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, 2014
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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, 2014
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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)
First Trust Eurozone AlphaDEX(R) ETF (FEUZ)
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, 2014
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
First Trust Eurozone AlphaDEX(R) ETF (FEUZ)............................. 40
Notes to Fund Performance Overview.......................................... 42
Understanding Your Fund Expenses............................................ 43
Portfolio of Investments
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund (FPA)................ 45
First Trust Europe AlphaDEX(R) Fund (FEP)............................... 48
First Trust Latin America AlphaDEX(R) Fund (FLN)........................ 53
First Trust Brazil AlphaDEX(R) Fund (FBZ)............................... 55
First Trust China AlphaDEX(R) Fund (FCA)................................ 57
First Trust Japan AlphaDEX(R) Fund (FJP)................................ 59
First Trust South Korea AlphaDEX(R) Fund (FKO).......................... 63
First Trust Developed Markets Ex-US AlphaDEX(R) Fund (FDT).............. 65
First Trust Emerging Markets AlphaDEX(R) Fund (FEM)..................... 71
First Trust Germany AlphaDEX(R) Fund (FGM).............................. 76
First Trust Canada AlphaDEX(R) Fund (FCAN).............................. 79
First Trust Australia AlphaDEX(R) Fund (FAUS)........................... 81
First Trust United Kingdom AlphaDEX(R) Fund (FKU)....................... 83
First Trust Taiwan AlphaDEX(R) Fund (FTW)............................... 85
First Trust Hong Kong AlphaDEX(R) Fund (FHK)............................ 87
First Trust Switzerland AlphaDEX(R) Fund (FSZ).......................... 89
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund (FDTS)... 91
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund (FEMS).......... 98
First Trust Eurozone AlphaDEX(R) ETF (FEUZ)............................. 103
Statements of Assets and Liabilities........................................ 106
Statements of Operations.................................................... 110
Statements of Changes in Net Assets......................................... 114
Financial Highlights........................................................ 122
Notes to Financial Statements............................................... 135
Report of Independent Registered Public Accounting Firm..................... 146
Additional Information...................................................... 147
Board of Trustees and Officers ............................................. 156
Privacy Policy.............................................................. 158
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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, 2014
Dear Shareholders:
I am pleased to present you with the annual report for your investment in First
Trust Exchange-Traded AlphaDEX(R) Fund II (the "Trust"). This report provides
detailed information about the Trust, including a performance review and the
financial statements for the 12 months ended December 31, 2014. I encourage you
to read this document and discuss it with your financial advisor.
Although markets have seemed choppy over the past 12 months, the U.S. has shown
sustained growth over the period. In fact, the S&P 500(R) Index, as measured on
a total return basis, rose 13.69% in the time covered by this report. First
Trust Advisors L.P. ("First Trust") believes that staying invested in quality
products through different types of markets can benefit investors over the long
term.
First Trust is pleased to offer a variety of products that we believe could fit
the financial plans for many investors seeking long-term investment success. We
invite you to look at our investment products with your financial advisor to
determine if any of them might fit your financial goals. We believe that
regularly discussing your financial objectives and investment options with your
financial advisor can help keep you on track.
First Trust will continue to make available up-to-date information about your
investments so you and your financial advisor are current on any First Trust
investments you own. We value our relationship with you, and thank you for the
opportunity to assist you in achieving your financial goals.
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, 2014
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 24 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
The current U.S. economic recovery is 66 months old (June 2009 - December 2014).
From June 2009 - December 2014, U.S. GDP growth averaged 2.2%, according to the
Bureau of Economic Analysis. Following what had been characterized as a
weather-induced slowdown in the first quarter of 2014 (GDP was -2.1%
annualized), the rate of GDP growth bounced back markedly in the second quarter
(GDP was +4.6% annualized) and in the third quarter (GDP was +5.0% annualized).
The U.S. GDP forecast for 2015 from the International Monetary Fund ("IMF")
calls for a 3.1% growth rate, which is stronger than the 2.2% growth rate posted
so far in the current economic recovery. The last time U.S. GDP growth was 3.0%
or higher was in 2005 (3.3%). The IMF sees the global economy growing by 3.8% in
2015, up from an estimate of 3.3% in 2013. The last time global growth exceeded
5.0% was in 2010, when the global economy expanded by a rate of 5.4%. The IMF
still expects growth to be higher (+5.0%) in the emerging and developing
markets, which has been the case for the past decade.
In 2014, 376 initial public offerings ("IPOs") were priced worldwide, up 24%
from last year, according to data from Renaissance Capital. Companies raised
$231.7 billion via global IPOs, up 65% from last year. Merger-and-acquisition
("M&A") activity was also robust. Through the first nine months of 2014,
Dealogic data showed that global M&A volume was up 39% year-over-year to over
$2.5 trillion, according to The Wall Street Journal. Activity is on pace to make
2014 the second biggest year on record behind the $4.3 trillion registered in
2007.
The steep decline in the price of crude oil will likely negatively impact
oil-producing economies, but benefit those countries that import a lot of oil,
in our opinion. Three countries (Saudi Arabia, Venezuela and Canada) account for
nearly 33% of the world's 1.635 trillion barrels of proven oil reserves,
according to 24/7 Wall St. Of the 216 nations spanning the globe, only 99 have
any oil reserves at all, according to the U.S. Energy Information Administration
("EIA"). According to data from the EIA, the following 10 nations have only a
combined 1.673 billion barrels of proven oil reserves (enough to meet global
demand for a little more than two weeks): Japan (44 million barrels); Germany
(232 million barrels); France (90 million barrels); Italy (560 million barrels);
South Korea (None); Spain (150 million barrels); Netherlands (302 million
barrels); Turkey (295 million barrels); Switzerland (None); and Sweden (None).
These 10 nations rank in the top 22 worldwide in terms of GDP, according to data
from the IMF and CIA World Factbook.
PERFORMANCE OF FOREIGN STOCKS AND BONDS
The U.S. dollar ("USD") rose 12.79% against a basket of major currencies in
2014, as measured by the U.S. Dollar Index. The entire move up came in the
second half of the year. That strong of a move certainly had a major impact on
the returns for those U.S. investors holding foreign securities. Foreign bond
indices generated modest returns in 2014. The Barclays EM Hard Currency
Aggregate Index of emerging markets debt posted a total return of 3.13% (USD),
while the Barclays Global Aggregate Index of higher quality debt rose by 0.59%
(USD). Foreign equities did not perform as well. The MSCI Emerging Markets Index
of stocks posted a total return of -2.19% (USD), while the MSCI World Index
(excluding the U.S.) posted a total return of -4.32% (USD).
Despite all of the challenging geopolitical events and the headwinds created by
the rally in the U.S. dollar, investors continued to funnel capital into foreign
equity mutual funds and exchange-traded funds ("ETFs") in 2014. International
Equity funds and ETFs reported combined net inflows totaling $144.15 billion,
with Diversified Emerging Market funds accounting for $12.25 billion of that
total, according to Morningstar.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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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.
On or about April 14, 2015, the Fund will seek investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the NASDAQ AlphaDEX(R) Asia Pacific Ex-Japan
Index (the "New Index"). The New Index is a modified equal dollar-weighted index
calculated by The NASDAQ OMX Group, Inc., based on select securities from the
NASDAQ Asia Pacific ex-Japan Index that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Accordingly, after the Fund changes to the New Index, the shares of
the Fund will cease to be listed on NYSE Arca and instead be listed and trade on
The NASDAQ(R) Stock Market, LLC. See Note 8 for further information.
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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)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV 4.23% 0.99% 3.73%
Market Price 3.17% 1.02% 3.84%
INDEX PERFORMANCE
Defined Asia Pacific Ex-Japan Index 4.18% 1.72% 6.52%
S&P Asia Pacific Ex-Japan BMI Index -3.58% 0.29% 1.10%
MSCI Pacific ex-Japan Index -0.47% 2.29% 8.74%
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(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of 4.23% during the 12-month
period covered by this report. During the same period, the MSCI Pacific ex-Japan
Index ("benchmark") generated a return of -0.47%. Despite a -8.6% currency
headwind, Australia was the top-contributing country in the Fund with a 2.1%
contribution. The Fund's Australian holdings comprised an average of 19.5% of
the Fund's weight and had a local currency return of 16.0%, but a U.S. Dollar
("USD") return of 6.1%. The country's Industrials sector was a source of
performance strength with a USD return of 24.0%. Hong Kong was the second-best
contributor to the Fund's return with a 2.0% contribution. The Fund's holdings
domiciled in the country comprised 30.6% of the Fund's average weight and had a
USD return of 8.3%. The country's Financials sector was the source of the solid
performance. Within the sector, the Fund's Real Estate Management & Development
holdings returned 15.0% and contributed 1.9% to the Fund's return. Relative to
its benchmark, the Fund outperformed. Australia was the primary source of
outperformance as the Fund's holdings from the country returned 6.1% vs. -3.4%
for the benchmark. The Energy sector was one cause of the performance difference
in the country. The Fund's Australian Energy holdings returned 47.0% in USD
terms vs. -18.0% for the benchmark.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (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, 2014
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% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 37.4%
Industrials 18.7
Consumer Discretionary 10.7
Utilities 8.2
Telecommunication Services 5.4
Consumer Staples 5.0
Information Technology 4.8
Materials 4.5
Energy 3.8
Health Care 1.5
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Total 100.0%
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TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
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% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Goldin Financial Holdings Ltd. 2.1%
Caltex Australia Ltd. 2.0
CJ Korea Express Co., Ltd. 1.9
Power Assets Holdings Ltd. 1.9
Link REIT 1.9
Kerry Properties Ltd. 1.9
Samsung Electronics Co., Ltd. 1.8
Cheung Kong Holdings Ltd. 1.8
Keppel REIT 1.7
Scentre Group 1.7
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Total 18.7%
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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
6/30/14 10,878 11,073 11,168 11,735
12/31/14 10,374 10,653 10,112 10,875
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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, 2014
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, 2014. 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
1/1/14 - 12/31/14 98 36 0 0
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NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
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
1/1/14 - 12/31/14 83 32 3 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.
On or about April 14, 2015, the Fund will seek investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the NASDAQ AlphaDEX(R) Europe Index (the
"New Index"). The New Index is a modified equal dollar-weighted index calculated
by The NASDAQ OMX Group, Inc., based on select securities from the NASDAQ Europe
Index that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) selection methodology. Accordingly,
after the Fund changes to the New Index, the shares of the Fund will cease to be
listed on NYSE Arca and instead be listed and trade on The NASDAQ(R) Stock
Market, LLC. See Note 8 for further information.
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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)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -8.90% 2.64% 10.15%
Market Price -10.08% 2.55% 9.78%
INDEX PERFORMANCE
Defined Europe Index -7.79% 3.75% 14.60%
S&P Europe BMI Index -5.67% 5.04% 19.98%
MSCI Europe Index -6.18% 4.53% 17.82%
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(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -8.90% during the 12-month period covered by
this report. During the same period, the MSCI Europe Index ("benchmark")
generated a return of -6.18%. The Fund's return faced currency headwinds as the
USD's strengthening against the underlying currencies of the Fund's holdings
contributed -11.5% to the Fund's return. Italy was the worst contributor to the
Fund's total return with a -2.4% contribution. On average, the country comprised
9.5% of the Fund's weight and the Fund's holdings had a USD return of -10.7%.
Germany was the second-worst contributor to the Fund's return with a -0.9%
contribution. The Fund's German holdings comprised an average of 9.7% of the
Fund's weight and returned -15.0% in USD terms. Though many countries had
positive returns in their local currency, only a few had positive returns in USD
terms. Denmark was the best-contributor to the Fund return with a contribution
of 0.3%. The Fund's holdings from the country had a USD return of 9.0% and had
an average weight in the Fund of 3.0%. Relative to its benchmark, the Fund
underperformed.
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, 2014
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% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 32.1%
Consumer Discretionary 12.9
Industrials 11.3
Materials 11.1
Health Care 8.8
Consumer Staples 6.6
Energy 4.7
Telecommunication Services 4.5
Utilities 4.2
Information Technology 3.8
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Total 100.0%
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TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
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% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Dixons Carphone PLC 1.0%
Societe Television Francaise 1 1.0
Great Portland Estates PLC 0.9
Shaftesbury PLC 0.9
Axel Springer SE 0.9
Topdanmark A.S. 0.9
British Land Co., PLC 0.9
Derwent London PLC 0.9
Royal Mail PLC 0.9
Ashtead Group PLC 0.9
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Total 9.2%
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PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2014
First Trust Europe Defined Europe S&P Europe MSCI Europe
AlphaDEX(R) Fund Index BMI Index 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
6/30/14 12,802 13,190 13,462 13,248
12/31/14 11,016 11,459 11,997 11,784
---------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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 69 60 21 3
1/1/12 - 12/31/12 71 110 49 1
1/1/13 - 12/31/13 70 152 22 1
1/1/14 - 12/31/14 147 25 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%
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
1/1/14 - 12/31/14 69 9 1 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.
On or about April 14, 2015, the Fund will seek investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the NASDAQ AlphaDEX(R) Latin America Index
(the "New Index"). The New Index is a modified equal dollar-weighted index
calculated by The NASDAQ OMX Group, Inc., based on select securities from the
NASDAQ Latin America Index that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Accordingly, after the Fund changes to the New Index, the shares of
the Fund will cease to be listed on NYSE Arca and instead be listed and trade on
The NASDAQ(R) Stock Market, LLC. See Note 8 for further information.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/18/11) Inception (4/18/11)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -15.80% -8.60% -28.34%
Market Price -16.39% -8.72% -28.70%
INDEX PERFORMANCE
Defined Latin America Index -14.99% -7.30% -24.49%
S&P Latin America BMI Index -12.77% -9.45% -30.76%
MSCI EM Latin America Index -12.30% -9.89% -32.00%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -15.80% during the 12-month period covered by
this report. During the same period, the MSCI EM Latin America Index
("benchmark") generated a return of -12.30%. The Fund's return faced currency
headwinds as the USD's strengthening against the underlying currencies of the
Fund's holdings contributed -10.3% to the Fund's return. Brazil was the
heaviest-weighted country with the Fund with an average weight of 61.2%. Due to
the Fund's large exposure to the country, Brazil was the worst-contributing
country with a -5.8% contribution to return, even though it wasn't the
worst-performing country, with a USD return of -11.0%. Brazil's return was
brought down by its exposure to steel companies, which only had an average
weight in the Fund of 3.1%, but contributed -2.4% to return due to USD returns
of -57.2%. Mexico was the second-worst contributing country in the Fund with a
-4.1% contribution to return. The Fund's holdings domiciled in the country
comprised 20.2% of the Fund's average weight and returned -13.6% in USD terms.
Within the country the Industrials sector was a source of weakness, returning
-24.7% in USD terms and contributing -2.4% to the Fund's return. Colombia was
the worst-performing country in the Fund. The Fund's holdings domiciled in
Colombia returned -32.8%, but due to its low average Fund weight of 5.5%, the
country's contribution to return was limited to -1.1%. Relative to its
benchmark, the Fund underperformed. The Brazilian Financials sector was the
largest source of underperformance. Within Brazil's sector, the Fund's holdings
had a USD return of -1.6% vs. 5.3% for the benchmark. The performance difference
was mostly caused by the Fund being underweight in large diversified banks which
performed well over the period.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 21.9%
Utilities 20.2
Consumer Staples 14.9
Industrials 13.3
Materials 11.1
Telecommunication Services 11.0
Consumer Discretionary 5.0
Energy 2.6
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
JBS S.A. 4.5%
Cia Paranaense de Energia (Preference
Shares) 4.0
Corpbanca S.A. 3.8
Embrarer S.A. 3.7
Fibra Uno Administracion S.A. de C.V. 3.6
Suzano Papel e Celulose S.A. (Preference
Shares) 3.4
Cia Energetica de Minas Gerais (Preference
Shares) 3.2
Cia de Saneamento Basico do Estado de
Sao Paulo 3.2
Porto Seguro S.A. 3.2
Compartamos S.A.B. de C.V. 3.0
------
Total 35.6%
======
---------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2014
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
6/30/14 8,969 9,434 8,446 8,312
12/31/14 7,165 7,549 6,924 6,801
---------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 79 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
4/19/11 - 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
1/1/14 - 12/31/14 146 24 3 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 (4/18/11) Inception (4/18/11)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -16.40% -13.16% -40.73%
Market Price -17.37% -13.22% -40.88%
INDEX PERFORMANCE
Defined Brazil Index -15.53% -12.15% -38.11%
S&P Brazil BMI Index -15.27% -13.76% -42.20%
MSCI Brazil Index -14.04% -14.10% -43.05%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -16.40% during the 12-month period covered by
this report. During the same period, the MSCI Brazil Index ("benchmark")
generated a return of -14.04%. The Fund's return faced currency headwinds as the
USD's strengthening against the Brazilian Real contributed -10.1% to the Fund's
return. The Materials sector was the worst-contributing sector in the Fund with
a -5.6% contribution to return. The Fund's holdings in the sector comprised an
average of 14.5% of the Fund's weight and retuned -36.6% in USD terms.
Particular weakness came from the Steel industry, where the Fund's holdings
returned -54.4% in USD terms. The Telecommunications sector was the second-worst
contributor to the Fund's return with a -4.0% contribution to return. The sector
comprised an average of 9.2% of the Fund's weight and returned -38.1% in USD
terms. Oi S.A. (Preference Shares) was a particularly weak performer from the
sector with a USD return of -78.7%. Relative to its benchmark, the Fund
underperformed. Most of the underperformance came from the weak-performing
Telecommunications sector where the Fund was overweight relative to the
benchmark 9.2% vs. 2.9% (average weight).
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 26.9%
Consumer Discretionary 17.7
Utilities 13.2
Industrials 8.7
Materials 8.3
Consumer Staples 7.6
Telecommunication Services 6.3
Information Technology 4.0
Health Care 3.8
Energy 3.5
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Kroton Educacional S.A. 4.4%
BB Seguridade Participacoes S.A. 4.4
Cielo S.A. 4.0
Banco Bradesco S.A. (Preference Shares) 3.9
WEG S.A. 3.8
Itausa - Investimentos Itau S.A.
(Preference Shares) 3.8
Qualicorp S.A. 3.8
Estacio Participacoes S.A. 3.6
CETIP S.A. - Mercados Organizados 3.6
Cia Energetica de Minas Gerais (Preference
Shares) 3.6
------
Total 38.9%
======
---------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2014
First Trust Brazil Defined Brazil S&P Brazil MSCI Brazil
AlphaDEX(R) Fund 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
6/30/14 7,535 7,846 7,483 7,320
12/31/14 5,927 6,189 5,782 5,694
---------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 119 16 3 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 14 4 1 0
1/1/12 - 12/31/12 107 8 1 0
1/1/13 - 12/31/13 16 3 2 0
1/1/14 - 12/31/14 98 10 5 1
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 (4/18/11) Inception (4/18/11)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -1.68% -4.94% -17.12%
Market Price -1.61% -4.72% -16.42%
INDEX PERFORMANCE
Defined China Index 0.04% -4.00% -14.02%
S&P China BMI Index 5.90% 1.51% 5.72%
MSCI China Index 7.96% 1.69% 6.39%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -1.68% during the 12-month period covered by
this report. During the same period, the MSCI China Index ("benchmark")
generated a return of 7.96%. The Financials sector led all other sectors in the
Fund in contribution to return with a 2.4% contribution. The Fund's holdings
from the sector comprised 25.6% of the Fund's average weight and returned 4.5%
in USD terms. The Consumer Discretionary sector was the worst-contributing
sector in the Fund with a -3.5% contribution. The Fund's holdings from the
sector returned -31.9% in USD terms and comprised an average of 8.4% of the
Fund's weight. Within the sector, the Automobile Manufacturing industry was
particularly weak with a -35.2% return in USD terms. Relative to its benchmark,
the Fund underperformed. The Financials sector was the cause of most of the
underperformance. Within the sector, the Fund's holdings returned 4.5% vs. 19.8%
in USD terms for the benchmark's constituents. The cause of the performance
difference in the sector was caused by the Fund being underweight in large
diversified banks, which performed well, and overweight in real estate
development companies, which performed poorly, relative to the benchmark.
Additional underperformance came from the Information Technology sector where
the Fund's holdings had a USD return of -10.0% vs. 13.5% for the benchmark.
Almost all of the benchmark's technology allocation was in Tencent Holdings
Ltd., which had a USD return of 14.0%. The Fund's larger exposure to technology
companies other than Tencent Holdings caused the sector's underperformance.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 34.7%
Industrials 14.1
Information Technology 11.4
Consumer Discretionary 8.1
Telecommunication Services 8.0
Energy 7.6
Materials 7.1
Health Care 4.6
Utilities 4.4
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
China Communications Construction Co.,
Ltd., Class H 4.5%
China CITIC Bank Corp., Ltd., Class H 3.3
Evergrande Real Estate Group Ltd. 3.3
Vipshop Holdings Ltd., ADR 3.3
Guangzhou R&F Properties Co., Ltd.,
Class H 3.1
Baidu, Inc., ADR 3.1
CITIC Ltd. 3.1
Lenovo Group Ltd. 3.0
China Telecom Corp., Ltd., Class H 3.0
China Hongqiao Group Ltd. 2.9
------
Total 32.6%
======
----------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2014
First Trust China Defined China S&P China MSCI China
AlphaDEX(R) Fund 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
6/30/14 7,814 8,015 9,903 9,789
12/31/14 8,287 8,595 10,570 10,640
----------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 76 56 8 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%
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
1/1/14 - 12/31/14 72 31 7 0
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 (4/18/11) Inception (4/18/11)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -1.22% 4.42% 17.39%
Market Price -2.32% 4.47% 17.59%
INDEX PERFORMANCE
Defined Japan Index 0.16% 5.03% 19.94%
S&P Japan BMI Index -3.34% 5.87% 23.54%
MSCI Japan Index -4.02% 5.63% 22.50%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -1.22% during the 12-month period covered by
this report. During the same period, the MSCI Japan Index ("benchmark")
generated a return of -4.02%. The Fund's return faced currency headwinds as the
USD's strengthening against the Japanese Yen contributed -12.8% to the Fund's
return. By sector, Materials was the best contributor with a 1.4% contribution
to the Fund's return. The Fund's holdings from the sector had an average weight
in the Fund of 14.6% and had a strong local return of 25.3%, which was tempered
to 9.9% in USD terms. The sector's solid performance came largely from its
exposure to the Chemicals industry, which returned 18.2% in USD terms. The
Financials sector was the worst contributor to the Fund's return with a -1.6%
contribution to return. Within the sector, the Fund's holdings returned -23.8%
in USD terms with an average weight in the Fund of 5.5%. Relative to its
benchmark, the Fund outperformed. The Industrials and Materials sectors were the
major sources of the outperformance. In the Industrials sector, the Fund's
holdings outperformed the benchmark's constituents 6.3% vs. -1.2% in USD terms.
The Fund was overweight in the Materials sector (14.6% vs. 6.0% average weight)
and outperformed (9.9% vs. 3.1% USD return) relative to the benchmark.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Industrials 28.9%
Consumer Discretionary 26.5
Materials 17.2
Information Technology 13.0
Energy 3.6
Telecommunication Services 3.0
Financials 2.7
Utilities 2.1
Health Care 1.8
Consumer Staples 1.2
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Minebea Co., Ltd. 2.3%
Koito Manufacturing Co., Ltd. 2.1
Japan Airlines Co., Ltd. 1.9
Brother Industries Ltd. 1.8
Yokohama Rubber (The) Co., Ltd. 1.8
Asics Corp. 1.8
Sumitomo Rubber Industries Ltd. 1.8
Seiko Epson Corp. 1.7
Tokyo Electric Power Co., Inc. 1.7
Asahi Kasei Corp. 1.7
------
Total 18.6%
======
----------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2014
First Trust Japan Defined Japan S&P Japan MSCI Japan
AlphaDEX(R) Fund 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
6/30/14 12,385 12,469 12,992 12,851
12/31/14 11,740 11,993 12,354 12,251
----------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 84 54 4 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%
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
1/1/14 - 12/31/14 69 32 5 1
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 (4/18/11) Inception (4/18/11)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -13.60% -4.76% -16.52%
Market Price -14.63% -4.52% -15.76%
INDEX PERFORMANCE
Defined South Korea Index -12.15% -3.64% -12.84%
S&P South Korea BMI Index -9.19% -1.76% -6.38%
MSCI South Korea Index -11.12% -2.72% -9.72%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -13.60% during the 12-month period covered by
this report. During the same period, the MSCI South Korea Index ("benchmark")
generated a return of -11.12%. The Consumer Discretionary sector was the
worst-contributing sector to the Fund's return with a -5.6% contribution. It was
the heaviest-weighted sector with an average weight of 19.8% and returned -25.3%
in USD terms. The Industrials sector was the next-worst contributor with a -3.5%
contribution to return. The Fund's holdings from the sector comprised 17.6% of
the Fund's average weight and returned -16.4% in USD terms. Within the sector,
the Construction and Engineering industry had a particularly low return of
-46.0% in USD terms. Not far behind the Industrials sector, the Materials
sector's contribution also rounded to -3.5%. The sector comprised 10.0% of the
Fund's average weight and returned -30.4% in USD terms. One bright spot in the
Fund's returns was its exposure to the Consumer Staples sector which returned
46.1% in USD terms. The sector's returns were boosted by Personal Products
company, AmorePacific Group, Inc., which returned 105.8% in USD terms. Even
though the Fund's holdings in the Consumer Staples sector had strong returns,
the sector's contribution to return was limited to 1.2% due to the sector's low
average weight in the Fund of 8.7%. Relative to its benchmark, the Fund
underperformed. Most of the underperformance came from the Consumer
Discretionary sector where the Fund's holdings returned -25.3% vs. -19.3% for
the benchmark's constituents (in USD terms).
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 22.5%
Industrials 19.3
Information Technology 16.2
Consumer Staples 13.6
Telecommunication Services 8.0
Materials 7.9
Financials 5.7
Utilities 4.4
Energy 2.4
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
AMOREPACIFIC Group 4.6%
Amorepacific Corp. 4.0
Samsung Electronics Co., Ltd. 3.5
LG Uplus Corp. 3.5
SK Hynix, Inc. 3.4
Kia Motors Corp. 3.2
SK Telecom Co., Ltd. 3.2
Korea Electric Power Corp. 3.2
CJ Corp. 3.1
CJ CheilJedang Corp. 3.1
------
Total 34.8%
======
-------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2014
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
6/30/14 9,680 9,993 10,785 10,569
12/31/14 8,347 8,716 9,361 9,027
-------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 78 23 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%
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
1/1/14 - 12/31/14 104 36 9 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.
On or about April 14, 2015, the Fund will seek investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the NASDAQ AlphaDEX(R) Developed Markets
Ex-US Index (the "New Index"). The New Index is a modified equal dollar-weighted
index calculated by The NASDAQ OMX Group, Inc., based on select securities from
the NASDAQ Developed ex United States Index that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)
selection methodology. Accordingly, after the Fund changes to the New Index, the
shares of the Fund will cease to be listed on NYSE Arca and instead be listed
and trade on The NASDAQ(R) Stock Market, LLC. See Note 8 for further
information.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/18/11) Inception (4/18/11)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -5.98% 0.79% 2.97%
Market Price -6.39% 0.93% 3.48%
INDEX PERFORMANCE
Defined Developed Markets Ex-US Index -4.71% 1.85% 7.04%
S&P Developed Markets Ex-US BMI Index -4.29% 3.73% 14.55%
MSCI World Ex-US Index -4.32% 3.89% 15.18%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -5.98% during the 12-month period covered by
this report. During the same period, the MSCI World Ex-US Index ("benchmark")
generated a return of -4.32%. The Fund's return faced currency headwinds as the
USD's strengthening against the underlying currencies of the Fund's holdings
contributed -9.8% to the Fund's return. Italy was the worst-contributing country
to the Fund's return with a -1.2% contribution. The Fund's holdings domiciled in
the country had a USD return of -15.9% and comprised an average of 4.3% of the
Fund's weight. The Financials sector was the heaviest-weighted sector within the
Fund's Italian holdings and it returned -13.6% in USD terms. South Korea was the
next-worst contributing country in the Fund with a -0.8% contribution to the
Fund's return. The Fund's holdings domiciled in the country comprised 8.8% of
the Fund's average weight and returned -6.4%. Within the country, the Consumer
Discretionary sector was a source of weakness returning -14.1% in USD terms and
contributing -0.6% to the Fund's return. Relative to its benchmark, the Fund
underperformed. The largest source of underperformance was Italy, where the Fund
was overweight (4.3% vs. 2.1% average weight) and underperformed (-15.9% vs.
-8.8% USD returns), relative to the benchmark.
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, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 24.5%
Industrials 17.5
Consumer Discretionary 17.2
Materials 9.8
Information Technology 9.7
Consumer Staples 6.8
Energy 6.2
Utilities 3.4
Telecommunication Services 2.6
Health Care 2.3
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Dixons Carphone PLC 0.7%
Societe Television Francaise 1 0.7
Caltex Australia Ltd. 0.7
Koito Manufacturing Co., Ltd. 0.7
CJ Korea Express Co., Ltd. 0.6
NOK Corp. 0.6
Alps Electric Co., Ltd. 0.6
Great Portland Estates PLC 0.6
Power Assets Holdings Ltd. 0.6
Link REIT 0.6
------
Total 6.4%
======
----------------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2014
First Trust
Developed Markets Ex-US Defined Developed S&P Developed Markets MSCI World
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
6/30/14 11,442 11,755 12,652 12,689
12/31/14 10,297 10,704 11,453 11,519
----------------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 103 59 3 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
1/1/14 - 12/31/14 70 17 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.
On or about April 14, 2015, the Fund will seek investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the NASDAQ AlphaDEX(R) Emerging Markets
Index (the "New Index"). The New Index is a modified equal dollar-weighted index
calculated by The NASDAQ OMX Group, Inc., based on select securities from the
NASDAQ Emerging Markets Index that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Accordingly, after the Fund changes to the New Index, the shares of
the Fund will cease to be listed on NYSE Arca and instead be listed and trade on
The NASDAQ(R) Stock Market, LLC. See Note 8 for further information.
--------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/18/11) Inception (4/18/11)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -10.04% -5.59% -19.21%
Market Price -10.90% -5.57% -19.13%
INDEX PERFORMANCE
Defined Emerging Markets Index -8.58% -4.42% -15.43%
S&P Emerging Markets BMI Index 0.37% -2.10% -7.55%
MSCI Emerging Markets Index -2.19% -2.64% -9.42%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -10.04% during the 12-month period covered by
this report. During the same period, the MSCI Emerging Markets Index
("benchmark") generated a return of -2.19%. Despite a small average Fund weight
of 2.6%, Russia was the worst-contributing country in the Fund as its hard-hit
energy companies and currency dragged the country's return in the Fund down to
-52.5% in USD terms and caused a contribution of -1.7%. China was the next-worst
contributing country with a -1.5% contribution. It was the heaviest-weighted
country in the Fund with a 28.3% average weight and the Fund's holdings from the
country returned -2.3% in USD terms. The country's return in the Fund was hurt
by its Financials holdings return of -13.9% in USD terms. Relative to its
benchmark, the Fund underperformed. China was the primary source of the Fund's
underperformance. Within the country, the Fund underperformed the benchmark in
the Financials sector (-13.9% vs. 21.2% USD returns) and the Information
Technology sector (-23.4% vs. 12.8% USD returns). The underperformance in the
Chinese Financials sector was caused by the Fund being overweight in Real Estate
Management & Development companies, which performed poorly, and underweight in
large diversified banks, which performed well. In the Chinese Information
Technology sector, the Fund underperformed because most of the benchmark's
weight was in Tencent Holdings, Ltd., which had a USD return of 14.0%.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 29.2%
Materials 12.2
Industrials 10.3
Energy 8.4
Information Technology 8.3
Utilities 7.9
Telecommunication Services 7.3
Consumer Discretionary 6.4
Consumer Staples 5.5
Health Care 4.5
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Guangzhou R&F Properties Co., Ltd.,
Class H 1.5%
Alrosa AO 1.4
PICC Property & Casualty Co., Ltd.,
Class H 1.4
JBS S.A. 1.4
Far East Horizon Ltd. 1.3
Sanlam Ltd. 1.3
Westports Holdings Bhd 1.3
SOHO China Ltd. 1.2
GT Capital Holdings, Inc. 1.2
Sinopharm Group Co., Ltd., Class H 1.2
------
Total 13.2%
======
----------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 18, 2011 - DECEMBER 31, 2014
First Trust
Emerging Markets Defined Emerging S&P Emerging MSCI Emerging
AlphaDEX(R) Fund Markets Index Markets 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
6/30/14 9,280 9,606 9,887 9,828
12/31/14 8,079 8,457 9,247 9,057
----------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 95 57 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%
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
1/1/14 - 12/31/14 61 33 2 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 (2/14/12) Inception (2/14/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -11.60% 8.53% 26.58%
Market Price -13.23% 8.35% 25.98%
INDEX PERFORMANCE
Defined Germany Index -10.90% 9.12% 28.55%
S&P Germany BMI Index -9.88% 10.68% 33.89%
MSCI Germany Index -10.36% 10.58% 33.55%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -11.60% during the 12-month period covered by
this report. During the same period, the MSCI Germany Index ("benchmark")
generated a return of -10.36%. The Fund's return faced currency headwinds as the
USD's strengthening vs. the Euro contributed -12.4% to the Fund's return. Most
sectors in the Fund had a positive local return, but in USD terms only the
Financials sector stayed in positive territory, with a 5.9% USD return. This
caused the Financials sector to have the only positive contribution to total
return, but the contribution was limited to 0.5% due to the sector's low average
Fund weight of 7.6%. The Consumer Discretionary sector was the heaviest-weighted
in the Fund with a 26.7% average weight. The Fund's holdings in the sector had a
slightly positive local return, but in USD terms returned -11.8% and contributed
-4.0% to the Fund's return. Relative to its benchmark, the Fund underperformed.
The leading cause of the underperformance was the Health Care sector, where the
Fund's holdings returned -4.9% in USD terms vs. 1.2% in USD terms for the
benchmark's Health Care constituents. An underweight position in Pharmaceutical
companies caused the Fund to lag within the sector.
Page 22
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 24.4%
Materials 18.3
Industrials 15.7
Financials 9.7
Health Care 9.3
Telecommunication Services 7.3
Information Technology 6.7
Utilities 5.6
Consumer Staples 3.0
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Deutsche Telekom AG 4.7%
Celesio AG 4.7
Rhoen Klinikum AG 4.6
ThyssenKrupp AG 4.5
Evonik Industries AG 4.3
Porsche Automobil Holding SE (Preference
Shares) 4.0
Fielmann AG 3.9
Daimler AG 3.7
Infineon Technologies AG 3.5
Volkswagen AG (Preference Shares) 3.5
------
Total 41.4%
======
-------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2014
First Trust Germany Defined Germany S&P Germany MSCI Germany
AlphaDEX(R) Fund 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
6/30/14 14,701 14,786 15,141 15,095
12/31/14 12,659 12,855 13,389 13,358
-------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 130 9 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 45 8 1 0
1/1/13 - 12/31/13 49 3 0 0
1/1/14 - 12/31/14 106 7 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 (2/14/12) Inception (2/14/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -10.86% 3.58% 10.67%
Market Price -11.30% 3.50% 10.43%
INDEX PERFORMANCE
Defined Canada Index -10.08% 4.34% 12.99%
S&P Canada BMI Index -0.09% 2.52% 7.42%
MSCI Canada Index 1.50% 3.69% 10.98%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -10.86% during the 12-month period covered by
this report. During the same period, the MSCI Canada Index ("benchmark")
generated a return of 1.50%. Weakening of the Canadian Dollar against the USD
contributed -8.1% to the Fund's return. By sector, Energy was worst contributor
with a -12.7% contribution to return. The sector was the worst-performing in the
Fund with a return of -23.8% in USD terms and it was the heaviest-weighted
sector in the Fund with a 26.3% average weight. The Consumer Discretionary
sector was the best-performing and top-contributing sector in the Fund with a
28.4% USD return and a 3.0% contribution to return. Most of the sector's
performance came from Auto Components companies, Linamar Corp. (52.9% USD
return) and Magna International, Inc. (34.5% USD return). Relative to its
benchmark, the Fund underperformed. The underperformance came mostly from the
Energy sector where the Fund's holdings returned -23.8% vs. -10.8% for the
benchmark's Energy constituents (in USD terms).
Page 24
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Energy 32.2%
Materials 18.3
Financials 15.5
Consumer Discretionary 13.0
Consumer Staples 8.1
Industrials 5.0
Utilities 4.4
Information Technology 3.5
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
CCL Industries, Inc. Class B 6.0%
Linamar Corp. 5.5
Magna International, Inc. 5.2
WestJet Airlines Ltd. 5.0
Boardwalk Real Estate Investment Trust 4.6
Saputo, Inc. 4.3
Dream Office Real Estate Investment Trust 4.2
Gibson Energy, Inc. 3.9
Genworth MI Canada, Inc. 3.8
West Fraser Timber Co., Ltd. 3.8
------
Total 46.3%
======
---------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2014
First Trust Canada Defined Canada S&P Canada MSCI Canada
AlphaDEX(R) Fund 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
6/30/14 13,402 13,630 12,091 12,201
12/31/14 11,067 11,298 10,743 11,098
---------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 159 4 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
1/1/14 - 12/31/14 88 0 1 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 (2/14/12) Inception (2/14/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV 1.47% 3.54% 10.53%
Market Price 1.27% 3.55% 10.57%
INDEX PERFORMANCE
Defined Australia Index 2.65% 4.36% 13.06%
S&P Australia BMI Index -4.51% 2.50% 7.37%
MSCI Australia Index -3.41% 4.37% 13.11%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 1.47% during the 12-month period covered by
this report. During the same period, the MSCI Australia Index ("benchmark")
generated a return of -3.41%. Weakening of the Australian Dollar against the USD
contributed -8.5% to the Fund's return. By sector, Financials led the way with a
3.8% contribution to return. The Fund's holdings from the sector returned 13.9%
in USD terms and comprised an average of 32.9% of the Fund's weight. Real estate
investment trusts ("REITs") were responsible for much of the sector's
performance as the industry had a 16.4% average Fund weight and returned 25.8%
in USD terms. The Industrials sector was the top-performing and second-best
contributing sector. The Fund's holdings in the sector comprised 14.3% of the
Fund's weight and returned 19.0% in USD terms resulting in a 2.2% contribution
to return. Poor returns from the Metals & Mining industry dragged down the
return of the Fund's holdings in the Materials sector. The sector was the worst
contributing in the Fund with a contribution of -2.1% on a return of -13.2% in
USD terms. About half of the Fund's Materials exposure was in the Metals &
Mining industry, which returned -21.0% in USD terms. Relative to its benchmark,
the Fund outperformed. The Financials sector was responsible for much of the
Fund's outperformance. The Fund's holdings in the sector returned 13.9% in USD
terms vs. 2.7% for the benchmark. An overweight position in the
strong-performing REIT industry (16.4% vs. 6.8% average weight) was the cause of
the performance gap in the sector. Additional outperformance came from the
Industrials sector where the Fund was overweight (14.3% vs. 5.6% average weight)
and outperformed the benchmark constituents (19.0% vs. 7.3% USD return).
Page 26
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 36.4%
Materials 19.4
Industrials 15.3
Energy 9.3
Utilities 8.3
Consumer Staples 3.8
Consumer Discretionary 3.2
Healthcare 2.9
Information Technology 1.4
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Lend Lease Group 5.0%
Federation Centres 4.6
Leighton Holdings Ltd. 4.5
Incitec Pivot Ltd. 4.4
Alumina Ltd. 4.2
Dexus Property Group 4.2
AMP Ltd. 4.1
Westfield Corp. 4.0
Caltex Australia Ltd. 3.8
Toll Holdings Ltd. 3.7
------
Total 42.5%
======
--------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2014
First Trust Australia Defined Australia S&P Australia MSCI Australia
AlphaDEX(R) Fund 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
6/30/14 12,109 12,262 12,203 12,749
12/31/14 11,053 11,304 10,737 11,312
--------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 131 15 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 34 8 0 0
1/1/13 - 12/31/13 62 12 0 0
1/1/14 - 12/31/14 96 9 1 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 (2/14/12) Inception (2/14/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -4.53% 13.00% 42.17%
Market Price -5.78% 12.96% 42.02%
INDEX PERFORMANCE
Defined United Kingdom Index -2.50% 14.75% 48.57%
S&P United Kingdom BMI Index -5.01% 9.07% 28.36%
MSCI United Kingdom Index -5.39% 7.52% 23.21%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -4.53% during the 12-month period covered by
this report. During the same period, the MSCI United Kingdom Index ("benchmark")
generated a return of -5.39%. The Energy sector was the worst contributor to the
Fund's return with a -2.2% contribution. The Fund's holdings from the sector
comprised 7.7% of the Fund's average weight and returned -34.8% in USD terms.
Falling energy prices hit Oil & Gas Exploration & Production companies
particularly hard as the Fund's holdings in the industry returned -54.3%. The
Industrials sector was the second-worst contributing sector with a -1.9%
contribution to return. Within the sector, the Fund's holdings returned -13.7%
and comprised 14.3% of the Fund's average weight. The Air Freight & Logistics
industry was a particular weak point in the sector with a -29.4% return in USD
terms. The Financials sector was the best of only a few sectors which made
positive contributions to the Fund's return. For the period, the Fund's
Financials holdings comprised 33.3% of the Fund's average weight and returned
5.4% in USD terms resulting in a 1.6% contribution to return. In total, the
Fund's currency exposure detracted -5.9% from the Fund's return. Relative to its
benchmark, the Fund outperformed. The Financials sector was the main source of
outperformance as the Fund was overweight the sector (33.3% vs. 22.3% average
weight) and outperformed within the sector (5.4% vs. -5.3% USD return).
Page 28
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 38.1%
Consumer Discretionary 15.4
Industrials 12.2
Health Care 8.4
Consumer Staples 6.4
Utilities 4.7
Energy 4.3
Materials 4.2
Telecommunication Services 3.2
Information Technology 3.1
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Carphone Warehouse Group PLC 3.1%
Shaftesbury PLC 2.6
Hikma Pharmaceuticals PLC 2.5
Great Portland Estates PLC 2.5
Vodafone Group PLC 2.4
Derwent London PLC 2.4
Capital & Counties Properties PLC 2.4
British Land Co., PLC 2.4
Legal & General Group PLC 2.4
Bunzl PLC 2.3
------
Total 25.0%
======
-------------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2014
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
6/30/14 15,136 15,595 14,168 13,695
12/31/14 14,216 14,854 12,835 12,320
-------------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 118 102 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%
2/15/12 - 12/31/12 9 2 0 0
1/1/13 - 12/31/13 17 0 0 0
1/1/14 - 12/31/14 25 2 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 (2/14/12) Inception (2/14/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV 15.13% 8.75% 27.31%
Market Price 14.01% 8.69% 27.13%
INDEX PERFORMANCE
Defined Taiwan Index 17.27% 10.27% 32.48%
S&P Taiwan BMI Index 5.20% 6.54% 19.99%
MSCI Taiwan Index 9.36% 7.60% 23.47%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 15.13% during the 12-month period covered by
this report. During the same period, the MSCI Taiwan Index ("benchmark")
generated a return of 9.36%. The Information Technology sector was responsible
for all of the Fund's positive performance. The Fund's holdings in the sector
had an average Fund weight of 65.9% and had a USD return of 32.2%, resulting in
an 18.2% contribution to return. Within the sector, the Semiconductor industry
made a particularly large contribution. The Fund's holdings in the industry
comprised 21.8% of the Fund's average weight and returned 48.0% to contribute
8.6% to the Fund's return. The Consumer Discretionary, Financials, Industrials,
and Materials sectors pulled back the Fund's return by contributing -0.9%,
-0.9%, -0.8%, and -0.8% to return, respectively. Relative to its benchmark, the
Fund outperformed. The outperformance came from the Information Technology
sector where the Fund was overweight (65.9% vs. 56.7% average weight) and
outperformed (32.2% vs. 20.6% USD returns) relative to the benchmark. Within the
sector, the Semiconductor industry was a leading source of the performance gap
with the Fund's holdings returning 48.0% vs. 22.7% (USD returns) for the
benchmark. Inotera Memories, Inc. was a leading individual stock from the
industry. The holding returned 112.6% while it was held in the Fund during this
reporting period.
Page 30
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Information Technology 67.9%
Financials 7.6
Materials 7.3
Consumer Discretionary 6.9
Industrials 6.0
Telecommunication Services 3.5
Consumer Staples 0.8
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
AU Optronics Corp. 5.3%
Innolux Corp. 4.6
Nanya Technology Corp. 4.3
Pegatron Corp. 4.2
Largan Precision Co., Ltd. 4.1
Far Eastern New Century Corp. 4.1
Foxconn Technology Co., Ltd. 4.1
United Microelectronics Corp. 4.1
Advanced Semiconductor Engineering, Inc. 4.0
Inotera Memories, Inc. 3.8
------
Total 42.6%
======
--------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2014
First Trust Taiwan Defined Taiwan S&P Taiwan MSCI Taiwan
AlphaDEX(R) Fund Index BMI Index Index
2/14/12 10000 10000 10000 10000
6/30/12 9263 9200 9129 9195
12/31/12 10070 10111 10158 10353
6/30/13 10323 10481 10365 10496
12/31/13 11057 11297 11406 11291
6/30/14 13180 13553 12591 12591
12/31/14 12731 13248 11999 12348
--------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 88 27 3 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 36 8 0 1
1/1/13 - 12/31/13 78 33 6 1
1/1/14 - 12/31/14 87 37 7 3
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 (2/14/12) Inception (2/14/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV 1.63% 11.48% 36.75%
Market Price 0.35% 11.32% 36.18%
INDEX PERFORMANCE
Defined Hong Kong Index 3.10% 12.86% 41.62%
S&P Hong Kong BMI Index 2.84% 8.57% 26.67%
MSCI Hong Kong Index 5.07% 10.10% 31.90%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
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 MSCI Hong Kong Index ("benchmark")
generated a return of 5.07%. The Financials sector was the top-contributing
sector to the Fund's return with a 6.7% contribution. The Fund's holdings in the
sector comprised 50.0% of the Fund's average weight and returned 13.8% in USD
terms. The Consumer Discretionary sector was the worst-contributing sector with
a contribution of -4.4%. The Fund's holdings in the sector returned -15.0% in
USD terms and comprised 21.0% of the Fund's average weight. Relative to the
benchmark, the Fund underperformed. The Utilities sector was the main cause of
underperformance. In general terms, the Utilities sector had solid returns
during the reporting period and the Fund's relative return was harmed by being
underweight the sector relative to the benchmark (4.6% vs. 11.7% average
weight). The Fund's relative return in the Utilities sector was also hurt by a
large position in ENN Energy Holdings Ltd. which returned -23.0% while held in
the Fund. This caused the Fund's return within the Utilities sector to
underperform the benchmark's Utilities holdings -12.0% vs. 17.4%. Some
additional underperformance was caused by the Fund being underweight in the
strong-performing Financials sector (50.0% vs. 59.6%).
Page 32
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 52.4%
Consumer Discretionary 12.9
Industrials 12.8
Telecommunication Services 8.9
Materials 3.5
Energy 3.4
Information Technology 2.3
Utilities 2.3
Consumer Staples 1.5
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
PCCW Ltd. 5.0%
Kerry Properties Ltd. 4.5
Techtronic Industries Co. 4.4
Wharf Holdings Ltd. 4.4
Hysan Development Co., Ltd. 4.2
Chinese Estates Holdings Ltd. 4.1
Link REIT 4.1
Wheelock & Co., Ltd. 3.9
HKT Trust and HKT Ltd. 3.9
New World China Land Ltd. 3.5
------
Total 42.0%
======
-----------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2014
First Trust Hong Kong Defined Hong S&P Hong Kong MSCI Hong
AlphaDEX(R) Fund Kong Index BMI Index Kong 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
6/30/14 13,520 13,851 12,830 13,133
12/31/14 13,674 14,161 12,666 13,191
-----------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 76 81 24 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%
2/15/12 - 12/31/12 43 11 0 0
1/1/13 - 12/31/13 51 31 3 1
1/1/14 - 12/31/14 45 19 6 0
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 (2/14/12) Inception (2/14/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -5.06% 10.89% 34.66%
Market Price -6.09% 10.82% 34.41%
INDEX PERFORMANCE
Defined Switzerland Index -4.15% 11.80% 37.83%
S&P Switzerland BMI Index 0.87% 14.02% 45.85%
MSCI Switzerland Index -0.09% 13.48% 43.88%
--------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -5.06% during the 12-month period covered by
this report. During the same period, the MSCI Switzerland Index ("benchmark")
generated a return of -0.09%. The USD strengthening versus the Swiss Franc was a
major source of negative performance. For the reporting period, the Fund's
currency exposure detracted -10.7% from the Fund's return. The Consumer
Discretionary sector was the worst sector in the Fund, in terms of contribution
to the Fund's return, with a -2.3% contribution. The Fund's holdings in the
sector comprised 6.4% of the Fund's holdings and had a return of 20.7% in USD
terms. The Industrials sector was the second-worst contributor with a -1.6%
contribution. The Fund's holdings in the sector comprised 19.4% of the Fund's
average weight and returned -12.1% in USD terms. The Health Care sector was the
best-performing and contributing sector in the Fund. The Fund's holdings from
the sector comprised 12.1% of the Fund's weight and had a local return of 29.5%;
however the weak currency pulled the sector's USD return to 15.9% and limited
its contribution to return to 1.8%. Relative to its benchmark, the Fund
underperformed. The largest source of underperformance was the Fund being
underweight the strong-performing Health Care sector relative to the benchmark
(12.1% vs. 21.9% average weight). Additional underperformance was caused by the
Fund being overweight the weak-performing Industrials sector (19.4% vs. 9.0%
average weight).
Page 34
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 31.1%
Industrials 15.9
Materials 15.1
Health Care 12.9
Consumer Staples 11.6
Consumer Discretionary 6.3
Information Technology 3.7
Telecommunication Services 1.8
Utilities 1.6
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
GAM Holding AG 4.8%
Swiss Re AG 4.8
Actelion Ltd. 4.6
Pargesa Holding S.A. 4.4
Helvetia Holding AG 4.2
Aryzta AG 4.1
Swiss Life Holding AG 4.1
Barry Callebaut AG 3.8
Temenos Group AG 3.7
Clariant AG 3.5
------
Total 42.0%
======
----------------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2012 - DECEMBER 31, 2014
First Trust Switzerland Defined Switzerland S&P Switzerland MSCI Switzerland
AlphaDEX(R) Fund 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
6/30/14 15,216 15,416 15,495 15,399
12/31/14 13,466 13,782 14,585 14,389
----------------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 152 30 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 41 4 0 0
1/1/13 - 12/31/13 68 5 0 0
1/1/14 - 12/31/14 66 3 1 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 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.
On or about April 14, 2015, the Fund will seek investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the NASDAQ AlphaDEX(R) Developed Markets
ex-US Small Cap Index (the "New Index"). The New Index is a modified equal
dollar-weighted index calculated by The NASDAQ OMX Group, Inc., based on select
securities from the NASDAQ Developed Markets ex-US Index that may generate
positive alpha relative to traditional passive-style indices through the use of
the AlphaDEX(R) selection methodology. Accordingly, after the Fund changes to
the New Index, the shares of the Fund will cease to be listed on NYSE Arca and
instead be listed and trade on The NASDAQ(R) Stock Market, LLC. See Note 8 for
further information.
----------------------------------------------------------------------------------------------------------
PERFORMANCE
----------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (2/15/12) Inception (2/15/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -10.36% 4.58% 13.73%
Market Price -11.34% 4.52% 13.56%
INDEX PERFORMANCE
Defined Developed Markets ex-US Small Cap Index -8.60% 6.19% 18.84%
S&P Developed Markets ex-US Small Cap Index -3.77% 9.01% 28.13%
MSCI World ex US Small Cap Index -5.34% 8.15% 25.24%
----------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -10.36% during the 12-month period covered by
this report. During the same period, the MSCI World ex US Small Cap Index
("benchmark") generated a return of -5.34%. Japan was the worst-contributing
country in the Fund with a -1.7% contribution to the Fund's return. The Fund's
Japanese holdings comprised 33.3% of the Fund's weight and had a local return of
8.9%, but a weakening Japanese Yen caused the country's USD return to be -4.6%.
Australia was the second-worst contributing country in the Fund with a
contribution of -1.4%. Negative returns in the Energy and Materials sectors
along with a weakening currency dragged the country's performance down to -24.7%
in USD terms. Greece was another negative contributor to the Fund's return. The
Fund's holdings domiciled in the country comprised only 1.7% of the Fund's
average weight, but returned -45.9% in USD terms to detract -1.0% from the
Fund's return. The strengthening of the dollar versus other world currencies was
a large headwind to the Fund's return. In total, the Fund's currency exposure
detracted -9.5% from the Fund's return. Relative to its benchmark, the Fund
underperformed. Australia was the largest source of underperformance as the Fund
underperformed the benchmark's Australian constituents -24.7% vs. -8.0% in USD
terms. Within the country, the Materials sector was the major cause of
underperformance as the Fund's Australian Materials holdings underperformed the
benchmark's -64.9% vs. -16.6% in USD terms.
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, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Consumer Discretionary 24.0%
Industrials 23.0
Financials 16.2
Materials 11.2
Information Technology 8.6
Consumer Staples 7.1
Energy 5.3
Health Care 2.8
Telecommunication Services 1.2
Utilities 0.6
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Kusuri No Aoki Co., Ltd. 0.6%
Yellow Pages Ltd./Canada 0.6
Bic Camera, Inc. 0.6
S Foods, Inc. 0.6
Create Restaurants Holdings, Inc. 0.5
Workspace Group PLC 0.5
Schouw & Co. 0.5
Keihin Corp. 0.5
Deutsche Beteiligungs AG 0.5
Belc Co., Ltd. 0.5
------
Total 5.4%
======
-------------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 15, 2012 - DECEMBER 31, 2014
First Trust Developed Defined Developed S&P Developed
Markets ex-US Small Cap Markets ex-US Markets ex-US MSCI World ex US
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 8,976 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 13,002 13,315 13,231
6/30/14 13,310 13,743 14,242 14,129
12/31/14 11,372 11,884 12,814 12,523
-------------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 107 105 4 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%
2/16/12 - 12/31/12 82 84 2 3
1/1/13 - 12/31/13 77 30 1 0
1/1/14 - 12/31/14 29 5 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.
On or about April 14, 2015, the Fund will seek investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the NASDAQ AlphaDEX(R) Emerging Markets
Small Cap Index (the "New Index"). The New Index is a modified equal
dollar-weighted index calculated by The NASDAQ OMX Group, Inc., based on select
securities from the NASDAQ Emerging Markets Index that may generate positive
alpha relative to traditional passive-style indices through the use of the
AlphaDEX(R) selection methodology. Accordingly, after the Fund changes to the
New Index, the shares of the Fund will cease to be listed on NYSE Arca and
instead be listed and trade on The NASDAQ(R) Stock Market, LLC. See Note 8 for
further information.
----------------------------------------------------------------------------------------------------------
PERFORMANCE
----------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (2/15/12) Inception (2/15/12)
12/31/14 to 12/31/14 to 12/31/14
FUND PERFORMANCE
NAV -4.89% 5.33% 16.12%
Market Price -6.78% 5.14% 15.51%
INDEX PERFORMANCE
Defined Emerging Markets Small Cap Index -2.59% 6.83% 20.91%
S&P Emerging Markets Small Cap Index -1.84% 1.78% 5.21%
MSCI Emerging Markets Small Cap Index 1.01% 1.74% 5.09%
----------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -4.89% during the 12-month period covered by
this report. During the same period, the benchmark MSCI Emerging Markets Small
Cap Index ("benchmark") generated a return of 1.01%. Though the country made up
only 3.7% of the Fund's average weight, Brazil was the largest detractor from
the Fund's return with a -1.8% contribution. The local performance of the Fund's
Brazilian securities was only -1.3%, but the weak Real made the country's USD
return -12.4%. China was the second-worst contributor with a -1.6%. The Fund's
holdings domiciled in China comprised 21.9% of the Fund's average weight and
returned -5.2% in USD terms. Within the country, the Fund was hit particularly
hard by a -23.0% USD return in the Information Technology sector. Russia also
contributed -1.6% to the Fund's return. Holdings domiciled in the country
comprised only 1.7% of the Fund's average weight, but the country's heavy energy
exposure and weak currency caused the Fund's Russian holdings to return -64.1%
in USD terms. South Africa was a bright spot in the Fund with the Fund's
holdings from the country returning 17.2% in USD and contributing 1.0% to the
Fund's return. The county's Financial sector had a particularly strong return of
28.5% in USD terms. Indonesia was the second-best contributing country with a
0.9% to the Fund's return. The Fund's holdings domiciled in the country returned
30.8% in USD terms largely due to a 112.4% return from the Fund's Industrials
holdings within the country. Relative to its benchmark, the Fund underperformed.
Most of the underperformance came from the Fund's weak performance in China
relative to the benchmark. Additional underperformance came from the Fund not
having exposure to Indian securities, which had a significant weight and very
strong performance in 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, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 29.3%
Consumer Discretionary 15.6
Materials 14.4
Industrials 13.0
Information Technology 12.7
Consumer Staples 6.8
Utilities 4.4
Health Care 1.5
Energy 1.3
Telecommunication Services 1.0
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Sunac China Holdings Ltd. 1.2%
Pembangunan Perumahan Persero Tbk PT 1.1
China National Materials Co., Ltd. 1.1
Lewis Group Ltd. 1.1
Samart Corp. PCL 1.1
Yuzhou Properties Co. Ltd 1.0
Hydoo International Holding Ltd. 1.0
Astral Foods Ltd. 1.0
Tianjin Port Development Holdings Ltd. 1.0
Xiamen International Port Co., Ltd. 1.0
------
Total 10.6%
======
---------------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 15, 2012 - DECEMBER 31, 2014
First Trust Emerging Defined Emerging S&P Emerging MSCI Emerging
Markets Small Cap Markets Small Markets SmallCap Markets Small
AlphaDEX(R) Fund Cap Index Index 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
6/30/14 12,898 13,211 11,616 11,338
12/31/14 11,613 12,092 10,521 10,509
---------------------------------------------------------------------------------------------------
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, 2014
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, 2014. 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
1/1/14 - 12/31/14 71 69 21 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 25 5 0 0
1/1/13 - 12/31/13 34 12 6 1
1/1/14 - 12/31/14 41 38 12 0
Page 39
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EUROZONE ALPHADEX(R) ETF (FEUZ)
The First Trust Eurozone AlphaDEX(R) ETF (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an index called the NASDAQ AlphaDEX(R) Eurozone 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 traded on
the NASDAQ Stock Market LLC under the ticker symbol "FEUZ." The Fund commenced
trading on October 22, 2014.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
NASDAQ Eurozone Index which may generate positive alpha relative to traditional
passive indices. The Index is a modified equal-dollar weighted index where
higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------
CUMULATIVE
TOTAL RETURNS
Inception (10/21/14)
to 12/31/14
FUND PERFORMANCE
NAV 1.14%
Market Price 1.04%
INDEX PERFORMANCE
NASDAQ AlphaDEX(R) Eurozone Index 1.99%
NASDAQ Eurozone Index 1.20%
MSCI EMU Index 1.30%
--------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 42.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 1.14% from its inception on 10/21/2014
through the end of the reporting period. During the same period, the MSCI EMU
Index ("benchmark") returned 1.30%. The Fund launched during the reporting
period and had just over one month of history before the period ended. In that
time the Fund had a very strong local currency return of 5.7%, but the
strengthening US Dollar relative to the Euro was a -4.6% drag on the Fund's
performance. The Fund's German holdings, which comprised 22.1% of the Fund's
average weight, had a 5.6% USD return and contributed 1.1% to the Fund's return.
The country received strong performance from Automobile companies, Volkswagen AG
(10.7% USD return) and Daimler AG (10.6% USD return). The Fund slightly
underperformed its benchmark from inception through the end of the reporting
period. The underperformance can be attributed to the Fund's only Greek holding;
National Bank of Greece S.A., which had a USD return of -38.6% and contributed
-0.3% to the Fund's return.
Page 40
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EUROZONE ALPHADEX(R) ETF (FEUZ) (CONTINUED)
-----------------------------------------------------------
PORTFOLIO SECTOR ALLOCATION AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECTOR LONG-TERM INVESTMENTS
Financials 19.8%
Industrials 12.7
Materials 12.2
Utilities 11.0
Health Care 10.5
Consumer Discretionary 9.9
Consumer Staples 6.7
Telecommunication Services 6.7
Information Technology 5.3
Energy 5.2
------
Total 100.0%
======
-----------------------------------------------------------
TOP TEN PORTFOLIO HOLDINGS AS OF DECEMBER 31, 2014
-----------------------------------------------------------
% OF TOTAL
SECURITY LONG-TERM INVESTMENTS
Neste Oil OYJ 1.4%
UPM-Kymmene OYJ 1.4
Teleperformance 1.3
Volkswagen AG (Preference Shares) 1.3
Ingenico 1.2
Renault S.A. 1.2
Voestalpine AG 1.2
Ackermans & van Haaren N.V. 1.2
K+S AG 1.2
Koninklijke Boskalis Westminster N.V. 1.2
------
Total 12.6%
======
----------------------------------------------------------------------------------------------
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
OCTOBER 21, 2014 - DECEMBER 31, 2014
First Trust Eurozone NASDAQ AlphaDEX(R) NASDAQ Eurozone MSCI EMU
AlphaDEX(R) ETF Eurozone Index Index Index
10/21/14 $10,000 $10,000 $10,000 $10,000
12/31/14 10,114 10,199 10,130 10,120
----------------------------------------------------------------------------------------------
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, 2014
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 October 22, 2014
(commencement of trading) through December 31, 2014. 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%
10/22/14 - 12/31/14 18 19 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%
10/22/14 - 12/31/14 8 4 0 0
Page 41
--------------------------------------------------------------------------------
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 42
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2014 (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, First Trust Emerging Markets
Small Cap AlphaDEX(R) Fund and First Trust Eurozone AlphaDEX(R) ETF (each a
"Fund" and collectively, the "Funds"), you incur two types of costs: (1)
transaction costs; and (2) ongoing costs, including management fees,
distribution and/or service 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 (or since inception) and held through the six-month (or shorter) period
ended December 31, 2014.
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, 2014 DECEMBER 31, 2014 PERIOD PERIOD (a)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA)
Actual $1,000.00 $ 953.70 0.80% $3.94
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 $ 860.50 0.80% $3.75
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 $ 798.90 0.80% $3.63
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 $ 786.60 0.80% $3.60
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 $1,060.50 0.80% $4.15
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 $ 947.90 0.80% $3.93
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO)
Actual $1,000.00 $ 862.30 0.80% $3.76
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
Page 43
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
DECEMBER 31, 2014 (UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2014 DECEMBER 31, 2014 PERIOD PERIOD (a)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
Actual $1,000.00 $ 899.90 0.80% $3.83
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 $ 870.60 0.80% $3.77
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 $ 861.10 0.80% $3.75
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 $ 825.80 0.80% $3.68
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 $ 912.80 0.80% $3.86
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 $ 939.20 0.80% $3.91
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 $ 965.90 0.80% $3.96
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 $1,011.40 0.80% $4.06
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 $ 885.00 0.80% $3.80
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 $ 854.40 0.80% $3.74
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 $ 900.40 0.80% $3.83
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
-------------------------------------------------------------------------------------------------------------------------------
ANNUALIZED EXPENSES PAID
EXPENSE RATIO DURING THE PERIOD
BEGINNING ENDING BASED ON THE OCTOBER 21, 2014 (b)
ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO
OCTOBER 21, 2014 (b) DECEMBER 31, 2014 IN THE PERIOD DECEMBER 31, 2014 (c)
-------------------------------------------------------------------------------------------------------------------------------
FIRST TRUST EUROZONE ALPHADEX(R) ETF (FEUZ)
Actual $1,000.00 $1,029.90 0.80% $1.60
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,
2014 through December 31, 2014), multiplied by 184/365 (to reflect the
one-half year period).
(b) Inception date.
(c) Actual expenses are equal to the annualized expense ratio as indicated in
the table, multiplied by the average account value over the period
(October 21, 2014 through December 31, 2014), multiplied by 72/365.
Hypothetical expenses are assumed for the most recent half-year period.
Page 44
FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 100.2%
AUSTRALIA - 16.5%
9,000 AGL Energy Ltd. $ 98,164
22,318 AMP Ltd. (b) 99,399
17,303 APA Group (b) 104,602
20,866 Aristocrat Leisure Ltd. (b) 110,810
20,140 Asciano Ltd. (b) 98,631
7,195 BHP Billiton Ltd. (b) 170,109
12,799 Brambles Ltd. (b) 110,253
21,759 Caltex Australia Ltd. (b) 603,748
1,750 Cochlear Ltd. (b) 110,402
1,640 CSL Ltd. (b) 115,203
141,641 Federation Centres (b) 329,778
140,016 Fortescue Metals Group Ltd. (b) 307,425
31,483 GPT (The) Group (b) 111,420
67,132 Harvey Norman Holdings Ltd. (b) 183,242
134,846 Incitec Pivot Ltd. (b) 348,809
39,821 Insurance Australia Group Ltd. (b) 202,192
33,979 Lend Lease Group (b) 452,562
6,447 Orica Ltd. (b) 98,791
87,665 Qantas Airways Ltd. (b) (c) 170,273
4,860 Ramsay Health Care Ltd. (b) 225,301
185,692 Scentre Group (b) (c) 526,098
17,361 Suncorp Group Ltd. (b) 198,328
21,602 Toll Holdings Ltd. (b) 102,901
35,628 TPG Telecom Ltd. (b) 194,895
------------
5,073,336
------------
BERMUDA - 8.8%
1,018,108 Brightoil Petroleum Holdings
Ltd. (b) (c) 255,077
60,666 Cheung Kong Infrastructure
Holdings Ltd. (b) 447,290
74,062 Chinese Estates Holdings Ltd. 228,261
678,566 Goldin Financial Holdings
Ltd. (b) (c) 656,477
158,564 Kerry Properties Ltd. (b) 571,002
59,504 NWS Holdings Ltd. (b) 108,839
57,826 Orient Overseas International
Ltd. (b) 337,416
71,952 Shangri-La Asia Ltd. (b) 98,410
------------
2,702,772
------------
CAYMAN ISLANDS - 1.8%
323,945 HK Electric Investments & HK
Electric Investments
Ltd. (b) (d) 213,949
564,473 New World China Land Ltd. (b) 333,759
------------
547,708
------------
HONG KONG - 22.2%
66,790 BOC Hong Kong Holdings
Ltd. (b) 222,125
115,913 Cathay Pacific Airways Ltd. (b) 253,026
32,305 Cheung Kong Holdings Ltd. (b) 541,837
88,733 Fosun International Ltd. (b) 116,117
65,954 Henderson Land Development
Co., Ltd. (b) 457,554
176,494 HKT Trust and HKT Ltd. 229,418
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HONG KONG (CONTINUED)
9,885 Hong Kong Exchanges and
Clearing Ltd. (b) $ 218,229
26,197 Hutchison Whampoa Ltd. (b) 299,808
115,499 Hysan Development Co., Ltd. (b) 512,585
92,581 Link REIT 579,031
54,434 MTR Corp., Ltd. (b) 222,704
274,538 New World Development Co.,
Ltd. (b) 315,172
509,049 PCCW Ltd. (b) 347,915
60,494 Power Assets Holdings Ltd. (b) 584,468
275,889 Sino Land Co., Ltd. (b) 440,056
22,144 Sun Hung Kai Properties Ltd. (b) 335,492
16,446 Swire Pacific Ltd., Class A (b) 213,477
34,148 Swire Properties Ltd. (b) 100,697
59,612 Wharf Holdings Ltd. (b) 427,960
88,945 Wheelock & Co., Ltd. (b) 412,966
------------
6,830,637
------------
NEW ZEALAND - 2.8%
191,326 Meridian Energy Ltd. (b) 261,369
159,945 Mighty River Power Ltd. (b) 370,940
92,117 Spark New Zealand Ltd. (b) 223,307
------------
855,616
------------
SINGAPORE - 9.1%
85,000 CapitaCommercial Trust (b) 112,222
142,000 CapitaMall Trust (b) 218,023
57,000 ComfortDelGro Corp. Ltd. (b) 111,544
20,665 Flextronics International Ltd. (c) 231,035
159,000 Frasers Centrepoint Ltd. (b) 202,253
155,000 Keppel Land Ltd. (b) 399,299
573,000 Keppel REIT (b) 526,261
14,000 Oversea-Chinese Banking Corp
Ltd. (b) 110,152
14,000 Singapore Airlines Ltd. (b) 122,128
230,000 Singapore Post Ltd. (b) 332,741
82,000 UOL Group Ltd. (b) 428,678
------------
2,794,336
------------
SOUTH KOREA - 39.0%
188 Amorepacific Corp. (b) (c) 379,546
479 AMOREPACIFIC Group (b) (c) 433,227
19,974 BS Financial Group, Inc. (b) 262,972
1,453 CJ CheilJedang Corp. (b) (c) 404,896
3,231 CJ Corp. (b) (c) 457,448
3,356 CJ Korea Express Co., Ltd. (b) (c) 592,562
8,375 GS Holdings Corp. (b) (c) 304,842
6,546 Hankook Tire Co., Ltd. (b) (c) 311,076
3,765 Hotel Shilla Co., Ltd. (b) 312,293
13,169 Hyundai Development
Co-Engineering &
Construction (b) (c) 461,756
1,747 Hyundai Glovis Co., Ltd. (b) (c) 462,284
1,748 Hyundai Mobis Co., Ltd. (b) (c) 373,979
2,952 Hyundai Motor Co. (b) 450,936
6,063 Hyundai Steel Co. (b) 347,276
1,571 Hyundai Wia Corp. (b) (c) 251,161
28,209 Industrial Bank of Korea (b) (c) 360,866
471 KCC Corp. (b) 222,055
See Notes to Financial Statements Page 45
FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SOUTH KOREA (CONTINUED)
5,380 KEPCO Plant Service &
Engineering Co., Ltd. (b) (c) $ 389,928
10,474 Kia Motors Corp. (b) 497,682
13,804 Korea Aerospace Industries
Ltd. (b) (c) 498,140
11,668 Korea Electric Power Corp. (b) (c) 449,603
2,929 LG Corp. (b) (c) 162,684
27,331 LG Uplus Corp. (b) 284,966
209 Lotte Confectionery Co.,
Ltd. (b) (c) 338,618
1,068 Lotte Shopping Co., Ltd. (b) (c) 264,151
350 Neo Holdings Co., Ltd. (b) (c) 0
4,461 Samsung C&T Corp. (b) 249,149
473 Samsung Electronics Co., Ltd. (b) 568,662
1,594 Samsung Fire & Marine
Insurance Co., Ltd. (b) 409,042
1,855 SK C&C Co., Ltd. (b) (c) 359,264
7,220 SK Hynix, Inc. (b) 308,550
1,550 SK Telecom Co., Ltd. (b) 379,119
9,207 Youngone Corp. (b) (c) 444,806
------------
11,993,539
------------
TOTAL COMMON STOCKS 30,797,944
(Cost $30,839,342) ------------
RIGHTS - 0.0%
AUSTRALIA - 0.0%
5,282 APA Group (b) 3,666
------------
TOTAL RIGHTS 3,666
(Cost $5,923) ------------
TOTAL INVESTMENTS - 100.2% 30,801,610
(Cost $30,845,265) (e)
NET OTHER ASSETS
AND LIABILITIES - (0.2%) (74,258)
------------
NET ASSETS - 100.0% $ 30,727,352
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$29,435,701 or 95.80% of net assets.
(c) Non-income producing security.
(d) This security is restricted in the U.S. and cannot be offered for public
sale without first being registered under the Securities Act of 1933, as
amended. This security is not restricted on the Hong Kong Stock Exchange
and trades freely without any additional registration. As such, it does
not require the additional disclosure required of restricted securities.
(e) Aggregate cost for federal income tax purposes is $31,892,558. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$2,131,335 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$3,222,283.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Australia $ 5,073,336 $ 98,164 $ 4,975,172 $ --
Bermuda 2,702,772 228,261 2,474,511 --
Cayman Islands 547,708 -- 547,708 --
Hong Kong 6,830,637 808,449 6,022,188 --
New Zealand 855,616 -- 855,616 --
Singapore 2,794,336 231,035 2,563,301 --
South Korea 11,993,539 -- 11,993,539 --
-------------------------------------------------------
Total Common
Stocks 30,797,944 1,365,909 29,432,035 --
Rights 3,666 -- 3,666 --
-------------------------------------------------------
Total Investments $ 30,801,610 $1,365,909 $29,435,701 $ --
=======================================================
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. As of December
31, 2014, the Fund transferred common stocks valued at $12,761,172 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014 exceeding a certain threshold.
Page 46 See Notes to Financial Statements
FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND (FPA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
INDUSTRY % OF NET ASSETS
------------------------------------------------------------
Real Estate Management & Development 20.7%
Real Estate Investment Trusts 7.8
Electric Utilities 6.7
Diversified Telecommunication Services 4.2
Oil, Gas & Consumable Fuels 3.8
Industrial Conglomerates 3.3
Road & Rail 3.3
Banks 3.1
Automobiles 3.1
Metals & Mining 3.1
Auto Components 3.0
Insurance 3.0
Air Freight & Logistics 2.9
Diversified Financial Services 2.8
Personal Products 2.6
Food Products 2.4
Technology Hardware, Storage & Peripherals 1.9
Airlines 1.8
Commercial Services & Supplies 1.6
Aerospace & Defense 1.6
Construction & Engineering 1.5
Chemicals 1.5
Multiline Retail 1.5
Textiles, Apparel & Luxury Goods 1.4
Wireless Telecommunication Services 1.2
IT Services 1.2
Marine 1.1
Specialty Retail 1.0
Semiconductors & Semiconductor Equipment 1.0
Independent Power and Renewable Electricity
Producers 0.9
Trading Companies & Distributors 0.8
Electronic Equipment, Instruments & Components 0.8
Health Care Providers & Services 0.7
Building Products 0.7
Hotels, Restaurants & Leisure 0.7
Biotechnology 0.4
Health Care Equipment & Supplies 0.4
Gas Utilities 0.4
Multi-Utilities 0.3
------------------------------------------------------------
TOTAL INVESTMENTS 100.2
NET OTHER ASSETS AND LIABILITIES (0.2)
-------
TOTAL 100.0%
=======
See Notes to Financial Statements Page 47
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 100.1%
AUSTRIA - 2.2%
37,580 ams AG (b) $ 1,358,517
42,579 OMV AG (b) 1,130,611
21,958 Raiffeisen Bank International
AG (b) 335,519
41,793 UNIQA Insurance Group AG (b) 392,228
71,162 Verbund AG (b) (c) 1,317,849
36,257 Voestalpine AG (b) 1,432,626
------------
5,967,350
------------
BELGIUM - 2.7%
7,711 Ackermans & van Haaren N.V. (b) 950,812
4,270 Anheuser-Busch InBev N.V. (b) 480,552
41,064 Belgacom S.A. (b) 1,489,946
39,918 bpost S.A. (b) 1,002,761
13,696 Delhaize Group S.A. (b) 997,416
9,913 Elia System Operator S.A./
N.V. (b) 461,619
10,462 Groupe Bruxelles Lambert
S.A. (b) 892,620
15,795 UCB S.A. (b) 1,201,011
------------
7,476,737
------------
BERMUDA - 1.2%
225,223 Catlin Group Ltd. (b) 2,346,117
89,083 Seadrill Ltd. (b) 1,030,705
------------
3,376,822
------------
CAYMAN ISLANDS - 0.4%
80,991 Phoenix Group Holdings (b) 1,043,467
------------
DENMARK - 3.6%
842 AP Moeller - Maersk A.S.,
Class B (b) 1,674,698
17,553 Danske Bank A.S. (b) 474,560
20,019 Novo Nordisk A.S., Class B (b) 846,799
30,498 Pandora A.S. (b) 2,472,081
9,871 Rockwool International A.S.,
Class B (b) 1,109,414
125,900 TDC A.S. (b) 960,227
78,889 Topdanmark A.S. (b) (d) 2,560,469
------------
10,098,248
------------
FINLAND - 4.1%
97,664 Fortum OYJ (b) 2,120,436
69,652 Huhtamaki OYJ (b) 1,832,473
92,853 Neste Oil OYJ (b) 2,261,675
56,015 Nokia OYJ (b) 443,012
48,784 Orion OYJ, Class B (b) 1,517,206
9,877 Sampo OYJ, Class A (b) 462,386
57,252 Stora Enso OYJ, Class R (b) 511,888
133,812 UPM-Kymmene OYJ (b) 2,192,934
------------
11,342,010
------------
FRANCE - 11.8%
13,921 Alstom S.A. (b) (d) 448,989
7,361 Arkema S.A. (b) 486,833
96,666 AXA S.A. (b) 2,227,478
13,268 Cap Gemini S.A. (b) 948,890
4,419 Casino Guichard Perrachon
S.A. (b) 406,391
SHARES DESCRIPTION VALUE
------------------------------------------------------------
FRANCE (CONTINUED)
15,179 Cie Generale des Etablissements
Michelin (b) $ 1,370,158
157,891 Credit Agricole S.A. (b) 2,038,140
4,341 Essilor International S.A. (b) 484,105
26,600 Eurazeo S.A. (b) 1,862,958
18,687 Ingenico (b) 1,968,459
38,834 Ipsen S.A. (b) 2,010,104
63,332 Korian-Medica 2,314,373
89,281 Lagardere SCA (b) 2,325,054
208,403 Natixis S.A. (b) 1,375,172
63,594 Orange S.A. (b) 1,081,525
19,829 Renault S.A. (b) 1,444,271
15,325 SCOR SE (b) 464,353
18,704 Societe Generale S.A. (b) 782,766
177,193 Societe Television Francaise 1 (b) 2,724,053
30,931 Teleperformance (b) 2,105,475
14,665 Total S.A. (b) 751,318
20,761 Vallourec S.A. (b) 562,657
7,423 Vicat (b) 532,941
79,179 Vivendi S.A. (b) 1,970,807
------------
32,687,270
------------
GERMANY - 11.5%
32,856 Aareal Bank AG (b) 1,312,394
43,387 Axel Springer SE (b) 2,616,875
3,404 Bayer AG (b) 463,994
13,308 Bayerische Motoren Werke
AG (b) 1,436,176
15,100 Bilfinger SE (b) 844,074
14,314 Celesio AG (b) 461,350
6,213 Daimler AG (b) 516,015
60,509 Deutsche Lufthansa AG (b) 1,002,692
66,873 Deutsche Wohnen AG (b) 1,577,516
54,982 Evonik Industries AG (b) 1,795,322
36,601 Freenet AG (b) 1,040,650
13,634 Fresenius Medical Care AG &
Co. KGaA (b) 1,017,599
28,866 Fresenius SE & Co. KGaA (b) 1,500,860
21,720 HeidelbergCement AG (b) 1,532,996
50,543 K+S AG (b) 1,394,742
6,863 LEG Immobilien AG (b) (d) 511,251
5,156 Merck KGaA (b) 485,223
12,867 OSRAM Licht AG (b) 505,157
23,846 Porsche Automobil Holding SE
(Preference Shares) (b) 1,928,488
83,003 Rhoen Klinikum AG (b) 2,326,300
91,277 Suedzucker AG (b) (c) 1,312,365
17,976 Symrise AG (b) 1,082,966
36,394 ThyssenKrupp AG (b) 927,095
9,203 Volkswagen AG (Preference
Shares) (b) 2,045,416
19,754 Wacker Chemie AG (b) 2,166,924
------------
31,804,440
------------
IRELAND - 2.3%
25,774 DCC PLC (b) 1,418,937
66,244 Glanbia PLC (b) 1,007,872
33,367 ICON PLC (d) 1,701,383
Page 48 See Notes to Financial Statements
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
IRELAND (CONTINUED)
150,536 King Digital Entertainment
PLC (c) $ 2,312,233
------------
6,440,425
------------
ITALY - 2.8%
480,497 A2A S.p.A. (b) 486,882
39,240 ACEA S.p.A. (b) 423,836
57,594 Credito Emiliano S.p.A. (b) 434,478
179,529 Enel S.p.A. (b) 800,254
59,966 Eni S.p.A. (b) 1,050,394
24,535 Exor S.p.A. (b) 1,006,714
195,810 Finmeccanica S.p.A. (b) (d) 1,820,020
29,164 Recordati S.p.A. (b) 452,140
1,250,935 Telecom Italia S.p.A. (b) (d) 1,334,106
------------
7,808,824
------------
JERSEY - 1.2%
257,756 Glencore PLC (b) 1,189,757
436,226 Henderson Group PLC (b) 1,442,289
11,004 Shire PLC (b) 780,184
------------
3,412,230
------------
LUXEMBOURG - 1.2%
76,982 GAGFAH S.A. (b) (d) 1,719,191
167,312 Subsea 7 S.A. (b) 1,712,087
------------
3,431,278
------------
NETHERLANDS - 4.7%
115,497 Aegon N.V. (b) 868,072
9,571 ASML Holding N.V. (b) 1,034,122
33,852 Boskalis Westminster N.V. (b) 1,851,876
79,025 Delta Lloyd N.V. (b) 1,737,788
148,101 Fiat Chrysler Automobiles
N.V. (b) (d) 1,720,893
12,769 Heineken N.V. (b) 906,697
133,812 ING Groep N.V. (b) (d) 1,728,806
32,975 NN Group N.V. (b) (d) 984,419
27,917 NXP Semiconductor N.V. (d) 2,132,859
------------
12,965,532
------------
NORWAY - 4.7%
90,334 Gjensidige Forsikring ASA (b) 1,474,016
41,907 Kongsberg Gruppen ASA (b) 690,655
170,793 Marine Harvest ASA (b) 2,345,060
427,134 Norsk Hydro ASA (b) 2,406,061
211,403 Orkla ASA (b) 1,439,119
70,075 Statoil ASA (b) 1,233,799
75,084 TGS Nopec Geophysical Co.
ASA (b) (c) 1,621,569
38,103 Yara International ASA (b) 1,696,818
------------
12,907,097
------------
PORTUGAL - 1.2%
1,811,371 Banco Espirito Santo
S.A. (b) (d) (e) 0
109,177 EDP - Energias de Portugal
S.A. (b) 423,350
359,905 Portucel S.A. (b) 1,334,634
1,320,208 Sonae SGPS S.A. (b) 1,624,958
------------
3,382,942
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SPAIN - 2.9%
93,902 Atresmedia Corp de Medios de
Comunicaion S.A. (b) $ 1,319,168
18,017 Corp. Financiera Alba S.A. (b) 880,874
29,560 Enagas S.A. (b) 932,353
48,226 Endesa S.A. (b) 965,451
172,863 Gamesa Corp. Tecnologica
S.A. (b) (d) 1,560,412
16,187 Gas Natural SDG S.A. (b) 406,627
200,214 Iberdrola S.A. (b) 1,349,591
5,547 Red Electrica Corp. S.A. (b) 488,976
------------
7,903,452
------------
SWEDEN - 8.7%
27,663 Assa Abloy AB, Class B (b) 1,461,063
18,398 Axfood AB (b) 1,098,211
167,871 BillerudKorsnas AB (b) 2,407,465
88,002 Boliden AB (b) 1,406,695
53,978 Electrolux AB, Class B (b) 1,577,196
76,622 Hufvudstaden AB, Class A (b) 994,317
202,306 Husqvarna AB, Class B (b) 1,487,044
58,396 ICA Gruppen AB (b) 2,273,843
136,592 Industrivarden AB, Class C (b) 2,370,986
66,057 Investment AB Kinnevik,
Class B (b) 2,148,123
67,528 Investor AB, Class B (b) 2,455,172
23,837 LE Lundbergforetagen AB,
Class B (b) 1,030,340
43,178 NCC AB, Class B (b) 1,359,426
42,959 Securitas AB, Class B (b) 519,705
278,147 SSAB AB, Class A (b) (c) (d) 1,608,439
------------
24,198,025
------------
SWITZERLAND - 7.3%
4,042 Actelion Ltd. (b) 465,319
11,055 Aryzta AG (b) 849,572
18,583 Baloise Holding AG (b) 2,375,122
3,446 EMS-Chemie Holding AG (b) 1,395,021
3,937 Helvetia Holding AG (b) 1,870,664
15,865 Lonza Group AG (b) 1,786,267
17,993 Pargesa Holding S.A. (b) 1,388,446
8,943 Sonova Holding AG (b) 1,313,821
19,454 Sulzer AG (b) 2,081,018
10,044 Swiss Life Holding AG (b) 2,373,917
17,950 Swiss Re AG (b) 1,503,702
12,540 Temenos Group AG (b) 446,535
7,992 Zurich Insurance Group AG (b) 2,497,519
------------
20,346,923
------------
UNITED KINGDOM - 25.6%
307,683 3i Group PLC (b) 2,145,404
135,449 Amlin PLC (b) 1,004,735
140,904 Ashtead Group PLC (b) 2,502,442
280,727 Aviva PLC (b) 2,109,208
222,609 Barratt Developments PLC (b) 1,620,175
13,071 Berkeley Group Holdings PLC (b) 502,572
68,546 BHP Billiton PLC (b) 1,469,033
194,467 BP PLC (b) 1,234,394
209,183 British Land Co., PLC (b) 2,522,465
167,961 BTG PLC (b) (d) 2,073,116
See Notes to Financial Statements Page 49
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES/UNITS DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
UNITED KINGDOM (CONTINUED)
25,251 Capita PLC (b) $ 423,401
268,261 Capital & Counties Properties
PLC (b) 1,515,815
20,550 Close Brothers Group PLC (b) 474,871
53,816 Derwent London PLC (b) 2,512,331
499,530 Direct Line Insurance Group
PLC (b) 2,259,671
401,198 Dixons Carphone PLC (b) 2,881,821
230,583 Great Portland Estates PLC (b) 2,630,386
256,640 Hammerson PLC (b) 2,403,411
34,031 Hikma Pharmaceuticals PLC (b) 1,044,122
23,941 IMI PLC (b) 468,380
74,976 Intermediate Capital Group
PLC (b) 535,621
456,908 Intu Properties PLC (b) 2,362,186
141,868 ITV PLC (b) 473,231
468,950 J Sainsbury PLC (b) 1,790,772
147,591 Jazztel PLC (b) (d) 2,230,539
273,067 Kingfisher PLC (b) 1,443,470
113,494 Land Securities Group PLC (b) 2,040,127
128,853 Legal & General Group PLC (b) 497,521
72,852 Marks & Spencer Group PLC (b) 539,425
595,218 Melrose Industries PLC (b) 2,463,876
206,709 Millennium & Copthorne
Hotels PLC (b) 1,895,748
23,813 Pearson PLC (b) 439,782
44,231 Persimmon PLC (b) 1,080,293
354,201 Premier Oil PLC (b) 916,123
107,137 Prudential PLC (b) 2,476,951
61,181 Rolls-Royce Holdings PLC (b) 821,895
61,181 Rolls-Royce Holdings PLC,
Class C (Preference
Shares) (b) (d) 15,547
375,890 Royal Mail PLC (b) 2,504,912
324,811 Segro PLC (b) 1,860,737
216,297 Shaftesbury PLC (b) 2,617,417
19,078 SSE PLC (b) 482,045
355,803 Standard Life PLC (b) 2,203,945
99,737 Tate & Lyle PLC (b) 934,482
316,687 Tesco PLC (b) 923,364
73,023 United Utilities Group PLC (b) 1,037,213
721,260 Vodafone Group PLC (b) 2,472,931
------------
70,857,906
------------
TOTAL COMMON STOCKS 277,450,978
(Cost $294,575,003) ------------
MONEY MARKET FUNDS - 0.2%
527,519 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class - 0.01%
(f) (g) 527,519
------------
TOTAL MONEY MARKET FUNDS 527,519
(Cost $527,519) ------------
PRINCIPAL
VALUE DESCRIPTION AMOUNT
------------------------------------------------------------
REPURCHASE AGREEMENTS - 2.2%
$ 1,158,176 JPMorgan Chase & Co., 0.06% (f),
dated 12/31/14, due 1/2/15,
with a maturity value of
$1,158,180. Collateralized by
U.S. Treasury Notes, interest
rates of 0.75% to 1.25%, due
1/15/17 to 11/30/18. The value
of the collateral including
accrued interest is
$1,185,072. (g) $ 1,158,176
5,032,270 RBC Capital Markets LLC,
0.06% (f), dated 12/31/14, due
1/2/15, with a maturity value
of $5,032,287. Collateralized
by U.S. Treasury Notes,
interest rates of 0.25% to
1.75%, due 12/31/15 to 9/30/19.
The value of the collateral
including accrued interest is
$5,147,817. (g) 5,032,270
------------
TOTAL REPURCHASE AGREEMENTS 6,190,446
(Cost $6,190,446) ------------
TOTAL INVESTMENTS - 102.5% 284,168,943
(Cost $301,292,968) (h)
NET OTHER ASSETS
AND LIABILITIES - (2.5%) (6,882,675)
------------
NET ASSETS - 100.0% $277,286,268
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$268,990,130 or 97.01% of net assets.
(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 $6,351,858 and the total value of the collateral held by the
Fund is $6,717,965.
(d) Non-income producing security.
(e) This company has filed for protection in federal bankruptcy court.
(f) Interest rate shown reflects yield as of December 31, 2014.
(g) This security serves as collateral for securities on loan.
(h) Aggregate cost for federal income tax purposes is $302,205,011. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$23,485,359 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$41,521,427.
Page 50 See Notes to Financial Statements
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
France $ 32,687,270 $ 2,314,373 $ 30,372,897 $ --
Ireland 6,440,425 4,013,616 2,426,809 --
Netherlands 12,965,532 2,132,859 10,832,673 --
Portugal 3,382,942 -- 3,382,942 --*
Other Country
Categories** 221,974,809 -- 221,974,809 --
-------------------------------------------------------
Total Common
Stocks 277,450,978 8,460,848 268,990,130 --*
Money Market
Funds 527,519 527,519 -- --
Repurchase
Agreements 6,190,446 -- 6,190,446 --
-------------------------------------------------------
Total Investments $284,168,943 $ 8,988,367 $275,180,576 $ --*
=======================================================
* Investment is valued at $0.
** See Portfolio of Investments for country breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of December
31, 2014, the Fund transferred common stocks valued at $91,062,504 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014 exceeding a
certain threshold.
Level 3 common stocks are fair valued by the Advisor's Pricing Committee. The
Trust's Board of Trustees has adopted valuation procedures that are utilized by
the Pricing Committee to oversee the day-to-day valuation of the Fund's
investments. The Advisor's Pricing Committee, through the Fund's fund accounting
agent, monitors daily pricing via tolerance checks and stale and unchanged price
reviews. The Advisor's Pricing Committee also reviews monthly back testing of
pricing service prices by comparing sales prices of Fund investments to prior
day pricing service prices. Additionally, the Advisor's Pricing Committee
reviews periodic information from the Fund's third party pricing service that
compares secondary market trade prices to their daily valuations.
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, 2013
Common Stocks $ --
Net Realized Gain (Loss) --
Net Change in Unrealized Appreciation/
Depreciation --
Purchases --*
Sales --
Transfers In --
Transfers Out --
ENDING BALANCE AT DECEMBER 31, 2014
Common Stocks --*
------------
Total Level 3 holdings $ --*
============
* Investment is valued at $0.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2F - Offsetting on the Statements of Assets and
Liabilities).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(1) $ 6,351,858
Non-cash Collateral(2) (6,351,858)
------------
Net Amount $ --
============
(1) The amount presented on the Statements of Assets and Liabilities is not
offset and is shown on a gross basis.
(2) At December 31, 2014, the value of the collateral from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(3) $ 6,190,446
Non-cash Collateral(4) (6,190,446)
------------
Net Amount $ --
============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2014, the value of the collateral from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 51
FIRST TRUST EUROPE ALPHADEX(R) FUND (FEP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
INDUSTRY % OF NET ASSETS
------------------------------------------------------------
Insurance 12.8%
Real Estate Investment Trusts 6.7
Diversified Financial Services 5.4
Pharmaceuticals 3.9
Metals & Mining 3.8
Chemicals 3.6
Media 3.6
Food & Staples Retailing 3.3
Automobiles 3.3
Diversified Telecommunication Services 3.3
Oil, Gas & Consumable Fuels 3.1
Electric Utilities 3.0
Food Products 2.8
Health Care Providers & Services 2.7
Banks 2.6
Real Estate Management & Development 2.3
Household Durables 2.3
Repurchase Agreements 2.2
Machinery 2.0
Capital Markets 1.7
Semiconductors & Semiconductor Equipment 1.6
Energy Equipment & Services 1.6
Specialty Retail 1.6
Containers & Packaging 1.5
Paper & Forest Products 1.5
Wireless Telecommunication Services 1.3
Air Freight & Logistics 1.3
Life Sciences Tools & Services 1.3
Aerospace & Defense 1.2
Construction & Engineering 1.2
Software 1.0
Building Products 0.9
Professional Services 0.9
Electrical Equipment 0.9
Trading Companies & Distributors 0.9
Textiles, Apparel & Luxury Goods 0.9
Construction Materials 0.7
Electronic Equipment, Instruments & Components 0.7
Hotels, Restaurants & Leisure 0.7
Health Care Equipment & Supplies 0.6
Marine 0.6
Industrial Conglomerates 0.5
Beverages 0.5
Auto Components 0.5
Commercial Services & Supplies 0.5
Gas Utilities 0.5
Thrifts & Mortgage Finance 0.5
Water Utilities 0.4
Airlines 0.4
IT Services 0.3
Multi-Utilities 0.3
Multiline Retail 0.2
Money Market Funds 0.2
Biotechnology 0.2
Communications Equipment 0.2
------------------------------------------------------------
TOTAL INVESTMENTS 102.5
NET OTHER ASSETS AND LIABILITIES (2.5)
-------
TOTAL 100.0%
=======
% OF TOTAL
CURRENCY EXPOSURE DIVERSIFICATION INVESTMENTS
------------------------------------------------------------
Euro 43.2%
British Pound Sterling 27.1
Swedish Krona 8.5
Swiss Franc 7.6
Norwegian Krone 5.5
US Dollar 4.5
Danish Krone 3.6
-------
TOTAL 100.0%
=======
Page 52 See Notes to Financial Statements
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.8%
BRAZIL - 54.8%
5,211 AES Tiete S.A. (Preference
Shares) (b) $ 35,565
10,271 B2W Cia Digital (c) 86,706
8,877 Banco do Brasil S.A. 79,379
14,188 Banco Santander Brasil S.A. (b) 72,709
3,487 BB Seguridade Participacoes
S.A. (b) 42,078
11,619 BR Malls Participacoes S.A. (b) 72,468
6,932 Braskem S.A. (Preference Shares) 45,636
1,928 BRF S.A 46,013
1,051 Cia Brasileira de Distribuicao
(Preference Shares) 38,996
28,386 Cia de Saneamento Basico do
Estado de Sao Paulo (b) 182,818
37,456 Cia Energetica de Minas Gerais
(Preference Shares) 185,152
12,868 Cia Energetica de Sao Paulo
(Preference Shares) 129,784
16,841 Cia Paranaense de Energia
(Preference Shares) 227,444
23,249 Embraer S.A. 213,756
4,184 Fibria Celulose S.A. (b) (c) 51,131
28,598 Gerdau S.A. (Preference
Shares) (b) 102,715
3,315 Itau Unibanco Holding S.A.
(Preference Shares) 43,149
48,455 Itausa - Investimentos Itau S.A.
(Preference Shares) 171,166
61,363 JBS S.A. 258,546
14,603 Kroton Educacional S.A. 85,150
19,361 Oi S.A. (Preference Shares) (c) 62,711
18,623 Petroleo Brasileiro S.A.
(Preference Shares) 70,199
15,811 Porto Seguro S.A. 180,820
16,088 Raia Drogasil S.A. (b) 154,890
45,648 Suzano Papel e Celulose S.A.
(Preference Shares) (b) 192,694
9,281 Telefonica Brasil S.A.
(Preference Shares) 163,575
17,424 Tim Participacoes S.A. 77,216
35,257 Usinas Siderurgicas de Minas
Gerais S.A. (Perference
Shares) (b) (c) 66,935
------------
3,139,401
------------
CHILE - 12.2%
7,067 Antarchile S.A. 84,888
178,285 Colbun S.A. 47,792
17,921,867 Corpbanca S.A. 215,423
93,699 Empresa Nacional de Electricidad
S.A./Chile (b) 142,958
144,221 Enersis S.A. 47,408
16,144 ENTEL Chile S.A. 161,334
------------
699,803
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COLOMBIA - 2.8%
87,715 Ecopetrol S.A. $ 76,771
114,955 Empresa de Energia de Bogota
SA ESP 82,232
------------
159,003
------------
LUXEMBOURG - 2.3%
7,624 Ternium S.A., ADR 134,487
------------
MEXICO - 27.7%
66,964 Alfa S.A.B. de C.V., Series A (c) 149,644
145,205 America Movil S.A.B. de C.V.,
Series L 161,801
85,718 Compartamos S.A.B. de C.V. (c) 172,264
24,534 Controladora Comercial Mexicana
S.A.B. de C.V. 86,371
69,630 Fibra Uno Administracion S.A.
de C.V. 205,297
38,983 Grupo Comercial Chedraui S.A.
de C.V. (c) 114,858
13,691 Grupo Mexico S.A.B. de C.V.,
Series B 39,708
56,085 Impulsora del Desarrollo y El
Empleo en America Latina
S.A.B. de C.V. (c) 152,474
36,806 Industrias Bachoco S.A.B. de
C.V. (c) 154,671
15,024 Infraestructura Energetica Nova
SAB de C.V. 74,948
28,982 Megacable Holdings S.A.B. de
C.V. (c) 113,325
84,686 OHL Mexico S.A.B. de C.V. (c) 157,849
------------
1,583,210
------------
TOTAL INVESTMENTS - 99.8% 5,715,904
(Cost $6,737,966) (d)
NET OTHER ASSETS
AND LIABILITIES - 0.2% 10,109
------------
NET ASSETS - 100.0% $ 5,726,013
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$1,116,961 or 19.51% of net assets.
(c) Non-income producing security.
(d) Aggregate cost for federal income tax purposes is $6,872,327. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$376,675 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$1,533,098.
ADR American Depositary Receipt
See Notes to Financial Statements Page 53
FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND (FLN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Brazil $3,139,401 $2,165,398 $ 974,003 $ --
Chile 699,803 556,845 142,958 --
Other Country
Categories* 1,876,700 1,876,700 -- --
-----------------------------------------------------
Total Investments $5,715,904 $4,598,943 $1,116,961 $ --
=====================================================
* See Portfolio of Investments for country breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of December
31, 2014, the Fund transferred common stocks valued at $456,336 from Level 1 to
Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014, exceeding a
certain threshold.
INDUSTRY % OF NET ASSETS
------------------------------------------------------------
Banks 10.1%
Electric Utilities 7.9
Food Products 8.0
Wireless Telecommunication Services 7.0
Food & Staples Retailing 6.9
Independent Power and Renewable Electricity
Producers 6.2
Metals & Mining 6.0
Paper & Forest Products 4.3
Industrial Conglomerates 4.1
Diversified Telecommunication Services 4.0
Insurance 3.9
Aerospace & Defense 3.7
Real Estate Investment Trusts 3.6
Water Utilities 3.2
Consumer Finance 3.0
Transportation Infrastructure 2.8
Gas Utilities 2.7
Construction & Engineering 2.7
Oil, Gas & Consumable Fuels 2.6
Media 2.0
Internet & Catalog Retail 1.5
Diversified Consumer Services 1.5
Real Estate Management & Development 1.3
Chemicals 0.8
------------------------------------------------------------
TOTAL INVESTMENTS 99.8
NET OTHER ASSETS AND LIABILITIES 0.2
-------
TOTAL 100.0%
=======
Page 54 See Notes to Financial Statements
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.7%
AEROSPACE & DEFENSE - 1.1%
4,524 Embraer S.A. $ 41,594
------------
BANKS - 12.8%
11,399 Banco Bradesco S.A. (Preference
Shares) 150,346
7,351 Banco do Brasil S.A. 65,734
12,082 Banco Santander Brasil S.A. (a) 61,917
5,714 Itau Unibanco Holding S.A.
(Preference Shares) 74,375
42,043 Itausa - Investimentos Itau S.A.
(Preference Shares) 148,515
------------
500,887
------------
CAPITAL MARKETS - 5.8%
11,617 CETIP S.A. - Mercados
Organizados 140,722
7,966 Grupo BTG Pactual 84,359
------------
225,081
------------
CHEMICALS - 2.2%
12,965 Braskem S.A. (Preference Shares) 85,354
------------
DIVERSIFIED CONSUMER SERVICES
- 8.0%
15,613 Estacio Participacoes S.A. (a) 141,928
29,483 Kroton Educacional S.A. 171,916
------------
313,844
------------
DIVERSIFIED FINANCIAL SERVICES
- 0.7%
7,881 BM&FBovespa S.A. 29,203
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 4.7%
23,420 Oi S.A. (Preference Shares) (b) 75,858
6,089 Telefonica Brasil S.A. (Preference
Shares) 107,317
------------
183,175
------------
ELECTRIC UTILITIES - 4.4%
14,294 Centrais Electricas Brasileiras
S.A. 31,188
28,296 Cia Energetica de Minas Gerais
(Preference Shares) 139,873
------------
171,061
------------
FOOD & STAPLES RETAILING - 0.8%
887 Cia Brasileira de Distribuicao
(Preference Shares) 32,911
------------
FOOD PRODUCTS - 4.5%
1,710 BRF S.A. 40,810
24,036 JBS S.A. 101,273
935 M Dias Branco S.A. 32,009
------------
174,092
------------
GAS UTILITIES - 2.6%
5,592 Cia de Gas de Sao Paulo
COMGAS (Preference Shares) 102,659
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES - 3.7%
13,998 Qualicorp S.A. (b) $ 146,394
------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS - 4.3%
13,142 Cia Energetica de Sao Paulo
(Preference Shares) 132,547
2,768 Tractebel Energia S.A. (a) 35,541
------------
168,088
------------
INSURANCE - 6.0%
14,078 BB Seguridade Participacoes
S.A. (a) 169,879
5,734 Porto Seguro S.A. 65,576
------------
235,455
------------
INTERNET & CATALOG RETAIL - 3.5%
16,310 B2W Cia Digital (b) 137,686
------------
IT SERVICES - 4.0%
10,037 Cielo S.A. (a) 157,055
------------
MACHINERY - 3.8%
12,915 WEG S.A. 148,672
------------
METALS & MINING - 2.6%
28,234 Gerdau S.A. (Preference
Shares) (a) 101,408
------------
MULTILINE RETAIL - 6.1%
19,434 Lojas Americanas S.A.
(Preference Shares) 126,041
3,870 Lojas Renner S.A. 111,330
------------
237,371
------------
OIL, GAS & CONSUMABLE FUELS
- 3.4%
5,092 Cosan S.A. Industria e Comercio 55,264
21,131 Petroleo Brasileiro S.A.
(Preference Shares) 79,653
------------
134,917
------------
PAPER & FOREST PRODUCTS - 3.5%
30,379 Duratex S.A. (a) 92,121
10,887 Suzano Papel e Celulose S.A.
(Preference Shares) (a) 45,958
------------
138,079
------------
PERSONAL PRODUCTS - 2.3%
14,235 Hypermarcas S.A. (a) (b) 89,655
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 1.6%
9,717 BR Malls Participacoes S.A. (a) 60,605
------------
ROAD & RAIL - 2.6%
7,520 Localiza Rent a Car S.A. (a) 101,731
------------
TRANSPORTATION INFRASTRUCTURE
- 1.2%
4,964 Arteris S.A. 23,156
6,033 EcoRodovias Infraestrutura e
Logistica S.A. (a) 24,193
------------
47,349
------------
See Notes to Financial Statements Page 55
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
WATER UTILITIES - 1.9%
11,635 Cia de Saneamento Basico do
Estado de Sao Paulo (a) $ 74,935
------------
WIRELESS TELECOMMUNICATION
SERVICES - 1.6%
14,139 Tim Participacoes S.A. 62,658
------------
TOTAL INVESTMENTS - 99.7% 3,901,919
(Cost $4,650,998) (c)
NET OTHER ASSETS
AND LIABILITIES - 0.3% 9,847
------------
NET ASSETS - 100.0% $ 3,911,766
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$1,156,926 or 29.58% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $4,896,264. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$406,891 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$1,401,236.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Banks $ 500,887 $ 438,970 $ 61,917 $ --
Diversified
Consumer
Services 313,844 171,916 141,928 --
Diversified
Financial
Services 29,203 29,203 -- --
Independent
Power and
Renewable
Electricity
Producers 168,088 132,547 35,541 --
Insurance 235,455 65,576 169,879 --
IT Services 157,055 -- 157,055 --
Metals & Mining 101,408 -- 101,408 --
Paper & Forest
Products 138,079 -- 138,079 --
Personal Products 89,655 -- 89,655 --
Real Estate
Management &
Development 60,605 -- 60,605 --
Road & Rail 101,731 -- 101,731 --
Transportation
Infrastructure 47,349 23,156 24,193 --
Water Utilities 74,935 -- 74,935 --
Wireless
Telecommuni-
cation Services 62,658 62,658 -- --
Other Industry
Categories* 1,820,967 1,820,967 -- --
----------------------------------------------------
Total Investments $3,901,919 $2,744,993 $1,156,926 $ --
====================================================
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, 2014, the Fund transferred common stocks valued at $651,760 from Level 1 to
Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014 exceeding a
certain threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
Brazil 99.7%
Net Other Assets and Liabilities 0.3
-------
TOTAL 100.0%
=======
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
Page 56 See Notes to Financial Statements
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.9%
AEROSPACE & DEFENSE - 0.7%
179,200 AviChina Industry & Technology
Co., Ltd., Class H (a) $ 109,639
------------
AUTOMOBILES - 2.8%
1,413,991 Geely Automobile Holdings
Ltd. (a) 447,069
------------
BANKS - 7.6%
224,000 Bank of China Ltd., Class H (a) 125,724
656,128 China CITIC Bank Corp., Ltd.,
Class H (a) 522,250
218,864 China Minsheng Banking Corp.,
Ltd., Class H (a) 286,126
429,328 Chongqing Rural Commercial
Bank, Class H (a) 266,914
------------
1,201,014
------------
COMMERCIAL SERVICES & SUPPLIES
- 1.3%
140,000 China Everbright International
Ltd. (a) 208,487
------------
CONSTRUCTION & ENGINEERING
- 4.5%
591,728 China Communications
Construction Co., Ltd.,
Class H (a) 706,382
------------
CONSTRUCTION MATERIALS - 3.4%
448,928 China National Building Material
Co., Ltd., Class H (a) 432,500
156,800 China Resources Cement
Holdings Ltd. (a) 101,455
------------
533,955
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 5.7%
202,536 China Communications Services
Corp., Ltd., Class H (a) 94,445
811,064 China Telecom Corp., Ltd.,
Class H (a) 466,262
255,736 China Unicom Hong Kong
Ltd. (a) 342,063
------------
902,770
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS - 0.5%
15,400 AAC Technologies Holdings,
Inc. (a) 81,507
------------
GAS UTILITIES - 2.4%
238,936 China Gas Holdings Ltd. (a) 376,642
------------
HEALTH CARE PROVIDERS &
SERVICES - 0.8%
35,840 Sinopharm Group Co., Ltd.,
Class H (a) 126,345
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS - 2.0%
33,600 China Resources Power Holdings
Co., Ltd. (a) $ 86,347
174,536 Huaneng Power International,
Inc., Class H (a) 236,291
------------
322,638
------------
INDUSTRIAL CONGLOMERATES - 3.1%
284,465 CITIC Ltd. (a) 483,552
------------
INSURANCE - 4.6%
116,840 China Taiping Insurance Holdings
Co., Ltd. (a) (b) 332,037
204,000 PICC Property & Casualty Co.,
Ltd., Class H (a) 393,664
------------
725,701
------------
INTERNET & CATALOG RETAIL - 4.6%
4,649 Ctrip.com International Ltd.,
ADR (b) 211,530
26,434 Vipshop Holdings Ltd., ADR (b) 516,520
------------
728,050
------------
INTERNET SOFTWARE & SERVICES
- 4.9%
2,127 Baidu, Inc., ADR (b) 484,892
19,504 Tencent Holdings Ltd. (a) 282,202
------------
767,094
------------
MACHINERY - 3.8%
84,464 Haitian International Holdings
Ltd. (a) 177,460
461,000 Yangzijiang Shipbuilding
Holdings Ltd. (a) 417,765
------------
595,225
------------
METALS & MINING - 2.9%
691,601 China Hongqiao Group Ltd. (a) 462,083
------------
OIL, GAS & CONSUMABLE FUELS
- 7.6%
417,200 China Petroleum & Chemical
Corp., Class H (a) 337,865
103,250 China Shenhua Energy Co., Ltd.,
Class H (a) 304,018
221,426 CNOOC Ltd. (a) 299,406
235,200 PetroChina Co., Ltd., Class H (a) 260,485
------------
1,201,774
------------
PAPER & FOREST PRODUCTS - 0.8%
148,400 Nine Dragons Paper Holdings
Ltd. (a) 129,226
------------
PHARMACEUTICALS - 3.7%
162,400 China Medical System Holdings
Ltd. (a) 265,883
486,728 Sihuan Pharmaceutical Holdings
Group Ltd. (a) 325,623
------------
591,506
------------
See Notes to Financial Statements Page 57
FIRST TRUST CHINA ALPHADEX(R) FUND (FCA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 22.4%
84,000 China Overseas Land &
Investment Ltd. (a) $ 249,030
162,400 China Resources Land Ltd. (a) 426,790
947,327 China South City Holdings
Ltd. (a) 428,546
504,000 Country Garden Holdings Co.,
Ltd. (a) 199,159
1,280,262 Evergrande Real Estate Group
Ltd. (a) 517,563
402,080 Guangzhou R&F Properties Co.,
Ltd., Class H (a) 491,085
243,600 Longfor Properties Co., Ltd. (a) 314,521
162,636 Shimao Property Holdings Ltd. (a) 361,004
197,512 Sino-Ocean Land Holdings
Ltd. (a) 112,121
630,700 SOHO China Ltd. (a) 445,644
------------
3,545,463
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 3.0%
4,597,573 Semiconductor Manufacturing
International Corp. (a) (b) 419,642
78,400 Shunfeng International Clean
Energy Ltd. (a) (b) 55,496
------------
475,138
------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS - 3.0%
365,400 Lenovo Group Ltd. (a) 479,877
------------
TRANSPORTATION INFRASTRUCTURE
- 1.5%
196,000 Zhejiang Expressway Co., Ltd.,
Class H (a) 228,240
------------
WIRELESS TELECOMMUNICATION
SERVICES - 2.3%
30,336 China Mobile Ltd. (a) 356,103
------------
TOTAL INVESTMENTS - 99.9% 15,785,480
(Cost $15,776,461) (c)
NET OTHER ASSETS
AND LIABILITIES - 0.1% 17,894
------------
NET ASSETS - 100.0% $ 15,803,374
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$14,572,538 or 92.21% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $15,789,645. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$874,697 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$878,862.
ADR American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Internet &
Catalog Retail $ 728,050 $ 728,050 $ -- $ --
Internet Software
& Services 767,094 484,892 282,202 --
Other Industry
Categories* 14,290,336 -- 14,290,336 --
-----------------------------------------------------
Total Investments $15,785,480 $1,212,942 $14,572,538 $ --
=====================================================
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, 2014, the Fund transferred common stocks valued at $1,644,317 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014, exceeding a
certain threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
Cayman Islands 36.5%
China 34.1
Hong Kong 21.4
Bermuda 5.3
Singapore 2.6
------------------------------------------------------------
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.
Page 58 See Notes to Financial Statements
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.8%
AIRLINES - 1.9%
24,400 Japan Airlines Co., Ltd. (a) $ 723,437
------------
AUTO COMPONENTS - 10.6%
10,100 Aisin Seiki Co., Ltd. (a) 362,877
7,600 Bridgestone Corp. (a) 263,583
26,400 Koito Manufacturing Co., Ltd. (a) 807,623
4,700 NGK Spark Plug Co., Ltd. (a) 142,811
20,000 NOK Corp. (a) 509,070
15,500 Stanley Electric Co., Ltd. (a) 334,699
9,400 Sumitomo Electric Industries
Ltd. (a) 117,399
46,800 Sumitomo Rubber Industries
Ltd. (a) 695,732
2,500 Toyota Industries Corp. (a) 128,129
77,000 Yokohama Rubber (The) Co.,
Ltd. (a) 701,111
------------
4,063,034
------------
AUTOMOBILES - 6.6%
22,900 Daihatsu Motor Co., Ltd. (a) 299,093
11,500 Honda Motor Co., Ltd. (a) 337,390
10,500 Isuzu Motors Ltd. (a) 127,893
56,900 Nissan Motor Co., Ltd. (a) 496,269
17,200 Suzuki Motor Corp. (a) 515,439
4,500 Toyota Motor Corp. (a) 280,428
23,400 Yamaha Motor Co., Ltd. (a) 468,171
------------
2,524,683
------------
BUILDING PRODUCTS - 1.3%
24,000 Asahi Glass Co., Ltd. (a) 116,836
4,200 Daikin Industries Ltd. (a) 269,321
9,000 TOTO Ltd. (a) 104,695
------------
490,852
------------
CHEMICALS - 10.0%
34,000 Air Water, Inc. (a) 538,541
70,000 Asahi Kasei Corp. (a) 638,570
27,000 Daicel Corp. (a) 315,373
32,600 Hitachi Chemical Co., Ltd. (a) 575,938
21,300 Kuraray Co., Ltd. (a) 242,006
30,300 Mitsubishi Chemical Holdings
Corp. (a) 146,970
98,000 Mitsui Chemicals, Inc. (a) 277,573
19,000 Nippon Paint Holdings Co.,
Ltd. (a) 550,582
110,000 Tosoh Corp. (a) 528,976
------------
3,814,529
------------
CONSTRUCTION & ENGINEERING
- 5.7%
91,000 Kajima Corp. (a) 374,222
94,000 Obayashi Corp. (a) 605,943
94,000 Shimizu Corp. (a) 638,455
96,000 Taisei Corp. (a) 544,513
------------
2,163,133
------------
CONTAINERS & PACKAGING - 0.3%
8,800 Toyo Seikan Group Holdings
Ltd. (a) 109,309
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
DISTRIBUTORS - 1.6%
35,900 Canon Marketing Japan, Inc. (a) $ 608,420
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 1.5%
10,900 Nippon Telegraph & Telephone
Corp. (a) 556,801
------------
ELECTRIC UTILITIES - 1.7%
161,700 Tokyo Electric Power Co.,
Inc. (a) (b) 657,685
------------
ELECTRICAL EQUIPMENT - 1.5%
14,400 Mabuchi Motor Co., Ltd. (a) 571,571
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS - 3.1%
33,300 Ibiden Co., Ltd. (a) 491,713
109,600 Japan Display, Inc. (a) 334,498
45,000 Nippon Electric Glass Co.,
Ltd. (a) 202,490
2,900 TDK Corp. (a) 170,797
------------
1,199,498
------------
FOOD PRODUCTS - 1.2%
21,000 NH Foods Ltd. (a) 459,444
------------
GAS UTILITIES - 0.3%
24,000 Tokyo Gas Co., Ltd. (a) 129,496
------------
HEALTH CARE EQUIPMENT &
SUPPLIES - 0.4%
3,600 Sysmex Corp. (a) 159,777
------------
HOUSEHOLD DURABLES - 2.0%
18,500 Casio Computer Co., Ltd. (a) (c) 283,001
17,100 Nikon Corp. (a) 227,206
19,600 Sekisui House Ltd. (a) 257,897
------------
768,104
------------
IT SERVICES - 1.7%
91,000 Fujitsu Ltd. (a) 485,182
5,700 Otsuka Corp. (a) 180,738
------------
665,920
------------
LEISURE PRODUCTS - 0.3%
8,500 Yamaha Corp. (a) 125,289
------------
MACHINERY - 7.2%
53,000 Amada Co., Ltd. (a) 454,146
10,900 Hoshizaki Electric Co., Ltd. (a) 525,249
24,000 JTEKT Corp. (a) 403,915
60,000 Minebea Co., Ltd. (a) 886,074
6,000 NGK Insulators Ltd. (a) 122,990
31,000 NSK Ltd. (a) 366,009
------------
2,758,383
------------
MARINE - 2.4%
180,000 Mitsui OSK Lines Ltd. (a) 533,293
141,000 Nippon Yusen K.K. (a) 398,256
------------
931,549
------------
MEDIA - 1.4%
54,200 Hakuhodo DY Holdings, Inc. (a) 518,690
------------
See Notes to Financial Statements Page 59
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
METALS & MINING - 6.1%
9,000 Hitachi Metals Ltd. (a) $ 152,918
26,200 JFE Holdings, Inc. (a) 584,283
359,000 Kobe Steel Ltd. (a) 618,377
114,000 Mitsubishi Materials Corp. (a) 378,187
84,000 Nippon Steel & Sumitomo Metal
Corp. (a) 208,373
25,000 Sumitomo Metal Mining Co.,
Ltd. (a) 372,872
------------
2,315,010
------------
MULTILINE RETAIL - 0.8%
2,400 Ryohin Keikaku Co., Ltd. (a) 295,797
------------
OIL, GAS & CONSUMABLE FUELS
- 3.6%
18,600 Idemitsu Kosan Co., Ltd. (a) 307,148
26,400 Inpex Corp. (a) 293,910
50,200 JX Holdings, Inc. (a) 195,359
59,200 Showa Shell Sekiyu K.K. (a) (c) 583,147
------------
1,379,564
------------
PAPER & FOREST PRODUCTS - 0.9%
97,000 Oji Holdings Corp. (a) 347,055
------------
PHARMACEUTICALS - 1.3%
8,700 Otsuka Holdings Co., Ltd. (a) 260,837
4,700 Santen Pharmaceutical Co.,
Ltd. (a) 253,023
------------
513,860
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 2.7%
3,400 Daito Trust Construction Co.,
Ltd. (a) 385,689
12,800 Daiwa House Industry Co.,
Ltd. (a) 241,808
58,000 Tokyo Tatemono Co., Ltd. (a) 422,102
------------
1,049,599
------------
ROAD & RAIL - 1.1%
900 Central Japan Railway Co. (a) 134,889
34,000 Nagoya Railroad Co., Ltd. (a) 126,589
3,000 West Japan Railway Co. (a) 141,835
------------
403,313
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 1.1%
4,600 Rohm Co., Ltd. (a) 277,165
2,000 Tokyo Electron Ltd. (a) 151,660
------------
428,825
------------
SOFTWARE - 0.4%
14,200 Nexon Co., Ltd. (a) 132,374
------------
SPECIALTY RETAIL - 1.6%
7,500 ABC-Mart, Inc. (a) 362,911
4,900 Nitori Holdings Co., Ltd. (a) 263,270
------------
626,181
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS - 6.6%
38,800 Brother Industries Ltd. (a) $ 703,341
8,200 Canon, Inc. (a) 260,627
14,400 FUJIFILM Holdings Corp. (a) 439,395
45,100 Ricoh Co., Ltd. (a) 455,919
15,800 Seiko Epson Corp. (a) 661,139
------------
2,520,421
------------
TEXTILES, APPAREL & LUXURY
GOODS - 1.8%
28,900 Asics Corp. (a) 695,776
------------
TRADING COMPANIES &
DISTRIBUTORS - 7.5%
41,800 ITOCHU Corp. (a) 446,219
73,800 Marubeni Corp. (a) 441,573
26,000 Mitsubishi Corp. (a) 475,803
41,900 Mitsui & Co., Ltd. (a) 561,172
50,000 Sumitomo Corp. (a) 513,535
18,700 Toyota Tsusho Corp. (a) 434,400
------------
2,872,702
------------
WIRELESS TELECOMMUNICATION
SERVICES - 1.6%
2,200 KDDI Corp. (a) 138,213
31,400 NTT DOCOMO, Inc. (a) 457,280
------------
595,493
------------
TOTAL COMMON STOCKS 38,175,574
(Cost $41,163,900) ------------
MONEY MARKET FUNDS - 0.1%
38,597 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.01% (d) (e) 38,597
------------
TOTAL MONEY MARKET FUNDS 38,597
(Cost $38,597) ------------
PRINCIPAL
VALUE DESCRIPTION AMOUNT
------------------------------------------------------------
REPURCHASE AGREEMENTS - 1.2%
$ 84,741 JPMorgan Chase & Co., 0.06%
(d), dated 12/31/14, due
1/2/15, with a maturity value
of $84,741. Collateralized by
U.S. Treasury Notes, interest
rates of 0.75% to 1.25%, due
1/15/17 to 11/30/18. The value
of the collateral including
accrued interest is
$86,708. (e) 84,741
Page 60 See Notes to Financial Statements
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
PRINCIPAL
VALUE DESCRIPTION AMOUNT
------------------------------------------------------------
REPURCHASE AGREEMENTS (CONTINUED)
$ 368,196 RBC Capital Markets LLC, 0.06%
(d), dated 12/31/14, due
1/2/15, with a maturity value
of $368,198. Collateralized by
U.S. Treasury Notes, interest
rates of 0.25% to 1.75%, due
12/31/15 to 9/30/19. The value
of the collateral including
accrued interest is
$376,651. (e) $ 368,196
------------
TOTAL REPURCHASE AGREEMENTS 452,937
(Cost $452,937) ------------
TOTAL INVESTMENTS - 101.1% 38,667,108
(Cost $41,655,434) (f)
NET OTHER ASSETS
AND LIABILITIES - (1.1%) (429,217)
------------
NET ASSETS - 100.0% $ 38,237,891
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$38,175,574 or 99.84% of net assets.
(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 $460,768 and the total value of the collateral held by the
Fund is $491,534.
(d) Interest rate shown reflects yield as of December 31, 2014.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for federal income tax purposes is $41,753,140. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$3,846,506 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$6,932,538.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $38,175,574 $ -- $38,175,574 $ --
Money Market
Funds 38,597 38,597 -- --
Repurchase
Agreements 452,937 -- 452,937 --
-----------------------------------------------------
Total Investments $38,667,108 $38,597 $38,628,511 $ --
=====================================================
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, 2014, the Fund transferred common stock valued at $18,434,872 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014, exceeding a
certain threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
Japan 99.8%
United States 1.3
------------------------------------------------------------
TOTAL INVESTMENTS 101.1
NET OTHER ASSETS AND LIABILITIES (1.1)
-------
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 61
FIRST TRUST JAPAN ALPHADEX(R) FUND (FJP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2F - Offsetting on the Statements of Assets and
Liabilities).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with Securities Lending
Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(1) $ 460,768
Non-cash Collateral(2) (460,768)
------------
Net Amount $ --
============
(1) The amount presented on the Statements of Assets and Liabilities is not
offset and is shown on a gross basis.
(2) At December 31, 2014, the value of the collateral from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(3) $ 452,937
Non-cash Collateral(4) (452,937)
------------
Net Amount $ --
============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2014, the value of the collateral from the seller exceeded
the value of the repurchase agreements.
Page 62 See Notes to Financial Statements
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.3%
AIR FREIGHT & LOGISTICS - 3.0%
407 Hyundai Glovis Co., Ltd. (a) (b) $ 107,699
------------
AUTO COMPONENTS - 4.9%
599 Halla Visteon Climate Control
Corp. (a) (b) 26,390
909 Hankook Tire Co., Ltd. (a) (b) 43,197
290 Hyundai Mobis Co., Ltd. (a) (b) 62,044
280 Hyundai Wia Corp. (a) (b) 44,765
------------
176,396
------------
AUTOMOBILES - 5.8%
598 Hyundai Motor Co. (a) 91,348
2,424 Kia Motors Corp. (a) 115,179
------------
206,527
------------
BANKS - 3.5%
732 Hana Financial Group, Inc. (a) 21,200
6,097 Industrial Bank of Korea (a) (b) 77,996
779 KB Financial Group, Inc. (a) (b) 25,469
------------
124,665
------------
BUILDING PRODUCTS - 2.3%
178 KCC Corp. (a) 83,919
------------
CHEMICALS - 1.0%
93 LG Chem Ltd. (a) 15,207
149 Lotte Chemical Corp. (a) (b) 21,452
------------
36,659
------------
COMMERCIAL SERVICES & SUPPLIES
- 2.4%
1,190 KEPCO Plant Service &
Engineering Co., Ltd. (a) (b) 86,248
------------
CONSTRUCTION & ENGINEERING
- 1.2%
6,257 Daewoo Engineering &
Construction Co., Ltd. (a) (b) 33,243
343 Samsung Engineering Co.,
Ltd. (a) (b) 11,740
------------
44,983
------------
DIVERSIFIED FINANCIAL SERVICES
- 0.0%
196 Neo Holdings Co., Ltd. (a) (b) 0
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 4.9%
1,796 KT Corp. (a) (b) 50,786
11,904 LG Uplus Corp. (a) 124,117
------------
174,903
------------
ELECTRIC UTILITIES - 3.2%
2,942 Korea Electric Power Corp. (a) (b) 113,364
------------
ELECTRICAL EQUIPMENT - 0.5%
783 Doosan Heavy Industries &
Construction Co., Ltd. (a) (b) 16,728
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS - 6.1%
1,726 LG Display Co., Ltd. (a) 52,349
946 LG Innotek Co., Ltd. (a) 96,163
SHARES DESCRIPTION VALUE
------------------------------------------------------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS (CONTINUED)
1,412 Samsung Electro-Mechanics Co.,
Ltd. (a) $ 69,816
------------
218,328
------------
FOOD & STAPLES RETAILING - 1.8%
355 E-Mart Co., Ltd. (a) 65,695
------------
FOOD PRODUCTS - 3.1%
398 CJ CheilJedang Corp. (a) (b) 110,907
------------
GAS UTILITIES - 1.2%
994 Korea Gas Corp. (a) (b) 44,699
------------
HOTELS, RESTAURANTS & LEISURE
- 1.7%
2,935 Paradise Co., Ltd. (a) 62,563
------------
HOUSEHOLD DURABLES - 3.7%
972 Coway Co., Ltd. (a) (b) 74,117
1,108 LG Electronics, Inc. (a) 59,351
------------
133,468
------------
INDUSTRIAL CONGLOMERATES - 7.0%
784 CJ Corp. (a) (b) 111,000
878 LG Corp. (a) (b) 48,766
601 SK Holdings Co., Ltd. (a) (b) 89,205
------------
248,971
------------
INSURANCE - 2.3%
528 Dongbu Insurance Co., Ltd. (a) (b) 26,367
213 Samsung Fire & Marine
Insurance Co., Ltd. (a) 54,659
------------
81,026
------------
INTERNET SOFTWARE & SERVICES
- 0.6%
33 NAVER Corp. (a) 21,134
------------
IT SERVICES - 2.7%
494 SK C&C Co., Ltd. (a) (b) 95,675
------------
METALS & MINING - 6.9%
1,844 Hyundai Steel Co. (a) 105,621
138 Korea Zinc Co., Ltd. (a) (b) 50,441
361 POSCO (a) 90,934
------------
246,996
------------
MULTILINE RETAIL - 4.3%
395 Hyundai Department Store Co.,
Ltd. (a) (b) 43,934
445 Lotte Shopping Co., Ltd. (a) (b) 110,063
------------
153,997
------------
OIL, GAS & CONSUMABLE FUELS
- 2.4%
1,825 GS Holdings Corp. (a) (b) 66,428
243 SK Innovation Co., Ltd. (a) (b) 18,716
------------
85,144
------------
PERSONAL PRODUCTS - 8.7%
72 Amorepacific Corp. (a) (b) 145,358
184 AMOREPACIFIC Group (a) (b) 166,417
------------
311,775
------------
See Notes to Financial Statements Page 63
FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND (FKO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 3.4%
2,826 SK Hynix, Inc. (a) $ 120,770
------------
SPECIALTY RETAIL - 2.1%
901 Hotel Shilla Co., Ltd. (a) 74,735
------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS - 3.5%
104 Samsung Electronics Co., Ltd. (a) 125,033
------------
TRADING COMPANIES &
DISTRIBUTORS - 2.9%
1,839 Samsung C&T Corp. (a) 102,709
------------
WIRELESS TELECOMMUNICATION
SERVICES - 3.2%
464 SK Telecom Co., Ltd. (a) 113,491
------------
TOTAL INVESTMENTS - 100.3% 3,589,207
(Cost $3,607,622) (c)
NET OTHER ASSETS
AND LIABILITIES - (0.3%) (11,264)
------------
NET ASSETS - 100.0% $ 3,577,943
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$3,589,207 or 100.3% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $3,635,631. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$469,252 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$515,676.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $3,589,207 $ -- $3,589,207 $ --
======================================================
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, 2014, the Fund transferred common stocks valued at $2,170,395 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014, exceeding a
certain threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
South Korea 100.3%
Net Other Assets and Liabilities (0.3)
-------
TOTAL 100.0%
=======
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
Page 64 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.9%
AUSTRALIA - 3.3%
10,633 AGL Energy Ltd. $ 115,975
4,252 BHP Billiton Ltd. (b) 100,529
25,716 Caltex Australia Ltd. (b) 713,544
223,205 Federation Centres (b) 519,680
206,849 Fortescue Metals Group Ltd. (b) 454,166
106,248 Incitec Pivot Ltd. (b) 274,834
40,159 Lend Lease Group (b) 534,873
2,875 Ramsay Health Care Ltd. (b) 133,280
219,461 Scentre Group (b) (c) 621,771
21,048 TPG Telecom Ltd. (b) 115,138
------------
3,583,790
------------
AUSTRIA - 0.8%
3,311 ams AG (b) 119,692
11,228 OMV AG (b) 298,140
12,508 Verbund AG (b) 231,636
6,373 Voestalpine AG (b) 251,817
------------
901,285
------------
BELGIUM - 0.1%
1,374 Groupe Bruxelles Lambert
S.A. (b) 117,230
------------
BERMUDA - 3.1%
801,422 Brightoil Petroleum Holdings
Ltd. (b) (c) 200,789
44,661 Catlin Group Ltd. (b) 465,228
90,185 Cheung Kong Infrastructure
Holdings Ltd. (b) 664,933
87,406 Chinese Estates Holdings Ltd. 269,387
598,040 Goldin Financial Holdings
Ltd. (b) (c) (d) 578,573
187,601 Kerry Properties Ltd. (b) 675,566
45,544 Orient Overseas International
Ltd. (b) 265,750
23,480 Seadrill Ltd. (b) 271,667
------------
3,391,893
------------
CANADA - 6.5%
15,725 Alimentation Couche-Tard, Inc.,
Class B 659,021
9,100 Amaya, Inc. (c) 223,623
2,045 Boardwalk Real Estate
Investment Trust 108,323
5,599 Brookfield Asset Management,
Inc., Class A 280,576
7,124 Cameco Corp. 116,812
3,541 Canadian National Railway Co. 243,889
6,470 Canadian Natural Resources Ltd. 200,036
1,212 Canadian Pacific Railway Ltd. 233,418
2,455 Canadian Tire Corp. Ltd., Class A 259,362
5,033 CCL Industries, Inc., Class B 545,278
2,626 Enbridge, Inc. 135,029
11,932 Genworth MI Canada, Inc. 379,795
3,191 George Weston Ltd. 275,621
16,098 Gibson Energy, Inc. 376,747
9,160 Husky Energy, Inc. 216,819
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CANADA (CONTINUED)
4,643 InterOil Corp. (c) $ 226,532
3,120 Keyera Corp. 217,712
2,435 Linamar Corp. 148,703
25,459 Lundin Mining Corp. (c) 125,345
3,766 Methanex Corp. 173,000
3,758 Metro, Inc. 301,791
6,818 Open Text Corp. 396,768
29,988 Pacific Rubiales Energy Corp. (d) 185,586
2,186 Paramount Resources Ltd.,
Class A (c) 52,910
2,983 Pembina Pipeline Corp. 108,711
3,838 Restaurant Brands International,
Inc. (c) 150,309
17,481 Secure Energy Services, Inc. 255,339
6,947 Suncor Energy, Inc. 220,644
13,277 Teck Resources Ltd., Class B 181,476
------------
6,999,175
------------
CAYMAN ISLANDS - 0.6%
382,775 HK Electric Investments & HK
Electric Investments Ltd. (b) 252,803
666,506 New World China Land Ltd. (b) 394,088
------------
646,891
------------
DENMARK - 1.1%
211 AP Moeller - Maersk A.S.,
Class B (b) 419,669
3,212 Pandora A.S. (b) 260,356
870 Rockwool International A.S.,
Class B (b) 97,780
12,469 Topdanmark A.S. (b) (c) 404,701
------------
1,182,506
------------
FINLAND - 1.3%
20,657 Fortum OYJ (b) 448,495
18,353 Neste Oil OYJ (b) 447,035
3,217 Orion OYJ, Class B (b) 100,050
26,451 UPM-Kymmene OYJ (b) 433,484
------------
1,429,064
------------
FRANCE - 3.5%
10,223 AXA S.A. (b) 235,569
2,671 Cie Generale des Etablissements
Michelin (b) 241,102
16,696 Credit Agricole S.A. (b) 215,521
5,251 Eurazeo S.A. (b) 367,759
1,232 Ingenico (b) 129,777
2,560 Ipsen S.A. (b) 132,509
6,677 Korian-Medica 244,001
23,532 Lagardere SCA (b) 612,820
3,476 Renault S.A. (b) 253,179
46,688 Societe Television Francaise 1 (b) 717,752
1,939 Total S.A. (b) 99,339
5,478 Vallourec S.A. (b) 148,463
15,647 Vivendi S.A. (b) 389,462
------------
3,787,253
------------
See Notes to Financial Statements Page 65
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
GERMANY - 3.3%
9,151 Axel Springer SE (b) $ 551,940
1,170 Bayerische Motoren Werke
AG (b) 126,265
1,987 Bilfinger SE (b) 111,071
10,902 Evonik Industries AG (b) 355,982
3,812 HeidelbergCement AG (b) 269,051
8,882 K+S AG (b) 245,100
6,287 Porsche Automobil Holding SE
(Preference Shares) (b) 508,446
21,867 Rhoen Klinikum AG (b) 612,860
16,034 Suedzucker AG (b) (d) 230,534
1,818 Volkswagen AG (Preference
Shares) (b) 404,060
1,040 Wacker Chemie AG (b) 114,083
------------
3,529,392
------------
HONG KONG - 6.8%
137,108 Cathay Pacific Airways Ltd. (b) 299,293
38,318 Cheung Kong Holdings Ltd. (b) 642,690
78,042 Henderson Land Development
Co., Ltd. (b) 541,414
5,890 Hong Kong Exchanges and
Clearing Ltd. (b) 130,032
41,404 Hutchison Whampoa Ltd. (b) 473,843
136,632 Hysan Development Co., Ltd. (b) 606,374
109,390 Link REIT 684,159
64,414 MTR Corp. Ltd. (b) 263,535
433,297 New World Development Co.,
Ltd. (b) 497,429
401,185 PCCW Ltd. (b) 274,194
71,314 Power Assets Holdings Ltd. (b) 689,006
326,508 Sino Land Co., Ltd. (b) 520,796
35,565 Sun Hung Kai Properties Ltd. (b) 538,826
9,660 Swire Pacific Ltd., Class A (b) 125,391
40,376 Swire Properties Ltd. (b) 119,062
70,473 Wharf Holdings Ltd. (b) 505,932
105,933 Wheelock & Co., Ltd. (b) 491,841
------------
7,403,817
------------
IRELAND - 0.7%
2,201 ICON PLC (c) 112,229
39,678 King Digital Entertainment
PLC (d) 609,454
------------
721,683
------------
ISRAEL - 0.1%
818 Taro Pharmaceutical Industries
Ltd. (c) 121,219
------------
ITALY - 0.6%
23,638 Enel S.p.A. (b) 105,367
10,568 Eni S.p.A. (b) 185,114
12,943 Finmeccanica S.p.A. (b) (c) 120,303
219,780 Telecom Italia S.p.A. (b) (c) 234,393
------------
645,177
------------
JAPAN - 35.1%
36,700 Alps Electric Co., Ltd. (b) 693,718
47,000 Asahi Kasei Corp. (b) 428,754
SHARES DESCRIPTION VALUE
------------------------------------------------------------
JAPAN (CONTINUED)
22,300 Asics Corp. (b) $ 536,879
25,400 Astellas Pharma, Inc. (b) 353,621
14,800 Bandai Namco Bandai Holdings,
Inc. (b) 313,335
34,200 Brother Industries Ltd. (b) 619,956
32,700 Canon Marketing Japan, Inc. (b) 554,188
30,100 Casio Computer Co., Ltd. (b) (d) 460,450
11,600 COLOPL, Inc. (b) (c) 260,678
25,300 Dai-ichi Life Insurance (The)
Co., Ltd. (b) 384,050
58,000 Daicel Corp. (b) 677,468
7,900 Daihatsu Motor Co., Ltd. (b) 103,181
6,100 Daikin Industries Ltd. (b) 391,157
3,100 Daito Trust Construction Co.,
Ltd. (b) 351,657
19,100 Fuji Heavy Industries Ltd. (b) 675,872
16,300 FUJIFILM Holdings Corp. (b) 497,371
62,100 Hakuhodo DY Holdings, Inc. (b) 594,293
21,100 Hitachi Chemical Co., Ltd. (b) 372,770
21,900 Hitachi High-Technologies
Corp. (b) 629,114
49,000 Hitachi Ltd. (b) 361,658
34,000 Hitachi Metals Ltd. (b) 577,690
19,500 Ibiden Co., Ltd. (b) 287,940
72,000 IHI Corp. (b) 364,641
26,700 Inpex Corp. (b) 297,250
30,900 ITOCHU Corp. (b) 329,861
14,900 Izumi Co., Ltd. (b) 523,426
18,400 Japan Airlines Co., Ltd. (b) 545,543
9,400 Japan Airport Terminal Co.,
Ltd. (b) 369,646
104,400 Japan Display, Inc. (b) (c) 318,628
19,000 JFE Holdings, Inc. (b) 423,717
30,000 JTEKT Corp. (b) 504,894
106,000 Kajima Corp. (b) 435,908
233,000 Kobe Steel Ltd. (b) 401,342
23,200 Koito Manufacturing Co.,
Ltd. (b) 709,729
58,300 Konica Minolta, Inc. (b) 635,238
11,700 Kose Corp. (b) 457,356
24,000 Kubota Corp. (b) 348,355
11,600 Mabuchi Motor Co., Ltd. (b) 460,432
55,200 Marubeni Corp. (b) 330,282
25,300 Mazda Motor Corp. (b) 607,594
6,400 Meiji Holdings Co., Ltd. (b) 582,267
46,000 Minebea Co., Ltd. (b) 679,323
128,000 Mitsubishi Chemical Holdings
Corp. (b) 620,863
18,500 Mitsubishi Corp. (b) 338,552
47,000 Mitsubishi Electric Corp. (b) 558,269
77,000 Mitsubishi Heavy Industries
Ltd. (b) 424,931
24,000 Mitsui & Co., Ltd. (b) 321,435
181,000 Mitsui Chemicals, Inc. (b) 512,660
117,000 Mitsui OSK Lines Ltd. (b) 346,641
7,400 Mixi, Inc. (b) (d) 272,839
3,200 Murata Manufacturing Co.,
Ltd. (b) 349,187
Page 66 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
JAPAN (CONTINUED)
111,000 NEC Corp. (b) $ 322,566
16,000 NGK Insulators Ltd. (b) 327,973
29,000 NH Foods Ltd. (b) 634,471
5,600 Nidec Corp. (b) 361,680
17,000 Nippon Paint Co., Ltd. (b) 492,626
146,000 Nippon Steel & Sumitomo Metal
Corp. (b) 362,173
8,000 Nippon Telegraph & Telephone
Corp. (b) 408,661
8,100 Nitori Holdings Co., Ltd. (b) 435,201
27,500 NOK Corp. (b) 699,971
44,000 NSK Ltd. (b) 519,497
72,000 Obayashi Corp. (b) 464,126
11,200 Omron Corp. (b) 501,038
14,700 Otsuka Holdings Co., Ltd. (b) 440,724
35,100 Ricoh Co., Ltd. (b) 354,828
7,900 Rohm Co., Ltd. (b) 476,001
4,200 Ryohin Keikaku Co., Ltd. (b) 517,645
13,100 Seiko Epson Corp. (b) 548,159
32,000 Sekisui Chemical Co., Ltd. (b) 384,991
79,000 Shimizu Corp. (b) 536,574
34,400 Sumitomo Corp. (b) 353,312
113,000 Sumitomo Heavy Industries
Ltd. (b) 607,825
35,400 Sumitomo Rubber Industries
Ltd. (b) 526,259
19,000 Suzuki Motor Corp. (b) 569,380
89,000 Taisei Corp. (b) 504,809
11,300 TDK Corp. (b) 665,519
62,000 Tokyo Tatemono Co., Ltd. (b) 451,213
9,100 Tsuruha Holdings, Inc. (b) 526,555
16,500 Unicharm Corp. (b) 395,490
32,200 Yamaha Motor Co., Ltd. (b) 644,235
28,000 Yamazaki Baking Co., Ltd. (b) 345,499
58,000 Yokohama Rubber (The) Co.,
Ltd. (b) 528,109
------------
38,103,719
------------
JERSEY - 0.2%
76,635 Henderson Group PLC (b) 253,377
------------
LUXEMBOURG - 0.4%
44,093 Subsea 7 S.A. (b) 451,199
------------
NETHERLANDS - 0.6%
4,475 Boskalis Westminster N.V. (b) 244,805
5,224 Delta Lloyd N.V. (b) 114,878
13,052 Fiat Chrysler Automobiles
N.V. (b) (c) 151,661
4,341 NN Group N.V. (b) (c) 129,594
------------
640,938
------------
NEW ZEALAND - 0.4%
113,024 Meridian Energy Ltd. (b) (d) 154,402
63,010 Mighty River Power Ltd. (b) 146,131
54,419 Spark New Zealand Ltd. (b) 131,920
------------
432,453
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
NORWAY - 1.6%
5,955 Gjensidige Forsikring ASA (b) $ 97,170
36,001 Marine Harvest ASA (b) 494,309
45,027 Norsk Hydro ASA (b) 253,639
13,871 Orkla ASA (b) 94,426
18,474 Statoil ASA (b) 325,269
19,795 TGS Nopec Geophysical Co.
ASA (b) (d) 427,507
------------
1,692,320
------------
PORTUGAL - 0.5%
81,454 Banco Espirito Santo
S.A. (b) (c) (e) 0
63,236 Portucel S.A. (b) 234,498
260,608 Sonae SGPS S.A. (b) 320,765
------------
555,263
------------
SINGAPORE - 2.0%
84,000 CapitaMall Trust (b) 128,971
189,000 Frasers Centrepoint Ltd. (b) 240,414
229,630 Keppel Land Ltd. (b) 591,556
674,000 Keppel REIT (b) 619,022
89,000 Singapore Post Ltd. (b) 128,756
97,294 UOL Group Ltd. (b) 508,632
------------
2,217,351
------------
SOUTH KOREA - 11.3%
166 Amorepacific Corp. (b) 335,131
455 AMOREPACIFIC Group (b) 411,520
1,716 CJ CheilJedang Corp. (b) 478,184
3,820 CJ Corp. (b) 540,840
3,969 CJ Korea Express Co., Ltd. (b) (c) 700,799
6,598 GS Holdings Corp. (b) 240,161
7,745 Hankook Tire Co., Ltd. (b) 368,055
3,337 Hotel Shilla Co., Ltd. (b) 276,792
15,567 Hyundai Development Co.
Engineering & Construction (b) 545,839
1,651 Hyundai Glovis Co., Ltd. (b) 436,881
2,587 Hyundai Mobis Co., Ltd. (b) 553,480
3,489 Hyundai Motor Co. (b) 532,966
7,165 Hyundai Steel Co. (b) 410,396
620 Hyundai Wia Corp. (b) 99,121
25,004 Industrial Bank of Korea (b) 319,866
370 KCC Corp. (b) 174,438
3,181 KEPCO Plant Service &
Engineering Co., Ltd. (b) 230,550
12,377 Kia Motors Corp. (b) 588,105
13,050 Korea Aerospace Industries
Ltd. (b) 470,931
13,789 Korea Electric Power Corp. (b) 531,332
519 LG Chem Ltd. (b) 84,868
3,910 LG Display Co., Ltd. (b) 118,588
10,720 LG Uplus Corp. (b) 111,772
1,893 Lotte Chemical Corp. (b) 272,539
121 Lotte Confectionery Co., Ltd. (b) 196,042
842 Lotte Shopping Co., Ltd. (b) 208,254
808 POSCO (b) 203,531
3,518 Samsung C&T Corp. (b) 196,482
2,687 Samsung Electro-Mechanics Co.,
Ltd. (b) 132,859
562 Samsung Electronics Co., Ltd. (b) 675,661
See Notes to Financial Statements Page 67
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SOUTH KOREA (CONTINUED)
1,411 Samsung Fire & Marine
Insurance Co., Ltd. (b) $ 362,082
3,964 Sewon Precision Industry Co.,
Ltd. 91,062
1,096 SK C&C Co., Ltd. (b) 212,266
703 SK Holdings Co., Ltd. (b) 104,345
8,532 SK Hynix, Inc. (b) 364,618
917 SK Telecom Co., Ltd. (b) 224,292
8,703 Youngone Corp. (b) 420,457
------------
12,225,105
------------
SPAIN - 0.4%
2,381 Corp. Financiera Alba S.A. (b) 116,410
3,175 Endesa S.A. (b) 63,562
35,177 Iberdrola S.A. (b) 237,119
------------
417,091
------------
SWEDEN - 2.5%
26,632 BillerudKorsnas AB (b) 381,934
10,102 Hufvudstaden AB, Class A (b) 131,093
3,848 ICA Gruppen AB (b) 149,835
36,007 Industrivarden AB, Class C (b) 625,015
17,417 Investment AB Kinnevik,
Class B (b) 566,387
17,793 Investor AB, Class B (b) 646,915
3,144 LE Lundbergforetagen AB,
Class B (b) 135,898
14,600 SSAB AB, Class A (b) (c) 84,427
------------
2,721,504
------------
SWITZERLAND - 1.9%
1,964 Baloise Holding AG (b) 251,022
259 Helvetia Holding AG (b) 123,064
1,042 Lonza Group AG (b) 117,320
3,165 Pargesa Holding S.A. (b) 244,230
4,098 Sulzer AG (b) 438,368
2,109 Swiss Life Holding AG (b) 498,466
3,160 Swiss Re AG (b) 264,719
422 Zurich Insurance Group AG (b) 131,876
------------
2,069,065
------------
UNITED KINGDOM - 11.2%
81,096 3i Group PLC (b) 565,464
17,905 Amlin PLC (b) 132,816
14,900 Ashtead Group PLC (b) 264,623
59,376 Aviva PLC (b) 446,114
13,594 BHP Billiton PLC (b) 291,338
34,276 BP PLC (b) 217,569
55,310 British Land Co., PLC (b) 666,964
11,102 BTG PLC (b) (c) 137,030
47,283 Capital & Counties Properties
PLC (b) 267,174
14,227 Derwent London PLC (b) 664,169
52,829 Direct Line Insurance Group
PLC (b) 238,977
106,073 Dixons Carphone PLC (b) 761,927
60,757 Great Portland Estates PLC (b) 693,088
67,632 Hammerson PLC (b) 633,368
120,405 Intu Properties PLC (b) 622,486
SHARES DESCRIPTION VALUE
------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
123,595 J Sainsbury PLC (b) $ 471,970
15,558 Jazztel PLC (b) (c) 235,128
71,976 Kingfisher PLC (b) 380,475
29,916 Land Securities Group PLC (b) 537,759
156,862 Melrose Industries PLC (b) 649,323
40,862 Millennium & Copthorne Hotels
PLC (b) 374,749
70,007 Premier Oil PLC (b) 181,070
5,646 Prudential PLC (b) 130,533
8,025 Rolls-Royce Holdings PLC (b) 107,807
8,025 Rolls-Royce Holdings PLC, Class C
(Preference Shares) (b) (c) 1,199
99,068 Royal Mail PLC (b) 660,184
85,608 Segro PLC (b) 490,420
45,610 Shaftesbury PLC (b) 551,928
18,753 Standard Life PLC (b) 116,161
190,091 Vodafone Group PLC (b) 651,751
------------
12,143,564
------------
TOTAL COMMON STOCKS 108,383,324
(Cost $107,830,451) ------------
MONEY MARKET FUNDS - 0.2%
181,338 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.01% (f) (g) 181,338
------------
TOTAL MONEY MARKET FUNDS 181,338
(Cost $181,338) ------------
PRINCIPAL
VALUE DESCRIPTION AMOUNT
------------------------------------------------------------
REPURCHASE AGREEMENTS - 1.9%
$ 398,130 JPMorgan Chase & Co., 0.06% (f),
dated 12/31/14, due 1/2/15,
with a maturity value of
$398,132. Collateralized by
U.S. Treasury Notes, interest
rates of 0.75% to 1.25%, due
1/15/17 to 11/30/18. The value
of the collateral including
accrued interest is
$407,376. (g) 398,130
1,729,875 RBC Capital Markets LLC,
0.06% (f), dated 12/31/14, due
1/2/15, with a maturity value
of $1,729,880. Collateralized
by U.S. Treasury Notes,
interest rates of 0.25% to
1.75%, due 12/31/15 to 9/30/19.
The value of the collateral
including accrued interest is
$1,769,595. (g) 1,729,875
------------
TOTAL REPURCHASE AGREEMENTS 2,128,005
(Cost $2,128,005) ------------
TOTAL INVESTMENTS - 102.0% 110,692,667
(Cost $110,139,794) (h)
NET OTHER ASSETS
AND LIABILITIES - (2.0%) (2,182,259)
------------
NET ASSETS - 100.0% $108,510,408
============
Page 68 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$99,136,663 or 91.36% of net assets.
(c) Non-income producing security.
(d) 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 $2,167,874 and the total value of the collateral held by the
Fund is $2,309,343.
(e) This company has filed for protection in federal bankruptcy court.
(f) Interest rate shown reflects yield as of December 31, 2014.
(g) This security serves as collateral for securities on loan.
(h) Aggregate cost for federal income tax purposes is $110,840,811. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$7,374,908 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$7,523,052.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Australia $ 3,583,790 $ 115,975 $ 3,467,815 $ --
Bermuda 3,391,893 269,387 3,122,506 --
Canada 6,999,175 6,999,175 -- --
France 3,787,253 244,001 3,543,252 --
Hong Kong 7,403,817 684,159 6,719,658 --
Ireland 721,683 721,683 -- --
Israel 121,219 121,219 -- --
Portugal 555,263 -- 555,263 -- *
South Korea 12,225,105 91,062 12,134,043 --
Other Country
Categories** 69,594,126 -- 69,594,126 --
------------------------------------------------------
Total Common
Stocks 108,383,324 9,246,661 99,136,663 -- *
Money Market
Funds 181,338 181,338 -- --
Repurchase
Agreements 2,128,005 -- 2,128,005 --
------------------------------------------------------
Total Investments $110,692,667 $9,427,999 $101,264,668 $ -- *
======================================================
* Investment is valued at $0.
** See Portfolio of Investments for country breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of December
31, 2014, the Fund transferred common stocks valued at $34,109,477 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014 exceeding a
certain threshold.
Level 3 common stocks are fair valued by the Advisor's Pricing Committee. The
Trust's Board of Trustees has adopted valuation procedures that are utilized by
the Pricing Committee to oversee the day-to-day valuation of the Fund's
investments. The Advisor's Pricing Committee, through the Fund's fund accounting
agent, monitors daily pricing via tolerance checks and stale and unchanged price
reviews. The Advisor's Pricing Committee also reviews monthly back testing of
pricing service prices by comparing sales prices of Fund investments to prior
day pricing service prices. Additionally, the Advisor's Pricing Committee
reviews periodic information from the Fund's third party pricing service that
compares secondary market trade prices to their daily valuations.
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, 2013
Common Stocks $ --
Net Realized Gain (Loss) --
Net Change in Unrealized Appreciation/
Depreciation --
Purchases -- *
Sales --
Transfers In --
Transfers Out --
ENDING BALANCE AT DECEMBER 31, 2014
Common Stocks -- *
------------
Total Level 3 holdings $ -- *
============
* Investment is valued at $0.
See Notes to Financial Statements Page 69
FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND (FDT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2F - Offsetting on the Statements of Assets and
Liabilities).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(1) $ 2,167,874
Non-cash Collateral(2) (2,167,874)
------------
Net Amount $ --
============
(1) The amount presented on the Statements of Assets and Liabilities is not
offset and is shown on a gross basis.
(2) At December 31, 2014, the value of the collateral from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(3) $ 2,128,005
Non-cash Collateral(4) (2,128,005)
------------
Net Amount $ --
============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2014, the value of the collateral from each seller
exceeded the value of the repurchase agreements.
INDUSTRY % OF NET ASSETS
------------------------------------------------------------
Real Estate Management & Development 8.5%
Real Estate Investment Trusts 6.9
Oil, Gas & Consumable Fuels 4.8
Automobiles 4.7
Machinery 4.5
Chemicals 4.2
Insurance 4.2
Electronic Equipment, Instruments & Components 3.9
Metals & Mining 3.8
Auto Components 3.7
Technology Hardware, Storage & Peripherals 3.4
Diversified Financial Services 3.3
Electric Utilities 3.1
Food Products 2.8
Construction & Engineering 2.5
Food & Staples Retailing 2.5
Media 2.3
Trading Companies & Distributors 2.0
Repurchase Agreements 2.0
INDUSTRY (CONTINUED) % OF NET ASSETS
------------------------------------------------------------
Diversified Telecommunication Services 1.8%
Specialty Retail 1.7
Multiline Retail 1.4
Road & Rail 1.3
Energy Equipment & Services 1.3
Electrical Equipment 1.3
Pharmaceuticals 1.2
Software 1.2
Air Freight & Logistics 1.1
Textiles, Apparel & Luxury Goods 1.1
Personal Products 1.1
Industrial Conglomerates 1.0
Marine 1.0
Health Care Providers & Services 0.9
Semiconductors & Semiconductor Equipment 0.9
Containers & Packaging 0.9
Wireless Telecommunication Services 0.8
Household Durables 0.8
Airlines 0.8
Capital Markets 0.8
Hotels, Restaurants & Leisure 0.7
Aerospace & Defense 0.6
Paper & Forest Products 0.6
Building Products 0.6
Distributors 0.5
Banks 0.5
Household Products 0.4
Thrifts & Mortgage Finance 0.4
Transportation Infrastructure 0.3
Commercial Services & Supplies 0.3
Leisure Products 0.3
Internet Software & Services 0.3
Construction Materials 0.2
Life Sciences Tools & Services 0.2
IT Services 0.2
Money Market Funds 0.2
Independent Power and Renewable Electricity
Producers 0.1
Multi-Utilities 0.1
------------------------------------------------------------
TOTAL INVESTMENTS 102.0
NET OTHER ASSETS AND LIABILITIES (2.0)
-------
TOTAL 100.0%
=======
CURRENCY EXPOSURE
DIVERSIFICATION % OF TOTAL INVESTMENTS
------------------------------------------------------------
Japanese Yen 34.4%
British Pound Sterling 11.4
South Korean Won 11.0
Euro 11.0
Hong Kong Dollar 9.7
Canadian Dollar 6.1
Australian Dollar 3.2
US Dollar 3.0
Swedish Krona 2.5
Norwegian Krone 2.2
Singapore Dollar 2.0
Swiss Franc 2.0
Danish Krone 1.1
New Zealand Dollar 0.4
-------
TOTAL 100.0%
=======
Page 70 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.8%
BRAZIL - 8.6%
87,266 B2W Cia Digital (b) $ 736,682
578,862 Cia de Saneamento Basico do
Estado de Sao Paulo (c) 3,728,129
954,714 Cia Energetica de Minas Gerais
(Preference Shares) 4,719,337
343,386 Cia Paranaense de Energia
(Preference Shares) 4,637,558
592,633 Embraer S.A. 5,448,781
485,959 Gerdau S.A. (Preference
Shares) (c) 1,745,415
926,305 Itausa - Investimentos Itau S.A.
(Preference Shares) 3,272,141
1,564,118 JBS S.A. 6,590,220
295,579 Oi S.A. (Preference Shares) (b) 957,390
316,415 Petroleo Brasileiro S.A.
(Preference Shares) 1,192,716
201,513 Porto Seguro S.A. 2,304,565
136,734 Raia Drogasil S.A. (c) 1,316,430
290,920 Suzano Papel e Celulose S.A.
(Preference Shares) (c) 1,228,062
177,365 Telefonica Brasil S.A.
(Preference Shares) 3,126,007
------------
41,003,433
------------
CAYMAN ISLANDS - 16.7%
7,613,930 Agile Property Holdings Ltd. (c) 4,327,600
1,146,900 ANTA Sports Products Ltd (c) 2,016,114
16,037 Baidu, Inc., ADR (b) 3,655,955
59,895 Bitauto Holdings Ltd., ADR (b) 4,217,207
1,813,540 China Conch Venture Holdings
Ltd. (c) (d) 3,930,076
7,781,659 China Hongqiao Group Ltd. (c) 5,199,198
2,732,900 China Medical System Holdings
Ltd. (c) 4,474,338
1,706,294 China Resources Cement
Holdings Ltd. (c) 1,104,031
1,133,043 China Resources Land Ltd. (c) 2,977,657
11,753,100 China Zhongwang Holdings
Ltd. (c) (d) 5,187,989
12,386,193 Country Garden Holdings Co.,
Ltd. (c) 4,894,491
12,429,287 Evergrande Real Estate Group
Ltd. (c) (d) 5,024,701
3,183,851 GCL-Poly Energy Holdings
Ltd. (b) (c) 743,660
8,375,032 Geely Automobile Holdings
Ltd. (c) 2,647,977
4,087,044 Longfor Properties Co., Ltd. (c) 5,276,929
56,707,900 Semiconductor Manufacturing
International Corp. (b) (c) 5,175,994
1,731,610 Shimao Property Holdings Ltd. (c) 3,843,668
2,349,819 Sino Biopharmaceutical Ltd. (c) 2,129,484
8,072,495 SOHO China Ltd. (c) 5,703,915
167,165 TAL Education Group, ADR (b) 4,695,665
123,630 Vipshop Holdings Ltd., ADR (b) 2,415,730
------------
79,642,379
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CHILE - 1.4%
456,810,552 Corpbanca S.A. $ 5,490,909
102,854 ENTEL Chile S.A. 1,027,862
------------
6,518,771
------------
CHINA - 11.3%
8,172,900 AviChina Industry & Technology
Co., Ltd., Class H (c) 5,000,383
2,512,326 China Communications Services
Corp., Ltd., Class H (c) 1,171,529
7,673,100 China Molybdenum Co., Ltd.,
Class H (c) 4,445,763
1,289,699 China National Building Material
Co., Ltd., Class H (c) 1,242,504
7,623,271 China Telecom Corp., Ltd.,
Class H (c) 4,382,446
3,555,641 Dongfeng Motor Group Co., Ltd.,
Class H (c) 4,964,653
5,778,989 Guangzhou R&F Properties Co.,
Ltd., Class H (c) 7,058,228
3,988,300 Huadian Fuxin Energy Corp.,
Ltd., Class H (c) (d) 1,867,811
3,419,304 PICC Property & Casualty Co.,
Ltd., Class H (c) 6,598,313
1,083,684 Sinopec Engineering Group Co.,
Ltd., Class H (c) 730,737
1,597,400 Sinopharm Group Co., Ltd.,
Class H (c) 5,631,250
6,434,500 Sinotrans Ltd., Class H (c) 4,275,972
2,171,100 TravelSky Technology Ltd.,
Class H (c) 2,337,340
710,105 Zhuzhou CSR Times Electric
Co., Ltd., Class H 4,125,297
------------
53,832,226
------------
EGYPT - 2.4%
656,944 Commercial International Bank
Egypt SAE (c) 4,474,212
1,459,300 Talaat Moustafa Group (c) 1,982,399
3,038,047 Telecom Egypt Co. (c) 5,002,565
------------
11,459,176
------------
HONG KONG - 8.2%
5,040,900 BYD Electronic International
Co., Ltd. (c) 4,848,178
202,398 China Mobile Ltd. (c) 2,375,876
1,363,616 China Overseas Land &
Investment Ltd. (c) 4,042,642
2,519,800 China Power International
Development Ltd. (c) (d) 1,271,458
434,000 China Resources Power Holdings
Co., Ltd. (c) 1,115,318
5,054,061 China South City Holdings
Ltd. (c) 2,286,325
1,134,441 China Taiping Insurance
Holdings Co., Ltd. (b) (c) 3,223,871
1,400,794 CITIC Ltd. (c) 2,381,160
2,725,321 CNOOC Ltd. (c) 3,685,095
6,527,500 Far East Horizon Ltd. (c) 6,415,718
3,923,700 Lenovo Group Ltd. (c) 5,152,969
See Notes to Financial Statements Page 71
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
HONG KONG (CONTINUED)
4,437,100 Sino-Ocean Land Holdings
Ltd. (c) $ 2,518,795
------------
39,317,405
------------
INDONESIA - 2.5%
24,234,444 Adaro Energy Tbk PT (c) 2,021,994
2,177,844 Bank Central Asia Tbk PT (c) 2,310,122
2,576,961 Bank Negara Indonesia Persero
Tbk PT (c) 1,262,697
753,628 Gudang Garam Tbk PT (c) 3,691,963
877,534 Matahari Department Store
Tbk PT (c) 1,057,394
4,592,870 XL Axiata Tbk PT (c) 1,801,016
------------
12,145,186
------------
JERSEY - 0.9%
6,301,400 United Co., RUSAL PLC (b) (c) 4,238,050
------------
LUXEMBOURG - 0.5%
145,753 Ternium S.A., ADR 2,571,083
------------
MALAYSIA - 2.7%
2,887,100 HAP Seng Consolidated Bhd (c) 3,858,583
4,388,300 IOI Properties Group Bhd (c) 3,026,298
6,285,400 Westports Holdings Bhd 6,040,024
------------
12,924,905
------------
MALTA - 0.8%
543,845 Brait SE (b) (c) 3,681,584
------------
MEXICO - 4.4%
1,024,135 Alfa S.A.B. de C.V., Series A (b) 2,288,620
2,775,845 America Movil S.A.B. de C.V.,
Series L 3,093,105
546,217 Compartamos S.A.B. de C.V. (b) 1,097,710
1,774,769 Fibra Uno Administracion S.A.
de C.V. 5,232,734
714,723 Impulsora del Desarrollo y El
Empleo en America Latina
S.A.B. de C.V. (b) 1,943,068
703,580 Industrias Bachoco S.A.B. de
C.V. (b) 2,956,669
246,254 Megacable Holdings S.A.B. de
C.V. (b) 962,901
1,726,845 OHL Mexico S.A.B. de C.V. (b) 3,218,723
------------
20,793,530
------------
NETHERLANDS - 0.6%
253,342 X5 Retail Group N.V.,
GDR (b) (c) 3,069,710
------------
PHILIPPINES - 5.0%
1,286,300 Aboitiz Power Corp. (c) 1,223,374
212,600 Ayala Corp. (c) 3,284,591
1,501,700 Ayala Land, Inc. (c) 1,119,784
15,557,700 Bloomberry Resorts Corp. (b) (c) 4,289,295
247,515 GT Capital Holdings, Inc. (c) 5,669,379
905,220 JG Summit Holdings, Inc. (c) 1,325,681
41,685,100 Megaworld Corp. (c) 4,307,447
561,230 Universal Robina Corp. (c) 2,446,899
------------
23,666,450
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
POLAND - 3.3%
643,777 Energa S.A. (c) $ 4,186,669
91,630 KGHM Polska Miedz S.A. (c) 2,793,332
736,803 PGE Polska Grupa Energetyczna
S.A. (c) 3,895,645
763,379 Polskie Gornictwo Naftowe i
Gazownictwo S.A. (c) 951,973
2,877,329 Tauron Polska Energia S.A. (c) 4,068,464
------------
15,896,083
------------
RUSSIA - 8.5%
2,647 AK Transneft OAO (Preference
Shares) (b) (c) 5,490,074
6,509,720 Alrosa AO (c) 6,750,820
55,241,390 E.ON Russia JSC (b) (c) 2,073,265
1,675,819 Gazprom OAO (c) 3,594,667
114,698 Lukoil OAO (b) (c) 4,200,873
312,823 Mobile Telesystems OJSC, ADR 2,246,069
1,762,099 Rostelecom OJSC (b) (c) 2,523,789
197,066,494 RusHydro JSC (b) (c) 1,756,651
587,309 Severstal PAO (b) (c) 4,852,187
8,874,568 Surgutneftegas OAO (b) (c) 3,435,878
996,141 Tatneft OAO (b) (c) 3,746,802
------------
40,671,075
------------
SINGAPORE - 1.0%
5,011,000 Yangzijiang Shipbuilding
Holdings Ltd. (c) 4,541,041
------------
SOUTH AFRICA - 6.6%
368,559 African Rainbow Minerals Ltd. (c) 3,774,169
39,276 Aspen Pharmacare Holdings
Ltd. (c) 1,370,186
307,011 Assore Ltd. (c) 3,939,569
535,736 Growthpoint Properties Ltd. (c) 1,272,909
49,551 Kumba Iron Ore Ltd. (c) 1,024,765
287,032 Mediclinic International Ltd. (c) 2,484,546
186,520 Mr. Price Group Ltd. (c) 3,773,092
1,670,560 Netcare Ltd (c) 5,459,579
2,716,404 Redefine Properties Ltd. (c) 2,512,511
1,010,862 Sanlam Ltd. (c) 6,082,645
------------
31,693,971
------------
TAIWAN - 4.2%
2,766,084 AU Optronics Corp. (c) 1,403,974
2,152,035 Cathay Financial Holding Co.,
Ltd. (c) 3,179,932
1,738,053 CTBC Financial Holding Co.,
Ltd. (c) 1,124,430
2,283,321 Fubon Financial Holding Co.,
Ltd. (c) 3,634,428
1,480,993 Hon Hai Precision Industry Co.,
Ltd. (c) 4,089,783
1,572,727 Inotera Memories, Inc. (b) (c) 2,467,606
851,377 Siliconware Precision Industries
Co., Ltd. (c) 1,282,878
5,641,956 United Microelectronics Corp. (c) 2,618,840
------------
19,801,871
------------
Page 72 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
THAILAND - 7.1%
2,355,300 Bangkok Life Assurance PCL (c) $ 3,278,334
3,759,300 Charoen Pokphand Foods PCL 3,113,706
227,800 Electricity Generating PCL 1,159,772
6,258,800 Energy Absolute PCL 4,755,927
796,000 Glow Energy PCL 2,159,362
1,597,800 Krung Thai Bank PCL 1,102,433
3,068,500 Minor International PCL 3,031,193
476,700 PTT Exploration & Production
Public Co., Ltd. 1,622,809
1,862,700 PTT Global Chemical PCL 2,901,622
101,500 PTT PCL 999,574
2,208,800 Thai Oil PCL 2,819,745
1,022,800 Thai Union Frozen Products PCL 2,813,477
12,730,500 True Corp. PCL (b) 4,295,093
------------
34,053,047
------------
TURKEY - 2.5%
3,359,286 Emlak Konut Gayrimenkul
Yatirim Ortakligi A.S. (c) 3,973,266
1,890,139 Eregli Demir ve Celik Fabrikalari
TAS (c) 3,596,156
58,203 Tupras Turkiye Petrol
Rafinerileri A.S. (c) 1,377,073
447,898 Turkcell Iletisim Hizmetleri
A.S. (b) (c) 2,733,294
------------
11,679,789
------------
UNITED KINGDOM - 0.3%
554,479 Evraz PLC (c) 1,325,309
------------
VIRGIN ISLANDS (BRITISH) - 0.3%
83,169 Mail.ru Group Ltd., GDR (b) (c) 1,342,695
------------
TOTAL COMMON STOCKS 475,868,769
(Cost $525,049,806) ------------
MONEY MARKET FUNDS - 0.1%
803,976 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.01% (e) (f) 803,976
------------
TOTAL MONEY MARKET FUNDS 803,976
(Cost $803,976) ------------
PRINCIPAL
VALUE DESCRIPTION AMOUNT
------------------------------------------------------------
REPURCHASE AGREEMENTS - 2.0%
$ 1,765,141 JPMorgan Chase & Co., 0.06% (e),
dated 12/31/14, due 1/2/15,
with a maturity value of
$1,765,146. Collateralized by
U.S. Treasury Notes, interest
rates of 0.75% to 1.25%, due
1/15/17 to 11/30/18. The value
of the collateral including
accrued interest is
$1,806,131. (f) $ 1,765,141
7,669,527 RBC Capital Markets LLC,
0.06% (e), dated 12/31/14, due
1/2/15, with a maturity value
of $7,669,553. Collateralized
by U.S. Treasury Notes,
interest rates of 0.25% to
1.75%, due 12/31/15 to 9/30/19.
The value of the collateral
including accrued interest is
$7,845,629. (f) 7,669,527
------------
TOTAL REPURCHASE AGREEMENTS 9,434,668
(Cost $9,434,668) ------------
TOTAL INVESTMENTS - 101.9% 486,107,413
(Cost $535,288,450) (g)
NET OTHER ASSETS
AND LIABILITIES - (1.9%) (9,198,456)
------------
NET ASSETS - 100.0% $476,908,957
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) Non-income producing security.
(c) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$354,829,328 or 74.40% of net assets.
(d) 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 $9,583,287 and the total value of the collateral held by the
Fund is $10,238,644.
(e) Interest rate shown reflects yield as of December 31, 2014.
(f) This security serves as collateral for securities on loan.
(g) Aggregate cost for federal income tax purposes is $541,304,271. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$15,167,302 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$70,364,160.
ADR American Depositary Receipt
GDR Global Depositary Receipt
See Notes to Financial Statements Page 73
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Brazil $ 41,003,433 $ 32,985,397 $ 8,018,036 $ --
Cayman Islands 79,642,379 14,984,557 64,657,822 --
Chile 6,518,771 6,518,771 -- --
China 53,832,226 4,125,297 49,706,929 --
Luxembourg 2,571,083 2,571,083 -- --
Malaysia 12,924,905 6,040,024 6,884,881 --
Malta 3,681,584 -- 3,681,584 --
Mexico 20,793,530 20,793,530 -- --
Russia 40,671,075 2,246,069 38,425,006 --
Thailand 34,053,047 30,774,713 3,278,334 --
Other Country
Categories* 180,176,736 -- 180,176,736 --
-------------------------------------------------------
Total Common
Stocks 475,868,769 121,039,441 354,829,328 --
Money Market
Funds 803,976 803,976 -- --
Repurchase
Agreements 9,434,668 -- 9,434,668 --
-------------------------------------------------------
Total Investments $486,107,413 $121,843,417 $364,263,996 $ --
=======================================================
* See Portfolio of Investments for country breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of December
31, 2014, the Fund transferred common stocks valued at $57,074,975 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014 exceeding a
certain threshold.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2F - Offsetting on the Statements of Assets and
Liabilities).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(1) $ 9,583,287
Non-cash Collateral(2) (9,583,287)
------------
Net Amount $ --
============
(1) The amount presented on the Statements of Assets and Liabilities is not
offset and is shown on a gross basis.
(2) At December 31, 2014, the value of the collateral from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(3) $ 9,434,668
Non-cash Collateral(4) (9,434,668)
------------
Net Amount $ --
============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2014, the value of the collateral from each seller
exceeded the value of the repurchase agreements.
Page 74 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND (FEM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
INDUSTRY % OF NET ASSETS
------------------------------------------------------------
Real Estate Management & Development 12.1%
Metals & Mining 10.7
Oil, Gas & Consumable Fuels 8.3
Insurance 5.1
Electric Utilities 4.9
Diversified Telecommunication Services 4.9
Banks 4.0
Diversified Financial Services 4.0
Food Products 3.8
Health Care Providers & Services 2.8
Real Estate Investment Trusts 2.7
Semiconductors & Semiconductor Equipment 2.6
Wireless Telecommunication Services 2.4
Independent Power and Renewable Electricity
Producers 2.3
Aerospace & Defense 2.2
Industrial Conglomerates 2.1
Repurchase Agreements 2.0
Transportation Infrastructure 1.9
Internet Software & Services 1.9
Machinery 1.8
Pharmaceuticals 1.7
Automobiles 1.6
Hotels, Restaurants & Leisure 1.5
Electronic Equipment, Instruments & Components 1.2
Technology Hardware, Storage & Peripherals 1.1
Communications Equipment 1.0
Diversified Consumer Services 1.0
Food & Staples Retailing 0.9
Air Freight & Logistics 0.9
Electrical Equipment 0.9
Specialty Retail 0.8
Water Utilities 0.8
Tobacco 0.8
Capital Markets 0.8
Internet & Catalog Retail 0.7
Chemicals 0.6
Construction & Engineering 0.6
Construction Materials 0.5
IT Services 0.5
Textiles, Apparel & Luxury Goods 0.4
Paper & Forest Products 0.3
Consumer Finance 0.2
Multiline Retail 0.2
Media 0.2
Money Market Funds 0.2
------------------------------------------------------------
TOTAL INVESTMENTS 101.9
NET OTHER ASSETS AND LIABILITIES (1.9)
-------
TOTAL 100.0%
=======
See Notes to Financial Statements Page 75
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.1%
AIRLINES - 2.4%
83,816 Deutsche Lufthansa AG (a) $ 1,388,912
------------
AUTO COMPONENTS - 1.9%
5,181 Continental AG (a) 1,092,791
------------
AUTOMOBILES - 13.9%
14,188 Bayerische Motoren Werke AG (a) 1,531,144
25,621 Daimler AG (a) 2,127,928
28,789 Porsche Automobil Holding SE
(Preference Shares) (a) 2,328,241
9,139 Volkswagen AG (Preference
Shares) (a) 2,031,191
------------
8,018,504
------------
CHEMICALS - 10.3%
75,401 Evonik Industries AG (a) 2,462,061
54,726 K+S AG (a) 1,510,173
33,026 Symrise AG (a) 1,989,656
------------
5,961,890
------------
COMMERCIAL SERVICES & SUPPLIES
- 0.5%
5,260 Bilfinger SE (a) 294,029
------------
CONSTRUCTION & ENGINEERING
- 1.7%
13,861 Hochtief AG (a) 977,871
------------
CONSTRUCTION MATERIALS - 3.4%
28,116 HeidelbergCement AG (a) 1,984,425
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 6.4%
171,129 Deutsche Telekom AG (a) 2,738,122
183,457 Telefonica Deutschland Holding
AG (a) 972,294
------------
3,710,416
------------
FOOD PRODUCTS - 3.0%
118,805 Suedzucker AG (a) (b) 1,708,157
------------
HEALTH CARE PROVIDERS & SERVICES
- 9.4%
84,249 Celesio AG (a) 2,715,403
95,661 Rhoen Klinikum AG (a) 2,681,062
------------
5,396,465
------------
HOTELS, RESTAURANTS & LEISURE
- 2.0%
71,234 TUI AG (a) 1,181,079
------------
INDUSTRIAL CONGLOMERATES - 3.2%
42,368 Rheinmetall AG (a) 1,844,664
------------
INSURANCE - 3.8%
3,597 Allianz SE (a) 595,758
2,708 Muenchener Rueckversicherungs-
Gesellschaft AG in Muenchen (a) 539,264
34,228 Talanx AG (a) 1,042,841
------------
2,177,863
------------
IT SERVICES - 3.2%
41,685 Wirecard AG (a) 1,817,637
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MACHINERY - 7.1%
20,283 Duerr AG (a) $ 1,782,471
13,832 KION Group AG (a) 528,097
18,154 Krones AG (a) 1,765,262
------------
4,075,830
------------
MEDIA - 1.0%
4,096 Kabel Deutschland Holding
AG (a) (c) 555,085
------------
METALS & MINING - 4.5%
102,885 ThyssenKrupp AG (a) 2,620,876
------------
MULTI-UTILITIES - 5.6%
87,155 E.ON SE (a) 1,489,626
55,870 RWE AG (a) 1,724,409
------------
3,214,035
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 5.9%
40,771 Deutsche Annington Immobilien
SE (a) 1,384,243
55,628 Deutsche Wohnen AG (a) 1,312,250
32,953 GAGFAH S.A. (a) (c) 735,919
------------
3,432,412
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 3.5%
191,957 Infineon Technologies AG (a) 2,031,262
------------
SPECIALTY RETAIL - 3.9%
33,269 Fielmann AG (a) 2,272,087
------------
TEXTILES, APPAREL & LUXURY
GOODS - 1.7%
8,028 Hugo Boss AG (a) 982,078
------------
TRANSPORTATION INFRASTRUCTURE
- 0.9%
8,489 Fraport AG Frankfurt Airport
Services Worldwide (a) 489,831
------------
WIRELESS TELECOMMUNICATION
SERVICES - 0.9%
18,857 Freenet AG (a) 536,148
------------
TOTAL COMMON STOCKS 57,764,347
(Cost $62,991,141) ------------
MONEY MARKET FUNDS - 0.2%
93,709 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.01% (d) (e) 93,709
------------
TOTAL MONEY MARKET FUNDS 93,709
(Cost $93,709) ------------
Page 76 See Notes to Financial Statements
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
PRINCIPAL
VALUE DESCRIPTION AMOUNT
------------------------------------------------------------
REPURCHASE AGREEMENTS - 1.9%
$ 205,741 JPMorgan Chase & Co., 0.06% (d),
dated 12/31/14, due 1/2/15,
with a maturity value of
$205,741. Collateralized by
U.S. Treasury Notes, interest
rates of 0.75% to 1.25%, due
1/15/17 to 11/30/18. The value
of the collateral including
accrued interest is
$210,518. (e) $ 205,741
893,941 RBC Capital Markets LLC,
0.06% (d), dated 12/31/14, due
1/2/15, with a maturity value
of 893,944. Collateralized by
U.S. Treasury Notes, interest
rates of 0.25% to 1.75%, due
12/31/15 to 9/30/19. The value
of the collateral including
accrued interest is
$914,467. (e) 893,941
------------
TOTAL REPURCHASE AGREEMENTS 1,099,682
(Cost $1,099,682) ------------
TOTAL INVESTMENTS - 102.2% 58,957,738
(Cost $64,184,532) (f)
NET OTHER ASSETS
AND LIABILITIES - (2.2%) (1,243,021)
------------
NET ASSETS - 100.0% $ 57,714,717
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$57,764,347 or 100.09% of net assets.
(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 $1,121,959 and the total value of the collateral held by the
Fund is $1,193,391.
(c) Non-income producing security.
(d) Interest rate shown reflects yield as of December 31, 2014.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for federal income tax purposes is $64,400,124. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$1,038,376 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$6,480,762.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $57,764,347 $ -- $57,764,347 $ --
Money Market
Funds 93,709 93,709 -- --
Repurchase
Agreements 1,099,682 -- 1,099,682 --
-----------------------------------------------------
Total Investments $58,957,738 $93,709 $58,864,029 $ --
=====================================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of December
31, 2014, the Fund transferred common stocks valued at $21,077,403 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014 exceeding a
certain threshold.
See Notes to Financial Statements Page 77
FIRST TRUST GERMANY ALPHADEX(R) FUND (FGM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2F - Offsetting on the Statements of Assets and
Liabilities).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(1) $ 1,121,959
Non-cash Collateral(2) (1,121,959)
------------
Net Amount $ --
============
(1) The amount presented on the Statements of Assets and Liabilities is not
offset and is shown on a gross basis.
(2) At December 31, 2014, the value of the collateral from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(3) $ 1,099,682
Non-cash Collateral(4) (1,099,682)
------------
Net Amount $ --
============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2014, the value of the collateral from each seller
exceeded the value of the repurchase agreements.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
Germany 98.8%
United States 2.1
Luxembourg 1.3
------------------------------------------------------------
TOTAL INVESTMENTS 102.2
NET OTHER ASSETS AND LIABILITIES (2.2)
-------
TOTAL 100.0%
=======
** Portfolio securities are categorized based on their country of
incorporation.
Page 78 See Notes to Financial Statements
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.8%
AIRLINES - 5.0%
59,581 WestJet Airlines Ltd. $ 1,727,223
------------
AUTO COMPONENTS - 10.8%
30,997 Linamar Corp. 1,892,957
16,988 Magna International, Inc. 1,840,781
------------
3,733,738
------------
CONTAINERS & PACKAGING - 5.9%
18,990 CCL Industries, Inc., Class B 2,057,386
------------
DIVERSIFIED FINANCIAL SERVICES
- 2.0%
11,822 Onex Corp. 686,445
------------
ELECTRIC UTILITIES - 3.5%
36,057 Fortis, Inc. 1,209,142
------------
ENERGY EQUIPMENT & SERVICES
- 3.7%
51,655 Precision Drilling Corp. 313,896
26,306 ShawCor Ltd. 960,040
------------
1,273,936
------------
FOOD & STAPLES RETAILING - 3.9%
9,916 George Weston Ltd. 856,490
5,916 Metro, Inc. 475,093
------------
1,331,583
------------
FOOD PRODUCTS - 4.2%
48,835 Saputo, Inc. 1,467,824
------------
IT SERVICES - 2.3%
20,637 CGI Group, Inc., Class A (a) 786,721
------------
METALS & MINING - 4.9%
34,203 First Quantum Minerals Ltd. 486,049
66,483 Lundin Mining Corp. (a) 327,322
64,081 Teck Resources Ltd., Class B 875,888
------------
1,689,259
------------
MULTI-UTILITIES - 0.9%
7,546 ATCO, Ltd., Class I 309,556
------------
MULTILINE RETAIL - 1.2%
3,812 Canadian Tire Corp. Ltd., Class A 402,724
------------
OIL, GAS & CONSUMABLE FUELS
- 28.4%
31,838 Canadian Natural Resources Ltd. 984,353
32,279 Canadian Oil Sands Ltd. 289,505
46,312 Encana Corp. 644,573
58,052 Enerplus Corp 559,134
57,323 Gibson Energy, Inc. 1,341,550
33,974 Husky Energy, Inc. 804,170
6,940 Imperial Oil Ltd. 298,973
14,893 Keyera Corp. 1,039,228
90,003 Pacific Rubiales Energy Corp. (b) 556,999
19,660 Paramount Resources Ltd.,
Class A (a) 475,847
25,501 Pembina Pipeline Corp. (CAD) 929,345
74,905 Penn West Petroleum Ltd. (b) 156,670
34,308 Suncor Energy, Inc. 1,089,659
41,627 Veresen, Inc. 657,834
------------
9,827,840
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
PAPER & FOREST PRODUCTS - 7.4%
50,118 Canfor Corp. (a) $ 1,278,617
22,641 West Fraser Timber Co., Ltd. 1,295,359
------------
2,573,976
------------
REAL ESTATE INVESTMENT TRUSTS
- 9.7%
29,900 Boardwalk Real Estate
Investment Trust 1,583,789
66,619 Dream Office Real Estate
Investment Trust 1,442,131
14,290 RioCan Real Estate Investment
Trust 325,086
------------
3,351,006
------------
SOFTWARE - 1.2%
1,435 Constellation Software, Inc. 426,671
------------
TEXTILES, APPAREL & LUXURY
GOODS - 1.0%
6,207 Gildan Activewear, Inc. 351,007
------------
THRIFTS & MORTGAGE FINANCE
- 3.8%
41,069 Genworth MI Canada, Inc. 1,307,223
------------
TOTAL COMMON STOCKS 34,513,260
------------
(Cost $42,904,095)
MONEY MARKET FUNDS - 0.2%
44,786 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.01% (c) (d) 44,786
(Cost $44,786) ------------
PRINCIPAL
VALUE DESCRIPTION AMOUNT
------------------------------------------------------------
REPURCHASE AGREEMENTS - 1.5%
98,327 JPMorgan Chase & Co., 0.06% (c),
dated 12/31/14, due 1/2/15,
with a maturity value of
$98,328. Collateralized by U.S.
Treasury Notes, interest rates
of 0.75% to 1.25%, due 1/15/17
to 11/30/18. The value of the
collateral including accrued
interest is $100,611. (d) 98,327
427,233 RBC Capital Markets LLC,
0.06% (c), dated 12/31/14, due
1/2/15, with a maturity value
of $427,234. Collateralized by
U.S. Treasury Notes, interest
rates of 0.25% to 1.75%, due
12/31/15 to 9/30/19. The value
of the collateral including
accrued interest is
$437,043. (d) 427,233
------------
TOTAL REPURCHASE AGREEMENTS 525,560
(Cost $525,560) ------------
See Notes to Financial Statements Page 79
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
DESCRIPTION VALUE
------------------------------------------------------------
TOTAL INVESTMENTS - 101.5% $ 35,083,606
(Cost $43,474,441) (e)
NET OTHER ASSETS
AND LIABILITIES - (1.5%) (505,032)
------------
NET ASSETS - 100.0% $ 34,578,574
============
(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 $534,864 and the total value of the collateral held by the
Fund is $570,346.
(c) Interest rate shown reflects yield as of December 31, 2014.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $43,614,949. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$1,680,518 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$10,211,861.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $34,513,260 $34,513,260 $ -- $ --
Money Market
Funds 44,786 44,786 -- --
Repurchase
Agreements 525,560 -- 525,560 --
-----------------------------------------------------
Total
Investments $35,083,606 $34,558,046 $525,560 $ --
=====================================================
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, 2014.
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2F - Offsetting on the Statements of Assets and
Liabilities).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with Securities Lending
Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(1) $ 534,864
Non-cash Collateral(2) (534,864)
------------
Net Amount $ --
============
(1) The amount presented on the Statements of Assets and Liabilities is not
offset and is shown on a gross basis.
(2) At December 31, 2014, the value of the collateral from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the Statements
of Assets and Liabilities(3) $ 525,560
Non-cash Collateral(4) (525,560)
------------
Net Amount $ --
============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2014, the value of the collateral received from the seller
exceeded the value of the repurchase agreements.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
Canada 99.8%
United States 1.7
------------------------------------------------------------
TOTAL INVESTMENTS 101.5
NET OTHER ASSETS AND LIABILITIES (1.5)
-------
TOTAL 100.0%
=======
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
Page 80 See Notes to Financial Statements
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.5%
AIR FREIGHT & LOGISTICS - 3.7%
11,121 Toll Holdings Ltd. (a) $ 52,975
------------
BANKS - 0.8%
1,162 Bendigo and Adelaide Bank
Ltd. (a) 12,082
------------
BEVERAGES - 3.0%
11,321 Treasury Wine Estates Ltd. (a) 43,697
------------
CAPITAL MARKETS - 3.1%
951 Macquarie Group Ltd. (a) 44,846
------------
CHEMICALS - 6.7%
24,447 Incitec Pivot Ltd. (a) 63,237
2,184 Orica Ltd. (a) 33,467
------------
96,704
------------
COMMERCIAL SERVICES & SUPPLIES
- 2.8%
4,629 Brambles Ltd. (a) 39,875
------------
CONSTRUCTION & ENGINEERING
- 4.5%
3,593 Leighton Holdings Ltd. (a) 65,423
------------
CONSTRUCTION MATERIALS - 0.8%
1,024 James Hardie Industries PLC (a) 10,931
------------
DIVERSIFIED FINANCIAL SERVICES
- 3.5%
9,529 Challenger Ltd. (a) 50,337
------------
ELECTRIC UTILITIES - 0.8%
10,701 AusNet Services (a) 11,561
------------
ENERGY EQUIPMENT & SERVICES
- 1.4%
2,443 WorleyParsons Ltd. (a) 20,012
------------
FOOD & STAPLES RETAILING - 0.8%
333 Wesfarmers Ltd. (a) 11,275
------------
GAS UTILITIES - 2.7%
6,538 APA Group (a) 39,524
------------
HEALTH CARE PROVIDERS & SERVICES
- 2.8%
623 Ramsay Health Care Ltd. (a) 28,881
818 Sonic Healthcare Ltd. (a) 12,307
------------
41,188
------------
HOTELS, RESTAURANTS & LEISURE
- 0.7%
938 Crown Resorts Ltd. (a) 9,647
------------
INSURANCE - 4.1%
13,376 AMP Ltd. (a) 59,574
------------
IT SERVICES - 1.5%
2,272 Computershare Ltd. (a) 21,733
------------
MEDIA - 0.8%
332 REA Group Ltd. (a) 12,173
------------
METALS & MINING - 11.9%
42,012 Alumina Ltd. (a) (b) 60,695
1,185 BHP Billiton Ltd. (a) 28,016
2,616 BlueScope Steel Ltd. (a) (b) 11,840
SHARES DESCRIPTION VALUE
------------------------------------------------------------
METALS & MINING (CONTINUED)
16,298 Fortescue Metals Group Ltd. (a) $ 35,785
4,043 Newcrest Mining Ltd. (a) (b) 35,574
------------
171,910
------------
MULTI-UTILITIES - 4.6%
1,904 AGL Energy Ltd. 20,767
23,611 DUET Group (a) 46,409
------------
67,176
------------
MULTILINE RETAIL - 1.7%
9,148 Harvey Norman Holdings Ltd. (a) 24,970
------------
OIL, GAS & CONSUMABLE FUELS
- 7.8%
1,972 Caltex Australia Ltd. (a) 54,717
5,865 Oil Search Ltd. (a) 37,610
690 Woodside Petroleum Ltd. (a) 21,340
------------
113,667
------------
PROFESSIONAL SERVICES - 1.7%
1,789 Seek Ltd. (a) 24,946
------------
REAL ESTATE INVESTMENT TRUSTS
- 19.7%
10,645 Dexus Property Group (a) 60,260
28,472 Federation Centres (a) 66,290
5,615 Goodman Group (a) 25,935
14,770 GPT (The) Group (a) 52,272
15,887 Mirvac Group (a) 22,981
7,932 Westfield Corp. (a) 58,145
------------
285,883
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 5.0%
5,408 Lend Lease Group (a) 72,028
------------
ROAD & RAIL - 2.6%
7,555 Asciano Ltd. (a) 36,999
------------
TOTAL COMMON STOCKS 1,441,136
(Cost $1,528,401) ------------
RIGHTS - 0.1%
GAS UTILITIES - 0.1%
1,851 APA Group (a) (b) 1,285
------------
(Cost $0)
TOTAL INVESTMENTS - 99.6% 1,442,421
(Cost $1,528,401) (c)
NET OTHER ASSETS
AND LIABILITIES - 0.4% 6,082
------------
NET ASSETS - 100.0% $ 1,448,503
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$1,421,654 or 98.15% of net assets.
(b) Non-income producing security.
See Notes to Financial Statements Page 81
FIRST TRUST AUSTRALIA ALPHADEX(R) FUND (FAUS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
(c) Aggregate cost for federal income tax purposes is $1,539,001. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$176,592 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$273,172.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Multi-Utilities $ 67,176 $20,767 $ 46,409 $ --
Other Industry
Categories* 1,373,960 -- 1,373,960 --
-----------------------------------------------------
Total Common
Stocks 1,441,136 20,767 1,420,369 --
Rights* 1,285 -- 1,285 --
-----------------------------------------------------
Total Investments $1,442,421 $20,767 $1,421,654 $ --
=====================================================
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, 2014, the Fund transferred common stocks valued at $578,916 from Level 1 to
Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014, exceeding a
certain threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
Australia 96.2%
New Guinea 2.6
Ireland 0.8
------------------------------------------------------------
TOTAL INVESTMENTS 99.6
NET OTHER ASSETS AND LIABILITIES 0.4
-------
TOTAL 100.0%
=======
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
Page 82 See Notes to Financial Statements
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.8%
AEROSPACE & DEFENSE - 0.9%
57,307 Cobham PLC (a) $ 287,684
35,366 Meggitt PLC (a) 284,493
------------
572,177
------------
AIR FREIGHT & LOGISTICS - 1.8%
179,319 Royal Mail PLC (a) 1,194,973
------------
BEVERAGES - 1.2%
49,198 Britvic PLC (a) 514,540
5,287 SABMiller PLC (a) 275,617
------------
790,157
------------
CAPITAL MARKETS - 3.6%
178,118 3i Group PLC (a) 1,241,977
132,806 Investec PLC (a) 1,112,685
------------
2,354,662
------------
COMMERCIAL SERVICES & SUPPLIES
- 1.7%
21,693 Aggreko PLC (a) 505,881
36,560 Berendsen PLC (a) 624,891
------------
1,130,772
------------
CONSUMER FINANCE - 2.3%
39,180 Provident Financial PLC (a) 1,495,569
------------
DISTRIBUTORS - 1.5%
84,617 Inchcape PLC (a) 950,677
------------
DIVERSIFIED FINANCIAL SERVICES
- 2.1%
38,717 London Stock Exchange Group
PLC (a) 1,332,214
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 0.8%
109,963 TalkTalk Telecom Group PLC (a) 517,549
------------
ELECTRIC UTILITIES - 1.3%
34,262 SSE PLC (a) 865,701
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS - 1.2%
24,183 Spectris PLC (a) 789,773
------------
ENERGY EQUIPMENT & SERVICES
- 1.7%
29,460 AMEC PLC (a) 389,071
22,192 John Wood Group PLC (a) 205,298
44,630 Petrofac Ltd. (a) 486,197
------------
1,080,566
------------
FOOD & STAPLES RETAILING - 1.3%
226,896 J Sainsbury PLC (a) 866,444
------------
FOOD PRODUCTS - 3.4%
29,345 Associated British Foods PLC (a) 1,434,650
78,437 Tate & Lyle PLC (a) 734,912
------------
2,169,562
------------
HEALTH CARE EQUIPMENT &
SUPPLIES - 1.9%
68,902 Smith & Nephew PLC (a) 1,242,478
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
- 5.9%
49,685 Compass Group PLC (a) $ 849,260
123,001 Millennium & Copthorne Hotels
PLC (a) 1,128,054
16,239 Whitbread PLC (a) 1,201,786
109,121 William Hill PLC (a) 613,161
------------
3,792,261
------------
HOUSEHOLD DURABLES - 1.9%
11,431 Bellway PLC (a) 342,835
14,800 Berkeley Group Holdings PLC (a) 569,051
156,984 Taylor Wimpey PLC (a) 334,912
------------
1,246,798
------------
INSURANCE - 13.7%
114,696 Amlin PLC (a) 850,793
175,282 Aviva PLC (a) 1,316,960
100,354 Catlin Group Ltd. (a) 1,045,374
198,991 Direct Line Insurance Group
PLC (a) 900,154
113,521 Friends Life Group Ltd. (a) 644,712
50,628 Hiscox Ltd. (a) 567,629
396,986 Legal & General Group PLC (a) 1,532,822
181,045 Old Mutual PLC (a) 533,570
13,349 Prudential PLC (a) 308,622
93,940 St. James's Place PLC (a) 1,184,479
------------
8,885,115
------------
MACHINERY - 2.2%
343,896 Melrose Industries PLC (a) 1,423,541
------------
METALS & MINING - 2.5%
23,453 Antofagasta PLC (a) 273,273
37,886 BHP Billiton PLC (a) 811,948
54,975 Glencore PLC (a) 253,755
32,271 Vedanta Resources PLC (a) 286,254
------------
1,625,230
------------
MULTILINE RETAIL - 1.9%
84,177 Marks & Spencer Group PLC (a) 623,280
5,527 Next PLC (a) 586,176
------------
1,209,456
------------
OIL, GAS & CONSUMABLE FUELS
- 2.6%
104,273 BP PLC (a) 661,880
214,393 Premier Oil PLC (a) 554,517
14,075 Royal Dutch Shell PLC (a) 486,306
------------
1,702,703
------------
PAPER & FOREST PRODUCTS - 1.7%
67,406 Mondi PLC (a) 1,095,043
------------
PHARMACEUTICALS - 6.4%
4,125 AstraZeneca PLC (a) 291,352
113,090 BTG PLC (a) (b) 1,395,851
53,328 Hikma Pharmaceuticals PLC (a) 1,636,182
11,748 Shire PLC (a) 832,934
------------
4,156,319
------------
See Notes to Financial Statements Page 83
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES - 2.1%
31,258 Capita PLC (a) $ 524,124
367,478 Hays PLC (a) 826,777
------------
1,350,901
------------
REAL ESTATE INVESTMENT TRUSTS
- 14.0%
127,378 British Land Co., PLC (a) 1,536,007
33,400 Derwent London PLC (a) 1,559,236
138,945 Great Portland Estates PLC (a) 1,585,021
30,851 Hammerson PLC (a) 288,917
172,303 Intu Properties PLC (a) 890,796
69,094 Land Securities Group PLC (a) 1,242,009
51,845 Segro PLC (a) 297,003
136,401 Shaftesbury PLC (a) 1,650,593
------------
9,049,582
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 2.4%
274,734 Capital & Counties Properties
PLC (a) 1,552,391
------------
SOFTWARE - 1.9%
116,116 Playtech PLC (a) 1,239,046
------------
SPECIALTY RETAIL - 4.3%
277,376 Dixon's Carphone PLC (a) 1,992,403
149,552 Kingfisher PLC (a) 790,553
------------
2,782,956
------------
TOBACCO - 0.5%
6,803 Imperial Tobacco Group PLC (a) 299,464
------------
TRADING COMPANIES &
DISTRIBUTORS - 3.4%
20,457 Ashtead Group PLC (a) 363,314
55,169 Bunzl PLC (a) 1,508,166
10,926 Travis Perkins PLC (a) 314,494
------------
2,185,974
------------
WATER UTILITIES - 3.3%
91,190 Pennon Group PLC (a) 1,302,802
60,868 United Utilities Group PLC (a) 864,564
------------
2,167,366
------------
WIRELESS TELECOMMUNICATION
SERVICES - 2.4%
458,879 Vodafone Group PLC (a) 1,573,325
------------
TOTAL INVESTMENTS - 99.8% 64,690,745
(Cost $68,808,846) (c)
NET OTHER ASSETS
AND LIABILITIES - 0.2% 138,969
------------
NET ASSETS - 100.0% $ 64,829,714
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$64,690,745 or 99.79% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $69,004,017. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$3,019,540 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$7,332,812.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $64,690,745 $ -- $64,690,745 $ --
=====================================================
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, 2014, the Fund transferred common stocks valued at $11,985,584 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014 exceeding a
certain threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
United Kingdom 92.0%
Bermuda 2.5
Jersey 2.4
Isle Of Man (U.K.) 1.9
Guernsey 1.0
------------------------------------------------------------
TOTAL INVESTMENTS 99.8
NET OTHER ASSETS AND LIABILITIES 0.2
-------
TOTAL 100.0%
=======
* See Portfolio of Investments for industry breakout.
** Portfolio securities are categorized based on their country of
incorporation.
Page 84 See Notes to Financial Statements
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.0%
AUTO COMPONENTS - 1.6%
188,625 Cheng Shin Rubber Industry Co.,
Ltd. (a) $ 442,727
------------
BANKS - 5.0%
1,467,509 China Development Financial
Holding Corp. (a) 466,229
1,158,018 SinoPac Financial Holdings Co.,
Ltd. (a) 474,536
1,035,453 Taishin Financial Holding Co.,
Ltd. (a) 425,070
------------
1,365,835
------------
CHEMICALS - 1.5%
95,310 Formosa Chemicals & Fibre
Corp. (a) 200,907
100,215 Nan Ya Plastics Corp. (a) 206,649
------------
407,556
------------
CONSTRUCTION MATERIALS - 3.2%
359,392 Asia Cement Corp. (a) 442,569
318,826 Taiwan Cement Corp. (a) 435,855
------------
878,424
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 1.6%
149,802 Chunghwa Telecom Co., Ltd. (a) 444,019
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS - 19.5%
2,848,011 AU Optronics Corp. (a) 1,445,557
99,386 Delta Electronics, Inc. (a) 587,295
322,805 Hon Hai Precision Industry Co.,
Ltd. (a) 891,431
2,603,812 Innolux Corp. (a) 1,258,454
15,137 Largan Precision Co., Ltd. (a) 1,133,099
------------
5,315,836
------------
FOOD & STAPLES RETAILING - 0.9%
30,149 President Chain Store Corp. (a) 232,866
------------
INDUSTRIAL CONGLOMERATES - 4.1%
1,143,014 Far Eastern New Century Corp. (a) 1,130,518
------------
INSURANCE - 2.6%
2,474,348 Shin Kong Financial Holding Co.,
Ltd. (a) 700,873
------------
LEISURE PRODUCTS - 1.0%
30,991 Giant Manufacturing Co., Ltd. (a) 273,870
------------
MACHINERY - 1.8%
60,420 Hiwin Technologies Corp. (a) 500,041
------------
METALS & MINING - 2.7%
878,435 China Steel Corp. (a) 728,667
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 23.8%
927,345 Advanced Semiconductor
Engineering, Inc. (a) 1,101,340
663,487 Inotera Memories, Inc. (a) (b) 1,041,010
28,536 MediaTek, Inc. (a) 414,840
468,281 Nanya Technology Corp. (a) (b) 1,185,695
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
587,602 Siliconware Precision Industries
Co. (a) $ 885,415
170,881 Taiwan Semiconductor
Manufacturing Co., Ltd. (a) 752,811
2,409,856 United Microelectronics Corp. (a) 1,118,588
------------
6,499,699
------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS - 24.6%
124,265 Advantech Co., Ltd. (a) 912,276
64,915 ASUSTeK Computer, Inc. (a) 708,288
103,489 Catcher Technology Co., Ltd. (a) 799,187
1,181,224 Compal Electronics, Inc. (a) 824,816
417,996 Foxconn Technology Co., Ltd. (a) 1,123,102
755,819 Inventec Corp. (a) 505,492
435,799 LiteOn Technology Corp. (a) 497,848
505,647 Pegatron Corp. (a) 1,155,777
82,821 Quanta Computer, Inc. (a) 206,320
------------
6,733,106
------------
TEXTILES, APPAREL & LUXURY
GOODS - 4.3%
20,701 Eclat Textile Co., Ltd. (a) 208,053
801,721 Pou Chen Corp. (a) 966,765
------------
1,174,818
------------
WIRELESS TELECOMMUNICATION
SERVICES - 1.8%
105,963 Far EasTone Telecommunications
Co., Ltd. (a) 244,112
77,982 Taiwan Mobile Co., Ltd. (a) 257,492
------------
501,604
------------
TOTAL INVESTMENTS - 100.0% 27,330,459
(Cost $28,052,691) (c)
NET OTHER ASSETS
AND LIABILITIES - 0.0% (3,707)
------------
NET ASSETS - 100.0% $ 27,326,752
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$27,330,459 or 100.0% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $28,377,733. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$1,591,413 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$2,638,687.
See Notes to Financial Statements Page 85
FIRST TRUST TAIWAN ALPHADEX(R) FUND (FTW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks* $27,330,459 $ -- $27,330,459 $ --
=====================================================
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, 2014, the Fund transferred common stock valued at $1,764,578 from Level 1 to
Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014, exceeding a
certain threshold.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
Taiwan 100.0%
------------------------------------------------------------
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.
Page 86 See Notes to Financial Statements
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 99.3%
AIRLINES - 1.0%
187,515 Cathay Pacific Airways Ltd. (a) $ 409,326
------------
CAPITAL MARKETS - 3.3%
114,479 Guoco Group Ltd. (a) 1,343,277
------------
DIVERSIFIED FINANCIAL SERVICES
- 3.1%
56,375 Hong Kong Exchanges and
Clearing Ltd. (a) 1,244,576
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 8.8%
1,189,054 HKT Trust and HKT Ltd. 1,545,610
2,937,113 PCCW Ltd. (a) 2,007,400
------------
3,553,010
------------
ELECTRIC UTILITIES - 0.9%
50,756 Cheung Kong Infrastructure
Holdings Ltd. (a) 374,223
------------
ELECTRICAL EQUIPMENT - 0.9%
97,875 Johnson Electric Holdings Ltd. (a) 358,126
------------
FOOD & STAPLES RETAILING - 1.5%
64,800 Dairy Farm International
Holdings Ltd. 583,200
------------
GAS UTILITIES - 1.4%
97,000 ENN Energy Holdings Ltd. (a) 548,759
------------
HOTELS, RESTAURANTS & LEISURE
- 1.5%
447,337 Shangri-La Asia Ltd. (a) 611,832
------------
HOUSEHOLD DURABLES - 4.4%
546,240 Techtronic Industries Co. (a) 1,752,384
------------
INDUSTRIAL CONGLOMERATES - 6.5%
76,939 Hutchison Whampoa Ltd. (a) 880,519
6,000 Jardine Matheson Holdings
Ltd. (a) 364,586
754,653 NWS Holdings Ltd. (a) 1,380,342
------------
2,625,447
------------
MEDIA - 0.8%
53,914 Television Broadcasts Ltd. 313,557
------------
METALS & MINING - 3.4%
1,053,822 Fosun International Ltd. (a) 1,379,046
------------
MULTILINE RETAIL - 0.9%
179,313 Lifestyle International Holdings
Ltd. 375,985
------------
OIL, GAS & CONSUMABLE FUELS
- 3.4%
5,385,341 Brightoil Petroleum Holdings
Ltd. (a) (b) 1,349,245
------------
REAL ESTATE INVESTMENT TRUSTS
- 4.1%
260,207 Link REIT 1,627,416
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 41.5%
39,746 Cheung Kong Holdings Ltd. (a) $ 666,641
537,398 Chinese Estates Holdings Ltd. 1,656,272
64,264 Hang Lung Group Ltd. (a) 291,412
179,329 Henderson Land Development
Co., Ltd. (a) 1,244,090
374,299 Hysan Development Co., Ltd. (a) 1,661,141
500,933 Kerry Properties Ltd. (a) 1,803,900
2,344,234 New World China Land Ltd. (a) 1,386,087
923,413 New World Development Co.,
Ltd. (a) 1,060,087
638,382 Sino Land Co., Ltd. (a) 1,018,250
76,435 Sun Hung Kai Properties Ltd. (a) 1,158,025
57,107 Swire Pacific Ltd., Class A (a) 741,276
239,622 Swire Properties Ltd. (a) 706,606
243,645 Wharf Holdings Ltd. (a) 1,749,149
336,038 Wheelock & Co., Ltd. (a) 1,560,204
------------
16,703,140
------------
ROAD & RAIL - 0.9%
90,828 MTR Corp., Ltd. (a) 371,602
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT - 2.3%
96,109 ASM Pacific Technology Ltd. (a) 915,096
------------
SPECIALTY RETAIL - 2.3%
687,639 Chow Tai Fook Jewellery Group
Ltd. (a) 920,951
------------
TEXTILES, APPAREL & LUXURY
GOODS - 3.0%
473,018 Li & Fung Ltd. 442,845
209,076 Yue Yuen Industrial Holdings
Ltd. (a) 750,452
------------
1,193,297
------------
TRADING COMPANIES &
DISTRIBUTORS - 3.4%
1,593,000 Noble Group Ltd. (a) 1,359,048
------------
TOTAL INVESTMENTS - 99.3% 39,912,543
(Cost $40,924,610) (c)
NET OTHER ASSETS
AND LIABILITIES - 0.7% 291,450
------------
NET ASSETS - 100.0% $ 40,203,993
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$33,367,658 or 83.00% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $40,955,728. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$567,706 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$1,610,891.
See Notes to Financial Statements Page 87
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Diversified Tele-
communication
Services $ 3,553,010 $1,545,610 $ 2,007,400 $ --
Food & Staples
Retailing 583,200 583,200 -- --
Media 313,557 313,557 -- --
Multiline Retail 375,985 375,985 -- --
Real Estate
Investment
Trusts 1,627,416 1,627,416 -- --
Real Estate
Management &
Development 16,703,140 1,656,272 15,046,868 --
Textiles, Apparel
& Luxury
Goods 1,193,297 442,845 750,452 --
Other Industry
Categories* 15,562,938 -- 15,562,938 --
-----------------------------------------------------
Total Investments $39,912,543 $6,544,885 $33,367,658 $ --
=====================================================
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, 2014, the Fund transferred common stocks valued at $1,738,834 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014, exceeding a
certain threshold. In addition, as of December 31, 2014, the Fund transferred a
common stock valued at $240,391 from Level 2 to Level 1 of the fair value
hierarchy. The common stock that transferred from Level 2 to Level 1 did so as a
result of it now being priced on the primary exchange.
COUNTRY ALLOCATION** % OF NET ASSETS
------------------------------------------------------------
Hong Kong 58.2%
Bermuda 30.8
Cayman Islands 10.3
------------------------------------------------------------
TOTAL INVESTMENTS 99.3
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.
Page 88 See Notes to Financial Statements
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS - 100.1%
AIR FREIGHT & LOGISTICS - 0.9%
3,447 Panalpina Welttransport Holding
AG (a) $ 462,064
------------
BEVERAGES - 0.8%
23,697 Coca-Cola HBC AG (a) 451,179
------------
BIOTECHNOLOGY - 4.6%
21,456 Actelion Ltd. (a) 2,470,038
------------
BUILDING PRODUCTS - 2.0%
3,078 Geberit AG (a) 1,041,296
------------
CAPITAL MARKETS - 4.8%
142,522 GAM Holding AG (a) 2,562,259
------------
CHEMICALS - 12.6%
111,014 Clariant AG (a) 1,860,245
4,075 EMS-Chemie Holding AG (a) 1,649,655
648 Givaudan S.A. (a) 1,162,419
531 Sika AG (a) 1,566,419
1,467 Syngenta AG (a) 471,872
------------
6,710,610
------------
CONSTRUCTION MATERIALS - 2.5%
18,545 Holcim Ltd. (a) 1,325,674
------------
DIVERSIFIED FINANCIAL SERVICES
- 4.4%
30,229 Pargesa Holding S.A. (a) 2,332,648
------------
DIVERSIFIED TELECOMMUNICATION
SERVICES - 1.8%
1,863 Swisscom AG (a) 977,586
------------
ELECTRIC UTILITIES - 1.6%
9,466 Alpiq Holding AG 856,910
------------
ELECTRICAL EQUIPMENT - 0.9%
23,617 ABB Ltd. (a) 499,692
------------
FOOD PRODUCTS - 10.8%
28,638 Aryzta AG (a) 2,200,817
1,994 Barry Callebaut AG (a) 2,044,302
26 Chocoladefabriken Lindt &
Sprungli AG (a) 1,500,249
------------
5,745,368
------------
HEALTH CARE EQUIPMENT &
SUPPLIES - 5.1%
10,666 Sonova Holding AG (a) 1,566,948
4,677 Straumann Holding AG (a) 1,175,051
------------
2,741,999
------------
INSURANCE - 17.3%
4,603 Baloise Holding AG (a) 588,317
4,731 Helvetia Holding AG (a) 2,247,932
9,148 Swiss Life Holding AG (a) 2,162,145
30,486 Swiss Re AG (a) 2,553,865
5,412 Zurich Insurance Group AG (a) 1,691,263
------------
9,243,522
------------
LIFE SCIENCES TOOLS & SERVICES
- 2.1%
9,998 Lonza Group AG (a) 1,125,691
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MACHINERY - 8.0%
6,329 Bucher Industries AG (a) $ 1,578,337
1,536 Georg Fischer AG (a) 969,109
37,508 OC Oerlikon Corp., AG (a) 468,217
11,612 Sulzer AG (a) 1,242,150
------------
4,257,813
------------
PHARMACEUTICALS - 1.0%
6,024 Novartis AG (a) 558,687
------------
PROFESSIONAL SERVICES - 0.9%
6,595 Adecco S.A. (a) 453,336
------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT - 4.6%
11,542 PSP Swiss Property AG (a) 993,340
19,671 Swiss Prime Site AG (a) 1,442,750
------------
2,436,090
------------
SOFTWARE - 3.7%
55,763 Temenos Group AG (a) 1,985,656
------------
SPECIALTY RETAIL - 3.4%
11,950 Dufry AG (a) (b) 1,786,096
------------
TEXTILES, APPAREL & LUXURY
GOODS - 3.0%
3,582 Swatch Group AG (a) 1,591,327
------------
TRANSPORTATION INFRASTRUCTURE
- 3.3%
2,636 Flughafen Zuerich AG (a) 1,762,855
------------
TOTAL INVESTMENTS - 100.1% 53,378,396
(Cost $59,003,963) (c)
NET OTHER ASSETS
AND LIABILITIES - (0.1%) (46,139)
------------
NET ASSETS - 100.0% $ 53,332,257
============
(a) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$52,521,486 or 98.48% of net assets.
(b) Non-income producing security.
(c) Aggregate cost for federal income tax purposes is $59,023,709. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$1,107,727 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$6,753,040.
See Notes to Financial Statements Page 89
FIRST TRUST SWITZERLAND ALPHADEX(R) FUND (FSZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Electric Utilities 856,910 856,910 -- --
Other Industry
Categories* 52,521,486 -- 52,521,486 --
-----------------------------------------------------
Total Investments $53,378,396 $856,910 $52,521,486 $ --
=====================================================
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, 2014, the Fund transferred common stocks valued at $15,955,075 from Level 1
to Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014 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.
Page 90 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.8%
AUSTRALIA - 6.2%
2,239 Altium Ltd. (b) $ 5,961
2,159 Ardent Leisure Group (b) 5,111
73,338 Arrium Ltd. (b) 12,690
31,867 Atlas Iron Ltd. (b) 4,225
20,902 Austal Ltd. (b) (c) 25,542
7,293 AWE Ltd. (b) (c) 7,595
24,090 Beach Energy Ltd. (b) 20,427
9,560 Billabong International
Ltd. (b) (c) 5,202
2,800 BWP Trust (b) 6,353
1,225 Cabcharge Australia Ltd. (b) 4,534
511 Domino's Pizza Enterprises
Ltd. (b) 10,405
4,552 Downer EDI Ltd. (b) 17,395
15,563 Drillsearch Energy Ltd. (b) (c) 10,233
48,872 Evolution Mining Ltd. (b) 25,341
35,062 Fairfax Media Ltd. (b) 24,873
683 Greencross Ltd. (b) 4,417
2,639 M2 Group Ltd. (b) 17,424
3,123 Mineral Resources Ltd. (b) 19,112
6,935 MMA Offshore Ltd. (b) 6,952
62,324 Mount Gibson Iron Ltd. (b) 12,227
3,415 Myer Holdings Ltd. (b) 3,870
1,357 Nufarm Ltd. (b) 5,218
1,532 Primary Health Care Ltd. (b) 5,862
1,145 Sandfire Resources NL (b) 4,199
2,969 Seven Group Holdings Ltd. (b) 14,022
4,156 Seven West Media Ltd. (b) 4,555
3,984 Shopping Centres Australasia
Property Group (b) 5,999
16,943 Sigma Pharmaceuticals Ltd. (b) 10,171
609 Sirtex Medical Ltd. (b) 14,028
2,975 SKILLED Group Ltd. (b) 3,597
2,180 Slater & Gordon Ltd. (b) 11,306
5,577 STW Communications Group
Ltd. (b) 4,413
2,104 Technology One Ltd. (b) 5,456
10,708 TFS Corp., Ltd. (b) 13,566
2,732 Thorn Group Ltd. (b) 6,910
22,873 Transfield Services Ltd. (b) (c) 30,286
1,204 Vocus Communications Ltd. (b) 6,264
------------
395,741
------------
BELGIUM - 0.3%
163 Barco N.V. (b) 11,453
128 Melexis N.V. (b) 5,792
------------
17,245
------------
BERMUDA - 3.7%
203,999 Beijing Properties Holdings
Ltd. (b) (c) 17,050
925 BW LPG Ltd. (b) 6,442
18,995 BW Offshore Ltd. (b) 19,052
948 China Yuchai International Ltd. 18,012
713,331 CSI Properties Ltd. (b) 28,259
106,666 Emperor Entertainment Hotel
Ltd. (b) 25,682
457 Fly Leasing Ltd., ADR 6,010
SHARES DESCRIPTION VALUE
------------------------------------------------------------
BERMUDA (CONTINUED)
231,999 G-Resources Group Ltd. (b) (c) $ 5,432
256,000 GCL New Energy Holdings
Ltd. (b) (c) 25,947
26,667 Global Brands Group Holding
Ltd. (b) (c) 5,207
9,813 Golden Ocean Group Ltd. (b) 6,143
16,000 KuangChi Science Ltd. (b) (c) 10,811
4,000 Luk Fook Holdings International
Ltd. (b) 15,001
20,000 PAX Global Technology
Ltd. (b) (c) 20,486
303 Stolt-Nielsen Ltd. (b) 5,054
4,678 Vostok Nafta Investment
Ltd. (b) (c) 22,587
------------
237,175
------------
CANADA - 5.8%
1,153 AGT Food & Ingredients, Inc. 27,331
740 Algonquin Power & Utilities
Corp. 6,140
2,853 Bellatrix Exploration Ltd. (c) 10,388
617 Birchcliff Energy Ltd. (c) 4,153
491 Canadian Solar, Inc. (c) 11,877
1,577 Capstone Infrastructure Corp. 4,344
5,293 Centerra Gold, Inc. 27,517
38 E-L Financial Corp., Ltd. 22,704
445 Ensign Energy Services, Inc. 3,907
796 Extendicare, Inc. 4,467
403 Intertape Polymer Group, Inc. 6,455
22,963 Lake Shore Gold Corp. (c) 15,417
1,068 Legacy Oil + Gas, Inc. (c) 1,986
2,915 Long Run Exploration Ltd. 3,764
13,088 Mandalay Resources Corp. 10,251
1,737 Maple Leaf Foods, Inc. 29,109
1,004 Martinrea International, Inc. 8,962
2,295 Milestone Apartments Real
Estate Investment Trust 24,139
1,000 New Flyer Industries, Inc. 11,603
14,379 OceanaGold Corp. (c) 25,001
307 Parkland Fuel Corp. 5,745
7,353 Rio Alto Mining Ltd. (c) 17,848
924 Savanna Energy Services Corp. 2,688
219 Sierra Wireless, Inc. (c) 10,405
4,805 TransGlobe Energy Corp. 19,935
1,465 Western Energy Services Corp. 7,578
5,843 Western Forest Products, Inc. 13,579
2,192 Yellow Pages Ltd./Canada (c) 36,942
------------
374,235
------------
CAYMAN ISLANDS - 2.0%
98,333 Century Sunshine Group
Holdings Ltd. (b) 9,257
120,000 China LNG Group Ltd. (b) 22,653
45,333 China Merchants Land Ltd. (b) 6,644
253,999 First China Financial Network
Holdings Ltd. (b) (c) 16,304
86,666 Superb Summit International
Group Ltd. (b) (c) 16,317
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, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
CAYMAN ISLANDS (CONTINUED)
76,000 TCC International Holdings
Ltd. (b) $ 29,276
34,500 Texhong Textile Group Ltd. (b) 26,300
------------
126,751
------------
CYPRUS - 0.1%
2,001 Prosafe SE (b) 6,149
------------
DENMARK - 1.4%
3,063 Alm Brand A/S (b) (c) 16,180
324 Ambu A/S (b) 7,824
225 Auriga Industries, Class B (b) (c) 11,196
149 Dfds A/S (b) 14,221
35 Royal Unibrew (b) (c) 6,136
727 Schouw & Co. (b) 34,154
------------
89,711
------------
FAROE ISLANDS - 0.3%
827 Bakkafrost P/F (b) 18,581
------------
FINLAND - 0.3%
827 Cramo OYJ (b) 12,027
1,593 Elektrobit Oyj (b) 6,447
------------
18,474
------------
FRANCE - 1.2%
1,419 Belvedere S.A. (b) (c) 18,544
207 Club Mediterranee S.A. (b) (c) 6,276
252 DBV Technologies S.A. (b) (c) 13,257
113 Guerbet 4,663
5,987 MPI (b) 21,980
569 Nanobiotix (b) (c) 11,325
------------
76,045
------------
GERMANY - 2.2%
2,077 Borussia Dortmund GmbH &
Co., KGaA (b) 9,608
1,094 Deutsche Beteiligungs AG (b) 33,473
1,104 Deutz AG (b) 5,285
2,065 GFT Technologies AG (b) 30,630
693 Homag Group AG (b) 25,058
520 Jenoptik AG (b) 6,490
96 KUKA AG (b) 6,790
531 Stroeer Media SE (b) 15,751
305 Wacker Neuson SE (b) 6,197
------------
139,282
------------
GUERNSEY - 1.2%
7,768 Assura Group Ltd. 6,175
11,687 F&C Commercial Property Trust
Ltd. 24,846
16,932 Picton Property Income Ltd. 17,154
22,663 UK Commercial Property Trust
Ltd. 31,154
------------
79,329
------------
HONG KONG - 1.7%
5,333 Chong Hing Bank Ltd. (b) 11,743
1,067 Dah Sing Financial Holdings
Ltd. (b) 6,184
1,233,996 Lai Sun Development (b) 27,907
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HONG KONG (CONTINUED)
47,997 Shun Tak Holdings Ltd. (b) $ 22,127
8,000 Sun Hung Kai & Co., Ltd. (b) 6,074
74,000 Sunlight Real Estate Investment
Trust (b) 33,369
------------
107,404
------------
IRELAND - 0.1%
3,264 Aer Lingus Group PLC (b) 8,780
------------
ISLE OF MAN (U.K.) - 0.4%
801 Eros International PLC (c) 16,949
4,425 Lamprell PLC (b) (c) 8,276
------------
25,225
------------
ISRAEL - 0.3%
3,403 Israel Discount Bank Ltd.,
Class A (b) (c) 5,433
15,971 Oil Refineries Ltd. (b) (c) 4,214
2,176 Reit 1 Ltd. (b) 5,360
576 Tower Semiconductor Ltd. (b) (c) 7,475
------------
22,482
------------
ITALY - 1.2%
5,399 Anima Holding S.p.A. (b) (c) 27,161
872 ASTM S.p.A. (b) 10,076
835 Cairo Communication S.p.A. (b) 4,896
977 Cementir Holding S.p.A. (b) 5,905
949 Cerved Information Solutions
S.p.A. (b) (c) 5,011
5,151 CIR-Compagnie Industriali
Riunite S.p.A. (b) (c) 5,373
36 Cosmo Pharmaceuticals S.p.A. (b) 5,288
951 ERG S.p.A. (b) 10,651
4,361 Falck Renewables S.p.A. (b) 4,857
------------
79,218
------------
JAPAN - 35.6%
3,000 Aisan Industry Co., Ltd. (b) 25,665
1,800 Alpine Electronics, Inc. (b) 29,551
600 AOI Electronics Co., Ltd. (b) 28,630
1,000 Arcland Sakamoto Co., Ltd. (b) 19,439
1,100 Belc Co., Ltd. (b) 33,396
3,200 Bic Camera, Inc. (b) 36,701
3,000 Bunka Shutter Co., Ltd. (b) 24,210
4,000 Calsonic Kansei Corp. (b) 22,171
1,500 Chudenko Corp. (b) 23,181
7,000 Clarion Co., Ltd. (b) (c) 21,691
2,500 Create Restaurants Holdings,
Inc. (b) 34,562
3,000 Dainichiseika Color & Chemicals
Manufacturing Co., Ltd. (b) 15,973
9,000 Daiwabo Holdings Co., Ltd. (b) 15,652
1,900 Dena Co., Ltd. (b) 22,696
500 Dip Corp. (b) 17,497
1,200 Eagle Industry Co., Ltd. (b) 21,892
700 Exedy Corp. (b) 16,852
1,900 FCC Co., Ltd. (b) 32,690
1,600 Fields Corp. (b) 19,841
11,600 Fudo Tetra Corp. (b) 23,664
4,000 Fujikura Ltd. (b) 16,449
Page 92 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
JAPAN (CONTINUED)
2,000 Fujitsu General Ltd. (b) $ 19,269
3,000 Fukuda Corp. (b) 25,321
1,200 Fukushima Industries Corp. (b) 19,198
3,000 Furukawa Battery Co., Ltd. (b) 25,372
5,100 Futaba Industrial Co., Ltd. (b) 23,923
2,500 G-Tekt Corp. (b) 23,727
1,600 Gecoss Corp. (b) 23,777
1,300 Giken Ltd. (b) 23,139
1,900 Happinet Corp. (b) 23,650
4,600 Hazama Ando Corp. (b) 29,571
800 HI-LEX Corp. (b) 22,070
1,400 Imasen Electric Industrial (b) 19,560
300 Iriso Electronics Co., Ltd. (b) 15,922
1,100 Jamco Corp. (b) 28,403
1,000 Japan Aviation Electronics
Industry Ltd. (b) 21,847
800 Japan Petroleum Exploration Co.,
Ltd. (b) 25,134
8,000 Juki Corp. (b) 28,299
3,100 Kasai Kogyo Co., Ltd. (b) 27,315
2,600 Kasumi Co., Ltd. (b) 21,893
3,000 Kato Works Co., Ltd. (b) 24,225
2,300 Keihin Corp. (b) 34,138
1,500 Kito Corp. (b) 14,814
1,300 Kiyo Bank Ltd. 16,660
2,400 Komori Corp. (b) 27,286
900 Kura Corp. (b) 25,335
700 Kusuri No Aoki Co., Ltd. (b) 38,042
2,000 Kyudenko Corp. (b) 22,125
600 Macnica, Inc. (b) 16,751
5,000 Marudai Food Co., Ltd. (b) 17,171
1,500 Mirait Holdings Corp. (b) 17,019
3,900 Mitsubishi Nichiyu Forklift Co.,
Ltd. (b) 24,527
8,000 Mitsui Engineering &
Shipbuilding Co., Ltd. (b) 14,059
7,000 Mitsui Sugar Co., Ltd. (b) 22,999
8,000 Morinaga & Co., Ltd. (b) 20,977
38,000 Nakayama Steel Works
Ltd. (b) (c) 25,366
2,800 Namura Shipbuilding Co., Ltd. (b) 30,158
2,400 Nichiha Corp. (b) 23,747
1,000 Nippon Gas Co., Ltd. (b) 22,552
900 Nippon Kanzai Co., Ltd. (b) 19,990
1,000 Nippon Seiki Co., Ltd. (b) 22,640
5,000 Nippon Steel & Sumikin Bussan
Corp. (b) 17,178
2,000 Nippon Synthetic Chemical
Industry (The) Co., Ltd. (b) 11,844
7,000 Nishimatsu Construction Co.,
Ltd. (b) 28,641
7,000 NS United Kaiun Kaisha Ltd. (b) 19,813
4,000 NTN Corp. (b) 17,665
2,400 Pacific Industrial Co., Ltd. (b) 18,609
300 Pilot Corp. (b) 17,141
500 Piolax, Inc. (b) 21,318
10,700 Pioneer Corp. (b) (c) 20,344
4,000 Press Kogyo Co., Ltd. (b) 14,158
SHARES DESCRIPTION VALUE
------------------------------------------------------------
JAPAN (CONTINUED)
2,600 Raito Kogyo Co., Ltd. (b) $ 22,592
300 Relo Holdings, Inc. (b) 21,448
6,000 Riken Corp. (b) 22,602
1,400 Riso Kagaku Corp. (b) 22,537
1,800 S Foods, Inc. (b) 35,605
1,200 Sac's Bar Holdings, Inc. (b) 15,412
2,800 Samantha Thavasa Japan Ltd. (b) 27,629
5,000 Sanden Corp. (b) 26,727
2,000 Sanken Electric Co., Ltd. (b) 15,904
2,400 Sanki Engineering Co., Ltd. (b) 16,087
1,200 Sankyo Tateyama, Inc. (b) 21,958
6,000 Sankyu, Inc. (b) 24,354
3,000 Sanyo Denki Co., Ltd. (b) 20,074
4,500 Shin-Etsu Polymer Co., Ltd. (b) 18,621
4,000 Sumitomo Seika Chemicals Co.,
Ltd. (b) 26,639
3,100 Tabuchi Electric Co., Ltd. (b) 25,083
1,000 Tadano Ltd. (b) 12,353
600 Takeuchi Manufacturing Co.,
Ltd. (b) 24,718
7,000 Tamura Corp. (b) 25,043
800 Teikoku Sen-I Co., Ltd. (b) 17,814
6,000 Tekken Corp. (b) 22,906
900 Tocalo Co., Ltd. (b) 15,442
1,700 Topre Corp. (b) 24,350
3,900 Toyo Construction Co., Ltd. (b) 16,723
900 Toyoda Gosei Co., Ltd. (b) 18,103
700 TPR Co., Ltd. (b) 17,682
700 TS Tech Co., Ltd. (b) 16,372
400 WirelessGate, Inc. (b) 9,812
2,300 Yamazen Corp. (b) 16,343
400 Yaoko Co., Ltd. (b) 23,081
1,100 Yellow Hat Ltd. (b) 22,494
1,400 Yorozu Corp. (b) 23,226
------------
2,286,819
------------
JERSEY - 0.2%
17,721 Centamin PLC (b) 16,271
------------
LUXEMBOURG - 0.6%
375 APERAM S.A. (b) (c) 11,004
1,746 Grand City Properties S.A. (b) (c) 25,745
------------
36,749
------------
NETHERLANDS - 0.1%
331 BE Semiconductor Industries
N.V. (b) 7,365
1,590 SNS REAAL N.V. (b) (c) 0
------------
7,365
------------
NEW ZEALAND - 1.2%
7,745 Air New Zealand Ltd. (b) 14,876
7,476 Argosy Property Ltd. 6,298
12,452 Chorus Ltd. (b) (c) 25,858
7,088 Goodman Property Trust (b) 6,292
2,655 Infratil Ltd. 6,213
1,007 Mainfreight Ltd. (b) 12,466
6,924 Precinct Properties New Zealand
Ltd. (b) 6,411
------------
78,414
------------
See Notes to Financial Statements Page 93
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
NORWAY - 2.3%
7,385 Aker Solutions ASA (b) $ 21,283
881 Austevoll Seafood ASA (b) 5,461
1,019 Borregaard ASA (b) 7,537
956 Fred Olsen Energy ASA (b) 8,748
11,244 Kongsberg Automotive
ASA (b) (c) 8,626
10,645 Kvaerner ASA (b) 12,605
304 Leroey Seafood Group ASA (b) 11,096
3,752 Petroleum Geo-Services ASA (b) 21,122
2,864 Protector Forsikring ASA (b) 14,811
1,411 REC Solar ASA (b) (c) 19,105
663 Salmar ASA (b) 11,287
635 SpareBank 1 SMN (b) 4,962
------------
146,643
------------
PORTUGAL - 0.2%
8,348 Portugal Telecom SGPS S.A. (b) 8,706
477 Semapa-Sociedade de
Investimento e Gestao (b) 5,767
------------
14,473
------------
SINGAPORE - 4.7%
12,000 Ascott Residence Trust (b) 11,494
5,300 CapitaRetail China Trust (b) 6,446
25,000 Chip Eng Seng Corp., Ltd. (b) 15,855
24,000 Croesus Retail Trust (b) 16,725
9,000 CWT Ltd. (b) 10,857
20,000 Frasers Centrepoint Trust (b) 28,536
23,000 Frasers Commercial Trust (b) 24,470
39,000 Hong Fok Corp., Ltd. (b) 24,180
5,000 Mapletree Commercial Trust (b) 5,321
34,000 Mapletree Greater China
Commercial Trust (b) 24,334
11,000 Mapletree Industrial Trust (b) 12,308
18,000 OUE Ltd. (b) 27,650
10,000 Soilbuild Business Space REIT (b) 5,949
38,000 Starhill Global REIT 22,950
30,000 Swissco Holdings Ltd. (b) 11,573
13,000 United Engineers Ltd. (b) 28,600
21,000 Wing Tai Holdings Ltd. (b) 25,857
------------
303,105
------------
SOUTH KOREA - 19.0%
700 AJ Rent A Car Co., Ltd. (b) (c) 10,340
300 AK Holdings, Inc. (b) 21,832
599 AtlasBX Co., Ltd. (b) 21,145
4,647 Byucksan Corp. (b) 23,270
449 CJ Freshway Corp. (b) 18,739
71 Com2uSCorp. (b) (c) 8,646
816 CrucialTec Co., Ltd. (b) (c) 7,470
115 Dae Han Flour Mills Co., Ltd. (b) 16,179
783 Daehan New Pharm Co., Ltd. (b) (c) 9,591
1,455 Daesang Holdings Co., Ltd. (b) 22,199
79 Daum Communications Corp. (b) 8,841
55 Dongwon F&B Co., Ltd. 14,586
3,387 Easy Bio, Inc. (b) 16,467
232 Eo Technics Co., Ltd. (b) 26,367
808 Farmsco (b) (c) 9,849
105 Fila Korea Ltd. (b) 10,667
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SOUTH KOREA (CONTINUED)
103 Gamevil, Inc. (b) (c) $ 11,215
412 Global & Yuasa Battery Co.,
Ltd. (b) 14,836
640 Green Cross Holdings Corp. (b) 12,174
136 Hanil Cement Co., Ltd. (b) 17,979
590 Hanjin Transportation Co.,
Ltd. (b) 29,009
1,195 Hankook Tire Worldwide Co.,
Ltd. (b) 26,455
680 Hansae Co., Ltd. (b) 24,463
2,751 Hansae Yes24 Holdings Co.,
Ltd. (b) 30,709
216 Hanssem Co., Ltd. (b) 22,452
5,517 Harim Holdings Co., Ltd. (b) (c) 24,830
221 Huons Co., Ltd. (b) 10,877
1,013 Huvis Corp. (b) 10,270
1,165 Hwa Shin Co., Ltd. (b) 7,706
5,461 Hyundai Hy Communications &
Networks Co., Ltd. (b) 21,918
237 Hyundai Hysco Co., Ltd. (b) 15,663
559 Hyundai Livart Furniture Co.,
Ltd. (b) 19,095
720 Il Dong Pharmaceutical Co.,
Ltd. (b) 9,832
1,025 Interpark Corp. (b) 8,502
477 IS Dongseo Co., Ltd. (b) 21,619
756 KISWIRE Ltd. (b) 28,946
189 Korea District Heating Corp. (b) 9,614
237 Korea Electric Terminal Co.,
Ltd. (b) 14,632
257 Korea Petrochemical Ind. Co.,
Ltd. (b) 16,475
515 Korean Air Lines Co., Ltd. (b) (c) 22,090
608 Kyung Dong Navien Co., Ltd. (b) 16,054
2,178 LEADCORP, Inc. (b) 30,640
59 LG Hausys Ltd. (b) 8,663
816 LiHOM-CUCHEN Co., Ltd. (b) 7,661
640 Loen Entertainment, Inc. (b) 25,440
327 Nexen Corp. (b) 25,812
795 NICE Holdings Co., Ltd. (b) 10,992
1,925 Partron Co., Ltd. (b) 20,392
666 Poongsan Holdings Corp. (b) 25,866
226 Pulmuone Co., Ltd. (b) 22,799
587 Pyeong Hwa Automotive Co.,
Ltd. (b) 9,590
340 S&T Motiv Co., Ltd. (b) 12,973
81 Samchully Co., Ltd. (b) 10,223
229 Samlip General Foods Co.,
Ltd. (b) 31,136
956 Sansung Life & Science Co.,
Ltd. (b) (c) 20,564
327 Seah Besteel Corp. (b) 8,290
340 SeAH Steel Corp. 24,561
1,373 Sejong Industrial Co., Ltd. (b) 15,926
91 Shinsegae International Co.,
Ltd. (b) 9,432
177 SK Gas Ltd. (b) 15,550
851 SL Corp. (b) 13,462
719 Soulbrain Co., Ltd. (b) 20,912
Page 94 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SOUTH KOREA (CONTINUED)
1,791 Ssangyong Cement Industrial
Co., Ltd. (b) (c) $ 19,753
337 Suheung Co., Ltd. (b) 15,304
1,203 SundayToz Corp. (b) 18,604
1,016 Sung Kwang Bend Co., Ltd. (b) 12,680
1,445 Sungwoo Hitech Co., Ltd. (b) 15,308
9 Taekwang Industrial Co., Ltd. (b) 9,475
419 Unid Co., Ltd. (b) 21,932
351 Vieworks Co., Ltd. (b) 10,888
575 Whanin Pharmaceutical Co.,
Ltd. (b) 11,973
245 Youngone Holdings Co., Ltd. (b) 19,759
------------
1,220,163
------------
SPAIN - 0.5%
16,556 Inmobiliaria Colonial S.A. (b) (c) 10,935
533 Let's GOWEX S.A. (b) (c) (d) 0
376 Miquel y Costas & Miquel S.A. 14,559
1,060 Papeles y Cartones de Europa
S.A. (b) 4,879
215 Pescanova S.A. (b) (c) (d) 0
------------
30,373
------------
SWEDEN - 0.6%
920 Fastighets AB Balder,
Class B (b) (c) 12,921
1,212 Klovern AB, Class A (b) 1,267
984 Kungsleden AB, Class B (b) 7,077
337 Medivir AB, Class B (b) (c) 4,231
219 Net Entertainment NE AB,
Class B (b) 7,382
481 Tethys Oil AB (b) (c) 3,740
------------
36,618
------------
SWITZERLAND - 1.1%
337 HBM Healthcare Investments
AG (b) (c) 33,070
52 Leonteq AG (b) (c) 12,479
4 Metall Zug AG (b) 9,705
79 Siegfried Holding AG 12,873
------------
68,127
------------
UNITED KINGDOM - 4.6%
17,451 Afren PLC (b) (c) 12,805
2,665 APR Energy PLC (b) 7,689
660 Awilco Drilling PLC (b) 6,885
7,701 Cable & Wireless
Communications PLC (b) 5,919
3,052 Chesnara PLC 16,138
18,588 Debenhams PLC (b) 21,687
9,888 EnQuest PLC (b) (c) 5,452
284 Go-Ahead Group PLC (b) 10,826
10,471 Hansteen Holdings PLC (b) 17,478
5,238 Helical Bar PLC 31,247
7,796 Londonmetric Property PLC 18,542
1,357 Luxfer Holdings PLC 20,260
747 Northgate PLC (b) 7,082
8,117 Quintain Estates & Development
PLC (c) 12,050
SHARES DESCRIPTION VALUE
------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
8,567 Safestore Holdings PLC (b) $ 31,165
3,763 Spirit Pub Co., PLC (b) 6,114
2,640 SVG Capital PLC (b) (c) 18,141
800 Vesuvius PLC (b) 5,533
2,899 Workspace Group PLC (b) 34,268
1,921 Xchanging PLC (b) 4,613
------------
293,894
------------
UNITED STATES - 0.5%
2,540 Magnachip Semiconductor
Corp. (c) 32,995
------------
VIRGIN ISLANDS (BRITISH) - 0.2%
3,763 Gem Diamonds Ltd. (b) (c) 10,171
------------
TOTAL INVESTMENTS - 99.8% 6,404,007
(Cost $6,645,376) (d)
NET OTHER ASSETS
AND LIABILITIES - 0.2% 9,656
------------
NET ASSETS - 100.0% $ 6,413,663
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$5,638,560 or 88.17% of net assets.
(c) Non-income producing security.
(d) Aggregate cost for federal income tax purposes is $6,706,623. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$637,852 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$940,468.
ADR American Depositary Receipt
See Notes to Financial Statements Page 95
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Bermuda $ 237,175 $ 24,022 $ 213,153 $ --
Canada 374,235 374,235 -- --
Cayman Islands 126,751 -- 110,434 16,317
France 76,045 4,663 71,382 --
Guernsey 79,329 79,329 -- --
Isle Of Man (U.K.) 25,225 16,949 8,276 --
Japan 2,286,819 16,660 2,270,159 --
Netherlands 7,365 -- 7,365 --**
New Zealand 78,414 12,511 65,903 --
Singapore 303,105 22,950 280,155 --
South Korea 1,220,163 39,147 1,181,016 --
Spain 30,373 14,559 15,814 --**
Switzerland 68,127 12,873 55,254 --
United Kingdom 293,894 98,237 195,657 --
United States 32,995 32,995 -- --
Other Country
Categories* 1,163,992* -- 1,163,992 --
-----------------------------------------------------
Total Investments $6,404,007 $749,130 $5,638,560 $16,317
=====================================================
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, 2014, the Fund transferred common stocks valued at $870,729 from Level 1 to
Level 2 of the fair value hierarchy. The common stocks that transferred from
Level 1 to Level 2 did so as a result of foreign equities that were valued based
on quoted prices at December 31, 2013 that are now being 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, 2014, exceeding a
certain threshold. In addition, as of December 31, 2014, the Fund transferred a
common stock valued at $0 from Level 2 to Level 3 of the fair value hierarchy.
The common stock that transferred from Level 2 to Level 3 did so as a result of
additional negative news related to the company. Finally, as of December 31,
2014, the Fund transferred a common stock valued at $0 from Level 1 to Level 3
of the fair value hierarchy. The common stock that transferred from Level 1 to
Level 3 did so as a result of negative news related to the company.
Level 3 common stocks are fair valued by the Advisor's Pricing Committee. The
Trust's Board of Trustees has adopted valuation procedures that are utilized by
the Pricing Committee to oversee the day-to-day valuation of the Fund's
investments. The Advisor's Pricing Committee, through the Fund's fund accounting
agent, monitors daily pricing via tolerance checks and stale and unchanged price
reviews. The Advisor's Pricing Committee also reviews monthly back testing of
pricing service prices by comparing sales prices of Fund investments to prior
day pricing service prices. Additionally, the Advisor's Pricing Committee
reviews periodic information from the Fund's third party pricing service that
compares secondary market trade prices to their daily valuations.
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, 2013
Common Stocks $ --
Net Realized Gain (Loss) --
Net Change in Unrealized Appreciation/
Depreciation 4,124
Purchases 12,193
Sales --
Transfers In --**
Transfers Out --
ENDING BALANCE AT DECEMBER 31, 2014
Common Stocks 16,317
------------
Total Level 3 holdings $ 16,317
============
Net change in unrealized appreciation/depreciation from Level 3 investments held
as of December 31, 2014, was $4,124 and is included in "Net change in unrealized
appreciation (depreciation) on investments" on the Statements of Operations.
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
Page 96 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
INDUSTRY % OF NET ASSETS
------------------------------------------------------------
Auto Components 10.5%
Machinery 6.5
Real Estate Management & Development 5.4
Real Estate Investment Trusts 5.3
Metals & Mining 5.1
Construction & Engineering 4.6
Food Products 4.6
Chemicals 3.3
Electronic Equipment, Instruments & Components 3.3
Oil, Gas & Consumable Fuels 3.3
Capital Markets 2.7
Food & Staples Retailing 2.7
Media 2.6
Textiles, Apparel & Luxury Goods 2.5
Building Products 2.4
Semiconductors & Semiconductor Equipment 2.4
Specialty Retail 2.4
Household Durables 2.3
Hotels, Restaurants & Leisure 2.2
Energy Equipment & Services 2.0
Commercial Services & Supplies 1.8
Trading Companies & Distributors 1.4
Industrial Conglomerates 1.2
Paper & Forest Products 1.2
Construction Materials 1.1
Insurance 1.1
Diversified Telecommunication Services 1.0
Diversified Financial Services 0.9
Internet Software & Services 0.9
Pharmaceuticals 0.9
Software 0.9
Air Freight & Logistics 0.8
Electrical Equipment 0.8
Health Care Equipment & Supplies 0.8
Marine 0.8
Road & Rail 0.8
Airlines 0.7
Banks 0.7
Containers & Packaging 0.5
IT Services 0.5
Biotechnology 0.4
Aerospace & Defense 0.4
Beverages 0.4
Distributors 0.4
Health Care Providers & Services 0.4
Multiline Retail 0.4
Technology Hardware, Storage & Peripherals 0.4
Gas Utilities 0.3
Leisure Products 0.3
Communications Equipment 0.2
Diversified Consumer Services 0.2
Independent Power and Renewable Electricity
Producers 0.2
Life Sciences Tools & Services 0.2
Transportation Infrastructure 0.2
Wireless Telecommunication Services 0.2
INDUSTRY (CONTINUED) % OF NET ASSETS
------------------------------------------------------------
Electric Utilities 0.1%
Internet & Catalog Retail 0.1
Professional Services 0.1
------------------------------------------------------------
TOTAL INVESTMENTS 99.8
NET OTHER ASSETS AND LIABILITIES 0.2
-------
TOTAL 100.0%
=======
CURRENCY EXPOSURE
DIVERSIFICATION % OF TOTAL INVESTMENTS
------------------------------------------------------------
Japanese Yen 35.7%
South Korean Won 19.0
Euro 6.6
Australian Dollar 6.2
Hong Kong Dollar 6.1
British Pound Sterling 5.9
Canadian Dollar 5.7
Singapore Dollar 4.7
Norwegian Krone 3.4
US Dollar 1.7
Danish Krone 1.4
New Zealand Dollar 1.2
Swiss Franc 1.1
Swedish Krona 0.9
Israeli Shekel 0.4
-------
TOTAL 100.0%
=======
See Notes to Financial Statements Page 97
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.6%
BERMUDA - 3.1%
2,393,141 China Financial International
Investments Ltd. (b) $ 246,886
323,439 China Water Affairs Group
Ltd. (c) 147,348
1,781,231 COFCO Land Holdings
Ltd. (b) (c) 343,388
82,358 Hopson Development Holdings
Ltd. (b) (c) 74,726
92,849 Huabao International Holdings
Ltd. (c) 75,666
630,000 Nam Cheong Ltd. (c) 148,607
2,113,942 REXLot Holdings Ltd. (c) 167,424
444,490 YuanShengTai Dairy Farm
Ltd. (b) (c) 43,314
------------
1,247,359
------------
BRAZIL - 5.1%
16,969 Cia de Saneamento de Minas
Gerais-COPASA 160,740
14,198 Cyrela Brazil Realty S.A.
Empreendimentos e Participacoes 59,074
17,570 Direcional Engenharia S.A. 53,605
128,697 Even Construtora e Incorporadora
S.A. 263,378
33,400 Ez Tec Empreendimentos e
Participacoes S.A. 276,428
296,199 Gafisa S.A. (c) 244,703
65,921 Helbor Empreendimentos S.A. 117,796
14,955 Kepler Weber S.A. 282,987
8,479 Light S.A. 54,290
54,584 Minerva S.A. (b) 203,288
64,074 MRV Engenharia e Participacoes
S.A. (c) 181,996
141,984 Tecnisa S.A. (c) 205,831
------------
2,104,116
------------
CAYMAN ISLANDS - 22.2%
154,984 Asia Plastic Recycling Holding
Ltd. (c) 176,156
5,983 Changyou.com Ltd., ADR (b) 163,695
2,926,189 China Energine International
Holdings Ltd. (b) (c) 331,725
741,396 China Fiber Optic Network
System Group Ltd. (c) 198,680
176,311 China High Speed Transmission
Equipment Group Co.,
Ltd. (b) (c) 108,922
574,311 China Lesso Group Holdings
Ltd. (c) 279,565
2,484,048 China Lumena New Materials
Corp. (b) (c) 0
11,550 China Metal Recycling Holdings
Ltd. (b) (c) 0
421,412 China Sanjiang Fine Chemicals
Co., Ltd. (c) 134,250
401,573 China Shanshui Cement Group
Ltd. (c) 191,908
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CAYMAN ISLANDS (CONTINUED)
1,134,223 China Shengmu Organic Milk
Ltd. (b) (c) (d) $ 355,999
1,151,005 CIFI Holdings Group Co.,
Ltd. (c) 230,663
1,916,435 Citychamp Watch & Jewellery
Group Ltd. (c) 239,904
870,865 Comba Telecom Systems
Holdings Ltd. (c) 307,879
3,344 Daqo New Energy Corp. (b) 88,081
191,508 Dongyue Group Ltd. (c) 67,612
921,487 EVA Precision Industrial
Holdings Ltd. (c) 209,398
2,009,690 Fantasia Holdings Group Co.,
Ltd. (c) 214,072
289,242 Fufeng Group Ltd. (c) 125,035
153,070 Greentown China Holdings
Ltd. (c) 150,896
862,016 Hua Han Bio-Pharmaceutical
Holdings Ltd. (c) 261,577
1,644,412 Hydoo International Holding
Ltd. (c) 409,330
371,331 Ju Teng International Holdings
Ltd. (c) 183,207
957,265 Kaisa Group Holdings Ltd. (c) 196,276
143,827 Kingboard Chemical Holdings
Ltd. (c) 241,503
508,487 Kingboard Laminates Holdings
Ltd. (c) 186,769
305,938 KWG Property Holding Ltd. (c) 208,329
297,450 Lijun International
Pharmaceutical Holding Ltd. (c) 136,049
963,163 Logan Property Holdings Co.,
Ltd. (c) 299,935
397,227 Lonking Holdings Ltd. (c) 80,522
1,667,316 Powerlong Real Estate Holdings
Ltd. (b) (c) 233,852
1,052,873 Real Nutriceutical Group Ltd. (c) 273,069
472,650 Sunac China Holdings Ltd. (c) 478,061
96,561 Sunny Optical Technology Group
Co., Ltd. (c) 165,311
833,412 Synertone Communication Corp. 73,081
59,546 TCL Communication Technology
Holdings Ltd. (c) 55,189
1,229,016 Tiangong International Co.,
Ltd. (c) 224,716
1,902,835 Tianjin Port Development
Holdings Ltd. (c) 397,750
864,898 Wuzhou International Holdings
Ltd. (c) 166,377
624,640 Xingda International Holdings
Ltd. 222,319
459,015 Xinyi Glass Holdings Ltd. (c) 230,549
1,674,192 Yuzhou Properties Co Ltd 420,996
1,021,408 Zall Development Group
Ltd. (b) (c) 354,541
------------
9,073,748
------------
Page 98 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
CHILE - 1.2%
325,183 Empresas AquaChile S.A. (b) $ 211,645
263,148 Hortifrut S.A. 268,828
------------
480,473
------------
CHINA - 5.0%
622,258 Beijing Capital Land Ltd. (c) 234,911
330,027 China BlueChemical Ltd.,
Class H (c) 115,450
1,552,192 China National Materials Co.,
Ltd. (c) 465,367
919,415 Chongqing Machinery & Electric
Co., Ltd. (c) 141,060
199,431 Jinmao Investments and Jinmao
China Investments Holdings
Ltd. (b) (c) 148,080
38,365 Poly Culture Group Corp.,
Ltd. (b) (c) 117,541
76,961 Shandong Luoxin Pharmaceutical
Group Stock Co., Ltd. (c) 148,338
1,553,141 Xiamen International Port Co.,
Ltd. (c) 397,689
324,136 Xinhua Winshare Publishing and
Media Co., Ltd. (c) 257,645
------------
2,026,081
------------
EGYPT - 1.8%
101,147 Egyptian Financial Group-Hermes
Holding (b) (c) 214,214
54,705 ElSwedy Electric Co. (b) (c) 315,815
32,182 Pioneers Holding for Financial
Investments SAE (b) (c) 54,083
78,620 Six of October Development &
Investment (b) (c) 153,602
------------
737,714
------------
GREECE - 0.7%
27,859 Metka S.A. (c) 283,258
------------
GUERNSEY - 0.4%
78,447 Etalon Group Ltd., GDR (c) 153,379
------------
HONG KONG - 4.6%
505,773 China Overseas Grand Oceans
Group Ltd. (c) 255,407
971,566 China Travel International
Investment Hong Kong Ltd. (c) 335,658
123,629 Dah Chong Hong Holdings
Ltd. (c) 66,639
1,175,466 Franshion Properties China
Ltd. (c) 335,456
207,300 Guotai Junan International
Holdings Ltd. (c) 156,514
410,186 MMG Ltd. (c) 126,336
254,915 Shenzhen Investment Ltd. (c) 73,440
470,008 SinoMedia Holding Ltd. (c) 263,978
155,011 Tianjin Development Holdings
Ltd. (c) 114,256
805,966 Yuexiu Property Co., Ltd. (c) 155,262
------------
1,882,946
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
INDONESIA - 5.3%
13,955,847 Benakat Integra Tbk PT (c) $ 136,190
8,468,354 Energi Mega Persada Tbk
PT (b) (c) 68,029
8,228,684 Modernland Realty Tbk PT (c) 343,905
3,354,771 Multipolar Tbk PT (c) 225,055
12,550,223 Panin Financial Tbk PT (b) (c) 302,283
1,622,773 Pembangunan Perumahan Persero
Tbk PT (c) 466,159
3,672,591 Tiphone Mobile Indonesia Tbk
PT (b) (c) 274,773
5,700,918 Visi Media Asia Tbk PT (b) (c) 219,833
1,044,599 Waskita Karya Persero Tbk PT (c) 123,091
------------
2,159,318
------------
ISLE OF MAN (U.K.) - 0.5%
84,374 Exillon Energy PLC (b) (c) 194,179
------------
JERSEY - 0.6%
2,253,666 West China Cement Ltd. (c) 236,112
------------
MALAYSIA - 6.5%
757,500 Boustead Plantations Bhd (c) 312,679
218,100 Inari Amertron Bhd (c) 156,756
501,800 KSL Holdings Bhd (c) 266,311
481,700 Malayan Flour Mills Bhd (c) 212,176
83,000 Malaysian Pacific Industries
Bhd (c) 106,933
144,500 Matrix Concepts Holdings Bhd (c) 110,920
105,300 Media Prima Bhd 53,004
62,300 My EG Services Bhd (c) 74,737
375,700 Press Metal Bhd (c) 276,458
157,800 Scientex Bhd (c) 319,491
341,300 Sunway Bhd (c) 319,172
243,300 TA Enterprise Bhd (c) 48,317
91,400 Tambun Indah Land Bhd (c) 41,918
46,000 TIME dotCom Bhd (b) 64,201
924,500 Tropicana Corp. Bhd (c) 279,349
------------
2,642,422
------------
MARSHALL ISLANDS - 0.1%
10,748 Safe Bulkers, Inc. 42,025
------------
MEXICO - 0.4%
229,786 Corp. GEO SAB de CV (b) (c) (e) 0
76,340 Credito Real SAB de CV 163,404
------------
163,404
------------
PHILIPPINES - 4.3%
140,790 Cebu Air, Inc. (c) 269,379
990,000 D&L Industries, Inc. (c) 366,840
476,800 First Gen Corp. (c) 271,051
107,080 First Philippine Holdings Corp. (c) 214,240
2,471,100 Lopez Holdings Corp. (c) 368,111
215,100 Nickel Asia Corp. (c) 227,315
2 SM Development Corp. (b) (c) 35,048
------------
1,751,984
------------
POLAND - 1.8%
5,078 Asseco Poland S.A. (c) 72,847
104,403 Boryszew S.A. (b) (c) 169,290
58,431 Enea S.A. (c) 251,386
See Notes to Financial Statements Page 99
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
POLAND (CONTINUED)
861 Grupa Kety S.A. $ 69,295
23,823 Zespol Elektrowni Patnow
Adamow Konin S.A. 176,962
------------
739,780
------------
RUSSIA - 0.4%
130,935 Aeroflot - Russian Airlines
OJSC (b) (c) 69,466
13,613 DIXY Group OJSC (b) (c) 80,602
------------
150,068
------------
SOUTH AFRICA - 7.9%
26,560 Astral Foods Ltd. 401,577
134,346 Capital Property Fund (c) 155,328
49,466 Consolidated Infrastructure
Group Ltd. (b) 123,967
154,541 Emira Property Fund 231,389
420,137 Fountainhead Property Trust (c) 306,490
71,572 Lewis Group Ltd. (c) 454,843
71,341 Mpact Ltd. 226,646
33,264 Resilient Property Income Fund
Ltd. 241,520
90,913 Sappi Ltd. (b) (c) 329,627
66,022 Sibanye Gold Ltd. (c) 127,348
59,218 Telkom S.A. SOC Ltd. (b) (c) 355,921
425,665 Zeder Investments Ltd. 277,822
------------
3,232,478
------------
TAIWAN - 12.2%
165,277 Ardentec Corp. (c) 135,263
91,685 Asia Optical Co., Inc. (b) (c) 114,645
181,966 Chimei Materials Technology
Corp. (c) 190,243
274,334 China Metal Products (c) 262,003
88,878 Coretronic Corp. (c) 120,548
369,115 Elitegroup Computer Systems
Co., Ltd. (c) 307,650
134,623 Formosan Rubber Group, Inc. (c) 139,976
63,951 Gigabyte Technology Co., Ltd. (c) 74,234
3,611 Gigasolar Materials Corp. (c) 56,186
475,096 Grand Pacific Petrochemical (c) 252,984
146,882 Great Wall Enterprise Co., Ltd. (c) 127,695
55,691 Greatek Electronics, Inc. (c) 67,051
1,335,904 HannStar Display Corp. (c) 330,637
60,236 Ichia Technologies, Inc. (c) 59,299
107,267 Lien Hwa Industrial Corp. (c) 69,391
243,980 Mercuries Life Insurance Co.,
Ltd. (b) (c) 130,268
514,376 Orient Semiconductor Electronics
Ltd. (b) (c) 214,518
806,490 Qisda Corp. (b) (c) 366,562
613,387 Radium Life Tech Co., Ltd. (c) 344,528
221,518 Ruentex Development Co.,
Ltd. (c) 350,126
160,821 Ruentex Industries Ltd. (c) 337,242
71,277 Sigurd Microelectronics Corp. (c) 68,678
116,757 TA Chen Stainless Pipe (c) 76,675
197,061 Taiwan Cogeneration Corp. (c) 152,422
SHARES DESCRIPTION VALUE
------------------------------------------------------------
TAIWAN (CONTINUED)
199,773 Wan Hai Lines Ltd. (c) $ 174,012
222,423 WT Microelectronics Co., Ltd. (c) 325,632
67,836 Yungshin Construction &
Development Co., Ltd. (c) 140,667
------------
4,989,135
------------
THAILAND - 7.2%
2,816,800 Ananda Development PCL 280,824
1,418,400 AP Thailand PCL 256,519
129,900 Bangchak Petroleum PCL 125,359
328,665 CH Karnchang PCL 252,243
127,500 Chularat Hospital PCL 69,757
135,700 Demco PCL 52,795
5,876,200 E for L Aim PCL (b) 253,623
344,700 GFPT PCL 186,494
219,700 Hana Microelectronics PCL 253,757
58,000 KCE Electronics PCL 60,380
34,000 Krungthai Card PCL 66,140
271,100 Pruksa Real Estate PCL 236,904
374,400 Samart Corp. PCL 446,663
89,300 Supalai PCL 65,414
459,600 SVI PCL 55,878
1,215,200 TPI Polene PCL 63,161
829,000 Univentures PCL 207,880
------------
2,933,791
------------
TURKEY - 8.1%
11,377 Akcansa Cimento A.S. (c) 75,861
170,514 Alarko Holding A.S. (c) 324,848
20,932 Brisa Bridgestone Sabanci
Sanayi ve Ticaret A.S. (c) 87,725
5,275 Goodyear Lastikleri A.S. (c) 204,798
510,209 Is Gayrimenkul Yatirim Ortakligi
A.S. (c) 309,062
392,468 Kardemir Karabuk Demir Celik
Sanayi ve Ticaret A.S. (b) (c) 343,297
48,161 Koza Altin Isletmeleri A.S. (c) 322,008
61,378 NET Holding A.S. (b) (c) 104,025
145,774 Petkim Petrokimya Holding
A.S. (c) 245,974
265,907 Torunlar Gayrimenkul Yatirim
Ortakligi A.S. (c) 391,525
128,052 Trakya Cam Sanayi A.S. (c) 188,375
112,987 Turkiye Sise ve Cam Fabrikalari
A.S. (c) 175,487
129,989 Vestel Elektronik Sanayi ve
Ticaret A.S. (b) (c) 353,266
23,777 Yazicilar Holding A.S. (c) 198,586
------------
3,324,837
------------
UNITED STATES - 0.2%
21,529 CTC Media, Inc. 104,846
------------
TOTAL INVESTMENTS - 99.6% 40,653,453
(Cost $43,723,190) (f)
NET OTHER ASSETS
AND LIABILITIES - 0.4% 145,281
------------
NET ASSETS - 100.0% $ 40,798,734
============
Page 100 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) Non-income producing security.
(c) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$32,375,887 or 79.36% of net assets.
(d) This security is restricted in the U.S. and cannot be offered for public
sale without first being registered under the Securities Act of 1933, as
amended. This security is not restricted on the Hong Kong Stock Exchange
and trades freely without any additional registration. As such, it does
not require the additional disclosure required of restricted securities.
(e) This company has filed for protection in federal bankruptcy court.
(f) Aggregate cost for federal income tax purposes is $44,600,537. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$2,472,228 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$6,419,312.
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,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Bermuda $ 1,247,359 $ 246,886 $ 1,000,473 $ --
Brazil 2,104,116 1,471,586 632,530 --
Cayman Islands 9,073,748 968,172 8,105,576 --**
Chile 480,473 480,473 -- --
Malaysia 2,642,422 117,205 2,525,217 --
Marshall Islands 42,025 42,025 -- --
Mexico 163,404 163,404 -- --**
Poland 739,780 246,257 493,523 --
South Africa 3,232,478 1,502,921 1,729,557 --
Thailand 2,933,791 2,933,791 -- --
United States 104,846 104,846 -- --
Other Country
Categories* 17,889,011 -- 17,889,011 --
-----------------------------------------------------
Total Investments $40,653,453 $8,277,566 $32,375,887 $ --**
=====================================================
* 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, 2014, the Fund transferred common stocks valued at $6,176,136 from Level 1
to Level 2 and $0 from Level 1 to Level 3 of the fair value hierarchy. The
common stocks valued at $5,993,772 that transferred from Level 1 to Level 2 did
so as a result of foreign equities that were valued based on quoted prices at
December 31, 2013 that are now being 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, 2014 exceeding a certain threshold. The
common stock valued at $182,364 that transferred from Level 1 to Level 2 did so
as a result of the security being halted on the primary exchange due to negative
news related to the company. The common stock that transferred from Level 1 to
Level 3 was the result of the security being halted on the primary exchange due
to negative news related to the company's financial statements and their ongoing
extended audit.
Level 3 common stocks are fair valued by the Advisor's Pricing Committee. The
Trust's Board of Trustees has adopted valuation procedures that are utilized by
the Pricing Committee to oversee the day-to-day valuation of the Fund's
investments. The Advisor's Pricing Committee, through the Fund's fund accounting
agent, monitors daily pricing via tolerance checks and stale and unchanged price
reviews. The Advisor's Pricing Committee also reviews monthly back testing of
pricing service prices by comparing sales prices of Fund investments to prior
day pricing service prices. Additionally, the Advisor's Pricing Committee
reviews periodic information from the Fund's third party pricing service that
compares secondary market trade prices to their daily valuations.
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, 2013
Common Stocks $ --**
Net Realized Gain --
Net Change in Unrealized Appreciation/
Depreciation --
Purchases --
Sales --
Transfers In --**
Transfers Out --
ENDING BALANCE AT DECEMBER 31, 2014
Common Stocks --**
------------
Total Level 3 holdings $ --**
============
** Investment is valued at $0.
See Notes to Financial Statements Page 101
FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND (FEMS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
INDUSTRY % OF NET ASSETS
------------------------------------------------------------
Real Estate Management & Development 20.5%
Electronic Equipment, Instruments & Components 7.1
Food Products 5.9
Chemicals 5.4
Metals & Mining 5.0
Household Durables 4.3
Real Estate Investment Trusts 4.0
Construction Materials 2.5
Construction & Engineering 2.5
Media 2.5
Machinery 2.5
Industrial Conglomerates 2.3
Capital Markets 2.3
Technology Hardware, Storage & Peripherals 2.0
Hotels, Restaurants & Leisure 2.0
Transportation Infrastructure 1.9
Independent Power and Renewable Electricity
Producers 1.9
Electrical Equipment 1.9
Auto Components 1.8
Semiconductors & Semiconductor Equipment 1.8
Specialty Retail 1.8
Electric Utilities 1.7
Communications Equipment 1.4
Textiles, Apparel & Luxury Goods 1.4
Pharmaceuticals 1.3
Oil, Gas & Consumable Fuels 1.3
Building Products 1.1
Insurance 1.1
Diversified Telecommunication Services 1.0
Airlines 0.8
Paper & Forest Products 0.8
Distributors 0.8
Water Utilities 0.8
Personal Products 0.7
Software 0.6
Consumer Finance 0.6
Containers & Packaging 0.6
Multiline Retail 0.6
Marine 0.5
Food & Staples Retailing 0.2
IT Services 0.2
Health Care Providers & Services 0.2
------------------------------------------------------------
TOTAL INVESTMENTS 99.6
NET OTHER ASSETS AND LIABILITIES 0.4
-------
TOTAL 100.0%
=======
Page 102 See Notes to Financial Statements
FIRST TRUST EUROZONEALPHADEX(R) ETF (FEUZ)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) - 99.9%
AUSTRIA - 5.0%
84,263 ams AG (b) $ 3,046,107
16,701 Oesterreichische Post AG 816,041
119,048 OMV AG (b) 3,161,113
147,357 Raiffeisen Bank International
AG (b) 2,251,619
198,915 Verbund AG (b) 3,683,707
101,341 Voestalpine AG (b) 4,004,295
------------
16,962,882
------------
BELGIUM - 7.7%
32,415 Ackermans & van Haaren
N.V. (b) 3,996,962
48,260 Ageas (b) 1,715,893
28,783 Anheuser-Busch InBev N.V. (b) 3,239,278
92,061 Belgacom S.A. (b) 3,340,296
18,184 Colruyt S.A. (b) 845,364
46,061 Delhaize Group S.A. (b) 3,354,408
66,721 Elia System Operator S.A./
N.V. (b) 3,106,997
34,974 Groupe Bruxelles Lambert
S.A. (b) 2,983,990
27,877 Telenet Group Holding
N.V. (b) (c) 1,564,393
26,478 UCB S.A. (b) 2,013,319
------------
26,160,900
------------
FINLAND - 7.5%
164,256 Fortum OYJ (b) 3,566,252
145,893 Huhtamaki OYJ (b) 3,838,296
22,496 Metso OYJ (b) 673,523
194,599 Neste Oil OYJ (b) 4,739,961
187,827 Nokia OYJ (b) 1,485,488
102,312 Orion OYJ (b) 3,181,953
16,511 Sampo OYJ, A Shares (b) 772,952
288,135 Stora Enso OYJ (b) 2,576,205
280,451 UPM-Kymmene OYJ (b) 4,596,079
------------
25,430,709
------------
FRANCE - 23.2%
70,279 Alstom S.A. (b) (c) 2,266,682
37,106 Arkema S.A. (b) 2,454,072
97,535 AXA S.A. (b) 2,247,503
7,732 BioMerieux (b) 802,193
44,652 Cap Gemini S.A. (b) 3,193,385
17,510 Cie de St-Gobain (b) 741,739
14,591 Cie Generale d'Optique Essilor
International S.A. (b) 1,627,178
42,473 Cie Generale des Etablissements
Michelin (b) 3,833,898
85,106 CNP Assurances (b) 1,508,774
265,544 Credit Agricole S.A. (b) 3,427,781
28,726 Eiffage S.A. (b) 1,456,400
65,262 Groupe Eurotunnel S.A. (b) 842,544
39,215 Ingenico (b) 4,130,846
65,172 Ipsen S.A. (b) 3,373,397
36,592 Klepierre (b) 1,571,194
582,207 Natixis (b) 3,841,762
213,156 Orange S.A. (b) 3,625,083
SHARES DESCRIPTION VALUE
------------------------------------------------------------
FRANCE (CONTINUED)
12,889 Orpea (b) $ 806,760
124,946 Peugeot S.A. (b) (c) 1,530,887
33,500 Plastic Omnium S.A. (b) 909,118
55,312 Renault S.A. (b) 4,028,721
12,339 Safran S.A. (b) 761,254
14,164 Sanofi (b) 1,291,339
76,932 SCOR SE (b) 2,331,066
6,205 Societe BIC S.A. 824,793
47,083 Societe Generale S.A. (b) 1,970,432
59,392 Societe Television Francaise 1 (b) 913,055
8,179 Sodexo S.A. (b) 800,595
142,079 Suez Environnement Co. (b) 2,475,473
64,763 Teleperformance (b) 4,408,422
30,075 Thales S.A. (b) 1,627,274
49,314 Total S.A. (b) 2,526,456
14,399 Valeo S.A. (b) 1,791,671
69,686 Vallourec S.A. (b) 1,888,605
37,134 Vicat S.A. (b) 2,666,067
41,779 Vinci S.A. (b) 2,281,239
14,112 Wendel S.A. (b) 1,581,164
------------
78,358,822
------------
GERMANY - 22.5%
9,882 Allianz SE (b) 1,636,718
17,469 BASF SE (b) 1,465,316
17,153 Bayer AG (b) 2,338,099
29,839 Bayerische Motoren Werke
AG (b) 3,220,173
25,260 Bilfinger SE (b) 1,412,008
96,336 Celesio AG (b) 3,104,975
4,206 Continental AG (b) 887,141
41,787 Daimler AG (b) 3,470,580
152,187 Deutsche Lufthansa AG (b) 2,521,885
52,855 Deutsche Telekom AG (b) 845,698
149,971 Deutsche Wohnen AG (b) 3,537,776
175,049 E.ON SE (b) 2,991,883
92,366 Freenet AG (b) 2,626,177
45,868 Fresenius Medical Care AG &
Co. KGaA (b) 3,423,444
64,747 Fresenius SE & Co. KGaA (b) 3,366,458
18,365 GEA Group AG (b) 807,439
9,904 Hannover Rueck SE (b) 893,453
48,489 HeidelbergCement AG (b) 3,422,350
154,852 Infineon Technologies AG (b) 1,638,622
141,252 K+S AG (b) 3,897,872
21,463 KION Group AG (b) 819,443
26,059 Merck KGaA (b) 2,452,370
8,104 Muenchener Rueckversicherungs
AG (b) 1,613,811
132,049 Rhoen Klinikum AG (b) 3,700,897
41,125 RWE AG (b) 1,269,309
254,963 Suedzucker AG (b) 3,665,813
15,041 Symrise AG (b) 906,147
306,468 Telefonica Deutschland Holding
AG (b) 1,624,234
122,145 ThyssenKrupp AG (b) 3,111,502
37,654 United Internet AG (b) 1,696,121
See Notes to Financial Statements Page 103
FIRST TRUST EUROZONEALPHADEX(R) ETF (FEUZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
GERMANY (CONTINUED)
19,291 Volkswagen AG (Preference
Shares) (b) $ 4,287,528
33,102 Wacker Chemie AG (b) 3,631,138
------------
76,286,380
------------
GREECE - 0.6%
1,093,987 National Bank of Greece
S.A. (b) (c) 1,920,202
------------
IRELAND - 3.3%
10,231,845 Bank of Ireland (The) (b) (c) 3,839,919
166,514 Glanbia PLC (b) 2,554,306
252,814 Ryanair Holdings PLC (b) (c) 2,992,277
73,108 Smurfit Kappa Group PLC (b) 1,644,084
------------
11,030,586
------------
ITALY - 10.1%
2,424,370 A2A S.p.A. (b) 2,456,583
152,318 Assicurazioni Generali S.p.A. (b) 3,127,522
79,584 De'Longhi S.p.A. (b) 1,437,122
313,184 Enel Green Power S.p.A. (b) 656,171
603,878 Enel S.p.A. (b) 2,691,796
168,097 Eni S.p.A. (b) 2,944,470
82,547 Exor S.p.A. (b) 3,387,050
411,661 Finmeccanica S.p.A. (b) (c) 3,826,318
302,653 Hera S.p.A. (b) 712,677
1,054,658 Intesa Sanpaolo S.p.A. (b) 3,059,460
195,496 Recordati S.p.A. (b) 3,030,843
3,495,172 Telecom Italia S.p.A. (b) (c) 3,727,556
95,272 Unione di Banche Italiane
SCpA (b) 681,410
849,601 UnipolSai S.p.A. (b) 2,287,431
------------
34,026,409
------------
LUXEMBOURG - 0.7%
86,020 GAGFAH S.A. (b) (c) 1,921,030
34,953 Tenaris S.A. (b) 528,170
------------
2,449,200
------------
NETHERLANDS - 5.9%
61,808 Aalberts Industries N.V. (b) 1,822,782
97,113 Aegon N.V. (b) 729,899
24,139 ASML Holding N.V. (b) 2,608,158
32,128 Heineken N.V. (b) 2,281,334
112,172 ING Groep N.V. (b) (c) 1,449,224
148,450 Koninklijke Ahold N.V. (b) 2,638,382
71,151 Koninklijke Boskalis
Westminster N.V. (b) 3,892,321
35,187 QIAGEN N.V. (b) (c) 819,613
70,594 Reed Elsevier N.V. (b) 1,685,828
165,558 SBM Offshore N.V. (b) (c) 1,947,108
------------
19,874,649
------------
PORTUGAL - 2.7%
550,836 EDP - Energias de Portugal
S.A. (b) 2,135,946
49,304 Galp Energia SGPS S.A. (b) 500,682
804,523 Portucel S.A. (b) 2,983,409
2,762,955 Sonae SGPS S.A. (b) 3,400,742
------------
9,020,779
------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SPAIN - 9.6%
41,718 ACS Actividades de Construccion
y Servicios S.A. (b) $ 1,454,084
157,929 Atresmedia Corp de Medios de
Comunicaion S.A. (b) 2,218,642
858,410 Bankia S.A. (b) (c) 1,273,818
472,285 Bankinter S.A. (b) 3,794,204
42,263 Ebro Foods S.A. (b) 698,600
115,571 EDP Renovaveis S.A. (b) 752,096
99,394 Enagas S.A. (b) 3,134,991
363,418 Gamesa Corp. Tecnologica
S.A. (b) (c) 3,280,527
81,646 Gas Natural SDG S.A. (b) 2,050,995
457,468 Iberdrola S.A. (b) 3,083,675
452,487 Mapfre S.A. (b) 1,529,399
193,130 Mediaset Espana Comunicacion
S.A. (b) (c) 2,428,043
71,853 Obrascon Huarte Lain S.A. (b) 1,603,337
27,761 Red Electrica Corp. S.A. (b) 2,447,172
34,743 Repsol S.A. (b) 650,418
15,111 Tecnicas Reunidas S.A. (b) 660,495
103,532 Telefonica S.A. (b) (c) 1,486,463
------------
32,546,959
------------
UNITED KINGDOM - 1.1%
247,416 Jazztel PLC (b) (c) 3,739,192
------------
TOTAL INVESTMENTS - 99.9% 337,807,669
(Cost $355,568,747) (d)
NET OTHER ASSETS
AND LIABILITIES - 0.1% 405,641
------------
NET ASSETS - 100.0% $338,213,310
============
(a) Portfolio securities are categorized based upon their country of
incorporation.
(b) This security is fair valued by the Advisor's Pricing Committee 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, 2014, securities noted as such are valued at
$336,166,835 or 99.39% of net assets.
(c) Non-income producing security.
(d) Aggregate cost for federal income tax purposes is $355,586,656. As of
December 31, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$2,632,873 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$20,411,860.
Page 104 See Notes to Financial Statements
FIRST TRUST EUROZONEALPHADEX(R) ETF (FEUZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2014
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2014 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 12/31/2014 PRICES INPUT INPUT
--------------------------------------------------------------------------------
Common Stocks:
Austria $ 16,962,882 $ 816,041 $ 16,146,841 $ --
France 78,358,822 824,793 77,534,029 --
Other Country
Categories* 242,485,965 -- 242,485,965 --
------------------------------------------------------
Total Investments $337,807,669 $1,640,834 $336,166,835 $ --
======================================================
* See Portfolio of Investments for country breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at
December 31, 2014.
INDUSTRY % OF NET ASSETS
------------------------------------------------------------
Banks 8.2%
Electric Utilities 6.2
Insurance 6.1
Diversified Telecommunication Services 5.5
Pharmaceuticals 5.3
Automobiles 5.0
Oil, Gas & Consumable Fuels 4.3
Health Care Providers & Services 4.3
Chemicals 3.7
Diversified Financial Services 3.5
Construction & Engineering 3.2
Food & Staples Retailing 3.0
Paper & Forest Products 3.0
Multi-Utilities 2.9
Media 2.6
Auto Components 2.2
Semiconductors & Semiconductor Equipment 2.2
Metals & Mining 2.1
Food Products 2.0
Aerospace & Defense 1.8
Construction Materials 1.8
Machinery 1.8
Electrical Equipment 1.6
Beverages 1.6
Airlines 1.6
Containers & Packaging 1.6
Real Estate Management & Development 1.6
Gas Utilities 1.5
Professional Services 1.3
Electronic Equipment, Instruments & Components 1.2
IT Services 0.9
Energy Equipment & Services 0.9
Wireless Telecommunication Services 0.8
Health Care Equipment & Supplies 0.7
Commercial Services & Supplies 0.7
Internet Software & Services 0.5
Real Estate Investment Trusts 0.5
Communications Equipment 0.4
Household Durables 0.4
Independent Power and Renewable Electricity
Producers 0.4
Transportation Infrastructure 0.2
Life Sciences Tools & Services 0.2
Air Freight & Logistics 0.2
Hotels, Restaurants & Leisure 0.2
Building Products 0.2
------------------------------------------------------------
TOTAL INVESTMENTS 99.9
NET OTHER ASSETS AND LIABILITIES 0.1
-------
TOTAL 100.0%
=======
See Notes to Financial Statements Page 105
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2014
FIRST TRUST
ASIA PACIFIC FIRST TRUST FIRST TRUST FIRST TRUST
EX-JAPAN EUROPE LATIN AMERICA BRAZIL
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FPA) (FEP) (FLN) (FBZ)
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments, at value....................................... $ 30,801,610 $ 284,168,943 $ 5,715,904 $ 3,901,919
Cash ...................................................... -- -- -- --
Foreign currency............................................ 18,419 -- 3,872 4,159
Due from broker............................................. 146,841 -- -- --
Due from custodian foreign currency......................... -- -- -- --
Receivables:
Capital shares sold................................... -- -- -- --
Investment securities sold............................ 4,259,400 21,705,937 -- 6,537
Dividends............................................. 63,045 258,725 11,773 12,022
Dividend reclaims..................................... -- 500,337 -- --
Other assets................................................ 7,038 883 1,082 --
-------------- -------------- -------------- --------------
TOTAL ASSETS....................................... 35,296,353 306,634,825 5,732,631 3,924,637
-------------- -------------- -------------- --------------
LIABILITIES:
Due to authorized participant............................... -- -- -- --
Due to broker............................................... -- 5,335,965 -- --
Due to custodian............................................ 170,268 838,455 2,665 10,161
Due to custodian foreign currency........................... -- 15,583 -- --
Payables:
Capital shares redeemed............................... 4,229,616 16,224,120 -- --
Collateral for securities on loan..................... -- 6,717,965 -- --
Investment securities purchased....................... 146,841 -- -- --
Investment advisory fees.............................. 22,276 216,469 3,953 2,710
-------------- -------------- -------------- --------------
TOTAL LIABILITIES.................................. 4,569,001 29,348,557 6,618 12,871
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 30,727,352 $ 277,286,268 $ 5,726,013 $ 3,911,766
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital............................................. $ 38,106,842 $ 380,596,689 $ 9,052,471 $ 7,932,266
Par value................................................... 11,000 94,000 3,000 2,500
Accumulated net investment income (loss).................... (420,121) (205,663) (2,133) 7,885
Accumulated net realized gain (loss) on investments and
foreign currency transactions............................ (6,923,062) (85,990,077) (2,304,487) (3,281,556)
Net unrealized appreciation (depreciation) on investments and
foreign currency translation............................. (47,307) (17,208,681) (1,022,838) (749,329)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 30,727,352 $ 277,286,268 $ 5,726,013 $ 3,911,766
============== ============== ============== ==============
NET ASSET VALUE, per share.................................. $ 27.93 $ 29.50 $ 19.09 $ 15.65
============== ============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)................... 1,100,002 9,400,002 300,002 250,002
============== ============== ============== ==============
Investments, at cost........................................ $ 30,845,265 $ 301,292,968 $ 6,737,966 $ 4,650,998
============== ============== ============== ==============
Foreign currency, at cost (proceeds)........................ $ 18,450 $ (15,771) $ 3,879 $ 4,161
============== ============== ============== ==============
Securities on loan, at value................................ $ -- $ 6,351,858 $ -- $ --
============== ============== ============== ==============
Page 106 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
FIRST TRUST FIRST TRUST FIRST TRUST DEVELOPED EMERGING FIRST TRUST
CHINA JAPAN SOUTH KOREA MARKETS EX-US MARKETS GERMANY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FCA) (FJP) (FKO) (FDT) (FEM) (FGM)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 15,785,480 $ 38,667,108 $ 3,589,207 $ 110,692,667 $ 486,107,413 $ 58,957,738
24,782 -- -- 365,750 1,024,669 --
-- 12,254 -- -- 10,031 3,750
-- -- -- -- -- --
-- -- -- 66,314 -- --
-- -- -- -- -- --
-- 165,942 -- 140,700 271,984 --
3,873 66,753 -- 167,834 327,282 --
-- 593 -- 65,306 22 49,383
-- -- -- 9,970 -- --
-------------- -------------- -------------- -------------- -------------- --------------
15,814,135 38,912,650 3,589,207 111,508,541 487,741,401 59,010,871
-------------- -------------- -------------- -------------- -------------- --------------
-- -- -- -- -- --
-- -- -- 555,257 252,604 --
-- 156,702 8,773 -- -- 63,483
-- -- -- 57,127 -- --
-- -- -- -- -- --
-- 491,534 -- 2,309,343 10,238,644 1,193,391
-- -- -- -- -- --
10,761 26,523 2,491 76,406 341,196 39,280
-------------- -------------- -------------- -------------- -------------- --------------
10,761 674,759 11,264 2,998,133 10,832,444 1,296,154
-------------- -------------- -------------- -------------- -------------- --------------
$ 15,803,374 $ 38,237,891 $ 3,577,943 $ 108,510,408 $ 476,908,957 $ 57,714,717
============== ============== ============== ============== ============== ==============
$ 17,630,738 $ 43,300,259 $ 4,316,472 $ 124,676,379 $ 562,637,661 $ 65,057,840
7,000 8,500 1,500 23,020 221,500 16,000
(7,179) (55,952) -- (186,532) (629,278) --
(1,836,206) (2,026,902) (721,614) (16,544,187) (36,124,536) (2,125,645)
9,021 (2,988,014) (18,415) 541,728 (49,196,390) (5,233,478)
-------------- -------------- -------------- -------------- -------------- --------------
$ 15,803,374 $ 38,237,891 $ 3,577,943 $ 108,510,408 $ 476,908,957 $ 57,714,717
============== ============== ============== ============== ============== ==============
$ 22.58 $ 44.99 $ 23.85 $ 47.14 $ 21.53 $ 36.07
============== ============== ============== ============== ============== ==============
700,002 850,002 150,002 2,302,000 22,150,002 1,600,002
============== ============== ============== ============== ============== ==============
$ 15,776,461 $ 41,655,434 $ 3,607,622 $ 110,139,794 $ 535,288,450 $ 64,184,532
============== ============== ============== ============== ============== ==============
$ -- $ 12,185 $ -- $ (57,250) $ 10,043 $ 3,837
============== ============== ============== ============== ============== ==============
$ -- $ 460,768 $ -- $ 2,167,874 $ 9,583,287 $ 1,121,959
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 107
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2014
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
CANADA AUSTRALIA UNITED KINGDOM TAIWAN
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FCAN) (FAUS) (FKU) (FTW)
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments, at value....................................... $ 35,083,606 $ 1,442,421 $ 64,690,745 $ 27,330,459
Cash ...................................................... -- -- -- 14,639
Foreign currency............................................ 10,541 1,066 5,105 --
Due from broker............................................. -- -- -- --
Due from custodian foreign currency......................... -- -- -- --
Receivables:................................................
Capital shares sold................................... -- -- -- --
Investment securities sold............................ -- -- 3,916,984 --
Dividends............................................. 119,230 7,428 219,192 --
Dividend reclaims..................................... -- 56 -- --
Other assets................................................ -- -- -- --
-------------- -------------- -------------- --------------
TOTAL ASSETS....................................... 35,213,377 1,450,971 68,832,026 27,345,098
-------------- -------------- -------------- --------------
LIABILITIES:
Due to authorized participant............................... -- -- -- --
Due to broker............................................... -- -- -- --
Due to custodian............................................ 40,538 1,475 29,959 --
Due to custodian foreign currency........................... -- -- -- --
Payables:
Capital shares redeemed............................... -- -- 3,923,271 --
Collateral for securities on loan..................... 570,346 -- -- --
Investment securities purchased....................... -- -- -- --
Investment advisory fees.............................. 23,919 993 49,082 18,346
-------------- -------------- -------------- --------------
TOTAL LIABILITIES.................................. 634,803 2,468 4,002,312 18,346
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 34,578,574 $ 1,448,503 $ 64,829,714 $ 27,326,752
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital............................................. $ 46,067,640 $ 1,875,130 $ 71,020,592 $ 28,410,747
Par value................................................... 11,000 500 16,500 7,500
Accumulated net investment income (loss).................... (56,598) (13,611) (61,421) --
Accumulated net realized gain (loss) on investments and
foreign currency transactions............................ (3,052,086) (327,539) (2,026,189) (369,263)
Net unrealized appreciation (depreciation) on investments and
foreign currency translation............................. (8,391,382) (85,977) (4,119,768) (722,232)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 34,578,574 $ 1,448,503 $ 64,829,714 $ 27,326,752
============== ============== ============== ==============
NET ASSET VALUE, per share.................................. $ 31.44 $ 28.97 $ 39.29 $ 36.44
============== ============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)................... 1,100,002 50,002 1,650,002 750,002
============== ============== ============== ==============
Investments, at cost........................................ $ 43,474,441 $ 1,528,401 $ 68,808,846 $ 28,052,691
============== ============== ============== ==============
Foreign currency, at cost (proceeds)........................ $ 10,574 $ 1,069 $ 5,107 $ --
============== ============== ============== ==============
Securities on loan, at value................................ $ 534,864 $ -- $ -- $ --
============== ============== ============== ==============
Page 108 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
FIRST TRUST FIRST TRUST DEVELOPED MARKETS EMERGING MARKETS FIRST TRUST
HONG KONG SWITZERLAND EX-US SMALL CAP SMALLCAP EUROZONE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) ETF
(FHK) (FSZ) (FDTS) (FEMS) (FEUZ)
---------------- ---------------- ---------------- ---------------- ----------------
$ 39,912,543 $ 53,378,396 $ 6,404,007 $ 40,653,453 $ 337,807,669
-- -- 6,305 -- 218,217
193,094 2,519 -- 95,966 --
-- 2,940 -- 109,700 3,879,888
-- -- -- -- --
-- -- -- -- 37,707,024
-- -- 2,851 496,251 3,380,573
314,360 255 3,911 5,477 --
-- 111,513 1,938 350 30,193
-- -- -- -- --
-------------- -------------- -------------- -------------- --------------
40,419,997 53,495,623 6,419,012 41,361,197 383,023,564
-------------- -------------- -------------- -------------- --------------
-- -- -- 28,765 --
-- 4,848 -- -- 25,233,325
15,406 121,956 -- 424,677 --
-- -- 964 -- 2,333,545
-- -- -- -- 4,713,378
-- -- -- -- --
174,306 -- -- 78,969 12,307,507
26,292 36,562 4,385 30,052 222,499
-------------- -------------- -------------- -------------- --------------
216,004 163,366 5,349 562,463 44,810,254
-------------- -------------- -------------- -------------- --------------
$ 40,203,993 $ 53,332,257 $ 6,413,663 $ 40,798,734 $ 338,213,310
============== ============== ============== ============== ==============
$ 41,027,114 $ 61,766,567 $ 7,111,500 $ 51,951,679 $ 355,890,758
10,500 14,000 2,000 12,500 109,500
275,223 (51) (36,467) (184,671) 17,459
(97,007) (2,810,690) (421,720) (7,910,958) (17,909)
(1,011,837) (5,637,569) (241,650) (3,069,816) (17,786,498)
-------------- -------------- -------------- -------------- --------------
$ 40,203,993 $ 53,332,257 $ 6,413,663 $ 40,798,734 $ 338,213,310
============== ============== ============== ============== ==============
$ 38.29 $ 38.09 $ 32.07 $ 32.64 $ 30.89
============== ============== ============== ============== ==============
1,050,002 1,400,002 200,002 1,250,002 10,950,002
============== ============== ============== ============== ==============
$ 40,924,610 $ 59,003,963 $ 6,645,376 $ 43,723,190 $ 355,568,747
============== ============== ============== ============== ==============
$ 193,035 $ 2,649 $ (990) $ 95,964 $ (2,348,978)
============== ============== ============== ============== ==============
$ -- $ -- $ -- $ -- $ --
============== ============== ============== ============== ==============
See Notes to Financial Statements Page 109
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2014
FIRST TRUST
ASIA PACIFIC FIRST TRUST FIRST TRUST FIRST TRUST
EX-JAPAN EUROPE LATIN AMERICA BRAZIL
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FPA) (FEP) (FLN) (FBZ)
---------------- ---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends................................................... $ 1,927,163 $ 22,204,210 $ 293,524 $ 242,752
Foreign tax withholding..................................... (68,114) (2,301,327) (14,440) (9,484)
Securities lending income (net of fees)..................... -- 919,138 -- --
Other ...................................................... 17,395 192 12 30
-------------- -------------- -------------- --------------
Total investment income............................... 1,876,444 20,822,213 279,096 233,298
-------------- -------------- -------------- --------------
EXPENSES:
Investment advisory fees.................................... 663,956 5,225,351 57,140 38,556
Excise tax expense.......................................... -- -- 105 26
-------------- -------------- -------------- --------------
Total expenses........................................ 663,956 5,225,351 57,245 38,582
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)................................ 1,212,488 15,596,862 221,851 194,716
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments........................................... (5,670,605) (87,681,104) (809,853) (739,817)
In-kind redemptions................................... 2,804,670 23,172,710 19,432 --
Foreign currency transactions......................... (8,551) (566,890) 393 (715)
-------------- -------------- -------------- --------------
Net realized gain (loss).................................... (2,874,486) (65,075,284) (790,028) (740,532)
-------------- -------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments........................................... (1,482,483) (47,108,589) (531,041) (305,108)
Foreign currency translation.......................... (3,622) (87,722) (251) 122
-------------- -------------- -------------- --------------
Net change in unrealized appreciation (depreciation)........ (1,486,105) (47,196,311) (531,292) (304,986)
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... (4,360,591) (112,271,595) (1,321,320) (1,045,518)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................................ $ (3,148,103) $ (96,674,733) $ (1,099,469) $ (850,802)
============== ============== ============== ==============
Page 110 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
FIRST TRUST FIRST TRUST FIRST TRUST DEVELOPED EMERGING FIRST TRUST
CHINA JAPAN SOUTH KOREA MARKETS EX-US MARKETS GERMANY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FCA) (FJP) (FKO) (FDT) (FEM) (FGM)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 204,017 $ 1,602,638 $ 61,251 $ 2,832,389 $ 15,373,129 $ 1,655,269
(8,374) (166,294) (11,140) (266,647) (1,295,524) (172,869)
-- 46,437 -- 75,107 479,756 64,498
-- -- 22 182 10 --
-------------- -------------- -------------- -------------- -------------- --------------
195,643 1,482,781 50,133 2,641,031 14,557,371 1,546,898
-------------- -------------- -------------- -------------- -------------- --------------
55,017 637,915 38,073 945,814 3,272,751 455,475
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
55,017 637,915 38,073 945,814 3,272,751 455,475
-------------- -------------- -------------- -------------- -------------- --------------
140,626 844,866 12,060 1,695,217 11,284,620 1,091,423
-------------- -------------- -------------- -------------- -------------- --------------
(241,553) (2,562,675) (8,181) (10,662,541) (25,029,122) (1,876,625)
271,618 8,860,192 -- 10,624,119 3,822,121 4,625,285
(178) (37,397) (3,186) (79,797) (637,474) (2,503)
-------------- -------------- -------------- -------------- -------------- --------------
29,887 6,260,120 (11,367) (118,219) (21,844,475) 2,746,157
-------------- -------------- -------------- -------------- -------------- --------------
(216,691) (7,049,103) (602,023) (10,375,451) (50,096,641) (10,735,261)
2 1,758 -- (12,936) (9,570) (7,850)
-------------- -------------- -------------- -------------- -------------- --------------
(216,689) (7,047,345) (602,023) (10,388,387) (50,106,211) (10,743,111)
-------------- -------------- -------------- -------------- -------------- --------------
(186,802) (787,225) (613,390) (10,506,606) (71,950,686) (7,996,954)
-------------- -------------- -------------- -------------- -------------- --------------
$ (46,176) $ 57,641 $ (601,330) $ (8,811,389) $ (60,666,066) $ (6,905,531)
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 111
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 2014
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
CANADA AUSTRALIA UNITED KINGDOM TAIWAN
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FCAN) (FAUS) (FKU) (FTW)
---------------- ---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends................................................... $ 2,981,349 $ 73,793 $ 2,099,063 $ 193,651
Foreign tax withholding..................................... (447,532) (2,895) (6,876) (54,588)
Securities lending income (net of fees)..................... 96,506 -- -- --
Other ...................................................... -- -- 41 --
-------------- -------------- -------------- --------------
Total investment income............................... 2,630,323 70,898 2,092,228 139,063
-------------- -------------- -------------- --------------
EXPENSES:
Investment advisory fees.................................... 939,278 12,755 482,263 82,378
Excise tax expense.......................................... -- -- -- --
-------------- -------------- -------------- --------------
Total expenses........................................ 939,278 12,755 482,263 82,378
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)................................ 1,691,045 58,143 1,609,965 56,685
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments........................................... (3,468,172) 76,037 (1,955,173) (212,261)
In-kind redemptions................................... (2,512,952) -- 4,580,357 --
Foreign currency transactions......................... (19,483) (908) (11,785) (33,954)
-------------- -------------- -------------- --------------
Net realized gain (loss).................................... (6,000,607) 75,129 2,613,399 (246,215)
-------------- -------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments........................................... (10,702,713) (108,885) (8,034,769) (876,318)
Foreign currency translation.......................... (733) 39 (2,262) --
-------------- -------------- -------------- --------------
Net change in unrealized appreciation (depreciation)........ (10,703,446) (108,846) (8,037,031) (876,318)
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... (16,704,053) (33,717) (5,423,632) (1,122,533)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................................ $ (15,013,008) $ 24,426 $ (3,813,667) $ (1,065,848)
============== ============== ============== ==============
(a) Inception date is October 21, 2014, which is consistent with the
commencement of investment operations and is the date the initial creation
units were established.
Page 112 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
FIRST TRUST FIRST TRUST DEVELOPED MARKETS EMERGING MARKETS FIRST TRUST
HONG KONG SWITZERLAND EX-US SMALL CAP SMALLCAP EUROZONE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) ETF
(FHK) (FSZ) (FDTS) (FEMS) (FEUZ)
---------------- ---------------- ---------------- ---------------- ----------------
$ 636,685 $ 1,138,691 $ 140,330 $ 2,245,000 $ 297,923
-- (70,979) (14,198) (247,366) (44,762)
-- -- -- -- --
-- -- 56 7,233 --
-------------- -------------- -------------- -------------- --------------
636,685 1,067,712 126,188 2,004,867 253,161
-------------- -------------- -------------- -------------- --------------
83,464 513,600 43,124 550,300 229,381
-- -- -- -- --
-------------- -------------- -------------- -------------- --------------
83,464 513,600 43,124 550,300 229,381
-------------- -------------- -------------- -------------- --------------
553,221 554,112 83,064 1,454,567 23,780
-------------- -------------- -------------- -------------- --------------
80,968 (2,665,470) (305,682) (6,302,355) 22,153
304,477 (4,529,684) -- 5,551,927 (2,205,709)
(750) (2,241) (4,410) (155,144) 20,344
-------------- -------------- -------------- -------------- --------------
384,695 (7,197,395) (310,092) (905,572) (2,163,212)
-------------- -------------- -------------- -------------- --------------
(1,335,854) (9,895,625) (446,405) (3,995,384) (17,761,078)
231 (13,824) (356) (458) (25,420)
-------------- -------------- -------------- -------------- --------------
(1,335,623) (9,909,449) (446,761) (3,995,842) (17,786,498)
-------------- -------------- -------------- -------------- --------------
(950,928) (17,106,844) (756,853) (4,901,414) (19,949,710)
-------------- -------------- -------------- -------------- --------------
$ (397,707) $ (16,552,732) $ (673,789) $ (3,446,847) $ (19,925,930)
============== ============== ============== ============== ==============
See Notes to Financial Statements Page 113
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
12/31/2014 12/31/2013 12/31/2014 12/31/2013
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)................. $ 1,212,488 $ 354,771 $ 15,596,862 $ 903,250
Net realized gain (loss)..................... (2,874,486) (207,473) (65,075,284) 8,406,269
Net change in unrealized appreciation
(depreciation)............................ (1,486,105) 831,250 (47,196,311) 28,562,399
Net increase from payment by the advisor..... -- -- -- 42,521
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from operations................. (3,148,103) 978,548 (96,674,733) 37,914,439
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (1,810,861) (653,496) (15,697,641) (1,820,846)
Return of capital............................ (158,161) -- -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders.......... (1,969,022) (653,496) (15,697,641) (1,820,846)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................... 153,200,626 61,406,500 681,038,303 399,047,908
Cost of shares redeemed...................... (174,522,900) (18,329,948) (696,860,572) (60,481,172)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from shareholder transactions... (21,322,274) 43,076,552 (15,822,269) 338,566,736
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets...... (26,439,399) 43,401,604 (128,194,643) 374,660,329
NET ASSETS:
Beginning of period.......................... 57,166,751 13,765,147 405,480,911 30,820,582
---------------- ---------------- ---------------- ----------------
End of period................................ $ 30,727,352 $ 57,166,751 $ 277,286,268 $ 405,480,911
================ ================ ================ ================
Accumulated net investment income (loss)
at end of period.......................... $ (420,121) $ (225,994) $ (205,663) $ (534,711)
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period...... 2,050,002 500,002 12,250,002 1,200,002
Shares sold.................................. 5,200,000 2,250,000 19,550,000 13,000,000
Shares redeemed.............................. (6,150,000) (700,000) (22,400,000) (1,950,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period............ 1,100,002 2,050,002 9,400,002 12,250,002
================ ================ ================ ================
Page 114 See Notes to Financial Statements
FIRST TRUST LATIN AMERICA FIRST TRUST BRAZIL FIRST TRUST CHINA
ALPHADEX(R) FUND (FLN) ALPHADEX(R) FUND (FBZ) ALPHADEX(R) FUND (FCA)
------------------------------ ------------------------------ ------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/2014 12/31/2013 12/31/2014 2/31/2013 12/31/2014 12/31/2013
-------------- -------------- -------------- -------------- -------------- --------------
$ 221,851 $ 231,540 $ 194,716 $ 139,779 $ 140,626 $ 133,591
(790,028) (623,752) (740,532) (543,282) 29,887 (465,685)
(531,292) (912,831) (304,986) (444,094) (216,689) (275,806)
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
(1,099,469) (1,305,043) (850,802) (847,597) (46,176) (607,900)
-------------- -------------- -------------- -------------- -------------- --------------
(227,961) (230,491) (185,026) (138,606) (153,526) (143,451)
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
(227,961) (230,491) (185,026) (138,606) (153,526) (143,451)
-------------- -------------- -------------- -------------- -------------- --------------
-- 5,234,322 -- 965,386 13,549,324 8,588,601
(1,148,576) (4,805,682) (887,744) -- (2,257,714) (6,837,545)
-------------- -------------- -------------- -------------- -------------- --------------
(1,148,576) 428,640 (887,744) 965,386 11,291,610 1,751,055
-------------- -------------- -------------- -------------- -------------- --------------
(2,476,006) (1,106,894) (1,923,572) (20,817) 11,091,908 999,705
8,202,019 9,308,913 5,835,338 5,856,155 4,711,466 3,711,761
-------------- -------------- -------------- -------------- -------------- --------------
$ 5,726,013 $ 8,202,019 $ 3,911,766 $ 5,835,338 $ 15,803,374 $ 4,711,466
============== ============== ============== ============== ============== ==============
$ (2,133) $ 3,422 $ 7,885 $ (1,169) $ (7,179) $ (10,482)
============== ============== ============== ============== ============== ==============
350,002 350,002 300,002 250,002 200,002 150,002
-- 200,000 -- 50,000 600,000 350,000
(50,000) (200,000) (50,000) -- (100,000) (300,000)
-------------- -------------- -------------- -------------- -------------- --------------
300,002 350,002 250,002 300,002 700,002 200,002
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 115
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST JAPAN FIRST TRUST SOUTH KOREA
ALPHADEX(R) FUND (FJP) ALPHADEX(R) FUND (FKO)
------------------------------------ ------------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
12/31/2014 12/31/2013 12/31/2014 12/31/2013
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)................. $ 844,866 $ 283,572 $ 12,060 $ (2,938)
Net realized gain (loss)..................... 6,260,120 1,854,869 (11,367) (102,887)
Net change in unrealized appreciation
(depreciation)............................ (7,047,345) 4,164,376 (602,023) 414,920
Net increase from payment by the advisor..... -- 7,227 -- --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from operations................. 57,641 6,310,044 (601,330) 309,095
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (982,746) (301,221) (39,647) (28,910)
Return of capital............................ -- -- (7,354) --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders.......... (982,746) (301,221) (47,001) (28,910)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................... 195,936,005 106,751,061 -- 2,655,945
Cost of shares redeemed...................... (260,323,166) (10,984,215) (1,344,100) --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from shareholder transactions... (64,387,161) 95,766,846 (1,344,100) 2,655,945
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets...... (65,312,266) 101,775,669 (1,992,431) 2,936,130
NET ASSETS:
Beginning of period.......................... 103,550,157 1,774,488 5,570,374 2,634,244
---------------- ---------------- ---------------- ----------------
End of period................................ $ 38,237,891 $ 103,550,157 $ 3,577,943 $ 5,570,374
================ ================ ================ ================
Accumulated net investment income (loss)
at end of period.......................... $ (55,952) $ (25,524) $ -- $ (41,184)
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period...... 2,250,002 50,002 200,002 100,002
Shares sold.................................. 4,250,000 2,450,000 -- 100,000
Shares redeemed.............................. (5,650,000) (250,000) (50,000) --
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period............ 850,002 2,250,002 150,002 200,002
================ ================ ================ ================
Page 116 See Notes to Financial Statements
FIRST TRUST DEVELOPED MARKETS FIRST TRUST EMERGING MARKETS FIRST TRUST GERMANY
EX-US ALPHADEX(R) FUND (FDT) ALPHADEX(R) FUND (FEM) ALPHADEX(R) FUND (FGM)
------------------------------ ------------------------------ ------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/2014 12/31/2013 12/31/2014 2/31/2013 12/31/2014 12/31/2013
-------------- -------------- -------------- -------------- -------------- --------------
$ 1,695,217 $ 1,736,161 $ 11,284,620 $ 3,826,971 $ 1,091,423 $ 263,058
(118,219) 12,835,447 (21,844,475) (3,620,478) 2,746,157 228,433
(10,388,387) 4,169,718 (50,106,211) (10,485,148) (10,743,111) 4,767,790
-- 15,029 -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
(8,811,389) 18,756,355 (60,666,066) (10,278,655) (6,905,531) 5,259,281
-------------- -------------- -------------- -------------- -------------- --------------
(1,895,220) (2,329,036) (11,367,236) (4,245,401) (1,199,591) (329,096)
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
(1,895,220) (2,329,036) (11,367,236) (4,245,401) (1,199,591) (329,096)
-------------- -------------- -------------- -------------- -------------- --------------
60,055,041 120,243,317 458,773,093 277,023,556 57,311,402 41,085,819
(88,714,609) (81,143,285) (239,966,816) (61,587,539) (39,193,886) (3,326,627)
-------------- -------------- -------------- -------------- -------------- --------------
(28,659,568) 39,100,032 218,806,277 215,436,017 18,117,516 37,759,192
-------------- -------------- -------------- -------------- -------------- --------------
(39,366,177) 55,527,351 146,772,975 200,911,961 10,012,394 42,689,377
147,876,585 92,349,234 330,135,982 129,224,021 47,702,323 5,012,946
-------------- -------------- -------------- -------------- -------------- --------------
$ 108,510,408 $ 147,876,585 $ 476,908,957 $ 330,135,982 $ 57,714,717 $ 47,702,323
============== ============== ============== ============== ============== ==============
$ (186,532) $ (186,904) $ (629,278) $ (429,559) $ -- $ --
============== ============== ============== ============== ============== ==============
2,902,000 2,102,000 13,450,002 4,950,002 1,150,002 150,002
1,150,000 2,500,000 19,050,000 11,050,000 1,450,000 1,100,000
(1,750,000) (1,700,000) (10,350,000) (2,550,000) (1,000,000) (100,000)
-------------- -------------- -------------- -------------- -------------- --------------
2,302,000 2,902,000 22,150,002 13,450,002 1,600,002 1,150,002
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 117
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST CANADA FIRST TRUST AUSTRALIA
ALPHADEX(R) FUND (FCAN) ALPHADEX(R) FUND (FAUS)
------------------------------------ ------------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
12/31/2014 12/31/2013 12/31/2014 12/31/2013
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)................. $ 1,691,045 $ 701,150 $ 58,143 $ 64,562
Net realized gain (loss)..................... (6,000,607) 663,004 75,129 300,216
Net change in unrealized appreciation
(depreciation)............................ (10,703,446) 1,875,798 (108,846) (289,035)
Net increase from payment by the advisor..... -- -- -- --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from operations................. (15,013,008) 3,239,952 24,426 75,743
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (1,744,102) (734,151) (75,563) (69,887)
Return of capital............................ -- -- -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders.......... (1,744,102) (734,151) (75,563) (69,887)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................... 175,713,218 89,988,029 -- 1,598,877
Cost of shares redeemed...................... (202,005,152) (22,770,439) -- (3,226,415)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from shareholder transactions... (26,291,934) 67,217,590 -- (1,627,538)
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets...... (43,049,044) 69,723,391 (51,137) (1,621,682)
NET ASSETS:
Beginning of period.......................... 77,627,618 7,904,227 1,499,640 3,121,322
---------------- ---------------- ---------------- ----------------
End of period................................ $ 34,578,574 $ 77,627,618 $ 1,448,503 $ 1,499,640
================ ================ ================ ================
Accumulated net investment income (loss)
at end of period.......................... $ (56,598) $ -- $ (13,611) $ (1,113)
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period...... 2,150,002 250,002 50,002 100,002
Shares sold.................................. 4,700,000 2,600,000 -- 50,000
Shares redeemed.............................. (5,750,000) (700,000) -- (100,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period............ 1,100,002 2,150,002 50,002 50,002
================ ================ ================ ================
Page 118 See Notes to Financial Statements
FIRST TRUST UNITED KINGDOM FIRST TRUST TAIWAN FIRST TRUST HONG KONG
ALPHADEX(R) FUND (FKU) ALPHADEX(R) FUND (FTW) ALPHADEX(R) FUND (FHK)
------------------------------ ------------------------------ ------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/2014 12/31/2013 12/31/2014 2/31/2013 12/31/2014 12/31/2013
-------------- -------------- -------------- -------------- -------------- --------------
$ 1,609,965 $ 479,854 $ 56,685 $ 24,482 $ 553,221 $ 47,454
2,613,399 1,159,453 (246,215) (13,660) 384,695 240,847
(8,037,031) 2,921,694 (876,318) 132,356 (1,335,623) 39,307
-- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- --------------
(3,813,667) 4,561,001 (1,065,848) 143,178 (397,707) 327,608
-------------- -------------- -------------- -------------- -------------- --------------
(1,768,042) (540,327) (22,706) (24,477) (276,667) (48,937)
-- -- (109,664) (3,094) -- --
-------------- -------------- -------------- -------------- -------------- --------------
(1,768,042) (540,327) (132,370) (27,571) (276,667) (48,937)
-------------- -------------- -------------- -------------- -------------- --------------
180,506,961 25,330,693 28,641,282 -- 59,724,707 3,635,264
(137,693,846) (8,559,859) (1,707,150) -- (22,706,665) (1,781,997)
-------------- -------------- -------------- -------------- -------------- --------------
42,813,115 16,770,834 26,934,132 -- 37,018,042 1,853,267
-------------- -------------- -------------- -------------- -------------- --------------
37,231,406 20,791,508 25,735,914 115,607 36,343,668 2,131,938
27,598,308 6,806,800 1,590,838 1,475,231 3,860,325 1,728,387
-------------- -------------- -------------- -------------- -------------- --------------
$ 64,829,714 $ 27,598,308 $ 27,326,752 $ 1,590,838 $ 40,203,993 $ 3,860,325
============== ============== ============== ============== ============== ==============
$ (61,421) $ (10,378) $ -- $ (25) $ 275,223 $ (1,206)
============== ============== ============== ============== ============== ==============
650,002 200,002 50,002 50,002 100,002 50,002
4,550,000 700,000 750,000 -- 1,550,000 100,000
(3,550,000) (250,000) (50,000) -- (600,000) (50,000)
-------------- -------------- -------------- -------------- -------------- --------------
1,650,002 650,002 750,002 50,002 1,050,002 100,002
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 119
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST SWITZERLAND FIRST TRUST DEVELOPED MARKETS EX-US
ALPHADEX(R) FUND (FSZ) SMALL CAP ALPHADEX(R) FUND (FDTS)
------------------------------------ ------------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED
12/31/2014 12/31/2013 12/31/2014 12/31/2013
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)................. $ 554,112 $ 274,365 $ 83,064 $ 39,087
Net realized gain (loss)..................... (7,197,395) 289,172 (310,092) 114,449
Net change in unrealized appreciation
(depreciation)............................ (9,909,449) 3,701,878 (446,761) 120,666
Net increase from payment by the advisor..... -- -- -- --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from operations................. (16,552,732) 4,265,415 (673,789) 274,202
---------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (571,079) (353,792) (142,032) (57,811)
Return of capital............................ (289,452) -- -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders.......... (860,531) (353,792) (142,032) (57,811)
---------------- ---------------- ---------------- ----------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................... 174,758,780 19,421,365 3,566,836 3,415,893
Cost of shares redeemed...................... (130,523,721) (1,679,333) -- (1,494,408)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets
resulting from shareholder transactions... 44,235,059 17,742,032 3,566,836 1,921,485
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets...... 26,821,796 21,653,655 2,751,015 2,137,876
NET ASSETS:
Beginning of period.......................... 26,510,461 4,856,806 3,662,648 1,524,772
---------------- ---------------- ---------------- ----------------
End of period................................ $ 53,332,257 $ 26,510,461 $ 6,413,663 $ 3,662,648
================ ================ ================ ================
Accumulated net investment income (loss)
at end of period.......................... $ (51) $ (107,550) $ (36,467) $ (7,868)
================ ================ ================ ================
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period...... 650,002 150,002 100,002 50,002
Shares sold.................................. 4,200,000 550,000 100,000 100,000
Shares redeemed.............................. (3,450,000) (50,000) -- (50,000)
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period............ 1,400,002 650,002 200,002 100,002
================ ================ ================ ================
(a) Inception date is October 21, 2014, which is consistent with the
commencement of investment operations and is the date the initial creation
units were established.
Page 120 See Notes to Financial Statements
FIRST TRUST EMERGING MARKETS FIRST TRUST EUROZONE
SMALL CAP ALPHADEX(R) FUND (FEMS) ALPHADEX(R) ETF (FEUZ)
-------------------------------- ----------------------
FOR THE PERIOD
FOR THE YEAR FOR THE YEAR 10/21/2014 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2014
-------------- -------------- --------------
$ 1,454,567 $ 391,588 $ 23,780
(905,572) (1,055,904) (2,163,212)
(3,995,842) 663,980 (17,786,498)
-- -- --
-------------- -------------- --------------
(3,446,847) (336) (19,925,930)
-------------- -------------- --------------
(2,020,752) (586,896) (67,320)
(91,600) -- --
-------------- -------------- --------------
(2,112,352) (586,896) (67,320)
-------------- -------------- --------------
71,708,615 50,270,365 421,504,277
(76,742,006) -- (63,297,717)
-------------- -------------- --------------
(5,033,391) 50,270,365 358,206,560
-------------- -------------- --------------
(10,592,590) 49,683,133 338,213,310
51,391,324 1,708,191 --
-------------- -------------- --------------
$ 40,798,734 $ 51,391,324 $ 338,213,310
============== ============== ==============
$ (184,671) $ (38,415) $ 17,459
============== ============== ==============
1,450,002 50,002 --
1,950,000 1,400,000 13,000,002
(2,150,000) -- (2,050,000)
-------------- -------------- --------------
1,250,002 1,450,002 10,950,002
============== ============== ==============
See Notes to Financial Statements Page 121
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 YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 27.89 $ 27.53 $ 22.88 $ 29.83
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.41 0.54 0.44 0.30
Net realized and unrealized gain (loss) 0.78 0.48 4.65 (6.76)
---------- ---------- ---------- ----------
Total from investment operations 1.19 1.02 5.09 (6.46)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.06) (0.66) (0.44) (0.36)
Return of capital (0.09) -- -- (0.13)
---------- ---------- ---------- ----------
Total distributions (1.15) (0.66) (0.44) (0.49)
---------- ---------- ---------- ----------
Net asset value, end of period $ 27.93 $ 27.89 $ 27.53 $ 22.88
========== ========== ========== ==========
TOTAL RETURN (b) 4.23% 3.83% 22.54% (21.78)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 30,727 $ 57,167 $ 13,765 $ 2,288
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 1.46% 1.48% 1.39% 1.60% (c)
Portfolio turnover rate (d) 186% 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
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 EUROPE ALPHADEX(R) FUND (FEP)
FOR THE PERIOD
YEAR YEAR YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 33.10 $ 25.68 $ 21.60 $ 29.10
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.70 0.45 0.54 0.51
Net realized and unrealized gain (loss) (3.58) 7.49 4.10 (7.52)
---------- ---------- ---------- ----------
Total from investment operations (2.88) 7.94 4.64 (7.01)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.72) (0.52) (0.56) (0.49)
---------- ---------- ---------- ----------
Net asset value, end of period $ 29.50 $ 33.10 $ 25.68 $ 21.60
========== ========== ========== ==========
TOTAL RETURN (b) (8.90)% 31.33% (c) 21.98% (24.53)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 277,286 $ 405,481 $ 30,821 $ 5,399
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 2.39% 0.78% 1.51% 2.81% (d)
Portfolio turnover rate (e) 106% 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
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 123
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 YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 23.43 $ 26.60 $ 24.24 $ 29.70
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.73 0.48 0.86 0.76
Net realized and unrealized gain (loss) (4.32) (3.17) 2.30 (5.63)
---------- ---------- ---------- ----------
Total from investment operations (3.59) (2.69) 3.16 (4.87)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.75) (0.48) (0.80) (0.59)
---------- ---------- ---------- ----------
Net asset value, end of period $ 19.09 $ 23.43 $ 26.60 $ 24.24
========== ========== ========== ==========
TOTAL RETURN (b) (15.80)% (10.17)% 13.35% (16.41)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,726 $ 8,202 $ 9,309 $ 2,424
Ratio of total expenses to average net assets 0.80% 0.81% (d) 0.80% 0.80% (c)
Ratio of net investment income (loss) to
average net assets 3.11% 2.10% 3.24% 3.97% (c)
Portfolio turnover rate (e) 103% 138% 117% 54%
FIRST TRUST BRAZIL ALPHADEX(R) FUND (FBZ)
FOR THE PERIOD
YEAR YEAR YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 19.45 $ 23.42 $ 23.04 $ 29.69
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.78 0.53 0.92 0.43
Net realized and unrealized gain (loss) (3.84) (3.97) 0.38 (6.79)
---------- ---------- ---------- ----------
Total from investment operations (3.06) (3.44) 1.30 (6.36)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.74) (0.53) (0.92) (0.29)
---------- ---------- ---------- ----------
Net asset value, end of period $ 15.65 $ 19.45 $ 23.42 $ 23.04
========== ========== ========== ==========
TOTAL RETURN (b) (16.40)% (14.72)% 5.80% (21.43)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 3,912 $ 5,835 $ 5,856 $ 6,912
Ratio of total expenses to average net assets 0.80% 0.81% (d) 0.81% (d) 0.80% (c)
Ratio of net investment income (loss) to
average net assets 4.04% 2.40% 3.87% 2.71% (c)
Portfolio turnover rate (e) 104% 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
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) Includes excise tax. If this excise tax expense was not included, the
expense ratio would have been 0.80%.
(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 124 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 YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 23.56 $ 24.74 $ 19.67 $ 29.90
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.58 0.62 0.35 0.45
Net realized and unrealized gain (loss) (1.00) (1.13) 5.09 (10.23)
---------- ---------- ---------- ----------
Total from investment operations (0.42) (0.51) 5.44 (9.78)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.56) (0.67) (0.35) (0.45)
Return of capital -- -- (0.02) --
---------- ---------- ---------- ----------
Total distributions (0.56) (0.67) (0.37) (0.45)
---------- ---------- ---------- ----------
Net asset value, end of period $ 22.58 $ 23.56 $ 24.74 $ 19.67
========== ========== ========== ==========
TOTAL RETURN (b) (1.68)% (1.63)% 28.05% (c) (33.08)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 15,803 $ 4,711 $ 3,712 $ 2,950
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 2.04% 2.12% 1.77% 2.56% (d)
Portfolio turnover rate (e) 79% 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
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 125
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 YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 46.02 $ 35.49 $ 37.81 $ 39.90
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.49 (f) 0.33 0.55 0.17
Net realized and unrealized gain (loss) (1.03) 10.53 (2.29) (2.03)
---------- ---------- ---------- ----------
Total from investment operations (0.54) 10.86 (1.74) (1.86)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.49) (0.33) (0.58) (0.23)
---------- ---------- ---------- ----------
Net asset value, end of period $ 44.99 $ 46.02 $ 35.49 $ 37.81
========== ========== ========== ==========
TOTAL RETURN (b) (1.22)% 30.66% (c) (4.60)% (4.66)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 38,238 $ 103,550 $ 1,774 $ 3,781
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 1.06% 0.91% 1.41% 0.61% (d)
Portfolio turnover rate (e) 148% 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
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
$7,227. 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.
(f) Based on average shares outstanding.
</FN>
Page 126 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 YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 27.85 $ 26.34 $ 22.70 $ 30.11
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.07 (b) 0.04 0.16 (0.10)
Net realized and unrealized gain (loss) (3.83) 1.67 3.73 (6.74)
---------- ---------- ---------- ----------
Total from investment operations (3.76) 1.71 3.89 (6.84)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.20) (0.20) (0.16) (0.13)
Return of capital (0.04) -- (0.09) (0.44)
---------- ---------- ---------- ----------
Total distributions (0.24) (0.20) (0.25) (0.57)
---------- ---------- ---------- ----------
Net asset value, end of period $ 23.85 $ 27.85 $ 26.34 $ 22.70
========== ========== ========== ==========
TOTAL RETURN (c) (13.60)% 6.54% 17.32% (22.71)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 3,578 $ 5,570 $ 2,634 $ 1,135
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 0.25% (0.09)% 0.63% (0.32)% (d)
Portfolio turnover rate (e) 97% 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) Based on average shares outstanding.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(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 127
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 YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 50.96 $ 43.93 $ 38.37 $ 49.13
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.73 0.80 0.73 0.50
Net realized and unrealized gain (loss) (3.72) 7.20 5.69 (10.69)
---------- ---------- ---------- ----------
Total from investment operations (2.99) 8.00 6.42 (10.19)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.83) (0.97) (0.86) (0.42)
Return of capital -- -- -- (0.15)
---------- ---------- ---------- ----------
Total distributions (0.83) (0.97) (0.86) (0.57)
---------- ---------- ---------- ----------
Net asset value, end of period $ 47.14 $ 50.96 $ 43.93 $ 38.37
========== ========== ========== ==========
TOTAL RETURN (b) (5.98)% 18.40% (c) 16.97% (20.92)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 108,510 $ 147,877 $ 92,349 $ 17,345
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 1.43% 1.58% 1.83% 1.31% (d)
Portfolio turnover rate (e) 115% 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
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 128 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 YEAR 4/18/2011 (a)
ENDED ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012 12/31/2011
------------ ------------ ------------ ----------------
Net asset value, beginning of period $ 24.55 $ 26.11 $ 22.11 $ 29.05
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.62 0.62 0.56 0.25
Net realized and unrealized gain (loss) (3.03) (1.53) 4.02 (6.98)
---------- ---------- ---------- ----------
Total from investment operations (2.41) (0.91) 4.58 (6.73)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.61) (0.65) (0.58) (0.21)
---------- ---------- ---------- ----------
Net asset value, end of period $ 21.53 $ 24.55 $ 26.11 $ 22.11
========== ========== ========== ==========
TOTAL RETURN (b) (10.04)% (3.35)% 21.03% (c) (23.22)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 476,909 $ 330,136 $ 129,224 $ 23,216
Ratio of total expenses to average net assets 0.80% 0.80% 0.80% 0.80% (d)
Ratio of net investment income (loss) to
average net assets 2.76% 2.01% 2.62% 3.09% (d)
Portfolio turnover rate (e) 116% 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
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 129
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 YEAR 2/14/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 41.48 $ 33.42 $ 30.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.62 0.60 0.35
Net realized and unrealized gain (loss) (5.34) 8.12 3.48
---------- ---------- ----------
Total from investment operations (4.72) 8.72 3.83
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.69) (0.66) (0.33)
Return of capital -- -- (0.08)
---------- ---------- ----------
Total distributions (0.69) (0.66) (0.41)
---------- ---------- ----------
Net asset value, end of period $ 36.07 $ 41.48 $ 33.42
========== ========== ==========
TOTAL RETURN (b) (11.60)% 26.61% 13.09%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 57,715 $ 47,702 $ 5,013
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 1.92% 1.43% 1.51% (c)
Portfolio turnover rate (d) 83% 50% 52%
FIRST TRUST CANADA ALPHADEX(R) FUND (FCAN)
FOR THE PERIOD
YEAR YEAR 2/14/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 36.11 $ 31.62 $ 29.85
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.75 0.53 0.30
Net realized and unrealized gain (loss) (4.62) 4.43 1.85
---------- ---------- ----------
Total from investment operations (3.87) 4.96 2.15
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.80) (0.47) (0.38)
---------- ---------- ----------
Net asset value, end of period $ 31.44 $ 36.11 $ 31.62
========== ========== ==========
TOTAL RETURN (b) (10.86)% 15.75% 7.26%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 34,579 $ 77,628 $ 7,904
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 1.44% 2.08% 1.36% (c)
Portfolio turnover rate (d) 103% 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
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 130 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 YEAR 2/14/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 29.99 $ 31.21 $ 30.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.16 0.62 1.24
Net realized and unrealized gain (loss) (0.67) (0.78) 1.53
---------- ---------- ----------
Total from investment operations 0.49 (0.16) 2.77
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.51) (1.06) (1.56)
---------- ---------- ----------
Net asset value, end of period $ 28.97 $ 29.99 $ 31.21
========== ========== ==========
TOTAL RETURN (b) 1.47% (0.61)% 9.59%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,449 $ 1,500 $ 3,121
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 3.65% 3.10% 4.63% (c)
Portfolio turnover rate (d) 99% 92% 62%
FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND (FKU)
FOR THE PERIOD
YEAR YEAR 2/14/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 42.46 $ 34.03 $ 30.12
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.20 0.92 0.83
Net realized and unrealized gain (loss) (3.08) 8.50 3.94
---------- ---------- ----------
Total from investment operations (1.88) 9.42 4.77
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.29) (0.99) (0.86)
---------- ---------- ----------
Net asset value, end of period $ 39.29 $ 42.46 $ 34.03
========== ========== ==========
TOTAL RETURN (b) (4.53)% 28.17% 16.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 64,830 $ 27,598 $ 6,807
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 2.67% 2.74% 3.07% (c)
Portfolio turnover rate (d) 67% 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
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 131
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 YEAR 2/14/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 31.82 $ 29.50 $ 30.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08 0.49 0.68
Net realized and unrealized gain (loss) 4.73 2.38 (0.49)
---------- ---------- ----------
Total from investment operations 4.81 2.87 0.19
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.03) (0.49) (0.57)
Return of capital (0.16) (0.06) (0.12)
---------- ---------- ----------
Total distributions (0.19) (0.55) (0.69)
---------- ---------- ----------
Net asset value, end of period $ 36.44 $ 31.82 $ 29.50
========== ========== ==========
TOTAL RETURN (b) 15.13% 9.80% 0.71%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 27,327 $ 1,591 $ 1,475
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 0.55% 1.61% 2.84% (c)
Portfolio turnover rate (d) 26% 70% 85%
FIRST TRUST HONG KONG ALPHADEX(R) FUND (FHK)
FOR THE PERIOD
YEAR YEAR 2/14/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 38.60 $ 34.57 $ 30.19
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.20 0.92 0.70
Net realized and unrealized gain (loss) (0.58) 3.98 4.52
---------- ---------- ----------
Total from investment operations 0.62 4.90 5.22
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.93) (0.87) (0.84)
---------- ---------- ----------
Net asset value, end of period $ 38.29 $ 38.60 $ 34.57
========== ========== ==========
TOTAL RETURN (b) 1.63% 14.42% 17.60%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 40,204 $ 3,860 $ 1,728
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 5.30% 2.23% 2.56% (c)
Portfolio turnover rate (d) 43% 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
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 132 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 YEAR 2/14/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 40.79 $ 32.38 $ 30.11
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.56 0.82 0.47
Net realized and unrealized gain (loss) (2.54) 8.38 2.47
---------- ---------- ----------
Total from investment operations (1.98) 9.20 2.94
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.48) (0.79) (0.67)
Return of capital (0.24) -- --
---------- ---------- ----------
Total distributions (0.72) (0.79) (0.67)
---------- ---------- ----------
Net asset value, end of period $ 38.09 $ 40.79 $ 32.38
========== ========== ==========
TOTAL RETURN (b) (5.06)% 28.89% 10.04%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 53,332 $ 26,510 $ 4,857
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 0.86% 1.58% 1.86% (c)
Portfolio turnover rate (d) 72% 49% 36%
FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND (FDTS)
FOR THE PERIOD
YEAR YEAR 2/15/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 36.63 $ 30.49 $ 30.48
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.57 0.49 0.65
Net realized and unrealized gain (loss) (4.30) 6.31 0.37
---------- ---------- ----------
Total from investment operations (3.73) 6.80 1.02
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.83) (0.66) (1.01)
---------- ---------- ----------
Net asset value, end of period $ 32.07 $ 36.63 $ 30.49
========== ========== ==========
TOTAL RETURN (b) (10.36)% 22.56% 3.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 6,414 $ 3,663 $ 1,525
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 1.54% 1.82% 2.41% (c)
Portfolio turnover rate (d) 137% 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
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 133
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 YEAR 2/15/2012 (a)
ENDED ENDED THROUGH
12/31/2014 12/31/2013 12/31/2012
------------ ------------ ------------
Net asset value, beginning of period $ 35.44 $ 34.16 $ 30.27
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.62 0.50 0.59
Net realized and unrealized gain (loss) (2.29) 1.42 3.98
---------- ---------- ----------
Total from investment operations (1.67) 1.92 4.57
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.08) (0.64) (0.68)
Return of capital (0.05) -- --
---------- ---------- ----------
Total distributions (1.13) (0.64) (0.68)
---------- ---------- ----------
Net asset value, end of period $ 32.64 $ 35.44 $ 34.16
========== ========== ==========
TOTAL RETURN (b) (4.89)% 5.65% 15.56%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 40,799 $ 51,391 $ 1,708
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 2.11% 1.84% 2.53% (c)
Portfolio turnover rate (d) 174% 144% 162%
FIRST TRUST EUROZONE ALPHADEX(R) ETF (FEUZ)
FOR THE PERIOD
10/21/2014 (a)
THROUGH
12/31/2014
--------------
Net asset value, beginning of period $ 30.55
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01
Net realized and unrealized gain (loss) 0.34
----------
Total from investment operations 0.35
----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.01)
----------
Net asset value, end of period $ 30.89
==========
TOTAL RETURN (b) 1.14%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 338,213
Ratio of total expenses to average net assets 0.80% (c)
Ratio of net investment income (loss) to
average net assets 0.08% (c)
Portfolio turnover rate (d) 2%
<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
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 134 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
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
under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of the following nineteen funds, including the
exchange on which they are listed and traded:
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund - (NYSE Arca, Inc.
("NYSE Arca") ticker "FPA")
First Trust Europe AlphaDEX(R) Fund - (NYSE Arca ticker "FEP")
First Trust Latin America AlphaDEX(R) Fund - (NYSE Arca ticker "FLN")
First Trust Brazil AlphaDEX(R) Fund - (NYSE Arca ticker "FBZ")
First Trust China AlphaDEX(R) Fund - (NYSE Arca ticker "FCA")
First Trust Japan AlphaDEX(R) Fund - (NYSE Arca ticker "FJP")
First Trust South Korea AlphaDEX(R) Fund - (NYSE Arca ticker "FKO")
First Trust Developed Markets Ex-US AlphaDEX(R) Fund - (NYSE Arca ticker
"FDT")
First Trust Emerging Markets AlphaDEX(R) Fund - (NYSE Arca ticker "FEM")
First Trust Germany AlphaDEX(R) Fund - (NYSE Arca ticker "FGM")
First Trust Canada AlphaDEX(R) Fund - (NYSE Arca ticker "FCAN")
First Trust Australia AlphaDEX(R) Fund - (NYSE Arca ticker "FAUS")
First Trust United Kingdom AlphaDEX(R) Fund - (NYSE Arca ticker "FKU")
First Trust Taiwan AlphaDEX(R) Fund - (NYSE Arca ticker "FTW")
First Trust Hong Kong AlphaDEX(R) Fund - (NYSE Arca ticker "FHK")
First Trust Switzerland AlphaDEX(R) Fund - (NYSE Arca ticker "FSZ")
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund - (NYSE
Arca ticker "FDTS")
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund - (NYSE Arca
ticker "FEMS")
First Trust Eurozone AlphaDEX(R) ETF - (The NASDAQ(R) Stock Market, LLC
("NASDAQ") ticker "FEUZ")
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
First Trust Eurozone AlphaDEX(R) ETF NASDAQ AlphaDEX(R) Eurozone Index
On or about April 14, 2015, the indices of certain Funds will change. Please see
Note 8 for more information.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of the financial statements. The
preparation of the financial statements in accordance with accounting principles
generally accepted in the United States of America ("U.S. GAAP") requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on The
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Foreign securities are priced using data
reflecting the earlier closing of the principal markets for those securities.
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 absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e. a regulated market) and are primarily obtained from third
party pricing services. Fair value prices represent any prices not considered
market value prices and are either obtained from a third party pricing service
or are determined by the Pricing Committee of the Funds' Investment Advisor,
First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with
valuation procedures adopted by the Trust's Board of Trustees, and in accordance
with provisions of the 1940 Act. Investments valued by the Advisor's Pricing
Committee, if any, are footnoted as such in the footnotes to the Portfolio of
Investments. 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 time of valuation. Each Fund's investments are valued as follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding NASDAQ and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for NASDAQ and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Overnight repurchase agreements are fair valued at cost.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a pricing service is unable to provide a market
price; securities whose trading has been formally suspended; a security whose
market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the pricing service, does not reflect the security's fair value. As a general
principle, the current fair value of a security would appear to be the amount
which the owner might reasonably expect to receive for the security upon its
current sale. When fair value prices are used, generally they will differ from
market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or 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;
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
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.
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, 2014, 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 and
historical information 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 settlement date and subsequent sale trade date is included in
"Net realized gain (loss) on investments" on the Statements of Operations.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the 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.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The dividend and interest earned on the securities loaned is accounted for in
the same manner as other dividend and interest income. At December 31, 2014,
only FEP, FJP, FDT, FEM, FGM and FCAN 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 Funds an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
maintain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
If the seller defaults, a Fund could suffer a loss to the extent that the
proceeds from the sale of the underlying securities and other collateral held by
the Fund are less than the repurchase price and the Fund's costs associated with
delay and enforcement of the repurchase agreement. In addition, in the event of
bankruptcy of the seller, a Fund could suffer additional losses if a court
determines that the Fund's interest in the collateral is not enforceable.
While the Funds may invest in repurchase agreements, any repurchase agreement
held by the Funds at December 31, 2014, was received as collateral for lending
securities.
F. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Accounting Standards Update No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11") requires entities to disclose both gross and net
information about instruments and transactions eligible for offset on the
Statement of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a Fund's financial
position. In addition, Accounting Standards Update No. 2013-1 "Clarifying the
Scope of Offsetting Assets and Liabilities" ("ASU 2013-1"), specifies exactly
which transactions are subject to offsetting disclosures. The scope of the
disclosure requirements is limited to derivative instruments, repurchase
agreements and reverse repurchase agreements, and securities borrowing and
securities lending transactions.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency) for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
G. 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 Funds and have no impact on net assets or NAV per share.
Temporary differences, which arise from recognizing certain items of income,
expense and gain/loss in different periods for financial statement and tax
purposes, will reverse at some time in the future.
The tax character of distributions paid by each Fund during the period ended
December 31, 2014 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 $ 1,810,861 $ -- $ 158,161
First Trust Europe AlphaDEX(R) Fund 15,697,641 -- --
First Trust Latin America AlphaDEX(R) Fund 227,961 -- --
First Trust Brazil AlphaDEX(R) Fund 185,026 -- --
First Trust China AlphaDEX(R) Fund 153,526 -- --
First Trust Japan AlphaDEX(R) Fund 982,746 -- --
First Trust South Korea AlphaDEX(R) Fund 39,647 -- 7,354
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 1,895,220 -- --
First Trust Emerging Markets AlphaDEX(R) Fund 11,367,236 -- --
First Trust Germany AlphaDEX(R) Fund 1,199,591 -- --
First Trust Canada AlphaDEX(R) Fund 1,744,102 -- --
First Trust Australia AlphaDEX(R) Fund 75,563 -- --
First Trust United Kingdom AlphaDEX(R) Fund 1,768,042 -- --
First Trust Taiwan AlphaDEX(R) Fund 22,706 -- 109,664
First Trust Hong Kong AlphaDEX(R) Fund 276,667 -- --
First Trust Switzerland AlphaDEX(R) Fund 571,079 -- 289,452
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 142,032 -- --
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 2,020,752 -- 91,600
First Trust Eurozone AlphaDEX(R) ETF 67,320 -- --
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
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 -- --
As of December 31, 2014, 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 $ -- $ (6,295,890) $ (1,094,600)
First Trust Europe AlphaDEX(R) Fund 28,815 (85,312,512) (18,120,724)
First Trust Latin America AlphaDEX(R) Fund -- (2,172,259) (1,157,199)
First Trust Brazil AlphaDEX(R) Fund 7,885 (3,036,290) (994,595)
First Trust China AlphaDEX(R) Fund -- (1,830,201) (4,163)
First Trust Japan AlphaDEX(R) Fund -- (1,985,148) (3,085,720)
First Trust South Korea AlphaDEX(R) Fund -- (693,605) (46,424)
First Trust Developed Markets Ex-US AlphaDEX(R) Fund -- (16,029,702) (159,289)
First Trust Emerging Markets AlphaDEX(R) Fund -- (30,737,993) (55,212,211)
First Trust Germany AlphaDEX(R) Fund -- (1,910,053) (5,449,070)
First Trust Canada AlphaDEX(R) Fund -- (2,968,176) (8,531,890)
First Trust Australia AlphaDEX(R) Fund -- (330,550) (96,577)
First Trust United Kingdom AlphaDEX(R) Fund -- (1,892,439) (4,314,939)
First Trust Taiwan AlphaDEX(R) Fund -- (44,221) (1,047,274)
First Trust Hong Kong AlphaDEX(R) Fund 275,223 (69,392) (1,042,955)
First Trust Switzerland AlphaDEX(R) Fund -- (2,790,995) (5,657,315)
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 4,361 (401,301) (302,897)
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund -- (7,218,282) (3,947,163)
First Trust Eurozone AlphaDEX(R) ETF 17,459 -- (17,804,407)
H. INCOME TAXES
Each Fund intends to qualify or 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.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
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,
2013 and 2014 remain open to federal and state audit. As of December 31, 2014,
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, 2014, 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.
Capital Loss
Available
----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 5,954,889
First Trust Europe AlphaDEX(R) Fund 85,312,512
First Trust Latin America AlphaDEX(R) Fund 2,170,126
First Trust Brazil AlphaDEX(R) Fund 3,036,290
First Trust China AlphaDEX(R) Fund 1,830,201
First Trust Japan AlphaDEX(R) Fund 1,940,410
First Trust South Korea AlphaDEX(R) Fund 693,605
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 16,021,565
First Trust Emerging Markets AlphaDEX(R) Fund 30,440,709
First Trust Germany AlphaDEX(R) Fund 1,910,053
First Trust Canada AlphaDEX(R) Fund 2,911,578
First Trust Australia AlphaDEX(R) Fund 323,566
First Trust United Kingdom AlphaDEX(R) Fund 1,884,564
First Trust Taiwan AlphaDEX(R) Fund 44,221
First Trust Hong Kong AlphaDEX(R) Fund 69,392
First Trust Switzerland AlphaDEX(R) Fund 2,790,953
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 401,301
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 7,105,937
First Trust Eurozone AlphaDEX(R) ETF --
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, 2014, the Funds incurred
and elected to defer net ordinary losses as follows:
Ordinary Losses
----------------
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund $ 341,001
First Trust Europe AlphaDEX(R) Fund --
First Trust Latin America AlphaDEX(R) Fund 2,133
First Trust Brazil AlphaDEX(R) Fund --
First Trust China AlphaDEX(R) Fund --
First Trust Japan AlphaDEX(R) Fund 44,738
First Trust South Korea AlphaDEX(R) Fund --
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 8,137
First Trust Emerging Markets AlphaDEX(R) Fund 297,284
First Trust Germany AlphaDEX(R) Fund --
First Trust Canada AlphaDEX(R) Fund 56,598
First Trust Australia AlphaDEX(R) Fund 6,984
First Trust United Kingdom AlphaDEX(R) Fund 7,875
First Trust Taiwan AlphaDEX(R) Fund --
First Trust Hong Kong AlphaDEX(R) Fund --
First Trust Switzerland AlphaDEX(R) Fund 42
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund --
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 112,345
First Trust Eurozone AlphaDEX(R) ETF --
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
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, 2014, 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 $ 404,246 $ (2,896,673) $ 2,492,427
First Trust Europe AlphaDEX(R) Fund 429,827 (20,485,884) 20,056,057
First Trust Latin America AlphaDEX(R) Fund 555 (19,882) 19,327
First Trust Brazil AlphaDEX(R) Fund (636) 662 (26)
First Trust China AlphaDEX(R) Fund 16,203 (278,295) 262,092
First Trust Japan AlphaDEX(R) Fund 107,452 (7,630,482) 7,523,030
First Trust South Korea AlphaDEX(R) Fund 68,771 (68,771) --
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 200,375 (10,093,528) 9,893,153
First Trust Emerging Markets AlphaDEX(R) Fund (117,103) (1,726,884) 1,843,987
First Trust Germany AlphaDEX(R) Fund 108,168 (4,323,789) 4,215,621
First Trust Canada AlphaDEX(R) Fund (3,541) 3,833,970 (3,830,429)
First Trust Australia AlphaDEX(R) Fund 4,922 (4,830) (92)
First Trust United Kingdom AlphaDEX(R) Fund 107,034 (4,380,517) 4,273,483
First Trust Taiwan AlphaDEX(R) Fund (33,954) 33,954 --
First Trust Hong Kong AlphaDEX(R) Fund (125) (290,209) 290,334
First Trust Switzerland AlphaDEX(R) Fund 124,466 4,622,072 (4,746,538)
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 30,369 (30,369) --
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 419,929 (5,621,997) 5,202,068
First Trust Eurozone AlphaDEX(R) ETF 60,999 2,145,303 (2,206,302)
I. EXPENSES
Expenses that are directly related to the Funds are charged to the Advisor
pursuant to the Investment Management Agreement, with the exception of the
advisory fees, Rule 12b-1 distribution and service fees, if any, brokerage
expenses, taxes, interest, acquired fund fees and expenses, and extraordinary
expenses, which are paid by each respective Fund.
First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with
Standard & Poor's Financial Services LLC and NASDAQ (each a "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.
J. ACCOUNTING PRONOUNCEMENT
In June 2014, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2014-11, Transfers and Servicing (Topic
860): Repurchase-to-Maturity Transactions, Repurchase Financings, and
Disclosures. A repurchase-to-maturity transaction is one where the repurchase
agreement settles at the same time as the maturity of the transferred financial
asset. These transactions, unlike other repurchase agreements, were accounted
for as sales and purchases instead of being treated as secured borrowings. This
ASU changes that accounting practice and treats all repurchase agreements as
secured borrowings. The ASU additionally requires two new disclosures which are
intended to: a) disclose information on transferred assets accounted for as
sales in transactions that are economically similar to repurchase agreements,
and b) provide increased transparency about the types of collateral pledged in
repurchase agreements and similar transactions accounted for as secured
borrowings.
The ASU impacts all entities that enter into repurchase-to-maturity
transactions, entities that account for these transactions as a sale and a
purchase, and entities that engage in repurchase agreements and securities
lending transactions.
The ASU is effective for financial statements with fiscal years beginning on or
after December 15, 2014 and interim periods within those fiscal years.
Management is evaluating the impact, if any, of this guidance on the Funds'
financial statement disclosures.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
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, acquired fund fees and expenses, 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.
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.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated pro rata among each fund in the First Trust Fund
Complex based on net assets. Each Independent Trustee is also paid an annual per
fund fee that varies based on whether the fund is a closed-end or other actively
managed fund, or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Trustees are reimbursed for travel and out-of-pocket expenses in connection with
all meetings. The Lead Independent Trustee and Committee Chairmen rotate every
three years. The officers and "Interested" Trustee receive no compensation from
the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the year ended December 31, 2014, 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 $ 153,539,476 $ 161,951,946
First Trust Europe AlphaDEX(R) Fund 756,793,748 677,834,804
First Trust Latin America AlphaDEX(R) Fund 7,299,037 8,175,268
First Trust Brazil AlphaDEX(R) Fund 5,009,521 5,898,404
First Trust China AlphaDEX(R) Fund 5,615,103 5,624,898
First Trust Japan AlphaDEX(R) Fund 121,497,847 120,850,612
First Trust South Korea AlphaDEX(R) Fund 4,588,522 5,961,528
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 138,174,960 134,798,626
First Trust Emerging Markets AlphaDEX(R) Fund 615,200,150 464,571,282
First Trust Germany AlphaDEX(R) Fund 46,657,185 46,559,976
First Trust Canada AlphaDEX(R) Fund 120,999,874 118,736,563
First Trust Australia AlphaDEX(R) Fund 1,555,745 1,578,308
First Trust United Kingdom AlphaDEX(R) Fund 55,067,978 42,560,764
First Trust Taiwan AlphaDEX(R) Fund 29,675,082 2,849,681
First Trust Hong Kong AlphaDEX(R) Fund 9,061,292 4,957,347
First Trust Switzerland AlphaDEX(R) Fund 44,031,473 44,256,230
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 8,029,385 7,483,848
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 128,301,104 116,382,573
First Trust Eurozone AlphaDEX(R) ETF 2,755,826 2,828,615
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
For the year ended December 31, 2014, 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 $ 94,478,075 $ 108,102,032
First Trust Europe AlphaDEX(R) Fund 607,949,857 701,625,330
First Trust Latin America AlphaDEX(R) Fund -- 228,818
First Trust Brazil AlphaDEX(R) Fund -- --
First Trust China AlphaDEX(R) Fund 13,522,702 2,251,798
First Trust Japan AlphaDEX(R) Fund 191,561,230 256,087,682
First Trust South Korea AlphaDEX(R) Fund -- --
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 51,612,616 84,021,324
First Trust Emerging Markets AlphaDEX(R) Fund 252,949,064 186,690,770
First Trust Germany AlphaDEX(R) Fund 57,217,061 39,310,004
First Trust Canada AlphaDEX(R) Fund 173,515,627 202,153,332
First Trust Australia AlphaDEX(R) Fund -- --
First Trust United Kingdom AlphaDEX(R) Fund 167,306,771 137,558,536
First Trust Taiwan AlphaDEX(R) Fund -- --
First Trust Hong Kong AlphaDEX(R) Fund 55,467,722 22,555,488
First Trust Switzerland AlphaDEX(R) Fund 174,986,378 130,837,975
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 2,953,399 --
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 39,175,965 57,033,050
First Trust Eurozone AlphaDEX(R) ETF 421,014,476 63,189,384
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 Deposit 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.
Page 144
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014
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
First Trust Eurozone AlphaDEX(R) ETF 3,000 3,000
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
to provide investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2016, except
for FEUZ, which will not pay 12b-1 fees any time before October 17, 2016.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there was the following subsequent event:
At meetings on September 15, 2014 and January 21, 2015, the Board of Trustees
approved index changes for seven of the Funds. Effective on or about April 14,
2015, those Funds will use the indices noted in the table below. At the same
time, the Board of Trustees also approved corresponding changes to each such
Fund's investment objective, to note its new index; and to each such Fund's
listing exchange, from NYSE Arca to NASDAQ.
FUND INDEX
First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Asia Pacific Ex-Japan Index
First Trust Europe AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Europe Index
First Trust Latin America AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Latin America Index
First Trust Developed Markets Ex-US AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Developed Markets Ex-US Index
First Trust Emerging Markets AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Emerging Markets Index
First Trust Developed Markets ex-US Small Cap NASDAQ AlphaDEX(R) Developed Markets ex-US Small
AlphaDEX(R) Fund Cap Index
First Trust Emerging Markets Small Cap AlphaDEX(R) NASDAQ AlphaDEX(R) Emerging Markets Small Cap
Fund Index
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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, First Trust Emerging Markets Small Cap AlphaDEX(R) Fund,
and First Trust Eurozone AlphaDEX(R) ETF, each a series of the First Trust
Exchange-Traded AlphaDEX(R) Fund II (the "Trust"), including the portfolios of
investments, as of December 31, 2014, and the related statements of operations
and 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 Trust'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 Trust 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 Trust'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, 2014 by correspondence with the Trust'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, 2014, 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, 2015
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ADDITIONAL INFORMATION
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (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, 2014, 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%
First Trust Eurozone AlphaDEX(R) ETF 0.00%
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (UNAUDITED)
For the taxable year ended December 31, 2014, 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 38.32%
First Trust Europe AlphaDEX(R) Fund 88.71%
First Trust Latin America AlphaDEX(R) Fund 6.79%
First Trust Brazil AlphaDEX(R) Fund 0.00%
First Trust China AlphaDEX(R) Fund 45.41%
First Trust Japan AlphaDEX(R) Fund 100.00%
First Trust South Korea AlphaDEX(R) Fund 100.00%
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 100.00%
First Trust Emerging Markets AlphaDEX(R) Fund 64.21%
First Trust Germany AlphaDEX(R) Fund 82.52%
First Trust Canada AlphaDEX(R) Fund 100.00%
First Trust Australia AlphaDEX(R) Fund 68.27%
First Trust United Kingdom AlphaDEX(R) Fund 94.21%
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 64.24%
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 30.79%
First Trust Eurozone AlphaDEX(R) ETF 100.00%
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 $ 1,927,163 $ 1.75 $ 62,120 $ 0.06
First Trust Europe AlphaDEX(R) Fund 16,250,412 1.73 1,168,532 0.12
First Trust Latin America AlphaDEX(R) Fund 293,524 0.98 13,530 0.05
First Trust Brazil AlphaDEX(R) Fund 242,752 0.97 9,181 0.04
First Trust China AlphaDEX(R) Fund 204,017 0.29 7,175 0.01
First Trust Japan AlphaDEX(R) Fund 1,538,157 1.81 157,090 0.18
First Trust South Korea AlphaDEX(R) Fund 61,251 0.41 11,140 0.07
First Trust Developed Markets Ex-US AlphaDEX(R) Fund 2,590,935 1.13 193,554 0.08
First Trust Emerging Markets AlphaDEX(R) Fund 15,217,701 0.69 982,258 0.04
First Trust Germany AlphaDEX(R) Fund 1,038,490 0.65 78,845 0.05
First Trust Canada AlphaDEX(R) Fund 2,604,147 2.37 377,985 0.34
First Trust Australia AlphaDEX(R) Fund 73,793 1.48 2,895 0.06
First Trust United Kingdom AlphaDEX(R) Fund 2,099,063 1.27 -- --
First Trust Taiwan AlphaDEX(R) Fund 193,651 0.26 -- --
First Trust Hong Kong AlphaDEX(R) Fund -- -- -- --
First Trust Switzerland AlphaDEX(R) Fund 1,138,691 0.81 70,948 0.05
First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund 140,330 0.70 11,698 0.06
First Trust Emerging Markets Small Cap AlphaDEX(R) Fund 2,245,000 1.80 101,630 0.08
First Trust Eurozone AlphaDEX(R) ETF -- -- -- --
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (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.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (UNAUDITED)
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
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 and the First Trust Eurozone AlphaDEX(R)
ETF invest in securities issued by companies operating in Europe. The Funds are
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
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DECEMBER 31, 2014 (UNAUDITED)
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.
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
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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
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
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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
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.
Each Fund is subject to financial companies risk. Financial companies are
especially subject to the adverse effects of economic recession, currency
exchange rates, government regulation, decreases in the availability of capital,
volatile interest rates, portfolio concentrations in geographic markets and in
commercial and residential real estate loans, and competition from new entrants
in their fields of business.
The First Trust Europe AlphaDEX(R) Fund, First Trust Latin America AlphaDEX(R)
Fund, 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 the
securities of companies in the industrials and producer durables sectors. Many
companies in these sectors convert unfinished goods into finished durables used
to manufacture other goods or provide services. Some industries included in
these sectors are electrical equipment and components, industrial products,
manufactured housing and telecommunications equipment. General risks of these
companies include the general state of the economy, intense competition,
consolidation, domestic and international politics, excess capacity and consumer
demand and spending trends. In addition, they may also be significantly affected
by overall capital spending levels, economic cycles, technical obsolescence,
delays in modernization, labor relations, government regulations and e-commerce
initiatives.
The First Trust Latin America AlphaDEX(R) Fund and First Trust Brazil
AlphaDEX(R) Fund invest in the securities of companies in the utilities sector.
General problems of issuers in the utilities sector include the imposition of
rate caps, increased competition due to deregulation, the difficulty in
obtaining an adequate return on invested capital or in financing large
construction projects, the limitations on operations and increased costs and
delays attributable to environmental considerations, and the capital market's
ability to absorb utility debt. In addition, taxes, government regulation,
international politics, price and supply fluctuations, volatile interest rates
and energy conservation may cause difficulties for utilities. All of such
issuers have been experiencing certain of these problems in varying degrees.
The First Trust Germany AlphaDEX(R) Fund invests in the securities of companies
in the consumer discretionary sector. Companies in the consumer discretionary
sector manufacture products and provide discretionary services directly to the
consumer, and the success of these companies is tied closely to the performance
of the overall domestic and international economy, interest rates, competition
and consumer confidence. Success depends heavily on disposable household income
and consumer spending. Changes in demographics and consumer tastes can also
affect the demand for, and success of, consumer discretionary products in the
marketplace.
The First Trust Brazil AlphaDEX(R) Fund invests in the securities of companies
in the materials sector. Companies in the materials sector are involved in the
extracting or processing of raw materials. General risks of these companies
include the general state of the economy, consolidation, domestic and
international politics and excess capacity. In addition, materials companies may
also be significantly affected by volatility of commodity prices, import
controls, worldwide competition, liability for environmental damage, depletion
of resources, and mandated expenditures for safety and pollution control
devices.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (UNAUDITED)
The First Trust Japan AlphaDEX(R) Fund, First Trust South Korea AlphaDEX(R)
Fund, and First Trust Taiwan AlphaDEX(R) Fund invest in the securities of
companies in the technology sector. General risks of technology companies
include the risks of rapidly changing technologies, short product life cycles,
fierce competition, aggressive pricing and reduced profit margins, loss of
patent, copyright and trademark protections, cyclical market patterns, evolving
industry standards, and frequent new product introductions. Technology companies
may be smaller and less experienced companies, with limited product lines,
markets or financial resources and fewer experienced management or marketing
personnel.
The First Trust Eurozone AlphaDEX(R) ETF currently has fewer assets than larger
funds, and like other relatively new funds, large inflows and outflows may
impact the Fund's market exposure for limited periods of time. This impact may
be positive or negative, depending on the direction of the market during the
period affected.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT
The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund II
(the "Trust"), including the Independent Trustees, unanimously approved the
Investment Management Agreement (the "Agreement") with First Trust Advisors L.P.
("First Trust") on behalf of First Trust Eurozone AlphaDEX(R) ETF (the "Fund"),
for an initial two-year term at a meeting held on September 15, 2014. The Board
of Trustees determined that the Agreement is in the best interests of the Fund
in light of the extent and quality of services expected to be provided and such
other matters as the Board considered to be relevant in the exercise of its
reasonable business judgment.
To reach this determination, the Board considered its duties under the
Investment Company Act of 1940, as amended (the "1940 Act"), as well as under
the general principles of state law in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. To assist the Board in its evaluation of the Agreement for
the Fund, the Independent Trustees received a report in advance of the Board
meeting responding to a request for information provided on behalf of the
Independent Trustees that, among other things, outlined the services to be
provided by First Trust to the Fund (including the relevant personnel
responsible for these services and their experience); the proposed unitary fee
structure for the Fund as compared to fees charged by advisors to other
comparable exchange-traded funds ("ETFs"), and as compared to fees charged to
other ETFs managed by First Trust; the estimated expenses to be incurred in
providing services to the Fund and the potential for economies of scale, if any;
financial data on First Trust; fall out benefits to First Trust and its
affiliate, First Trust Portfolios L.P. ("FTP"); and a summary of First Trust's
compliance program. The Independent Trustees also met separately with their
independent legal counsel to discuss the information provided by First Trust.
The Board applied its business judgment to determine whether the arrangement
between the Trust and First Trust is a reasonable business arrangement from the
Fund's perspective as well as from the perspective of shareholders.
In evaluating whether to approve the Agreement for the Fund, the Board
considered the nature, extent and quality of services to be provided by First
Trust under the Agreement and considered that First Trust employees provide
management services to other ETFs and to other investment companies in the First
Trust fund complex with diligence and care. The Board considered the compliance
program that had been developed by First Trust and the skills of its employees
who would be working with the Fund. It also considered the efforts expended by
First Trust in organizing the Trust and in arranging for other entities to
provide services to the Fund. Since the Fund had yet to commence investment
operations, the Board could not consider the historical investment performance
of the Fund, but the Board did consider the hypothetical investment performance
of the underlying index. The Board considered reports it receives on a quarterly
basis showing the correlation and tracking error between other ETFs for which
First Trust serves as investment advisor and their applicable underlying
indexes. In light of the information presented and the considerations made, the
Board concluded that the nature, extent and quality of services to be provided
to the Fund by First Trust under the Agreement are expected to be satisfactory.
The Board reviewed information regarding the proposed unitary fee structure for
the Fund. The Board noted that under the Fund's unitary fee arrangement, the
Fund would pay First Trust a fee equal to an annual rate of 0.80% of its average
daily net assets and that First Trust would be responsible for the Fund's
ordinary operating expenses, including the cost of transfer agency, custody,
fund administration, legal, audit and other services and license fees, but
excluding the fee payments under the Agreement, interest, taxes, brokerage
commissions and other expenses connected with the execution of portfolio
transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if
any, and extraordinary expenses. The Board reviewed information provided by
Management Practice Inc. ("MPI") and Lipper Inc. ("Lipper"), independent
sources, as well as by First Trust, for the Fund on the advisory fees and
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (UNAUDITED)
expense ratios of other comparable ETFs, but also noted First Trust's statements
about the limitations on the comparability of the peer groups with the Fund. The
Board noted that the Fund's expense ratio under its proposed unitary fee was
above the median expense ratios of the three peer groups. The Board compared the
Fund's unitary fee to the total expense ratios (after fee waivers and/or expense
reimbursements, if any) of other First Trust ETFs, including First Trust ETFs
that pay a unitary fee, and noted First Trust's statement that custody costs for
foreign securities are higher than for domestic securities. In light of the
information considered and the nature, extent and quality of services expected
to be provided to the Fund under the Agreement, the Board determined that the
proposed unitary fee for the Fund was fair and reasonable.
The Board noted that the proposed unitary fee for the Fund was not structured to
pass the benefits of any economies of scale on to shareholders as the Fund's
assets grow. The Board noted that any reduction in fixed costs associated with
the management of the Fund would benefit First Trust, but that a unitary fee
structure provides a level of certainty in expenses for the Fund. The Board
noted that First Trust has continued to invest in personnel and infrastructure
for the First Trust fund complex. The Board took the costs to be borne by First
Trust in connection with its services to be performed for the Fund under the
Agreement into consideration and noted that First Trust was unable to estimate
the profitability of the Agreement for the Fund to First Trust. The Board
considered fall-out benefits described by First Trust that may be realized from
its and FTP's relationship with the Fund, including First Trust's compensation
for fund reporting services pursuant to a separate Fund Reporting Services
Agreement, which would be included under the unitary fee for the Fund. The Board
also noted that First Trust would not utilize soft dollars in connection with
its management of the Fund's portfolio.
Based on all the information considered and the conclusions reached, the Board,
including the Independent Trustees, unanimously determined that the terms of the
Agreement are fair and reasonable and that the approval of the Agreement is in
the best interests of the Fund. No single factor was determinative in the
Board's analysis.
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BOARD OF TRUSTEES AND OFFICERS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (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
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Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton Orthopedics; 114 None
c/o First Trust Advisors L.P. Limited Partner, Gundersen Real Estate
120 East Liberty Drive, o Since Inception Limited Partnership; Member, Sportsmed
Suite 400 LLC
Wheaton, IL 60187
D.O.B.: 04/51
Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to Present), Senior 114 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), ADM Investor Inc., ADM
Suite 400 Services, Inc. (Futures Commission Investor Services
Wheaton, IL 60187 Merchant) International and
D.O.B.: 11/57 Futures Industry
Association
Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 114 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 Managing Director and Chief Operating 114 Director of
c/o First Trust Advisors L.P. Officer (January 2015 to Present), Pelita Covenant
120 East Liberty Drive, o Since Inception Harapan Educational Foundation Transport Inc.
Suite 400 (Educational Products and Services); (May 2003 to
Wheaton, IL 60187 President and Chief Executive Officer (June May 2014)
D.O.B.: 03/54 2012 to September 2014), Servant
Interactive LLC (Educational Products and
Services); President and Chief Executive
Officer (June 2012 to September 2014),
Dew Learning LLC (Educational Products
and Services); President (June 2002 to June
2012), Covenant College
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INTERESTED TRUSTEE
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James A. Bowen(1), Trustee o Indefinite Term Chief Executive Officer (December 2010 114 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.
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (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
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OFFICERS(2)
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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), First Trust
Suite 400 Chief Accounting Officer o Since January 2012 Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187
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); and 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 157
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PRIVACY POLICY
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II
DECEMBER 31, 2014 (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).
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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, 2013, and $427,500 for fiscal year ended December 31,
2014.
(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, 2013, and $0 for the fiscal
year ended December 31, 2014.
Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate
fees billed in each of the last two fiscal years for assurance and related
services by the principal accountant that are reasonably related to the
performance of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item were $0 for the fiscal period ended
December 31, 2013 and $0 for the fiscal year ended December 31, 2014. 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 $72,000
for the fiscal year ended December 31, 2013, and $72,000 for the fiscal year
ended December 31, 2014.
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, 2013 and $0 for the fiscal year ended December 31, 2014.
(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, 2013,
and $0 for the fiscal year ended December 31, 2014.
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, 2013, and $0 for the
fiscal year ended December 31, 2014.
(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, 2013 were $72,000 for the Registrant, $38,000 for the
Registrant's investment adviser and $58,100 for the Registrant's distributor,
and for the fiscal year ended December 31, 2014 were $72,000 for the Registrant,
$8,500 for the Registrant's investment adviser and $43,500 for the Registrant's
distributor.
(h) The Registrant's audit committee of its Board of Trustees has
determined that the provision of non-audit services that were rendered to the
Registrant's investment 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 25, 2015
--------------------
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 25, 2015
--------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: February 25, 2015
--------------------
* Print the name and title of each signing officer under his or her signature.