------------------------------------------------------
TOTAL INVESTMENTS $ 51,381,483 $ 50,322,218 $ 1,059,265 $ --*
=======================================================
* Investment is valued at $0.
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. As of December
31, 2013, the Fund transferred common stocks valued at $446,185 from Level 2 to
Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of foreign equities that are now being
valued based on quoted prices that were previously fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the NYSE close on December 31, 2012 exceeding a certain
threshold.
INDUSTRY % OF NET ASSETS
--------------------------------------------------------
Real Estate Management & Development 8.4%
Chemicals 5.9
Food Products 5.7
Real Estate Investment Trusts 5.1
Semiconductors & Semiconductor Equipment 4.8
Construction & Engineering 3.8
Electronic Equipment, Instruments & Components 3.7
Specialty Retail 3.2
Household Durables 3.1
Communications Equipment 2.9
Auto Components 2.8
Transportation Infrastructure 2.6
IT Services 2.5
Textiles, Apparel & Luxury Goods 2.4
Metals & Mining 2.3
Electrical Equipment 2.3
Commercial Banks 2.2
Software 2.2
Insurance 2.1
Diversified Telecommunication Services 2.0
Internet Software & Services 2.0
Pharmaceuticals 1.6
Hotels, Restaurants & Leisure 1.6
Oil, Gas & Consumable Fuels 1.5
Internet & Catalog Retail 1.4
Capital Markets 1.4
Water Utilities 1.3
Diversified Consumer Services 1.2
Air Freight & Logistics 1.2
Independent Power Producers & Energy Traders 1.2
Construction Materials 1.1
Electric Utilities 1.1
Wireless Telecommunication Services 1.0
Personal Products 1.0
Energy Equipment & Services 0.9
Health Care Equipment & Supplies 0.8
Industrial Conglomerates 0.8
Machinery 0.7
Beverages 0.7
Life Sciences Tools & Services 0.7
Distributors 0.6
Airlines 0.6
Multiline Retail 0.6
Computers & Peripherals 0.6
Tobacco 0.6
Automobiles 0.5
Gas Utilities 0.5
Leisure Equipment and Products 0.5
Media 0.4
Paper & Forest Products 0.4
Trading Companies & Distributors 0.3
Marine 0.3
Building Products 0.3
Diversified Financial Services 0.3
Containers & Packaging 0.3
--------------------------------------------------------
TOTAL INVESTMENTS 100.0
NET OTHER ASSETS AND LIABILITIES 0.0**
------------
TOTAL 100.0%
============
** Amount is less than 0.1%.
Page 96 See Notes to Financial Statements
This page is intentionally left blank.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2013
FIRST TRUST
ASIA PACIFIC FIRST TRUST FIRST TRUST
EX-JAPAN EUROPE LATIN AMERICA
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FPA) (FEP) (FLN)
---------------- ---------------- ----------------
ASSETS:
Investments, at value............................................... $ 57,186,454 $ 415,050,491 $ 8,142,415
Cash .............................................................. 23,786 -- 45,266
Foreign currency.................................................... 23,277 1,087 4,576
Receivables:
Fund shares sold.............................................. -- 8,221,562 --
Investment securities sold.................................... -- 1,997,557 --
Dividends..................................................... 19,213 32,356 13,465
Dividend reclaims............................................. -- 88,365 --
Other assets........................................................ -- 348 1,820
-------------- -------------- --------------
TOTAL ASSETS............................................... 57,252,730 425,391,766 8,207,542
-------------- -------------- --------------
LIABILITIES:
Due to broker....................................................... 48,589 -- --
Due to custodian.................................................... -- 28,154 --
Due to custodian foreign currency................................... -- -- --
Payables:
Collateral for securities on loan............................. -- 11,266,002 --
Investment securities purchased............................... -- 8,371,159 --
Investment advisory fees...................................... 37,390 245,540 5,523
Other liabilities................................................... -- -- --
-------------- -------------- --------------
TOTAL LIABILITIES.......................................... 85,979 19,910,855 5,523
-------------- -------------- --------------
NET ASSETS.......................................................... $ 57,166,751 $ 405,480,911 $ 8,202,019
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 57,085,350 $ 376,334,401 $ 10,181,220
Par value........................................................... 20,500 122,500 3,500
Accumulated net investment income (loss)............................ (225,994) (534,711) 3,422
Accumulated net realized gain (loss) on investments and foreign
currency transactions............................................ (1,151,903) (428,909) (1,494,577)
Net unrealized appreciation (depreciation) on investments and
foreign currency translation..................................... 1,438,798 29,987,630 (491,546)
-------------- -------------- --------------
NET ASSETS.......................................................... $ 57,166,751 $ 405,480,911 $ 8,202,019
============== ============== ==============
NET ASSET VALUE, per share.......................................... $ 27.89 $ 33.10 $ 23.43
============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 2,050,002 12,250,002 350,002
============== ============== ==============
Investments, at cost................................................ $ 55,747,626 $ 385,065,927 $ 8,633,436
============== ============== ==============
Foreign currency, at cost (proceeds)................................ $ 23,281 $ 1,088 $ 4,580
============== ============== ==============
Securities on loan, at value........................................ $ -- $ 10,726,044 $ --
============== ============== ==============
Page 98 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST DEVELOPED FIRST TRUST
BRAZIL CHINA JAPAN SOUTH KOREA MARKETS EX-US EMERGING MARKETS
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FBZ) (FCA) (FJP) (FKO) (FDT) (FEM)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 5,831,251 $ 4,710,997 $ 104,266,921 $ 5,572,417 $ 151,877,424 $ 342,924,226
-- 3,661 259,086 -- 218 --
2,226 -- -- -- 27,746 31,823
-- -- 20,724,206 -- -- 862,763
-- -- -- -- 1,090 --
10,228 -- 68,027 4,176 78,817 188,512
-- -- -- -- 60,207 23
-- -- -- -- 6,267 --
-------------- -------------- -------------- -------------- -------------- --------------
5,843,705 4,714,658 125,318,240 5,576,593 152,051,769 344,007,347
-------------- -------------- -------------- -------------- -------------- --------------
-- -- -- -- -- --
4,403 -- -- 2,523 -- 143,513
-- -- -- -- -- --
-- -- 1,460,545 -- 4,078,055 12,638,239
-- -- 20,253,569 -- -- 871,471
3,964 3,192 53,969 3,696 97,129 218,142
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
8,367 3,192 21,768,083 6,219 4,175,184 13,871,365
-------------- -------------- -------------- -------------- -------------- --------------
$ 5,835,338 $ 4,711,466 $ 103,550,157 $ 5,570,374 $ 147,876,585 $ 330,135,982
============== ============== ============== ============== ============== ==============
$ 8,819,536 $ 6,082,036 $ 100,150,390 $ 5,667,426 $ 143,436,794 $ 342,074,397
3,000 2,000 22,500 2,000 29,020 134,500
(1,169) (10,482) (25,524) (41,184) (186,904) (429,559)
(2,541,686) (1,587,798) (656,540) (641,476) (6,332,440) (12,553,177)
(444,343) 225,710 4,059,331 583,608 10,930,115 909,821
-------------- -------------- -------------- -------------- -------------- --------------
$ 5,835,338 $ 4,711,466 $ 103,550,157 $ 5,570,374 $ 147,876,585 $ 330,135,982
============== ============== ============== ============== ============== ==============
$ 19.45 $ 23.56 $ 46.02 $ 27.85 $ 50.96 $ 24.55
============== ============== ============== ============== ============== ==============
300,002 200,002 2,250,002 200,002 2,902,000 13,450,002
============== ============== ============== ============== ============== ==============
$ 6,275,222 $ 4,485,287 $ 100,206,144 $ 4,988,809 $ 140,949,100 $ 342,008,622
============== ============== ============== ============== ============== ==============
$ 2,227 $ -- $ -- $ -- $ 27,737 $ 31,819
============== ============== ============== ============== ============== ==============
$ -- $ -- $ 1,389,971 $ -- $ 3,693,591 $ 11,149,060
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 99
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2013
FIRST TRUST FIRST TRUST FIRST TRUST
GERMANY CANADA AUSTRALIA
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FGM) (FCAN) (FAUS)
---------------- ---------------- ----------------
ASSETS:
Investments, at value............................................... $ 49,449,232 $ 77,571,490 $ 1,492,131
Cash .............................................................. -- -- 438
Foreign currency.................................................... 4,263 24,746 4,160
Receivables:
Fund shares sold.............................................. 2,269,601 1,775,250 --
Investment securities sold.................................... -- -- 6,418
Dividends..................................................... -- 156,321 1,604
Dividend reclaims............................................. 21,603 -- 43
Other assets........................................................ -- -- --
-------------- -------------- --------------
TOTAL ASSETS............................................... 51,744,699 79,527,807 1,504,794
-------------- -------------- --------------
LIABILITIES:
Due to broker....................................................... -- -- --
Due to custodian.................................................... 43,068 76,541 --
Due to custodian foreign currency................................... -- -- --
Payables:
Collateral for securities on loan............................. 1,702,550 -- --
Investment securities purchased............................... 2,273,112 1,774,321 4,160
Investment advisory fees...................................... 23,646 49,327 994
Other liabilities................................................... -- -- --
-------------- -------------- --------------
TOTAL LIABILITIES.......................................... 4,042,376 1,900,189 5,154
-------------- -------------- --------------
NET ASSETS.......................................................... $ 47,702,323 $ 77,627,618 $ 1,499,640
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 42,729,203 $ 76,179,503 $ 1,875,222
Par value........................................................... 11,500 21,500 500
Accumulated net investment income (loss)............................ -- -- (1,113)
Accumulated net realized gain (loss) on investments and foreign
currency transactions............................................ (548,013) (885,449) (397,838)
Net unrealized appreciation (depreciation) on investments and
foreign currency translation..................................... 5,509,633 2,312,064 22,869
-------------- -------------- --------------
NET ASSETS.......................................................... $ 47,702,323 $ 77,627,618 $ 1,499,640
============== ============== ==============
NET ASSET VALUE, per share.......................................... $ 41.48 $ 36.11 $ 29.99
============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 1,150,002 2,150,002 50,002
============== ============== ==============
Investments, at cost................................................ $ 43,940,765 $ 75,259,612 $ 1,469,226
============== ============== ==============
Foreign currency, at cost (proceeds)................................ $ 4,235 $ 24,716 $ 4,151
============== ============== ==============
Securities on loan, at value........................................ $ 1,619,491 $ -- $ --
============== ============== ==============
Page 100 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST DEVELOPED MARKETS EMERGING MARKETS
UNITED KINGDOM TAIWAN HONG KONG SWITZERLAND EX-US SMALL CAP SMALLCAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FKU) (FTW) (FHK) (FSZ) (FDTS) (FEMS)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 27,576,314 $ 1,592,845 $ 3,846,773 $ 26,545,529 $ 3,657,421 $ 51,381,483
-- -- 8,709 -- 2,849 178,601
1,122 -- 5,815 6,084 1,594 --
103,456 -- -- -- 6,293 --
12,018 -- 10,282 -- -- 626
44,095 -- -- -- 2,182 13,520
28 -- -- 30,385 1,179 398
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
27,737,033 1,592,845 3,871,579 26,581,998 3,671,518 51,574,628
-------------- -------------- -------------- -------------- -------------- --------------
-- -- -- -- -- --
18,900 954 -- 54,074 -- --
-- -- -- -- -- 3,389
-- -- -- -- -- --
103,456 -- 8,683 -- 6,293 146,290
16,369 1,053 2,571 17,463 2,034 33,625
-- -- -- -- 543 --
-------------- -------------- -------------- -------------- -------------- --------------
138,725 2,007 11,254 71,537 8,870 183,304
-------------- -------------- -------------- -------------- -------------- --------------
$ 27,598,308 $ 1,590,838 $ 3,860,325 $ 26,510,461 $ 3,662,648 $ 51,391,324
============== ============== ============== ============== ============== ==============
$ 23,943,994 $ 1,593,279 $ 3,728,238 $ 22,574,998 $ 3,545,664 $ 51,872,602
6,500 500 1,000 6,500 1,000 14,500
(10,378) (25) (1,206) (107,550) (7,868) (38,415)
(259,071) (157,002) (191,493) (235,367) (81,259) (1,383,389)
3,917,263 154,086 323,786 4,271,880 205,111 926,026
-------------- -------------- -------------- -------------- -------------- --------------
$ 27,598,308 $ 1,590,838 $ 3,860,325 $ 26,510,461 $ 3,662,648 $ 51,391,324
============== ============== ============== ============== ============== ==============
$ 42.46 $ 31.82 $ 38.60 $ 40.79 $ 36.63 $ 35.44
============== ============== ============== ============== ============== ==============
650,002 50,002 100,002 650,002 100,002 1,450,002
============== ============== ============== ============== ============== ==============
$ 23,659,646 $ 1,438,759 $ 3,522,986 $ 22,275,471 $ 3,452,385 $ 50,455,836
============== ============== ============== ============== ============== ==============
$ 1,120 $ -- $ 5,815 $ 5,934 $ 1,580 $ (3,763)
============== ============== ============== ============== ============== ==============
$ -- $ -- $ -- $ -- $ -- $ --
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 101
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2013
FIRST TRUST
ASIA PACIFIC FIRST TRUST FIRST TRUST
EX-JAPAN EUROPE LATIN AMERICA
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FPA) (FEP) (FLN)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 565,865 $ 2,008,326 $ 339,176
Foreign tax withholding............................................. (19,452) (181,956) (18,241)
Securities lending income (net of fees)............................. -- 3,903 --
Other .............................................................. 32 89 --
-------------- -------------- --------------
Total investment income....................................... 546,445 1,830,362 320,935
-------------- -------------- --------------
EXPENSES:
Investment advisory fees............................................ 191,674 927,112 88,373
Excise tax expense.................................................. -- -- 892
Other .............................................................. -- -- 130
-------------- -------------- --------------
Total expenses................................................ 191,674 927,112 89,395
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 354,771 903,250 231,540
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (623,672) 288,966 (876,406)
In-kind redemptions........................................... 430,624 8,188,054 265,687
Foreign currency transactions................................. (14,425) (70,751) (13,033)
-------------- -------------- --------------
Net realized gain (loss)............................................ (207,473) 8,406,269 (623,752)
-------------- -------------- --------------
Net increase from payment by the advisor............................ -- 42,521 --
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................... 831,264 28,559,339 (912,222)
Foreign currency translation.................................. (14) 3,060 (609)
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation)................ 831,250 28,562,399 (912,831)
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 623,777 37,011,189 (1,536,583)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 978,548 $ 37,914,439 $ (1,305,043)
============== ============== ==============
Page 102 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST DEVELOPED EMERGING
BRAZIL CHINA JAPAN SOUTH KOREA MARKETS EX-US MARKETS
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FBZ) (FCA) (FJP) (FKO) (FDT) (FEM)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 198,723 $ 191,450 $ 573,838 $ 26,430 $ 2,800,045 $ 5,682,383
(11,489) (7,462) (42,665) (4,798) (225,044) (466,091)
-- -- 727 -- 37,964 136,006
-- -- -- 458 81 --
-------------- -------------- -------------- -------------- -------------- --------------
187,234 183,988 531,900 22,090 2,613,046 5,352,298
-------------- -------------- -------------- -------------- -------------- --------------
46,603 50,397 248,328 25,028 876,885 1,523,668
852 -- -- -- -- 1,376
-- -- -- -- -- 283
-------------- -------------- -------------- -------------- -------------- --------------
47,455 50,397 248,328 25,028 876,885 1,525,327
-------------- -------------- -------------- -------------- -------------- --------------
139,779 133,591 283,572 (2,938) 1,736,161 3,826,971
-------------- -------------- -------------- -------------- -------------- --------------
(538,233) (636,191) (189,462) (93,506) (1,352,921) (5,631,235)
-- 171,128 2,062,381 -- 14,281,570 2,104,682
(5,049) (622) (18,050) (9,381) (93,202) (93,925)
-------------- -------------- -------------- -------------- -------------- --------------
(543,282) (465,685) 1,854,869 (102,887) 12,835,447 (3,620,478)
-------------- -------------- -------------- -------------- -------------- --------------
-- -- 7,227 -- 15,029 --
-------------- -------------- -------------- -------------- -------------- --------------
(443,597) (275,806) 4,165,727 413,126 4,167,709 (10,479,207)
(497) -- (1,351) 1,794 2,009 (5,941)
-------------- -------------- -------------- -------------- -------------- --------------
(444,094) (275,806) 4,164,376 414,920 4,169,718 (10,485,148)
-------------- -------------- -------------- -------------- -------------- --------------
(987,376) (741,491) 6,026,472 312,033 17,020,194 (14,105,626)
-------------- -------------- -------------- -------------- -------------- --------------
$ (847,597) $ (607,900) $ 6,310,044 $ 309,095 $ 18,756,355 $ (10,278,655)
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 103
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 2013
FIRST TRUST FIRST TRUST FIRST TRUST
GERMANY CANADA AUSTRALIA
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FGM) (FCAN) (FAUS)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends .......................................................... $ 459,681 $ 1,142,403 $ 82,523
Foreign tax withholding............................................. (50,060) (171,356) (1,219)
Securities lending income (net of fees)............................. 1,013 -- --
Other .............................................................. -- -- --
-------------- -------------- --------------
Total investment income....................................... 410,634 971,047 81,304
-------------- -------------- --------------
EXPENSES:
Investment advisory fees............................................ 147,576 269,723 16,639
Excise tax expense.................................................. -- 174 103
Other .............................................................. -- -- --
-------------- -------------- --------------
Total expenses................................................ 147,576 269,897 16,742
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 263,058 701,150 64,562
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (329,519) (530,565) (142,759)
In-kind redemptions........................................... 558,726 1,196,182 445,412
Foreign currency transactions................................. (774) (2,613) (2,437)
-------------- -------------- --------------
Net realized gain (loss)............................................ 228,433 663,004 300,216
-------------- -------------- --------------
Net increase from payment by the advisor............................ -- -- --
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................... 4,766,797 1,875,536 (289,014)
Foreign currency translation.................................. 993 262 (21)
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation)................ 4,767,790 1,875,798 (289,035)
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 4,996,223 2,538,802 11,181
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 5,259,281 $ 3,239,952 $ 75,743
============== ============== ==============
Page 104 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST DEVELOPED MARKETS EMERGING MARKETS
UNITED KINGDOM TAIWAN HONG KONG SWITZERLAND EX-US SMALL CAP SMALLCAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FKU) (FTW) (FHK) (FSZ) (FDTS) (FEMS)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 619,738 $ 46,161 $ 64,459 $ 434,574 $ 61,245 $ 607,347
-- (9,545) -- (21,535) (5,164) (45,336)
-- -- -- -- -- --
-- -- -- -- 213 --
-------------- -------------- -------------- -------------- -------------- --------------
619,738 36,616 64,459 413,039 56,294 562,011
-------------- -------------- -------------- -------------- -------------- --------------
139,884 12,134 17,005 138,674 17,207 170,423
-- -- -- -- -- --
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
139,884 12,134 17,005 138,674 17,207 170,423
-------------- -------------- -------------- -------------- -------------- --------------
479,854 24,482 47,454 274,365 39,087 391,588
-------------- -------------- -------------- -------------- -------------- --------------
(72,195) (13,630) (55,873) 19,443 130,110 (1,021,547)
1,231,657 -- 296,730 271,304 (17,010) --
(9) (30) (10) (1,575) 1,349 (34,357)
-------------- -------------- -------------- -------------- -------------- --------------
1,159,453 (13,660) 240,847 289,172 114,449 (1,055,904)
-------------- -------------- -------------- -------------- -------------- --------------
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
2,921,274 132,361 39,308 3,700,136 120,597 663,622
420 (5) (1) 1,742 69 358
-------------- -------------- -------------- -------------- -------------- --------------
2,921,694 132,356 39,307 3,701,878 120,666 663,980
-------------- -------------- -------------- -------------- -------------- --------------
4,081,147 118,696 280,154 3,991,050 235,115 (391,924)
-------------- -------------- -------------- -------------- -------------- --------------
$ 4,561,001 $ 143,178 $ 327,608 $ 4,265,415 $ 274,202 $ (336)
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 105
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST ASIA PACIFIC EX- FIRST TRUST EUROPE
JAPAN ALPHADEX(R) FUND (FPA) ALPHADEX(R) FUND (FEP)
------------------------------------ ------------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
12/31/2013 12/31/2012 12/31/2013 12/31/2012
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............. $ 354,771 $ 48,412 $ 903,250 $ 83,137
Net realized gain (loss).................. (207,473) 102,610 8,406,269 236,018
Net change in unrealized appreciation
(depreciation)......................... 831,250 901,343 28,562,399 1,686,947
Net increase from payment by the advisor.. -- -- 42,521 --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from operations.............. 978,548 1,052,365 37,914,439 2,006,102
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................... (653,496) (67,541) (1,820,846) (111,606)
Return of capital......................... -- -- -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders....... (653,496) (67,541) (1,820,846) (111,606)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................. 61,406,500 13,034,356 399,047,908 25,981,219
Cost of shares redeemed................... (18,329,948) (2,541,805) (60,481,172) (2,454,180)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from shareholder
transactions........................... 43,076,552 10,492,551 338,566,736 23,527,039
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets... 43,401,604 11,477,375 374,660,329 25,421,535
NET ASSETS:
Beginning of period....................... 13,765,147 2,287,772 30,820,582 5,399,047
---------------- ---------------- ---------------- ----------------
End of period............................. $ 57,166,751 $ 13,765,147 $405,480,911 $ 30,820,582
================ ================ ================ ================
Accumulated net investment income (loss)
at end of period....................... $ (225,994) $ (19,642) $ (534,711) $ (10,135)
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period... 500,002 100,002 1,200,002 250,002
Shares sold............................... 2,250,000 500,000 13,000,000 1,050,000
Shares redeemed........................... (700,000) (100,000) (1,950,000) (100,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period......... 2,050,002 500,002 12,250,002 1,200,002
================ ================ ================ ================
Page 106 See Notes to Financial Statements
FIRST TRUST LATIN AMERICA FIRST TRUST BRAZIL FIRST TRUST CHINA FIRST TRUST JAPAN
ALPHADEX(R) FUND (FLN) ALPHADEX(R) FUND (FBZ) ALPHADEX(R) FUND (FCA) ALPHADEX(R) FUND (FJP)
------------------------------ ------------------------------ ------------------------------ ------------------------------
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
12/31/2013 12/31/2012 12/31/2013 12/31/2012 12/31/2013 12/31/2012 12/31/2013 12/31/2012
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 231,540 $ 147,236 $ 139,779 $ 259,728 $ 133,591 $ 52,708 $ 283,572 $ 41,893
(623,752) (318,715) (543,282) (1,881,349) (465,685) (585,535) 1,854,869 (473,776)
(912,831) 715,388 (444,094) 1,894,574 (275,806) 1,225,073 4,164,376 284,973
-- -- -- -- -- 787 7,227 --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(1,305,043) 543,909 (847,597) 272,953 (607,900) 693,033 6,310,044 ( 146,910)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(230,491) (131,037) (138,606) (263,262) (143,451) (52,465) (301,221) (43,306)
-- -- -- -- -- (2,691) -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(230,491) (131,037) (138,606) (263,262) (143,451) (55,156) (301,221) (43,306)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
5,234,322 6,472,079 965,386 -- 8,588,601 1,201,191 106,751,061 --
(4,805,682) -- -- (1,065,727) (6,837,545) (1,077,188) (10,984,215) (1,816,558)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
428,640 6,472,079 965,386 (1,065,727) 1,751,056 124,003 95,766,846 (1,816,558)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(1,106,894) 6,884,951 (20,817) (1,056,036) 999,705 761,880 101,775,669 (2,006,774)
9,308,913 2,423,962 5,856,155 6,912,191 3,711,761 2,949,881 1,774,488 3,781,262
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 8,202,019 $ 9,308,913 $ 5,835,338 $ 5,856,155 $ 4,711,466 $ 3,711,761 $ 103,550,157 $ 1,774,488
============== ============== ============== ============== ============== ============== ============== ==============
$ 3,422 $ 13,079 $ (1,169) $ 1,855 $ (10,482) $ -- $ (25,524) $ (817)
============== ============== ============== ============== ============== ============== ============== ==============
350,002 100,002 250,002 300,002 150,002 150,002 50,002 100,002
200,000 250,000 50,000 -- 350,000 50,000 2,450,000 --
(200,000) -- -- (50,000) (300,000) (50,000) (250,000) (50,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
350,002 350,002 300,002 250,002 200,002 150,002 2,250,002 50,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 107
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST SOUTH KOREA FIRST TRUST DEVELOPED MARKETS
ALPHADEX(R) FUND (FKO) EX-US ALPHADEX(R) FUND (FDT)
------------------------------------ ------------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
12/31/2013 12/31/2012 12/31/2013 12/31/2012
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............. $ (2,938) $ 7,582 $ 1,736,161 $ 1,179,368
Net realized gain (loss).................. (102,887) (322,344) 12,835,447 486,900
Net change in unrealized appreciation
(depreciation)......................... 414,920 527,018 4,169,718 8,009,818
Net increase from payment by the advisor.. -- -- 15,029 --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from operations.............. 309,095 212,256 18,756,355 9,676,086
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................... (28,910) (7,766) (2,329,036) (1,510,854)
Return of capital......................... -- (4,599) -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders....... (28,910) (12,365) (2,329,036) (1,510,854)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................. 2,655,945 1,299,538 120,243,317 112,463,205
Cost of shares redeemed................... -- -- (81,143,285) (45,623,789)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from shareholder
transactions........................... 2,655,945 1,299,538 39,100,032 66,839,416
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets... 2,936,130 1,499,429 55,527,351 75,004,648
NET ASSETS:
Beginning of period....................... 2,634,244 1,134,815 92,349,234 17,344,586
---------------- ---------------- ---------------- ----------------
End of period............................. $ 5,570,374 $ 2,634,244 $ 147,876,585 $ 92,349,234
================ ================ ================ ================
Accumulated net investment income (loss)
at end of period....................... $ (41,184) $ (308) $ (186,904) $ (253,131)
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period... 100,002 50,002 2,102,000 452,000
Shares sold............................... 100,000 50,000 2,500,000 2,750,000
Shares redeemed........................... -- -- (1,700,000) (1,100,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period......... 200,002 100,002 2,902,000 2,102,000
================ ================ ================ ================
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
Page 108 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS FIRST TRUST GERMANY FIRST TRUST CANADA FIRST TRUST AUSTRALIA
ALPHADEX(R) FUND (FEM) ALPHADEX(R) FUND (FGM) ALPHADEX(R) FUND (FCAN) ALPHADEX(R) FUND (FAUS)
------------------------------ ------------------------------ ------------------------------ ------------------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
FOR THE YEAR FOR THE YEAR FOR THE YEAR 2/14/2012 (a) FOR THE YEAR 2/14/2012 (a) FOR THE YEAR 2/14/2012 (a)
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/2013 12/31/2012 12/31/2013 12/31/2012 12/31/2013 12/31/2012 12/31/2013 12/31/2012
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 3,826,971 $ 2,258,672 $ 263,058 $ 51,179 $ 701,150 $ 53,243 $ 64,562 $ 124,055
(3,620,478) (2,750,244) 228,433 (84,576) 663,004 (101,231) 300,216 (156,641)
(10,485,148) 12,675,950 4,767,790 741,843 1,875,798 436,266 (289,035) 311,904
-- 5,335 -- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(10,278,655) 12,189,713 5,259,281 708,446 3,239,952 388,278 75,743 279,318
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(4,245,401) (2,312,146) (329,096) (49,359) (734,151) (73,386) (69,887) (156,473)
-- -- -- (11,517) -- -- -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(4,245,401) (2,312,146) (329,096) (60,876) (734,151) (73,386) (69,887) (156,473)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
277,023,556 131,884,147 41,085,819 5,836,444 89,988,029 9,183,436 1,598,877 4,464,790
(61,587,539) (35,753,919) (3,326,627) (1,471,068) (22,770,439) (1,594,101) (3,226,415) (1,466,313)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
215,436,017 96,130,228 37,759,192 4,365,376 67,217,590 7,589,335 (1,627,538) 2,998,477
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
200,911,961 106,007,795 42,689,377 5,012,946 69,723,391 7,904,227 (1,621,682) 3,121,322
129,224,021 23,216,226 5,012,946 -- 7,904,227 -- 3,121,322 --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 330,135,982 $ 129,224,021 $ 47,702,323 $ 5,012,946 $ 77,627,618 $ 7,904,227 $ 1,499,640 $ 3,121,322
============== ============== ============== ============== ============== ============== ============== ==============
$ (429,559) $ (46,548) $ -- $ (94) $ -- $ (19,927) $ (1,113) $ (33,565)
============== ============== ============== ============== ============== ============== ============== ==============
4,950,002 1,050,002 150,002 -- 250,002 -- 100,002 --
11,050,000 5,400,000 1,100,000 200,002 2,600,000 300,002 50,000 150,002
(2,550,000) (1,500,000) (100,000) (50,000) (700,000) (50,000) (100,000) (50,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
13,450,002 4,950,002 1,150,002 150,002 2,150,002 250,002 50,002 100,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 109
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST UNITED KINGDOM FIRST TRUST TAIWAN
ALPHADEX(R) FUND (FKU) ALPHADEX(R) FUND (FTW)
------------------------------------ ------------------------------------
FOR THE PERIOD FOR THE PERIOD
FOR THE YEAR 2/14/2012 (a) FOR THE YEAR 2/14/2012 (a)
ENDED ENDED ENDED ENDED
12/31/2013 12/31/2012 12/31/2013 12/31/2012
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............. $ 479,854 $ 137,305 $ 24,482 $ 62,666
Net realized gain (loss).................. 1,159,453 (157,654) (13,660) (146,439)
Net change in unrealized appreciation
(depreciation)......................... 2,921,694 995,569 132,356 21,730
Net increase from payment by the advisor.. -- -- -- --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from operations.............. 4,561,001 975,220 143,178 (62,043)
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................... (540,327) (143,687) (24,477) (56,771)
Return of capital......................... -- -- (3,094) (12,390)
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders....... (540,327) (143,687) (27,571) (69,161)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................. 25,330,693 5,975,267 -- 3,017,325
Cost of shares redeemed................... (8,559,859) -- -- (1,410,890)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from shareholder
transactions........................... 16,770,834 5,975,267 -- 1,606,435
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets... 20,791,508 6,806,800 115,607 1,475,231
NET ASSETS:
Beginning of period....................... 6,806,800 -- 1,475,231 --
---------------- ---------------- ---------------- ----------------
End of period............................. $ 27,598,308 $ 6,806,800 $ 1,590,838 $ 1,475,231
================ ================ ================ ================
Accumulated net investment income (loss)
at end of period....................... $ (10,378) $ (5,991) $ (25) $ --
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period... 200,002 -- 50,002 --
Shares sold............................... 700,000 200,002 -- 100,002
Shares redeemed........................... (250,000) -- -- (50,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period......... 650,002 200,002 50,002 50,002
================ ================ ================ ================
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
Page 110 See Notes to Financial Statements
FIRST TRUST HONG KONG FIRST TRUST SWITZERLAND FIRST TRUST DEVELOPED MARKETS FIRST TRUST EMERGING MARKETS
HONG KONG SWITZERLAND EX-US SMALL CAP SMALL CAP
ALPHADEX(R) FUND (FHK) ALPHADEX(R) FUND (FSZ) ALPHADEX(R) FUND (FDTS) ALPHADEX(R) FUND (FEMS)
------------------------------ ------------------------------ ------------------------------ ------------------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
FOR THE YEAR 2/14/2012 (a) FOR THE YEAR 2/14/2012 (a) FOR THE YEAR 2/14/2012 (a) FOR THE YEAR 2/14/2012 (a)
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/2013 12/31/2012 12/31/2013 12/31/2012 12/31/2013 12/31/2012 12/31/2013 12/31/2012
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 47,454 $ 59,888 $ 274,365 $ 69,209 $ 39,087 $ 52,712 $ 391,588 $ 56,283
240,847 19,678 289,172 (256,369) 114,449 (136,498) (1,055,904) (85,807)
39,307 284,479 3,701,878 570,002 120,666 84,445 663,980 262,046
-- -- -- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
327,608 364,045 4,265,415 382,842 274,202 659 (336) 232,522
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(48,937) (66,867) (353,792) (98,626) (57,811) (70,627) (586,896) (60,976)
-- -- -- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(48,937) (66,867) (353,792) (98,626) (57,811) (70,627) (586,896) (60,976)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
3,635,264 3,019,060 19,421,365 4,572,590 3,415,893 3,067,124 50,270,365 3,036,330
(1,781,997) (1,587,851) (1,679,333) -- (1,494,408) (1,472,384) -- (1,499,685)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
1,853,267 1,431,209 17,742,032 4,572,590 1,921,485 1,594,740 50,270,365 1,536,645
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
2,131,938 1,728,387 21,653,655 4,856,806 2,137,876 1,524,772 49,683,133 1,708,191
1,728,387 -- 4,856,806 -- 1,524,772 -- 1,708,191 --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 3,860,325 $ 1,728,387 $ 26,510,461 $ 4,856,806 $ 3,662,648 $ 1,524,772 $ 51,391,324 $ 1,708,191
============== ============== ============== ============== ============== ============== ============== ==============
$ (1,206) $ (6,949) $ (107,550) $ (29,664) $ (7,868) $ (1,102) $ (38,415) $ 165
============== ============== ============== ============== ============== ============== ============== ==============
50,002 -- 150,002 -- 50,002 -- 50,002 --
100,000 100,002 550,000 150,002 100,000 100,002 1,400,000 100,002
(50,000) (50,000) (50,000) -- (50,000) (50,000) -- (50,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
100,002 50,002 650,002 150,002 100,002 50,002 1,450,002 50,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 111
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 27.53 $ 22.88 $ 29.83
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.54 0.44 0.30
Net realized and unrealized gain (loss) 0.48 4.65 (6.76)
---------- ---------- ----------
Total from investment operations 1.02 5.09 (6.46)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.66) (0.44) (0.36)
Return of capital -- -- (0.13)
---------- ---------- ----------
Total distributions (0.66) (0.44) (0.49)
---------- ---------- ----------
Net asset value, end of period $ 27.89 $ 27.53 $ 22.88
========== ========== ==========
TOTAL RETURN (b) 3.83% 22.54% (21.78)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 57,167 $ 13,765 $ 2,288
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 1.48% 1.39% 1.60% (c)
Portfolio turnover rate (d) 118% 105% 49%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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.
</FN>
Page 112 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 25.68 $ 21.60 $ 29.10
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.45 0.54 0.51
Net realized and unrealized gain (loss) 7.49 4.10 (7.52)
---------- ---------- ----------
Total from investment operations 7.94 4.64 (7.01)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.52) (0.56) (0.49)
---------- ---------- ----------
Net asset value, end of period $ 33.10 $ 25.68 $ 21.60
========== ========== ==========
TOTAL RETURN (b) 31.33%(c) 21.98% (24.53)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 405,481 $ 30,821 $ 5,399
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 0.78% 1.51% 2.81% (d)
Portfolio turnover rate (e) 94% 74% 27%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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) The Fund received a reimbursement from the advisor in the amount of
$42,521. The reimbursement from the advisor represents less than $0.01 per
share and had no effect on the Fund's total return.
(d) Annualized.
(e) 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.
</FN>
See Notes to Financial Statements Page 113
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 26.60 $ 24.24 $ 29.70
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.48 0.86 0.76
Net realized and unrealized gain (loss) (3.17) 2.30 (5.63)
---------- ---------- ----------
Total from investment operations (2.69) 3.16 (4.87)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.48) (0.80) (0.59)
---------- ---------- ----------
Net asset value, end of period $ 23.43 $ 26.60 $ 24.24
========== ========== ==========
TOTAL RETURN (b) (10.17)% 13.35% (16.41)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 8,202 $ 9,309 $ 2,424
Ratio of total expenses to average net assets 0.81% 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 2.10% 3.24% 3.97% (c)
Portfolio turnover rate (d) 138% 117% 54%
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 23.42 $ 23.04 $ 29.69
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.53 0.92 0.43
Net realized and unrealized gain (loss) (3.97) 0.38 (6.79)
---------- ---------- ----------
Total from investment operations (3.44) 1.30 (6.36)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.53) (0.92) (0.29)
---------- ---------- ----------
Net asset value, end of period $ 19.45 $ 23.42 $ 23.04
========== ========== ==========
TOTAL RETURN (b) (14.72)% 5.80% (21.43)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,835 $ 5,856 $ 6,912
Ratio of total expenses to average net assets 0.81% 0.81% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 2.40% 3.87% 2.71% (c)
Portfolio turnover rate (d) 85% 98% 46%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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.
</FN>
Page 114 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 24.74 $ 19.67 $ 29.90
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.62 0.35 0.45
Net realized and unrealized gain (loss) (1.13) 5.09 (10.23)
---------- ---------- ----------
Total from investment operations (0.51) 5.44 (9.78)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.67) (0.35) (0.45)
Return of capital -- (0.02) --
---------- ---------- ----------
Total distributions (0.67) (0.37) (0.45)
---------- ---------- ----------
Net asset value, end of period $ 23.56 $ 24.74 $ 19.67
========== ========== ==========
TOTAL RETURN (b) (1.63)% 28.05% (c) (33.08)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 4,711 $ 3,712 $ 2,950
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 2.12% 1.77% 2.56% (d)
Portfolio turnover rate (e) 110% 117% 60%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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) The Fund received a reimbursement from the advisor in the amount of $787.
The reimbursement from the advisor represents less than $0.01 per share
and had no effect on the Fund's total return.
(d) Annualized.
(e) 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.
</FN>
See Notes to Financial Statements Page 115
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 35.49 $ 37.81 $ 39.90
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.33 0.55 0.17
Net realized and unrealized gain (loss) 10.53 (2.29) (2.03)
---------- ---------- ----------
Total from investment operations 10.86 (1.74) (1.86)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.33) (0.58) (0.23)
---------- ---------- ----------
Net asset value, end of period $ 46.02 $ 35.49 $ 37.81
========== ========== ==========
TOTAL RETURN (b) 30.66% (e) (4.60)% (4.66)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 103,550 $ 1,774 $ 3,781
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 0.91% 1.41% 0.61% (c)
Portfolio turnover rate (d) 51% 127% 43%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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) The Fund received a reimbursement from the advisor in the amount of
$7,227. The reimbursement from the advisor represents less than $0.01 per
share and had no effect on the Fund's total return.
</FN>
Page 116 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 26.34 $ 22.70 $ 30.11
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.04 0.16 (0.10)
Net realized and unrealized gain (loss) 1.67 3.73 (6.74)
---------- ---------- ----------
Total from investment operations 1.71 3.89 (6.84)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.20) (0.16) (0.13)
Return of capital -- (0.09) (0.44)
---------- ---------- ----------
Total distributions (0.20) (0.25) (0.57)
---------- ---------- ----------
Net asset value, end of period $ 27.85 $ 26.34 $ 22.70
========== ========== ==========
TOTAL RETURN (b) 6.54% 17.32% (22.71)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,570 $ 2,634 $ 1,135
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets (0.09)% 0.63% (0.32)% (c)
Portfolio turnover rate (d) 66% 79% 123%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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.
</FN>
See Notes to Financial Statements Page 117
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 43.93 $ 38.37 $ 49.13
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.80 0.73 0.50
Net realized and unrealized gain (loss) 7.20 5.69 (10.69)
---------- ---------- ----------
Total from investment operations 8.00 6.42 (10.19)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.97) (0.86) (0.42)
Return of capital -- -- (0.15)
---------- ---------- ----------
Total distributions (0.97) (0.86) (0.57)
---------- ---------- ----------
Net asset value, end of period $ 50.96 $ 43.93 $ 38.37
========== ========== ==========
TOTAL RETURN (b) 18.40% (c) 16.97% (20.92)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 147,877 $ 92,349 $ 17,345
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 1.58% 1.83% 1.31% (d)
Portfolio turnover rate (e) 109% 161% 67%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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) The Fund received a reimbursement from the advisor in the amount of
$15,029. The reimbursement from the advisor represents less than $0.01 per
share and had no effect on the Fund's total return.
(d) Annualized.
(e) 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.
</FN>
Page 118 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
FOR THE PERIOD
YEAR YEAR 4/18/2011 (a)
ENDED ENDED THROUGH
12/31/2013 12/31/2012 12/31/2011
---------------- ---------------- ----------------
Net asset value, beginning of period $ 26.11 $ 22.11 $ 29.05
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.62 0.56 0.25
Net realized and unrealized gain (loss) (1.53) 4.02 (6.98)
---------- ---------- ----------
Total from investment operations (0.91) 4.58 (6.73)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.65) (0.58) (0.21)
---------- ---------- ----------
Net asset value, end of period $ 24.55 $ 26.11 $ 22.11
========== ========== ==========
TOTAL RETURN (b) (3.35)% 21.03% (c) (23.22)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 330,136 $ 129,224 $ 23,216
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 2.01% 2.62% 3.09% (d)
Portfolio turnover rate (e) 132% 145% 56%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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) The Fund received a reimbursement from the advisor in the amount of
$5,335. The reimbursement from the advisor represents less than $0.01 per
share and had no effect on the Fund's total return.
(d) Annualized.
(e) 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.
</FN>
See Notes to Financial Statements Page 119
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM)
FOR THE PERIOD
YEAR 2/14/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 33.42 $ 30.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.60 0.35
Net realized and unrealized gain (loss) 8.12 3.48
---------- ----------
Total from investment operations 8.72 3.83
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.66) (0.33)
Return of capital -- (0.08)
---------- ----------
Total distributions (0.66) (0.41)
---------- ----------
Net asset value, end of period $ 41.48 $ 33.42
========== ==========
TOTAL RETURN (b) 26.61% 13.09%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 47,702 $ 5,013
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 1.43% 1.51% (c)
Portfolio turnover rate (d) 50% 52%
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN)
FOR THE PERIOD
YEAR 2/14/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 31.62 $ 29.85
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.53 0.30
Net realized and unrealized gain (loss) 4.43 1.85
---------- ----------
Total from investment operations 4.96 2.15
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.47) (0.38)
---------- ----------
Net asset value, end of period $ 36.11 $ 31.62
========== ==========
TOTAL RETURN (b) 15.75% 7.26%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 77,628 $ 7,904
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 2.08% 1.36% (c)
Portfolio turnover rate (d) 47% 66%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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.
</FN>
Page 120 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS)
FOR THE PERIOD
YEAR 2/14/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 31.21 $ 30.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.62 1.24
Net realized and unrealized gain (loss) (0.78) 1.53
---------- ----------
Total from investment operations (0.16) 2.77
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.06) (1.56)
---------- ----------
Net asset value, end of period $ 29.99 $ 31.21
========== ==========
TOTAL RETURN (b) (0.61)% 9.59%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,500 $ 3,121
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 3.10% 4.63% (c)
Portfolio turnover rate (d) 92% 62%
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
FOR THE PERIOD
YEAR 2/14/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 34.03 $ 30.12
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.92 0.83
Net realized and unrealized gain (loss) 8.50 3.94
---------- ----------
Total from investment operations 9.42 4.77
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.99) (0.86)
---------- ----------
Net asset value, end of period $ 42.46 $ 34.03
========== ==========
TOTAL RETURN (b) 28.17% 16.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 27,598 $ 6,807
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 2.74% 3.07% (c)
Portfolio turnover rate (d) 63% 42%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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.
</FN>
See Notes to Financial Statements Page 121
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW)
FOR THE PERIOD
YEAR 2/14/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 29.50 $ 30.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.49 0.68
Net realized and unrealized gain (loss) 2.38 (0.49)
---------- ----------
Total from investment operations 2.87 0.19
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.49) (0.57)
Return of capital (0.06) (0.12)
---------- ----------
Total distributions (0.55) (0.69)
---------- ----------
Net asset value, end of period $ 31.82 $ 29.50
========== ==========
TOTAL RETURN (b) 9.80% 0.71%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,591 $ 1,475
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 1.61% 2.84% (c)
Portfolio turnover rate (d) 70% 85%
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK)
FOR THE PERIOD
YEAR 2/14/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 34.57 $ 30.19
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.92 0.70
Net realized and unrealized gain (loss) 3.98 4.52
---------- ----------
Total from investment operations 4.90 5.22
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.87) (0.84)
---------- ----------
Net asset value, end of period $ 38.60 $ 34.57
========== ==========
TOTAL RETURN (b) 14.42% 17.60%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 3,860 $ 1,728
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 2.23% 2.56% (c)
Portfolio turnover rate (d) 57% 46%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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.
</FN>
Page 122 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ)
FOR THE PERIOD
YEAR 2/14/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 32.38 $ 30.11
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.82 0.47
Net realized and unrealized gain (loss) 8.38 2.47
---------- ----------
Total from investment operations 9.20 2.94
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.79) (0.67)
---------- ----------
Net asset value, end of period $ 40.79 $ 32.38
========== ==========
TOTAL RETURN (b) 28.89% 10.04%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 26,510 $ 4,857
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 1.58% 1.86% (c)
Portfolio turnover rate (d) 49% 36%
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
FOR THE PERIOD
YEAR 2/15/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 30.49 $ 30.48
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.49 0.65
Net realized and unrealized gain (loss) 6.31 0.37
---------- ----------
Total from investment operations 6.80 1.02
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.66) (1.01)
---------- ----------
Net asset value, end of period $ 36.63 $ 30.49
========== ==========
TOTAL RETURN (b) 22.56% 3.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 3,663 $ 1,525
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 1.82% 2.41% (c)
Portfolio turnover rate (d) 171% 183%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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.
</FN>
See Notes to Financial Statements Page 123
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
FOR THE PERIOD
YEAR 2/15/2012 (a)
ENDED THROUGH
12/31/2013 12/31/2012
---------------- ----------------
Net asset value, beginning of period $ 34.16 $ 30.27
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.50 0.59
Net realized and unrealized gain (loss) 1.42 3.98
---------- ----------
Total from investment operations 1.92 4.57
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.64) (0.68)
---------- ----------
Net asset value, end of period $ 35.44 $ 34.16
========== ==========
TOTAL RETURN (b) 5.65% 15.56%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 51,391 $ 1,708
Ratio of total expenses to average net assets 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 1.84% 2.53% (c)
Portfolio turnover rate (d) 144% 162%
<FN>
(a) Inception date is consistent with the commencement of investment
operations and is the date the initial creation unit was established.
(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.
</FN>
Page 124 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund II (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 3, 2010, and is registered with the Securities and Exchange Commission
("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of the following eighteen funds. The shares of each
fund are listed and traded on the NYSE Arca, Inc.
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund - (ticker "FPA")
First Trust Europe AlphaDEX(R) Fund - (ticker "FEP")
First Trust Latin America AlphaDEX(R) Fund - (ticker "FLN")
First Trust Brazil AlphaDEX(R) Fund - (ticker "FBZ")
First Trust China AlphaDEX(R) Fund - (ticker "FCA")
First Trust Japan AlphaDEX(R) Fund - (ticker "FJP")
First Trust South Korea AlphaDEX(R) Fund - (ticker "FKO")
First Trust Developed Markets Ex-US AlphaDEX(R) Fund - (ticker "FDT")
First Trust Emerging Markets AlphaDEX(R) Fund - (ticker "FEM")
First Trust Germany AlphaDEX(R) Fund - (ticker "FGM")
First Trust Canada AlphaDEX(R) Fund - (ticker "FCAN")
First Trust Australia AlphaDEX(R) Fund - (ticker "FAUS")
First Trust United Kingdom AlphaDEX(R) Fund - (ticker "FKU")
First Trust Taiwan AlphaDEX(R) Fund - (ticker "FTW")
First Trust Hong Kong AlphaDEX(R) Fund - (ticker "FHK")
First Trust Switzerland AlphaDEX(R) Fund - (ticker "FSZ")
First Trust Developed Markets ex-US Small Cap AlphaDEX(R)
Fund - (ticker "FDTS")
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund - (ticker "FEMS")
Each fund represents a separate series 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 Asia Pacific Ex-Japan AlphaDEX(R) Fund Defined Asia Pacific Ex-Japan
Index First Trust Europe AlphaDEX(R) Fund Defined Europe Index
First Trust Latin America AlphaDEX(R) Fund Defined Latin America Index
First Trust Brazil AlphaDEX(R) Fund Defined Brazil Index
First Trust China AlphaDEX(R) Fund Defined China Index
First Trust Japan AlphaDEX(R) Fund Defined Japan Index
First Trust South Korea AlphaDEX(R) Fund Defined South Korea Index
First Trust Developed Markets Ex-US AlphaDEX(R) Fund Defined Developed Markets Ex-US Index
First Trust Emerging Markets AlphaDEX(R) Fund Defined Emerging Markets Index
First Trust Germany AlphaDEX(R) Fund Defined Germany Index
First Trust Canada AlphaDEX(R) Fund Defined Canada Index
First Trust Australia AlphaDEX(R) Fund Defined Australia Index
First Trust United Kingdom AlphaDEX(R) Fund Defined United Kingdom Index
First Trust Taiwan AlphaDEX(R) Fund Defined Taiwan Index
First Trust Hong Kong AlphaDEX(R) Fund Defined Hong Kong Index
First Trust Switzerland AlphaDEX(R) Fund Defined Switzerland Index
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund Defined Developed Markets ex-US Small Cap Index
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund Defined Emerging Markets Small Cap Index
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.
Page 125
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined at that time. Domestic securities and foreign securities are
priced using data reflecting the earlier closing of the principal markets for
those securities. 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. All securities and other assets of each
Fund initially expressed in foreign currencies will be converted to U.S. dollars
using exchange rates in effect at the time of valuation. Market quotations and
prices used to value each Fund's investments are primarily obtained from third
party pricing services. 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.
Securities traded in an over-the-counter market are valued at the mean of
the bid and the asked prices, if available, and otherwise at the closing
bid price.
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.
If the securities in question are foreign securities, the following additional
information may be considered:
1) the value of similar foreign securities traded on other foreign
markets;
2) ADR trading of similar securities;
3) closed-end fund trading of similar securities;
4) foreign currency exchange activity;
5) the trading prices of financial products that are tied to baskets of
foreign securities;
6) factors relating to the event that precipitated the pricing problem;
7) whether the event is likely to recur; and
8) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.
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 the Fund's performance and the performance of its underlying index.
Page 126
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
Because foreign markets may be open on different days than the days during which
investors may purchase the shares of a Fund, the value of the Fund's securities
may change on the days when investors are not able to purchase the shares of the
Fund. The value of securities denominated in foreign currencies is converted
into U.S. dollars using exchange rates determined daily as of the close of
regular trading on the NYSE. Any use of a different rate from the rates used by
a relevant index may adversely affect the Fund's ability to track the index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
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 methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of December 31, 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 are not
known until after the REIT's 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. FOREIGN CURRENCY
The books and records of the Funds are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investments and items of income and expense are
translated on the respective dates of such transactions. Unrealized gains and
losses on assets and liabilities, other than investments in securities, which
result from changes in foreign currency exchange rates have been included in
"Net change in unrealized appreciation (depreciation) on foreign currency
translation" on the Statements of Operations. Unrealized gains and losses on
investments in securities which result from changes in foreign exchange rates
are included with fluctuations arising from changes in market price and are
shown in "Net change in unrealized appreciation (depreciation) on investments"
on the Statements of Operations. Net realized foreign currency gains and losses
include the effect of changes in exchange rates between trade date and
settlement date on investment security transactions, foreign currency
transactions and interest and dividends received. The portion of foreign
currency gains and losses related to fluctuations in exchange rates between the
initial purchase trade date and subsequent sale trade date is included in "Net
realized gain (loss) on investments" on the Statements of Operations.
D. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
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 exactly which transactions are subject
to offsetting disclosures. The scope of the disclosure requirements is limited
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
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.
The Funds adopted the disclosure requirement on netting for the current
reporting period. This disclosure, if applicable, is included within each Fund's
Portfolio of Investments under the heading "Offsetting Assets and Liabilities."
For financial reporting purposes, the Funds do not offset financial assets and
financial liabilities that are subject to master netting arrangements or similar
agreements on the Statements of Assets and Liabilities.
E. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Fund.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities 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
December 31, 2013, only FEP, FJP, FDT, FEM and FGM 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, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
F. 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 capital 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 Fund 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.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
The tax character of distributions paid by each Fund during the year ended
December 31, 2013 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Capital Return of
Income Gains Capital
---------------- ---------------- ----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 653,496 $ -- $ --
First Trust Europe AlphaDEX(R) Fund 1,820,846 -- --
First Trust Latin America AlphaDEX(R) Fund 230,491 -- --
First Trust Brazil AlphaDEX(R) Fund 138,606 -- --
First Trust China AlphaDEX(R) Fund 143,451 -- --
First Trust Japan AlphaDEX(R) Fund 301,221 -- --
First Trust South Korea AlphaDEX(R) Fund 28,910 -- --
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 2,329,036 -- --
First Trust Emerging Markets AlphaDEX(R) Fund 4,245,401 -- --
First Trust Germany AlphaDEX(R) Fund 329,096 -- --
First Trust Canada AlphaDEX(R) Fund 734,151 -- --
First Trust Australia AlphaDEX(R) Fund 69,887 -- --
First Trust United Kingdom AlphaDEX(R) Fund 540,327 -- --
First Trust Taiwan AlphaDEX(R) Fund 24,477 -- 3,094
First Trust Hong Kong AlphaDEX(R) Fund 48,937 -- --
First Trust Switzerland AlphaDEX(R) Fund 353,792 -- --
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 57,811 -- --
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 586,896 -- --
The tax character of distributions paid by each Fund during the year ended
December 31, 2012 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Capital Return of
Income Gains Capital
---------------- ---------------- ----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 67,541 $ -- $ --
First Trust Europe AlphaDEX(R) Fund 111,606 -- --
First Trust Latin America AlphaDEX(R) Fund 131,037 -- --
First Trust Brazil AlphaDEX(R) Fund 263,262 -- --
First Trust China AlphaDEX(R) Fund 52,465 -- 2,691
First Trust Japan AlphaDEX(R) Fund 43,306 -- --
First Trust South Korea AlphaDEX(R) Fund 7,766 -- 4,599
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 1,510,854 -- --
First Trust Emerging Markets AlphaDEX(R) Fund 2,312,146 -- --
First Trust Germany AlphaDEX(R) Fund 49,359 -- 11,517
First Trust Canada AlphaDEX(R) Fund 73,386 -- --
First Trust Australia AlphaDEX(R) Fund 156,473 -- --
First Trust United Kingdom AlphaDEX(R) Fund 143,687 -- --
First Trust Taiwan AlphaDEX(R) Fund 56,771 -- 12,390
First Trust Hong Kong AlphaDEX(R) Fund 66,867 -- --
First Trust Switzerland AlphaDEX(R) Fund 98,626 -- --
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 70,627 -- --
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 60,976 -- --
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
As of December 31, 2013, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated Net
Undistributed Capital and Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
---------------- ---------------- ----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 517 $ (951,152) $ 1,011,536
First Trust Europe AlphaDEX(R) Fund 462,006 -- 28,562,004
First Trust Latin America AlphaDEX(R) Fund 3,422 (1,342,761) (643,362)
First Trust Brazil AlphaDEX(R) Fund -- (2,397,805) (589,393)
First Trust China AlphaDEX(R) Fund -- (1,582,055) 209,485
First Trust Japan AlphaDEX(R) Fund 116,183 (507,746) 3,768,830
First Trust South Korea AlphaDEX(R) Fund 14,256 (614,393) 501,085
First Trust Developed Markets Ex-US AlphaDEX(R) Fund -- (5,543,172) 9,953,943
First Trust Emerging Markets AlphaDEX(R) Fund -- (10,288,509) (1,784,406)
First Trust Germany AlphaDEX(R) Fund -- (435,281) 5,396,901
First Trust Canada AlphaDEX(R) Fund -- (861,126) 2,287,741
First Trust Australia AlphaDEX(R) Fund -- (396,617) 20,568
First Trust United Kingdom AlphaDEX(R) Fund 23,431 (241,728) 3,866,111
First Trust Taiwan AlphaDEX(R) Fund -- (155,428) 152,487
First Trust Hong Kong AlphaDEX(R) Fund -- (188,373) 319,460
First Trust Switzerland AlphaDEX(R) Fund 19,128 (194,395) 4,104,230
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 6,183 (74,895) 184,696
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 78,264 (1,302,133) 728,091
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ended 2011, 2012
and 2013 remain open to federal and state audit. As of December 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 positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses, may be carried forward indefinitely, and their character is
retained as short-term and/or long-term losses. At December 31, 2013, for
federal income tax purposes, each Fund had capital loss carryforwards available
that are shown in the following table, to the extent provided by regulations, to
offset future capital gains. To the extent that these loss carryfowards 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 130
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
Capital Loss
Available
----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 951,152
First Trust Europe AlphaDEX(R) Fund --
First Trust Latin America AlphaDEX(R) Fund 1,342,761
First Trust Brazil AlphaDEX(R) Fund 2,397,190
First Trust China AlphaDEX(R) Fund 1,580,331
First Trust Japan AlphaDEX(R) Fund 507,746
First Trust South Korea AlphaDEX(R) Fund 614,393
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 5,543,172
First Trust Emerging Markets AlphaDEX(R) Fund 10,277,379
First Trust Germany AlphaDEX(R) Fund 435,281
First Trust Canada AlphaDEX(R) Fund 861,126
First Trust Australia AlphaDEX(R) Fund 395,537
First Trust United Kingdom AlphaDEX(R) Fund 241,728
First Trust Taiwan AlphaDEX(R) Fund 155,403
First Trust Hong Kong AlphaDEX(R) Fund 187,991
First Trust Switzerland AlphaDEX(R) Fund 194,395
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 74,895
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 1,302,133
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 year ended December 31, 2013, the Funds incurred
and elected to defer net ordinary losses as follows:
Ordinary Losses
----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ --
First Trust Europe AlphaDEX(R) Fund --
First Trust Latin America AlphaDEX(R) Fund --
First Trust Brazil AlphaDEX(R) Fund 615
First Trust China AlphaDEX(R) Fund 1,724
First Trust Japan AlphaDEX(R) Fund --
First Trust South Korea AlphaDEX(R) Fund --
First Trust Developed Markets Ex-US AlphaDEX(R) Fund --
First Trust Emerging Markets AlphaDEX(R) Fund 11,130
First Trust Germany AlphaDEX(R) Fund --
First Trust Canada AlphaDEX(R) Fund --
First Trust Australia AlphaDEX(R) Fund 1,080
First Trust United Kingdom AlphaDEX(R) Fund --
First Trust Taiwan AlphaDEX(R) Fund 25
First Trust Hong Kong AlphaDEX(R) Fund 382
First Trust Switzerland AlphaDEX(R) Fund --
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund --
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund --
Page 131
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
In order to present paid-in capital, accumulated net investment income (loss),
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 year ended December 31, 2013, the adjustments for
each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) on Paid-in
Income (Loss) Investments Capital
---------------- ---------------- ----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 92,373 $ (473,594) $ 381,221
First Trust Europe AlphaDEX(R) Fund 393,020 (8,304,776) 7,911,756
First Trust Latin America AlphaDEX(R) Fund (10,706) (247,052) 257,758
First Trust Brazil AlphaDEX(R) Fund (4,197) 5,049 (852)
First Trust China AlphaDEX(R) Fund (622) (156,292) 156,914
First Trust Japan AlphaDEX(R) Fund (7,058) (1,982,392) 1,989,450
First Trust South Korea AlphaDEX(R) Fund (9,028) 9,028 --
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 659,102 (14,332,513) 13,673,411
First Trust Emerging Markets AlphaDEX(R) Fund 35,419 (2,022,312) 1,986,893
First Trust Germany AlphaDEX(R) Fund 66,132 (535,454) 469,322
First Trust Canada AlphaDEX(R) Fund 52,928 (1,148,981) 1,096,053
First Trust Australia AlphaDEX(R) Fund 37,777 (424,903) 387,126
First Trust United Kingdom AlphaDEX(R) Fund 56,086 (1,260,479) 1,204,393
First Trust Taiwan AlphaDEX(R) Fund (30) 30 --
First Trust Hong Kong AlphaDEX(R) Fund 7,226 (297,693) 290,467
First Trust Switzerland AlphaDEX(R) Fund 1,541 (268,417) 266,876
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 11,958 12,859 (24,817)
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 156,728 (156,728) --
H. EXPENSES
Expenses that are directly related to the Funds are charged to First Trust
Advisors L.P. ("First Trust" or the "Advisor") pursuant to the Investment
Management Agreement, with the exception of Rule 12b-1 distribution and service
fees, if any, brokerage expenses, taxes, interest and extraordinary expenses,
which are paid by each respective Fund.
First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with
Standard & Poor's Financial Services LLC ("Licensor") for the Funds. The
respective license agreements allow for the use by First Trust of each Fund's
respective index and of certain trademarks and trade names of the Licensor. The
Funds are sub-licensees to the applicable license agreements.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
First Trust is paid an annual unitary management fee of 0.80% of each Fund's
average daily net assets. First Trust is responsible for the expenses of each
Fund including the cost of transfer agency, custody, fund administration, legal,
audit and other services, including any compensation to Trustees, and excluding
Rule 12b-1 distribution and service fees, if any, brokerage expenses, taxes,
interest, and extraordinary expenses, which are paid by each respective Fund.
First Trust also provides fund reporting services to the Funds for a flat annual
fee in the amount of $9,250 per Fund, which is covered under the annual unitary
management fee.
During the year ended December 31, 2013, FEP, FDT, and FJP received a payment
from the Advisor of $42,521, $15,029 and $7,227, respectively, in connection
with a trade error. During the year ended December 31, 2012, FEM and FCA
received a payment from the Advisor of $5,335 and $787, respectively, in
connection with a trade error.
The Trust has multiple service agreements with BBH. Under the servicing
agreements, BBH performs custodial, fund accounting, certain administrative
services, and transfer agency services for the Trust. As custodian, BBH is
responsible for custody of the Trust's assets. As fund accountant and
administrator, BBH is responsible for maintaining the books and records of the
Trust's securities and cash. As transfer agent, BBH is responsible for
maintaining shareholder records for the Trust.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
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 served 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 December 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 Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 43,741,153 $ 29,165,530
First Trust Europe AlphaDEX(R) Fund 148,187,036 116,496,609
First Trust Latin America AlphaDEX(R) Fund 15,747,454 15,166,323
First Trust Brazil AlphaDEX(R) Fund 5,961,021 4,971,058
First Trust China AlphaDEX(R) Fund 6,578,980 6,633,887
First Trust Japan AlphaDEX(R) Fund 18,734,584 16,803,376
First Trust South Korea AlphaDEX(R) Fund 4,578,009 2,119,912
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 140,157,781 118,981,348
First Trust Emerging Markets AlphaDEX(R) Fund 297,902,537 254,943,371
First Trust Germany AlphaDEX(R) Fund 9,637,621 9,682,857
First Trust Canada AlphaDEX(R) Fund 16,123,147 16,211,468
First Trust Australia AlphaDEX(R) Fund 1,898,932 1,892,175
First Trust United Kingdom AlphaDEX(R) Fund 10,871,939 10,900,054
First Trust Taiwan AlphaDEX(R) Fund 1,070,069 1,073,848
First Trust Hong Kong AlphaDEX(R) Fund 1,272,832 1,275,703
First Trust Switzerland AlphaDEX(R) Fund 8,412,234 8,467,614
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 3,934,126 3,716,642
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 41,771,791 30,697,640
For the year ended December 31, 2013, the cost of in-kind purchases and proceeds
from in-kind sales for each Fund were as follows:
Purchases Sales
---------------- ----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 40,886,332 $ 12,577,491
First Trust Europe AlphaDEX(R) Fund 364,647,252 60,410,295
First Trust Latin America AlphaDEX(R) Fund 1,601,944 1,805,379
First Trust Brazil AlphaDEX(R) Fund -- --
First Trust China AlphaDEX(R) Fund 8,583,400 6,790,087
First Trust Japan AlphaDEX(R) Fund 104,042,668 10,973,337
First Trust South Korea AlphaDEX(R) Fund 162,737 --
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 96,819,226 79,226,158
First Trust Emerging Markets AlphaDEX(R) Fund 217,937,327 45,603,581
First Trust Germany AlphaDEX(R) Fund 41,111,479 3,333,258
First Trust Canada AlphaDEX(R) Fund 89,686,312 22,464,535
First Trust Australia AlphaDEX(R) Fund 1,590,567 3,223,345
First Trust United Kingdom AlphaDEX(R) Fund 25,319,575 8,588,457
First Trust Taiwan AlphaDEX(R) Fund -- --
First Trust Hong Kong AlphaDEX(R) Fund 3,623,791 1,780,757
First Trust Switzerland AlphaDEX(R) Fund 19,448,744 1,680,318
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 2,903,877 1,219,260
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 38,956,549 --
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013
5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares. In order to purchase Creation Units of a Fund, an
investor must deposit (i) a designated portfolio of equity securities determined
by First Trust (the "Deposit Securities") and generally make or receive a cash
payment referred to as the "Cash Component," which is an amount equal to the
difference between the NAV of the Fund shares (per Creation Unit aggregations)
and the market value of the Deposited Securities, and/or (ii) cash in lieu of
all or a portion of the Deposit Securities. If the Cash Component is a positive
number (i.e., the NAV per Creation Unit Aggregation exceeds the Deposit Amount),
the creator will deliver the Cash Component. If the Cash Component is a negative
number (i.e., the NAV per Creation Unit Aggregation is less than the Deposit
Amount), the creator will receive the Cash Component. Purchasers of Creation
Units must pay to BBH, as transfer agent, a creation fee (the "Creation
Transaction Fee") regardless of the number of Creation Units purchased in the
transaction. The Creation Transaction Fee may vary and is based on the
composition of the securities included in each Fund's portfolio and the
countries in which the transactions are settled. The Creation Transaction Fee
may increase or decrease as each Fund's portfolio is adjusted to conform to
changes in the composition of its corresponding index. The price for each
Creation Unit will equal the daily NAV per share times the number of shares in a
Creation Unit plus the fees described above and, if applicable, any operational
processing and brokerage costs, transfer fees or stamp taxes. When a Fund
permits an Authorized Participant to substitute cash or a different security in
lieu of depositing one or more of the requisite Deposit Securities, the
Authorized Participant may also be assessed an amount to cover the cost of
purchasing the Deposit Securities and/or disposing of the substituted
securities, including operational processing and brokerage costs, transfer fees,
stamp taxes, and part or all of the spread between the expected bid and offer
side of the market related to such Deposit Securities and/or substitute
securities.
Parties redeeming Creation Units must pay to BBH, as transfer agent, a
redemption transaction fee (the "Redemption Transaction Fee"), regardless of the
number of Creation Units redeemed in the transaction. The Redemption Transaction
Fee may vary and is based on the composition of the securities included in each
Fund's portfolio and the countries in which the transactions are settled. The
Redemption Transaction Fee may increase or decrease as each Fund's portfolio is
adjusted to conform to changes in the composition of its corresponding index.
Each Fund reserves the right to effect redemptions in cash. An Authorized
Participant may request a cash redemption in lieu of securities; however, each
Fund may, in its discretion, reject any such request.
The standard Creation Transaction Fees and the Redemption Transaction Fees for
each Fund are as follows:
Creation Redemption
Transaction Transaction
Fees Fees
---------------- ----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 3,500 $ 3,500
First Trust Europe AlphaDEX(R) Fund 4,000 4,000
First Trust Latin America AlphaDEX(R) Fund 2,500 2,500
First Trust Brazil AlphaDEX(R) Fund 2,500 2,500
First Trust China AlphaDEX(R) Fund 2,000 2,000
First Trust Japan AlphaDEX(R) Fund 1,000 1,000
First Trust South Korea AlphaDEX(R) Fund 1,500 1,500
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 5,500 5,500
First Trust Emerging Markets AlphaDEX(R) Fund 7,000 7,000
First Trust Germany AlphaDEX(R) Fund 1,000 1,000
First Trust Canada AlphaDEX(R) Fund 500 500
First Trust Australia AlphaDEX(R) Fund 1,200 1,200
First Trust United Kingdom AlphaDEX(R) Fund 500 500
First Trust Taiwan AlphaDEX(R) Fund 1,600 1,600
First Trust Hong Kong AlphaDEX(R) Fund 1,600 1,600
First Trust Switzerland AlphaDEX(R) Fund 1,000 1,000
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 9,000 9,000
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 9,000 9,000
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 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, no 12b-1 fees will be paid any time before May 31, 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 there
were no subsequent events requiring recognition or disclosure in the financial
statements.
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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 II:
We have audited the accompanying statements of assets and liabilities of First
Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund, First Trust Europe AlphaDEX(R)
Fund, First Trust Latin America AlphaDEX(R) Fund, First Trust Brazil AlphaDEX(R)
Fund, First Trust China AlphaDEX(R) Fund, First Trust Japan AlphaDEX(R) Fund,
First Trust South Korea AlphaDEX(R) Fund, First Trust Developed Markets Ex-US
AlphaDEX(R) Fund, First Trust Emerging Markets AlphaDEX(R) Fund, First Trust
Germany AlphaDEX(R) Fund, First Trust Canada AlphaDEX(R) Fund, First Trust
Australia AlphaDEX(R) Fund, First Trust United Kingdom AlphaDEX(R) Fund, First
Trust Taiwan AlphaDEX(R) Fund, First Trust Hong Kong AlphaDEX(R) Fund, First
Trust Switzerland AlphaDEX(R) Fund, First Trust Developed Markets ex-US Small
Cap AlphaDEX(R) Fund, and First Trust Emerging Markets Small Cap AlphaDEX(R)
Fund, each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund II (the
"Fund"), including the portfolios of investments, as of December 31, 2013, and
the related statements of operations for the year then ended, and the statements
of changes in net assets 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
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 December 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 II, as of December 31, 2013, and the results of their
operations for the year then ended, and the changes in their net assets and the
financial highlights for the periods presented, in conformity with accounting
principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
February 25, 2014
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ADDITIONAL INFORMATION
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 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
portfolio investments during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
the Fund's website located at http://www.ftportfolios.com; and (3) on the
Securities and Exchange Commission's ("SEC") website located at
http://www.sec.gov.
PORTFOLIO HOLDINGS
The Trust files its complete schedule of 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 Funds' 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 December 31, 2013, the following percentages of
income dividend paid by the Funds qualify for the dividends received deduction
available to corporations:
Dividends Received Deduction
------------------------------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund 0.00%
First Trust Europe AlphaDEX(R) Fund 0.00%
First Trust Latin America AlphaDEX(R) Fund 0.00%
First Trust Brazil AlphaDEX(R) Fund 0.00%
First Trust China AlphaDEX(R) Fund 0.00%
First Trust Japan AlphaDEX(R) Fund 0.00%
First Trust South Korea AlphaDEX(R) Fund 0.00%
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 0.00%
First Trust Emerging Markets AlphaDEX(R) Fund 0.00%
First Trust Germany AlphaDEX(R) Fund 0.00%
First Trust Canada AlphaDEX(R) Fund 0.00%
First Trust Australia AlphaDEX(R) Fund 0.00%
First Trust United Kingdom AlphaDEX(R) Fund 0.00%
First Trust Taiwan AlphaDEX(R) Fund 0.00%
First Trust Hong Kong AlphaDEX(R) Fund 0.00%
First Trust Switzerland AlphaDEX(R) Fund 0.00%
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 0.00%
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 0.00%
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013 (UNAUDITED)
For the taxable year ended December 31, 2013, the following percentage of income
dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income
------------------------------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund 32.15%
First Trust Europe AlphaDEX(R) Fund 83.81%
First Trust Latin America AlphaDEX(R) Fund 28.90%
First Trust Brazil AlphaDEX(R) Fund 0.00%
First Trust China AlphaDEX(R) Fund 45.74%
First Trust Japan AlphaDEX(R) Fund 100.00%
First Trust South Korea AlphaDEX(R) Fund 86.61%
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 83.65%
First Trust Emerging Markets AlphaDEX(R) Fund 66.00%
First Trust Germany AlphaDEX(R) Fund 100.00%
First Trust Canada AlphaDEX(R) Fund 83.71%
First Trust Australia AlphaDEX(R) Fund 100.00%
First Trust United Kingdom AlphaDEX(R) Fund 93.66%
First Trust Taiwan AlphaDEX(R) Fund 0.00%
First Trust Hong Kong AlphaDEX(R) Fund 0.00%
First Trust Switzerland AlphaDEX(R) Fund 100.00%
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 57.24%
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 29.04%
The following Funds meet the requirements of Section 853 of the Internal Revenue
Code and elect to pass through to their shareholders credit for foreign taxes
paid. The total amounts of income received by the Funds from sources within
foreign countries and possessions of the United States and of taxes paid to such
countries are as follows:
Gross Foreign Income Gross Foreign Taxes
------------------------------ ------------------------------
Amount Per Share Amount Per Share
------------------------------ ------------------------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 565,865 $ 0.28 $ 18,143 $ 0.02
First Trust Europe AlphaDEX(R) Fund 1,914,280 0.16 174,399 0.05
First Trust Latin America AlphaDEX(R) Fund 339,176 0.97 18,241 0.04
First Trust Brazil AlphaDEX(R) Fund 198,723 0.66 11,489 0.04
First Trust China AlphaDEX(R) Fund 191,450 0.96 7,238 0.03
First Trust Japan AlphaDEX(R) Fund 573,838 0.26 42,572 0.05
First Trust South Korea AlphaDEX(R) Fund 26,430 0.13 4,551 0.03
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 2,564,447 0.88 219,544 0.09
First Trust Emerging Markets AlphaDEX(R) Fund 5,502,550 0.41 385,933 0.06
First Trust Germany AlphaDEX(R) Fund 459,681 0.40 50,060 0.10
First Trust Canada AlphaDEX(R) Fund 1,142,403 0.53 171,301 0.11
First Trust Australia AlphaDEX(R) Fund 82,523 1.65 1,219 0.02
First Trust United Kingdom AlphaDEX(R) Fund 619,738 0.95 -- --
First Trust Taiwan AlphaDEX(R) Fund 46,161 0.92 -- --
First Trust Hong Kong AlphaDEX(R) Fund 64,459 0.64 -- --
First Trust Switzerland AlphaDEX(R) Fund 434,574 0.67 21,535 0.05
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 61,245 0.61 4,947 0.06
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 607,347 0.42 20,317 0.02
Page 138
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 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 II.
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. 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 an exchange may incur brokerage commissions. In
addition, investors who sell Fund shares may receive less than the shares' net
asset value. Unlike shares of open-end funds, investors are generally not able
to purchase shares directly from a Fund and individual shares are not
redeemable. However, specified large blocks of shares called creation units can
be purchased from, or redeemed to, the Fund.
Each Fund's 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.
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 the Fund's corresponding
Index.
Each Fund's return may not match the return of the Fund's corresponding Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Fund's corresponding Index. In addition, the Fund's
portfolio holdings may not exactly replicate the securities included in the
Fund's corresponding Index or the ratios between the securities included in the
Index.
Each Fund is exposed to additional market risk due to the Funds' policy of
investing principally in the securities included in each Fund's corresponding
Index. As a result of this policy, securities held by the Funds 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. Therefore, 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
Fund's corresponding Index.
Each Fund is classified as "non-diversified" under the Investment Company Act of
1940, as amended. As a result, each Fund is only limited as to the percentage of
its assets which may be invested in the securities of any one issuer by the
diversification requirements imposed by the Internal Revenue Code of 1986, as
amended.
Each Fund may invest a relatively high percentage of its assets in a limited
number of issuers. As a result, the Funds may be more susceptible to a single
adverse economic or regulatory occurrence affecting one or more of these
issuers, experience increased volatility and be highly concentrated in certain
issues.
The Funds rely on a license with the Index Provider that permits the Funds to
use the Index and associated trade names, trademarks and service marks in
connection with the name and investment strategies of the Funds. Such license
may be terminated by the Index Provider and, as a result, the Funds may lose
their ability to use the Intellectual Property. There is also no guarantee that
the Index Provider has all rights to license the Intellectual Property to First
Trust for use by the Funds. Accordingly in the event the license is terminated
or the Index Provider does not have rights to license the Intellectual Property,
it may have a significant effect on the operation of the Funds.
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 invests in securities of non-U.S. issuers, including non-U.S.
dollar-denominated securities traded outside of the United States and U.S.
dollar-denominated securities of non-U.S. issuers traded in the United States.
Such securities are subject to higher volatility than securities of domestic
issuers due to possible adverse political, social or economic developments;
restrictions on foreign investment or exchange of securities; lack of liquidity;
excessive taxation; government seizure of assets; different legal or accounting
standards and less government supervision and regulation of exchanges in foreign
countries. These risks may be heightened for securities of companies located in,
or with significant operations in, emerging market countries.
Each Fund may invest in Depositary Receipts, which may be less liquid than the
underlying shares in their primary trading market. Any distributions paid to the
holders of depositary receipts are usually subject to a fee charged by the
depositary. Holders of depositary receipts may have limited voting rights, and
investment restrictions in certain countries may adversely impact the value of
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013 (UNAUDITED)
depositary receipts because such restrictions may limit the ability to convert
equity shares into depositary receipts and vice versa. Such restrictions may
cause equity shares of the underlying issuer to trade at a discount or premium
to the market price of the depositary receipts.
The Funds are not actively managed. The Funds invests in securities included in
or representative of its Index regardless of their investment merit. The Funds
generally will not attempt to take defensive positions in declining markets.
Each Fund is subject to the risk of inflation, which 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.
Because each Fund's NAV is determined on the basis of U.S. dollars and the Funds
invest in foreign securities, you may lose money if the local currency of a
foreign market depreciates against the U.S. dollar, even if the local currency
value of a Fund's holdings goes up.
Certain of the Funds currently intend to effect a significant portion of
creations and redemptions for cash, rather than in-kind securities. As a result,
an investment in such a Fund may be less tax-efficient than an investment in a
more conventional exchange-traded fund. Exchange-traded funds are able to make
in-kind redemptions and avoid being taxed on gains on the distributed portfolio
securities at the Fund level. Because certain of the Funds currently intend to
effect a significant portion of redemptions for cash, rather than in-kind
distributions, they may be required to sell portfolio securities in order to
obtain the cash needed to distribute redemption proceeds. Any recognized gains
on these sales by such a Fund will generally cause the Fund to recognize gains
it might not otherwise have recognized, or to recognize such gains sooner than
would otherwise be required if it were to distribute portfolio securities
in-kind. Such Funds generally intend to distribute these gains to shareholders
to avoid being taxed on these gains at the Fund level and otherwise comply with
the special tax rules that apply to it. This strategy may cause shareholders to
be subject to tax on gains they would not otherwise be subject to, or at an
earlier date than if they had made an investment in a different exchange-traded
fund. Moreover, cash transactions may have to be carried out over several days
if the securities market is relatively illiquid and may involve considerable
brokerage fees and taxes. These brokerage fees and taxes, which will be higher
than if a Fund sold and redeemed its shares principally in-kind, will be passed
on to purchasers and redeemers of Creation Units in the form of creation and
redemption transaction fees. Brazil may also impose higher local tax rates on
transactions involving certain companies. In addition, these factors may result
in wider spreads between the bid and the offered prices of a Fund's shares than
for more conventional exchange-traded funds.
The First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund invests in securities
issued by companies operating in the Asia Pacific region. The Fund is more
susceptible to the economic, market, regulatory, political, natural disasters
and local risks of the Asia Pacific region than a fund that is more
geographically diversified. The region has historically been highly dependent on
global trade, with nations taking strong roles in both the importing and
exporting of goods; such a relationship creates a risk with this dependency on
global growth. The respective stock markets tend to have a larger prevalence of
smaller companies that are inherently more volatile and less liquid than larger
comparables. Varying levels of accounting and disclosure standards, restrictions
on foreign ownership, minority ownership rights, and corporate governance
standards are also common for the region. The Fund invests heavily in companies
operating in South Korea and Hong Kong. The South Korean economy is dependent on
the economies of Asia and the United States as key trading partners. Reduction
in spending by these economies on South Korean products and services or negative
changes in any of these economies, mainly in China or Southeast Asia, may cause
an adverse impact on the South Korean economy. Also, the political tensions with
North Korea could escalate and lead to further uncertainty in the political and
economic climate on the Korean peninsula. Hong Kong companies are subject to
risks related to Hong Kong's political and economic environment and the
volatility of and the concentration of real estate companies listed on the Hong
Kong Stock Exchange. Because of Hong Kong's reversion to China, any increase in
uncertainty as to the economic and political status of Hong Kong or a
deterioration of the relationship between China and the United States, could
have negative implications on stocks listed on the Hong Kong Stock Exchange.
Securities prices on the Hong Kong Stock Exchange, and specifically the Hang
Seng Index, can be highly volatile and are sensitive to developments in Hong
Kong and China, as well as other world markets.
The First Trust Europe AlphaDEX(R) Fund invests in securities issued by
companies operating in Europe. The Fund is therefore subject to certain risks
associated specifically with Europe. A significant number of countries in Europe
are member states in the European Union (the "EU"), and the member states no
longer control their own monetary policies by directing independent interest
rates for their currencies. In these member states, the authority to direct
monetary policies, including money supply and official interest rates for the
Euro, is exercised by the European Central Bank. In addition, European
corporations, and other entities with significant markets or operations in
Europe (whether or not in the participating countries), face strategic
challenges as these entities adapt to a single transnational currency. The Euro
conversion may have a material impact on revenues, expenses or income from
operations; increase competition due to the increased price transparency of EU
markets; affect issuers' currency exchange rate risk and derivatives exposure;
disrupt current contracts; cause issuers to increase spending on information
technology updates required for the conversion; and result in potential adverse
tax consequences.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013 (UNAUDITED)
The First Trust Latin America AlphaDEX(R) Fund invests in securities issued by
companies operating in Latin America. The Fund is therefore subject to certain
risks associated specifically with this region. The value of Fund shares may be
adversely affected by political, economic, and social instability; inadequate
investor protection; changes in laws or regulations of countries within Latin
America; international relations with other nations; natural disasters;
corruption and military activity. The economies of many Latin American countries
differ from the economies of more developed countries in many respects. Certain
Latin American countries are highly dependent upon and may be affected by
developments in the United States, Europe and other Latin American economies.
The Fund invests heavily in companies operating in Brazil. Brazil has
experienced substantial economic instability resulting from, among other things,
periods of very high inflation, persistent structural public sector deficits and
significant devaluations of its currency leading also to a high degree of price
volatility in both the Brazilian equity and foreign currency markets. Brazilian
companies may also be adversely affected by high interest and unemployment
rates, and are particularly sensitive to fluctuations in commodity prices.
Brazilian securities may also be subject to restrictions on foreign investment
or exchange of securities; lack of liquidity; excessive taxation; government
seizure of assets; different legal or accounting standards and less government
supervision and regulation of exchanges than in the United States.
The First Trust Brazil AlphaDEX(R) Fund invests in companies that are operating
in Brazil. Brazil has experienced substantial economic instability resulting
from, among other things, periods of very high inflation, persistent structural
public sector deficits and significant devaluations of its currency leading also
to a high degree of price volatility in both the Brazilian equity and foreign
currency markets. Brazilian companies may also be adversely affected by high
interest and unemployment rates, and are particularly sensitive to fluctuations
in commodity prices. Brazilian securities may also be subject to restrictions on
foreign investment or exchange of securities; lack of liquidity; excessive
taxation; government seizure of assets; different legal or accounting standards
and less government supervision and regulation of exchanges than in the United
States. These risks may be heightened for securities of companies located in, or
with significant operations in, an emerging market country like Brazil.
The First Trust China AlphaDEX(R) Fund may invest in H shares, depositary
receipts and U.S.-listed common stock of companies that are domiciled in China,
including Hong Kong. Some Chinese companies are listed on both the Hong Kong
Stock Exchange with H shares and the Shanghai Stock Exchange with A shares.
Price differentials between H shares and A shares of the same company may be
significant. Also, price fluctuations of A shares are limited to either 5% or
10% per trading day, while no such limitations exist for H shares. Therefore, H
shares may be susceptible to greater price fluctuations. Investing in securities
of companies in China involves additional risks, including, but not limited to:
the economy of China differs, often unfavorably, from the U.S. economy in such
respects as structure, general development, government involvement, wealth
distribution, rate of inflation, growth rate, allocation of resources and
capital reinvestment, among others; the central government has historically
exercised substantial control over virtually every sector of the Chinese economy
through administrative regulation and/or state ownership; and actions of the
Chinese central and local government authorities continue to have a substantial
effect on economic conditions in China. Furthermore, China's economy is
dependent on the economies of other Asian countries and can be significantly
affected by currency fluctuations and increasing competition from Asia's other
low-cost emerging economies. Chinese securities may also be subject to greater
restrictions on foreign investment or exchange of securities; lack of liquidity;
excessive taxation; government seizure of assets; different legal or accounting
standards and less government supervision and regulation of exchanges than in
the United States. These risks may be heightened for securities of companies
located in, or with significant operations in, an emerging market country like
China.
The First Trust Japan AlphaDEX(R) Fund, First Trust Developed Markets Ex-US
AlphaDEX(R) Fund, First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund
and First Trust Emerging Markets Small Cap AlphaDEX(R) Fund invest in common
stock of companies operating in Japan. Because Japan's economy and equity market
share a strong correlation with the U.S. markets, the Japanese economy may be
affected by economic problems in the U.S. Japan also has a growing economic
relationship with China and other Southeast Asian countries, and thus Japan's
economy may also be affected by economic, political or social instability in
those countries. Despite a strengthening in the economic relationship between
Japan and China, the countries' political relationship has at times been
strained in recent years. Should political tension increase, it could adversely
affect the economy and destabilize the region as a whole. Japan also remains
heavily dependent on oil imports, and higher commodity prices could therefore
have a negative impact on the economy. Japanese securities may also be subject
to lack of liquidity; excessive taxation; government seizure of assets;
different legal or accounting standards and less government supervision and
regulation of exchanges than in the United States. Furthermore, the natural
disasters that have impacted Japan and the ongoing recovery efforts have had a
negative affect on Japan's economy, and may continue to do so.
The First Trust South Korea AlphaDEX(R) Fund invests in common stock of
companies that are domiciled in South Korea. The South Korean economy is
dependent on the economies of Asia and the United States as key trading
partners. Reduction in spending by these economies on South Korean products and
services or negative changes in any of these economies, mainly in China or
Southeast Asia, may cause an adverse impact on the South Korean economy.
Furthermore, South Korea's economy is also dependent on the economies of other
Asian countries and can be significantly affected by currency fluctuations and
increasing competition from Asia's other low-cost emerging economies. Also, the
political tensions with North Korea could escalate and lead to further
uncertainty in the political and economic climate on the Korean peninsula. South
Korean securities may also be subject to restrictions on foreign investment or
exchange of securities; lack of liquidity; excessive taxation; government
seizure of assets; different legal or accounting standards and less government
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013 (UNAUDITED)
supervision and regulation of exchanges than in the United States. These risks
may be heightened for securities of companies located in, or with significant
operations in, an emerging market country like South Korea.
The First Trust Germany AlphaDEX(R) Fund invests in securities of companies that
are domiciled or operating in Germany. Investing in securities of German
companies involves additional risks, including, but not limited to: significant
demographic challenges to sustained long-term growth; low fertility rates and
declining net immigration putting pressure on the country's social welfare
system; and the costly and time-consuming modernization and integration of the
eastern German economy. Additionally, the European sovereign-debt crisis has
resulted in a weakened Euro and has put into question the future financial
prospects of Germany and the surrounding region.
The First Trust Canada AlphaDEX(R) Fund invests in securities issued by
companies that are domiciled or operating in Canada. Investing in securities of
Canadian companies may involve additional risks. The Canadian and U.S. economies
are closely integrated and Canada therefore relies on significant investment
from U.S. sources. As a major producer of forest products, metals, agricultural
products and energy-related products, Canada is very dependent on the demand
for, and supply and price of, natural resources, and the Canadian market is
relatively concentrated in issuers involved in the production and distribution
of natural resources. Continued demands by the Province of Quebec for
sovereignty could significantly affect the Canadian market, particularly if such
demands are met. In addition, a small number of industries represent a large
portion of the Canadian market.
The First Trust Australia AlphaDEX(R) Fund invests in securities issued by
companies that are domiciled or operating in Australia. Investing in securities
of Australian companies may involve additional risks. The Australian economy is
heavily dependent on the Asian, European and U.S. markets. Reduced spending by
any of these economies on Australian products may adversely affect the
Australian market. Additionally, Australia is located in a geographic region
that has historically been prone to natural disasters. The occurrence of a
natural disaster in the region could negatively impact the Australian economy
and affect the value of the securities held by the Fund.
The First Trust United Kingdom AlphaDEX(R) Fund invests in securities issued by
companies that are domiciled or operating in a country that is part of the
United Kingdom (i.e., England, Ireland, Scotland and Wales) and is therefore
subject to certain risks associated with the United Kingdom and Europe as a
whole. The United Kingdom is a member of the European Union ("EU"), and
consequently, is a part of one of the largest common markets in the world.
However, the continued implementation of the EU provisions and recent rapid
political and social change throughout Europe make the extent and nature of
future economic development in the United Kingdom and the rest of Europe and
their effect on securities issued by United Kingdom companies impossible to
predict. Despite the fact that the United Kingdom did not convert to the Euro,
the European sovereign debt crisis has resulted in a weakened Euro and has put
into question the future financial prospects of the United Kingdom and the
surrounding region.
The First Trust Taiwan AlphaDEX(R) Fund invests in securities issued by
companies that are domiciled or operating in the Taiwan. Certain characteristics
of Taiwan's economy and geographic location also subject the Fund to certain
risks. Taiwan is a small island state with few raw material resources and
limited land area and thus it relies heavily on imports for its commodity needs.
Any fluctuations or shortages in the commodity markets could have a negative
impact on the Taiwanese economy. Also, rising labor costs and increasing
environmental consciousness have led some labor-intensive industries to relocate
to countries with cheaper work forces, and continued labor outsourcing may
adversely affect the Taiwanese economy. Taiwan's economy also is intricately
linked with economies of other Asian countries, which are often emerging market
economies that often experience over-extensions of credit, frequent and
pronounced currency fluctuations, devaluations and restrictions, rising
unemployment and fluctuations in inflation. Political and social unrest in other
Asian countries could cause further economic and market uncertainty in Taiwan.
In particular, the Taiwanese economy is dependent on the economies of Japan and
China, and also the United States, and a reduction in purchases by any of them
of Taiwanese products and services or negative changes in their economies would
likely have an adverse impact on the Taiwanese economy. Taiwan's geographic
proximity to the People's Republic of China and Taiwan's history of political
contention with China have resulted in ongoing tensions with China, including
the continual risk of military conflict with China. These tensions may
materially affect the Taiwanese economy and securities markets.
The First Trust Hong Kong AlphaDEX(R) Fund invests in securities issued by
companies that are domiciled or operating in Hong Kong and is therefore subject
to certain risks associated specifically with Hong Kong, including Hong Kong's
political and economic environment and the volatility of and the concentration
of real estate companies listed on the Hong Kong Stock Exchange. Because of Hong
Kong's reversion to China, any increase in uncertainty as to the economic and
political status of Hong Kong or a deterioration of the relationship between
China and the United States, could have negative implications on stocks listed
on the Hong Kong Stock Exchange. Securities prices on the Hong Kong Stock
Exchange can be highly volatile and are sensitive to developments in Hong Kong
and China, as well as other world markets.
The First Trust Switzerland AlphaDEX(R) Fund invests in securities issued by
companies that are domiciled or operating in Switzerland and is therefore
subject to certain risks associated with Switzerland and Europe as a whole.
Although Switzerland is not a member of the EU, the Swiss economy is dependent
on the economies of other European nations as key trading partners. Any
Page 142
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013 (UNAUDITED)
reduction in spending by other European countries could have a negative effect
on the Swiss economy. Additionally, the European sovereign-debt crisis has
resulted in a weakened Euro and has put into question the future financial
prospects of the surrounding region. The ongoing implementation of the EU
provisions and Euro conversion process may materially impact revenues, expenses
or income and increase competition for other European companies, which could
have an effect on the Swiss economy, and in turn, the securities in which the
Fund invests.
Funds may be more susceptible to any single economic, political or regulatory
occurrence affecting one or more of these and to the issuers, experience
increased volatility and be highly concentrated in certain issues.
Each Fund invests in securities of non-U.S. issuers. Investing in securities of
non-U.S. issuers, which are generally denominated in non-U.S. currencies, may
involve certain risks not typically associated with investing in securities of
U.S. issuers. Some of these risks may include, but are not limited to, the
following: (i) there may be less publicly available information about non-U.S.
issuers or markets due to less rigorous disclosure or accounting standards or
regulatory practices; (ii) non-U.S. markets may be smaller, less liquid and more
volatile than the U.S. market; (iii) potential adverse effects of fluctuations
in currency exchange rates or controls on the value of a Fund's investments;
(iv) the economies of non-U.S. countries may grow at slower rates than expected
or may experience a downturn or recession; (v) the impact of economic,
political, social or diplomatic events; (vi) certain non-U.S. countries may
impose restrictions on the ability of non-U.S. issuers to make distribution
payments to investors located in the United States due to blockage of non-U.S.
currency exchanges or otherwise; and (vii) withholding and other non-U.S. taxes
may decrease a Fund's return. These risks may be more pronounced to the extent
that a Fund invests a significant amount of its assets in companies located in
one country.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 143
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BOARD OF TRUSTEES AND OFFICERS
-------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 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 OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton Orthopedics; 105 None
c/o First Trust Advisors L.P. Co-Owner and Co-Director (January 1996
120 East Liberty Drive, o Since Inception to May 2007), Sports Med Center for
Suite 400 Fitness; Limited Partner, Gundersen Real
Wheaton, IL 60187 Estate Limited Partnership; Member,
D.O.B.: 04/51 Sportsmed LLC
Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to Present), Senior 105 Director of ADM
c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services,
120 East Liberty Drive, o Since Inception (May 2007 to March 2010), Vice President Inc. and ADM
Suite 400 and Chief Financial Officer (1990 to May Investor Services,
Wheaton, IL 60187 2007), ADM Investor Services, Inc. (Futures International
D.O.B.: 11/57 Commission Merchant)
Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 105 Director of Trust
c/o First Trust Advisors L.P. Enterprises (Financial and Management Company of
120 East Liberty Drive, o Since Inception Consulting) Illinois
Suite 400
Wheaton, IL 60187
D.O.B.: 11/56
Niel B. Nielson, Trustee o Indefinite Term President and Chief Executive Officer (June 105 Director of
c/o First Trust Advisors L.P. 2012 to Present), Dew Learning LLC Covenant
120 East Liberty Drive, o Since Inception (Educational Products and Services); President Transport Inc.
Suite 400 (June 2002 to June 2012), Covenant College
Wheaton, IL 60187
D.O.B.: 03/54
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee o Indefinite Term Chief Executive Officer (December 2010 105 None
and Chairman of the Board to Present), President (until December
120 East Liberty Drive, o Since Inception 2010), First Trust Advisors L.P. and First
Suite 400 Trust Portfolios L.P.; Chairman of the
Wheaton, IL 60187 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 Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
Page 144
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 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(2)
------------------------------------------------------------------------------------------------------------------------------------
Mark R. Bradley President and Chief o Indefinite Term Chief Operating Officer (December 2010 to Present)
120 E. Liberty Drive, Executive Officer and Chief Financial Officer, First Trust Advisors
Suite 400 o Since January 2012 L.P. and First Trust Portfolios L.P.; Chief Financial
Wheaton, IL 60187 Officer, BondWave LLC (Software Development
D.O.B.: 11/57 Company/Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)
James M. Dykas Treasurer, Chief o Indefinite Term Controller (January 2011 to Present), Senior Vice
120 E. Liberty Drive, Financial Officer and President (April 2007 to Present), Vice
Suite 400 Chief Accounting Officer o Since January 2012 President (January 2005 to April 2007), First Trust
Wheaton, IL 60187 Advisors L.P. and First Trust Portfolios L.P.
D.O.B.: 01/66
W. Scott Jardine Secretary and Chief Legal o Indefinite Term General Counsel, First Trust Advisors L.P. and First
120 E. Liberty Drive, Officer Trust Portfolios L.P.; Secretary and General
Suite 400 o Since Inception Counsel, BondWave LLC (Software Development
Wheaton, IL 60187 Company/Investment Advisor); Secretary of
D.O.B.: 05/60 Stonebridge Advisors LLC (Investment Advisor)
Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), Senior
120 E. Liberty Drive, Vice President (September 2005 to July 2012), First
Suite 400 o Since Inception Trust Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 02/70
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
120 E. Liberty Drive, and Assistant Secretary and First Trust Portfolios L.P.
Suite 400 o Since Inception
Wheaton, IL 60187
D.O.B.: 12/66
Roger F. Testin Vice President o Indefinite Term Senior Vice President (November 2003 to Present),
120 E. Liberty Drive, Vice President (August 2001 to November 2003),
Suite 400 o Since Inception First Trust Advisors L. P. and First Trust Portfolios
Wheaton, IL 60187 L.P.
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 Portfolios
Wheaton, IL 60187 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 145
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2013 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
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 within First Trust.
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 146
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FIRST TRUST
First Trust Exchange-Traded AlphaDEX(R) Fund II
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
Brown Brothers Harriman & Co.
50 Post Office Square
Boston, MA 02110
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 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 $423,000 for the fiscal
year ended December 31, 2012, and $423,000 for fiscal year ended December 31,
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 $0 for the fiscal year ended December 31, 2012, and $0 for the fiscal
year ended December 31, 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 $7,000 for the fiscal period
ended December 31, 2011 and $0 for the fiscal year ended December 31, 2012.
These fees were related to Seed Audit.
(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 $36,000
for the fiscal year ended December 31, 2012, and $72,000 for the fiscal year
ended December 31, 2013.
Tax Fees (Investment Adviser and Distributor) -- 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 the fiscal period ended December 31, 2012 and $0 for the
fiscal year ended December 31, 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 the fiscal period ended December 31, 2012,
and $0 for the fiscal year ended December 31, 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 the fiscal period ended December 31, 2012, and $0 for the
fiscal year ended December 31, 2013.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval
Policy, the Audit Committee (the "Committee") is responsible for the
pre-approval of all audit services and permitted non-audit services (including
the fees and terms thereof) to be performed for the Registrant by its
independent auditors. The Chairman of the Committee authorized to give such
pre-approvals on behalf of the Committee up to $25,000 and report any such
pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent
auditor's engagements for non-audit services with the Registrant's 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 the de minimis exception, the
Committee will consider whether the provision of such non-audit services is
compatible with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b)
through (d) for the Registrant and the Registrant's investment adviser of this
Item that were approved by the audit committee pursuant to the pre-approval
exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X are as follows:
(b) 0%
(c) 0%
(d) 0%
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most recent
fiscal year that were attributed to work performed by persons other than the
principal accountant's full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's investment
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 the fiscal period
ended December 31, 2012 were $36,000 for the Registrant, $4,120 for the
Registrant's investment adviser and $65,135 for the Registrant's distributor,
and for the fiscal year ended December 31, 2013 were $72,000 for the Registrant,
$38,000 for the Registrant's investment adviser and $58,100 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
consisting of all the independent directors of the Registrant. 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 trustees, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3 (c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this
paragraph, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the 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 II
--------------------------------------------------------
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: February 26, 2014
--------------------
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: February 26, 2014
--------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: February 26, 2014
--------------------
* Print the name and title of each signing officer under his or her signature.