UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-22019
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First Trust Exchange-Traded AlphaDEX(R) Fund
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(Exact name of registrant as specified in charter)
Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
registrant's telephone number, including area code: (630) 765-8000
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Date of fiscal year end: July 31
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Date of reporting period: July 31, 2016
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORT TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 is as follows:
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Annual Report July 31, 2016
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AlphaDEX(R) Sector Funds
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First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
AlphaDEX(R)
FAMILY OF ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
Shareholder Letter........................................................... 2
Market Overview.............................................................. 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 4
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 6
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 8
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20
Notes to Fund Performance Overview........................................... 22
Understanding Your Fund Expenses............................................. 23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 30
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 32
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 36
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 38
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 40
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 42
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 45
Statements of Assets and Liabilities......................................... 48
Statements of Operations..................................................... 50
Statements of Changes in Net Assets.......................................... 52
Financial Highlights......................................................... 56
Notes to Financial Statements................................................ 61
Report of Independent Registered Public Accounting Firm...................... 69
Additional Information....................................................... 70
Board of Trustees and Officers............................................... 76
Privacy Policy............................................................... 78
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
http://www.ftportfolios.com or speak with your financial advisor. Investment
returns, net asset value and share price will fluctuate and Fund shares, when
sold, may be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at http://www.ftportfolios.com
HOW TO READ THIS REPORT
This This report contains information that may help you evaluate your investment
in each Fund. 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 material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information,
this report and other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2016
Dear Shareholders:
Thank you for your investment in the Sector Funds of First Trust Exchange-Traded
AlphaDEX(R) Fund.
First Trust Advisors L.P. ("First Trust") is pleased to provide you with the
annual report which contains detailed information about your investment for the
12 months ended July 31, 2016, including a market overview and a performance
analysis for the period. We encourage you to read this report and discuss it
with your financial advisor.
While markets were up and down during 2015, we believe there are three important
things to remember. First, the U.S. economy grew, despite the massive decline in
oil prices. Second, the tapering that began in 2014 by the Federal Reserve (the
"Fed") did not stop growth in the U.S. economy. Finally, the long-anticipated
rate hike by the Fed in December 2015 had little effect on the money supply, and
the stock market was not shocked by the hike. Early in 2016, many investors were
concerned that the volatility we saw in the market in 2015 would continue, and
it did. From December 31, 2015 through February 11, 2016, the S&P 500(R) Index
declined by 10.27%. Since then, the market has made a steady comeback, and from
February 11, 2016 to July 31, 2016, the S&P 500(R) Index was up 19.99%.
First Trust believes that having a long-term investment horizon and investing in
quality products can help you reach your goals, regardless of how the market
behaves. We have always maintained perspective about the markets and believe
investors should as well. We will continue to strive to provide quality
investment opportunities each and every day, which has been one of the hallmarks
of our firm since its inception 25 years ago.
Thank you for giving First Trust the opportunity to be a part of your investment
plan. We value our relationship with you and will continue to focus on helping
investors like you reach 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
ANNUAL REPORT
JULY 31, 2016
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 over 25 years of experience as an
Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE U.S. ECONOMY
One of the reasons cited by the Federal Reserve for not raising interest rates
beyond the initial 0.25% hike in the federal funds target rate on December 16,
2015 is the slowdown in global growth. The International Monetary Fund reduced
its global growth estimate for 2016 from 3.3% in April to 3.2% in July. It also
shaved its 2017 estimate by 0.1% to 3.5%, according to its own release. To help
put this concern into perspective, the rate was 5.4% in 2010.
The rebound in the price of crude oil is boosting Mergers & Acquisitions ("M&A")
activity in the energy sector, according to Bloomberg. From February 11, 2016
(multi-year low) through August 25, 2016, the price of a barrel of crude oil
rose 80.6%, from $26.21 to $47.33. Wood Mackenzie, a consulting firm, reported
that more than $11 billion worth of oil and gas transactions were announced
globally in July. It was the highest monthly total so far this year. Since May,
deal volume has totaled $32 billion. Wood Mackenzie believes that M&A activity
will continue to accelerate as oil prices stabilize. Higher energy prices, if
sustained, could help boost global economic growth moving forward. Many nations
around the globe rely fairly heavily on the sale of crude oil to help fund their
economies, in our opinion.
ETFGI, an industry research group, reported that total assets invested in
exchange-traded funds (ETFs) and other exchange-traded products (ETPs) reached a
record high of $3.34 trillion globally in July 2016, according to its own
release. Total assets invested in U.S. ETFs/ETPs reached a record high of $2.37
trillion in July 2016.
SECTOR INVESTING
One barometer for gauging investors' appetites for equities is tracking money
flows in and out of open-end mutual funds and ETFs. For the 12-month period
ended July 31, 2016, U.S. Equity funds/ETFs reported net outflows totaling over
$47 billion, according to data from Morningstar. Investors continue to favor
passive funds over actively managed funds. Passive U.S. Equity funds/ETFs
reported net inflows totaling $163.6 billion, compared to net outflows totaling
$211.0 billion for actively managed U.S. Equity funds/ETFs.
For the 12-month period ended July 2016, investors pulled capital from sector
funds/ETFs, which reported net outflows totaling $18.1 billion. Passive Sector
Equity funds/ETFs reported net inflows totaling $3.1 billion, compared to net
outflows totaling $21.2 billion for actively managed Sector Equity funds/ETFs.
Using Morningstar fund categories, some of the major sectors reporting the
highest net inflows over the past 12 months were Real Estate ($7.3 billion),
Equity Energy ($5.6 billion), Utilities ($2.8 billion), Consumer Defensive ($2.3
billion) and Communications ($1.3 billion).
Slow and steady appears to be winning the race, in our opinion. Despite the
moderate pace of economic growth since the previous recession ended in 2009, the
current bull market in stocks is the second-longest in U.S. history at 2,701
days through July, as measured by the S&P 500(R) Index, according to Bespoke
Investment Group. From March 9, 2009 to July 29, 2016, the S&P 500(R) Index
posted a cumulative total return of 275.51%, according Bloomberg. From 2009 to
2015, the S&P 500(R) Index increased its annual earnings from $58.15 to $109.32,
according to Bloomberg. As of August 5, 2016, Bloomberg's consensus estimates
for 2016 and 2017 are $117.73 and $133.11, respectively.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer
Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally
invest at least 90% of its net assets in common stocks that comprise the
Consumer Discretionary Index. The shares of the Fund are listed and trade on the
NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol
"FXD."
The Consumer Discretionary Index is a modified equal-dollar weighted index
designed by NYSE Group, Inc. or its affiliates ("NYSE") to objectively identify
and select stocks from the Russell 1000(R) Index in the consumer discretionary
sector that may generate positive alpha relative to traditional passive-style
indices through the use of the AlphaDEX(R) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. The NYSE constructs the Consumer
Discretionary Index using the Russell Global Sectors (the "RGS") sector scheme
to determine a stock's sector membership.
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV -2.34% 12.00% 7.36% 76.26% 92.58%
Market Price -2.39% 12.00% 7.35% 76.21% 92.52%
INDEX PERFORMANCE
StrataQuant(R) Consumer Discretionary Index -1.74% 12.77% 8.15% 82.36% 106.08%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Consumer Discretionary Index 3.53% 17.50% 10.05% 123.97% 142.01%
Russell 1000(R) Consumer Discretionary Index(1) 2.81% 16.74% NA 116.82% NA
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(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXD's one-year net asset value ("NAV") return of -2.34% underperformed the
benchmark S&P 500(R) Consumer Discretionary Index return of 3.53% by -5.87%. The
Auto Components industry was the best contributing and best performing industry
during the period, with a 0.97% contribution and 17.4% return. The Textiles
Apparel & Luxury Goods industry was the worst contributing and second worst
performing industry during the period, with a -1.7% contribution and -17.1%
return. The highest weighted industry during the period was Specialty Retail at
an average 23.2% weighting. This industry had an average return of -0.7%. On a
relative basis, the Fund underperformed the benchmark primarily because the Fund
was underweight Amazon.com, Inc. within the Internet & Catalog Retail industry.
Amazon.com, Inc. was held at an average weighting of 1.3% during the period
versus the benchmark weighting of 10.4%. Amazon.com, Inc.'s return of 41.5%
caused -2.9% of relative underperformance. The Fund's underweighting of Walt
Disney Co. by 6.5%, relative to the benchmark, reversed 1.6% of
underperformance. Walt Disney Co. had a return of -18.6% during the period.
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Consumer Discretionary 92.37%
Industrials 3.57
Information Technology 1.44
Consumer Staples 1.33
Financials 1.29
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Total 100.00%
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
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Penske Automotive Group, Inc. 1.64%
Gap (The), Inc. 1.58
GameStop Corp., Class A 1.51
Burlington Stores, Inc. 1.49
Gentex Corp. 1.49
BorgWarner, Inc. 1.46
Dillard's, Inc., Class A 1.45
Lear Corp. 1.45
General Motors Co. 1.45
Best Buy Co., Inc. 1.43
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Total 14.95%
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(1) On or about September 18, 2008, Russell Investment Group ("Russell") began
calculating its Russell U.S. Indices using an enhanced Russell sector scheme,
the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30,
2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. In addition to the implementation of the
RGS, Russell changed the name of the Russell 1000(R) Consumer Discretionary and
Services Index to the Russell 1000(R) Consumer Discretionary Index.
Consequently, performance data is not available for all the periods shown in the
table for the Russell 1000(R) Consumer Discretionary Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Consumer Discretionary Index is a registered trademark of the
NYSE and has been licensed for use by First Trust Portfolios L.P., which has
sub-licensed the Index for use by the Fund. The First Trust Consumer
Discretionary AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by
the NYSE, and the NYSE makes no representation or warranty regarding the
advisability of investing in the Fund or as to the result to be obtained by any
person from use of the StrataQuant(R) Consumer Discretionary Index in connection
with the trading of the Fund.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust
Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer
AlphaDEX(R) Fund Discretionary Index Index Discretionary Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,415 9,439 9,674 9,418
1/31/08 8,296 8,349 9,261 8,326
7/31/08 7,133 7,194 8,647 7,355
1/31/09 4,347 4,406 5,911 5,679
7/31/09 6,482 6,601 6,903 6,667
1/31/10 7,427 7,592 7,611 7,697
7/31/10 8,108 8,319 7,904 8,410
1/31/11 9,984 10,281 9,387 10,051
7/31/11 10,925 11,302 9,539 10,806
1/31/12 10,699 11,120 9,757 11,372
7/31/12 10,591 11,024 10,298 12,091
1/31/13 12,657 13,228 11,419 14,063
7/31/13 15,057 15,791 12,998 16,770
1/31/14 15,938 16,781 13,957 17,911
7/31/14 16,920 17,876 15,216 18,899
1/31/15 18,238 19,332 15,878 20,241
7/31/15 19,719 20,976 16,926 23,374
1/31/16 17,144 18,291 15,591 21,815
7/31/16 19,259 20,608 17,745 24,200
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
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NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 130 0 0 0
8/1/12 - 7/31/13 178 0 0 0
8/1/13 - 7/31/14 213 0 0 0
8/1/14 - 7/31/15 200 0 0 0
8/1/15 - 7/31/16 146 0 0 0
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NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 123 0 0 0
8/1/12 - 7/31/13 72 0 0 0
8/1/13 - 7/31/14 39 0 0 0
8/1/14 - 7/31/15 52 0 0 0
8/1/15 - 7/31/16 105 0 0 0
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its net assets in common stocks that comprise the Consumer Staples Index. The
shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol
"FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by
the NYSE to objectively identify and select stocks from the Russell 1000(R)
Index in the consumer staples sector that may generate positive alpha relative
to traditional passive-style indices through the use of the AlphaDEX(R)
screening methodology. Alpha is an indication of how much an investment
outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
The NYSE constructs the Consumer Staples Index using the RGS sector scheme to
determine a stock's sector membership.
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 9.19% 16.64% 11.69% 115.93% 177.34%
Market Price 9.14% 16.65% 11.68% 116.02% 177.32%
INDEX PERFORMANCE
StrataQuant(R) Consumer Staples Index 9.85% 17.54% 12.53% 124.30% 197.21%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Consumer Staples Index 11.67% 15.22% 10.89% 103.08% 159.73%
Russell 1000(R) Consumer Staples Index(1) 11.46% 15.60% NA 106.42% NA
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(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXG's one-year NAV return of 9.19% underperformed the benchmark S&P 500(R)
Consumer Staples Index return of 11.67% by -2.48%. With a return of 7.8% and
average weighting of 44.9%, Food Products was the top performing and highest
weighted industry during the period, contributing 7.8% to the Fund's return.
Within the industry, Tyson Foods, Inc. was the top returning security with a
67.6% return. The Food & Staples Retailing was the only industry to have a
negative return during the period, with a -9.6% return. The Fund held this
industry at an average 21.9% weighting, leading to a contribution of -2.0%
during the period. Rite Aid Corp. was the worst performing security with a
-21.4% return. On a relative basis, the Fund underperformed the benchmark
primarily due to the Fund overweighting Rite Aid Corp. by 3.8%, creating -1.5%
of drag, and due to the Fund underweighting the Tobacco industry by 9.7%,
creating -1.2% of drag. The Tobacco industry had a return of 22.7% during the
period. The well-performing Food Products industry reversed 2.3% of drag by
being overweight 27.8% in the well performing industry. Tyson Foods, Inc., as
mentioned above, created 1.8% of relative outperformance.
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Staples 100.00%
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Total 100.00%
=======
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Spectrum Brands Holdings, Inc. 5.08%
Post Holdings, Inc. 4.93
Ingredion, Inc. 4.84
Sysco Corp. 4.80
TreeHouse Foods, Inc. 4.73
Energizer Holdings, Inc. 4.71
Mondelez International, Inc., Class A 4.55
WhiteWave Foods (The) Co. 3.89
Bunge Ltd. 3.67
Tyson Foods, Inc., Class A 3.63
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Total 44.83%
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(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Consumer Staples Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Consumer Staples Index is a registered trademark of the NYSE
and has been licensed for use by First Trust Portfolios L.P., which has
sub-licensed the Index for use by the Fund. The First Trust Consumer Staples
AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and
the NYSE makes no representation or warranty regarding the advisability of
investing in the Fund or as to the result to be obtained by any person from use
of the StrataQuant(R) Consumer Staples Index in connection with the trading of
the Fund.
Page 6
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer
AlphaDEX(R) Fund Staples Index Index Staples Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,555 9,574 9,674 9,747
1/31/08 8,917 8,971 9,261 10,285
7/31/08 9,091 9,180 8,647 10,386
1/31/09 7,142 7,224 5,646 8,404
7/31/09 8,442 8,577 6,903 9,587
1/31/10 9,133 9,311 7,611 10,426
7/31/10 9,790 10,017 7,904 10,865
1/31/11 10,958 11,264 9,387 11,840
7/31/11 12,844 13,250 9,539 12,790
1/31/12 12,410 12,853 9,757 13,505
7/31/12 12,455 12,989 10,298 15,305
1/31/13 14,509 15,186 11,419 16,073
7/31/13 17,921 18,842 12,998 18,201
1/31/14 18,572 19,596 13,957 18,172
7/31/14 20,635 21,857 15,216 19,497
1/31/15 23,342 24,784 15,878 21,971
7/31/15 25,401 27,057 16,926 23,258
1/31/16 24,327 25,980 15,591 23,835
7/31/16 27,737 29,721 17,745 25,973
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 158 0 0 0
8/1/12 - 7/31/13 155 0 0 0
8/1/13 - 7/31/14 213 0 0 0
8/1/14 - 7/31/15 204 0 0 0
8/1/15 - 7/31/16 164 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 94 1 0 0
8/1/12 - 7/31/13 95 0 0 0
8/1/13 - 7/31/14 39 0 0 0
8/1/14 - 7/31/15 48 0 0 0
8/1/15 - 7/31/16 87 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy
Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Energy Index. The shares of the Fund are listed and
trade on the NYSE Arca under the ticker symbol "FXN."
The Energy Index is a modified equal-dollar weighted index designed by the NYSE
to objectively identify and select stocks from the Russell 1000(R) Index in the
energy sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) screening methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. The NYSE constructs the Energy
Index using the RGS sector scheme to determine a stock's sector membership.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV -12.67% -8.20% -2.56% -34.80% -21.28%
Market Price -12.67% -8.21% -2.56% -34.85% -21.28%
INDEX PERFORMANCE
StrataQuant(R) Energy Index -12.52% -7.73% -1.98% -33.13% -16.85%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Energy Index 2.03% 0.23% 2.35% 1.17% 23.89%
Russell 1000(R) Energy Index(1) -0.66% -0.71% NA -3.51% NA
-----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXN's one-year NAV return of -12.67% underperformed the benchmark S&P 500(R)
Energy Index return of 2.03% by -14.70%. The Energy Equipment & Services and Oil
Gas & Consumable Fuels industries each contributed about -5.75% during the
period. California Resources Corp. stands out as the worst performing security
with a -69.6% return during the period, contributing -2.3% to the Fund's return.
Exxon Mobil Corp. and Chevron Co., the two largest energy conglomerates held
within the Fund, posted solid returns of 16.4% and 21.5%, respectively, during
the period. On a relative basis, the Fund underperformed the benchmark. Exxon
Mobil Corp. and Chevron Co. were two of the leading contributors to the
underperformance as the Fund was underweight the benchmark -25.4% and -11.3%,
respectively, causing in total -5.1% of relative underperformance. Because the
benchmark is market cap weighted, these two securities take the lion's share of
the weighting at 41.6%. The Fund reversed 1.7% of the relative underperformance
by holding Kinder Morgan, Inc., which returned -38.9% during the period, at a 2%
smaller weighting.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Energy 96.71%
Information Technology 3.29
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
HollyFrontier Corp. 3.65%
Marathon Petroleum Corp. 3.54
Valero Energy Corp. 3.50
Tesoro Corp. 3.47
Antero Resources Corp. 3.44
First Solar, Inc. 3.29
Phillips 66 3.27
Dril-Quip, Inc. 3.18
Transocean Ltd. 3.15
Noble Corp. PLC 3.06
-------
Total 33.55%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. In addition to the implementation of the RGS, Russell combined the
Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index
into one index, the Russell 1000(R) Energy Index. Consequently, performance data
is not available for all the periods shown in the table for the Russell 1000(R)
Energy Index because this index did not exist until on or about September 18,
2008.
The StrataQuant(R) Energy Index is a registered trademark of the NYSE and has
been licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The First Trust Energy AlphaDEX(R) Fund is not
sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no
representation or warranty regarding the advisability of investing in the Fund
or as to the result to be obtained by any person from use of the StrataQuant(R)
Energy Index in connection with the trading of the Fund.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Energy Index Index Energy Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 10,370 10,387 9,674 10,743
1/31/08 10,594 10,638 9,261 10,891
7/31/08 11,990 12,080 8,647 11,455
1/31/09 4,831 4,864 6,047 7,332
7/31/09 6,865 6,965 6,903 8,138
1/31/10 8,005 8,153 7,611 8,656
7/31/10 8,119 8,301 7,904 8,601
1/31/11 11,422 11,720 9,387 11,719
7/31/11 12,073 12,437 9,539 12,248
1/31/12 10,110 10,453 9,757 11,606
7/31/12 9,477 9,838 10,298 11,633
1/31/13 11,278 11,755 11,419 12,874
7/31/13 11,715 12,244 12,998 13,799
1/31/14 12,399 13,006 13,957 14,020
7/31/14 14,678 15,444 15,216 16,343
1/31/15 10,559 11,126 15,878 13,133
7/31/15 9,013 9,506 16,926 12,144
1/31/16 6,948 7,329 15,591 10,554
7/31/16 7,871 8,316 17,745 12,392
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 156 0 0 0
8/1/12 - 7/31/13 178 0 0 0
8/1/13 - 7/31/14 223 0 0 0
8/1/14 - 7/31/15 161 1 0 0
8/1/15 - 7/31/16 151 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 96 1 0 0
8/1/12 - 7/31/13 72 0 0 0
8/1/13 - 7/31/14 29 0 0 0
8/1/14 - 7/31/15 90 0 0 0
8/1/15 - 7/31/16 100 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Financials Index (the
"Financials Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Financials Index. The shares of the
Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO."
The Financials Index is a modified equal-dollar weighted index designed by the
NYSE to objectively identify and select stocks from the Russell 1000(R) Index in
the financial services sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) screening
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. The NYSE
constructs the Financials Index using the RGS sector scheme to determine a
stock's sector membership.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 0.22% 13.15% 3.73% 85.48% 40.18%
Market Price 0.18% 13.17% 3.73% 85.61% 40.17%
INDEX PERFORMANCE
StrataQuant(R) Financials Index 0.87% 13.99% 4.61% 92.49% 51.64%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Financials Index -3.77% 12.05% -2.85% 76.62% -23.42%
Russell 1000(R) Financial Services Index(1) -1.39% 12.97% NA 83.96% NA
-----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXO's one-year NAV return of 0.22% outperformed the benchmark S&P 500(R)
Financials Index return of -3.77% by 3.99%. It was the Real Estate Investment
Trust ("REIT") industry that contributed the most to the Fund's return during
the period. This industry had a return of 19.9%, an average weighting of 20.8%,
and contribution of 4.4%. Digital Realty Trust, Inc. also stood out as the top
performing security within the REIT industry with a 69.9% return. The Capital
Market industry was the worst contributing industry with a -2.2% contribution.
Notably, Waddell & Reed Financial, Inc. returned -60.9% during the period
creating -0.8% contribution. On a relative basis, the Fund outperformed the
benchmark primarily due to the Fund's holdings within the Banking industry. The
Fund underweighted this poor performing industry (-10.3% return) by 18.6%,
creating 2.5% of relative outperformance. Amongst the Diversified Financial
Services industry, the Fund lost -1.2% of relative performance by having a 7.4%
lower allocation and -7.3% lower return.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 90.27%
Information Technology 6.55
Industrials 2.61
Consumer Discretionary 0.57
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Lazard Ltd., Class A 1.10%
Popular, Inc. 1.05
Jones Lang LaSalle, Inc. 1.03
MarketAxess Holdings, Inc. 1.01
Franklin Resources, Inc. 0.99
CIT Group, Inc. 0.99
Fidelity National Information Services, Inc. 0.99
Fifth Third Bancorp 0.99
Senior Housing Properties Trust 0.97
Santander Consumer USA Holdings, Inc. 0.97
-------
Total 10.09%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Financial Services Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Financials Index is a registered trademark of the NYSE and
has been licensed for use by First Trust Portfolios L.P., which has sub-licensed
the Index for use by the Fund. The First Trust Financials AlphaDEX(R) Fund is
not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no
representation or warranty regarding the advisability of investing in the Fund
or as to the result to be obtained by any person from use of the StrataQuant(R)
Financials Index in connection with the trading of the Fund.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Financials Index Index Financials Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 8,955 8,986 9,674 8,883
1/31/08 7,939 8,017 9,261 7,875
7/31/08 6,363 6,450 8,647 5,950
1/31/09 3,908 3,976 5,646 3,444
7/31/09 5,412 5,550 6,903 3,713
1/31/10 6,429 6,618 7,611 4,081
7/31/10 6,856 7,086 7,904 4,253
1/31/11 7,898 8,199 9,387 4,772
7/31/11 7,558 7,878 9,539 4,336
1/31/12 7,621 7,979 9,757 4,162
7/31/12 7,904 8,307 10,298 4,385
1/31/13 9,367 9,886 11,419 5,255
7/31/13 11,021 11,675 12,998 6,245
1/31/14 11,646 12,384 13,957 6,482
7/31/14 12,228 13,050 15,216 6,957
1/31/15 12,750 13,656 15,878 7,213
7/31/15 13,987 15,034 16,926 7,959
1/31/16 12,337 13,296 15,591 6,954
7/31/16 14,018 15,165 17,745 7,659
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 151 0 0 0
8/1/12 - 7/31/13 189 0 0 0
8/1/13 - 7/31/14 219 0 0 0
8/1/14 - 7/31/15 200 0 0 0
8/1/15 - 7/31/16 151 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 102 0 0 0
8/1/12 - 7/31/13 61 0 0 0
8/1/13 - 7/31/14 33 0 0 0
8/1/14 - 7/31/15 52 0 0 0
8/1/15 - 7/31/16 100 0 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Health Care Index
(the "Health Care Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Health Care Index. The shares of the
Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH."
The Health Care Index is a modified equal-dollar weighted index designed by the
NYSE to objectively identify and select stocks from the Russell 1000(R) Index in
the health care sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) screening methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. The NYSE constructs the Health
Care Index using the RGS sector scheme to determine a stock's sector membership.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV -11.60% 16.72% 13.03% 116.63% 209.81%
Market Price -11.64% 16.71% 13.03% 116.55% 209.81%
INDEX PERFORMANCE
StrataQuant(R) Health Care Index -11.08% 17.50% 13.87% 123.99% 231.63%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Health Care Index 0.01% 19.37% 10.23% 142.33% 145.74%
Russell 1000(R) Health Care Index(1) -1.42% 19.63% NA 145.01% NA
-----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXH's one-year NAV return of -11.60% underperformed the benchmark S&P 500(R)
Health Care Index return of 0.01% by -11.61%. The Health Care Equipment &
Supplies industry, held at an average weighting of 24.5%, had the best return of
18.8%, resulting in a contribution of 5.8%. Intuitive Surgical, Inc. was the
best performing security at 48.4%. Biotechnology was the worst performing
industry during the period with a return of -35.8%. This industry was held at an
average weighting of 11.4%, resulting in a contribution of -9.3%. Intrexon Co.
was the worst performing security with a -68.9% return. On a relative basis, the
Fund underperformed the benchmark. The relative underperformance can almost all
be attributed to the Health Care Providers & Services industry. In this
industry, the Fund underperformed the benchmark by -11.8% and overweighted the
benchmark by 23.8% in this industry during the period, creating -6.0% of
relative underperformance. The Fund had a 1.4% position in Community Health
Systems, Inc., a security that returned -75.2% during the period which
contributed -2.4% of the drag. Relative to the benchmark, the Fund overweighted
the Health Care Equipment & Supplies industry and outperformed, which reversed
1.3% of underperformance. Align Technology, Inc. led the industry in this regard
with a 42.2% return, and 1.8% overweighting.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 100.00%
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Edwards Lifesciences Corp. 2.44%
United Therapeutics Corp. 2.43
Veeva Systems, Inc., Class A 2.37
Zimmer Biomet Holdings, Inc. 2.32
ABIOMED, Inc. 2.30
Laboratory Corp. of America Holdings 2.28
Baxter International, Inc. 2.26
VCA, Inc. 2.24
Boston Scientific Corp. 2.21
Becton, Dickinson and Co. 2.21
-------
Total 23.06%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Health Care Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Health Care Index is a registered trademark of the NYSE and
has been licensed for use by First Trust Portfolios L.P., which has sub-licensed
the Index for use by the Fund. The First Trust Health Care AlphaDEX(R) Fund is
not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no
representation or warranty regarding the advisability of investing in the Fund
or as to the result to be obtained by any person from use of the StrataQuant(R)
Health Care Index in connection with the trading of the Fund.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund (FXH) Health Care Index Index Health Care Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,740 9,764 9,674 9,222
1/31/08 9,645 9,702 9,261 9,269
7/31/08 9,465 9,573 8,647 8,940
1/31/09 7,330 7,443 5,646 7,696
7/31/09 8,830 9,001 6,903 7,974
1/31/10 10,750 10,993 7,611 9,042
7/31/10 10,780 11,068 7,904 8,318
1/31/11 13,190 13,601 9,387 9,306
7/31/11 14,302 14,805 9,539 10,142
1/31/12 14,342 14,909 9,757 10,762
7/31/12 15,042 15,667 10,298 11,706
1/31/13 17,867 18,682 11,419 13,226
7/31/13 21,434 22,504 12,998 15,877
1/31/14 25,169 26,517 13,957 17,571
7/31/14 26,745 28,259 15,216 19,279
1/31/15 30,802 32,650 15,878 22,086
7/31/15 35,050 37,293 16,926 24,576
1/31/16 26,992 28,798 15,591 21,549
7/31/16 30,984 33,161 17,745 24,575
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 135 0 0 0
8/1/12 - 7/31/13 187 0 0 0
8/1/13 - 7/31/14 217 0 0 0
8/1/14 - 7/31/15 220 0 0 0
8/1/15 - 7/31/16 136 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 118 0 0 0
8/1/12 - 7/31/13 63 0 0 0
8/1/13 - 7/31/14 35 0 0 0
8/1/14 - 7/31/15 32 0 0 0
8/1/15 - 7/31/16 115 0 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the
StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will
normally invest at least 90% of its net assets in common stocks that comprise
the Industrials Index. The shares of the Fund are listed and trade on the NYSE
Arca under the ticker symbol "FXR."
The Industrials Index is a modified equal-dollar weighted index designed by the
NYSE to objectively identify and select stocks from the Russell 1000(R) Index in
the industrials and producer durables sector that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)
screening methodology. Alpha is an indication of how much an investment
outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
The NYSE constructs the Industrials Index using the RGS sector scheme to
determine a stock's sector membership.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV -0.82% 10.99% 4.91% 68.43% 55.69%
Market Price -0.86% 11.03% 4.91% 68.71% 55.70%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index -0.18% 11.78% 5.68% 74.51% 66.52%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Industrials Index 10.46% 13.60% 6.70% 89.15% 81.91%
Russell 1000(R) Producer Durables Index(1) 8.69% 13.61% NA 89.24% NA
-----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXR's one-year NAV return of -0.82% underperformed the benchmark S&P 500(R)
Industrials Index return of 10.46% by -11.28%. The Commercial Services &
Supplies industry led the Fund in contribution with a 1.4% contribution. This
industry had a 20.8% return and was held at an average weighting of 5.6%. Tyco
International PLC also led the industry with a 36.8% return. The Machinery
industry was given the highest allocation during the period at 25.7%. With a
relatively flat return of -0.1%, the Machinery industry contributed -1.0% to the
Fund's return because of the high allocation. On a relative basis, the Fund
underperformed the benchmark. The Machinery industry created -3.0% of relative
underperformance by overweighting the industry by 13.2% and underperforming by
-7.8%. Joy Global, Inc., in particular, was the cause of -1.1% of the relative
underperformance as the Fund was overweight the -58.8% performing security by
0.6%. American Airlines Group, Inc., held within the Airlines industry, reversed
0.64% of underperformance as the Fund held the name at a 21.9% return versus the
benchmarks 1.4% return.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 90.55%
Information Technology 7.23
Health Care 1.12
Materials 1.10
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
American Airlines Group, Inc. 2.20%
Trinity Industries, Inc. 2.19
Alaska Air Group, Inc. 2.02
United Continental Holdings, Inc. 2.00
JetBlue Airways Corp. 1.94
WESCO International, Inc. 1.90
Air Lease Corp. 1.88
Delta Air Lines, Inc. 1.86
KBR, Inc. 1.85
Copart, Inc. 1.80
-------
Total 19.64%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Producer Durables Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Industrials Index is a registered trademark of the NYSE and
has been licensed for use by First Trust Portfolios L.P., which has sub-licensed
the Index for use by the Fund. The First Trust Industrials/Producer Durables
AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and
the NYSE makes no representation or warranty regarding the advisability of
investing in the Fund or as to the result to be obtained by any person from use
of the StrataQuant(R) Industrials Index in connection with the trading of the
Fund.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust Industrials/
Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Industrials Index Index Industrials Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,435 9,457 9,674 10,400
1/31/08 8,770 8,820 9,261 9,935
7/31/08 8,792 8,874 8,647 9,138
1/31/09 4,967 5,030 5,646 5,934
7/31/09 6,081 6,182 6,903 6,422
1/31/10 7,233 7,384 7,611 7,464
7/31/10 7,854 8,048 7,904 8,263
1/31/11 9,675 9,954 9,387 9,982
7/31/11 9,243 9,542 9,539 9,618
1/31/12 9,549 9,904 9,757 10,177
7/31/12 9,177 9,552 10,298 10,257
1/31/13 10,955 11,446 11,419 11,594
7/31/13 12,656 13,270 12,998 13,198
1/31/14 14,598 15,368 13,957 14,747
7/31/14 15,496 16,375 15,216 15,405
1/31/15 15,548 16,486 15,878 16,340
7/31/15 15,698 16,682 16,926 16,469
1/31/16 13,029 13,885 15,591 15,578
7/31/16 15,567 16,652 17,745 18,192
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 111 0 0 0
8/1/12 - 7/31/13 177 0 0 0
8/1/13 - 7/31/14 217 0 0 0
8/1/14 - 7/31/15 167 0 0 0
8/1/15 - 7/31/16 153 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 142 0 0 0
8/1/12 - 7/31/13 73 0 0 0
8/1/13 - 7/31/14 35 0 0 0
8/1/14 - 7/31/15 85 0 0 0
8/1/15 - 7/31/16 98 0 0 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Materials Index (the
"Materials Index"). The Fund will normally invest at least 90% of its net assets
in common stocks that comprise the Materials Index. The shares of the Fund are
listed and trade on the NYSE Arca under the ticker symbol "FXZ."
The Materials Index is a modified equal-dollar weighted index designed by the
NYSE to objectively identify and select stocks from the Russell 1000(R) Index in
the materials and processing sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) screening
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. The NYSE
constructs the Materials Index using the RGS sector scheme to determine a
stock's sector membership.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 13.48% 8.82% 7.49% 52.56% 94.81%
Market Price 13.52% 8.80% 7.49% 52.44% 94.80%
INDEX PERFORMANCE
StrataQuant(R) Materials Index 14.25% 9.64% 8.30% 58.41% 108.79%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Materials Index 8.40% 7.55% 4.65% 43.87% 52.08%
Russell 1000(R) Materials and Processing Index(1) 11.02% 8.56% NA 50.75% NA
-----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXZ's one-year NAV return of 13.48% outperformed the benchmark S&P 500(R)
Materials Index return of 8.40% by 5.08%. Resulting from an 18.8% average
weighting and a 55.8% return, the Metals & Mining industry accounted for 9.2% of
the Fund's return during the period. Several securities posted high returns;
among them was Newmont Mining Co., which returned 157.4% and contributed 3.6% to
the Fund's return. The Chemicals industry, which was given the greatest
allocation during the period at 34.5%, was the worst performing and contributing
industry during the period, with a -1.1% return and -0.4% contribution. On a
relative basis, the Fund outperformed the benchmark. The majority of the
outperformance came from the Metals & Mining industry where the Fund posted a
13.5% higher return than the benchmark and an 8.8% greater allocation, which
created 4.3% of outperformance. The Chemical industry reversed -0.8% of
outperformance by underperforming (-5.5%) and underweighting (-39.7%) the
benchmark during the period.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Materials 79.99%
Industrials 20.01
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Royal Gold, Inc. 3.70%
Domtar Corp. 3.55
Dow Chemical (The) Co. 3.41
Westlake Chemical Corp. 3.36
Martin Marietta Materials, Inc. 3.33
Berry Plastics Group, Inc. 3.33
USG Corp. 3.29
Mosaic (The) Co. 3.25
Vulcan Materials Co. 3.25
CF Industries Holdings, Inc. 3.23
-------
Total 33.70%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Materials and Processing Index
because performance data does not exist for each of the entire periods using
solely the U.S. sector scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Materials Index is a registered trademark of the NYSE and has
been licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The First Trust Materials AlphaDEX(R) Fund is not
sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no
representation or warranty regarding the advisability of investing in the Fund
or as to the result to be obtained by any person from use of the StrataQuant(R)
Materials Index in connection with the trading of the Fund.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Materials Index Index Materials Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 10,085 10,104 9,674 9,956
1/31/08 10,310 10,362 9,261 10,271
7/31/08 11,037 11,128 8,647 10,387
1/31/09 5,255 5,323 5,646 5,394
7/31/09 7,814 7,950 6,903 7,499
1/31/10 9,265 9,468 7,611 7,890
7/31/10 10,371 10,617 7,904 8,450
1/31/11 12,736 13,090 9,387 10,544
7/31/11 12,769 13,180 9,539 10,572
1/31/12 12,616 13,091 9,757 10,586
7/31/12 12,159 12,665 10,298 10,021
1/31/13 14,771 15,454 11,419 11,369
7/31/13 15,248 16,011 12,998 11,899
1/31/14 17,100 18,026 13,957 13,120
7/31/14 17,952 18,987 15,216 14,650
1/31/15 16,665 17,673 15,878 14,420
7/31/15 17,168 18,274 16,926 14,029
1/31/16 14,697 15,690 15,591 12,042
7/31/16 19,481 20,876 17,745 15,207
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 119 0 0 0
8/1/12 - 7/31/13 162 0 0 0
8/1/13 - 7/31/14 200 1 0 0
8/1/14 - 7/31/15 163 0 0 0
8/1/15 - 7/31/16 147 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 134 0 0 0
8/1/12 - 7/31/13 87 1 0 0
8/1/13 - 7/31/14 49 2 0 0
8/1/14 - 7/31/15 89 0 0 0
8/1/15 - 7/31/16 104 0 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Technology Index (the
"Technology Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Technology Index. The shares of the
Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL."
The Technology Index is a modified equal-dollar weighted index designed by the
NYSE to objectively identify and select stocks from the Russell 1000(R) Index in
the technology sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) screening methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. The NYSE constructs the
Technology Index using the RGS sector scheme to determine a stock's sector
membership.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 0.42% 10.30% 6.45% 63.29% 78.12%
Market Price 0.39% 10.31% 6.46% 63.34% 78.17%
INDEX PERFORMANCE
StrataQuant(R) Technology Index 1.09% 11.12% 7.32% 69.39% 91.91%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Information Technology Index 9.77% 14.79% 9.31% 99.29% 127.33%
Russell 1000(R) Technology Index(1) 9.14% 13.67% NA 89.76% NA
-----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXL's one-year NAV return of 0.42% underperformed the benchmark S&P 500(R)
Information Technology Index return of 9.77% by -9.35%. The Fund saw the
majority of its positive return from the Electronic Equipment Instruments &
Components Industry and Semiconductors & Semiconductor Equipment industry, which
contributed 2.6% and 2.7%, respectively. NVIDIA Corp., held within the
Semiconductors & Semiconductor Equipment industry, stood out as the top
performing security in the Fund with a 190.3% return. The Communications
Equipment industry lagged with a return of -16.0% and -2.1% contribution. Within
this industry, Arista Networks, Inc. had a return of -33.5% and -0.8%
contribution to the Fund's return. On a relative basis, the Fund underperformed
the benchmark. The Software industry was the leading cause of the
underperformance. The Fund held this industry at an average weighting of 23.7%,
3% higher than the benchmark, and had a return 0.5%, 17.1% lower than the
benchmark. Microsoft Co.'s 10.1% lower weighting and -11.6% worse relative
return caused -1.3% of the underperformance. Several other securities within the
Software industry contributed to an additional -3.3% of drag. Apple, Inc., held
within the Technology Hardware Storage & Peripherals industry, reversed 3.7% of
relative underperformance from holding the -12.3% returning security at a 15.5%
lower weighting.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 99.16%
Health Care 0.44
Telecommunication Services 0.40
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
NVIDIA Corp. 2.40%
ON Semiconductor Corp. 2.25
Jabil Circuit, Inc. 2.18
Applied Materials, Inc. 2.17
Apple, Inc. 2.15
Arrow Electronics, Inc. 2.12
Cisco Systems, Inc. 2.10
Intel Corp. 2.10
Skyworks Solutions, Inc. 2.06
Avnet, Inc. 2.00
-------
Total 21.53%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Technology Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Technology Index is a registered trademark of the NYSE and
has been licensed for use by First Trust Portfolios L.P., which has sub-licensed
the Index for use by the Fund. The First Trust Technology AlphaDEX(R) Fund is
not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no
representation or warranty regarding the advisability of investing in the Fund
or as to the result to be obtained by any person from use of the StrataQuant(R)
Technology Index in connection with the trading of the Fund.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information
AlphaDEX(R) Fund Technology Index Index Technology Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 10,235 10,252 9,674 10,160
1/31/08 9,030 9,078 9,261 9,501
7/31/08 8,815 8,895 8,647 9,320
1/31/09 5,205 5,295 5,646 6,101
7/31/09 7,236 7,397 6,903 8,416
1/31/10 8,246 8,457 7,611 9,142
7/31/10 9,060 9,330 7,904 9,570
1/31/11 11,868 12,273 9,387 11,466
7/31/11 10,908 11,328 9,539 11,407
1/31/12 11,048 11,523 9,757 12,125
7/31/12 10,493 10,986 10,298 12,896
1/31/13 11,488 12,077 11,419 13,111
7/31/13 13,069 13,792 12,998 14,332
1/31/14 15,047 15,945 13,957 16,195
7/31/14 16,021 17,035 15,216 18,362
1/31/15 16,916 18,044 15,878 19,186
7/31/15 17,738 18,982 16,926 20,708
1/31/16 15,400 16,535 15,591 20,116
7/31/16 17,812 19,189 17,745 22,733
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 161 0 0 0
8/1/12 - 7/31/13 136 0 0 0
8/1/13 - 7/31/14 218 0 0 0
8/1/14 - 7/31/15 177 0 0 0
8/1/15 - 7/31/16 140 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 92 0 0 0
8/1/12 - 7/31/13 114 0 0 0
8/1/13 - 7/31/14 34 0 0 0
8/1/14 - 7/31/15 75 0 0 0
8/1/15 - 7/31/16 111 0 0 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Utilities Index (the
"Utilities Index"). The Fund will normally invest at least 90% of its net assets
in common stocks that comprise the Utilities Index. The shares of the Fund are
listed and trade on the NYSE Arca under the ticker symbol "FXU."
The Utilities Index is a modified equal-dollar weighted index designed by the
NYSE to objectively identify and select stocks from the Russell 1000(R) Index in
the utilities sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) screening methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. The NYSE constructs the
Utilities Index using the RGS sector scheme to determine a stock's sector
membership.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 22.66% 12.64% 6.76% 81.36% 82.86%
Market Price 22.61% 12.64% 6.75% 81.29% 82.77%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index 23.62% 13.62% 7.68% 89.38% 97.99%
Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45%
S&P 500(R) Utilities Index 23.10% 13.87% 6.47% 91.43% 78.42%
Russell 1000(R) Utilities Index(1) 24.67% 13.39% NA 87.46% NA
-----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXU's one-year NAV return of 22.66% underperformed the benchmark S&P 500(R)
Utilities Index return of 23.10% by -0.44%. Electric Utilities, with the
greatest allocation of 42.6%, was the top contributing industry with a 10.5%
contribution. The top performing industry, Gas Utilities, had a 48.8% return,
but only contributed 2.9% due to its lower allocation of 5.3% during the period.
The Independent Power & Renewable Electricity Producers industry, with an
allocation of 7.4% during the period, returned -25.5% and contributed -3.1% to
the Fund's return. On a relative basis, the Fund underperformed the benchmark.
The Independent Power & Renewable Electricity Producers industry accounted for
-3.6% of the underperformance due to having a 5.3% greater allocation and -8.9%
worse performance. Calpine Corp. accounted for -2.1% of the drag by the Fund
having a 3.4% greater allocation than the benchmark in the -24.9% returning
security. The Multi-Utilities industry reversed 1.8% of underperformance by
having a 6.5% higher return than the benchmark during the period. SCANA Corp.,
within this industry, was the cause of 0.5% relative outperformance due to the
Fund having a 2.5% greater allocation to the 41.8% returning security.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Utilities 63.33%
Telecommunication Services 36.67
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Sprint Corp. 4.45%
CenturyLink, Inc. 4.45
T-Mobile US, Inc. 4.40
Telephone and Data Systems, Inc. 4.36
AT&T, Inc. 4.11
FirstEnergy Corp. 4.11
Verizon Communications, Inc. 4.07
Public Service Enterprise Group, Inc. 4.05
Level 3 Communications, Inc. 4.03
Frontier Communications Corp. 3.46
-------
Total 41.49%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Utilities Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
The StrataQuant(R) Utilities Index is a registered trademark of the NYSE and has
been licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The First Trust Utilities AlphaDEX(R) Fund is not
sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no
representation or warranty regarding the advisability of investing in the Fund
or as to the result to be obtained by any person from use of the StrataQuant(R)
Utilities Index in connection with the trading of the Fund.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R)
AlphaDEX(R) Fund Utilities Index Index Utilities Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,185 9,205 9,674 9,034
1/31/08 8,789 8,856 9,261 9,588
7/31/08 8,506 8,601 8,647 9,394
1/31/09 6,660 6,760 5,646 7,262
7/31/09 7,440 7,593 6,903 7,463
1/31/10 8,033 8,229 7,611 7,777
7/31/10 8,616 8,863 7,904 8,170
1/31/11 9,597 9,912 9,387 8,727
7/31/11 10,083 10,456 9,539 9,322
1/31/12 10,008 10,420 9,757 9,970
7/31/12 10,753 11,245 10,298 11,120
1/31/13 11,197 11,750 11,419 10,990
7/31/13 12,464 13,196 12,998 12,011
1/31/14 12,818 13,628 13,957 12,220
7/31/14 14,094 15,046 15,216 13,123
1/31/15 15,906 17,032 15,878 15,666
7/31/15 14,907 16,015 16,926 14,497
1/31/16 15,062 16,242 15,591 15,276
7/31/16 18,283 19,798 17,745 17,843
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 157 0 0 0
8/1/12 - 7/31/13 141 0 0 0
8/1/13 - 7/31/14 193 0 0 0
8/1/14 - 7/31/15 136 0 0 0
8/1/15 - 7/31/16 173 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 96 0 0 0
8/1/12 - 7/31/13 109 0 0 0
8/1/13 - 7/31/14 59 0 0 0
8/1/14 - 7/31/15 116 0 0 0
8/1/15 - 7/31/16 78 0 0 0
Page 21
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average annual total returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative total
returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of each Fund did not trade in the
secondary market until after the Fund's inception, for the period May 8, 2007
(inception) to May 10, 2007 (the first day of secondary market trading) the NAV
of each Fund is used as a proxy for the secondary market trading price to
calculate market returns. NAV and market returns assume that all distributions
have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 22
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2016
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First
Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund,
First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R)
Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust
Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First
Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service fees, if any, and other
Fund expenses. This Example is intended to help you understand your ongoing
costs of investing in the Funds and to compare these costs with the ongoing
costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended July 31, 2016.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2016 JULY 31, 2016 PERIOD PERIOD (a)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
Actual $1,000.00 $1,123.40 0.61% $3.22
Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
Actual $1,000.00 $1,140.20 0.61% $3.25
Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
Actual $1,000.00 $1,132.80 0.62% $3.29
Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
Actual $1,000.00 $1,136.30 0.64% $3.40
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.64% $3.22
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
Actual $1,000.00 $1,147.90 0.62% $3.31
Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
Page 23
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2016
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2016 JULY 31, 2016 PERIOD PERIOD (a)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
Actual $1,000.00 $1,194.80 0.68% $3.71
Hypothetical (5% return before expenses) $1,000.00 $1,021.48 0.68% $3.42
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
Actual $1,000.00 $1,325.50 0.66% $3.82
Hypothetical (5% return before expenses) $1,000.00 $1,021.58 0.66% $3.32
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
Actual $1,000.00 $1,156.60 0.63% $3.38
Hypothetical (5% return before expenses) $1,000.00 $1,021.73 0.63% $3.17
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
Actual $1,000.00 $1,213.90 0.61% $3.36
Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07
(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (February 1,
2016 through July 31, 2016), multiplied by 182/366 (to reflect the
one-half year period).
Page 24
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AUTO COMPONENTS -- 5.8%
778,528 BorgWarner, Inc. $ 25,831,559
1,487,492 Gentex Corp. 26,283,984
537,387 Goodyear Tire & Rubber (The)
Co. 15,406,885
207,696 Johnson Controls, Inc. 9,537,401
225,856 Lear Corp. 25,623,363
---------------
102,683,192
---------------
AUTOMOBILES -- 4.0%
1,828,296 Ford Motor Co. 23,146,227
812,069 General Motors Co. 25,612,656
283,983 Thor Industries, Inc. 21,736,059
---------------
70,494,942
---------------
BUILDING PRODUCTS -- 1.1%
317,144 Fortune Brands Home &
Security, Inc. 20,065,701
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.1%
440,488 KAR Auction Services, Inc. 18,839,672
---------------
DISTRIBUTORS -- 2.8%
136,188 Genuine Parts Co. 13,923,861
289,988 LKQ Corp. (a) 9,972,687
244,420 Pool Corp. 24,999,278
---------------
48,895,826
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.3%
399,679 H&R Block, Inc. 9,508,363
163,169 Service Corp. International 4,523,045
230,964 ServiceMaster Global Holdings,
Inc. (a) 8,737,368
---------------
22,768,776
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.9%
1,128,415 Fitbit, Inc., Class A (a) (b) 15,414,149
---------------
FOOD & STAPLES RETAILING
-- 1.3%
58,530 Costco Wholesale Corp. 9,787,387
188,832 Wal-Mart Stores, Inc. 13,779,071
---------------
23,566,458
---------------
HOTELS, RESTAURANTS & LEISURE
-- 8.9%
132,024 Aramark 4,733,060
96,911 Brinker International, Inc. 4,568,385
415,973 Carnival Corp. 19,434,259
69,667 Darden Restaurants, Inc. 4,288,701
104,959 Domino's Pizza, Inc. 15,460,461
295,156 Extended Stay America, Inc. 4,179,409
408,031 Hilton Worldwide Holdings, Inc. 9,462,239
89,785 Hyatt Hotels Corp., Class A (a) 4,528,755
66,386 Marriott International, Inc.,
Class A (b) 4,759,876
194,984 MGM Resorts International (a) 4,675,716
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
346,116 Norwegian Cruise Line
Holdings Ltd. (a) $ 14,744,542
65,073 Panera Bread Co., Class A (a) 14,271,810
205,335 Royal Caribbean Cruises Ltd. 14,874,467
158,628 Six Flags Entertainment Corp. 8,945,033
99,748 Vail Resorts, Inc. 14,270,946
955,587 Wendy's (The) Co. 9,230,970
53,223 Yum! Brands, Inc. 4,759,201
---------------
157,187,830
---------------
HOUSEHOLD DURABLES -- 12.3%
375,630 CalAtlantic Group, Inc. 13,601,562
584,035 D.R. Horton, Inc. 19,203,071
433,422 Garmin Ltd. 23,547,817
255,999 Harman International
Industries, Inc. 21,155,757
269,801 Leggett & Platt, Inc. 14,183,439
398,815 Lennar Corp., Class A 18,664,542
72,671 Mohawk Industries, Inc. (a) 15,183,879
283,892 Newell Brands, Inc. 14,892,974
12,914 NVR, Inc. (a) 22,018,370
943,316 PulteGroup, Inc. 19,979,433
683,225 Toll Brothers, Inc. (a) 19,137,132
82,760 Whirlpool Corp. 15,919,714
---------------
217,487,690
---------------
INTERNET & CATALOG RETAIL
-- 2.5%
32,108 Amazon.com, Inc. (a) 24,363,872
41,519 Expedia, Inc. 4,843,191
543,509 Liberty Interactive Corp. QVC
Group, Class A (a) 14,571,476
---------------
43,778,539
---------------
INTERNET SOFTWARE & SERVICES
-- 0.6%
738,384 Pandora Media, Inc. (a) (b) 10,042,022
---------------
LEISURE PRODUCTS -- 2.6%
202,840 Brunswick Corp. 10,064,921
218,911 Hasbro, Inc. 17,782,140
141,017 Mattel, Inc. 4,707,147
288,892 Vista Outdoor, Inc. (a) 14,459,045
---------------
47,013,253
---------------
MEDIA -- 11.3%
26,947 Cable One, Inc. 14,116,994
81,044 CBS Corp., Class B 4,232,118
60,297 Charter Communications, Inc.,
Class A (a) 14,161,956
252,140 Cinemark Holdings, Inc. 9,480,464
282,023 Comcast Corp., Class A 18,966,047
728,703 Discovery Communications,
Inc., Class A (a) 18,283,158
84,206 DISH Network Corp.,
Class A (a) 4,498,285
397,956 Interpublic Group of Cos.
(The), Inc. 9,176,865
176,167 John Wiley & Sons, Inc.,
Class A 10,164,836
See Notes to Financial Statements Page 25
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
391,185 Live Nation Entertainment,
Inc. (a) $ 10,726,293
54,155 Omnicom Group, Inc. 4,456,415
834,192 Regal Entertainment Group,
Class A (b) 19,620,196
70,870 Scripps Networks Interactive,
Inc., Class A 4,681,672
1,117,088 Sirius XM Holdings, Inc. (a) 4,904,016
595,135 TEGNA, Inc. 13,033,457
187,514 Time Warner, Inc. 14,372,948
112,619 Tribune Media Co., Class A 4,172,534
443,355 Viacom, Inc., Class B 20,159,352
---------------
199,207,606
---------------
MULTILINE RETAIL -- 7.7%
379,237 Dillard's, Inc., Class A 25,666,760
244,501 Dollar General Corp. 23,164,025
243,860 Dollar Tree, Inc. (a) 23,481,279
606,072 Kohl's Corp. 25,206,535
547,029 Macy's, Inc. 19,600,049
263,318 Target Corp. 19,835,745
---------------
136,954,393
---------------
PROFESSIONAL SERVICES -- 0.2%
84,895 Nielsen Holdings PLC 4,572,445
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 1.3%
138,667 Lamar Advertising Co., Class A 9,409,943
570,509 Outfront Media, Inc. 13,275,744
---------------
22,685,687
---------------
ROAD & RAIL -- 1.1%
36,803 AMERCO 14,555,955
136,899 Avis Budget Group, Inc. (a) 5,028,300
---------------
19,584,255
---------------
SPECIALTY RETAIL -- 27.5%
27,296 Advance Auto Parts, Inc. 4,636,499
391,356 AutoNation, Inc. (a) 20,878,843
11,575 AutoZone, Inc. (a) 9,421,703
531,729 Bed Bath & Beyond, Inc. 23,901,218
751,050 Best Buy Co., Inc. 25,235,280
344,491 Burlington Stores, Inc. (a) 26,357,006
275,453 Cabela's, Inc. (a) 14,221,638
213,380 CST Brands, Inc. 9,542,354
408,031 Dick's Sporting Goods, Inc. 20,927,910
335,134 Foot Locker, Inc. 19,980,689
864,636 GameStop Corp., Class A 26,760,484
1,083,030 Gap (The), Inc. 27,931,344
34,564 Home Depot (The), Inc. 4,778,127
65,733 L Brands, Inc. 4,857,669
174,163 Lowe's Cos., Inc. 14,330,132
646,455 Michaels (The) Cos., Inc. (a) 17,040,554
309,901 Murphy USA, Inc. (a) 23,750,813
33,898 O'Reilly Automotive, Inc. (a) 9,851,776
730,521 Penske Automotive Group, Inc. 28,943,242
162,171 Ross Stores, Inc. 10,027,033
150,037 Sally Beauty Holdings, Inc. (a) 4,400,585
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
278,859 Signet Jewelers Ltd. $ 24,514,495
2,666,088 Staples, Inc. 24,767,957
303,200 Tiffany & Co. 19,562,464
119,043 TJX (The) Cos., Inc. 9,728,194
100,816 Tractor Supply Co. 9,239,786
94,334 Ulta Salon, Cosmetics &
Fragrance, Inc. (a) 24,640,984
835,696 Urban Outfitters, Inc. (a) 24,987,310
---------------
485,216,089
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 5.7%
86,344 Carter's, Inc. 8,742,330
225,651 Coach, Inc. 9,727,815
214,108 Kate Spade & Co. (a) 4,644,003
248,923 lululemon athletica, Inc. (a) 19,328,871
185,775 Michael Kors Holdings Ltd. (a) 9,608,283
243,887 PVH Corp. 24,647,220
205,158 Ralph Lauren Corp. 20,123,948
148,473 Skechers U.S.A., Inc.,
Class A (a) 3,566,321
---------------
100,388,791
---------------
TOTAL COMMON STOCKS -- 100.0% 1,766,847,316
(Cost $1,668,799,712) ---------------
MONEY MARKET FUNDS -- 1.1%
18,153,271 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class -
0.23% (c) (d) 18,153,271
675,809 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) 675,809
---------------
TOTAL MONEY MARKET FUNDS
-- 1.1% 18,829,080
(Cost $18,829,080) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.2%
$ 7,188,372 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$7,188,528. Collateralized
by U.S. Treasury Note,
interest rate of 0.875%, due
04/15/17. The value of the
collateral including accrued
interest is $7,351,112. (d) 7,188,372
Page 26 See Notes to Financial Statements
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS
(CONTINUED)
$ 14,891,405 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$14,891,777. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250% to
1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including accrued
interest is
$15,236,789. (d) $ 14,891,405
---------------
TOTAL REPURCHASE
AGREEMENTS -- 1.2% 22,079,777
(Cost $22,079,777) ---------------
TOTAL INVESTMENTS -- 102.3% 1,807,756,173
(Cost $1,709,708,569) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.3)% (40,854,316)
---------------
NET ASSETS -- 100.0% $ 1,766,901,857
===============
(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 $39,628,777 and the total value of the collateral held by
the Fund is $40,233,048.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $1,713,732,997. As of
July 31, 2016, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$155,764,081 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$61,740,905.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $1,766,847,316 $ -- $ --
Money Market Funds 18,829,080 -- --
Repurchase Agreements -- 22,079,777 --
------------------------------------------
Total Investments $1,785,676,396 $22,079,777 $ --
==========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 39,628,777
Non-cash Collateral(2) (39,628,777)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 22,079,777
Non-cash Collateral(4) (22,079,777)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 27
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
BEVERAGES -- 6.6%
508,557 Constellation Brands, Inc.,
Class A $ 83,723,739
435,246 Dr Pepper Snapple Group, Inc. 42,876,084
261,699 Monster Beverage Corp. (a) 42,036,710
---------------
168,636,533
---------------
FOOD & STAPLES RETAILING
-- 13.6%
639,614 Casey's General Stores, Inc. 85,414,053
219,644 CVS Health Corp. 20,365,392
571,593 Kroger (The) Co. 19,542,765
2,807,595 Rite Aid Corp. (a) 19,653,165
2,368,251 Sysco Corp. 122,651,719
505,079 Walgreens Boots Alliance, Inc. 40,027,511
1,313,486 Whole Foods Market, Inc. 40,035,053
---------------
347,689,658
---------------
FOOD PRODUCTS -- 57.1%
1,681,021 Archer-Daniels-Midland Co. 75,780,427
1,422,074 Bunge Ltd. 93,629,352
632,164 Campbell Soup Co. 39,364,852
439,841 ConAgra Foods, Inc. 20,566,965
2,243,080 Flowers Foods, Inc. 41,250,241
1,010,924 General Mills, Inc. 72,675,327
1,449,230 Hain Celestial Group (The),
Inc. (a) 76,504,852
741,171 Hershey (The) Co. 82,092,100
574,560 Hormel Foods Corp. 21,459,816
928,563 Ingredion, Inc. 123,721,734
137,977 J.M. Smucker (The) Co. 21,270,534
257,549 Kellogg Co. 21,301,878
950,675 Kraft Heinz (The) Co. 82,128,813
675,908 McCormick & Co., Inc. 69,111,593
2,640,409 Mondelez International, Inc.,
Class A 116,125,188
2,829,633 Pilgrim's Pride Corp. 65,788,967
1,453,202 Post Holdings, Inc. (a) 125,949,017
1,170,631 TreeHouse Foods, Inc. (a) 120,797,413
1,259,406 Tyson Foods, Inc., Class A 92,692,282
1,791,981 WhiteWave Foods (The) Co. (a) 99,437,026
---------------
1,461,648,377
---------------
HOUSEHOLD PRODUCTS -- 14.8%
700,738 Church & Dwight Co., Inc. 68,840,501
303,909 Clorox (The) Co. 39,833,353
2,333,754 Energizer Holdings, Inc. 120,258,343
152,958 Kimberly-Clark Corp. 19,815,709
1,007,166 Spectrum Brands Holdings, Inc. 129,692,766
---------------
378,440,672
---------------
PERSONAL PRODUCTS -- 1.9%
910,538 Nu Skin Enterprises, Inc.,
Class A (b) 48,622,729
---------------
TOBACCO -- 5.8%
1,045,521 Altria Group, Inc. 70,781,772
1,559,720 Reynolds American, Inc. 78,079,583
---------------
148,861,355
---------------
TOTAL COMMON STOCKS -- 99.8% 2,553,899,324
(Cost $2,296,599,377) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
RIGHTS -- 0.0%
FOOD & STAPLES RETAILING
-- 0.0%
5,790 Safeway Casa Ley, S.A.,
CVR (a) (c) $ 5,876
5,790 Safeway PDC, LLC,
CVR (a) (c) 283
---------------
TOTAL RIGHTS -- 0.0% 6,159
(Cost $6,008) ---------------
MONEY MARKET FUNDS -- 0.3%
2,092,713 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.23% (d) (e) 2,092,713
4,910,823 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (d) 4,910,823
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 7,003,536
(Cost $7,003,536) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.1%
$ 828,677 JPMorgan Chase & Co.,
0.26% (d), dated 07/29/16,
due 08/01/16, with a
maturity value of $828,695.
Collateralized by U.S.
Treasury Note, interest rate
of 0.875%, due 04/15/17. The
value of the collateral
including accrued interest
is $847,438. (e) 828,677
1,716,685 RBC Capital Markets LLC,
0.30% (d), dated 07/29/16,
due 08/01/16, with a
maturity value of
$1,716,727. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250% to
1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including accrued
interest is $1,756,501. (e) 1,716,685
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.1% 2,545,362
(Cost $2,545,362) ---------------
TOTAL INVESTMENTS -- 100.2% 2,563,454,381
(Cost $2,306,154,283) (f)
NET OTHER ASSETS AND
LIABILITIES -- (0.2)% (5,154,214)
---------------
NET ASSETS -- 100.0% $ 2,558,300,167
===============
Page 28 See Notes to Financial Statements
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
(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 $4,651,140 and the total value of the collateral held by the
Fund is $4,638,075.
(c) This investment 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 July 31, 2016, securities noted as such amounted to $6,159 or
0.0% of net assets.
(d) Interest rate shown reflects yield as of July 31, 2016.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for federal income tax purposes is $2,312,339,341. As of
July 31, 2016, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$278,358,117 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$27,243,077.
CVR - Contingent Value Rights
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $2,553,899,324 $ -- $ --
Rights* -- 6,159 --
Money Market Funds 7,003,536 -- --
Repurchase Agreements -- 2,545,362 --
------------------------------------------
Total Investments $2,560,902,860 $ 2,551,521 $ --
==========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 4,651,140
Non-cash Collateral(2) (4,638,075)
---------------
Net Amount $ 13,065
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2016, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 2,545,362
Non-cash Collateral(4) (2,545,362)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 29
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
ENERGY EQUIPMENT & SERVICES
-- 25.9%
200,402 Baker Hughes, Inc. $ 9,585,228
1,486,942 Diamond Offshore Drilling, Inc. 33,783,322
851,347 Dril-Quip, Inc. (a) 46,338,817
931,449 Ensco PLC, Class A 8,541,387
1,119,085 FMC Technologies, Inc. (a) 28,402,377
444,592 Helmerich & Payne, Inc. (b) 27,551,366
899,917 Nabors Industries Ltd. 8,099,253
268,774 National Oilwell Varco, Inc. 8,694,839
6,036,851 Noble Corp. PLC 44,551,961
1,211,557 Oceaneering International, Inc. 33,778,209
1,696,861 Patterson-UTI Energy, Inc. 32,902,135
2,048,541 Rowan Cos. PLC, Class A 31,219,765
114,368 Schlumberger Ltd. 9,208,911
4,183,631 Transocean Ltd. (b) 45,978,105
1,629,611 Weatherford International
PLC (a) 9,256,191
---------------
377,891,866
---------------
OIL, GAS & CONSUMABLE FUELS
-- 70.8%
1,914,699 Antero Resources Corp. (a) 50,145,967
324,924 Apache Corp. 17,058,510
702,751 Cabot Oil & Gas Corp. 17,336,867
2,113,163 Chesapeake Energy Corp. (a) 11,453,343
345,104 Chevron Corp. 35,366,258
151,585 Cimarex Energy Co. 18,193,232
684,552 ConocoPhillips 27,943,413
1,124,224 CONSOL Energy, Inc. 21,787,461
659,281 Continental Resources, Inc. (a) 29,041,328
498,987 Devon Energy Corp. 19,101,222
327,229 Diamondback Energy, Inc. (a) 28,727,434
216,840 EOG Resources, Inc. 17,715,828
233,627 EQT Corp. 17,022,063
318,385 Exxon Mobil Corp. 28,320,346
300,976 Hess Corp. 16,147,362
2,092,710 HollyFrontier Corp. 53,196,688
966,259 Kinder Morgan, Inc. 19,644,045
1,659,509 Kosmos Energy Ltd. (a) 9,210,275
2,410,203 Marathon Oil Corp. 32,875,169
1,310,428 Marathon Petroleum Corp. 51,617,759
1,139,074 Memorial Resource
Development Corp. (a) 17,063,329
675,549 Newfield Exploration Co. (a) 29,251,272
762,428 ONEOK, Inc. 34,149,150
1,336,936 Parsley Energy, Inc.,
Class A (a) 38,116,045
1,255,084 PBF Energy, Inc., Class A 28,038,577
626,954 Phillips 66 47,686,121
512,996 QEP Resources, Inc. 9,336,527
1,105,413 SM Energy Co. 29,989,855
1,437,877 Southwestern Energy Co. (a) 20,964,247
814,806 Spectra Energy Corp. 29,308,572
858,497 Targa Resources Corp. 31,987,598
663,956 Tesoro Corp. 50,560,249
975,369 Valero Energy Corp. 50,992,291
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
976,701 Whiting Petroleum Corp. (a) $ 7,198,286
418,148 Williams (The) Cos., Inc. 10,023,008
761,778 World Fuel Services Corp. 36,260,633
3,885,837 WPX Energy, Inc. (a) 38,819,512
---------------
1,031,649,842
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.3%
1,026,074 First Solar, Inc. (a) 47,897,134
---------------
TOTAL COMMON STOCKS
-- 100.0% 1,457,438,842
(Cost $1,465,330,063) ---------------
MONEY MARKET FUNDS -- 1.4%
20,846,570 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.23% (c) (d) 20,846,570
347,425 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) 347,425
---------------
TOTAL MONEY MARKET FUNDS
-- 1.4% 21,193,995
(Cost $21,193,995) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.7%
$ 8,254,871 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$8,255,049. Collateralized
by U.S. Treasury Note,
interest rate of 0.875%, due
04/15/17. The value of the
collateral including accrued
interest is $8,441,756. (d) 8,254,871
17,100,759 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$17,101,186. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250% to
1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including accrued
interest is $17,497,386. (d) 17,100,759
---------------
TOTAL REPURCHASE
AGREEMENTS -- 1.7% 25,355,630
(Cost $25,355,630) ---------------
Page 30 See Notes to Financial Statements
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 103.1% $ 1,503,988,467
(Cost $1,511,879,688) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.1)% (45,911,167)
---------------
NET ASSETS -- 100.0% $ 1,458,077,300
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $46,071,713 and the total value of the collateral held by
the Fund is $46,202,200.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $1,515,067,665. As of
July 31, 2016, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$76,281,228 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$87,360,426.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $1,457,438,842 $ -- $ --
Money Market Funds 21,193,995 -- --
Repurchase Agreements -- 25,355,630 --
------------------------------------------
Total Investments $1,478,632,837 $25,355,630 $ --
==========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 46,071,713
Non-cash Collateral(2) (46,071,713)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 25,355,630
Non-cash Collateral(4) (25,355,630)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 31
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
BANKS -- 19.0%
226,629 Associated Banc-Corp. $ 4,215,299
390,519 Bank of America Corp. 5,658,620
126,527 BankUnited, Inc. 3,798,341
109,145 BB&T Corp. 4,024,176
41,326 BOK Financial Corp. 2,695,695
203,002 CIT Group, Inc. 7,015,749
152,814 Citigroup, Inc. 6,694,781
194,522 Citizens Financial Group, Inc. 4,343,676
62,994 Comerica, Inc. 2,849,849
27,044 Commerce Bancshares, Inc. 1,278,911
40,656 Cullen/Frost Bankers, Inc. 2,760,136
113,707 East West Bancorp, Inc. 3,891,054
368,267 Fifth Third Bancorp 6,989,708
188,029 First Horizon National Corp. 2,737,702
399,047 First Niagara Financial Group,
Inc. 4,062,298
37,016 First Republic Bank 2,652,937
579,674 Huntington Bancshares, Inc. 5,506,903
83,402 JPMorgan Chase & Co. 5,335,226
351,737 KeyCorp 4,115,323
21,918 M&T Bank Corp. 2,510,926
97,697 PacWest Bancorp 4,039,771
176,739 People's United Financial, Inc. 2,679,363
63,670 PNC Financial Services Group
(The), Inc. 5,262,325
221,079 Popular, Inc. 7,448,151
608,958 Regions Financial Corp. 5,584,145
10,363 Signature Bank (a) 1,246,047
94,619 SunTrust Banks, Inc. 4,001,438
27,231 SVB Financial Group (a) 2,734,537
44,685 Synovus Financial Corp. 1,360,211
409,667 TCF Financial Corp. 5,567,375
64,246 U.S. Bancorp 2,709,254
82,121 Wells Fargo & Co. 3,939,344
39,684 Western Alliance Bancorp (a) 1,350,447
154,665 Zions Bancorporation 4,312,060
---------------
135,371,778
---------------
CAPITAL MARKETS -- 10.2%
27,606 Affiliated Managers Group,
Inc. (a) 4,052,009
28,836 Ameriprise Financial, Inc. 2,763,642
100,035 Bank of New York Mellon
(The) Corp. 3,941,379
3,790 BlackRock, Inc. 1,388,088
110,306 E*TRADE Financial Corp. (a) 2,766,475
45,021 Federated Investors, Inc.,
Class B 1,421,313
194,120 Franklin Resources, Inc. 7,025,203
26,165 Goldman Sachs Group (The),
Inc. 4,155,264
36,598 Interactive Brokers Group,
Inc., Class A 1,275,074
202,904 Invesco Ltd. 5,920,739
217,515 Lazard Ltd., Class A (b) 7,773,986
230,011 LPL Financial Holdings,
Inc. (c) 6,198,796
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
199,471 Morgan Stanley $ 5,730,802
19,555 Northern Trust Corp. 1,321,722
52,559 Raymond James Financial, Inc. 2,885,489
26,923 SEI Investments Co. 1,211,535
96,108 State Street Corp. 6,321,984
71,025 T. Rowe Price Group, Inc. 5,020,757
45,500 TD Ameritrade Holding Corp. 1,381,380
---------------
72,555,637
---------------
CONSUMER FINANCE -- 6.4%
379,486 Ally Financial, Inc. 6,845,927
42,650 American Express Co. 2,749,219
81,602 Capital One Financial Corp. 5,473,862
72,524 Discover Financial Services 4,122,264
433,658 Navient Corp. 6,157,944
113,554 OneMain Holdings, Inc. (a) 3,274,897
627,080 Santander Consumer USA
Holdings, Inc. (a) 6,891,609
628,908 SLM Corp. (a) 4,521,849
205,001 Synchrony Financial (a) 5,715,428
---------------
45,752,999
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 5.1%
44,736 Berkshire Hathaway, Inc.,
Class B (a) 6,454,063
19,446 CBOE Holdings, Inc. 1,337,885
13,293 CME Group, Inc. 1,359,076
8,019 FactSet Research Systems, Inc. 1,378,947
10,126 Intercontinental Exchange, Inc. 2,675,289
44,543 MarketAxess Holdings, Inc. 7,200,821
13,833 Moody's Corp. 1,466,436
33,597 MSCI, Inc. 2,890,686
60,097 Nasdaq, Inc. 4,252,464
24,156 S&P Global, Inc. 2,951,863
156,974 Voya Financial, Inc. 4,023,244
---------------
35,990,774
---------------
INSURANCE -- 24.0%
53,867 Aflac, Inc. 3,893,507
9,429 Alleghany Corp. (a) 5,124,661
37,039 Allstate (The) Corp. 2,530,875
35,055 American Financial Group, Inc. 2,562,520
48,991 American International Group,
Inc. 2,667,070
211,511 AmTrust Financial Services,
Inc. 5,048,768
23,725 Aon PLC 2,540,236
18,002 Arch Capital Group Ltd. (a) 1,307,485
136,082 Arthur J. Gallagher & Co. 6,693,874
139,662 Aspen Insurance Holdings Ltd. 6,418,866
30,019 Assurant, Inc. 2,491,877
255,327 Assured Guaranty Ltd. 6,840,210
94,217 Axis Capital Holdings Ltd. 5,236,581
103,724 Brown & Brown, Inc. 3,802,522
9,908 Chubb Ltd. 1,241,076
34,593 Cincinnati Financial Corp. 2,584,097
77,158 Endurance Specialty Holdings
Ltd. 5,218,196
Page 32 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
35,464 Everest Re Group Ltd. $ 6,703,051
128,853 First American Financial Corp. 5,387,344
103,638 FNF Group 3,904,043
61,237 Hanover Insurance Group
(The), Inc. 5,042,255
87,585 Hartford Financial Services
Group (The), Inc. 3,490,262
133,658 Lincoln National Corp. 5,836,845
1,365 Markel Corp. (a) 1,295,044
75,702 Marsh & McLennan Cos., Inc. 4,977,406
130,100 MetLife, Inc. 5,560,474
268,653 Old Republic International
Corp. 5,206,495
94,547 Principal Financial Group, Inc. 4,408,727
24,193 ProAssurance Corp. 1,249,810
116,013 Progressive (The) Corp. 3,771,583
90,800 Prudential Financial, Inc. 6,836,332
26,720 Reinsurance Group of America,
Inc. 2,651,960
33,097 RenaissanceRe Holdings Ltd. 3,889,559
41,914 Torchmark Corp. 2,593,219
54,421 Travelers (The) Cos., Inc. 6,324,809
203,774 Unum Group 6,808,089
133,314 Validus Holdings Ltd. 6,589,711
64,863 W. R. Berkley Corp. 3,774,378
1,532 White Mountains Insurance
Group Ltd. 1,258,262
194,462 XL Group Ltd. 6,730,330
---------------
170,492,409
---------------
IT SERVICES -- 6.5%
99,359 Broadridge Financial Solutions,
Inc. 6,724,617
134,677 CoreLogic, Inc. (a) 5,424,790
18,720 Euronet Worldwide, Inc. (a) 1,427,587
87,918 Fidelity National Information
Services, Inc. 6,992,118
35,738 Fiserv, Inc. (a) 3,944,046
72,601 Global Payments, Inc. 5,420,391
44,545 Jack Henry & Associates, Inc. 3,975,641
97,582 Total System Services, Inc. 4,968,875
114,448 Vantiv, Inc., Class A (a) 6,268,317
67,555 Western Union (The) Co. 1,351,100
---------------
46,497,482
---------------
MEDIA -- 0.6%
96,156 Thomson Reuters Corp. 4,049,129
---------------
PROFESSIONAL SERVICES -- 2.6%
42,534 Dun & Bradstreet (The) Corp. 5,497,520
50,442 Equifax, Inc. 6,681,547
193,719 TransUnion (a) 6,338,486
---------------
18,517,553
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 23.0%
50,057 Alexandria Real Estate
Equities, Inc. 5,621,401
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
45,620 American Tower Corp. $ 5,281,427
68,871 Apple Hospitality REIT, Inc. 1,402,902
7,185 AvalonBay Communities, Inc. 1,333,895
9,816 Boston Properties, Inc. 1,395,148
247,550 Chimera Investment Corp. 4,153,889
87,617 Corporate Office Properties
Trust 2,625,005
110,986 Corrections Corp. of America 3,557,101
38,318 Crown Castle International
Corp. 3,717,996
41,956 CubeSmart 1,246,513
116,385 CyrusOne, Inc. 6,380,226
59,430 Digital Realty Trust, Inc. 6,208,058
136,451 Empire State Realty Trust,
Inc., Class A 2,864,107
16,062 EPR Properties 1,349,529
16,713 Equinix, Inc. 6,231,776
44,481 Equity Commonwealth (a) 1,335,320
64,732 Equity LifeStyle Properties,
Inc. 5,323,560
94,051 Equity Residential 6,394,527
28,008 Extra Space Storage, Inc. 2,409,248
23,473 Federal Realty Investment Trust 3,983,368
290,355 Forest City Realty Trust, Inc.,
Class A 6,866,896
75,155 Gaming and Leisure Properties,
Inc. 2,692,804
160,235 Healthcare Trust of America,
Inc., Class A 5,456,002
44,989 Hospitality Properties Trust 1,435,599
159,845 Host Hotels & Resorts, Inc. 2,835,650
162,629 Iron Mountain, Inc. 6,701,941
58,638 Kilroy Realty Corp. 4,292,888
82,571 Kimco Realty Corp. 2,650,529
32,622 Liberty Property Trust 1,349,898
45,519 Macerich (The) Co. 4,062,116
891,031 MFA Financial, Inc. 6,700,553
12,170 Mid-America Apartment
Communities, Inc. 1,290,263
38,155 Omega Healthcare Investors,
Inc. 1,316,348
120,291 Piedmont Office Realty Trust,
Inc., Class A 2,639,185
5,061 Public Storage 1,209,174
61,890 Regency Centers Corp. 5,256,318
76,659 Retail Properties of America,
Inc., Class A 1,351,498
310,984 Senior Housing Properties Trust 6,906,955
11,951 Simon Property Group, Inc. 2,713,355
125,053 Starwood Property Trust, Inc. 2,726,155
128,968 Tanger Factory Outlet Centers,
Inc. 5,383,124
605,400 Two Harbors Investment Corp. 5,297,250
88,952 Ventas, Inc. 6,774,584
31,735 Weingarten Realty Investors 1,370,635
43,515 Weyerhaeuser Co. 1,423,811
---------------
163,518,527
---------------
See Notes to Financial Statements Page 33
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 2.4%
56,664 Howard Hughes (The) Corp. (a) $ 6,769,081
66,467 Jones Lang LaSalle, Inc. 7,276,143
89,293 Realogy Holdings Corp. (a) 2,767,190
---------------
16,812,414
---------------
TOTAL COMMON STOCKS -- 99.8% 709,558,702
(Cost $700,887,495) ---------------
MONEY MARKET FUNDS -- 0.4%
1,635,566 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.23% (d) (e) 1,635,566
1,045,018 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (d) 1,045,018
---------------
TOTAL MONEY MARKET FUNDS
-- 0.4% 2,680,584
(Cost $2,680,584) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.3%
$ 647,655 JPMorgan Chase & Co.,
0.26% (d), dated 07/29/16,
due 08/01/16, with a
maturity value of $647,669.
Collateralized by U.S.
Treasury Note, interest rate
of 0.875%, due 04/15/17. The
value of the collateral
including accrued interest
is $662,317. (e) 647,655
1,341,679 RBC Capital Markets LLC,
0.30% (d), dated 07/29/16,
due 08/01/16, with a
maturity value of
$1,341,713. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250% to
1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including accrued
interest is $1,372,798. (e) 1,341,679
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.3% 1,989,334
(Cost $1,989,334) ---------------
TOTAL INVESTMENTS -- 100.5% 714,228,620
(Cost $705,557,413) (f)
NET OTHER ASSETS AND
LIABILITIES -- (0.5)% (3,536,271)
---------------
NET ASSETS -- 100.0% $ 710,692,349
===============
(a) Non-income producing security.
(b) Master Limited Partnership ("MLP").
(c) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $3,786,475 and the total value of the collateral held by the
Fund is $3,624,900.
(d) Interest rate shown reflects yield as of July 31, 2016.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for federal income tax purposes is $707,044,298. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $46,894,589 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $39,710,267.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $ 709,558,702 $ -- $ --
Money Market Funds 2,680,584 -- --
Repurchase Agreements -- 1,989,334 --
------------------------------------------
Total Investments $ 712,239,286 $ 1,989,334 $ --
==========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
Page 34 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 3,786,475
Non-cash Collateral(2) (3,624,900)
---------------
Net Amount $ 161,575
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2016, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 1,989,334
Non-cash Collateral(4) (1,989,334)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 35
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 5.6%
157,551 AbbVie, Inc. $ 10,434,603
323,511 Medivation, Inc. (a) 20,701,469
113,145 Seattle Genetics, Inc. (a) 5,437,748
230,217 United Therapeutics Corp. (a) 27,858,559
---------------
64,432,379
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 34.6%
248,126 Abbott Laboratories 11,103,639
223,118 ABIOMED, Inc. (a) 26,321,230
242,181 Align Technology, Inc. (a) 21,590,436
539,238 Baxter International, Inc. 25,894,209
143,788 Becton, Dickinson and Co. 25,306,688
1,043,410 Boston Scientific Corp. (a) 25,333,995
82,957 C. R. Bard, Inc. 18,559,970
85,273 Cooper (The) Cos., Inc. 15,559,764
73,692 DENTSPLY SIRONA, Inc. 4,719,236
122,949 DexCom, Inc. (a) 11,339,586
244,501 Edwards Lifesciences Corp. (a) 28,000,255
193,338 Hill-Rom Holdings, Inc. 10,330,049
262,594 IDEXX Laboratories, Inc. (a) 24,628,691
29,494 Intuitive Surgical, Inc. (a) 20,520,745
52,694 Medtronic PLC 4,617,575
231,390 ResMed, Inc. 15,938,143
187,572 St. Jude Medical, Inc. 15,575,979
162,797 Stryker Corp. 18,930,035
110,019 Teleflex, Inc. 19,837,526
55,602 Varian Medical Systems,
Inc. (a) 5,267,734
257,086 West Pharmaceutical Services,
Inc. 20,638,864
202,563 Zimmer Biomet Holdings, Inc. 26,564,112
---------------
396,578,461
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 37.2%
82,530 Acadia Healthcare Co., Inc. (a) 4,662,945
159,730 Aetna, Inc. 18,402,493
57,637 AmerisourceBergen Corp. 4,910,096
251,584 AmSurg Corp. (a) 18,871,316
111,393 Anthem, Inc. 14,630,357
631,719 Brookdale Senior Living,
Inc. (a) 11,667,850
125,034 Cardinal Health, Inc. 10,452,842
341,662 Centene Corp. (a) 24,104,254
76,209 Cigna Corp. 9,827,913
189,224 DaVita HealthCare Partners,
Inc. (a) 14,672,429
576,692 Envision Healthcare Holdings,
Inc. (a) 14,180,856
193,020 Express Scripts Holding Co. (a) 14,683,031
189,986 HCA Holdings, Inc. (a) 14,653,620
110,336 Henry Schein, Inc. (a) 19,968,609
54,227 Humana, Inc. 9,356,869
187,182 Laboratory Corp. of America
Holdings (a) 26,123,120
373,022 LifePoint Health, Inc. (a) 22,075,442
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
78,387 McKesson Corp. $ 15,250,975
201,994 MEDNAX, Inc. (a) 13,919,406
407,342 Patterson Cos., Inc. 20,106,401
139,818 Premier, Inc., Class A (a) 4,572,049
239,624 Quest Diagnostics, Inc. 20,693,929
165,419 Tenet Healthcare Corp. (a) 5,063,476
172,694 UnitedHealth Group, Inc. 24,729,781
145,470 Universal Health Services,
Inc., Class B 18,842,729
360,663 VCA, Inc. (a) 25,729,698
227,300 WellCare Health Plans, Inc. (a) 24,275,640
---------------
426,428,126
---------------
HEALTH CARE TECHNOLOGY -- 4.1%
360,008 Allscripts Healthcare
Solutions, Inc. (a) 5,083,313
33,127 athenahealth, Inc. (a) 4,233,300
166,449 Cerner Corp. (a) 10,384,753
714,667 Veeva Systems, Inc.,
Class A (a) 27,150,199
---------------
46,851,565
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 9.6%
219,881 Agilent Technologies, Inc. 10,578,475
68,197 Bio-Rad Laboratories, Inc.,
Class A (a) 9,894,703
172,984 Bio-Techne Corp. 19,446,861
177,469 Charles River Laboratories
International, Inc. (a) 15,604,849
186,068 PerkinElmer, Inc. 10,590,991
447,216 QIAGEN N.V. (a) 11,985,389
69,993 Quintiles Transnational
Holdings, Inc. (a) 5,434,256
66,011 Thermo Fisher Scientific, Inc. 10,485,187
506,253 VWR Corp. (a) 15,855,844
---------------
109,876,555
---------------
PHARMACEUTICALS -- 8.9%
160,511 Akorn, Inc. (a) 5,494,292
132,611 Bristol-Myers Squibb Co. 9,920,629
58,055 Eli Lilly and Co. 4,812,179
293,272 Endo International PLC (a) 5,091,202
120,618 Johnson & Johnson 15,104,992
320,957 Mallinckrodt PLC (a) 21,613,244
79,361 Merck & Co., Inc. 4,655,316
338,360 Mylan N.V. (a) 15,831,865
415,526 Pfizer, Inc. 15,328,754
96,337 Zoetis, Inc. 4,862,128
---------------
102,714,601
---------------
TOTAL COMMON STOCKS -- 100.0% 1,146,881,687
(Cost $1,047,707,021) ---------------
Page 36 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.1%
1,706,929 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (b) $ 1,706,929
(Cost $1,706,929) ---------------
TOTAL INVESTMENTS -- 100.1% 1,148,588,616
(Cost $1,049,413,950) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (696,098)
---------------
NET ASSETS -- 100.0% $ 1,147,892,518
===============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2016.
(c) Aggregate cost for federal income tax purposes is $1,051,363,181. As of
July 31, 2016, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$121,262,959 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$24,037,524.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $1,146,881,687 $ -- $ --
Money Market Funds 1,706,929 -- --
------------------------------------------
Total Investments $1,148,588,616 $ -- $ --
==========================================
* See Portfolio of In vestments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Financial Statements Page 37
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.1%
AEROSPACE & DEFENSE -- 14.7%
4,068 Boeing (The) Co. $ 543,729
29,541 BWX Technologies, Inc. 1,087,404
7,589 General Dynamics Corp. 1,114,748
31,633 HEICO Corp. 2,198,810
4,544 Honeywell International, Inc. 528,604
16,595 Huntington Ingalls Industries,
Inc. 2,863,965
11,238 Lockheed Martin Corp. 2,840,180
9,510 Northrop Grumman Corp. 2,060,151
20,515 Raytheon Co. 2,862,458
64,850 Spirit AeroSystems Holdings,
Inc., Class A (a) 2,813,193
57,807 Textron, Inc. 2,254,473
8,014 TransDigm Group, Inc. (a) 2,240,073
---------------
23,407,788
---------------
AIR FREIGHT & LOGISTICS -- 2.0%
22,534 C.H. Robinson Worldwide, Inc. 1,568,817
10,774 Expeditors International of
Washington, Inc. 532,559
9,811 United Parcel Service, Inc.,
Class B 1,060,569
---------------
3,161,945
---------------
AIRLINES -- 11.7%
47,841 Alaska Air Group, Inc. 3,215,872
98,506 American Airlines Group, Inc. 3,496,963
76,548 Delta Air Lines, Inc. 2,966,235
168,396 JetBlue Airways Corp. (a) 3,086,699
62,150 Spirit Airlines, Inc. (a) 2,656,912
67,948 United Continental Holdings,
Inc. (a) 3,186,082
---------------
18,608,763
---------------
BUILDING PRODUCTS -- 1.8%
23,987 A.O. Smith Corp. 2,228,153
7,611 Allegion PLC 550,960
---------------
2,779,113
---------------
COMMERCIAL SERVICES &
SUPPLIES -- 8.4%
17,051 Cintas Corp. 1,829,061
20,281 Clean Harbors, Inc. (a) 1,042,849
56,901 Copart, Inc. (a) 2,870,087
62,455 R.R. Donnelley & Sons Co. 1,119,194
32,612 Republic Services, Inc. 1,671,691
18,052 Rollins, Inc. 508,705
49,613 Tyco International PLC 2,260,864
31,892 Waste Management, Inc. 2,108,699
---------------
13,411,150
---------------
CONSTRUCTION & ENGINEERING
-- 4.8%
33,265 AECOM (a) 1,180,575
33,951 Fluor Corp. 1,817,058
10,610 Jacobs Engineering Group,
Inc. (a) 567,847
210,622 KBR, Inc. 2,952,920
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSTRUCTION & ENGINEERING
(CONTINUED)
45,705 Quanta Services, Inc. (a) $ 1,170,048
---------------
7,688,448
---------------
CONTAINERS & PACKAGING -- 1.1%
22,386 Avery Dennison Corp. 1,743,646
---------------
ELECTRICAL EQUIPMENT -- 4.9%
22,858 AMETEK, Inc. 1,075,012
35,383 Eaton Corp. PLC 2,243,636
20,261 Emerson Electric Co. 1,132,590
5,007 Hubbell, Inc. 539,905
38,392 Regal Beloit Corp. 2,342,296
4,601 Rockwell Automation, Inc. 526,354
---------------
7,859,793
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.5%
34,146 FLIR Systems, Inc. 1,112,477
95,865 Keysight Technologies, Inc. (a) 2,803,092
---------------
3,915,569
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 1.1%
21,910 Danaher Corp. 1,784,350
---------------
INDUSTRIAL CONGLOMERATES
-- 1.6%
3,019 3M Co. 538,469
19,998 Carlisle Cos., Inc. 2,065,593
---------------
2,604,062
---------------
INTERNET SOFTWARE & SERVICES
-- 0.6%
4,833 CoStar Group, Inc. (a) 1,004,781
---------------
IT SERVICES -- 4.2%
4,666 Accenture PLC, Class A 526,372
5,753 Automatic Data Processing, Inc. 511,729
17,827 Booz Allen Hamilton Holding
Corp. 550,498
39,372 Genpact Ltd. (a) 1,053,988
28,119 Paychex, Inc. 1,666,894
222,707 Xerox Corp. 2,293,882
---------------
6,603,363
---------------
MACHINERY -- 20.3%
44,842 AGCO Corp. 2,159,591
6,971 Caterpillar, Inc. 576,920
63,234 Colfax Corp. (a) 1,856,550
29,500 Crane Co. 1,837,850
18,796 Cummins, Inc. 2,307,585
6,521 Deere & Co. 506,747
15,377 Donaldson Co., Inc. 555,571
15,242 Dover Corp. 1,088,736
11,699 Flowserve Corp. 559,797
6,437 IDEX Corp. 577,978
87,198 ITT, Inc. 2,765,049
9,171 Middleby (The) Corp. (a) 1,104,005
20,012 Nordson Corp. 1,766,860
Page 38 See Notes to Financial Statements
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
35,069 Oshkosh Corp. $ 1,931,951
10,185 PACCAR, Inc. 600,610
9,780 Parker-Hannifin Corp. 1,116,778
6,695 Snap-on, Inc. 1,052,253
9,503 Stanley Black & Decker, Inc. 1,156,515
52,031 Terex Corp. 1,256,028
23,962 Toro (The) Co. 2,203,306
150,170 Trinity Industries, Inc. 3,485,446
37,472 Xylem, Inc. 1,791,536
---------------
32,257,662
---------------
MARINE -- 1.5%
44,699 Kirby Corp. (a) 2,435,648
---------------
PROFESSIONAL SERVICES -- 1.8%
32,847 ManpowerGroup, Inc. 2,279,582
6,518 Verisk Analytics, Inc. (a) 555,855
---------------
2,835,437
---------------
ROAD & RAIL -- 10.3%
81,038 CSX Corp. 2,295,806
35,852 Genesee & Wyoming, Inc.,
Class A (a) 2,321,417
18,572 Kansas City Southern 1,784,955
24,367 Landstar System, Inc. 1,717,630
19,653 Norfolk Southern Corp. 1,764,446
35,042 Old Dominion Freight Line,
Inc. (a) 2,441,026
34,570 Ryder System, Inc. 2,278,163
19,179 Union Pacific Corp. 1,784,606
---------------
16,388,049
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 6.8%
104,130 Air Lease Corp. 2,999,985
48,052 HD Supply Holdings, Inc. (a) 1,739,002
14,977 MSC Industrial Direct Co.,
Inc., Class A 1,075,798
24,934 United Rentals, Inc. (a) 1,986,492
54,161 WESCO International, Inc. (a) 3,018,934
---------------
10,820,211
---------------
TOTAL INVESTMENTS -- 100.1% 159,309,778
(Cost $161,903,113) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (141,227)
---------------
NET ASSETS -- 100.0% $ 159,168,551
===============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $162,224,678. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $9,391,918 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $12,306,818.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $ 159,309,778 $ -- $ --
==========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Financial Statements Page 39
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
BUILDING PRODUCTS -- 8.9%
44,343 Lennox International, Inc. $ 6,952,982
102,183 Masco Corp. 3,727,636
61,363 Owens Corning 3,246,716
293,161 USG Corp. (a) 8,255,414
---------------
22,182,748
---------------
CHEMICALS -- 36.7%
22,255 Air Products and Chemicals,
Inc. 3,325,342
59,797 Albemarle Corp. 5,033,113
13,771 Ashland, Inc. 1,559,428
24,149 Celanese Corp., Series A 1,531,530
327,956 CF Industries Holdings, Inc. 8,093,954
158,998 Dow Chemical (The) Co. 8,533,423
93,124 Eastman Chemical Co. 6,074,479
136,536 FMC Corp. 6,490,921
352,586 Huntsman Corp. 5,450,980
12,540 International Flavors &
Fragrances, Inc. 1,670,955
84,965 LyondellBasell Industries N.V.,
Class A 6,394,466
301,903 Mosaic (The) Co. 8,151,381
3,814 NewMarket Corp. 1,632,163
14,063 Praxair, Inc. 1,638,902
94,939 RPM International, Inc. 5,151,390
67,835 Scotts Miracle-Gro (The) Co.,
Class A 5,002,831
10,767 Sherwin-Williams (The) Co. 3,227,193
43,900 Valspar (The) Corp. 4,674,033
184,150 Westlake Chemical Corp. 8,423,021
---------------
92,059,505
---------------
CONSTRUCTION & ENGINEERING
-- 1.8%
35,057 Valmont Industries, Inc. 4,590,714
---------------
CONSTRUCTION MATERIALS -- 9.3%
81,955 Eagle Materials, Inc. 6,880,122
41,166 Martin Marietta Materials, Inc. 8,342,290
65,670 Vulcan Materials Co. 8,141,767
---------------
23,364,179
---------------
CONTAINERS & PACKAGING
-- 16.7%
39,956 AptarGroup, Inc. 3,123,760
61,402 Bemis Co., Inc. 3,133,958
203,436 Berry Plastics Group, Inc. (a) 8,340,876
31,199 Crown Holdings, Inc. (a) 1,652,611
378,171 Graphic Packaging Holding Co. 5,158,252
74,600 International Paper Co. 3,417,426
175,540 Owens-Illinois, Inc. (a) 3,298,397
70,852 Packaging Corp. of America 5,291,936
63,663 Sonoco Products Co. 3,242,357
122,006 WestRock Co. 5,235,277
---------------
41,894,850
---------------
ELECTRICAL EQUIPMENT -- 2.7%
25,503 Acuity Brands, Inc. 6,692,752
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY -- 4.1%
49,647 Ingersoll-Rand PLC $ 3,289,610
206,234 Timken (The) Co. 6,898,528
---------------
10,188,138
---------------
METALS & MINING -- 13.7%
170,524 Alcoa, Inc. 1,810,965
63,921 Compass Minerals International,
Inc. 4,448,262
141,900 Freeport-McMoRan, Inc. 1,839,024
40,410 Newmont Mining Corp. 1,778,040
31,992 Nucor Corp. 1,716,051
82,223 Reliance Steel & Aluminum Co. 6,449,572
109,747 Royal Gold, Inc. 9,278,011
258,085 Steel Dynamics, Inc. 6,921,840
---------------
34,241,765
---------------
PAPER & FOREST PRODUCTS -- 3.5%
225,756 Domtar Corp. 8,888,014
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 2.6%
44,944 Watsco, Inc. 6,473,734
---------------
TOTAL COMMON STOCKS -- 100.0% 250,576,399
(Cost $237,443,597)
MONEY MARKET FUNDS -- 0.0%
81,483 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (b) 81,483
(Cost $81,483) ---------------
TOTAL INVESTMENTS -- 100.0% 250,657,882
(Cost $237,525,080) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (99,910)
---------------
NET ASSETS -- 100.0% $ 250,557,972
===============
(a) Non-income producing security.
(b) Interest rate shown reflects yield as of July 31, 2016.
(c) Aggregate cost for federal income tax purposes is $237,852,443. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $17,994,793 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $5,189,354.
Page 40 See Notes to Financial Statements
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $ 250,576,399 $ -- $ --
Money Market Funds 81,483 -- --
------------------------------------------
Total Investments $ 250,657,882 $ -- $ --
==========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Financial Statements Page 41
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
COMMUNICATIONS EQUIPMENT
-- 9.8%
87,235 ARRIS International PLC (a) $ 2,376,281
1,058,116 Brocade Communications
Systems, Inc. 9,840,479
338,568 Cisco Systems, Inc. 10,336,481
313,036 CommScope Holding Co.,
Inc. (a) 9,375,428
51,197 F5 Networks, Inc. (a) 6,318,734
431,903 Juniper Networks, Inc. 9,799,879
---------------
48,047,282
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.4%
16,939 SBA Communications Corp.,
Class A (a) 1,947,985
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 15.8%
31,893 Amphenol Corp., Class A 1,898,271
156,923 Arrow Electronics, Inc. (a) 10,433,810
239,780 Avnet, Inc. 9,854,958
193,883 CDW Corp. 8,323,397
90,148 Cognex Corp. 4,071,985
284,576 Corning, Inc. 6,323,279
121,799 Dolby Laboratories, Inc.,
Class A 6,127,708
72,705 FEI Co. 7,737,266
111,714 Ingram Micro, Inc., Class A 3,825,087
97,136 IPG Photonics Corp. (a) 8,187,594
525,908 Jabil Circuit, Inc. 10,702,228
---------------
77,485,583
---------------
HEALTH CARE TECHNOLOGY -- 0.4%
72,097 IMS Health Holdings, Inc. (a) 2,164,352
---------------
INTERNET SOFTWARE & SERVICES
-- 7.2%
104,205 Akamai Technologies, Inc. (a) 5,265,479
2,599 Alphabet, Inc., Class A (a) 2,056,693
50,998 Facebook, Inc., Class A (a) 6,320,692
186,859 GoDaddy, Inc., Class A (a) 5,590,821
69,011 IAC/InterActiveCorp 3,999,878
20,530 LinkedIn Corp., Class A (a) 3,956,747
21,148 VeriSign, Inc. (a) 1,831,628
191,973 Yelp, Inc. (a) 6,175,771
---------------
35,197,709
---------------
IT SERVICES -- 8.5%
134,630 Amdocs Ltd. 7,857,007
31,944 Cognizant Technology Solutions
Corp., Class A (a) 1,836,461
36,825 Computer Sciences Corp. 1,761,340
33,372 DST Systems, Inc. 4,115,769
79,774 Gartner, Inc. (a) 7,997,343
51,204 International Business Machines
Corp. 8,224,386
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES (CONTINUED)
162,333 Leidos Holdings, Inc. (b) $ 8,118,273
68,250 Sabre Corp. 1,989,488
---------------
41,900,067
---------------
SEMICONDUCTORS &
SEMICONDUCTOR
EQUIPMENT -- 26.4%
68,599 Analog Devices, Inc. 4,378,674
405,242 Applied Materials, Inc. 10,653,812
37,504 Broadcom Ltd. 6,074,898
296,144 Intel Corp. 10,323,580
53,043 KLA-Tencor Corp. 4,015,886
92,443 Lam Research Corp. 8,298,608
83,503 Linear Technology Corp. 5,009,345
36,020 Microchip Technology, Inc. 2,004,153
705,924 Micron Technology, Inc. (a) 9,699,396
206,628 NVIDIA Corp. 11,798,459
1,101,305 ON Semiconductor Corp. (a) 11,046,089
105,467 Qorvo, Inc. (a) 6,668,678
145,059 QUALCOMM, Inc. 9,077,792
153,501 Skyworks Solutions, Inc. 10,134,136
493,322 Teradyne, Inc. 9,743,109
93,026 Texas Instruments, Inc. 6,488,564
84,227 Xilinx, Inc. 4,302,315
---------------
129,717,494
---------------
SOFTWARE -- 23.5%
196,084 Activision Blizzard, Inc. 7,874,733
40,561 Adobe Systems, Inc. (a) 3,969,299
20,149 ANSYS, Inc. (a) 1,800,515
236,698 CA, Inc. 8,201,586
319,786 Cadence Design Systems,
Inc. (a) 7,690,853
105,031 CDK Global, Inc. 6,069,742
48,513 Citrix Systems, Inc. (a) 4,323,964
76,928 Electronic Arts, Inc. (a) 5,871,145
57,880 Fortinet, Inc. (a) 2,007,857
94,367 Guidewire Software, Inc. (a) 5,800,739
69,624 Intuit, Inc. 7,727,568
60,586 Manhattan Associates, Inc. (a) 3,517,017
25,116 NetSuite, Inc. (a) 2,733,877
142,391 Oracle Corp. 5,843,727
48,656 PTC, Inc. (a) 1,933,103
73,393 salesforce.com, Inc. (a) 6,003,547
27,535 ServiceNow, Inc. (a) 2,062,922
33,746 Splunk, Inc. (a) 2,110,475
143,692 Synopsys, Inc. (a) 7,782,359
46,613 Tyler Technologies, Inc. (a) 7,598,851
36,953 Ultimate Software Group (The),
Inc. (a) 7,726,872
67,902 VMware, Inc., Class A (a) (b) 4,955,488
24,486 Workday, Inc., Class A (a) 2,040,663
---------------
115,646,902
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 8.0%
101,606 Apple, Inc. 10,588,361
214,506 EMC Corp. 6,066,230
309,595 HP, Inc. 4,337,426
Page 42 See Notes to Financial Statements
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS (CONTINUED)
139,914 NCR Corp. (a) $ 4,612,964
158,008 NetApp, Inc. 4,163,511
205,533 Western Digital Corp. 9,764,873
---------------
39,533,365
---------------
TOTAL COMMON STOCKS -- 100.0% 491,640,739
(Cost $471,381,977) ---------------
MONEY MARKET FUNDS -- 1.0%
4,528,501 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.23% (c) (d) 4,528,501
190,632 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) 190,632
---------------
TOTAL MONEY MARKET FUNDS
-- 1.0% 4,719,133
(Cost $4,719,133) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.1%
$ 1,793,206 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$1,793,245. Collateralized
by U.S. Treasury Note,
interest rate of 0.875%, due
04/15/17. The value of the
collateral including accrued
interest is $1,833,803. (d) 1,793,206
3,714,798 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$3,714,891. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250% to
1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including accrued
interest is $3,800,958. (d) 3,714,798
---------------
TOTAL REPURCHASE
AGREEMENTS -- 1.1% 5,508,004
(Cost $5,508,004) ---------------
TOTAL INVESTMENTS -- 102.1% 501,867,876
(Cost $481,609,114) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.1)% (10,389,780)
---------------
NET ASSETS -- 100.0% $ 491,478,096
===============
(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 $9,568,082 and the total value of the collateral held by the
Fund is $10,036,505.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $483,064,157. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $41,360,389 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $22,556,670.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $ 491,640,739 $ -- $ --
Money Market Funds 4,719,133 -- --
Repurchase Agreements -- 5,508,004 --
------------------------------------------
Total Investments $ 496,359,872 $ 5,508,004 $ --
==========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Financial Statements Page 43
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 9,568,082
Non-cash Collateral(2) (9,568,082)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 5,508,004
Non-cash Collateral(4) (5,508,004)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 44 See Notes to Financial Statements
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 23.4%
1,738,618 AT&T, Inc. $ 75,264,773
2,589,647 CenturyLink, Inc. 81,418,502
12,166,099 Frontier Communications Corp. 63,263,715
1,459,034 Level 3 Communications,
Inc. (a) 73,827,120
1,345,372 Verizon Communications, Inc. 74,547,063
2,151,827 Zayo Group Holdings, Inc. (a) 60,896,704
---------------
429,217,877
---------------
ELECTRIC UTILITIES -- 42.3%
378,466 Alliant Energy Corp. 15,233,257
857,477 American Electric Power Co.,
Inc. 59,423,156
700,554 Duke Energy Corp. 59,960,417
580,346 Edison International 44,907,174
184,698 Entergy Corp. 15,032,570
501,674 Eversource Energy 29,342,912
1,652,930 Exelon Corp. 61,621,230
2,151,982 FirstEnergy Corp. 75,147,211
1,976,991 Great Plains Energy, Inc. 58,874,792
916,445 Hawaiian Electric Industries,
Inc. 28,455,617
962,737 ITC Holdings Corp. 44,526,586
115,224 NextEra Energy, Inc. 14,782,087
917,565 OGE Energy Corp. 29,518,066
705,183 PG&E Corp. 45,089,401
741,432 Pinnacle West Capital Corp. 58,476,742
1,194,051 PPL Corp. 45,027,663
560,326 Southern (The) Co. 29,977,441
267,875 Westar Energy, Inc. 14,885,814
1,006,596 Xcel Energy, Inc. 44,270,092
---------------
774,552,228
---------------
GAS UTILITIES -- 2.5%
1,184,481 Questar Corp. 29,813,387
332,047 UGI Corp. 15,028,447
---------------
44,841,834
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 2.3%
1,203,936 AES (The) Corp. 14,868,610
2,037,306 Calpine Corp. (a) 27,992,584
---------------
42,861,194
---------------
MULTI-UTILITIES -- 16.2%
841,272 Ameren Corp. 44,116,304
560,360 Consolidated Edison, Inc. 44,873,629
303,172 DTE Energy Co. 29,565,333
626,047 MDU Resources Group, Inc. 15,056,430
1,611,793 Public Service Enterprise
Group, Inc. 74,158,596
397,175 SCANA Corp. 29,764,295
131,776 Sempra Energy 14,743,099
855,807 Vectren Corp. 44,270,896
---------------
296,548,582
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
WIRELESS TELECOMMUNICATION
SERVICES -- 13.2%
13,267,226 Sprint Corp. (a) (b) $ 81,460,768
2,532,894 Telephone and Data Systems,
Inc. 79,760,832
1,736,206 T-Mobile US, Inc. (a) 80,455,786
---------------
241,677,386
---------------
TOTAL COMMON STOCKS -- 99.9% 1,829,699,101
(Cost $1,672,189,224) ---------------
MONEY MARKET FUNDS -- 1.2%
22,416,177 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.23% (c) (d) 22,416,177
178,204 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) 178,204
---------------
TOTAL MONEY MARKET FUNDS
-- 1.2% 22,594,381
(Cost $22,594,381) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.5%
$ 8,876,407 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$8,876,599. Collateralized
by U.S. Treasury Note,
interest rate of 0.875%, due
04/15/17. The value of the
collateral including accrued
interest is $9,077,363. (d) 8,876,407
18,388,331 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$18,388,791. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250% to
1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including accrued
interest is $18,814,822. (d) 18,388,331
---------------
TOTAL REPURCHASE
AGREEMENTS -- 1.5% 27,264,738
(Cost $27,264,738) ---------------
TOTAL INVESTMENTS -- 102.6% 1,879,558,220
(Cost $1,722,048,343) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.6)% (48,260,110)
---------------
NET ASSETS -- 100.0% $ 1,831,298,110
===============
See Notes to Financial Statements Page 45
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
(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 $49,465,682 and the total value of the collateral held by
the Fund is $49,680,915.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $1,724,115,745. As of
July 31, 2016, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$159,195,166 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$3,752,691.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
------------------------------------------
Common Stocks* $1,829,699,101 $ -- $ --
Money Market Funds 22,594,381 -- --
Repurchase Agreements -- 27,264,738 --
------------------------------------------
Total Investments $1,852,293,482 $27,264,738 $ --
==========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 49,465,682
Non-cash Collateral(2) (49,465,682)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 27,264,738
Non-cash Collateral(4) (27,264,738)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 46 See Notes to Financial Statements
This page is intentionally left blank.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2016
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
-------------------- -------------------- --------------------
ASSETS:
Investments, at value............................................. $1,807,756,173 $2,563,454,381 $1,503,988,467
Cash ............................................................ -- -- 71,375
Receivables:
Capital shares sold......................................... 10,817,766 -- --
Investment securities sold.................................. 21,590,521 -- 9,289,344
Dividends................................................... 660,258 1,368,510 1,279,084
Securities lending income................................... 64,578 9,129 67,656
Interest.................................................... 1,110 453 43
Reclaims.................................................... -- -- --
Prepaid expenses.................................................. 10,817 11,857 2,393
-------------- -------------- --------------
TOTAL ASSETS................................................ 1,840,901,223 2,564,844,330 1,514,698,362
-------------- -------------- --------------
LIABILITIES:
Due to custodian.................................................. -- -- --
Payables:
Capital shares redeemed..................................... 21,591,454 -- 9,287,395
Investment securities purchased............................. 10,815,522 -- --
Investment advisory fees.................................... 738,326 1,079,001 638,129
Collateral for securities on loan........................... 40,233,048 4,638,075 46,202,200
Licensing fees.............................................. 244,859 336,349 198,489
Printing fees............................................... 53,875 69,052 10,105
Audit and tax fees.......................................... 25,525 25,525 25,525
Trustees' fees.............................................. 1,101 1,118 953
Other liabilities................................................. 295,656 395,043 258,266
-------------- -------------- --------------
TOTAL LIABILITIES........................................... 73,999,366 6,544,163 56,621,062
-------------- -------------- --------------
NET ASSETS........................................................ $1,766,901,857 $2,558,300,167 $1,458,077,300
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital................................................... $2,038,228,034 $2,502,696,929 $1,773,443,757
Par value......................................................... 490,000 521,500 1,003,000
Accumulated net investment income (loss).......................... 1,688,212 2,198,320 455,296
Accumulated net realized gain (loss) on investments............... (371,551,993) (204,416,680) (308,933,532)
Net unrealized appreciation (depreciation) on investments......... 98,047,604 257,300,098 (7,891,221)
-------------- -------------- --------------
NET ASSETS........................................................ $1,766,901,857 $2,558,300,167 $1,458,077,300
============== ============== ==============
NET ASSET VALUE, per share........................................ $ 36.06 $ 49.06 $ 14.54
============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)......................... 49,000,002 52,150,002 100,300,002
============== ============== ==============
Investments, at cost.............................................. $1,709,708,569 $2,306,154,283 $1,511,879,688
============== ============== ==============
Securities on loan, at value...................................... $ 39,628,777 $ 4,651,140 $ 46,071,713
============== ============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 714,228,620 $1,148,588,616 $ 159,309,778 $ 250,657,882 $ 501,867,876 $1,879,558,220
-- -- -- -- -- --
-- -- -- 6,864,600 -- --
-- -- -- -- -- --
689,660 251,793 48,186 94,978 35,350 2,753,848
1,679 8,723 441 71 19,384 25,031
54 193 3 2 20 23
-- -- -- 5,558 -- --
5,047 13,628 1,485 2,132 3,084 1,833
-------------- -------------- -------------- -------------- -------------- --------------
714,925,060 1,148,862,953 159,359,893 257,625,223 501,925,714 1,882,338,955
-------------- -------------- -------------- -------------- -------------- --------------
-- -- 29,607 -- -- 21,780
-- -- -- -- -- --
-- -- -- 6,865,701 -- --
298,836 482,223 67,086 99,342 202,820 773,318
3,624,900 -- -- -- 10,036,505 49,680,915
98,108 156,427 22,292 27,245 65,446 232,484
32,132 80,298 7,665 5,817 20,716 10,778
25,525 25,525 25,525 25,525 25,525 25,525
825 893 725 732 778 984
152,385 225,069 38,442 42,889 95,828 295,061
-------------- -------------- -------------- -------------- -------------- --------------
4,232,711 970,435 191,342 7,067,251 10,447,618 51,040,845
-------------- -------------- -------------- -------------- -------------- --------------
$ 710,692,349 $1,147,892,518 $ 159,168,551 $ 250,557,972 $ 491,478,096 $1,831,298,110
============== ============== ============== ============== ============== ==============
$ 788,590,490 $1,610,685,403 $ 266,782,478 $ 348,669,027 $ 638,498,812 $1,716,400,601
295,000 186,500 55,000 73,000 141,050 667,000
1,666,832 -- 13 207,379 50,357 3,278,572
(88,531,180) (562,154,051) (105,075,605) (111,524,236) (167,470,885) (46,557,940)
8,671,207 99,174,666 (2,593,335) 13,132,802 20,258,762 157,509,877
-------------- -------------- -------------- -------------- -------------- --------------
$ 710,692,349 $1,147,892,518 $ 159,168,551 $ 250,557,972 $ 491,478,096 $1,831,298,110
============== ============== ============== ============== ============== ==============
$ 24.09 $ 61.55 $ 28.94 $ 34.32 $ 34.84 $ 27.46
============== ============== ============== ============== ============== ==============
29,500,002 18,650,002 5,500,002 7,300,002 14,105,000 66,700,002
============== ============== ============== ============== ============== ==============
$ 705,557,413 $1,049,413,950 $ 161,903,113 $ 237,525,080 $ 481,609,114 $1,722,048,343
============== ============== ============== ============== ============== ==============
$ 3,786,475 $ -- $ -- $ -- $ 9,568,082 $ 49,465,682
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2016
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
-------------------- -------------------- --------------------
INVESTMENT INCOME:
Dividends......................................................... $ 41,847,564 $ 56,456,211 $ 11,390,144
Securities lending income (net of fees)........................... 998,831 1,951,348 2,005,428
Interest.......................................................... 5,880 5,561 1,386
Foreign tax withholding........................................... (9,299) -- (39,310)
-------------- -------------- --------------
Total investment income..................................... 42,842,976 58,413,120 13,357,648
-------------- -------------- --------------
EXPENSES:
Investment advisory fees.......................................... 10,677,932 13,246,253 3,300,775
Accounting and administration fees................................ 921,207 1,106,487 311,239
Licensing fees.................................................... 854,236 1,059,699 264,065
Custodian fees.................................................... 270,639 332,615 109,883
Printing fees..................................................... 122,425 147,075 22,890
Legal fees........................................................ 79,573 82,710 24,917
Transfer agent fees............................................... 78,390 91,231 28,936
Audit and tax fees................................................ 23,636 23,636 23,636
Trustees' fees and expenses....................................... 20,344 22,706 8,538
Listing fees...................................................... 12,359 10,907 8,407
Registration and filing fees...................................... (60,332) (38,699) --
Other expenses.................................................... 54,063 58,958 14,514
-------------- -------------- --------------
Total expenses.............................................. 13,054,472 16,143,578 4,117,800
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................................... 29,788,504 42,269,542 9,239,848
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................. (164,152,377) (113,764,347) (166,669,557)
In-kind redemptions......................................... 83,817,698 234,535,376 58,618,772
-------------- -------------- --------------
Net realized gain (loss).......................................... (80,334,679) 120,771,029 (108,050,785)
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on
investments................................................. (100,608,196) 14,709,674 87,116,140
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... (180,942,875) 135,480,703 (20,934,645)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................ $ (151,154,371) $ 177,750,245 $ (11,694,797)
============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 19,855,916 $ 15,131,993 $ 3,389,993 $ 2,641,526 $ 8,620,925 $ 29,464,969
257,285 593,786 76,242 83,774 100,670 182,440
1,452 3,418 275 269 1,524 2,530
(54,052) -- (2,398) (8,707) -- --
-------------- -------------- -------------- -------------- -------------- --------------
20,060,601 15,729,197 3,464,112 2,716,862 8,723,119 29,649,939
-------------- -------------- -------------- -------------- -------------- --------------
4,260,705 12,689,023 1,090,088 707,555 3,000,554 4,356,466
412,505 1,016,903 106,058 70,577 289,115 405,635
340,860 1,015,112 87,208 56,602 240,042 348,520
214,949 366,283 64,937 35,492 125,136 138,068
74,603 187,868 14,448 10,313 42,438 1,959
24,445 91,282 1,231 709 8,233 21,932
42,418 88,445 10,901 7,076 30,005 36,241
23,636 23,636 23,636 23,636 23,636 23,636
11,785 25,667 8,049 7,345 10,324 9,231
10,907 10,908 9,455 8,407 9,859 9,860
(17,475) (58,887) -- -- (7,270) --
24,428 73,384 13,952 8,335 20,196 12,408
-------------- -------------- -------------- -------------- -------------- --------------
5,423,766 15,529,624 1,429,963 936,047 3,792,268 5,363,956
-------------- -------------- -------------- -------------- -------------- --------------
14,636,835 199,573 2,034,149 1,780,815 4,930,851 24,285,983
-------------- -------------- -------------- -------------- -------------- --------------
(46,074,609) (456,095,790) (39,068,472) (14,786,104) (69,022,364) (20,012,206)
11,098,526 30,021,852 (9,071,656) 9,652,604 38,745,859 71,816,475
-------------- -------------- -------------- -------------- -------------- --------------
(34,976,083) (426,073,938) (48,140,128) (5,133,500) (30,276,505) 51,804,269
-------------- -------------- -------------- -------------- -------------- --------------
(22,876,460) (359,011,037) 17,783,566 20,741,252 (7,729,201) 169,798,579
-------------- -------------- -------------- -------------- -------------- --------------
(57,852,543) (785,084,975) (30,356,562) 15,607,752 (38,005,706) 221,602,848
-------------- -------------- -------------- -------------- -------------- --------------
$ (43,215,708) $ (784,885,402) $ (28,322,413) $ 17,388,567 $ (33,074,855) $ 245,888,831
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
CONSUMER DISCRETIONARY CONSUMER STAPLES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG)
---------------------------------- ----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
7/31/2016 7/31/2015 7/31/2016 7/31/2015
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)........................... $ 29,788,504 $ 17,144,908 $ 42,269,542 $ 37,687,210
Net realized gain (loss)............................... (80,334,679) 6,981,710 120,771,029 136,844,520
Net change in unrealized appreciation (depreciation)... (100,608,196) 155,287,353 14,709,674 249,584,367
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations..................................... (151,154,371) 179,413,971 177,750,245 424,116,097
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................. (20,327,690) (15,778,306) (43,760,331) (34,623,996)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.............................. 528,560,536 2,396,912,813 1,224,704,586 2,761,117,420
Cost of shares redeemed................................ (1,149,847,535) (943,937,264) (1,694,753,288) (1,315,978,826)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions....................... (621,286,999) 1,452,975,549 (470,048,702) 1,445,138,594
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................ (792,769,060) 1,616,611,214 (336,058,788) 1,834,630,695
NET ASSETS:
Beginning of period.................................... 2,559,670,917 943,059,703 2,894,358,955 1,059,728,260
-------------- -------------- -------------- --------------
End of period.......................................... $1,766,901,857 $2,559,670,917 $2,558,300,167 $2,894,358,955
============== ============== ============== ==============
Accumulated net investment income (loss)
at end of period.................................... $ 1,688,212 $ 1,366,558 $ 2,198,320 $ 3,689,109
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................ 68,650,002 29,250,002 63,350,002 28,100,002
Shares sold............................................ 15,500,000 67,900,000 26,950,000 65,700,000
Shares redeemed........................................ (35,150,000) (28,500,000) (38,150,000) (30,450,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period...................... 49,000,002 68,650,002 52,150,002 63,350,002
============== ============== ============== ==============
Page 52 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ENERGY FINANCIALS HEALTH CARE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXN) (FXO) (FXH)
---------------------------------- ---------------------------------- ----------------------------------
For the For the For the For the For the For the
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 9,239,848 $ 7,901,012 $ 14,636,835 $ 13,561,391 $ 199,573 $ (3,100,423)
(108,050,785) (130,793,657) (34,976,083) 43,627,483 (426,073,938) 454,459,652
87,116,140 (103,382,250) (22,876,460) 23,304,273 (359,011,037) 286,370,731
-------------- -------------- -------------- -------------- -------------- --------------
(11,694,797) (226,274,895) (43,215,708) 80,493,147 (784,885,402) 737,729,960
-------------- -------------- -------------- -------------- -------------- --------------
(9,168,230) (8,031,831) (14,585,861) (13,727,056) -- --
-------------- -------------- -------------- -------------- -------------- --------------
1,744,096,367 591,038,970 330,067,936 1,345,673,913 499,800,743 3,908,392,289
(611,447,932) (824,365,559) (636,550,366) (1,241,912,041) (2,800,608,199) (2,564,443,942)
-------------- -------------- -------------- -------------- -------------- --------------
1,132,648,435 (233,326,589) (306,482,430) 103,761,872 (2,300,807,456) 1,343,948,347
-------------- -------------- -------------- -------------- -------------- --------------
1,111,785,408 (467,633,315) (364,283,999) 170,527,963 (3,085,692,858) 2,081,678,307
346,291,892 813,925,207 1,074,976,348 904,448,385 4,233,585,376 2,151,907,069
-------------- -------------- -------------- -------------- -------------- --------------
$1,458,077,300 $ 346,291,892 $ 710,692,349 $1,074,976,348 $1,147,892,518 $4,233,585,376
============== ============== ============== ============== ============== ==============
$ 455,296 $ 383,678 $ 1,666,832 $ 1,697,737 $ -- $ (2,978,788)
============== ============== ============== ============== ============== ==============
20,450,002 29,000,002 44,000,002 41,800,002 60,800,002 40,500,002
121,250,000 27,050,000 13,900,000 57,400,000 8,400,000 61,900,000
(41,400,000) (35,600,000) (28,400,000) (55,200,000) (50,550,000) (41,600,000)
-------------- -------------- -------------- -------------- -------------- --------------
100,300,002 20,450,002 29,500,002 44,000,002 18,650,002 60,800,002
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 53
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
INDUSTRIALS/PRODUCER DURABLES MATERIALS
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXR) (FXZ)
---------------------------------- ----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
7/31/2016 7/31/2015 7/31/2016 7/31/2015
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)........................... $ 2,034,149 $ 3,489,163 $ 1,780,815 $ 3,915,971
Net realized gain (loss)............................... (48,140,128) (33,929,358) (5,133,500) (41,504,452)
Net change in unrealized appreciation (depreciation)... 17,783,566 8,231,674 20,741,252 7,329,419
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations..................................... (28,322,413) (22,208,521) 17,388,567 (30,259,062)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................. (2,100,096) (4,499,510) (1,770,475) (4,431,046)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.............................. 130,231,645 593,203,217 233,779,536 414,961,450
Cost of shares redeemed................................ (320,727,167) (1,067,446,111) (155,309,996) (930,224,509)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions....................... (190,495,522) (474,242,894) 78,469,540 (515,263,059)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................ (220,918,031) (500,950,925) 94,087,632 (549,953,167)
NET ASSETS:
Beginning of period.................................... 380,086,582 881,037,507 156,470,340 706,423,507
-------------- -------------- -------------- --------------
End of period.......................................... $ 159,168,551 $ 380,086,582 $ 250,557,972 $ 156,470,340
============== ============== ============== ==============
Accumulated net investment income (loss)
at end of period.................................... $ 13 $ -- $ 207,379 $ 197,039
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................ 12,900,002 30,100,002 5,100,002 21,700,002
Shares sold............................................ 4,700,000 19,800,000 7,400,000 13,250,000
Shares redeemed........................................ (12,100,000) (37,000,000) (5,200,000) (29,850,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period...................... 5,500,002 12,900,002 7,300,002 5,100,002
============== ============== ============== ==============
Page 54 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXL) (FXU)
---------------------------------- ----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
7/31/2016 7/31/2015 7/31/2016 7/31/2015
---------------- ---------------- ---------------- ----------------
$ 4,930,851 $ 4,742,762 $ 24,285,983 $ 7,696,336
(30,276,505) 101,421,052 51,804,269 (13,177,956)
(7,729,201) (1,528,398) 169,798,579 (1,552,502)
-------------- -------------- -------------- --------------
(33,074,855) 104,635,416 245,888,831 (7,034,122)
-------------- -------------- -------------- --------------
(4,908,173) (5,153,656) (21,192,761) (8,094,481)
-------------- -------------- -------------- --------------
175,513,323 973,443,594 2,662,292,317 720,678,747
(547,023,151) (1,006,921,759) (1,188,257,991) (1,207,833,663)
-------------- -------------- -------------- --------------
(371,509,828) (33,478,165) 1,474,034,326 (487,154,916)
-------------- -------------- -------------- --------------
(409,492,856) 66,003,595 1,698,730,396 (502,283,519)
900,970,952 834,967,357 132,567,714 634,851,233
-------------- -------------- -------------- --------------
$ 491,478,096 $ 900,970,952 $1,831,298,110 $ 132,567,714
============== ============== ============== ==============
$ 50,357 $ -- $ 3,278,572 $ 169,461
============== ============== ============== ==============
25,755,000 26,305,000 5,750,002 28,100,002
5,450,000 29,150,000 109,500,000 28,700,000
(17,100,000) (29,700,000) (48,550,000) (51,050,000)
-------------- -------------- -------------- --------------
14,105,000 25,755,000 66,700,002 5,750,002
============== ============== ============== ==============
See Notes to Financial Statements Page 55
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 37.29 $ 32.24 $ 28.81 $ 20.52 $ 21.35
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.53 0.30 0.13 0.29 0.18
Net realized and unrealized gain (loss) (1.43) 5.03 3.43 8.29 (0.84)
---------- ---------- ---------- ---------- ----------
Total from investment operations (0.90) 5.33 3.56 8.58 (0.66)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.33) (0.28) (0.13) (0.29) (0.17)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 36.06 $ 37.29 $ 32.24 $ 28.81 $ 20.52
========== ========== ========== ========== ==========
TOTAL RETURN (a) (2.34)% 16.54% 12.37% 42.17% (3.06)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,766,902 $2,559,671 $ 943,060 $ 737,449 $ 424,739
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.61% 0.63% 0.70% 0.72% 0.72%
Ratio of net expenses to average net
assets 0.61% 0.63% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.39% 0.91% 0.42% 1.20% 0.84%
Portfolio turnover rate (b) 103% 131% 100% 99% 98%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 45.69 $ 37.71 $ 33.22 $ 23.50 $ 24.49
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.76 0.72 0.51 0.35 0.42
Net realized and unrealized gain (loss) 3.38 7.95 4.51 9.85 (1.16)
---------- ---------- ---------- ---------- ----------
Total from investment operations 4.14 8.67 5.02 10.20 (0.74)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.77) (0.69) (0.53) (0.48) (0.25)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 49.06 $ 45.69 $ 37.71 $ 33.22 $ 23.50
========== ========== ========== ========== ==========
TOTAL RETURN (a) 9.19% 23.09% 15.14% 43.89% (3.03)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $2,558,300 $2,894,359 $1,059,728 $ 657,759 $ 347,740
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.61% 0.62% 0.69% 0.71% 0.74%
Ratio of net expenses to average net
assets 0.61% 0.62% 0.69% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.60% 1.75% 1.59% 1.37% 1.97%
Portfolio turnover rate (b) 102% 87% 100% 107% 126%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 56 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 16.93 $ 28.07 $ 22.62 $ 18.51 $ 23.75
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.22 0.40 0.27 0.23 0.14
Net realized and unrealized gain (loss) (2.37) (11.14) 5.43 4.12 (5.25)
---------- ---------- ---------- ---------- ----------
Total from investment operations (2.15) (10.74) 5.70 4.35 (5.11)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.24) (0.40) (0.25) (0.24) (0.13)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 14.54 $ 16.93 $ 28.07 $ 22.62 $ 18.51
========== ========== ========== ========== ==========
TOTAL RETURN (a) (12.67)% (38.59)% 25.30% 23.62% (21.50)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,458,077 $ 346,292 $ 813,925 $ 191,135 $ 123,065
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.62% 0.64% 0.70% 0.74% 0.76%
Ratio of net expenses to average net
assets 0.62% 0.64% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.40% 1.68% 1.10% 0.82% 0.63%
Portfolio turnover rate (b) 112% 97% 72% 93% 90%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 24.43 $ 21.64 $ 19.79 $ 14.47 $ 14.04
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.39 0.30 0.33 0.32 0.21
Net realized and unrealized gain (loss) (0.36) 2.79 1.83 5.32 0.42
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.03 3.09 2.16 5.64 0.63
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.37) (0.30) (0.31) (0.32) (0.20)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 24.09 $ 24.43 $ 21.64 $ 19.79 $ 14.47
========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.22% 14.39% 10.95% 39.45% 4.57%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 710,692 $1,074,976 $ 904,448 $ 398,820 $ 208,369
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.64% 0.64% 0.69% 0.72% 0.74%
Ratio of net expenses to average net
assets 0.64% 0.64% 0.69% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.72% 1.59% 1.61% 1.92% 1.61%
Portfolio turnover rate (b) 75% 80% 55% 65% 93%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 57
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
YEAR ENDED JULY 31,
----------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 69.63 $ 53.13 $ 42.58 $ 30.00 $ 28.54
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00 (c) (d) (0.05) (0.01) 0.13 0.02
Net realized and unrealized gain (loss) (8.08) 16.55 10.56 12.58 1.46
---------- ---------- ---------- ---------- ----------
Total from investment operations (8.08) 16.50 10.55 12.71 1.48
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- (0.13) (0.02)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 61.55 $ 69.63 $ 53.13 $ 42.58 $ 30.00
========== ========== ========== ========== ==========
TOTAL RETURN (a) (11.60)% 31.06% 24.78% 42.49% 5.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,147,893 $4,233,585 $2,151,907 $ 981,566 $ 532,448
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.61% 0.62% 0.67% 0.71% 0.73%
Ratio of net expenses to average net
assets 0.61% 0.62% 0.67% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.01% (0.10)% (0.01)% 0.36% 0.07%
Portfolio turnover rate (b) 118% 125% 81% 96% 109%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 29.46 $ 29.27 $ 24.11 $ 17.76 $ 18.06
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.24 0.13 0.24 0.32 0.16
Net realized and unrealized gain (loss) (0.51) 0.26 5.16 6.34 (0.29)
---------- ---------- ---------- ---------- ----------
Total from investment operations (0.27) 0.39 5.40 6.66 (0.13)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.25) (0.20) (0.24) (0.31) (0.17)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 28.94 $ 29.46 $ 29.27 $ 24.11 $ 17.76
========== ========== ========== ========== ==========
TOTAL RETURN (a) (0.82)% 1.30% 22.44% 37.92% (0.72)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 159,169 $ 380,087 $ 881,038 $ 231,413 $ 103,876
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.66% 0.63% 0.69% 0.74% 0.78%
Ratio of net expenses to average net
assets 0.66% 0.63% 0.69% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.93% 0.55% 0.99% 1.65% 0.77%
Portfolio turnover rate (b) 103% 105% 95% 110% 97%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemption and in-kind
transactions.
(c) Based on average shares outstanding.
(d) Amount is less than $0.01.
Page 58 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 30.68 $ 32.55 $ 27.93 $ 22.79 $ 24.22
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.41 0.47 0.35 0.57 0.29
Net realized and unrealized gain (loss) 3.65 (1.88) 4.60 5.17 (1.45)
---------- ---------- ---------- ---------- ----------
Total from investment operations 4.06 (1.41) 4.95 5.74 (1.16)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.42) (0.46) (0.33) (0.60) (0.27)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 34.32 $ 30.68 $ 32.55 $ 27.93 $ 22.79
========== ========== ========== ========== ==========
TOTAL RETURN (a) 13.48% (4.36)% 17.73% 25.39% (4.78)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 250,558 $ 156,470 $ 706,424 $ 251,349 $ 144,689
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.66% 0.64% 0.70% 0.73% 0.73%
Ratio of net expenses to average net
assets 0.66% 0.64% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.26% 1.25% 1.16% 1.75% 1.14%
Portfolio turnover rate (b) 113% 104% 76% 82% 92%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 34.98 $ 31.74 $ 25.97 $ 20.97 $ 21.81
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.27 0.14 0.08 0.13 (0.01)
Net realized and unrealized gain (loss) (0.14) 3.26 5.78 5.00 (0.82)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.13 3.40 5.86 5.13 (0.83)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.27) (0.16) (0.09) (0.13) (0.01)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 34.84 $ 34.98 $ 31.74 $ 25.97 $ 20.97
========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.42% 10.72% 22.59% 24.54% (3.80)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 491,478 $ 900,971 $ 834,967 $ 284,543 $ 216,060
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.63% 0.63% 0.70% 0.72% 0.74%
Ratio of net expenses to average net
assets 0.63% 0.63% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.82% 0.53% 0.28% 0.53% (0.06)%
Portfolio turnover rate (b) 109% 91% 85% 82% 101%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemption and in-kind
transactions.
See Notes to Financial Statements Page 59
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 23.06 $ 22.59 $ 20.56 $ 18.34 $ 17.65
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.73 0.83 0.59 0.64 0.45
Net realized and unrealized gain (loss) 4.38 0.47 2.04 2.22 0.70
---------- ---------- ---------- ---------- ----------
Total from investment operations 5.11 1.30 2.63 2.86 1.15
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.71) (0.83) (0.60) (0.64) (0.46)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 27.46 $ 23.06 $ 22.59 $ 20.56 $ 18.34
========== ========== ========== ========== ==========
TOTAL RETURN (a) 22.66% 5.77% 13.08% 15.91% 6.65%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,831,298 $ 132,568 $ 634,851 $ 205,554 $ 147,658
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.62% 0.69% 0.70% 0.73% 0.72%
Ratio of net expenses to average net
assets 0.62% 0.69% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 2.79% 2.58% 2.31% 3.53% 2.83%
Portfolio turnover rate (b) 71% 94% 83% 74% 72%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemption and in-kind
transactions.
Page 60 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds considered
either a Sector Fund or a Style Fund. This report covers the nine Sector Funds
listed below. The shares of each Sector Fund are listed and traded on NYSE Arca,
Inc.
First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD")
First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG")
First Trust Energy AlphaDEX(R) Fund - (ticker "FXN")
First Trust Financials AlphaDEX(R) Fund - (ticker "FXO")
First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker "FXR")
First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ")
First Trust Technology AlphaDEX(R) Fund - (ticker "FXL")
First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU")
Each fund represents a separate series of shares of beneficial interest in the
Trust (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, each Fund's shares are not redeemable securities. The investment
objective of each Fund is to seek investment results that correspond generally
to the price and yield (before the Fund's fees and expenses) of the following
indices:
FUND INDEX
First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index (1)
First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1)
First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1)
First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1)
First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1)
First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1)
First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1)
First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1)
(1) This index is developed, maintained and sponsored by NYSE Group, Inc. or
its affiliates ("NYSE Group"), and licensed to First Trust Portfolios L.P.
("FTP"), the distributor of the Trust, by Archipelago Holdings, Inc.
("Archipelago"), an affiliate of NYSE Group. Prior to the acquisition of
the American Stock Exchange LLC (the "AMEX") by NYSE Group, the index was
developed, maintained and sponsored by AMEX.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds, each of which is an investment company within the scope of Financial
Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follow
accounting and reporting guidance under FASB Accounting Standards Codification
Topic 946, "Financial Services-Investment Companies." The following is a summary
of significant accounting policies consistently followed by the Funds in the
preparation of the financial statements. The preparation of the financial
statements in accordance with accounting principles generally accepted in the
United States of America ("U.S. GAAP") requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Page 61
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the
London Stock Exchange Alternative Investment Market ("AIM")) are valued at
the last sale price on the exchange on which they are principally traded
or, for Nasdaq and AIM securities, the official closing price. Securities
traded on more than one securities exchange are valued at the last sale
price or official closing price, as applicable, at the close of the
securities exchange representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a 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.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
Page 62
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of July 31, 2016, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities require entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The dividend and interest earned on the securities loaned is accounted for in
the same manner as other dividend and interest income. At July 31, 2016, all the
Funds except FXH, FXR and FXZ have securities in the securities lending program.
During the fiscal year ended July 31, 2016, all the Funds participated in the
securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Funds sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
Page 63
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
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.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury Notes. The U.S. Treasury Notes are held in a joint custody account at
BBH on behalf of the Funds participating in the securities lending program. In
the event the counterparty defaults on the repurchase agreement, the U.S.
Treasury Notes can either be maintained as part of a Fund's portfolio or sold
for cash. A Fund could suffer a loss to the extent that the proceeds from the
sale of the underlying collateral held by the Fund is less than the repurchase
price and the Fund's costs associated with the delay and enforcement of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended July 31, 2016, were received as
collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from 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
significantly modified portfolio securities held by the Funds and have no impact
on net assets or NAV per share. Temporary differences, which arise from
recognizing certain items of income, expense and gain/loss in different periods
for financial statement and tax purposes, will reverse at some time in the
future.
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2016 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 20,327,690 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 43,760,331 -- --
First Trust Energy AlphaDEX(R) Fund 9,168,230 -- --
First Trust Financials AlphaDEX(R) Fund 14,585,861 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 2,100,096 -- --
First Trust Materials AlphaDEX(R) Fund 1,770,475 -- --
First Trust Technology AlphaDEX(R) Fund 4,908,173 -- --
First Trust Utilities AlphaDEX(R) Fund 21,192,761 -- --
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2015 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 15,778,306 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 34,623,996 -- --
First Trust Energy AlphaDEX(R) Fund 8,031,831 -- --
First Trust Financials AlphaDEX(R) Fund 13,727,056 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,499,510 -- --
First Trust Materials AlphaDEX(R) Fund 4,431,046 -- --
First Trust Technology AlphaDEX(R) Fund 5,153,656 -- --
First Trust Utilities AlphaDEX(R) Fund 8,094,481 -- --
Page 64
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
As of July 31, 2016, the components of distributable earnings on a tax basis for
each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 1,688,212 $ (367,527,565) $ 94,023,176
First Trust Consumer Staples AlphaDEX(R) Fund 2,198,320 (198,231,622) 251,115,040
First Trust Energy AlphaDEX(R) Fund 455,296 (305,745,555) (11,079,198)
First Trust Financials AlphaDEX(R) Fund 1,666,832 (87,044,295) 7,184,322
First Trust Health Care AlphaDEX(R) Fund -- (560,204,820) 97,225,435
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 13 (104,754,040) (2,914,900)
First Trust Materials AlphaDEX(R) Fund 207,379 (111,196,873) 12,805,439
First Trust Technology AlphaDEX(R) Fund 50,357 (166,015,842) 18,803,719
First Trust Utilities AlphaDEX(R) Fund 3,278,572 (44,490,538) 155,442,475
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of the Fund's taxable income exceeds
the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2013, 2014,
2015 and 2016 remain open to federal and state audit. As of July 31, 2016,
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 arising in taxable years beginning after December 22, 2010,
may be carried forward indefinitely, and their character is retained as
short-term and/or long-term losses. Previously, net capital losses were carried
forward for up to eight years and treated as short-term losses. As a transition
rule, the Act requires that post-enactment net capital losses be used before
pre-enactment net capital losses. At July 31, 2016, the Funds had pre-enactment
and post-enactment net capital losses for federal income tax purposes as shown
in the following table. To the extent that these loss carryforwards are used to
offset future capital gains, it is probable that the capital gains so offset
will not be distributed to Fund shareholders. The Funds are subject to certain
limitations, under U.S. tax rules, on the use of capital loss carryforwards and
net unrealized built-in losses. These limitations apply when there has been a
50% change in ownership.
Capital Loss Capital Loss Capital Loss Post Total
Available Available Available Enactment - Capital
through through through No Loss
7/31/2017 7/31/2018 7/31/2019 Expiration Available
------------- ------------- ------------- ------------- -------------
First Trust Consumer Discretionary
AlphaDEX(R) Fund $ 783,283 $ 1,138,594 $ 9,617,858 $ 355,987,830 $ 367,527,565
First Trust Consumer Staples
AlphaDEX(R) Fund 422,511 1,058,131 -- 196,750,980 198,231,622
First Trust Energy AlphaDEX(R) Fund 2,326,320 2,084,336 3,349,453 297,985,446 305,745,555
First Trust Financials AlphaDEX(R) Fund 671,958 1,630,337 3,464,108 81,277,892 87,044,295
First Trust Health Care AlphaDEX(R) Fund 774,570 2,582,977 1,764,162 555,083,111 560,204,820
First Trust Industrials/Producer Durables
AlphaDEX(R) Fund 798,398 1,325,584 1,133,736 101,496,322 104,754,040
First Trust Materials AlphaDEX(R) Fund 1,265,429 886,622 7,397,299 101,647,523 111,196,873
First Trust Technology AlphaDEX(R) Fund 1,608,491 2,508,150 2,516,610 159,382,591 166,015,842
First Trust UtilitiesAlphaDEX(R) Fund 557,777 1,956,482 -- 41,976,279 44,490,538
Page 65
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
At the taxable year ended July 31, 2016, the following Funds' capital loss
carryforwards expired in the following amounts:
Capital Loss
Expired
--------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 64,889
First Trust Consumer Staples AlphaDEX(R) Fund 63,580
First Trust Energy AlphaDEX(R) Fund 73,845
First Trust Financials AlphaDEX(R) Fund 13,300
First Trust Health Care AlphaDEX(R) Fund 28,397
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 183,210
First Trust Materials AlphaDEX(R) Fund 13,424
First Trust Technology AlphaDEX(R) Fund 22,456
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 fiscal year ended July 31, 2016, the adjustments
for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
--------------- --------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ (9,139,160) $ (71,694,601) $ 80,833,761
First Trust Consumer Staples AlphaDEX(R) Fund -- (222,572,039) 222,572,039
First Trust Energy AlphaDEX(R) Fund -- (53,441,384) 53,441,384
First Trust Financials AlphaDEX(R) Fund (81,879) (8,321,640) 8,403,519
First Trust Health Care AlphaDEX(R) Fund 2,779,215 (17,369,453) 14,590,238
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 65,960 11,033,355 (11,099,315)
First Trust Materials AlphaDEX(R) Fund -- (8,814,673) 8,814,673
First Trust Technology AlphaDEX(R) Fund 27,679 (34,153,810) 34,126,131
First Trust Utilities AlphaDEX(R) Fund 15,889 (69,993,282) 69,977,393
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
FTP has entered into licensing agreements with Archipelago for each of the
Funds. The license agreements allow for the use by FTP of certain trademarks and
trade names of Archipelago and certain trademarks and trade names of NYSE Group.
The Funds and First Trust are sub-licensees to the license agreement. The Funds
are required to pay licensing fees, which are shown on the Statements of
Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is paid an annual management fee of 0.50% of
each Fund's average daily net assets. The Trust and First Trust have entered
into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery
Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund
expenses to the extent that the operating expenses of each Fund (excluding
interest expense, brokerage commissions and other trading expenses, acquired
fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of
average daily net assets per year (the "Expense Cap"). The Expense Cap will be
in effect until at least November 30, 2017.
Page 66
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding an expense ratio equal to the Expense Cap in
place at the time the expenses were reimbursed or fees waived by First Trust.
These amounts would be included in "Expenses previously waived or reimbursed" on
the Statements of Operations.
For the fiscal year ended July 31, 2016 there were no fees waived or expenses
reimbursed by First Trust for the Funds. As of July 31, 2016, none of the Funds
had remaining fees previously waived or expenses reimbursed that were still
subject to recovery.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
At a meeting held on December 7, 2015, the Board of Trustees accepted Mr. Mark
Bradley's resignation from his position as the President and Chief Executive
Officer of the Trust, effective December 31, 2015. At the same meeting, the
Board of Trustees elected Mr. James Dykas, formerly Chief Financial Officer and
Treasurer of the Trust, to serve as the President and Chief Executive Officer,
and Mr. Donald Swade, formerly an Assistant Treasurer of the Trust, to serve as
the Treasurer, Chief Financial Officer and Chief Accounting Officer of 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 equally among each fund in the First Trust Fund
Complex. Prior to January 1, 2016, the fixed annual retainer was allocated pro
rata based on each fund's 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.
Independent 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 fiscal year ended July 31, 2016, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,217,171,599 $ 2,204,922,044
First Trust Consumer Staples AlphaDEX(R) Fund 2,705,041,798 2,710,327,708
First Trust Energy AlphaDEX(R) Fund 793,855,587 789,889,216
First Trust Financials AlphaDEX(R) Fund 644,177,663 642,000,616
First Trust Health Care AlphaDEX(R) Fund 2,975,136,627 2,973,841,647
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 226,584,500 226,241,875
First Trust Materials AlphaDEX(R) Fund 163,482,308 163,197,898
First Trust Technology AlphaDEX(R) Fund 670,215,674 669,240,140
First Trust Utilities AlphaDEX(R) Fund 613,839,582 610,265,048
For the fiscal year ended July 31, 2016, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 528,038,924 $ 1,148,158,112
First Trust Consumer Staples AlphaDEX(R) Fund 1,223,292,518 1,691,784,562
First Trust Energy AlphaDEX(R) Fund 1,743,186,484 614,519,710
First Trust Financials AlphaDEX(R) Fund 329,077,172 634,499,617
First Trust Health Care AlphaDEX(R) Fund 499,248,808 2,795,216,339
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 130,076,498 320,369,979
First Trust Materials AlphaDEX(R) Fund 233,576,833 155,317,413
First Trust Technology AlphaDEX(R) Fund 175,077,410 546,444,463
First Trust Utilities AlphaDEX(R) Fund 2,657,024,824 1,184,684,038
Page 67
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). Such transactions are generally permitted on an
in-kind basis, with a balancing cash component to equate the transaction to the
daily NAV per Share of each Fund on the transaction date times the number of
Shares in a Creation Unit. Authorized Participants purchasing Creation Units
must pay to BNYM, as transfer agent, a standard creation transaction fee (the
"Creation Transaction Fee"), which is based on the number of different
securities in a Creation Unit of each Fund according to the fee schedule set
forth below:
Number of Securities Creation
in a Creation Unit Transaction Fee
------------------------- -----------------
1-100 $ 500
101-499 $1,000
500 or more $1,500
The Creation Transaction Fee is applicable to each purchase transaction
regardless of the number of Creation Units purchased in the transaction. An
additional variable fee of up to three times the Creation Transaction Fee may be
charged to approximate additional expenses incurred by a Fund with respect to
transactions effected outside of the clearing process (i.e., through a DTC
Participant) or to the extent that cash is used in lieu of securities to
purchase Creation Units. The price for each Creation Unit will equal the daily
NAV per Share of a Fund on the transaction date times the number of Shares in a
Creation Unit plus the fees described above and, if applicable, any transfer
taxes.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
which is based on the number of different securities in a Creation Unit of each
Fund according to the fee schedule set forth below:
Number of Securities Redemption
in a Creation Unit Transaction Fee
------------------------- -----------------
1-100 $ 500
101-499 $1,000
500 or more $1,500
The Redemption Transaction Fee is applicable to each redemption transaction
regardless of the number of Creation Units redeemed in the transaction. An
additional variable fee of up to three times the Redemption Transaction Fee may
be charged to approximate additional expenses incurred by a Fund with respect to
redemptions effected outside of the clearing process or to the extent that
redemptions are for cash. Each Fund reserves the right to effect redemptions in
cash. A shareholder may request cash redemption in lieu of securities; however,
a Fund may, in its discretion, reject any such request.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP, the distributor of the Funds, for amounts expended to
finance activities primarily intended to result in the sale of Creation Units or
the provision of investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before June 30, 2017.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
Page 68
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
We have audited the accompanying statements of assets and liabilities of First
Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples
AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials
AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust
Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials
AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust
Utilities AlphaDEX(R) Fund, each a series of the First Trust Exchange-Traded
AlphaDEX(R) Fund (the "Funds"), including the portfolios of investments, as of
July 31, 2016, and the related statements of operations for the year then ended,
the statements of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the five years in the
period then ended. These financial statements and financial highlights are the
responsibility of the Funds' 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 audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Funds
are not required to have, nor were we engaged to perform, an audit of their
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 Funds' internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of July 31, 2016 by correspondence with the Funds'
custodian and brokers; when replies were not received from brokers, we performed
other auditing procedures. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the funds listed above included in the First Trust Exchange-Traded
AlphaDEX(R) Fund as of July 31, 2016, the results of their operations for the
year then ended, the changes in their net assets for each of the two years in
the period then ended, and the financial highlights for each of the five years
in the period then ended, in conformity with accounting principles generally
accepted in the United States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 22, 2016
Page 69
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
the Funds' website located at http://www.ftportfolios.com; and (3) on the
Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Trust files its complete schedule of each Fund's portfolio holdings with the
SEC for the first and third quarters of each fiscal year on Form N-Q. The
Trust's Form N-Qs 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 July 31, 2016, the following percentages of income
dividend paid by the Funds qualified for the dividends received deduction
available to corporations:
Dividends Received Deduction
--------------------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 99.89%
First Trust Energy AlphaDEX(R) Fund 94.97%
First Trust Financials AlphaDEX(R) Fund 67.02%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2016, the following percentages of income
dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income
--------------------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDex(R) Fund 72.62%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT
OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN
DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST
TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS
THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE
RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF
ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE
DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE
DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND.
The following summarizes some of the risks that should be considered for the
Funds.
CONSUMER DISCRETIONARY COMPANIES RISK. Certain of the Funds invest in consumer
discretionary companies. Consumer discretionary companies are companies that
provide non-essential goods and services, such as retailers, media companies and
consumer services. These companies 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
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016 (UNAUDITED)
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.
CONSUMER STAPLES COMPANIES RISK. Certain of the Funds invest in consumer staples
companies. Consumer staples companies provide products directly to the consumer
that are typically considered non-discretionary items based on consumer
purchasing habits. The success of these companies is affected by a variety of
factors, such as government regulations, which may affect the permissibility of
using various food additives and the production methods of companies that
manufacture food products.
ENERGY COMPANIES RISK. Certain of the Funds invest in energy companies. Energy
companies include integrated oil companies that are involved in the exploration,
production and refining process, gas distributors and pipeline-related companies
and other energy companies involved with mining, producing and delivering
energy-related services and drilling. General problems of energy companies
include volatile fluctuations in price and supply of energy fuels, international
politics, terrorist attacks, reduced demand, the success of exploration
projects, clean-up and litigation costs relating to oil spills and environmental
damage, and tax and other regulatory policies of various governments. Natural
disasters such as hurricanes in the Gulf of Mexico also impact the petroleum
industry. Oil production and refining companies are subject to extensive
federal, state and local environmental laws and regulations regarding air
emissions and the disposal of hazardous materials. In addition, oil prices are
generally subject to extreme volatility.
EQUITY SECURITIES RISK. Because the Funds invest in equity securities, the value
of the Funds' shares will fluctuate with changes in the value of these equity
securities. Equity securities prices fluctuate for several reasons, including
changes in investors' perceptions of the financial condition of an issuer or the
general condition of the relevant stock market, such as market volatility, or
when political or economic events affecting the issuers occur. In addition,
common stock prices may be particularly sensitive to rising interest rates, as
the cost of capital rises and borrowing costs increase.
FINANCIAL COMPANIES RISK. Certain of the Funds invest in financial companies.
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.
GROWTH STOCKS INVESTMENT RISK. Growth stocks tend to be more volatile than
certain other types of stocks and their prices usually fluctuate more
dramatically than the overall stock market. A stock with growth characteristics
can have sharp price declines due to decreases in current or expected earnings.
HEALTH CARE COMPANIES RISK. Certain of the Funds invest in health care
companies. Health care companies are companies involved in medical services or
health care, including biotechnology research and production, drugs and
pharmaceuticals and health care facilities and services. These companies are
subject to extensive competition, generic drug sales or the loss of patent
protection, product liability litigation and increased government regulation.
Research and development costs of bringing new drugs to market are substantial,
and there is no guarantee that the product will ever come to market. Health care
facility operators may be affected by the demand for services, efforts by
government or insurers to limit rates, restriction of government financial
assistance and competition from other providers.
INDEX CONSTITUENT RISK. One or more of the Funds may be a constituent of one or
more indices. As a result, the Fund may be included in one or more
index-tracking ETFs or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving the Fund, the size
of the Fund and the market volatility of the Fund. Inclusion in an index could
significantly increase demand for the Fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, the Fund's NAV could be negatively impacted and the Fund's market price
may be significantly below the Fund's net asset value during certain periods In
addition, index rebalances may potentially result in increased trading activity.
To the extent buying or selling activity increases, the Fund can be exposed to
increased brokerage costs and adverse tax consequences and the market price of
the Fund can be negatively affected.
INDUSTRIALS COMPANIES RISK. Certain of the Funds invest in industrials
companies. Industrials companies convert unfinished goods into finished durables
used to manufacture other goods or provide services. Some industrials companies
are involved in electrical equipment and components, industrial products,
manufactured housing and telecommunications equipment. General risks of
industrials 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.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016 (UNAUDITED)
INFORMATION TECHNOLOGY COMPANIES RISK. Certain of the Funds invest in
information technology companies. Information technology companies are generally
subject to the following risks: rapidly changing technologies; short product
life cycles; fierce competition; aggressive pricing and reduced profit margins;
the loss of patent, copyright and trademark protections; cyclical market
patterns; evolving industry standards; and frequent new product introductions.
Information technology companies may be smaller and less experienced companies,
with limited product lines, markets or financial resources and fewer experienced
management or marketing personnel. Information technology company stocks,
especially those which are Internet related, have experienced extreme price and
volume fluctuations that are often unrelated to their operating performance.
MARKET RISK. Market risk is the risk that a particular security owned by a Fund
or shares of a Fund in general may fall in value. Securities are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in
securities prices. Shares of the Funds could decline in value or underperform
other investments.
MATERIALS AND PROCESSING COMPANIES RISK. Certain of the Funds invest in
materials and processing companies. General risks of the materials sector
include the general state of the economy, consolidation, domestic and
international politics and excess capacity. In addition, basic 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.
NON-CORRELATION RISK. A Fund's return may not match the return of its Index for
a number of reasons. For example, a Fund incurs operating expenses not
applicable to its 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 Index. In addition, a Fund's portfolio holdings may not
exactly replicate the securities included in its Index or the ratios between the
securities included in the Index.
PORTFOLIO TURNOVER RISK. Certain Funds' strategies may frequently involve buying
and selling portfolio securities to rebalance the Funds' exposure to various
market sectors. High portfolio turnover may result in a Fund paying higher
levels of transaction costs and generating greater tax liabilities for
shareholders. Portfolio turnover risk may cause a Fund's performance to be less
than you expect.
REPLICATION MANAGEMENT RISK. The Funds are exposed to additional market risk due
to their policy of investing principally in the securities included in the
Indices. As a result of this policy, securities held by the Funds will generally
not be bought or sold in response to market fluctuations.
SMALLER COMPANIES RISK. Small and/or mid capitalization companies may be more
vulnerable to adverse general market or economic developments, and their
securities may be less liquid and may experience greater price volatility than
larger, more established companies as a result of several factors, including
limited trading volumes, products or financial resources, management
inexperience and less publicly available information. Accordingly, such
companies are generally subject to greater market risk than larger, more
established companies.
TELECOMMUNICATIONS COMPANIES RISK. Certain of the Funds invest in
telecommunications companies. Telecommunications companies are subject to risks,
which include increased competition and regulation by various regulatory
authorities, the need to commit substantial capital and technological
obsolescence.
UTILITIES COMPANIES RISK. Certain of the Funds invest in utilities companies.
General problems of utilities companies 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.
VALUE STOCKS INVESTMENT RISK. The intrinsic value of a stock with value
characteristics may not be fully recognized by the market for a long time or a
stock judged to be undervalued may actually be appropriately priced at a low
level.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016 (UNAUDITED)
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of the
First Trust Exchange-Traded AlphaDEX(R) Fund it manages (the "Funds") in the
United Kingdom in accordance with the cooperation arrangements in Article 42 of
the Alternative Investment Fund Managers Directive (the "Directive"). First
Trust is required under the Directive to make disclosures in respect of
remuneration. The following disclosures are made in line with First Trust's
interpretation of currently available regulatory guidance on remuneration
disclosures.
During the year ended December 31, 2015, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $9,067,727.
This figure is comprised of $453,849 paid (or to be paid) in fixed compensation
and $8,613,878 paid (or to be paid) in variable compensation. There were a total
of 13 beneficiaries of the remuneration described above. Those amounts include
$5,011,396 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $4,056,331 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT
The Board of Trustees (the "Board") of the First Trust Exchange-Traded
AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously
approved the continuation of the Investment Management Agreement (the
"Agreement") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on
behalf of the following nine series of the Trust (each a "Fund" and
collectively, the "Funds"):
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016 (UNAUDITED)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2017 at a meeting held on June 13, 2016. The
Board determined for each Fund that the continuation of the Agreement is in the
best interests of the Fund in light of the extent and quality of the services
provided and such other matters as the Board considered to be relevant in the
exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. At meetings held on April 22, 2016 and June 13, 2016, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees that, among other things, outlined the services provided by the Advisor
to each Fund (including the relevant personnel responsible for these services
and their experience); the advisory fee rate payable by each Fund as compared to
fees charged to a peer group of funds (all of which were exchange-traded funds
("ETFs")) compiled by Management Practice, Inc. ("MPI"), an independent source
(the "MPI Peer Group"), and as compared to fees charged to other clients of the
Advisor, including other ETFs managed by the Advisor; expenses of each Fund as
compared to expense ratios of the funds in the Fund's MPI Peer Group;
performance information for each Fund; the nature of expenses incurred in
providing services to each Fund and the potential for economies of scale, if
any; financial data on the Advisor; any fall-out benefits to the Advisor and its
affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's
compliance program. The Board reviewed initial materials with the Advisor at a
special meeting held on April 22, 2016, prior to which the Independent Trustees
and their counsel met separately to discuss the information provided by the
Advisor. Following the April meeting, independent legal counsel on behalf of the
Independent Trustees requested certain clarifications and supplements to the
materials provided, and the information provided in response to those requests
was considered at an executive session of the Independent Trustees and
independent legal counsel held prior to the June 13, 2016 meeting, as well as at
the meeting held that day. The Board applied its business judgment to determine
whether the arrangement between the Trust and the Advisor continues to be a
reasonable business arrangement from each Fund's perspective as well as from the
perspective of shareholders. The Board determined that, given the totality of
the information provided with respect to the Agreement, the Board had received
sufficient information to renew the Agreement. The Board considered that
shareholders chose to invest or remain invested in a Fund knowing that the
Advisor manages the Fund and knowing the Fund's advisory fee.
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of the services provided by the Advisor under the Agreement.
The Board considered that the Advisor is responsible for the overall management
and administration of the Trust and each Fund and reviewed all of the services
provided by the Advisor to the Funds, as well as the background and experience
of the persons responsible for such services. In reviewing the services
provided, the Board noted the compliance program that had been developed by the
Advisor and considered that it includes a robust program for monitoring the
Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's
compliance with its investment objective and policies. In addition, as part of
the Board's consideration of the Advisor's services, the Advisor, in its written
materials and at the April 22, 2016 meeting, described to the Board the scope of
its ongoing investment in additional infrastructure and personnel to maintain
and improve the quality of services provided to the Funds and the other funds in
the First Trust Fund Complex. In light of the information presented and the
considerations made, the Board concluded that the nature, extent and quality of
the services provided to the Trust and each Fund by the Advisor under the
Agreement have been and are expected to remain satisfactory and that the Advisor
has managed each Fund consistent with the Fund's investment objective and
policies.
The Board considered the advisory fee rate payable by each Fund under the
Agreement for the services provided. The Board considered that the Advisor
agreed to extend the current expense cap for each Fund through November 30,
2017. For each Fund, the Board noted that expenses borne or fees waived by the
Advisor are to be subject to reimbursement by the Fund for up to three years
from the date the expense was incurred or fee was waived, but no reimbursement
payment would be made by the Fund if it would result in the Fund exceeding an
expense ratio equal to the expense cap in place at the time the expenses were
borne or fees were waived by the Advisor. The Board received and reviewed
information showing the advisory or unitary fee rates and expense ratios of the
peer funds in the MPI Peer Groups, as well as advisory fee and unitary fee rates
charged by the Advisor to other fund (including ETFs) and non-fund clients.
Because each Fund's MPI Peer Group included peer funds that pay a unitary fee,
the Board determined that expense ratios were the most relevant comparative data
point. Based on the information provided, the Board noted that the total (net)
expense ratio of each Fund was above the median total (net) expense ratio of the
peer funds in each Fund's respective MPI Peer Group. With respect to the MPI
Peer Groups, the Board discussed with representatives of the Advisor limitations
in creating peer groups for index ETFs, including differences in underlying
indexes and index-tracking methodologies that can result in greater management
complexities across seemingly comparable ETFs, and different business models
that may affect the pricing of services among ETF sponsors. The Board took these
limitations and differences into account in considering the peer data. With
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2016 (UNAUDITED)
respect to fees charged to other clients, the Board considered differences
between the Funds and other clients that limited their comparability. In
considering the advisory fee rates overall, the Board also considered the
Advisor's statement that it seeks to meet investor needs through innovative and
value-added investment solutions and the Advisor's description of its long-term
commitment to each Fund.
The Board considered performance information for each Fund. The Board noted the
process it has established for monitoring each Fund's performance and portfolio
risk on an ongoing basis, which includes quarterly performance reporting from
the Advisor for the Funds. The Board determined that this process continues to
be effective for reviewing each Fund's performance. The Board received and
reviewed information for periods ended December 31, 2015 regarding the
performance of each Fund's underlying index, the correlation between each Fund's
performance and that of its underlying index, each Fund's tracking difference
and each Fund's excess return as compared to its benchmark index. The Board
considered the Advisor's explanations of how the AlphaDEX(R) stock selection
methodology impacts Fund performance in various market environments, and the
Advisor's statement that AlphaDEX(R) is designed to provide long-term
outperformance. Based on the information provided and its ongoing review of
performance, the Board concluded that each Fund was correlated to its underlying
index and that the tracking difference for each Fund was consistent with the
Fund's prospectus. In addition, the Board reviewed data prepared by MPI
comparing each Fund's performance to its respective MPI Peer Group and to one or
more broad-based benchmark indexes, but given each Fund's objective of seeking
investment results that correspond generally to the performance of its
underlying index, the Board placed more emphasis on its review of correlation
and tracking difference.
On the basis of all the information provided on the fees, expenses and
performance of each Fund and the ongoing oversight by the Board, the Board
concluded that the advisory fee for each Fund continues to be reasonable and
appropriate in light of the nature, extent and quality of the services provided
by the Advisor to each Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it expects its expenses to
increase over the next twelve months as the Advisor continues to make
investments in personnel and infrastructure. The Board considered the revenues
and allocated costs (including the allocation methodology) of the Advisor in
serving as investment advisor to each Fund for the twelve months ended December
31, 2015 and the estimated profitability level for each Fund calculated by the
Advisor based on such data, as well as complex-wide and product-line
profitability data for the same period. The Board noted the inherent limitations
in the profitability analysis, and concluded that, based on the information
provided, the Advisor's profitability level for each Fund was not unreasonable.
The Board considered that the Advisor had identified as a fall-out benefit to
the Advisor and FTP their exposure to investors and brokers who, absent their
exposure to the Funds, may have had no dealings with the Advisor or FTP, and
noted that the Advisor does not utilize soft dollars in connection with its
management of the Funds' portfolios.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of the Trust and each Fund. No single
factor was determinative in the Board's analysis.
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2016 (UNAUDITED)
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton 126 None
c/o First Trust Advisors L.P. Orthopedics; Limited Partner
120 E. Liberty Drive, o Since Inception Gundersen Real Estate Limited
Suite 400 Partnership; Member, Sportsmed LLC
Wheaton, IL 60187 (April 2007 to November 2015)
D.O.B.: 04/51
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investor Services, Inc. 126 Director of ADM
c/o First Trust Advisors L.P. (Futures Commission Merchant) Investor Services,
120 E. Liberty Drive, o Since Inception Inc., ADM
Suite 400 Investor Services
Wheaton, IL 60187 International and
D.O.B.: 11/57 Futures Industry
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises 126 Director of Trust
c/o First Trust Advisors L.P. (Financial and Management Consulting) Company of
120 E. Liberty Drive, o Since Inception Illinois
Suite 400
Wheaton, IL 60187
D.O.B.: 11/56
Niel B. Nielson, Trustee o Indefinite Term Managing Director and Chief Operating 126 Director of
c/o First Trust Advisors L.P. Officer (January 2015 to Present), Pelita Covenant
120 E. Liberty Drive, o Since Inception Harapan Educational Foundation (Educational Transport Inc.
Suite 400 Products and Services); President and Chief (May 2003 to
Wheaton, IL 60187 Executive Officer (June 2012 to September May 2014)
D.O.B.: 03/54 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
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 126 None
Chairman of the Board Advisors L.P. and First Trust
120 E. Liberty Drive, o Since Inception Portfolios L.P.; Chairman of the
Suite 400 Board of Directors, BondWave LLC
Wheaton, IL 60187 (Software Development Company/
D.O.B.: 09/55 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)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2016 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME, ADDRESS OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
--------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and o Indefinite Term Managing Director and Chief Financial Officer
120 E. Liberty Drive, Chief Executive (January 2016 to Present), Controller (January 2011
Suite 400 Officer o Since January 2016 to January 2016), Senior Vice President (April 2007
Wheaton, IL 60187 to January 2016), First Trust Advisors L.P. and First
D.O.B: 01/66 Trust Portfolios L.P.
Donald P. Swade Treasurer, Chief o Indefinite Term Senior Vice President (July 2016 to Present),
120 E. Liberty Drive, Financial Officer Vice President (April 2012 to July 2016),
Suite 400 and Chief o Since January 2016 First Trust Advisors L.P. and First Trust Portfolios
Wheaton, IL 60187 Accounting Officer L.P., Vice President (September 2006 to April 2012),
D.O.B.: 08/72 Guggenheim Funds Investment Advisors, LLC/
Claymore Securities, Inc.
W. Scott Jardine Secretary and o Indefinite Term General Counsel, First Trust Advisors L.P. and First
120 E. Liberty Drive, Chief Legal Trust Portfolios L.P.; Secretary and General Counsel,
Suite 400 Officer o Since Inception BondWave LLC (Software Development Company/
Wheaton, IL 60187 Investment Advisor); Secretary of Stonebridge
D.O.B.: 05/60 Advisors LLC (Investment Advisor)
Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), Senior Vice
120 E. Liberty Drive, President (September 2005 to July 2012), First Trust
Suite 400 o Since Inception Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 02/70
Kristi A. Maher Chief Compliance o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
120 E. Liberty Drive, Officer and and First Trust Portfolios L.P.
Suite 400 Assistant o Chief Compliance
Wheaton, IL 60187 Secretary Officer Since
D.O.B.: 12/66 January 2011
o Assistant
Secretary Since
Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
120 E. Liberty Drive, and First Trust Portfolios L.P.
Suite 400 o Since Inception
Wheaton, IL 60187
D.O.B.: 06/66
Stan Ueland Vice President o Indefinite Term Senior Vice President (September 2012 to Present),
120 E. Liberty Drive, Vice President (August 2005 to September 2012), First
Suite 400 o Since Inception Trust Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187
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 77
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PRIVACY POLICY
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2016 (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 may collect nonpublic personal information about you from the following
sources:
o Information we receive from you or 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 by law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information with affiliates of the Fund.
PRIVACY ONLINE
We allow third-party companies, including AddThis, 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, we restrict access to your
nonpublic personal information to those individuals who need to know that
information to provide products or services to you. We maintain physical,
electronic and procedural safeguards to protect your nonpublic personal
information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time; however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
Page 78
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
--------------------------------------------------------------------------------
FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Annual Report July 31, 2016
--------------------------------------------------------------------------------
AlphaDEX(R) Style Funds
------------------------
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)
First Trust Mega Cap AlphaDEX(R) Fund (FMK)
ALPHADEX(R)
FAMILY OF ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 4
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 6
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 8
First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 10
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 12
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 14
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 16
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 18
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 20
First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 22
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 24
First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 26
Notes to Fund Performance Overview.......................................... 28
Understanding Your Fund Expenses............................................ 29
Portfolio of Investments
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 31
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 38
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 46
First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 55
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 60
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 65
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 75
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 85
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 90
First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 95
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 101
First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 107
Statements of Assets and Liabilities........................................ 110
Statements of Operations.................................................... 113
Statements of Changes in Net Assets......................................... 116
Financial Highlights........................................................ 120
Notes to Financial Statements............................................... 127
Report of Independent Registered Public Accounting Firm..................... 136
Additional Information...................................................... 137
Board of Trustees and Officers.............................................. 143
Privacy Policy.............................................................. 145
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information Section of this report for a
discussion of other risks in investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
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.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at http://www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment in
each Fund. It includes details about each Fund's portfolios and presents data
and analysis that provide insight into each Fund's performance and investment
approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information,
this report and other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2016
Dear Shareholders:
Thank you for your investment in the Style Funds of First Trust Exchange-Traded
AlphaDEX(R) Fund.
First Trust Advisors L.P. ("First Trust") is pleased to provide you with the
annual report which contains detailed information about your investment for the
12 months ended July 31, 2016, including a market overview and a performance
analysis for the period. We encourage you to read this report and discuss it
with your financial advisor.
While markets were up and down during 2015, we believe there are three important
things to remember. First, the U.S. economy grew, despite the massive decline in
oil prices. Second, the tapering that began in 2014 by the Federal Reserve (the
"Fed") did not stop growth in the U.S. economy. Finally, the long-anticipated
rate hike by the Fed in December 2015 had little effect on the money supply, and
the stock market was not shocked by the hike. Early in 2016, many investors were
concerned that the volatility we saw in the market in 2015 would continue, and
it did. From December 31, 2015 through February 11, 2016, the S&P 500(R) Index
declined by 10.27%. Since then, the market has made a steady comeback, and from
February 11, 2016 to July 31, 2016, the S&P 500(R) Index was up 19.99%.
First Trust believes that having a long-term investment horizon and investing in
quality products can help you reach your goals, regardless of how the market
behaves. We have always maintained perspective about the markets and believe
investors should as well. We will continue to strive to provide quality
investment opportunities each and every day, which has been one of the hallmarks
of our firm since its inception 25 years ago.
Thank you for giving First Trust the opportunity to be a part of your investment
plan. We value our relationship with you and will continue to focus on helping
investors like you reach 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
ANNUAL REPORT
JULY 31, 2016
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 over 25 years of experience as an
Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE U.S./GLOBAL ECONOMY
One of the reasons cited by the Federal Reserve for not raising interest rates
beyond the initial 0.25% hike in the federal funds target rate on December 16,
2015 is the slowdown in global growth. The International Monetary Fund reduced
its global growth estimate for 2016 from 3.3% in April to 3.2% in July. It also
shaved its 2017 estimate by 0.1% to 3.5%, according to its own release. To help
put this concern into perspective, the rate was 5.4% in 2010.
The rebound in the price of crude oil is boosting Mergers & Acquisitions ("M&A")
activity in the energy sector, according to Bloomberg. From February 11, 2016
(multi-year low) through August 25, 2016, the price of a barrel of crude oil
rose 80.6%, from $26.21 to $47.33. Wood Mackenzie, a consulting firm, reported
that more than $11 billion worth of oil and gas transactions were announced
globally in July. It was the highest monthly total so far this year. Since May,
deal volume has totaled $32 billion. Wood Mackenzie believes that M&A activity
will continue to accelerate as oil prices stabilize. Higher energy prices, if
sustained, could help boost global economic growth moving forward. Many nations
around the globe rely fairly heavily on the sale of crude oil to help fund their
economies, in our opinion.
ETFGI, an industry research group, reported that total assets invested in
exchange-traded funds (ETFs) and other exchange-traded products (ETPs) reached a
record high of $3.34 trillion globally in July 2016, according to its own
release. Total assets invested in U.S. ETFs/ETPs reached a record high of $2.37
trillion in July 2016.
STYLE/MARKET CAP INVESTING
One barometer for gauging investors' appetites for equities is tracking money
flows in and out of open-end mutual funds and ETFs. For the 12-month period
ended July 31, 2016, U.S. Equity funds/ETFs reported net outflows totaling over
$47 billion, according to data from Morningstar. Investors continue to favor
passive funds over actively managed funds. Passive U.S. Equity funds/ETFs
reported net inflows totaling $163.6 billion, compared to net outflows totaling
$211.0 billion for actively managed U.S. Equity funds/ETFs.
For the 12-month period ended July 2016, Morningstar reported the following net
flows for these nine Style/Market Cap fund categories: $51.2 billion (Large
Blend); $1.1 billion (Large Value); -$58.8 billion (Large Growth); -$2.2 billion
(Mid-Cap Blend); -$6.4 billion (Mid-Cap Value); -$20.3 billion (Mid-Cap Growth);
-$0.4 billion (Small Blend); $2.6 billion (Small Value); and -$14.4 billion
(Small Growth).
Slow and steady appears to be winning the race, in our opinion. Despite the
moderate pace of economic growth since the previous recession ended in 2009, the
current bull market in stocks is the second-longest in U.S. history at 2,701
days through July, as measured by the S&P 500(R) Index, according to Bespoke
Investment Group. From March 9, 2009 to July 29, 2016, the S&P 500(R) Index
posted a cumulative total return of 275.51%, according Bloomberg. From 2009 to
2015, the S&P 500(R) Index increased its annual earnings from $58.15 to $109.32,
according to Bloomberg. Currently, Bloomberg's consensus estimates for 2016 and
2017 are $117.73 and $133.11, respectively.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Large Cap Core Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Large
Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its
net assets in common stocks that comprise the Index. From the beginning of the
period covered by this report until April 8, 2016, the shares of the Fund traded
on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and
trade on The Nasdaq Stock Market LLC under the ticker symbol "FEX." The Fund
commenced trading on May 9, 2007.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 3.59% 12.03% 6.22% 76.51% 74.58%
Market Price 3.53% 12.05% 6.22% 76.63% 74.61%
INDEX PERFORMANCE
Defined Large Cap Core Index(1) 4.13% 12.79% 6.98% 82.50% 86.43%
Nasdaq AlphaDEX(R) Large Cap Core Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 500 Large Cap Index(2) N/A N/A N/A N/A N/A
S&P 500(R) Index 5.61% 13.38% 6.31% 87.36% 75.97%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Core Index was replaced with the Nasdaq AlphaDEX(R)
Large Cap Core Index. The new index is substantially similar to the old
index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns from April 8, 2016 through July 31,
2016 were 7.33% and 7.38% at NAV and Market Price, respectively. That
compares to an Index return of 7.54% for the same period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FEX's one-year net asset value ("NAV") return of 3.59% underperformed the
benchmark S&P 500(R) Index return of 5.61% by -2.02%. The Utilities sector was
the leading contributing sector during the period with a 1.9% contribution,
24.2% return, and 8.4% average weighting. The Gas Utilities industry had an
impressive 51.9% return, but was limited to a 0.2% contribution due to its small
allocation of 0.4%. The Consumer Discretionary sector was given the highest
weighting during the period at 19%, and due to its -3.6% return, contributed
-1.1% to the Fund's return. Amongst the Consumer Discretionary sector,
securities held within the Multiline Retail industry such as Kohls Co., Macy's
Inc., and Nordstrom, Inc. had a -21.9% return and contributed -0.4% to the
Fund's return. On a relative basis the Fund underperformed the benchmark
primarily due to the Consumer Discretionary sector where the Fund was overweight
the sector by 6.2% and underperformed by -7.1%, creating -1.7% of relative
underperformance. The Financials sector, the second highest weighted sector
during the period at 15.2%, reversed 1.3% of underperformance by outperforming
the benchmark by 4.9%.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 22.72%
Consumer Discretionary 16.89
Information Technology 13.40
Industrials 12.79
Health Care 8.81
Consumer Staples 7.46
Utilities 7.35
Energy 4.02
Materials 3.99
Telecommunication Services 2.57
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
American Airlines Group, Inc. 0.54%
Gap (The), Inc. 0.52
NVIDIA Corp. 0.52
WhiteWave Foods (The) Co. 0.50
Hewlett Packard Enterprise Co. 0.49
Edwards Lifesciences Corp. 0.49
United Continental Holdings, Inc. 0.49
BorgWarner, Inc. 0.48
Lear Corp. 0.48
General Motors Co. 0.48
-------
Total 4.99%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust
Large Cap Core Defined Large Cap S&P 500(R)
AlphaDEX(R) Fund Core Index Index
5/8/07 $10,000 $10,000 $10,000
7/31/07 9,560 9,579 9,690
1/31/08 9,022 9,071 9,271
7/31/08 8,304 8,383 8,615
1/31/09 5,325 5,398 5,690
7/31/09 6,711 6,830 6,896
1/31/10 7,618 7,783 7,576
7/31/10 8,205 8,410 7,850
1/31/11 9,765 10,049 9,257
7/31/11 9,891 10,216 9,393
1/31/12 9,963 10,335 9,647
7/31/12 10,109 10,520 10,250
1/31/13 11,623 12,141 11,266
7/31/13 13,283 13,921 12,813
1/31/14 14,276 15,018 13,690
7/31/14 15,651 16,520 14,983
1/31/15 16,264 17,222 15,637
7/31/15 16,852 17,904 16,662
1/31/16 15,087 16,079 15,534
7/31/16 17,457 18,644 17,598
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 190 2 0 0
8/1/12 - 7/31/13 149 0 0 0
8/1/13 - 7/31/14 236 0 0 0
8/1/14 - 7/31/15 201 0 0 0
8/1/15 - 7/31/16 148 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 61 0 0 0
8/1/12 - 7/31/13 101 0 0 0
8/1/13 - 7/31/14 16 0 0 0
8/1/14 - 7/31/15 51 0 0 0
8/1/15 - 7/31/16 103 0 0 0
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") sought investment results
that corresponded generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Defined Mid Cap Core Index. Effective
April 8, 2016, the Fund changed its investment objective to 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) Mid Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets in common stocks that comprise the Index. From the beginning of the
period covered by this report until April 8, 2016, the shares of the Fund traded
on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and
trade on The Nasdaq Stock Market LLC under the ticker symbol "FNX." The Fund
commenced trading on May 9, 2007.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
----------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 0.76% 10.03% 7.11% 61.25% 88.55%
Market Price 0.76% 10.04% 7.11% 61.34% 88.55%
INDEX PERFORMANCE
Defined Mid Cap Core Index(1) 2.17% 10.95% 7.97% 68.11% 102.93%
Nasdaq AlphaDEX(R) Mid Cap Core Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 600 Mid Cap Index(2) N/A N/A N/A N/A N/A
S&P MidCap 400(R) Index 5.53% 12.28% 7.85% 78.48% 100.92%
----------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Core Index was replaced with the Nasdaq AlphaDEX(R)
Mid Cap Core Index. The new index is substantially similar to the old
index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 8.40% and 8.39% at NAV and Market Price,
respectively. That compares to an Index return of 8.59% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNX's one-year NAV return of 0.76% underperformed the benchmark S&P MidCap
400(R) Index return of 5.53% by -4.77%. The Financials sector contributed the
most during the period to the Fund's return, with a 2.5% contribution stemming
from its high 21.8% allocation and 6.6% return. Amongst this sector, the Real
Estate Investment Trust ("REIT") industry contributed 2.8% to the Fund's return.
REITs had a return of 29.8% during the period. The Energy sector was the Fund's
worst performing sector with a -29.3% return, contributing -3.1% to the Fund's
return, and given an average allocation of 6.4% during the period. The two
industries within the Energy sector, the Oil Gas & Consumable Fuels and the
Energy Equipment & Services contributed -1.9% and -1.2%, respectively, to the
Fund's return. On a relative basis the Fund underperformed the benchmark. The
Energy sector caused -1.4% of the underperformance by allocating 2.8% more of
the Fund's weighting to the -29.3% returning sector. Several securities
contributed to this sectors underperformance including Atwood Oceanics, Inc.
(-0.40%), SM Energy Co. (-0.30%), and Western Refining, Inc. (-0.20%). The
Utilities sector, which was the top returning sector during the period at 31.0%,
reversed 0.6% of underperformance as the Fund was slightly overweight the
benchmark by 0.6%. Most securities held within the sector contributed to the
outperformance as they were given slightly higher allocations than the
benchmark.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 29.35%
Industrials 18.50
Consumer Discretionary 15.82
Information Technology 12.26
Health Care 7.68
Materials 4.75
Energy 3.58
Utilities 3.51
Consumer Staples 3.24
Telecommunication Services 1.31
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Hertz Global Holdings, Inc. 0.93%
Penske Automotive Group, Inc. 0.44
Cirrus Logic, Inc. 0.44
Trinity Industries, Inc. 0.44
Radian Group, Inc. 0.43
MGIC Investment Corp. 0.42
LaSalle Hotel Properties 0.41
GameStop Corp., Class A 0.41
Popular, Inc. 0.40
Burlington Stores, Inc. 0.40
-------
Total 4.72%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust
Mid Cap Core Defined Mid Cap S&P MidCap
AlphaDEX(R) Fund Core Index 400(R) Index
5/8/07 $10,000 $10,000 $10,000
7/31/07 9,527 9,540 9,615
1/31/08 8,872 8,911 9,091
7/31/08 8,812 8,889 9,138
1/31/09 5,561 5,625 5,731
7/31/09 7,453 7,576 7,288
1/31/10 8,498 8,674 8,215
7/31/10 9,236 9,464 8,951
1/31/11 11,339 11,665 10,964
7/31/11 11,693 12,072 11,256
1/31/12 11,880 12,312 11,260
7/31/12 11,771 12,248 11,391
1/31/13 13,743 14,352 13,350
7/31/13 15,621 16,365 15,152
1/31/14 17,060 17,932 16,269
7/31/14 17,728 18,701 17,103
1/31/15 18,033 19,086 18,039
7/31/15 18,711 19,861 19,034
1/31/16 16,103 17,142 16,830
7/31/16 18,853 20,291 20,087
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 151 0 0 0
8/1/12 - 7/31/13 177 0 0 0
8/1/13 - 7/31/14 214 0 0 0
8/1/14 - 7/31/15 176 0 0 0
8/1/15 - 7/31/16 138 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 102 0 0 0
8/1/12 - 7/31/13 73 0 0 0
8/1/13 - 7/31/14 38 0 0 0
8/1/14 - 7/31/15 76 0 0 0
8/1/15 - 7/31/16 113 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Small Cap Core Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Small
Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its
net assets in common stocks that comprise the Index. From the beginning of the
period covered by this report until April 8, 2016, the shares of the Fund traded
on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and
trade on The Nasdaq Stock Market LLC under the ticker symbol "FYX." The Fund
commenced trading on May 9, 2007.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 700 Small Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 2.20% 10.36% 6.00% 63.71% 71.23%
Market Price 2.20% 10.36% 5.99% 63.72% 71.13%
INDEX PERFORMANCE
Defined Small Cap Core Index(1) 1.46% 10.83% 6.66% 67.20% 81.33%
Nasdaq AlphaDEX(R) Small Cap Core Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 700 Small Cap Index(2) N/A N/A N/A N/A N/A
S&P SmallCap 600(R) Index 5.96% 13.05% 7.43% 84.63% 93.75%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Core Index was replaced with the Nasdaq AlphaDEX(R)
Small Cap Core Index. The new index is substantially similar to the old
index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 12.13% and 12.33% at NAV and Market Price,
respectively. That compares to an Index return of 12.33% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYX's one-year NAV return of 2.20% underperformed the benchmark S&P SmallCap
600(R) Index return of 5.96% by -3.76%. The Information Technology sector
contributed the most to the Fund's return during the period with a 2.8%
contribution. This sector had a 16.2% allocation and 19.5% return. Within the
Information Technology sector, the Diversified Telecommunication Services
industry had an impressive 57.9% return. The Energy sector contributed -3.8% to
the Fund's return as a result of the Fund allocating 4.9% to the -37.8%
returning sector. The Energy Equipment & Services industry, in particular,
returned -46.7% and contributed -2.3% to the Fund's return. On a relative basis
the Fund underperformed the benchmark primarily due to the Energy sector. This
sector had a -7.5% lower return during the period and was given a 2.0% greater
allocation. It was the Energy Equipment & Services industry that created the
most underperformance within the Energy sector, creating -1.6% drag from its
-19.1% lower return, relative to the benchmark. The Financials and Information
Technology sectors each reversed about 0.34% of drag by outperforming the
benchmark.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 24.04%
Industrials 18.25
Consumer Discretionary 16.30
Information Technology 16.24
Health Care 9.90
Materials 4.77
Consumer Staples 3.89
Energy 2.59
Utilities 2.55
Telecommunication Services 1.47
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Advanced Micro Devices, Inc. 0.40%
CBL & Associates Properties, Inc. 0.39
DigitalGlobe, Inc. 0.38
Gigamon, Inc. 0.37
DeVry Education Group, Inc. 0.37
Navigant Consulting, Inc. 0.36
MaxLinear, Inc., Class A 0.36
TrueBlue, Inc. 0.35
Exelixis, Inc. 0.35
Universal Forest Products, Inc. 0.35
-------
Total 3.68%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust
Small Cap Core Defined Small Cap S&P SmallCap
AlphaDEX(R) Fund Core Index 600(R) Index
5/8/07 $10,000 $10,000 $10,000
7/31/07 9,433 9,454 9,535
1/31/08 8,476 8,534 8,771
7/31/08 8,288 8,382 8,746
1/31/09 5,043 5,124 5,550
7/31/09 6,981 7,125 7,060
1/31/10 7,805 8,001 7,712
7/31/10 8,421 8,667 8,414
1/31/11 10,106 10,442 10,097
7/31/11 10,460 10,846 10,494
1/31/12 10,881 11,315 10,855
7/31/12 10,608 11,080 10,914
1/31/13 12,343 12,944 12,533
7/31/13 14,489 15,241 14,707
1/31/14 15,900 16,802 16,098
7/31/14 15,888 16,844 16,333
1/31/15 16,261 17,300 17,089
7/31/15 16,755 17,873 18,288
1/31/16 14,334 15,335 16,288
7/31/16 17,124 18,134 19,377
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 146 0 0 0
8/1/12 - 7/31/13 190 0 0 0
8/1/13 - 7/31/14 184 1 0 0
8/1/14 - 7/31/15 189 0 0 0
8/1/15 - 7/31/16 94 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 106 1 0 0
8/1/12 - 7/31/13 60 0 0 0
8/1/13 - 7/31/14 67 0 0 0
8/1/14 - 7/31/15 63 0 0 0
8/1/15 - 7/31/16 157 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Large Cap Value Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Large
Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its
net assets in common stocks that comprise the Index. From the beginning of the
period covered by this report until April 8, 2016, the shares of the Fund traded
on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and
trade on The Nasdaq Stock Market LLC under the ticker symbol "FTA." The Fund
commenced trading on May 9, 2007.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Value Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 2.94% 11.00% 5.51% 68.49% 64.02%
Market Price 2.94% 11.00% 5.51% 68.49% 64.01%
INDEX PERFORMANCE
Defined Large Cap Value Index(1) 4.12% 11.90% 6.36% 75.46% 76.72%
Nasdaq AlphaDEX(R) Large Cap Value Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 500 Large Cap Value Index(2) N/A N/A N/A N/A N/A
S&P 500(R) Index 5.61% 13.38% 6.31% 87.36% 75.97%
S&P 500(R) Value Index 5.79% 12.59% 4.30% 80.91% 47.50%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Value Index was replaced with the Nasdaq AlphaDEX(R)
Large Cap Value Index. The new index is substantially similar to the old
index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 6.78% and 6.74% at NAV and Market Price,
respectively. That compares to an Index return of 6.99% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FTA's one-year NAV return of 2.94% underperformed the benchmark S&P 500(R) Value
Index return of 5.79% by -2.85%. The Energy sector contributed -1.9% to the
Fund's return during the period as it had a -9.8% return and 12.3% allocation.
The Oil Gas & Consumables industry contributed -1.2% of the -1.9% due to the
fact that the Fund had a return of -8.6% and 9.5% allocation within the
industry. The Utilities sector was by far the leading sector in terms of
contribution. The Utilities sector contributed 2.9% as a result of the Fund's
23.5% return and 13.5% allocation. The Multi-Utilities and Electric Utilities
industries each accounted for about 1.5% of contribution. On a relative basis,
the Fund underperformed the benchmark. The Energy sector accounted for -2.3% of
the underperformance due to the Fund having a -17.1% worse relative return.
Several securities contributed to the sectors underperformance, including
Southwestern Energy Co. (-0.4% of underperformance), Exxon Mobil Corp. (-0.38%),
and HollyFrontier Co., (-0.28%). The Financials sector reversed close to 2.1% of
underperformance within the Banking industry by underweighting the benchmark by
5.3% and outperforming the benchmark by 1.8%. Wells Fargo & Co., Citigroup Inc.,
and Bank of America Co. were the three largest contributors to the
outperformance, each creating about 0.5% outperformance.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 27.96%
Consumer Discretionary 18.52
Industrials 11.90
Information Technology 10.96
Utilities 8.90
Energy 6.82
Health Care 3.93
Materials 3.85
Consumer Staples 3.78
Telecommunication Services 3.38
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
American Airlines Group, Inc. 1.07%
Gap (The), Inc. 1.04
Hewlett Packard Enterprise Co. 0.98
United Continental Holdings, Inc. 0.98
BorgWarner, Inc. 0.96
Lear Corp. 0.95
General Motors Co. 0.95
Bunge Ltd. 0.95
Best Buy Co., Inc. 0.94
Kohl's Corp. 0.94
-------
Total 9.76%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust
Large Cap Value Defined Large Cap S&P 500(R) S&P 500(R)
AlphaDEX(R) Fund Value Index Index Value Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,450 9,462 9,690 9,586
1/31/08 8,821 8,870 9,271 9,148
7/31/08 7,858 7,933 8,615 8,066
1/31/09 4,993 5,064 5,690 5,060
7/31/09 6,661 6,790 6,896 6,157
1/31/10 7,765 7,947 7,576 6,840
7/31/10 8,228 8,447 7,850 7,079
1/31/11 9,688 9,988 9,257 8,294
7/31/11 9,733 10,072 9,393 8,153
1/31/12 10,072 10,465 9,647 8,388
7/31/12 10,216 10,655 10,250 8,784
1/31/13 11,957 12,519 11,266 10,021
7/31/13 13,602 14,296 12,813 11,446
1/31/14 14,364 15,152 13,690 11,922
7/31/14 15,977 16,912 14,983 13,081
1/31/15 16,113 17,110 15,637 13,335
7/31/15 15,931 16,973 16,662 13,944
1/31/16 14,030 14,993 15,534 12,856
7/31/16 16,398 17,673 17,598 14,750
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 193 0 0 0
8/1/12 - 7/31/13 201 0 0 0
8/1/13 - 7/31/14 231 0 0 0
8/1/14 - 7/31/15 197 0 0 0
8/1/15 - 7/31/16 115 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 60 0 0 0
8/1/12 - 7/31/13 49 0 0 0
8/1/13 - 7/31/14 21 0 0 0
8/1/14 - 7/31/15 55 0 0 0
8/1/15 - 7/31/16 136 0 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Large Cap Growth Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Large
Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of
its net assets in common stocks that comprise the Index. From the beginning of
the period covered by this report until April 8, 2016, the shares of the Fund
traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are
listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTC."
The Fund commenced trading on May 9, 2007.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Growth Index that may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 3.96% 12.81% 6.73% 82.70% 82.43%
Market Price 3.86% 12.81% 6.73% 82.72% 82.39%
INDEX PERFORMANCE
Defined Large Cap Growth Index(1) 4.56% 13.58% 7.49% 89.04% 94.86%
Nasdaq AlphaDEX(R) Large Cap Growth Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 500 Large Cap Growth Index(2) N/A N/A N/A N/A N/A
S&P 500(R) Index 5.61% 13.38% 6.31% 87.36% 75.97%
S&P 500(R) Growth Index 5.28% 14.08% 8.23% 93.23% 107.54%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Growth Index was replaced with the Nasdaq
AlphaDEX(R) Large Cap Growth Index. The new index is substantially similar
to the old index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 7.26% and 7.31% at NAV and Market Price,
respectively. That compares to an Index return of 7.47% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FTC's one-year NAV return of 3.96% underperformed the benchmark S&P 500(R)
Growth Index return of 5.28% by -1.32%. The Information Technology sector was
the leading contributing sector with a 2.1% contribution. This sector was given
the second highest weighting of 18.8% and had a return of 10.8%. NVIDIA Corp.
notably had 190.3% return during the period and contributed 1.0%. The Health
Care sector, the third highest weighted sector at 15.7%, was the worst
contributing sector with a return of -1.8%, causing a -2.3% contribution. The
Health Care Providers & Services industry contributed -1.3%, containing
securities such as Tenet Healthcare Co. (-32.1% return), HCA Holdings, Inc.
(-32.4% return), and AmerisourceBergen Co. (-17.2% return). On a relative basis,
the Fund underperformed the benchmark primarily due to the Fund having a 4.6%
greater allocation and -6.2% lower relative return within the Consumer
Discretionary sector, causing -1.7% of underperformance. Amazon.com, Inc., held
within the Consumer Discretionary sector, was held at a 1.6% lower weighting
relative to the benchmark throughout the period, which created -0.5% of
underperformance. The Energy sector, which made up a small portion of the Fund
throughout the period at 0.7%, reversed 0.9% of underperformance by having a
notable 36.6% higher return than the benchmark. Cameron International Co.,
within the Energy sector, in particular, had a 38.4% higher return than the
benchmark.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 17.77%
Financials 16.62
Health Care 14.67
Consumer Discretionary 14.13
Consumer Staples 12.86
Industrials 12.84
Utilities 4.64
Materials 3.59
Telecommunication Services 1.81
Energy 1.07
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
NVIDIA Corp. 1.06%
WhiteWave Foods (The) Co. 1.03
Edwards Lifesciences Corp. 1.00
Prologis, Inc. 0.97
Tyson Foods, Inc., Class A 0.96
Applied Materials, Inc. 0.96
Cintas Corp. 0.96
Ulta Salon, Cosmetics & Fragrance, Inc. 0.94
T-Mobile US, Inc. 0.94
Amazon.com, Inc. 0.93
-------
Total 9.75%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust
Large Cap Growth Defined Large Cap S&P 500(R) S&P 500(R)
AlphaDEX(R) Fund Growth Index Index Growth Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,740 9,757 9,690 9,802
1/31/08 9,341 9,388 9,271 9,410
7/31/08 8,900 8,982 8,615 9,185
1/31/09 5,737 5,807 5,690 6,357
7/31/09 6,730 6,840 6,896 7,675
1/31/10 7,373 7,518 7,576 8,341
7/31/10 8,090 8,282 7,850 8,651
1/31/11 9,790 10,064 9,257 10,272
7/31/11 9,985 10,309 9,393 10,740
1/31/12 9,674 10,028 9,647 11,023
7/31/12 9,797 10,191 10,250 11,854
1/31/13 10,970 11,446 11,266 12,612
7/31/13 12,582 13,178 12,813 14,284
1/31/14 13,817 14,525 13,690 15,633
7/31/14 14,957 15,778 14,983 17,068
1/31/15 16,060 16,999 15,637 18,198
7/31/15 17,549 18,638 16,662 19,712
1/31/16 16,078 17,130 15,534 18,545
7/31/16 18,245 19,487 17,598 20,753
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 153 0 0 0
8/1/12 - 7/31/13 102 0 0 0
8/1/13 - 7/31/14 206 0 0 0
8/1/14 - 7/31/15 206 0 0 0
8/1/15 - 7/31/16 182 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 100 0 0 0
8/1/12 - 7/31/13 148 0 0 0
8/1/13 - 7/31/14 46 0 0 0
8/1/14 - 7/31/15 46 0 0 0
8/1/15 - 7/31/16 69 0 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Multi Cap Value Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Multi
Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its
net assets in common stocks that comprise the Index. From the beginning of the
period covered by this report until April 8, 2016, the shares of the Fund traded
on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and
trade on The Nasdaq Stock Market LLC under the ticker symbol "FAB." The Fund
commenced trading on May 9, 2007.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select value stocks from the
Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index and Nasdaq US 700
Small Cap Index (together the "Nasdaq US Multi Cap Value Index") that may
generate positive alpha relative to traditional passive indices. The Index is a
modified equal-dollar weighted index where higher ranked stocks receive a higher
weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 1.98% 10.47% 5.93% 64.50% 70.16%
Market Price 2.05% 10.48% 5.93% 64.63% 70.11%
INDEX PERFORMANCE
Defined Multi Cap Value Index(1) 2.96% 11.37% 6.79% 71.34% 83.45%
Nasdaq AlphaDEX(R) Multi Cap Value Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US Multi Cap Value Index(2) N/A N/A N/A N/A N/A
S&P Composite 1500(R) Index 5.60% 13.28% 6.48% 86.52% 78.52%
S&P Composite 1500(R) Value Index 6.03% 12.61% 4.59% 81.10% 51.30%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Multi Cap Value Index was replaced with the Nasdaq AlphaDEX(R)
Multi Cap Value Index. The new index is substantially similar to the old
index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 8.04% and 8.31% at NAV and Market Price,
respectively. That compares to an Index return of 8.28% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FAB's one-year NAV return of 1.98% underperformed the benchmark S&P Composite
1500(R) Value Index return of 6.03% by -4.05%. The Utilities sector contributed
the most to the Fund's return, with a 2.5% contribution, coming from the
sector's 27.7% return and 10.0% allocation. Electric Utilities were the cause of
1.2% of the Fund's return. This industry had a 5.3% allocation and 25.3% return.
The Energy sector contributed -3.9% to the Fund's return as it returned -21.9%
and was given an allocation of 11%. On a relative basis, the Fund underperformed
the benchmark. The Energy sector contributed the most to the relative
underperformance. The Fund and benchmark each had an allocation of about 11%,
but the Fund had a -26.8% lower return than the benchmark. The return difference
is attributable to the Energy Equipment & Services and Oil Gas & Consumable
Fuels industries, having -20.4% and -26.8% lower returns than the benchmark,
respectively. The Financials sector reversed 2.6% of underperformance as the
Fund was underweight the benchmark in this relatively poor performing sector
(0.4% return) by 4.9%. The Banking industry, in particular, was the cause of
1.9% of the outperformance as the Fund underweighted the benchmark by 5.3% and
outperformed the benchmark by 6.9%.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 27.88%
Consumer Discretionary 19.12
Industrials 16.93
Information Technology 10.86
Utilities 5.96
Energy 5.55
Materials 5.01
Health Care 3.28
Consumer Staples 3.00
Telecommunication Services 2.41
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Hertz Global Holdings, Inc. 0.55%
American Airlines Group, Inc. 0.53
Gap (The), Inc. 0.52
Hewlett Packard Enterprise Co. 0.49
United Continental Holdings, Inc. 0.49
BorgWarner, Inc. 0.48
Lear Corp. 0.47
General Motors Co. 0.47
Bunge Ltd. 0.47
Best Buy Co., Inc. 0.47
-------
Total 4.94%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust
Multi Cap Value Defined Multi Cap S&P Composite S&P Composite 1500(R)
AlphaDEX(R) Fund Value Index 1500(R) Index Value Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,317 9,334 9,678 9,567
1/31/08 8,603 8,655 9,241 9,092
7/31/08 7,870 7,948 8,661 8,123
1/31/09 4,973 5,045 5,446 5,336
7/31/09 6,964 7,099 6,931 6,238
1/31/10 8,086 8,275 7,629 6,942
7/31/10 8,611 8,845 7,953 7,218
1/31/11 10,279 10,602 9,414 8,479
7/31/11 10,345 10,707 9,571 8,355
1/31/12 10,799 11,224 9,811 8,592
7/31/12 10,720 11,185 10,362 8,955
1/31/13 12,639 13,242 11,467 10,254
7/31/13 14,571 15,324 13,054 11,730
1/31/14 15,610 16,484 13,966 12,266
7/31/14 16,812 17,824 15,195 13,398
1/31/15 16,811 17,890 15,875 13,675
7/31/15 16,688 17,822 16,905 14,271
1/31/16 14,408 15,444 15,674 13,108
7/31/16 17,018 18,351 17,851 15,131
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 141 0 0 0
8/1/12 - 7/31/13 165 1 0 0
8/1/13 - 7/31/14 224 0 0 0
8/1/14 - 7/31/15 132 0 0 0
8/1/15 - 7/31/16 109 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 111 1 0 0
8/1/12 - 7/31/13 84 0 0 0
8/1/13 - 7/31/14 28 0 0 0
8/1/14 - 7/31/15 120 0 0 0
8/1/15 - 7/31/16 142 0 0 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Multi Cap Growth Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Multi
Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of
its net assets in common stocks that comprise the Index. From the beginning of
the period covered by this report until April 8, 2016, the shares of the Fund
traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are
listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAD."
The Fund commenced trading on May 9, 2007.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select growth stocks from
the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index and Nasdaq US 700
Small Cap Index (together the "Nasdaq US Multi Cap Growth Index") that may
generate positive alpha relative to traditional passive indices. The Index is a
modified equal-dollar weighted index where higher ranked stocks receive a higher
weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/8/07) Ended (5/8/07)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 2.66% 11.54% 6.82% 72.66% 83.79%
Market Price 2.60% 11.54% 6.81% 72.68% 83.75%
INDEX PERFORMANCE
Defined Multi Cap Growth Index(1) 3.55% 12.42% 7.65% 79.60% 97.51%
Nasdaq AlphaDEX(R) Multi Cap Growth Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US Multi Cap Growth Index(2) N/A N/A N/A N/A N/A
S&P Composite 1500(R) Index 5.60% 13.28% 6.48% 86.52% 78.52%
S&P Composite 1500(R) Growth Index 5.06% 13.87% 8.30% 91.43% 108.81%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Multi Cap Growth Index was replaced with the Nasdaq
AlphaDEX(R) Multi Cap Growth Index. The new index is substantially similar
to the old index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 8.67% and 8.89% at NAV and Market Price,
respectively. That compares to an Index return of 8.91% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FAD's one-year NAV return of 2.66% underperformed the benchmark S&P Composite
1500(R) Growth Index return of 5.06% by -2.40%. The Financials sector
contributed the most to the Fund's return with a 2.3% contribution. This sector
had a 9.1% return and was given the third highest allocation amongst the various
sectors at 16.1%. The REIT industry, in particular, contributed 2.8% to the
Fund's return due to its 32.5% return and 7.6% allocation. The Health Care
sector posted the worst return during the period at -4.2%, and due to its high
allocation of 16.3%, the sector contributed -2.1% to the Fund's return. The
Pharmaceuticals industry in particular had a -28.2% return and -1.1% relative
contribution. On a relative basis, the Fund underperformed the benchmark
primarily due to the Consumer Discretionary sector. Within this sector, -1.8% of
drag was created by having a 1.9% higher weighting than the benchmark and a
-6.8% lower return. Securities within the Internet & Catalog Retail industry,
such as Amazon.com, Inc., which had a 41.5% return, caused -0.8% of drag as the
Fund was underweight the benchmark. The Energy sector reversed 0.9% of
underperformance as the Fund outperformed the benchmark by 41.8%. Several
securities contributed to this outperformance including Rice Energy, Inc., which
had a 59.6% return, and Parsley Energy, Inc., Class A, which had a 25.1% return.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 22.11%
Information Technology 18.15
Health Care 15.27
Consumer Discretionary 13.15
Industrials 12.52
Consumer Staples 8.86
Utilities 3.83
Materials 3.05
Telecommunication Services 1.58
Energy 1.48
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
NVIDIA Corp. 0.53%
WhiteWave Foods (The) Co. 0.51
Edwards Lifesciences Corp. 0.50
Prologis, Inc. 0.48
Tyson Foods, Inc., Class A 0.48
Applied Materials, Inc. 0.48
Cintas Corp. 0.47
Ulta Salon, Cosmetics & Fragrance, Inc. 0.46
T-Mobile US, Inc. 0.46
TransDigm Group, Inc. 0.46
-------
Total 4.83%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 8, 2007 - JULY 31, 2016
First Trust
Multi Cap Growth Defined Multi Cap S&P Composite S&P Composite 1500(R)
AlphaDEX(R) Fund Growth Index 1500(R) Index Growth Index
5/8/07 $10,000 $10,000 $10,000 $10,000
7/31/07 9,797 9,818 9,678 9,796
1/31/08 9,217 9,265 9,241 9,396
7/31/08 9,224 9,309 8,661 9,223
1/31/09 5,782 5,854 5,689 6,307
7/31/09 6,961 7,078 6,931 7,669
1/31/10 7,641 7,801 7,629 8,350
7/31/10 8,399 8,608 7,953 8,725
1/31/11 10,221 10,518 9,414 10,412
7/31/11 10,644 10,997 9,571 10,907
1/31/12 10,438 10,827 9,811 11,155
7/31/12 10,528 10,963 10,362 11,916
1/31/13 11,853 12,387 11,467 12,794
7/31/13 13,476 14,136 13,054 14,496
1/31/14 14,858 15,648 13,966 15,849
7/31/14 15,448 16,332 15,195 17,180
1/31/15 16,440 17,449 15,875 18,331
7/31/15 17,901 19,072 16,905 19,873
1/31/16 16,034 17,153 15,674 18,571
7/31/16 18,377 19,750 17,851 20,879
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 156 0 0 0
8/1/12 - 7/31/13 111 0 0 0
8/1/13 - 7/31/14 196 0 0 0
8/1/14 - 7/31/15 162 0 0 0
8/1/15 - 7/31/16 106 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 97 0 0 0
8/1/12 - 7/31/13 139 0 0 0
8/1/13 - 7/31/14 56 0 0 0
8/1/14 - 7/31/15 90 0 0 0
8/1/15 - 7/31/16 145 0 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Mid Cap Value Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Mid
Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its
net assets in common stocks that comprise the Index. From the beginning of the
period covered by this report until April 8, 2016, the shares of the Fund traded
on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and
trade on The Nasdaq Stock Market LLC under the ticker symbol "FNK." The Fund
commenced trading on April 20, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select value stocks from the
Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 1.22% 10.05% 8.70% 61.45% 55.40%
Market Price 1.29% 10.03% 8.70% 61.28% 55.40%
INDEX PERFORMANCE
Defined Mid Cap Value Index(1) 2.45% 10.96% 9.60% 68.24% 62.30%
Nasdaq AlphaDEX(R) Mid Cap Value Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 600 Mid Cap Value Index(2) N/A N/A N/A N/A N/A
S&P MidCap 400(R) Value Index 7.81% 12.76% 11.14% 82.33% 74.70%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Value Index was replaced with the Nasdaq AlphaDEX(R)
Mid Cap Value Index. The new index is substantially similar to the old
index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 7.93% and 8.11% at NAV and Market Price,
respectively. That compares to an Index return of 8.16% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNK's one-year NAV return of 1.22% underperformed the benchmark S&P MidCap
400(R) Value Index return of 7.81% by -6.59%. The Utilities and Financials
sectors each contributed about 2.4% to the Fund's return. The Utilities sector
had a high contribution due to its 34.0% return during the period, the highest
return amongst the sectors during the period. The Financials sector had a high
contribution due to its high allocation of 22.2%, the highest allocation amongst
the sectors during the period. The REIT industry in particular, within the
Financials sector, contributed 1.5% alone to the Fund's return from its 4.4%
allocation and 15.2% return. On a relative basis, the Fund underperformed the
benchmark. The Energy sector caused -2.3% of underperformance as the Fund was
overweight the benchmark by 3.8% and underperformed the benchmark by -4.0%. Both
of the industries within the Energy sector, the Energy Equipment & Services and
Oil Gas & Consumable Fuels industries, contributed about -1.15% to the Fund's
return. The Utilities sector reversed 0.6% of underperformance as the Fund
outperformed the benchmark by 3.2%. Electric Utilities accounted for nearly half
of the Utilities sector's outperformance by having a 3.5% higher return than the
benchmark.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 30.51%
Industrials 21.82
Consumer Discretionary 18.40
Information Technology 9.37
Materials 6.08
Energy 4.59
Utilities 3.41
Health Care 2.58
Telecommunication Services 2.03
Consumer Staples 1.21
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Hertz Global Holdings, Inc. 1.83%
Trinity Industries, Inc. 0.87
Radian Group, Inc. 0.86
MGIC Investment Corp. 0.84
LaSalle Hotel Properties 0.81
GameStop Corp., Class A 0.81
Popular, Inc. 0.80
American Eagle Outfitters, Inc. 0.78
Jones Lang LaSalle, Inc. 0.78
Rackspace Hosting, Inc. 0.78
-------
Total 9.16%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2016
First Trust
Mid Cap Value Defined Mid Cap S&P MidCap 400(R)
AlphaDEX(R) Fund Value Index Value Index
4/19/11 $10,000 $10,000 $10,000
7/31/11 9,625 9,646 9,581
1/31/12 9,982 10,041 9,720
7/31/12 9,935 10,036 9,869
1/31/13 11,765 11,928 11,640
7/31/13 13,549 13,787 13,358
1/31/14 14,657 14,977 14,305
7/31/14 15,487 15,880 15,311
1/31/15 15,205 15,640 15,816
7/31/15 15,351 15,837 16,204
1/31/16 13,091 13,549 14,376
7/31/16 15,539 16,226 17,468
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 198 0 0 0
8/1/12 - 7/31/13 157 2 0 0
8/1/13 - 7/31/14 211 1 0 0
8/1/14 - 7/31/15 188 0 0 0
8/1/15 - 7/31/16 140 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 55 0 0 0
8/1/12 - 7/31/13 91 0 0 0
8/1/13 - 7/31/14 40 0 0 0
8/1/14 - 7/31/15 64 0 0 0
8/1/15 - 7/31/16 111 0 0 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Mid Cap Growth Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Mid
Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of
its net assets in common stocks that comprise the Index. From the beginning of
the period covered by this report until April 8, 2016, the shares of the Fund
traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are
listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNY."
The Fund commenced trading on April 20, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select growth stocks from
the Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 0.03% 9.77% 8.98% 59.41% 57.51%
Market Price -0.10% 9.73% 8.96% 59.09% 57.36%
INDEX PERFORMANCE
Defined Mid Cap Growth Index(1) 2.27% 10.93% 10.12% 68.01% 66.38%
Nasdaq AlphaDEX(R) Mid Cap Growth Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 600 Mid Cap Growth Index(2) N/A N/A N/A N/A N/A
S&P MidCap 400(R) Growth Index 3.32% 11.74% 10.89% 74.24% 72.67%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Growth Index was replaced with the Nasdaq AlphaDEX(R)
Mid Cap Growth Index. The new index is substantially similar to the old
index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 8.57% and 8.43% at NAV and Market Price,
respectively. That compares to an Index return of 8.79% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNY's one-year NAV return of 0.03% underperformed the benchmark S&P MidCap
400(R) Growth Index return of 3.32% by -3.29%. The Financials sector contributed
the most during the period to the Fund's return, with a 2.9% contribution
stemming from its high 21.8% allocation and 8.1% return. Amongst this sector,
the REIT industry contributed 4.7% to the Fund's return. REITs had a return of
38.9% during the period. The Consumer Discretionary sector was the Fund's third
highest weighted sector during the period at 17.8% and the Fund's worst
contributing sector with a -2.7% contribution, stemming from its -5.8% return.
The Hotels Restaurants & Leisure industry in particular contributed -1.1% to the
Fund's return due to its higher weighting of 5.1% and return of -4.4%. On a
relative basis, the Fund underperformed the benchmark. The underperformance can
be attributed primarily to the Health Care sector, which was given a 13.9%
allocation during the period, where the Fund underperformed the benchmark by
-10.1%, creating -1.8% of drag. The Life Sciences Tools & Services industry,
within the Health Care sector, was the cause of -0.8% of the underperformance.
The Industrials sector, which was given a weighting of 11.1% during the period,
reversed close to 1.1% of underperformance by outperforming the benchmark by
8.1%. The Airlines industry alone, within the Industrials sector, reversed 0.5%
of underperformance by underweighting the poor performing industry (-26.9%
return).
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 28.65%
Information Technology 17.59
Health Care 14.01
Consumer Discretionary 13.52
Industrials 11.88
Consumer Staples 5.51
Utilities 3.34
Materials 2.51
Energy 2.41
Telecommunication Services 0.58
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Cirrus Logic, Inc. 0.89%
Ubiquiti Networks, Inc. 0.82
Burlington Stores, Inc. 0.82
Veeva Systems, Inc., Class A 0.79
MarketAxess Holdings, Inc. 0.79
Align Technology, Inc. 0.79
Lennox International, Inc. 0.78
Pool Corp. 0.77
ABIOMED, Inc. 0.77
Douglas Emmett, Inc. 0.76
-------
Total 7.98%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2016
First Trust
Mid Cap Growth Defined Mid Cap S&P MidCap 400(R)
AlphaDEX(R) Fund Growth Index Growth Index
4/19/11 $10,000 $10,000 $10,000
7/31/11 9,881 9,903 9,910
1/31/12 9,804 9,866 9,779
7/31/12 9,673 9,765 9,861
1/31/13 11,050 11,201 11,485
7/31/13 12,290 12,507 12,894
1/31/14 13,612 13,902 13,883
7/31/14 13,824 14,174 14,345
1/31/15 14,646 15,076 15,414
7/31/15 15,748 16,268 16,711
1/31/16 13,744 14,256 14,724
7/31/16 15,753 16,638 17,266
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 201 1 0 0
8/1/12 - 7/31/13 169 0 0 0
8/1/13 - 7/31/14 200 0 0 0
8/1/14 - 7/31/15 192 0 0 0
8/1/15 - 7/31/16 106 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 51 0 0 0
8/1/12 - 7/31/13 81 0 0 0
8/1/13 - 7/31/14 52 0 0 0
8/1/14 - 7/31/15 60 0 0 0
8/1/15 - 7/31/16 145 0 0 0
Page 21
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Small Cap Value Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Small
Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its
net assets in common stocks that comprise the Index. From the beginning of the
period covered by this report until April 8, 2016, the shares of the Fund traded
on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and
trade on The Nasdaq Stock Market LLC under the ticker symbol "FYT." The Fund
commenced trading on April 20, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select value stocks from the
Nasdaq US 700 Small Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 0.79% 9.67% 8.98% 58.64% 57.52%
Market Price 0.76% 9.61% 8.97% 58.22% 57.42%
INDEX PERFORMANCE
Defined Small Cap Value Index(1) 0.73% 10.40% 9.72% 64.04% 63.22%
Nasdaq AlphaDEX(R) Small Cap Value Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 700 Small Cap Value Index(2) N/A N/A N/A N/A N/A
S&P SmallCap 600(R) Value Index 8.95% 13.14% 12.00% 85.42% 81.96%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Value Index was replaced with the Nasdaq AlphaDEX(R)
Small Cap Value Index. The new index is substantially similar to the old
index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 11.42% and 11.43% at NAV and Market Price,
respectively. That compares to an Index return of 11.67% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYT's one-year NAV return of 0.79% underperformed the benchmark S&P SmallCap
600(R) Value Index return of 8.95% by -8.16%. Several sectors contributed
equally to the Fund's return during the period including the Information
Technology (2% contribution), Industrials (1.9% contribution), Financials (1.7%
contribution), and Utilities (1.6% contribution) sectors. The highest weighted
sector during the period was the Consumer Discretionary sector at 19.4%, but it
had a near flat contribution due to its -8.4% return. The Energy sector was the
worst performing and contributing sector during the period. This sector had a
-40.9% return and -7.1% contribution to the Fund's return. The contribution was
tampered due to its relatively low weighting of 8.5% during the period. On a
relative basis, the Fund underperformed the benchmark. It was the Energy sector
that contributed the most to the relative underperformance. The Fund held the
Energy sector at a 4.2% greater allocation and had a -8.2% lower return, leading
to -4.7% of relative underperformance. The two industries within the Energy
sector, the Oil Gas & Consumable Fuels and Energy Equipment & Services
industries, each contributed about -2.3% to the underperformance, each
overweighting and underperforming the benchmark. The Health Care sector reversed
0.5% of drag by underweighting the benchmark by 3.8% and outperforming the
benchmark by 1.5%.
Page 22
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 23.71%
Industrials 22.00
Consumer Discretionary 21.69
Information Technology 12.84
Materials 6.26
Energy 3.86
Consumer Staples 3.74
Health Care 2.77
Utilities 2.54
Telecommunication Services 0.59
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
DigitalGlobe, Inc. 0.76%
DeVry Education Group, Inc. 0.75
Navigant Consulting, Inc. 0.73
TrueBlue, Inc. 0.71
Nelnet, Inc., Class A 0.70
Abercrombie & Fitch Co., Class A 0.70
PRA Group, Inc. 0.69
NRG Yield, Inc., Class C 0.69
Barnes Group, Inc. 0.69
Maiden Holdings Ltd. 0.69
-------
Total 7.11%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2016
First Trust
Small Cap Value Defined Small Cap S&P SmallCap 600(R)
AlphaDEX(R) Fund Value Index Value Index
4/19/11 $10,000 $10,000 $10,000
7/31/11 9,930 9,950 9,813
1/31/12 10,692 10,748 10,331
7/31/12 10,005 10,103 10,231
1/31/13 11,945 12,115 11,945
7/31/13 14,241 14,499 14,054
1/31/14 15,577 15,946 15,278
7/31/14 15,931 16,372 15,723
1/31/15 15,996 16,517 16,154
7/31/15 15,630 16,203 16,701
1/31/16 13,090 13,632 14,973
7/31/16 15,754 16,322 18,195
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 154 3 0 0
8/1/12 - 7/31/13 177 5 0 0
8/1/13 - 7/31/14 167 0 0 0
8/1/14 - 7/31/15 164 0 0 0
8/1/15 - 7/31/16 100 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 95 1 0 0
8/1/12 - 7/31/13 67 1 0 0
8/1/13 - 7/31/14 84 0 1 0
8/1/14 - 7/31/15 88 0 0 0
8/1/15 - 7/31/16 151 0 0 0
Page 23
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") sought investment
results that corresponded generally to the price and yield (before the Fund's
fees and expenses) of an equity index called the Defined Small Cap Growth Index.
Effective April 8, 2016, the Fund changed its investment objective to 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) Small
Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of
its net assets in common stocks that comprise the Index. From the beginning of
the period covered by this report until April 8, 2016, the shares of the Fund
traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are
listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYC."
The Fund commenced trading on April 20, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select growth stocks from
the Nasdaq US 700 Small Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 3.54% 10.96% 10.18% 68.20% 66.86%
Market Price 3.60% 10.93% 10.18% 68.00% 66.91%
INDEX PERFORMANCE
Defined Small Cap Growth Index(1) 2.70% 11.49% 10.72% 72.25% 71.25%
Nasdaq AlphaDEX(R) Small Cap Growth Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 700 Small Cap Growth Index(2) N/A N/A N/A N/A N/A
S&P SmallCap 600(R) Growth Index 3.27% 12.96% 12.19% 83.94% 83.61%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Growth Index was replaced with the Nasdaq
AlphaDEX(R) Small Cap Growth Index. The new index is substantially similar
to the old index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 12.48% and 12.61% at NAV and Market Price,
respectively. That compares to an Index return of 12.75% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYC's one-year NAV return of 3.54% outperformed the benchmark S&P SmallCap
600(R) Growth Index return of 3.27% by 0.27%. The Information Technology sector
was the top contributing sector during the period at 3.8%. This sector had an
18.2% allocation and 19.3% return. Several industries within the Information
Technology sector posted high returns during the period including Diversified
Telecommunication Services (57.9%), IT Services (31.1%), and Semiconductors &
Semiconductor Equipment (29.0%). The Health Care sector was the worst
contributing sector during the period at -3.3%. This sector had a 21.1%
allocation during the period, the highest amongst the sectors, and a -5.2%
return. The Pharmaceuticals industry returned -27.4% during the period and
contributed -1.6% to the Fund's return. On a relative basis, the Fund
outperformed the benchmark primarily due to the Financials sector. This sector
was given the second highest allocation during the period at 20.9%, 3.7% lower
than the benchmark. The sector also had a 6.3% higher return than the benchmark,
leading to 1.5% of relative outperformance. The Health Care sector reversed 2.5%
of outperformance as the Fund was overweight the benchmark by 2.4% and
underperformed by -8.1%.
Page 24
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 25.83%
Information Technology 19.87
Health Care 18.56
Industrials 12.72
Consumer Discretionary 10.21
Consumer Staples 4.07
Utilities 2.58
Materials 2.57
Telecommunication Services 2.50
Energy 1.09
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Advanced Micro Devices, Inc. 0.81%
Gigamon, Inc. 0.76
Five Prime Therapeutics, Inc. 0.74
MaxLinear, Inc., Class A 0.73
Exelixis, Inc. 0.71
Universal Forest Products, Inc. 0.70
Trinseo S.A. 0.70
Lexicon Pharmaceuticals, Inc. 0.69
Nevro Corp. 0.68
Cooper-Standard Holding, Inc. 0.67
-------
Total 7.19%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2016
First Trust
Small Cap Growth Defined Small Cap S&P SmallCap 600(R)
AlphaDEX(R) Fund Growth Index Growth Index
4/19/11 $10,000 $10,000 $10,000
7/31/11 9,920 9,942 9,982
1/31/12 9,826 9,878 10,155
7/31/12 10,157 10,253 10,362
1/31/13 11,338 11,488 11,710
7/31/13 13,014 13,244 13,710
1/31/14 14,413 14,723 15,107
7/31/14 13,992 14,362 15,093
1/31/15 14,637 15,088 16,071
7/31/15 16,115 16,676 17,778
1/31/16 14,186 14,743 15,737
7/31/16 16,685 17,126 18,361
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2011 through July
31, 2016. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 145 1 0 0
8/1/12 - 7/31/13 126 3 0 0
8/1/13 - 7/31/14 164 0 0 0
8/1/14 - 7/31/15 209 0 0 0
8/1/15 - 7/31/16 141 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 105 2 0 0
8/1/12 - 7/31/13 116 5 0 0
8/1/13 - 7/31/14 87 1 0 0
8/1/14 - 7/31/15 43 0 0 0
8/1/15 - 7/31/16 110 0 0 0
Page 25
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
From the beginning of the period covered by this report until April 8, 2016, the
First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") sought investment results
that corresponded generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Defined Mega Cap Index. Effective April
8, 2016, the Fund changed its investment objective to 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) Mega Cap Index (the
"Index"). The Fund will normally invest at least 90% of its net assets in common
stocks that comprise the Index. From the beginning of the period covered by this
report until April 8, 2016, the shares of the Fund traded on the NYSE Arca.
Effective April 8, 2016, the shares of the Fund are listed and trade on The
Nasdaq Stock Market LLC under the ticker symbol "FMK." The Fund commenced
trading on May 12, 2011.
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select mega cap stocks from
the Nasdaq US 500 Large Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/11/11) Ended (5/11/11)
7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16
FUND PERFORMANCE
NAV 0.19% 8.91% 7.69% 53.21% 47.27%
Market Price 0.04% 8.88% 7.67% 53.04% 47.10%
INDEX PERFORMANCE
Defined Mega Cap Index(1) 1.44% 9.89% 8.67% 60.27% 54.38%
Nasdaq AlphaDEX(R) Mega Cap Index(2) (3) N/A N/A N/A N/A N/A
Nasdaq US 500 Large Cap Index(2) N/A N/A N/A N/A N/A
S&P 100(R) Index 5.75% 13.26% 12.14% 86.37% 81.92%
-------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mega Cap Index was replaced with the Nasdaq AlphaDEX(R) Mega
Cap Index. The new index is substantially similar to the old index.
(2) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for each of the
entire periods.
(3) The Fund's cumulative total returns for the period from April 8, 2016
through July 31, 2016 were 4.86% and 5.19% at NAV and Market Price,
respectively. That compares to an Index return of 5.10% for the same
period.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FMK's one-year NAV return of 0.19% underperformed the benchmark S&P 100(R) Index
return of 5.75% by -5.56%. The Information Technology sector was given the
greatest allocation of 22.9% and had a return of 7.5%, leading to a 1.4%
contribution to the Fund's return. In the Information Technology sector, the
Semiconductor & Semiconductor Equipment industry contributed 0.9%, due to its
15.6% return and 6.7% allocation. The Health Care sector deterred -3.5% of Fund
performance as this sector had a -16.9% return and 11.7% allocation. The
Biotechnology industry caused -1.9% of the sector's contribution. The
Biotechnology industry was given an allocation of 4.1% and had a return of
-28.9%. On a relative basis, the Fund underperformed the benchmark. The
underperformance can be largely attributed to the Health Care sector. The Health
Care sector caused -3.3% of underperformance as it had an -18.9% lower return.
The Biotechnology and Pharmaceuticals industries each contributed about -1.1% of
underperformance due to underperforming the benchmark by -16.1% and -23.9%
respectively. The Financials sector reversed 1.7% of underperformance as the
Fund was underweight the benchmark in this poor performing sector (-12.2%
return) by 6.1%. The Banking industry, in particular, was the cause of 1.6% of
the outperformance as the Fund underweighted the benchmark by 4.3% and
outperformed the benchmark by 5.1%.
Page 26
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Health Care 20.00%
Consumer Discretionary 17.86
Financials 17.67
Information Technology 13.52
Consumer Staples 9.51
Industrials 6.03
Telecommunication Services 5.87
Energy 5.65
Utilities 3.89
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
General Motors Co. 3.64%
Intel Corp. 3.47
Amazon.com, Inc. 3.46
Lockheed Martin Corp. 3.33
UnitedHealth Group, Inc. 3.31
Medtronic PLC 3.30
AT&T, Inc. 3.27
Mondelez International, Inc., Class A 3.16
Phillips 66 3.13
Gilead Sciences, Inc. 3.11
-------
Total 33.18%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 11, 2011 - JULY 31, 2016
First Trust
Mega Cap Defined Mega S&P 100(R)
AlphaDEX(R) Fund Cap Index Index
5/11/11 $10,000 $10,000 $10,000
7/31/11 9,612 9,632 9,761
1/31/12 9,571 9,631 10,120
7/31/12 9,248 9,349 10,960
1/31/13 10,467 10,619 11,784
7/31/13 11,969 12,192 13,341
1/31/14 12,545 12,827 14,108
7/31/14 13,829 14,201 15,520
1/31/15 13,679 14,095 15,998
7/31/15 14,699 15,217 17,202
1/31/16 13,304 13,818 16,228
7/31/16 14,726 15,436 18,190
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency
Distribution of Discounts and Premiums charts are provided to show the frequency
at which the bid/ask midpoint price for the Fund was at a discount or premium to
the daily NAV. The following tables are for comparative purposes only and
represent the period August 1, 2011 through July 31, 2016. Shareholders may pay
more than NAV when they buy Fund shares and receive less than NAV when they sell
those shares because shares are bought and sold at current market price. Data
presented represents past performance and cannot be used to predict future
results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 183 0 0 0
8/1/12 - 7/31/13 128 0 0 0
8/1/13 - 7/31/14 158 0 0 0
8/1/14 - 7/31/15 166 0 0 0
8/1/15 - 7/31/16 145 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/11 - 7/31/12 70 0 0 0
8/1/12 - 7/31/13 122 0 0 0
8/1/13 - 7/31/14 94 0 0 0
8/1/14 - 7/31/15 86 0 0 0
8/1/15 - 7/31/16 106 0 0 0
Page 27
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average annual total returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative total
returns" represent the total change in value of an investment over the periods
indicated. For certain Funds the total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint 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 the Fund's inception, for the period from inception
to the first day of secondary market trading in shares of the Fund, the NAV of
each Fund is used as a proxy for the secondary market trading price to calculate
market returns. NAV and market returns assume that all distributions have been
reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 28
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2016
As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid
Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First
Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R)
Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid
Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First
Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap AlphaDEX(R) Fund
(each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1)
transaction costs; and (2) ongoing costs, including management fees,
distribution and/or service fees, if any, and other Fund expenses. This Example
is intended to help you understand your ongoing costs of investing in the Funds
and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended July 31, 2016.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2016 JULY 31, 2016 PERIOD (a) PERIOD (b)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
Actual $1,000.00 $1,157.10 0.61% $3.27
Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
Actual $1,000.00 $1,170.80 0.63% $3.40
Hypothetical (5% return before expenses) $1,000.00 $1,021.73 0.63% $3.17
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
Actual $1,000.00 $1,194.60 0.64% $3.49
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.64% $3.22
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
Actual $1,000.00 $1,168.80 0.62% $3.34
Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
Actual $1,000.00 $1,134.80 0.62% $3.29
Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
Page 29
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2016
---------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2016 JULY 31, 2016 PERIOD (a) PERIOD (b)
---------------------------------------------------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
Actual $1,000.00 $1,181.10 0.69% $3.74
Hypothetical (5% return before expenses) $1,000.00 $1,021.43 0.69% $3.47
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
Actual $1,000.00 $1,146.10 0.70% $3.74
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
Actual $1,000.00 $1,187.00 0.70% $3.81
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
Actual $1,000.00 $1,146.20 0.70% $3.74
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND ( FYT)
Actual $1,000.00 $1,203.50 0.70% $3.84
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
Actual $1,000.00 $1,176.10 0.70% $3.79
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
Actual $1,000.00 $1,106.90 0.70% $3.67
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in
Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (February 1,
2016 through July 31, 2016), multiplied by 182/366 (to reflect the
one-half year period).
Page 30
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.7%
27,679 General Dynamics Corp. $ 4,065,768
22,094 Honeywell International,
Inc. 2,570,195
25,886 Lockheed Martin Corp. 6,542,169
28,896 Northrop Grumman Corp. 6,259,740
47,237 Raytheon Co. 6,590,979
175,673 Textron, Inc. 6,851,247
24,357 TransDigm Group, Inc. (a) 6,808,269
12,518 United Technologies Corp. 1,347,563
---------------
41,035,930
---------------
AIR FREIGHT & LOGISTICS
-- 0.7%
17,300 C.H. Robinson Worldwide, Inc. 1,204,426
52,382 Expeditors International of
Washington, Inc. 2,589,242
16,933 FedEx Corp. 2,741,453
35,771 United Parcel Service, Inc.,
Class B 3,866,845
---------------
10,401,966
---------------
AIRLINES -- 1.6%
226,881 American Airlines Group,
Inc. 8,054,276
176,299 Delta Air Lines, Inc. 6,831,586
65,523 Southwest Airlines Co. 2,425,006
156,497 United Continental Holdings,
Inc. (a) 7,338,144
---------------
24,649,012
---------------
AUTO COMPONENTS -- 1.3%
217,573 BorgWarner, Inc. 7,219,072
200,241 Goodyear Tire & Rubber (The)
Co. 5,740,910
63,123 Lear Corp. 7,161,304
---------------
20,121,286
---------------
AUTOMOBILES -- 1.2%
510,962 Ford Motor Co. 6,468,779
226,947 General Motors Co. 7,157,908
85,067 Harley-Davidson, Inc. 4,501,746
---------------
18,128,433
---------------
BANKS -- 4.7%
387,209 Bank of America Corp. 5,610,658
108,211 BB&T Corp. 3,989,740
121,210 Citigroup, Inc. 5,310,210
257,162 Citizens Financial Group,
Inc. 5,742,427
292,112 Fifth Third Bancorp 5,544,286
36,709 First Republic Bank 2,630,934
574,751 Huntington Bancshares, Inc. 5,460,135
82,684 JPMorgan Chase & Co. 5,289,295
465,005 KeyCorp 5,440,559
21,728 M&T Bank Corp. 2,489,160
63,136 PNC Financial Services Group
(The), Inc. 5,218,190
603,797 Regions Financial Corp. 5,536,819
125,076 SunTrust Banks, Inc. 5,289,464
63,707 U.S. Bancorp 2,686,524
81,419 Wells Fargo & Co. 3,905,669
---------------
70,144,070
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
BEVERAGES -- 0.9%
31,073 Constellation Brands, Inc.,
Class A $ 5,115,548
39,883 Dr Pepper Snapple Group,
Inc. 3,928,874
12,699 Molson Coors Brewing Co.,
Class B 1,297,330
8,001 Monster Beverage Corp. (a) 1,285,201
12,123 PepsiCo, Inc. 1,320,437
---------------
12,947,390
---------------
BIOTECHNOLOGY -- 0.2%
41,492 AbbVie, Inc. 2,748,015
---------------
BUILDING PRODUCTS -- 0.6%
88,637 Fortune Brands Home &
Security, Inc. 5,608,063
83,042 Masco Corp. 3,029,372
---------------
8,637,435
---------------
CAPITAL MARKETS -- 2.9%
27,369 Affiliated Managers Group,
Inc. (a) 4,017,222
42,887 Ameriprise Financial, Inc. 4,110,290
33,064 Bank of New York Mellon
(The) Corp. 1,302,721
3,747 BlackRock, Inc. 1,372,339
192,469 Franklin Resources, Inc. 6,965,453
25,944 Goldman Sachs Group (The),
Inc. 4,120,167
201,190 Invesco Ltd. 5,870,724
197,777 Morgan Stanley 5,682,133
38,780 Northern Trust Corp. 2,621,140
26,693 SEI Investments Co. 1,201,185
95,301 State Street Corp. 6,268,900
---------------
43,532,274
---------------
CHEMICALS -- 2.2%
18,090 Air Products and Chemicals,
Inc. 2,703,008
19,619 Celanese Corp., Series A 1,244,237
94,598 Eastman Chemical Co. 6,170,627
10,829 Ecolab, Inc. 1,281,937
20,375 International Flavors &
Fragrances, Inc. 2,714,969
86,312 LyondellBasell Industries
N.V., Class A 6,495,841
245,335 Mosaic (The) Co. 6,624,045
12,338 PPG Industries, Inc. 1,291,912
11,426 Praxair, Inc. 1,331,586
8,742 Sherwin-Williams (The) Co. 2,620,240
---------------
32,478,402
---------------
COMMERCIAL SERVICES &
SUPPLIES -- 1.3%
65,451 Cintas Corp. 7,020,929
125,175 Republic Services, Inc. 6,416,471
96,919 Waste Management, Inc. 6,408,284
---------------
19,845,684
---------------
See Notes to Financial Statements Page 31
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT
-- 0.9%
223,865 Cisco Systems, Inc. $ 6,834,599
33,848 F5 Networks, Inc. (a) 4,177,520
30,789 Harris Corp. 2,666,943
---------------
13,679,062
---------------
CONSTRUCTION MATERIALS
-- 0.9%
33,454 Martin Marietta Materials,
Inc. 6,779,453
53,365 Vulcan Materials Co. 6,616,193
---------------
13,395,646
---------------
CONSUMER FINANCE -- 1.8%
376,264 Ally Financial, Inc. 6,787,803
42,281 American Express Co. 2,725,433
101,122 Capital One Financial Corp. 6,783,264
95,886 Discover Financial Services 5,450,160
203,246 Synchrony Financial (a) 5,666,498
---------------
27,413,158
---------------
CONTAINERS & PACKAGING
-- 0.6%
25,360 Crown Holdings, Inc. (a) 1,343,319
60,629 International Paper Co. 2,777,414
99,150 WestRock Co. 4,254,527
---------------
8,375,260
---------------
DISTRIBUTORS -- 0.4%
12,683 Genuine Parts Co. 1,296,710
121,573 LKQ Corp. (a) 4,180,895
---------------
5,477,605
---------------
DIVERSIFIED FINANCIAL
SERVICES -- 1.4%
35,493 Berkshire Hathaway, Inc.,
Class B (a) 5,120,575
13,180 CME Group, Inc. 1,347,523
10,032 Intercontinental Exchange,
Inc. 2,650,455
49,967 MSCI, Inc. 4,299,161
39,725 Nasdaq, Inc. 2,810,941
23,957 S&P Global, Inc. 2,927,545
103,754 Voya Financial, Inc. 2,659,215
---------------
21,815,415
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.6%
118,916 AT&T, Inc. 5,147,874
221,397 CenturyLink, Inc. 6,960,722
124,744 Level 3 Communications,
Inc. (a) 6,312,046
11,893 SBA Communications Corp.,
Class A (a) 1,367,695
92,023 Verizon Communications, Inc. 5,098,994
---------------
24,887,331
---------------
ELECTRIC UTILITIES -- 3.8%
64,710 Alliant Energy Corp. 2,604,577
54,975 American Electric Power Co.,
Inc. 3,809,767
55,776 Avangrid, Inc. 2,517,729
SHARES DESCRIPTION VALUE
------------------------------------------------------------
ELECTRIC UTILITIES (CONTINUED)
59,898 Duke Energy Corp. $ 5,126,670
49,620 Edison International 3,839,596
47,368 Entergy Corp. 3,855,281
64,339 Eversource Energy 3,763,188
141,318 Exelon Corp. 5,268,335
147,190 FirstEnergy Corp. 5,139,875
29,553 NextEra Energy, Inc. 3,791,354
60,288 PG&E Corp. 3,854,815
63,383 Pinnacle West Capital Corp. 4,999,017
68,056 PPL Corp. 2,566,392
47,898 Southern (The) Co. 2,562,543
86,058 Xcel Energy, Inc. 3,784,831
---------------
57,483,970
---------------
ELECTRICAL EQUIPMENT -- 1.3%
25,908 Acuity Brands, Inc. 6,799,036
107,534 Eaton Corp. PLC 6,818,731
73,884 Emerson Electric Co. 4,130,116
11,195 Rockwell Automation, Inc. 1,280,708
---------------
19,028,591
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.2%
22,405 Amphenol Corp., Class A 1,333,546
128,194 CDW Corp. 5,503,368
188,169 Corning, Inc. 4,181,115
112,467 TE Connectivity Ltd. 6,779,511
---------------
17,797,540
---------------
FOOD & STAPLES RETAILING
-- 1.3%
26,831 CVS Health Corp. 2,487,770
104,750 Kroger (The) Co. 3,581,403
46,280 Walgreens Boots Alliance,
Inc. 3,667,690
70,361 Wal-Mart Stores, Inc. 5,134,242
160,469 Whole Foods Market, Inc. 4,891,095
---------------
19,762,200
---------------
FOOD PRODUCTS -- 3.6%
119,793 Archer-Daniels-Midland Co. 5,400,268
108,588 Bunge Ltd. 7,149,434
77,237 Campbell Soup Co. 4,809,548
53,731 ConAgra Foods, Inc. 2,512,462
72,049 General Mills, Inc. 5,179,603
19,852 Ingredion, Inc. 2,645,080
8,430 J.M. Smucker (The) Co. 1,299,569
14,511 Kraft Heinz (The) Co. 1,253,605
48,170 McCormick & Co., Inc. 4,925,383
14,156 Mead Johnson Nutrition Co. 1,262,715
56,450 Mondelez International,
Inc., Class A 2,482,671
96,161 Tyson Foods, Inc., Class A 7,077,450
136,833 WhiteWave Foods (The) Co. (a) 7,592,863
---------------
53,590,651
---------------
GAS UTILITIES -- 0.3%
63,193 Atmos Energy Corp. 5,042,169
---------------
Page 32 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT
& SUPPLIES -- 3.9%
65,353 Abbott Laboratories $ 2,924,547
142,039 Baxter International, Inc. 6,820,713
37,872 Becton, Dickinson and Co. 6,665,472
274,832 Boston Scientific Corp. (a) 6,672,921
50,879 Danaher Corp. 4,143,586
64,408 Edwards Lifesciences
Corp. (a) 7,376,004
7,771 Intuitive Surgical, Inc. (a) 5,406,751
74,026 Medtronic PLC 6,486,898
60,946 ResMed, Inc. 4,197,961
42,876 Stryker Corp. 4,985,621
31,238 Varian Medical Systems,
Inc. (a) 2,959,488
---------------
58,639,962
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 3.3%
21,031 Aetna, Inc. 2,422,981
16,198 AmerisourceBergen Corp. 1,379,908
39,120 Anthem, Inc. 5,138,021
32,938 Cardinal Health, Inc. 2,753,617
53,998 Centene Corp. (a) 3,809,559
50,843 Express Scripts Holding
Co. (a) 3,867,627
50,041 HCA Holdings, Inc. (a) 3,859,662
29,068 Henry Schein, Inc. (a) 5,260,727
19,717 Laboratory Corp. of America
Holdings (a) 2,751,704
6,877 McKesson Corp. 1,337,989
70,940 MEDNAX, Inc. (a) 4,888,475
63,121 Quest Diagnostics, Inc. 5,451,130
9,100 UnitedHealth Group, Inc. 1,303,120
38,311 Universal Health Services,
Inc., Class B 4,962,424
---------------
49,186,944
---------------
HEALTH CARE TECHNOLOGY
-- 0.2%
43,847 Cerner Corp. (a) 2,735,614
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.2%
76,869 Aramark 2,755,754
40,564 Darden Restaurants, Inc. 2,497,120
57,013 Hilton Worldwide Holdings,
Inc. 1,322,131
59,074 Las Vegas Sands Corp. 2,992,098
19,330 Marriott International, Inc.,
Class A (b) 1,385,961
10,667 McDonald's Corp. 1,254,973
22,490 Starbucks Corp. 1,305,544
18,035 Wyndham Worldwide Corp. 1,280,846
30,988 Yum! Brands, Inc. 2,770,947
---------------
17,565,374
---------------
HOUSEHOLD DURABLES -- 2.3%
163,226 D.R. Horton, Inc. 5,366,871
121,122 Garmin Ltd. 6,580,558
139,324 Lennar Corp., Class A 6,520,363
6,761 Mohawk Industries, Inc. (a) 1,412,643
79,336 Newell Brands, Inc. 4,161,967
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HOUSEHOLD DURABLES (CONTINUED)
3,601 NVR, Inc. (a) $ 6,139,705
23,127 Whirlpool Corp. 4,448,710
---------------
34,630,817
---------------
HOUSEHOLD PRODUCTS -- 1.1%
62,428 Church & Dwight Co., Inc. 6,132,927
37,125 Clorox (The) Co. 4,865,974
17,554 Colgate-Palmolive Co. 1,306,544
18,689 Kimberly-Clark Corp. 2,421,160
15,165 Procter & Gamble (The) Co. 1,297,972
---------------
16,024,577
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.3%
308,788 AES (The) Corp. 3,813,532
---------------
INDUSTRIAL CONGLOMERATES
-- 0.2%
14,668 3M Co. 2,616,184
---------------
INSURANCE -- 5.9%
53,408 Aflac, Inc. 3,860,330
9,343 Alleghany Corp. (a) 5,077,921
36,732 Allstate (The) Corp. 2,509,898
24,284 American International
Group, Inc. 1,322,021
17,838 Arch Capital Group Ltd. (a) 1,295,574
80,961 Arthur J. Gallagher & Co. 3,982,472
9,832 Chubb Ltd. 1,231,556
34,313 Cincinnati Financial Corp. 2,563,181
35,156 Everest Re Group, Ltd. 6,644,836
102,766 FNF Group 3,871,195
86,838 Hartford Financial Services
Group (The), Inc. 3,460,494
132,539 Lincoln National Corp. 5,787,978
4,050 Markel Corp. (a) 3,842,438
93,820 Marsh & McLennan Cos., Inc. 6,168,665
129,003 MetLife, Inc. 5,513,588
93,742 Principal Financial Group,
Inc. 4,371,190
76,698 Progressive (The) Corp. 2,493,452
72,029 Prudential Financial, Inc. 5,423,063
41,553 Torchmark Corp. 2,570,884
43,169 Travelers (The) Cos., Inc. 5,017,101
161,627 Unum Group 5,399,958
192,825 XL Group Ltd. 6,673,673
---------------
89,081,468
---------------
INTERNET & CATALOG RETAIL
-- 0.8%
8,975 Amazon.com, Inc. (a) 6,810,320
151,892 Liberty Interactive Corp.
QVC Group Class A (a) 4,072,224
1,022 Priceline Group (The),
Inc. (a) 1,380,528
---------------
12,263,072
---------------
INTERNET SOFTWARE & SERVICES
-- 0.7%
45,927 Akamai Technologies, Inc. (a) 2,320,691
1,823 Alphabet, Inc., Class A (a) 1,442,613
See Notes to Financial Statements Page 33
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES
(CONTINUED)
54,880 eBay, Inc. (a) $ 1,710,061
33,714 Facebook, Inc., Class A (a) 4,178,513
14,860 VeriSign, Inc. (a) 1,287,025
---------------
10,938,903
---------------
IT SERVICES -- 3.8%
34,015 Accenture PLC, Class A 3,837,232
41,954 Automatic Data Processing,
Inc. 3,731,808
17,437 Fidelity National
Information Services, Inc. 1,386,765
47,251 Fiserv, Inc. (a) 5,214,620
39,555 Gartner, Inc. (a) 3,965,389
71,987 Global Payments, Inc. 5,374,549
25,382 International Business
Machines Corp. 4,076,857
29,436 Jack Henry & Associates, Inc. 2,627,163
86,348 Paychex, Inc. 5,118,709
47,944 Sabre Corp. 1,397,568
96,742 Total System Services, Inc. 4,926,103
113,473 Vantiv, Inc., Class A (a) 6,214,916
200,922 Western Union (The) Co. 4,018,440
541,443 Xerox Corp. 5,576,863
---------------
57,466,982
---------------
LEISURE PRODUCTS -- 0.3%
61,182 Hasbro, Inc. 4,969,814
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.6%
3,529 Mettler-Toledo International,
Inc. (a) 1,451,160
39,335 Quintiles Transnational
Holdings, Inc. (a) 3,053,969
17,389 Thermo Fisher Scientific,
Inc. 2,762,069
9,137 Waters Corp. (a) 1,452,144
---------------
8,719,342
---------------
MACHINERY -- 1.9%
16,951 Caterpillar, Inc. 1,402,865
45,701 Cummins, Inc. 5,610,712
31,708 Deere & Co. 2,464,029
55,586 Dover Corp. 3,970,508
12,336 Illinois Tool Works, Inc. 1,423,574
40,341 Ingersoll-Rand PLC 2,672,995
49,533 PACCAR, Inc. 2,920,961
35,658 Parker-Hannifin Corp. 4,071,787
23,099 Stanley Black & Decker, Inc. 2,811,148
28,766 Xylem, Inc. 1,375,302
---------------
28,723,881
---------------
MEDIA -- 2.3%
23,592 CBS Corp., Class B 1,231,974
11,234 Charter Communications, Inc.,
Class A (a) 2,638,529
59,116 Comcast Corp., Class A 3,975,551
254,562 Discovery Communications,
Inc., Class A (a) 6,386,961
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MEDIA (CONTINUED)
166,823 Interpublic Group of Cos.
(The), Inc. $ 3,846,938
325,197 Sirius XM Holdings, Inc. (a) 1,427,615
69,868 Time Warner, Inc. 5,355,382
94,976 Twenty-First Century Fox,
Inc., Class A 2,530,161
154,883 Viacom, Inc., Class B 7,042,530
---------------
34,435,641
---------------
METALS & MINING -- 0.4%
277,139 Alcoa, Inc. 2,943,216
32,839 Newmont Mining Corp. 1,444,916
26,002 Nucor Corp. 1,394,747
---------------
5,782,879
---------------
MULTILINE RETAIL -- 1.7%
27,324 Dollar General Corp. 2,588,676
169,375 Kohl's Corp. 7,044,306
191,093 Macy's, Inc. 6,846,862
67,522 Nordstrom, Inc. (b) 2,986,498
91,996 Target Corp. 6,930,059
---------------
26,396,401
---------------
MULTI-UTILITIES -- 2.5%
119,869 Ameren Corp. 6,285,930
28,005 CMS Energy Corp. 1,265,266
47,901 Consolidated Edison, Inc. 3,835,912
16,478 Dominion Resources, Inc. 1,285,614
38,871 DTE Energy Co. 3,790,700
96,873 NiSource, Inc. 2,485,761
137,793 Public Service Enterprise
Group, Inc. 6,339,856
50,939 SCANA Corp. 3,817,369
22,534 Sempra Energy 2,521,104
98,362 WEC Energy Group, Inc. 6,384,677
---------------
38,012,189
---------------
OIL, GAS & CONSUMABLE FUELS
-- 4.0%
247,223 Antero Resources Corp. (a) 6,474,770
36,766 Chevron Corp. 3,767,780
21,523 Cimarex Energy Co. 2,583,190
88,382 ConocoPhillips 3,607,753
35,439 Devon Energy Corp. 1,356,605
41,110 Exxon Mobil Corp. 3,656,735
270,204 HollyFrontier Corp. 6,868,586
68,617 Kinder Morgan, Inc. 1,394,984
256,739 Marathon Oil Corp. 3,501,920
169,191 Marathon Petroleum Corp. 6,664,434
80,955 Phillips 66 6,157,437
8,500 Pioneer Natural Resources Co. 1,381,845
85,722 Tesoro Corp. 6,527,730
125,940 Valero Energy Corp. 6,584,143
---------------
60,527,912
---------------
PHARMACEUTICALS -- 0.7%
34,937 Bristol-Myers Squibb Co. 2,613,637
16,318 Eli Lilly and Co. 1,352,599
Page 34 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
9,093 Jazz Pharmaceuticals PLC (a) $ 1,372,770
31,778 Johnson & Johnson 3,979,559
22,292 Merck & Co., Inc. 1,307,649
---------------
10,626,214
---------------
PROFESSIONAL SERVICES
-- 0.4%
40,023 Equifax, Inc. 5,301,447
15,837 Verisk Analytics, Inc. (a) 1,350,579
---------------
6,652,026
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 5.9%
45,234 American Tower Corp. 5,236,740
9,742 Boston Properties, Inc. 1,384,631
48,541 Brixmor Property Group, Inc. 1,378,564
29,060 Camden Property Trust 2,603,485
37,997 Crown Castle International
Corp. 3,686,849
58,926 Digital Realty Trust, Inc. 6,155,410
144,552 Duke Realty Corp. 4,161,652
13,246 Equinix, Inc. 4,939,036
27,767 Extra Space Storage, Inc. 2,388,517
15,522 Federal Realty Investment
Trust 2,634,083
36,300 HCP, Inc. 1,424,049
396,227 Host Hotels & Resorts, Inc. 7,029,067
163,743 Kimco Realty Corp. 5,256,150
30,085 Macerich (The) Co. 2,684,785
36,226 Mid-America Apartment
Communities, Inc. 3,840,681
130,971 Prologis, Inc. 7,136,610
5,023 Public Storage 1,200,095
74,087 Realty Income Corp. 5,294,998
61,360 Regency Centers Corp. 5,211,305
17,761 Simon Property Group, Inc. 4,032,458
12,062 SL Green Realty Corp. 1,421,145
380,047 VEREIT, Inc. 4,203,320
67,459 Welltower, Inc. 5,351,523
---------------
88,655,153
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.1%
48,503 CBRE Group, Inc., Class A (a) 1,379,910
---------------
ROAD & RAIL -- 1.8%
6,853 AMERCO 2,710,430
246,267 CSX Corp. 6,976,744
47,620 J.B. Hunt Transport Services,
Inc. 3,958,651
42,770 Kansas City Southern 4,110,625
60,358 Norfolk Southern Corp. 5,418,941
44,166 Union Pacific Corp. 4,109,646
---------------
27,285,037
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 3.3%
267,958 Applied Materials, Inc. 7,044,616
132,490 First Solar, Inc. (a) 6,184,633
195,817 Intel Corp. 6,826,181
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
(CONTINUED)
15,277 Lam Research Corp. $ 1,371,416
27,608 Linear Technology Corp. 1,656,204
35,993 Maxim Integrated Products,
Inc. 1,467,795
25,314 Microchip Technology, Inc. 1,408,471
466,774 Micron Technology, Inc. (a) 6,413,475
136,624 NVIDIA Corp. 7,801,230
95,923 QUALCOMM, Inc. 6,002,861
61,509 Texas Instruments, Inc. 4,290,253
---------------
50,467,135
---------------
SOFTWARE -- 2.3%
97,249 Activision Blizzard, Inc. 3,905,520
26,816 Adobe Systems, Inc. (a) 2,624,214
156,507 CA, Inc. 5,422,967
69,452 CDK Global, Inc. 4,013,631
32,077 Citrix Systems, Inc. (a) 2,859,023
50,871 Electronic Arts, Inc. (a) 3,882,475
34,525 Intuit, Inc. 3,831,930
62,765 Oracle Corp. 2,575,875
48,522 salesforce.com, Inc. (a) 3,969,100
23,754 Synopsys, Inc. (a) 1,286,517
---------------
34,371,252
---------------
SPECIALTY RETAIL -- 4.6%
15,891 Advance Auto Parts, Inc. 2,699,245
4,847 AutoZone, Inc. (a) 3,945,313
148,615 Bed Bath & Beyond, Inc. 6,680,244
209,894 Best Buy Co., Inc. 7,052,438
52,393 CarMax, Inc. (a) 3,052,416
302,685 Gap (The), Inc. 7,806,246
20,126 Home Depot (The), Inc. 2,782,218
64,902 Lowe's Cos., Inc. 5,340,137
14,217 O'Reilly Automotive, Inc. (a) 4,131,887
67,976 Ross Stores, Inc. 4,202,956
84,734 Tiffany & Co. 5,467,038
66,526 TJX (The) Cos., Inc. 5,436,505
42,261 Tractor Supply Co. 3,873,221
26,363 Ulta Salon, Cosmetics &
Fragrance, Inc. (a) 6,886,279
---------------
69,356,143
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.1%
351,543 Hewlett Packard Enterprise
Co. 7,389,434
102,363 HP, Inc. 1,434,105
52,245 NetApp, Inc. 1,376,656
52,735 Seagate Technology PLC 1,689,102
108,729 Western Digital Corp. 5,165,715
---------------
17,055,012
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.7%
63,065 Coach, Inc. 2,718,732
57,339 Ralph Lauren Corp. 5,624,382
41,783 VF Corp. 2,608,513
---------------
10,951,627
---------------
See Notes to Financial Statements Page 35
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TOBACCO -- 0.7%
74,512 Altria Group, Inc. $ 5,044,462
12,623 Philip Morris International,
Inc. 1,265,582
71,463 Reynolds American, Inc. 3,577,438
---------------
9,887,482
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.2%
28,940 Fastenal Co. 1,237,185
11,299 W.W. Grainger, Inc. 2,472,786
---------------
3,709,971
---------------
WATER UTILITIES -- 0.4%
76,007 American Water Works Co.,
Inc. 6,276,658
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.9%
1,134,266 Sprint Corp. (a) (b) 6,964,393
148,439 T-Mobile US, Inc. (a) 6,878,663
---------------
13,843,056
---------------
TOTAL COMMON STOCKS
-- 99.9% 1,505,466,659
(Cost $1,394,463,583) ---------------
MONEY MARKET FUNDS -- 0.2%
3,444,694 Goldman Sachs Financial
Square Treasury
Obligations Fund -
Institutional Class -
0.23% (c) (d) 3,444,694
(Cost $3,444,694) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.3%
$ 1,364,037 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$1,364,067. Collateralized
by U.S. Treasury Note,
interest rate of 0.875%,
due 04/15/17. The value of
the collateral including
accrued interest is
$1,394,918. (d) 1,364,037
2,825,735 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$2,825,805. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250%
to 1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including
accrued interest is
$2,891,274. (d) 2,825,735
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.3% 4,189,772
(Cost $4,189,772) ---------------
DESCRIPTION VALUE
------------------------------------------------------------
TOTAL INVESTMENTS -- 100.4% $ 1,513,101,125
(Cost $1,402,098,049) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.4)% (6,760,120)
---------------
NET ASSETS -- 100.0% $ 1,506,341,005
===============
(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 $7,611,347 and the total value of the collateral held by the
Fund is $7,634,466.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $1,405,672,958. As of
July 31, 2016, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$143,960,662 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$36,532,495.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
----------------------------------------
Common Stocks* $1,505,466,659 $ -- $ --
Money Market Funds 3,444,694 -- --
Repurchase
Agreements -- 4,189,772 --
----------------------------------------
Total Investments $1,508,911,353 $4,189,772 $ --
========================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
Page 36 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 7,611,347
Non-cash Collateral(2) (7,611,347)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 4,189,772
Non-cash Collateral(4) (4,189,772)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 37
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.6%
9,789 B/E Aerospace, Inc. $ 468,257
10,730 Curtiss-Wright Corp. 954,863
21,858 Esterline Technologies
Corp. (a) 1,329,622
33,828 HEICO Corp. 2,351,384
5,380 Huntington Ingalls
Industries, Inc. 928,480
52,557 Spirit AeroSystems Holdings,
Inc., Class A (a) 2,279,923
18,254 Teledyne Technologies,
Inc. (a) 1,916,670
---------------
10,229,199
---------------
AIR FREIGHT & LOGISTICS
-- 0.1%
17,214 XPO Logistics, Inc. (a) 509,879
---------------
AIRLINES -- 0.3%
50,367 Spirit Airlines, Inc. (a) 2,153,189
---------------
AUTO COMPONENTS -- 1.1%
75,789 Cooper Tire & Rubber Co. 2,500,279
29,256 Gentex Corp. 516,953
29,092 Tenneco, Inc. (a) 1,644,280
34,342 Visteon Corp. 2,407,031
---------------
7,068,543
---------------
AUTOMOBILES -- 0.3%
27,926 Thor Industries, Inc. 2,137,456
---------------
BANKS -- 4.7%
105,423 Associated Banc-Corp. 1,960,868
39,840 BancorpSouth, Inc. 948,989
6,570 Bank of Hawaii Corp. 452,804
14,418 BOK Financial Corp. 940,486
70,824 CIT Group, Inc. 2,447,677
32,968 Comerica, Inc. 1,491,472
28,309 Commerce Bancshares, Inc. 1,338,733
14,184 Cullen/Frost Bankers, Inc. 962,952
39,674 East West Bancorp, Inc. 1,357,644
6,984 First Citizens BancShares,
Inc., Class A 1,814,304
66,962 Fulton Financial Corp. 914,031
22,841 Home BancShares, Inc. 476,692
15,135 IBERIABANK Corp. 945,484
49,834 MB Financial, Inc. 1,913,127
61,665 People's United Financial,
Inc. 934,841
77,133 Popular, Inc. 2,598,611
35,457 Prosperity Bancshares, Inc. 1,811,498
9,500 SVB Financial Group (a) 953,990
15,592 Synovus Financial Corp. 474,621
142,926 TCF Financial Corp. 1,942,364
8,495 UMB Financial Corp. 470,708
49,561 Valley National Bancorp 449,518
17,727 Wintrust Financial Corp. 935,986
53,959 Zions Bancorporation 1,504,377
---------------
30,041,777
---------------
BIOTECHNOLOGY -- 0.4%
9,040 Kite Pharma, Inc. (a) 511,935
15,158 Ligand Pharmaceuticals,
Inc. (a) 2,044,511
---------------
2,556,446
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
BUILDING PRODUCTS -- 1.7%
25,649 A.O. Smith Corp. $ 2,382,536
13,019 Allegion PLC 942,445
11,545 Armstrong World Industries,
Inc. (a) 490,316
15,849 Lennox International, Inc. 2,485,123
43,867 Owens Corning 2,321,003
83,830 USG Corp. (a) 2,360,653
---------------
10,982,076
---------------
CAPITAL MARKETS -- 1.9%
103,788 BGC Partners, Inc., Class A 920,600
25,581 Eaton Vance Corp. 967,218
31,412 Federated Investors, Inc.,
Class B 991,677
12,767 Interactive Brokers Group,
Inc., Class A 444,802
97,413 Janus Capital Group, Inc. 1,470,936
15,328 Legg Mason, Inc. 523,298
80,249 LPL Financial Holdings,
Inc. (b) 2,162,711
27,506 Raymond James Financial, Inc. 1,510,079
28,745 Stifel Financial Corp. (a) 1,016,136
131,244 Waddell & Reed Financial,
Inc., Class A 2,396,515
---------------
12,403,972
---------------
CHEMICALS -- 1.8%
17,097 Albemarle Corp. 1,439,055
3,938 Ashland, Inc. 445,939
39,041 FMC Corp. 1,856,009
100,818 Huntsman Corp. 1,558,646
1,090 NewMarket Corp. 466,455
18,197 Olin Corp. 380,317
25,652 PolyOne Corp. 899,616
9,049 RPM International, Inc. 490,999
19,395 Scotts Miracle-Gro (The) Co.,
Class A 1,430,381
6,362 Sensient Technologies Corp. 469,706
52,657 Westlake Chemical Corp. 2,408,531
---------------
11,845,654
---------------
COMMERCIAL SERVICES &
SUPPLIES -- 1.8%
17,348 Clean Harbors, Inc. (a) 892,034
46,113 Copart, Inc. (a) 2,325,940
27,242 Deluxe Corp. 1,841,287
54,617 Healthcare Services Group,
Inc. 2,119,686
54,145 KAR Auction Services, Inc. 2,315,781
53,428 R.R. Donnelley & Sons Co. 957,430
30,886 Rollins, Inc. 870,367
---------------
11,322,525
---------------
COMMUNICATIONS EQUIPMENT
-- 0.9%
246,188 Brocade Communications
Systems, Inc. 2,289,548
20,314 NetScout Systems, Inc. (a) 568,386
46,768 Ubiquiti Networks,
Inc. (a) (b) 2,091,465
12,661 ViaSat, Inc. (a) 934,762
---------------
5,884,161
---------------
Page 38 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION & ENGINEERING
-- 2.1%
42,682 AECOM (a) $ 1,514,784
25,178 Dycom Industries, Inc. (a) 2,367,991
36,702 EMCOR Group, Inc. 2,044,301
27,517 Fluor Corp. 1,472,710
18,148 Jacobs Engineering Group,
Inc. (a) 971,281
170,697 KBR, Inc. 2,393,172
97,752 Quanta Services, Inc. (a) 2,502,451
---------------
13,266,690
---------------
CONSTRUCTION MATERIALS
-- 0.2%
11,718 Eagle Materials, Inc. 983,726
---------------
CONSUMER FINANCE -- 1.0%
151,298 Navient Corp. 2,148,432
218,782 Santander Consumer USA
Holdings, Inc. (a) 2,404,414
292,558 SLM Corp. (a) 2,103,492
---------------
6,656,338
---------------
CONTAINERS & PACKAGING
-- 1.9%
11,425 AptarGroup, Inc. 893,206
24,187 Avery Dennison Corp. 1,883,925
17,557 Bemis Co., Inc. 896,109
58,171 Berry Plastics Group,
Inc. (a) 2,385,011
108,134 Graphic Packaging Holding Co. 1,474,948
25,097 Owens-Illinois, Inc. (a) 471,573
27,015 Packaging Corp. of America 2,017,750
17,567 Silgan Holdings, Inc. 870,972
27,306 Sonoco Products Co. 1,390,695
---------------
12,284,189
---------------
DISTRIBUTORS -- 0.4%
24,037 Pool Corp. 2,458,504
---------------
DIVERSIFIED CONSUMER
SERVICES -- 0.5%
13,634 Bright Horizons Family
Solutions, Inc. (a) 914,432
28,920 Houghton Mifflin Harcourt
Co. (a) 490,194
33,432 Service Corp. International 926,735
22,713 ServiceMaster Global
Holdings, Inc. (a) 859,233
---------------
3,190,594
---------------
DIVERSIFIED FINANCIAL
SERVICES -- 0.5%
6,785 CBOE Holdings, Inc. 466,808
2,799 FactSet Research Systems,
Inc. 481,316
15,545 MarketAxess Holdings, Inc. 2,513,005
---------------
3,461,129
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
365,993 Frontier Communications Corp. 1,903,163
64,732 Zayo Group Holdings, Inc. (a) 1,831,916
---------------
3,735,079
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
ELECTRIC UTILITIES -- 1.4%
27,976 ALLETE, Inc. $ 1,786,268
59,475 Great Plains Energy, Inc. 1,771,165
22,225 IDACORP, Inc. 1,796,891
41,406 OGE Energy Corp. 1,332,031
25,510 PNM Resources, Inc. 876,524
40,979 Portland General Electric Co. 1,789,553
---------------
9,352,432
---------------
ELECTRICAL EQUIPMENT -- 0.8%
22,800 EnerSys 1,421,580
8,571 Hubbell, Inc. 924,211
41,053 Regal Beloit Corp. 2,504,643
---------------
4,850,434
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.8%
36,512 Arrow Electronics, Inc. (a) 2,427,683
55,790 Avnet, Inc. 2,292,969
10,488 Cognex Corp. 473,743
29,209 FLIR Systems, Inc. 951,629
122,359 Jabil Circuit, Inc. 2,490,006
77,689 Keysight Technologies, Inc. (a) 2,271,626
7,648 Littelfuse, Inc. 956,153
14,302 SYNNEX Corp. 1,437,780
31,455 Tech Data Corp. (a) 2,451,288
18,555 Trimble Navigation Ltd. (a) 490,594
26,666 Universal Display Corp. (a) 1,889,020
---------------
18,132,491
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.6%
3,649 Core Laboratories N.V. 426,240
74,313 Diamond Offshore Drilling,
Inc. 1,688,391
38,680 Dril-Quip, Inc. (a) 2,105,352
50,843 FMC Technologies, Inc. (a) 1,290,395
61,877 Frank's International
N.V. (b) 762,325
20,200 Helmerich & Payne, Inc. (b) 1,251,794
75,686 Oceaneering International,
Inc. 2,110,126
42,402 Patterson-UTI Energy, Inc. 822,175
---------------
10,456,798
---------------
FOOD & STAPLES RETAILING
-- 0.5%
17,184 Casey's General Stores, Inc. 2,294,752
4,831 PriceSmart, Inc. 376,238
19,739 Sprouts Farmers Market,
Inc. (a) 456,563
---------------
3,127,553
---------------
FOOD PRODUCTS -- 2.1%
46,887 B&G Foods, Inc. 2,418,900
10,199 Cal-Maine Foods, Inc. 427,338
72,319 Flowers Foods, Inc. 1,329,946
16,608 Fresh Del Monte Produce, Inc. 944,165
18,170 Hain Celestial Group (The),
Inc. (a) 959,194
7,579 J&J Snack Foods Corp. 921,682
10,627 Lancaster Colony Corp. 1,381,085
70,959 Pilgrim's Pride Corp. 1,649,797
See Notes to Financial Statements Page 39
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
19,529 Pinnacle Foods, Inc. $ 980,551
27,331 Post Holdings, Inc. (a) 2,368,778
4,403 TreeHouse Foods, Inc. (a) 454,346
---------------
13,835,782
---------------
GAS UTILITIES -- 1.1%
11,725 New Jersey Resources Corp. 436,639
27,151 ONE Gas, Inc. 1,763,729
17,229 Southwest Gas Corp. 1,335,247
19,141 Spire, Inc. 1,328,385
29,968 UGI Corp. 1,356,352
12,769 WGL Holdings, Inc. 903,918
---------------
7,124,270
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.9%
20,680 ABIOMED, Inc. (a) 2,439,620
28,057 Align Technology, Inc. (a) 2,501,282
19,730 Cantel Medical Corp. 1,320,924
2,635 Cooper (The) Cos., Inc. 480,808
11,396 DexCom, Inc. (a) 1,051,053
24,339 IDEXX Laboratories, Inc. (a) 2,282,755
16,998 Integra LifeSciences
Holdings Corp. (a) 1,432,421
24,107 Neogen Corp. (a) 1,329,501
30,274 NuVasive, Inc. (a) 1,883,043
10,198 Teleflex, Inc. 1,838,801
23,828 West Pharmaceutical Services,
Inc. 1,912,912
---------------
18,473,120
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 2.2%
8,158 Acadia Healthcare Co.,
Inc. (a) 460,927
23,318 AmSurg Corp. (a) 1,749,083
58,550 Brookdale Senior Living,
Inc. (a) 1,081,419
6,631 Chemed Corp. 975,685
187,553 Community Health Systems,
Inc. (a) 2,395,052
23,286 HealthSouth Corp. 1,002,462
34,574 LifePoint Health, Inc. (a) 2,046,089
9,058 Molina Healthcare, Inc. (a) 514,585
24,184 Owens & Minor, Inc. 863,611
9,440 Patterson Cos., Inc. 465,959
16,353 Tenet Healthcare Corp. (a) 500,565
33,427 VCA, Inc. (a) 2,384,682
---------------
14,440,119
---------------
HEALTH CARE TECHNOLOGY
-- 0.5%
3,274 athenahealth, Inc. (a) 418,384
9,645 Medidata Solutions, Inc. (a) 512,632
66,235 Veeva Systems, Inc.,
Class A (a) 2,516,268
---------------
3,447,284
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HOTELS, RESTAURANTS
& LEISURE -- 2.8%
50,587 Bloomin' Brands, Inc. $ 909,554
24,566 Boyd Gaming Corp. (a) 481,739
29,783 Brinker International, Inc. 1,403,971
3,252 Buffalo Wild Wings, Inc. (a) 546,206
28,167 Cheesecake Factory (The),
Inc. 1,457,079
3,578 Churchill Downs, Inc. 469,183
2,637 Cracker Barrel Old Country
Store, Inc. (b) 415,090
13,761 Domino's Pizza, Inc. 2,026,995
26,304 Jack in the Box, Inc. 2,325,011
8,531 Panera Bread Co., Class A (a) 1,871,019
23,400 Six Flags Entertainment Corp. 1,319,526
49,561 Texas Roadhouse, Inc. 2,340,271
13,081 Vail Resorts, Inc. 1,871,499
46,987 Wendy's (The) Co. 453,894
---------------
17,891,037
---------------
HOUSEHOLD DURABLES -- 1.8%
49,252 CalAtlantic Group, Inc. 1,783,415
25,173 Harman International
Industries, Inc. 2,080,297
8,790 Helen of Troy Ltd. (a) 875,572
26,532 Leggett & Platt, Inc. 1,394,787
92,765 PulteGroup, Inc. 1,964,762
83,983 Toll Brothers, Inc. (a) 2,352,364
16,063 Tupperware Brands Corp. 1,006,829
---------------
11,458,026
---------------
HOUSEHOLD PRODUCTS -- 0.5%
65,842 HRG Group, Inc. (a) 980,387
15,153 Spectrum Brands Holdings,
Inc. 1,951,252
---------------
2,931,639
---------------
INDUSTRIAL CONGLOMERATES
-- 0.2%
12,833 Carlisle Cos., Inc. 1,325,521
---------------
INSURANCE -- 5.2%
12,864 Allied World Assurance Co.
Holdings AG 527,295
18,341 American Financial Group,
Inc. 1,340,727
7,990 American National Insurance
Co. 913,656
48,729 Aspen Insurance Holdings Ltd. 2,239,585
10,474 Assurant, Inc. 869,447
89,082 Assured Guaranty Ltd. 2,386,507
41,090 Axis Capital Holdings Ltd. 2,283,782
36,188 Brown & Brown, Inc. 1,326,652
129,438 CNO Financial Group, Inc. 2,248,338
33,651 Endurance Specialty Holdings
Ltd. 2,275,817
2,789 Enstar Group Ltd. (a) 464,620
44,952 First American Financial
Corp. 1,879,443
21,368 Hanover Insurance Group
(The), Inc. 1,759,441
8,503 Mercury General Corp. 470,811
63,304 National General Holdings
Corp. 1,305,962
Page 40 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
93,727 Old Republic International
Corp. $ 1,816,429
7,896 Primerica, Inc. 406,723
8,442 ProAssurance Corp. 436,114
13,980 Reinsurance Group of America,
Inc. 1,387,515
15,395 RenaissanceRe Holdings Ltd. 1,809,220
13,144 RLI Corp. 896,026
46,513 Validus Holdings Ltd. 2,299,138
22,631 W. R. Berkley Corp. 1,316,898
1,072 White Mountains Insurance
Group Ltd. 880,455
---------------
33,540,601
---------------
INTERNET & CATALOG RETAIL
-- 0.3%
18,477 HSN, Inc. 945,283
23,180 Wayfair, Inc.,
Class A (a) (b) 1,008,330
---------------
1,953,613
---------------
INTERNET SOFTWARE & SERVICES
-- 1.3%
19,550 Cimpress N.V. (a) 1,853,340
6,200 CoStar Group, Inc. (a) 1,288,980
28,985 GoDaddy, Inc., Class A (a) 867,231
8,029 IAC/InterActiveCorp 465,361
7,154 j2 Global, Inc. 478,174
72,612 Pandora Media, Inc. (a) (b) 987,523
108,342 Rackspace Hosting, Inc. (a) 2,538,453
---------------
8,479,062
---------------
IT SERVICES -- 2.6%
12,021 Black Knight Financial
Services, Inc.,
Class A (a) 467,016
13,496 Blackhawk Network Holdings,
Inc. (a) 469,526
30,500 Booz Allen Hamilton Holding
Corp. 941,840
34,662 Broadridge Financial
Solutions, Inc. 2,345,924
19,998 CACI International, Inc.,
Class A (a) 1,906,409
18,208 Computer Sciences Corp. 870,889
18,080 Convergys Corp. 481,832
46,987 CoreLogic, Inc. (a) 1,892,636
15,529 DST Systems, Inc. 1,915,191
6,533 Euronet Worldwide, Inc. (a) 498,207
50,521 Genpact Ltd. (a) 1,352,447
28,327 Leidos Holdings, Inc. (b) 1,416,633
16,327 MAXIMUS, Inc. 961,987
7,747 Science Applications
International Corp. 470,708
5,098 WEX, Inc. (a) 477,581
---------------
16,468,826
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
LEISURE PRODUCTS -- 0.8%
29,922 Brunswick Corp. $ 1,484,730
22,115 Polaris Industries, Inc. (b) 2,183,856
28,408 Vista Outdoor, Inc. (a) 1,421,820
---------------
5,090,406
---------------
LIFE SCIENCES TOOLS
& SERVICES -- 1.1%
6,321 Bio-Rad Laboratories, Inc.,
Class A (a) 917,114
16,033 Bio-Techne Corp. 1,802,430
16,447 Charles River Laboratories
International, Inc. (a) 1,446,185
11,856 INC Research Holdings, Inc.,
Class A (a) 527,710
7,187 PAREXEL International
Corp. (a) 480,451
8,622 PerkinElmer, Inc. 490,764
21,648 PRA Health Sciences, Inc. (a) 1,004,034
15,640 VWR Corp. (a) 489,845
---------------
7,158,533
---------------
MACHINERY -- 4.0%
47,954 AGCO Corp. 2,309,465
16,012 Allison Transmission
Holdings, Inc. 461,466
22,291 CLARCOR, Inc. 1,387,838
51,247 Colfax Corp. (a) 1,504,612
31,877 Crane Co. 1,985,937
13,155 Donaldson Co., Inc. 475,290
20,013 Flowserve Corp. 957,622
5,721 Graco, Inc. 423,411
5,507 IDEX Corp. 494,473
70,670 ITT, Inc. 2,240,946
11,765 Middleby (The) Corp. (a) 1,416,271
5,405 Nordson Corp. 477,207
37,895 Oshkosh Corp. 2,087,636
58,970 Timken (The) Co. 1,972,546
20,499 Toro (The) Co. 1,884,883
121,703 Trinity Industries, Inc. 2,824,727
4,935 WABCO Holdings, Inc. (a) 494,832
19,308 Wabtec Corp. 1,322,598
15,683 Woodward, Inc. 918,083
---------------
25,639,843
---------------
MARINE -- 0.3%
36,223 Kirby Corp. (a) 1,973,791
---------------
MEDIA -- 1.7%
1,767 Cable One, Inc. 925,696
37,191 Cinemark Holdings, Inc. 1,398,381
25,989 John Wiley & Sons, Inc.,
Class A 1,499,565
15,067 Liberty Broadband Corp.,
Class C (a) 953,892
37,355 New York Times (The) Co.,
Class A 484,868
82,032 Regal Entertainment Group,
Class A (b) 1,929,392
See Notes to Financial Statements Page 41
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
14,516 Scripps Networks Interactive,
Inc., Class A $ 958,927
30,274 Sinclair Broadcast Group,
Inc., Class A 842,223
78,033 TEGNA, Inc. 1,708,923
---------------
10,701,867
---------------
METALS & MINING -- 0.8%
24,370 Compass Minerals
International, Inc. 1,695,908
23,510 Reliance Steel & Aluminum Co. 1,844,125
42,742 Worthington Industries, Inc. 1,893,898
---------------
5,433,931
---------------
MULTILINE RETAIL -- 0.4%
37,294 Dillard's, Inc., Class A 2,524,058
---------------
MULTI-UTILITIES -- 0.7%
40,356 Avista Corp. 1,755,486
21,500 NorthWestern Corp. 1,305,910
25,746 Vectren Corp. 1,331,841
---------------
4,393,237
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.9%
145,808 CVR Energy, Inc. (b) 2,157,958
9,913 Diamondback Energy, Inc. (a) 870,262
30,693 Newfield Exploration Co. (a) 1,329,007
66,815 Parsley Energy, Inc.,
Class A (a) 1,904,896
57,024 PBF Energy, Inc., Class A 1,273,916
38,864 RSP Permian, Inc. (a) 1,397,161
109,550 Western Refining, Inc. 2,284,117
28,553 World Fuel Services Corp. 1,359,123
---------------
12,576,440
---------------
PERSONAL PRODUCTS -- 0.1%
7,724 Herbalife Ltd. (a) 525,309
---------------
PHARMACEUTICALS -- 0.5%
15,868 Akorn, Inc. (a) 543,162
58,983 Catalent, Inc. (a) 1,506,426
24,475 Prestige Brands Holdings,
Inc. (a) 1,309,412
---------------
3,359,000
---------------
PROFESSIONAL SERVICES -- 1.2%
11,131 Dun & Bradstreet (The) Corp. 1,438,682
35,126 ManpowerGroup, Inc. 2,437,744
24,465 On Assignment, Inc. (a) 903,982
47,379 Robert Half International,
Inc. 1,731,229
40,550 TransUnion (a) 1,326,796
---------------
7,838,433
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 14.3%
12,725 Acadia Realty Trust 479,223
17,466 Alexandria Real Estate
Equities, Inc. 1,961,432
25,648 American Campus
Communities, Inc. 1,386,787
SHARES DESCRIPTION VALUE
------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
110,351 American Homes 4 Rent,
Class A $ 2,394,617
10,236 Apartment Investment &
Management Co., Class A 470,549
72,088 Apple Hospitality REIT, Inc. 1,468,433
32,671 Blackstone Mortgage Trust,
Inc., Class A 947,786
26,904 Brandywine Realty Trust 453,870
68,982 Care Capital Properties, Inc. 2,040,488
115,160 Chimera Investment Corp. 1,932,385
44,577 Colony Starwood Homes 1,460,343
46,920 Communications Sales &
Leasing, Inc. 1,458,274
20,387 CoreSite Realty Corp. 1,682,539
45,857 Corporate Office Properties
Trust 1,373,876
51,629 Corrections Corp. of America 1,654,709
14,638 CubeSmart 434,895
24,363 CyrusOne, Inc. 1,335,580
37,635 DCT Industrial Trust, Inc. 1,890,030
24,917 DDR Corp. 491,862
63,627 Douglas Emmett, Inc. 2,420,371
38,032 DuPont Fabros Technology,
Inc. 1,819,071
19,591 Education Realty Trust, Inc. 943,111
23,803 Empire State Realty Trust,
Inc., Class A 499,625
22,410 EPR Properties 1,882,888
62,066 Equity Commonwealth (a) 1,863,221
22,587 Equity LifeStyle Properties,
Inc. 1,857,555
28,091 Equity One, Inc. 934,588
81,237 First Industrial Realty Trust,
Inc. 2,394,054
101,300 Forest City Realty Trust,
Inc., Class A 2,395,745
13,110 Gaming and Leisure
Properties, Inc. 469,731
39,674 GEO Group (The), Inc. 1,373,117
49,024 Gramercy Property Trust 489,750
38,754 Healthcare Realty Trust, Inc. 1,401,345
41,930 Healthcare Trust of America,
Inc., Class A 1,427,716
25,681 Highwoods Properties, Inc. 1,430,945
62,777 Hospitality Properties Trust 2,003,214
30,980 Hudson Pacific Properties,
Inc. 1,047,434
6,819 Kilroy Realty Corp. 499,219
32,250 Kite Realty Group Trust 980,722
13,635 Lamar Advertising Co.,
Class A 925,271
95,845 LaSalle Hotel Properties 2,640,530
45,520 Liberty Property Trust 1,883,618
148,587 Medical Properties Trust,
Inc. 2,332,816
310,867 MFA Financial, Inc. 2,337,720
30,097 National Health Investors,
Inc. 2,364,721
34,957 National Retail Properties,
Inc. 1,858,314
130,635 New Residential Investment
Corp. 1,785,780
13,315 Omega Healthcare Investors,
Inc. 459,367
Page 42 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
20,984 Piedmont Office Realty Trust,
Inc., Class A $ 460,389
7,403 Post Properties, Inc. 470,757
12,782 PS Business Parks, Inc. 1,417,396
53,491 Retail Properties of America,
Inc., Class A 943,046
105,362 RLJ Lodging Trust 2,501,294
8,925 Ryman Hospitality Properties,
Inc. 501,942
43,399 Senior Housing Properties
Trust 963,892
141,581 Spirit Realty Capital, Inc. 1,935,412
43,630 Starwood Property Trust, Inc. 951,134
17,695 Sun Communities, Inc. 1,400,559
187,241 Sunstone Hotel Investors,
Inc. 2,490,305
33,747 Tanger Factory Outlet
Centers, Inc. 1,408,600
211,217 Two Harbors Investment Corp. 1,848,149
75,686 Urban Edge Properties 2,263,768
19,533 W.P. Carey, Inc. 1,419,072
22,147 Weingarten Realty Investors 956,529
---------------
91,971,481
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.6%
3,953 Howard Hughes (The) Corp. (a) 472,225
23,191 Jones Lang LaSalle, Inc. 2,538,719
31,152 Realogy Holdings Corp. (a) 965,401
---------------
3,976,345
---------------
ROAD & RAIL -- 2.7%
42,072 Avis Budget Group, Inc. (a) 1,545,305
38,337 Genesee & Wyoming, Inc.,
Class A (a) 2,482,321
122,494 Hertz Global Holdings,
Inc. (a) 5,963,008
68,022 Knight Transportation, Inc. 2,029,096
13,166 Landstar System, Inc. 928,071
29,979 Old Dominion Freight Line,
Inc. (a) 2,088,337
36,963 Ryder System, Inc. 2,435,862
---------------
17,472,000
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 1.5%
58,263 Cirrus Logic, Inc. (a) 2,830,999
94,860 Marvell Technology Group Ltd. 1,114,605
19,847 Monolithic Power Systems,
Inc. 1,443,274
204,989 ON Semiconductor Corp. (a) 2,056,040
24,540 Qorvo, Inc. (a) 1,551,664
22,956 Teradyne, Inc. 453,381
---------------
9,449,963
---------------
SOFTWARE -- 3.2%
22,465 Aspen Technology, Inc. (a) 941,059
19,971 Blackbaud, Inc. 1,335,061
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SOFTWARE (CONTINUED)
55,803 Cadence Design Systems,
Inc. (a) $ 1,342,062
24,659 Ellie Mae, Inc. (a) 2,271,340
11,998 Fair Isaac Corp. 1,519,427
14,310 Fortinet, Inc. (a) 496,414
14,638 Guidewire Software, Inc. (a) 899,798
14,097 Manhattan Associates,
Inc. (a) 818,331
42,521 Mentor Graphics Corp. 908,248
6,207 NetSuite, Inc. (a) 675,632
14,330 Proofpoint, Inc. (a) 1,087,217
8,342 Splunk, Inc. (a) 521,709
47,678 Take-Two Interactive
Software, Inc. (a) 1,915,702
8,133 Tyler Technologies, Inc. (a) 1,325,842
8,597 Ultimate Software Group
(The), Inc. (a) 1,797,633
7,898 VMware, Inc., Class A (a) (b) 576,396
68,538 Zendesk, Inc. (a) 2,072,589
---------------
20,504,460
---------------
SPECIALTY RETAIL -- 4.6%
141,870 American Eagle Outfitters,
Inc. 2,542,310
38,486 AutoNation, Inc. (a) 2,053,228
33,878 Burlington Stores, Inc. (a) 2,592,006
27,087 Cabela's, Inc. (a) 1,398,502
31,477 CST Brands, Inc. 1,407,651
40,123 Dick's Sporting Goods, Inc. 2,057,909
85,025 GameStop Corp., Class A 2,631,524
55,826 GNC Holdings, Inc., Class A 1,139,409
63,574 Michaels Cos., (The) Inc. (a) 1,675,811
24,380 Murphy USA, Inc. (a) 1,868,483
71,836 Penske Automotive Group, Inc. 2,846,142
15,369 Sally Beauty Holdings,
Inc. (a) 450,773
262,183 Staples, Inc. 2,435,680
82,183 Urban Outfitters, Inc. (a) 2,457,272
34,682 Williams-Sonoma, Inc. 1,875,602
---------------
29,432,302
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.2%
12,736 Carter's, Inc. 1,289,520
15,710 Columbia Sportswear Co. 899,398
29,660 G-III Apparel Group Ltd. (a) 1,187,290
23,983 PVH Corp. 2,423,722
30,418 Skechers U.S.A., Inc.,
Class A (a) 730,640
39,674 Steven Madden Ltd. (a) 1,389,383
---------------
7,919,953
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.1%
379,834 MGIC Investment Corp. (a) 2,731,006
216,892 Radian Group, Inc. 2,797,907
55,894 Washington Federal, Inc. 1,397,350
---------------
6,926,263
---------------
TOBACCO -- 0.1%
20,162 Vector Group Ltd. 445,379
---------------
See Notes to Financial Statements Page 43
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES
& DISTRIBUTORS -- 1.7%
84,392 Air Lease Corp. $ 2,431,333
49,704 Beacon Roofing Supply,
Inc. (a) 2,337,082
25,961 HD Supply Holdings, Inc. (a) 939,529
19,218 MSC Industrial Direct Co.,
Inc., Class A 1,380,429
26,943 United Rentals, Inc. (a) 2,146,549
12,852 Watsco, Inc. 1,851,202
---------------
11,086,124
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.1%
6,104 Macquarie Infrastructure
Corp. 467,872
---------------
WATER UTILITIES -- 0.3%
50,702 Aqua America, Inc. 1,756,317
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.7%
76,196 Telephone and Data Systems,
Inc. 2,399,412
57,551 United States Cellular
Corp. (a) 2,327,938
---------------
4,727,350
---------------
TOTAL COMMON STOCKS
-- 100.0% 643,810,391
(Cost $596,005,927) ---------------
MONEY MARKET FUNDS -- 0.8%
4,966,500 Goldman Sachs Financial
Square Treasury
Obligations Fund -
Institutional Class -
0.23% (c) (d) 4,966,500
490,288 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) 490,288
---------------
TOTAL MONEY MARKET FUNDS
-- 0.8% 5,456,788
(Cost $5,456,788) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.9%
$ 1,966,646 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$1,966,688. Collateralized
by U.S. Treasury Note,
interest rate of 0.875%,
due 04/15/17. The value of
the collateral including
accrued interest is
$2,011,169. (d) 1,966,646
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
$ 4,074,096 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$4,074,198. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250% to
1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including
accrued interest is
$4,168,589. (d) $ 4,074,096
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.9% 6,040,742
(Cost $6,040,742) ---------------
TOTAL INVESTMENTS -- 101.7% 655,307,921
(Cost $607,503,457) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.7)% (11,163,683)
---------------
NET ASSETS -- 100.0% $ 644,144,238
===============
(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 $10,930,169 and the total value of the collateral held by
the Fund is $11,007,242.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $608,871,881. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $64,073,999 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $17,637,959.
Page 44 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
---------------------------------------
Common Stocks* $643,810,391 $ -- $ --
Money Market Funds 5,456,788 -- --
Repurchase
Agreements -- 6,040,742 --
---------------------------------------
Total Investments $649,267,179 $ 6,040,742 $ --
=======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 10,930,169
Non-cash Collateral(2) (10,930,169)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 6,040,742
Non-cash Collateral(4) (6,040,742)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 45
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.9%
56,574 AAR Corp. $ 1,366,828
72,232 Aerojet Rocketdyne Holdings,
Inc. (a) 1,362,296
19,727 Cubic Corp. 805,651
61,730 DigitalGlobe, Inc. (a) 1,664,241
53,112 Mercury Systems, Inc. (a) 1,376,663
19,590 Moog, Inc., Class A (a) 1,078,821
31,843 TASER International, Inc. (a) 922,173
---------------
8,576,673
---------------
AIR FREIGHT & LOGISTICS
-- 0.8%
25,503 Atlas Air Worldwide Holdings,
Inc. (a) 1,102,495
11,778 Echo Global Logistics,
Inc. (a) 291,623
17,790 Forward Air Corp. 823,321
27,530 Hub Group, Inc., Class A (a) 1,127,078
---------------
3,344,517
---------------
AIRLINES -- 0.5%
20,870 Hawaiian Holdings, Inc. (a) 950,211
49,903 SkyWest, Inc. 1,435,709
---------------
2,385,920
---------------
AUTO COMPONENTS -- 1.7%
72,950 American Axle & Manufacturing
Holdings, Inc. (a) 1,270,060
16,715 Cooper-Standard Holding,
Inc. (a) 1,471,756
100,032 Dana, Inc. 1,364,436
18,467 Dorman Products, Inc. (a) 1,176,348
15,564 Drew Industries, Inc. 1,425,818
19,915 Standard Motor Products, Inc. 835,235
---------------
7,543,653
---------------
BANKS -- 7.0%
32,612 1st Source Corp. 1,096,089
17,783 Ameris Bancorp 589,684
13,136 BancFirst Corp. 861,327
12,417 Banner Corp. 518,286
29,431 Berkshire Hills Bancorp, Inc. 776,095
23,256 BNC Bancorp 564,190
67,255 Boston Private Financial
Holdings, Inc. 815,131
23,941 Brookline Bancorp, Inc. 272,688
9,171 Capital Bank Financial Corp.,
Class A 274,121
21,245 Chemical Financial Corp. 879,118
17,423 City Holding Co. 813,654
12,854 Community Bank System, Inc. 567,247
21,017 Customers Bancorp, Inc. (a) 540,978
10,979 Eagle Bancorp, Inc. (a) 565,967
15,535 FCB Financial Holdings, Inc.,
Class A (a) 543,259
57,408 First Commonwealth Financial
Corp. 553,987
40,732 First Financial Bancorp 867,999
16,107 First Financial Bankshares,
Inc. 550,376
SHARES DESCRIPTION VALUE
------------------------------------------------------------
BANKS (CONTINUED)
10,594 First Merchants Corp. $ 277,563
30,077 First Midwest Bancorp, Inc. 561,538
9,936 Glacier Bancorp, Inc. 274,035
33,492 Great Western Bancorp, Inc. 1,110,930
30,344 Hancock Holding Co. 879,673
22,484 Hanmi Financial Corp. 551,308
29,932 Heartland Financial USA, Inc. 1,099,103
25,162 Hilltop Holdings, Inc. (a) 548,028
17,700 Hope Bancorp, Inc. (a) 272,049
5,779 Independent Bank Corp. 290,164
40,489 International Bancshares
Corp. 1,110,208
11,235 Lakeland Financial Corp. 576,917
39,254 LegacyTexas Financial Group,
Inc. 1,119,524
18,448 NBT Bancorp, Inc. 550,119
84,304 Old National Bancorp 1,109,441
7,813 Opus Bank 252,204
2,878 Park National Corp. 257,639
8,168 Renasant Corp. 263,173
10,802 S&T Bancorp, Inc. 275,343
21,387 ServisFirst Bancshares, Inc. 1,082,824
11,435 Simmons First National Corp.,
Class A 525,438
3,879 South State Corp. 282,818
12,978 State Bank Financial Corp. 283,959
11,294 Texas Capital Bancshares,
Inc. (a) 548,211
12,187 Tompkins Financial Corp. 886,482
24,396 TowneBank 559,888
42,509 Trustmark Corp. 1,109,485
21,374 Union Bankshares Corp. 573,678
28,878 United Community Banks, Inc. 555,613
6,963 Washington Trust Bancorp,
Inc. 264,315
25,515 WesBanco, Inc. 788,924
5,362 Westamerica
Bancorporation (b) 252,228
10,525 Yadkin Financial Corp. 265,125
---------------
31,008,143
---------------
BEVERAGES -- 0.4%
5,373 Coca-Cola Bottling Co.
Consolidated 765,169
21,022 National Beverage Corp. (a) 1,205,822
---------------
1,970,991
---------------
BIOTECHNOLOGY -- 2.2%
23,315 Acceleron Pharma, Inc. (a) 790,845
11,040 AMAG Pharmaceuticals,
Inc. (a) 292,891
107,204 ARIAD Pharmaceuticals,
Inc. (a) 1,019,510
169,066 Exelixis, Inc. (a) (b) 1,552,026
25,546 Five Prime Therapeutics,
Inc. (a) 1,294,927
10,197 Genomic Health, Inc. (a) 296,019
80,789 Ironwood Pharmaceuticals,
Inc. (a) 1,141,549
92,014 Lexicon Pharmaceuticals,
Inc. (a) (b) 1,501,668
24,452 Momenta Pharmaceuticals,
Inc. (a) 275,329
Page 46 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY (CONTINUED)
9,651 Repligen Corp. (a) $ 276,019
20,659 Spark Therapeutics, Inc. (a) 1,196,982
---------------
9,637,765
---------------
BUILDING PRODUCTS -- 2.1%
28,798 AAON, Inc. 762,571
7,957 American Woodmark Corp. (a) 590,648
17,091 Apogee Enterprises, Inc. 799,004
93,897 Builders FirstSource,
Inc. (a) 1,210,332
62,653 Griffon Corp. 1,073,873
33,030 NCI Building Systems,
Inc. (a) 535,747
90,626 Ply Gem Holdings, Inc. (a) 1,392,015
19,823 Simpson Manufacturing Co.,
Inc. 808,778
11,758 Trex Co., Inc. (a) 570,263
14,246 Universal Forest Products,
Inc. 1,540,278
---------------
9,283,509
---------------
CAPITAL MARKETS -- 1.0%
9,541 Artisan Partners Asset
Management, Inc., Class A 266,766
6,530 Cohen & Steers, Inc. 281,443
49,208 Greenhill & Co., Inc. 975,795
79,424 KCG Holdings, Inc.,
Class A (a) 1,201,685
20,471 New Mountain Finance Corp. 273,493
14,671 Virtu Financial, Inc.,
Class A 252,341
11,129 Virtus Investment Partners,
Inc. (b) 938,063
---------------
4,189,586
---------------
CHEMICALS -- 2.3%
32,442 A. Schulman, Inc. 950,875
80,330 Calgon Carbon Corp. 1,108,554
32,048 Chemours (The) Co. 298,046
10,010 Chemtura Corp. (a) 281,181
39,474 Ferro Corp. (a) 511,583
18,008 H.B. Fuller Co. 838,453
28,712 Innospec, Inc. 1,443,352
13,948 Minerals Technologies, Inc. 910,246
59,479 Platform Specialty Products
Corp. (a) 547,207
5,922 Quaker Chemical Corp. 566,499
17,744 Stepan Co. 1,141,117
30,757 Trinseo S.A. 1,531,391
---------------
10,128,504
---------------
COMMERCIAL SERVICES
& SUPPLIES -- 2.9%
14,478 ABM Industries, Inc. 538,726
8,642 Brady Corp., Class A 277,754
9,269 Brink's (The) Co. 304,209
32,106 Covanta Holding Corp. 514,338
8,642 Essendant, Inc. 173,186
6,897 G&K Services, Inc., Class A 553,208
35,340 Herman Miller, Inc. 1,158,092
17,041 HNI Corp. 888,347
69,268 Interface, Inc. 1,237,127
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMERCIAL SERVICES
& SUPPLIES (CONTINUED)
43,505 Knoll, Inc. $ 1,098,501
18,985 Matthews International Corp.,
Class A 1,141,188
15,246 Mobile Mini, Inc. 495,647
5,028 MSA Safety, Inc. 280,965
8,331 Multi-Color Corp. 538,016
97,305 Steelcase, Inc., Class A 1,410,922
8,588 Tetra Tech, Inc. 282,803
9,127 UniFirst Corp. 1,066,764
17,241 US Ecology, Inc. 781,017
---------------
12,740,810
---------------
COMMUNICATIONS EQUIPMENT
-- 1.1%
28,318 ADTRAN, Inc. 515,388
33,260 EchoStar Corp., Class A (a) 1,295,477
45,245 Finisar Corp. (a) 848,796
4,742 InterDigital, Inc. 280,015
80,678 Ixia (a) 927,797
11,109 NETGEAR, Inc. (a) 571,336
12,003 Plantronics, Inc. 579,025
---------------
5,017,834
---------------
CONSTRUCTION & ENGINEERING
-- 0.6%
40,541 Comfort Systems USA, Inc. 1,231,636
11,595 Granite Construction, Inc. 577,199
55,801 Primoris Services Corp. 1,007,208
---------------
2,816,043
---------------
CONSTRUCTION MATERIALS
-- 0.6%
29,442 Headwaters, Inc. (a) 585,601
25,816 Summit Materials, Inc.,
Class A (a) 571,566
21,679 US Concrete, Inc. (a) 1,398,296
---------------
2,555,463
---------------
CONSUMER FINANCE -- 0.9%
34,459 Green Dot Corp., Class A (a) 833,908
37,997 Nelnet, Inc., Class A 1,535,459
54,697 PRA Group, Inc. (a) 1,523,858
---------------
3,893,225
---------------
CONTAINERS & PACKAGING
-- 0.1%
14,170 Greif, Inc., Class A 568,642
---------------
DISTRIBUTORS -- 0.1%
5,635 Core-Mark Holding Co., Inc. 275,890
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.9%
74,014 DeVry Education Group, Inc. 1,648,292
13,230 Grand Canyon Education,
Inc. (a) 556,454
66,814 LifeLock, Inc. (a) 1,117,798
42,422 Regis Corp. (a) 570,152
22,705 Weight Watchers
International, Inc. (a) (b) 270,870
---------------
4,163,566
---------------
See Notes to Financial Statements Page 47
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.2%
6,786 ATN International, Inc. $ 498,907
288,929 Cincinnati Bell, Inc. (a) 1,444,645
48,474 Consolidated Communications
Holdings, Inc. 1,354,848
89,217 Iridium Communications,
Inc. (a) (b) 801,169
173,169 Vonage Holdings Corp. (a) 1,026,892
---------------
5,126,461
---------------
ELECTRIC UTILITIES -- 0.5%
16,761 El Paso Electric Co. 799,165
14,017 MGE Energy, Inc. 787,055
23,657 Otter Tail Corp. 824,446
---------------
2,410,666
---------------
ELECTRICAL EQUIPMENT -- 0.8%
17,610 AZZ, Inc. 1,093,229
53,931 Babcock & Wilcox Enterprises,
Inc. (a) 828,380
35,420 Encore Wire Corp. 1,329,312
7,554 Generac Holdings, Inc. (a) 285,466
---------------
3,536,387
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 4.0%
19,827 Anixter International,
Inc. (a) 1,214,998
77,786 AVX Corp. 1,062,557
14,465 Badger Meter, Inc. 1,008,789
8,748 Belden, Inc. 640,441
62,431 Benchmark Electronics,
Inc. (a) 1,463,383
5,755 Coherent, Inc. (a) 610,318
11,038 Dolby Laboratories, Inc.,
Class A 555,322
12,914 ePlus, Inc. (a) 1,086,196
35,573 Fabrinet (a) 1,343,236
28,155 II-VI, Inc. (a) 565,915
50,786 Insight Enterprises, Inc. (a) 1,350,908
6,127 Itron, Inc. (a) 261,562
30,858 Methode Electronics, Inc. 1,080,956
18,072 MTS Systems Corp. 857,155
24,452 Plexus Corp. (a) 1,123,325
12,967 Rogers Corp. (a) 887,461
49,250 Sanmina Corp. (a) 1,247,995
28,464 ScanSource, Inc. (a) 1,167,878
21,315 Vishay Intertechnology, Inc. 284,129
---------------
17,812,524
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.6%
92,578 Bristow Group, Inc. 1,000,768
160,373 McDermott International,
Inc. (a) 830,732
16,064 Oil States International,
Inc. (a) 496,699
9,113 SEACOR Holdings, Inc. (a) 515,067
---------------
2,843,266
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
FOOD & STAPLES RETAILING -- 1.0%
35,471 Smart & Final Stores,
Inc. (a) $ 489,145
34,543 SpartanNash Co. 1,088,104
111,898 SUPERVALU, Inc. (a) 546,062
22,572 United Natural Foods,
Inc. (a) 1,128,149
20,895 Weis Markets, Inc. 1,079,645
---------------
4,331,105
---------------
FOOD PRODUCTS -- 1.3%
19,708 Calavo Growers, Inc. 1,296,393
70,895 Darling Ingredients, Inc. (a) 1,118,723
58,394 Dean Foods Co. 1,077,953
15,239 Sanderson Farms, Inc. 1,334,784
20,563 Tootsie Roll Industries, Inc. 763,504
---------------
5,591,357
---------------
GAS UTILITIES -- 0.5%
11,971 Chesapeake Utilities Corp. 766,982
12,223 Northwest Natural Gas Co. 793,762
25,054 South Jersey Industries, Inc. 798,721
---------------
2,359,465
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.3%
3,323 Analogic Corp. 279,198
1,235 Atrion Corp. 588,848
5,534 CONMED Corp. 224,902
21,715 Cynosure, Inc., Class A (a) 1,193,456
11,081 Globus Medical, Inc.,
Class A (a) 254,309
4,685 ICU Medical, Inc. (a) 547,021
8,732 Insulet Corp. (a) 309,025
8,538 Integer Holdings Corp. (a) 189,629
25,144 Masimo Corp. (a) 1,331,878
39,953 Merit Medical Systems,
Inc. (a) 936,498
17,902 Nevro Corp. (a) 1,480,495
48,723 NxStage Medical, Inc. (a) 1,077,266
18,684 Orthofix International
N.V. (a) 885,622
19,326 Zeltiq Aesthetics,
Inc. (a) (b) 656,118
---------------
9,954,265
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 3.8%
24,127 Aceto Corp. 620,305
5,111 Adeptus Health, Inc.,
Class A (a) (b) 227,797
7,371 Air Methods Corp. (a) 245,381
26,158 Amedisys, Inc. (a) 1,400,761
33,037 AMN Healthcare Services,
Inc. (a) 1,397,465
12,678 Civitas Solutions, Inc. (a) 271,690
18,346 CorVel Corp. (a) 829,239
37,725 Diplomat Pharmacy, Inc. (a) 1,355,459
25,139 Ensign Group (The), Inc. 540,488
34,764 HealthEquity, Inc. (a) 1,026,233
116,953 Kindred Healthcare, Inc. 1,433,844
24,407 LHC Group, Inc. (a) 1,104,661
12,047 Magellan Health, Inc. (a) 824,858
16,316 National HealthCare Corp. 1,054,014
Page 48 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS
& SERVICES (CONTINUED)
21,417 PharMerica Corp. (a) $ 568,836
23,536 Providence Service (The)
Corp. (a) 1,138,436
121,472 Select Medical Holdings
Corp. (a) 1,396,928
27,699 Surgical Care Affiliates,
Inc. (a) 1,440,625
---------------
16,877,020
---------------
HEALTH CARE TECHNOLOGY
-- 0.7%
29,874 HealthStream, Inc. (a) 723,847
14,997 HMS Holdings Corp. (a) 298,140
14,663 Inovalon Holdings, Inc.,
Class A (a) (b) 273,025
7,716 Omnicell, Inc. (a) 298,455
33,554 Press Ganey Holdings,
Inc. (a) 1,339,476
---------------
2,932,943
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.9%
53,351 Belmond Ltd., Class A (a) 613,003
1,309 Biglari Holdings, Inc. (a) 543,379
18,076 BJ's Restaurants, Inc. (a) 702,072
13,918 Bob Evans Farms, Inc. 511,904
11,287 Dave & Buster's
Entertainment, Inc. (a) 502,271
73,835 Denny's Corp. (a) 823,999
48,434 Fiesta Restaurant Group,
Inc. (a) 1,082,016
10,747 Hyatt Hotels Corp.,
Class A (a) 542,079
31,578 International Speedway Corp.,
Class A 1,066,389
16,610 Interval Leisure Group, Inc. 298,648
46,330 La Quinta Holdings, Inc. (a) 573,102
11,568 Marriott Vacations Worldwide
Corp. 882,638
15,535 Papa John's International,
Inc. 1,148,813
18,932 Penn National Gaming,
Inc. (a) 284,359
4,834 Popeyes Louisiana Kitchen,
Inc. (a) 276,892
27,840 Red Robin Gourmet Burgers,
Inc. (a) 1,346,342
36,858 SeaWorld Entertainment,
Inc. (b) 567,613
38,764 Wingstop, Inc. 1,007,864
---------------
12,773,383
---------------
HOUSEHOLD DURABLES -- 2.1%
14,093 Cavco Industries, Inc. (a) 1,400,562
23,977 Ethan Allen Interiors, Inc. 832,721
22,585 iRobot Corp. (a) 856,423
69,451 KB Home (b) 1,090,381
28,476 La-Z-Boy, Inc. 860,545
32,549 M.D.C. Holdings, Inc. 856,690
35,172 Meritage Homes Corp. (a) 1,279,909
29,180 TopBuild Corp. (a) 1,101,837
67,025 TRI Pointe Group, Inc. (a) 901,486
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HOUSEHOLD DURABLES (CONTINUED)
3,653 Universal Electronics,
Inc. (a) $ 282,523
---------------
9,463,077
---------------
HOUSEHOLD PRODUCTS -- 0.5%
60,820 Central Garden & Pet Co.,
Class A (a) 1,386,088
6,745 WD-40 Co. 775,540
---------------
2,161,628
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 1.0%
76,590 Dynegy, Inc. (a) 1,158,807
84,696 NRG Yield, Inc., Class C 1,519,446
24,138 Ormat Technologies, Inc. 1,101,658
34,492 Pattern Energy Group, Inc. 840,570
---------------
4,620,481
---------------
INSURANCE -- 4.0%
74,129 American Equity Investment
Life Holding Co. 1,180,875
17,254 AMERISAFE, Inc. 1,009,877
25,443 Argo Group International
Holdings Ltd. 1,320,237
45,499 Employers Holdings, Inc. 1,297,631
13,058 FBL Financial Group, Inc.,
Class A 814,427
102,359 Genworth Financial, Inc.,
Class A (a) 292,747
23,448 Horace Mann Educators Corp. 801,453
13,095 Infinity Property & Casualty
Corp. 1,074,314
31,106 James River Group Holdings
Ltd. 1,047,028
25,572 Kemper Corp. 876,352
107,877 Maiden Holdings Ltd. 1,507,042
77,329 MBIA, Inc. (a) 652,657
6,761 National Western Life Group,
Inc., Class A 1,278,776
8,616 Navigators Group (The), Inc. 807,061
8,576 Safety Insurance Group, Inc. 546,291
27,646 Selective Insurance Group,
Inc. 1,082,617
6,377 Stewart Information Services
Corp. 272,999
24,897 United Fire Group, Inc. 1,045,674
28,426 Universal Insurance Holdings,
Inc. 617,981
---------------
17,526,039
---------------
INTERNET & CATALOG RETAIL
-- 0.1%
12,070 Liberty TripAdvisor Holdings,
Inc., Class A (a) 285,697
5,665 Shutterfly, Inc. (a) 301,321
---------------
587,018
---------------
INTERNET SOFTWARE & SERVICES
-- 2.6%
26,939 2U, Inc. (a) 942,326
70,610 Bankrate, Inc. (a) 562,762
See Notes to Financial Statements Page 49
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES
(CONTINUED)
20,784 Benefitfocus, Inc. (a) (b) $ 893,712
27,753 Cornerstone OnDemand,
Inc. (a) 1,198,652
23,783 Envestnet, Inc. (a) 907,797
33,999 GrubHub, Inc. (a) 1,289,242
12,490 LogMeIn, Inc. (a) 1,073,016
48,146 NIC, Inc. 1,122,765
28,274 Q2 Holdings, Inc. (a) 839,172
8,715 SPS Commerce, Inc. (a) 551,834
3,022 Stamps.com, Inc. (a) 229,083
13,633 WebMD Health Corp. (a) 831,749
26,094 Yelp, Inc. (a) 839,444
---------------
11,281,554
---------------
IT SERVICES -- 1.7%
12,008 Acxiom Corp. (a) 275,584
33,167 Cardtronics PLC, Class A (a) 1,459,016
13,101 CSG Systems International,
Inc. 527,446
16,994 EVERTEC, Inc. 292,297
20,154 ExlService Holdings, Inc. (a) 997,825
20,949 ManTech International Corp.,
Class A 827,695
56,163 NeuStar, Inc.,
Class A (a) (b) 1,414,746
26,006 Perficient, Inc. (a) 577,853
18,238 Sykes Enterprises, Inc. (a) 559,724
19,469 TeleTech Holdings, Inc. 555,645
---------------
7,487,831
---------------
LEISURE PRODUCTS -- 0.6%
25,865 Callaway Golf Co. 276,755
48,579 Smith & Wesson Holding
Corp. (a) 1,430,652
12,376 Sturm Ruger & Co., Inc. 841,568
---------------
2,548,975
---------------
LIFE SCIENCES TOOLS
& SERVICES -- 0.4%
20,421 Cambrex Corp. (a) 1,070,265
26,107 Luminex Corp. (a) 559,473
---------------
1,629,738
---------------
MACHINERY -- 4.2%
13,227 Albany International Corp.,
Class A 559,899
33,454 American Railcar Industries,
Inc. (b) 1,405,402
9,406 Astec Industries, Inc. 566,994
39,867 Barnes Group, Inc. 1,512,155
49,875 Briggs & Stratton Corp. 1,133,659
19,837 ESCO Technologies, Inc. 840,097
102,515 Federal Signal Corp. 1,348,072
15,980 Franklin Electric Co., Inc. 618,746
45,327 Greenbrier (The) Cos.,
Inc. (b) 1,488,085
17,582 Hillenbrand, Inc. 568,778
21,568 John Bean Technologies Corp. 1,443,330
23,888 Kennametal, Inc. 593,856
24,850 Mueller Industries, Inc. 845,894
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MACHINERY (CONTINUED)
23,125 Mueller Water Products, Inc.,
Class A $ 274,262
10,927 RBC Bearings, Inc. (a) 830,780
13,452 Rexnord Corp. (a) 286,393
40,519 SPX FLOW, Inc. (a) 1,105,358
6,391 Standex International Corp. 567,521
17,788 Sun Hydraulics Corp. 537,198
9,804 Tennant Co. 628,240
103,968 Wabash National Corp. (a) 1,505,457
---------------
18,660,176
---------------
MARINE -- 0.1%
8,178 Matson, Inc. 305,612
---------------
MEDIA -- 1.4%
95,612 Gannett Co., Inc. 1,220,009
7,486 Loral Space & Communications,
Inc. (a) 262,983
25,438 Meredith Corp. 1,385,862
17,059 National CineMedia, Inc. 265,779
73,073 New Media Investment Group,
Inc. 1,290,469
11,100 Nexstar Broadcasting Group,
Inc., Class A (b) 561,105
33,335 Scholastic Corp. 1,370,069
---------------
6,356,276
---------------
METALS & MINING -- 0.5%
20,711 Allegheny Technologies,
Inc. (b) 368,863
8,019 Carpenter Technology Corp. 314,746
46,879 Commercial Metals Co. 775,378
8,762 Kaiser Aluminum Corp. 725,932
---------------
2,184,919
---------------
MULTILINE RETAIL -- 0.3%
21,079 Big Lots, Inc. 1,120,981
---------------
OIL, GAS & CONSUMABLE FUELS
-- 2.0%
163,014 Alon USA Energy, Inc. 1,152,509
7,367 Carrizo Oil & Gas, Inc. (a) 241,638
16,414 CONSOL Energy, Inc. 318,103
79,965 Delek US Holdings, Inc. 1,001,162
40,175 Green Plains, Inc. 911,169
48,456 Kosmos Energy Ltd. (a) 268,931
50,396 Laredo Petroleum, Inc. (a) 504,968
113,098 Oasis Petroleum, Inc. (a) 859,545
59,910 Rice Energy, Inc. (a) 1,397,101
16,222 SemGroup Corp., Class A 469,789
29,342 SM Energy Co. 796,048
18,801 Targa Resources Corp. 700,525
---------------
8,621,488
---------------
PAPER & FOREST PRODUCTS
-- 1.3%
46,027 Boise Cascade Co. (a) 1,250,553
16,158 Clearwater Paper Corp. (a) 1,016,500
101,493 KapStone Paper and Packaging
Corp. 1,449,320
Page 50 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PAPER & FOREST PRODUCTS
(CONTINUED)
7,297 Neenah Paper, Inc. $ 550,413
37,427 Schweitzer-Mauduit
International, Inc. 1,415,115
---------------
5,681,901
---------------
PERSONAL PRODUCTS -- 0.4%
9,243 Inter Parfums, Inc. 300,767
11,434 Nu Skin Enterprises, Inc.,
Class A 610,576
16,414 Revlon, Inc., Class A (a) 582,533
2,370 USANA Health Sciences,
Inc. (a) 325,448
---------------
1,819,324
---------------
PHARMACEUTICALS -- 0.6%
53,838 Depomed, Inc. (a) 1,021,307
9,029 Dermira, Inc. (a) 303,013
6,804 Intra-Cellular Therapies,
Inc. (a) 277,603
22,202 Lannett Co., Inc. (a) (b) 693,146
62,136 TherapeuticsMD, Inc. (a) (b) 482,797
---------------
2,777,866
---------------
PROFESSIONAL SERVICES -- 2.3%
14,923 Advisory Board (The) Co. (a) 623,184
18,085 Exponent, Inc. 918,899
19,476 FTI Consulting, Inc. (a) 834,352
13,111 Huron Consulting Group,
Inc. (a) 805,933
3,420 Insperity, Inc. 268,436
38,271 Korn/Ferry International 880,616
81,760 Navigant Consulting, Inc. (a) 1,611,490
63,512 TriNet Group, Inc. (a) 1,377,575
69,790 TrueBlue, Inc. (a) 1,558,411
22,077 WageWorks, Inc. (a) 1,364,579
---------------
10,243,475
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 9.3%
27,371 Agree Realty Corp. 1,388,257
1,290 Alexander's, Inc. 553,758
12,446 American Assets Trust, Inc. 571,023
32,868 Apollo Commercial Real
Estate Finance, Inc. 534,105
108,901 Capstead Mortgage Corp. 1,083,565
141,828 CBL & Associates Properties,
Inc. 1,743,066
12,013 Chatham Lodging Trust 288,072
56,792 Chesapeake Lodging Trust 1,435,134
50,786 Cousins Properties, Inc. 540,363
31,550 CYS Investments, Inc. 282,373
146,225 DiamondRock Hospitality Co. 1,435,930
15,328 EastGroup Properties, Inc. 1,128,447
64,568 Franklin Street Properties
Corp. 827,762
33,219 Global Net Lease, Inc. (b) 290,002
45,808 Government Properties Income
Trust 1,092,979
SHARES DESCRIPTION VALUE
------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
24,452 Hannon Armstrong Sustainable
Infrastructure Capital,
Inc. $ 549,926
45,169 InfraREIT, Inc. 797,685
19,291 Invesco Mortgage Capital,
Inc. 277,790
163,265 Investors Real Estate
Trust (b) 1,080,814
27,537 iStar, Inc. (a) 285,283
104,483 Lexington Realty Trust 1,135,730
20,421 LTC Properties, Inc. 1,093,136
29,342 Mack-Cali Realty Corp. 827,444
51,731 Monogram Residential Trust,
Inc. 554,039
74,181 New Senior Investment Group,
Inc. 889,430
50,301 Pebblebrook Hotel Trust 1,491,425
12,311 Pennsylvania Real Estate
Investment Trust 313,192
65,086 PennyMac Mortgage
Investment Trust 1,056,346
62,846 Physicians Realty Trust 1,365,015
23,586 QTS Realty Trust, Inc.,
Class A 1,350,299
53,868 Ramco-Gershenson Properties
Trust 1,068,741
76,491 Redwood Trust, Inc. 1,091,527
48,745 Retail Opportunity
Investments Corp. 1,112,848
62,608 Rexford Industrial Realty,
Inc. 1,431,219
12,799 Sabra Health Care REIT, Inc. 306,024
12,838 Saul Centers, Inc. 862,328
40,645 Select Income REIT 1,128,305
55,455 STAG Industrial, Inc. 1,407,448
99,729 Summit Hotel Properties, Inc. 1,414,157
40,833 Terreno Realty Corp. 1,137,199
17,226 Tier REIT, Inc. 300,249
9,237 Universal Health Realty
Income Trust 551,172
25,182 Washington Real Estate
Investment Trust 863,491
70,799 WP Glimcher, Inc. 897,731
78,690 Xenia Hotels & Resorts, Inc. 1,413,272
---------------
41,248,101
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.2%
9,146 HFF, Inc., Class A 258,008
10,392 Marcus & Millichap, Inc. (a) 278,402
14,902 St. Joe (The) Co. (a) 274,644
---------------
811,054
---------------
ROAD & RAIL -- 0.9%
60,745 Heartland Express, Inc. 1,124,998
68,549 Swift Transportation Co. (a) 1,319,568
57,485 Werner Enterprises, Inc. 1,444,023
---------------
3,888,589
---------------
See Notes to Financial Statements Page 51
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
-- 2.9%
20,870 Advanced Energy Industries,
Inc. (a) $ 849,826
256,888 Advanced Micro Devices,
Inc. (a) 1,762,252
5,198 Ambarella, Inc. (a) 301,380
183,709 Amkor Technology, Inc. (a) 1,155,530
18,710 Cabot Microelectronics Corp. 984,520
56,219 Diodes, Inc. (a) 1,040,614
54,749 Entegris, Inc. (a) 935,661
32,979 Inphi Corp. (a) 1,160,201
58,511 Intersil Corp., Class A 894,048
73,438 MaxLinear, Inc., Class A (a) 1,601,683
18,400 MKS Instruments, Inc. 840,512
10,548 Power Integrations, Inc. 601,974
11,067 Semtech Corp. (a) 281,323
5,418 Silicon Laboratories,
Inc. (a) 288,671
15,947 Veeco Instruments, Inc. (a) 267,431
---------------
12,965,626
---------------
SOFTWARE -- 3.2%
90,376 8x8, Inc. (a) 1,242,670
25,744 BroadSoft, Inc. (a) 1,154,104
52,869 Callidus Software, Inc. (a) 1,085,401
27,565 Ebix, Inc. 1,469,766
6,096 Fleetmatics Group PLC (a) 261,884
35,314 Gigamon, Inc. (a) 1,649,870
6,083 HubSpot, Inc. (a) 332,071
28,155 Infoblox, Inc. (a) 527,062
10,721 Monotype Imaging Holdings,
Inc. 212,169
30,558 Paycom Software, Inc. (a) 1,442,643
24,452 Paylocity Holding Corp. (a) 1,091,537
29,396 Pegasystems, Inc. 820,148
8,859 Qualys, Inc. (a) 278,084
35,479 RealPage, Inc. (a) 892,297
40,175 RingCentral, Inc.,
Class A (a) 925,230
33,771 Rovi Corp. (a) 635,232
8,289 Synchronoss Technologies,
Inc. (a) 309,511
---------------
14,329,679
---------------
SPECIALTY RETAIL -- 5.4%
60,319 Aaron's, Inc. 1,444,640
74,140 Abercrombie & Fitch Co.,
Class A 1,535,439
15,022 Asbury Automotive Group,
Inc. (a) 913,338
37,781 Ascena Retail Group, Inc. (a) 307,159
69,802 Barnes & Noble, Inc. 913,010
50,805 Buckle (The), Inc. (b) 1,391,549
54,539 Caleres, Inc. 1,435,466
28,005 Cato (The) Corp., Class A 1,001,739
24,657 Chico's FAS, Inc. 296,131
9,882 Children's Place (The), Inc. 825,938
62,341 DSW, Inc., Class A 1,512,393
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
91,001 Express, Inc. (a) $ 1,361,375
39,240 Finish Line (The), Inc.,
Class A 852,685
28,450 Five Below, Inc. (a) 1,451,234
20,531 Genesco, Inc. (a) 1,425,262
21,400 Group 1 Automotive, Inc. 1,333,648
70,189 Guess?, Inc. 1,033,182
37,954 Hibbett Sports, Inc. (a) 1,325,354
3,717 Lithia Motors, Inc., Class A 320,740
24,702 Select Comfort Corp. (a) 589,390
66,419 Tile Shop Holdings, Inc. (a) 1,132,444
43,194 Vitamin Shoppe, Inc. (a) 1,263,856
---------------
23,665,972
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.7%
17,654 Cray, Inc. (a) 557,160
53,179 Diebold, Inc. 1,501,775
42,509 Super Micro Computer,
Inc. (a) 916,069
---------------
2,975,004
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.8%
18,363 Deckers Outdoor Corp. (a) 1,212,142
46,282 Fossil Group, Inc. (a) 1,462,511
38,987 Wolverine World Wide, Inc. 954,792
---------------
3,629,445
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.7%
20,762 Beneficial Bancorp, Inc. 281,533
37,861 Capitol Federal Financial,
Inc. 536,490
24,217 Essent Group Ltd. (a) 580,239
71,086 EverBank Financial Corp. 1,276,705
43,274 Flagstar Bancorp, Inc. (a) 1,142,866
41,984 Kearny Financial Corp. 546,632
5,979 LendingTree, Inc. (a) (b) 603,759
53,602 Meridian Bancorp, Inc. 787,949
23,454 Nationstar Mortgage Holdings,
Inc. (a) 296,224
35,615 Northwest Bancshares, Inc. 531,020
19,827 PHH Corp. (a) 289,673
13,445 Provident Financial Services,
Inc. 270,917
11,593 Walker & Dunlop, Inc. (a) 274,406
8,203 WSFS Financial Corp. 288,664
---------------
7,707,077
---------------
TOBACCO -- 0.3%
22,867 Universal Corp. 1,356,242
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.1%
30,030 GATX Corp. (b) 1,343,242
18,633 Kaman Corp. 804,200
61,273 Rush Enterprises, Inc.,
Class A (a) 1,408,054
25,645 WESCO International, Inc. (a) 1,429,452
---------------
4,984,948
---------------
Page 52 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
WATER UTILITIES -- 0.4%
18,080 American States Water Co. $ 781,056
7,561 California Water Service
Group 255,033
20,118 SJW Corp. 852,198
---------------
1,888,287
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.3%
33,805 Shenandoah
Telecommunications Co. 1,388,709
---------------
TOTAL COMMON STOCKS
-- 100.0% 442,566,668
(Cost $392,779,033) ---------------
MONEY MARKET FUNDS -- 1.4%
5,955,745 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) 5,955,745
179,976 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) 179,976
---------------
TOTAL MONEY MARKET
FUNDS -- 1.4% 6,135,721
(Cost $6,135,721) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.6%
$ 2,358,368 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$2,358,420. Collateralized
by U.S. Treasury Note,
interest rate of 0.875%,
due 04/15/17. The value of
the collateral including
accrued interest is
$2,411,761. (d) 2,358,368
4,885,588 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$4,885,710. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250%
to 1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including
accrued interest is
$4,998,902. (d) 4,885,588
---------------
TOTAL REPURCHASE
AGREEMENTS -- 1.6% 7,243,956
(Cost $7,243,956) ---------------
DESCRIPTION VALUE
------------------------------------------------------------
TOTAL INVESTMENTS -- 103.0% $ 455,946,345
(Cost $406,158,710) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.0)% (13,319,628)
---------------
NET ASSETS -- 100.0% $ 442,626,717
===============
(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 $13,065,305 and the total value of the collateral held by
the Fund is $13,199,701.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $407,308,893. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $57,936,196 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $9,298,744.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
---------------------------------------
Common Stocks* $442,566,668 $ -- $ --
Money Market Funds 6,135,721 -- --
Repurchase
Agreements -- 7,243,956 --
---------------------------------------
Total Investments $448,702,389 $ 7,243,956 $ --
=======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Financial Statements Page 53
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 13,065,305
Non-cash Collateral(2) (13,065,305)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 7,243,956
Non-cash Collateral(4) (7,243,956)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 54 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.3%
20,405 General Dynamics Corp. $ 2,997,290
11,891 Honeywell International, Inc. 1,383,280
155,428 Textron, Inc. 6,061,692
---------------
10,442,262
---------------
AIR FREIGHT & LOGISTICS
-- 0.5%
28,207 Expeditors International of
Washington, Inc. 1,394,272
18,720 FedEx Corp. 3,030,768
---------------
4,425,040
---------------
AIRLINES -- 3.0%
250,900 American Airlines Group, Inc. 8,906,950
194,977 Delta Air Lines, Inc. 7,555,358
173,075 United Continental Holdings,
Inc. (a) 8,115,487
---------------
24,577,795
---------------
AUTO COMPONENTS -- 2.5%
240,616 BorgWarner, Inc. 7,983,639
161,717 Goodyear Tire & Rubber (The)
Co. 4,636,426
69,802 Lear Corp. 7,919,037
---------------
20,539,102
---------------
AUTOMOBILES -- 2.4%
565,076 Ford Motor Co. 7,153,862
250,990 General Motors Co. 7,916,224
91,605 Harley-Davidson, Inc. 4,847,737
---------------
19,917,823
---------------
BANKS -- 9.2%
428,215 Bank of America Corp. 6,204,835
116,531 BB&T Corp. 4,296,498
134,049 Citigroup, Inc. 5,872,687
284,405 Citizens Financial Group,
Inc. 6,350,764
403,809 Fifth Third Bancorp 7,664,295
635,615 Huntington Bancshares, Inc. 6,038,342
91,445 JPMorgan Chase & Co. 5,849,737
514,244 KeyCorp 6,016,655
11,699 M&T Bank Corp. 1,340,237
69,818 PNC Financial Services Group
(The), Inc. 5,770,458
834,665 Regions Financial Corp. 7,653,878
138,326 SunTrust Banks, Inc. 5,849,806
70,449 U.S. Bancorp 2,970,834
87,675 Wells Fargo & Co. 4,205,770
---------------
76,084,796
---------------
CAPITAL MARKETS -- 4.5%
20,183 Affiliated Managers Group,
Inc. (a) 2,962,461
46,183 Ameriprise Financial, Inc. 4,426,179
212,855 Franklin Resources, Inc. 7,703,222
19,123 Goldman Sachs Group (The),
Inc. 3,036,923
162,477 Invesco Ltd. 4,741,079
218,723 Morgan Stanley 6,283,912
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
20,875 Northern Trust Corp. $ 1,410,941
105,386 State Street Corp. 6,932,291
---------------
37,497,008
---------------
CHEMICALS -- 2.9%
9,737 Air Products and Chemicals,
Inc. 1,454,903
104,610 Eastman Chemical Co. 6,823,710
76,355 LyondellBasell Industries
N.V., Class A 5,746,477
271,314 Mosaic (The) Co. 7,325,478
13,280 PPG Industries, Inc. 1,390,549
12,308 Praxair, Inc. 1,434,374
---------------
24,175,491
---------------
COMMUNICATIONS EQUIPMENT
-- 0.9%
198,063 Cisco Systems, Inc. 6,046,863
16,577 Harris Corp. 1,435,900
---------------
7,482,763
---------------
CONSUMER FINANCE -- 3.2%
416,110 Ally Financial, Inc. 7,506,625
46,761 American Express Co. 3,014,214
111,842 Capital One Financial Corp. 7,502,361
77,433 Discover Financial Services 4,401,292
164,147 Synchrony Financial (a) 4,576,418
---------------
27,000,910
---------------
CONTAINERS & PACKAGING
-- 0.7%
67,042 International Paper Co. 3,071,194
73,094 WestRock Co. 3,136,464
---------------
6,207,658
---------------
DIVERSIFIED FINANCIAL
SERVICES -- 1.0%
39,246 Berkshire Hathaway, Inc.,
Class B (a) 5,662,020
114,749 Voya Financial, Inc. 2,941,017
---------------
8,603,037
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.5%
131,507 AT&T, Inc. 5,692,938
244,847 CenturyLink, Inc. 7,697,990
137,950 Level 3 Communications,
Inc. (a) 6,980,270
---------------
20,371,198
---------------
ELECTRIC UTILITIES -- 6.2%
71,566 Alliant Energy Corp. 2,880,531
59,203 American Electric Power Co.,
Inc. 4,102,768
61,684 Avangrid, Inc. 2,784,416
48,370 Duke Energy Corp. 4,139,988
53,426 Edison International 4,134,104
51,010 Entergy Corp. 4,151,704
47,432 Eversource Energy 2,774,298
156,281 Exelon Corp. 5,826,156
162,773 FirstEnergy Corp. 5,684,033
See Notes to Financial Statements Page 55
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
64,919 PG&E Corp. $ 4,150,921
51,193 Pinnacle West Capital Corp. 4,037,592
75,264 PPL Corp. 2,838,205
92,668 Xcel Energy, Inc. 4,075,539
---------------
51,580,255
---------------
ELECTRICAL EQUIPMENT -- 1.3%
95,135 Eaton Corp. PLC 6,032,510
54,470 Emerson Electric Co. 3,044,873
12,047 Rockwell Automation, Inc. 1,378,177
---------------
10,455,560
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.3%
138,731 Corning, Inc. 3,082,603
124,374 TE Connectivity Ltd. 7,497,265
---------------
10,579,868
---------------
FOOD & STAPLES RETAILING
-- 1.8%
29,676 CVS Health Corp. 2,751,559
112,792 Kroger (The) Co. 3,856,358
56,828 Wal-Mart Stores, Inc. 4,146,739
129,596 Whole Foods Market, Inc. 3,950,086
---------------
14,704,742
---------------
FOOD PRODUCTS -- 2.0%
132,487 Archer-Daniels-Midland Co. 5,972,514
120,085 Bunge Ltd. 7,906,397
10,689 Ingredion, Inc. 1,424,202
9,075 J.M. Smucker (The) Co. 1,399,002
---------------
16,702,115
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 1.3%
35,187 Abbott Laboratories 1,574,618
157,076 Baxter International, Inc. 7,542,790
16,822 Varian Medical Systems,
Inc. (a) 1,593,716
---------------
10,711,124
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 2.6%
11,325 Aetna, Inc. 1,304,753
17,439 AmerisourceBergen Corp. 1,485,629
43,265 Anthem, Inc. 5,682,425
17,731 Cardinal Health, Inc. 1,482,312
37,482 Express Scripts Holding
Co. (a) 2,851,256
21,811 Laboratory Corp. of America
Holdings (a) 3,043,943
69,801 Quest Diagnostics, Inc. 6,028,014
---------------
21,878,332
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.7%
21,838 Darden Restaurants, Inc. 1,344,347
65,330 Las Vegas Sands Corp. 3,308,965
19,419 Wyndham Worldwide Corp. 1,379,137
---------------
6,032,449
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HOUSEHOLD DURABLES -- 1.9%
97,823 Garmin Ltd. $ 5,314,724
123,263 Lennar Corp., Class A 5,768,708
24,902 Whirlpool Corp. 4,790,149
---------------
15,873,581
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.3%
227,660 AES (The) Corp. 2,811,601
---------------
INSURANCE -- 9.2%
39,374 Aflac, Inc. 2,845,953
7,551 Alleghany Corp. (a) 4,103,969
40,617 Allstate (The) Corp. 2,775,360
26,152 American International Group,
Inc. 1,423,715
59,689 Arthur J. Gallagher & Co. 2,936,102
10,582 Chubb Ltd. 1,325,501
18,469 Cincinnati Financial Corp. 1,379,634
38,884 Everest Re Group, Ltd. 7,349,465
75,766 FNF Group 2,854,105
93,503 Hartford Financial Services
Group (The), Inc. 3,726,095
107,033 Lincoln National Corp. 4,674,131
142,667 MetLife, Inc. 6,097,588
100,940 Principal Financial Group,
Inc. 4,706,832
41,291 Progressive (The) Corp. 1,342,370
99,567 Prudential Financial, Inc. 7,496,399
45,959 Torchmark Corp. 2,843,483
47,734 Travelers (The) Cos., Inc. 5,547,645
178,749 Unum Group 5,972,004
213,241 XL Group Ltd. 7,380,271
---------------
76,780,622
---------------
INTERNET & CATALOG RETAIL
-- 0.4%
111,990 Liberty Interactive Corp.,
QVC Group, Class A (a) 3,002,452
---------------
INTERNET SOFTWARE & SERVICES
-- 0.5%
50,800 Akamai Technologies, Inc. (a) 2,566,924
59,087 eBay, Inc. (a) 1,841,151
---------------
4,408,075
---------------
IT SERVICES -- 1.8%
27,340 International Business
Machines Corp. 4,391,351
216,354 Western Union (The) Co. 4,327,080
598,778 Xerox Corp. 6,167,413
---------------
14,885,844
---------------
MACHINERY -- 2.7%
18,246 Caterpillar, Inc. 1,510,039
50,536 Cummins, Inc. 6,204,305
35,058 Deere & Co. 2,724,357
59,863 Dover Corp. 4,276,014
21,721 Ingersoll-Rand PLC 1,439,233
26,668 PACCAR, Inc. 1,572,612
26,296 Parker-Hannifin Corp. 3,002,740
Page 56 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
30,980 Xylem, Inc. $ 1,481,154
---------------
22,210,454
---------------
MEDIA -- 2.8%
63,654 Comcast Corp., Class A 4,280,732
281,530 Discovery Communications,
Inc., Class A (a) 7,063,588
56,428 Time Warner, Inc. 4,325,206
51,136 Twenty-First Century Fox,
Inc., Class A 1,362,263
137,024 Viacom, Inc., Class B 6,230,481
---------------
23,262,270
---------------
METALS & MINING -- 0.2%
149,214 Alcoa, Inc. 1,584,653
---------------
MULTILINE RETAIL -- 3.2%
14,716 Dollar General Corp. 1,394,194
187,315 Kohl's Corp. 7,790,431
169,068 Macy's, Inc. 6,057,707
109,058 Nordstrom, Inc. (b) 4,823,635
81,386 Target Corp. 6,130,807
---------------
26,196,774
---------------
MULTI-UTILITIES -- 2.3%
30,162 CMS Energy Corp. 1,362,719
35,321 Consolidated Edison, Inc. 2,828,506
28,665 DTE Energy Co. 2,795,411
52,157 NiSource, Inc. 1,338,348
121,914 Public Service Enterprise
Group, Inc. 5,609,263
37,552 SCANA Corp. 2,814,147
24,918 Sempra Energy 2,787,826
---------------
19,536,220
---------------
OIL, GAS & CONSUMABLE FUELS
-- 6.8%
273,404 Antero Resources Corp. (a) 7,160,451
39,585 Chevron Corp. 4,056,671
65,164 ConocoPhillips 2,659,994
30,309 Exxon Mobil Corp. 2,695,985
298,822 HollyFrontier Corp. 7,596,055
276,459 Marathon Oil Corp. 3,770,901
187,117 Marathon Petroleum Corp. 7,370,539
89,526 Phillips 66 6,809,348
94,808 Tesoro Corp. 7,219,629
139,274 Valero Energy Corp. 7,281,245
---------------
56,620,818
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 0.7%
350,550 Host Hotels & Resorts, Inc. 6,218,757
---------------
ROAD & RAIL -- 2.9%
217,884 CSX Corp. 6,172,654
35,106 J.B. Hunt Transport Services,
Inc. 2,918,362
46,062 Kansas City Southern 4,427,019
66,749 Norfolk Southern Corp. 5,992,725
SHARES DESCRIPTION VALUE
------------------------------------------------------------
ROAD & RAIL (CONTINUED)
47,561 Union Pacific Corp. $ 4,425,551
---------------
23,936,311
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 3.4%
146,514 First Solar, Inc. (a) 6,839,274
216,555 Intel Corp. 7,549,107
38,756 Maxim Integrated Products,
Inc. 1,580,470
516,205 Micron Technology, Inc. (a) 7,092,657
77,461 QUALCOMM, Inc. 4,847,509
---------------
27,909,017
---------------
SOFTWARE -- 0.7%
126,399 CA, Inc. 4,379,725
33,795 Oracle Corp. 1,386,947
---------------
5,766,672
---------------
SPECIALTY RETAIL -- 3.6%
164,345 Bed Bath & Beyond, Inc. 7,387,308
232,125 Best Buy Co., Inc. 7,799,400
28,212 CarMax, Inc. (a) 1,643,631
334,732 Gap (The), Inc. 8,632,738
68,431 Tiffany & Co. 4,415,168
---------------
29,878,245
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 2.4%
388,779 Hewlett Packard Enterprise Co. 8,172,135
330,649 HP, Inc. 4,632,393
56,252 NetApp, Inc. 1,482,240
120,236 Western Digital Corp. 5,712,412
---------------
19,999,180
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.1%
33,952 Coach, Inc. 1,463,671
63,406 Ralph Lauren Corp. 6,219,495
22,494 VF Corp. 1,404,300
---------------
9,087,466
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.3%
12,501 W.W. Grainger, Inc. 2,735,844
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.9%
1,254,393 Sprint Corp. (a) 7,701,973
---------------
TOTAL COMMON STOCKS
-- 99.9% 830,376,157
(Cost $803,622,025) ---------------
MONEY MARKET FUNDS -- 0.3%
1,638,046 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) 1,638,046
See Notes to Financial Statements Page 57
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MONEY MARKET FUNDS (CONTINUED)
794,929 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) $ 794,929
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 2,432,975
(Cost $2,432,975) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.2%
$ 648,637 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $648,651.
Collateralized by U.S.
Treasury Note, interest
rate of 0.875%, due
04/15/17. The value of the
collateral including
accrued interest is
$663,322. (d) 648,637
1,343,714 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of
$1,343,748. Collateralized
by U.S. Treasury Notes,
interest rates of 1.250% to
1.500%, due 01/31/19 to
05/31/20. The value of the
collateral including
accrued interest is
$1,374,880. (d) 1,343,714
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.2% 1,992,351
(Cost $1,992,351) ---------------
TOTAL INVESTMENTS -- 100.4% 834,801,483
(Cost $808,047,351) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.4)% (3,545,026)
---------------
NET ASSETS -- 100.0% $ 831,256,457
===============
(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 $3,635,971 and the total value of the collateral held by the
Fund is $3,630,397.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $810,927,436. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $58,840,319 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $34,966,272.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
---------------------------------------
Common Stocks* $830,376,157 $ -- $ --
Money Market Funds 2,432,975 -- --
Repurchase
Agreements -- 1,992,351 --
---------------------------------------
Total Investments $832,809,132 $ 1,992,351 $ --
=======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
Page 58 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
----------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as
follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 3,635,971
Non-cash Collateral(2) (3,630,397)
---------------
Net Amount $ 5,574
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2016, the last business day of the
period, there was sufficient collateral based on the end of the day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 1,992,351
Non-cash Collateral(4) (1,992,351)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 59
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.6%
21,795 Lockheed Martin Corp. $ 5,508,250
24,335 Northrop Grumman Corp. 5,271,691
39,786 Raytheon Co. 5,551,341
20,513 TransDigm Group, Inc. (a) 5,733,794
---------------
22,065,076
---------------
AIR FREIGHT & LOGISTICS
-- 0.5%
29,336 United Parcel Service, Inc.,
Class B 3,171,222
---------------
AIRLINES -- 0.3%
55,179 Southwest Airlines Co. 2,042,175
---------------
BANKS -- 0.5%
45,149 First Republic Bank 3,235,829
---------------
BEVERAGES -- 2.6%
23,237 Coca-Cola (The) Co. 1,013,830
26,162 Constellation Brands, Inc.,
Class A 4,307,050
44,780 Dr Pepper Snapple Group, Inc. 4,411,278
21,394 Molson Coors Brewing Co.,
Class B 2,185,611
13,463 Monster Beverage Corp. (a) 2,162,562
20,423 PepsiCo, Inc. 2,224,473
---------------
16,304,804
---------------
BIOTECHNOLOGY -- 0.9%
51,041 AbbVie, Inc. 3,380,445
6,923 Amgen, Inc. 1,190,964
13,169 Incyte Corp. (a) 1,187,976
---------------
5,759,385
---------------
BUILDING PRODUCTS -- 1.4%
74,645 Fortune Brands Home &
Security, Inc. 4,722,789
102,131 Masco Corp. 3,725,739
---------------
8,448,528
---------------
CAPITAL MARKETS -- 0.5%
27,112 Bank of New York Mellon
(The) Corp. 1,068,213
21,894 SEI Investments Co. 985,230
14,436 T. Rowe Price Group, Inc. 1,020,481
---------------
3,073,924
---------------
CHEMICALS -- 1.4%
18,243 Ecolab, Inc. 2,159,606
25,066 International Flavors &
Fragrances, Inc. 3,340,045
10,760 Sherwin-Williams (The) Co. 3,225,095
---------------
8,724,746
---------------
COMMERCIAL SERVICES
& SUPPLIES -- 2.7%
55,120 Cintas Corp. 5,912,722
105,418 Republic Services, Inc. 5,403,727
81,620 Waste Management, Inc. 5,396,714
---------------
16,713,163
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMUNICATIONS EQUIPMENT
-- 0.9%
38,012 F5 Networks, Inc. (a) $ 4,691,441
46,835 Juniper Networks, Inc. 1,062,686
---------------
5,754,127
---------------
CONSTRUCTION MATERIALS -- 1.8%
28,172 Martin Marietta Materials, Inc. 5,709,056
44,941 Vulcan Materials Co. 5,571,785
---------------
11,280,841
---------------
CONTAINERS & PACKAGING
-- 0.4%
20,787 Crown Holdings, Inc. (a) 1,101,087
22,914 Sealed Air Corp. 1,081,083
---------------
2,182,170
---------------
DISTRIBUTORS -- 0.6%
99,684 LKQ Corp. (a) 3,428,133
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
45,796 H&R Block, Inc. 1,089,487
---------------
DIVERSIFIED FINANCIAL
SERVICES -- 2.5%
10,814 CME Group, Inc. 1,105,623
8,453 Intercontinental Exchange,
Inc. 2,233,283
56,109 MSCI, Inc. 4,827,618
48,862 Nasdaq, Inc. 3,457,475
29,460 S&P Global, Inc. 3,600,012
---------------
15,224,011
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.9%
9,758 SBA Communications Corp.,
Class A (a) 1,122,170
77,492 Verizon Communications, Inc. 4,293,832
---------------
5,416,002
---------------
ELECTRIC UTILITIES -- 1.2%
33,184 NextEra Energy, Inc. 4,257,175
58,920 Southern (The) Co. 3,152,220
---------------
7,409,395
---------------
ELECTRICAL EQUIPMENT -- 0.9%
21,814 Acuity Brands, Inc. 5,724,648
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.9%
37,739 Amphenol Corp., Class A 2,246,225
78,840 CDW Corp. 3,384,601
---------------
5,630,826
---------------
FOOD & STAPLES RETAILING
-- 0.5%
37,949 Walgreens Boots Alliance,
Inc. 3,007,458
---------------
FOOD PRODUCTS -- 5.9%
65,041 Campbell Soup Co. 4,050,103
66,095 ConAgra Foods, Inc. 3,090,602
75,840 General Mills, Inc. 5,452,138
28,779 Hormel Foods Corp. 1,074,896
Page 60 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
24,453 Kraft Heinz (The) Co. $ 2,112,495
40,566 McCormick & Co., Inc. 4,147,873
23,842 Mead Johnson Nutrition Co. 2,126,706
47,541 Mondelez International, Inc.,
Class A 2,090,853
80,986 Tyson Foods, Inc., Class A 5,960,570
115,231 WhiteWave Foods (The) Co. (a) 6,394,168
---------------
36,500,404
---------------
GAS UTILITIES -- 0.9%
66,515 Atmos Energy Corp. 5,307,232
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 6.5%
31,894 Becton, Dickinson and Co. 5,613,344
231,449 Boston Scientific Corp. (a) 5,619,582
53,554 Danaher Corp. 4,361,438
54,236 Edwards Lifesciences
Corp. (a) 6,211,107
6,543 Intuitive Surgical, Inc. (a) 4,552,357
62,336 Medtronic PLC 5,462,503
49,976 ResMed, Inc. 3,442,347
45,139 Stryker Corp. 5,248,763
---------------
40,511,441
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 3.3%
44,277 Centene Corp. (a) 3,123,742
56,190 HCA Holdings, Inc. (a) 4,333,935
24,475 Henry Schein, Inc. (a) 4,429,485
59,743 MEDNAX, Inc. (a) 4,116,890
32,269 Universal Health Services,
Inc., Class B 4,179,804
---------------
20,183,856
---------------
HEALTH CARE TECHNOLOGY -- 0.5%
53,924 Cerner Corp. (a) 3,364,318
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.8%
64,739 Aramark 2,320,893
96,031 Hilton Worldwide Holdings,
Inc. 2,226,959
32,554 Marriott International, Inc.,
Class A (b) 2,334,122
8,754 McDonald's Corp. 1,029,908
18,440 Starbucks Corp. 1,070,442
26,092 Yum! Brands, Inc. 2,333,147
---------------
11,315,471
---------------
HOUSEHOLD DURABLES -- 2.5%
137,457 D.R. Horton, Inc. 4,519,586
11,400 Mohawk Industries, Inc. (a) 2,381,916
65,060 Newell Brands, Inc. 3,413,048
3,037 NVR, Inc. (a) 5,178,085
---------------
15,492,635
---------------
HOUSEHOLD PRODUCTS -- 2.3%
52,571 Church & Dwight Co., Inc. 5,164,575
31,268 Clorox (The) Co. 4,098,297
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HOUSEHOLD PRODUCTS (CONTINUED)
29,558 Colgate-Palmolive Co. $ 2,200,002
22,984 Kimberly-Clark Corp. 2,977,577
---------------
14,440,451
---------------
INDUSTRIAL CONGLOMERATES
-- 0.5%
18,045 3M Co. 3,218,506
---------------
INSURANCE -- 1.5%
4,541 Markel Corp. (a) 4,308,273
79,009 Marsh & McLennan Cos., Inc. 5,194,842
---------------
9,503,115
---------------
INTERNET & CATALOG RETAIL
-- 1.1%
7,559 Amazon.com, Inc. (a) 5,735,845
843 Priceline Group (The),
Inc. (a) 1,138,733
---------------
6,874,578
---------------
INTERNET SOFTWARE & SERVICES
-- 1.1%
1,498 Alphabet, Inc., Class A (a) 1,185,427
27,652 Facebook, Inc., Class A (a) 3,427,189
25,024 VeriSign, Inc. (a) 2,167,329
---------------
6,779,945
---------------
IT SERVICES -- 7.4%
27,893 Accenture PLC, Class A 3,146,609
5,377 Alliance Data Systems
Corp. (a) 1,245,421
47,101 Automatic Data Processing,
Inc. 4,189,634
18,401 Cognizant Technology
Solutions Corp.,
Class A (a) 1,057,874
49,747 Fiserv, Inc. (a) 5,490,079
7,358 FleetCor Technologies,
Inc. (a) 1,116,061
44,422 Gartner, Inc. (a) 4,453,306
60,621 Global Payments, Inc. 4,525,964
36,209 Jack Henry & Associates, Inc. 3,231,653
72,726 Paychex, Inc. 4,311,197
80,760 Sabre Corp. 2,354,154
101,845 Total System Services, Inc. 5,185,947
95,565 Vantiv, Inc., Class A (a) 5,234,095
---------------
45,541,994
---------------
LEISURE PRODUCTS -- 0.7%
51,519 Hasbro, Inc. 4,184,888
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.6%
5,928 Mettler-Toledo International,
Inc. (a) 2,437,653
33,123 Quintiles Transnational
Holdings, Inc. (a) 2,571,670
14,642 Thermo Fisher Scientific,
Inc. 2,325,735
15,383 Waters Corp. (a) 2,444,820
---------------
9,779,878
---------------
MACHINERY -- 0.9%
20,771 Illinois Tool Works, Inc. 2,396,973
6,674 Snap-on, Inc. 1,048,953
19,453 Stanley Black & Decker, Inc. 2,367,430
---------------
5,813,356
---------------
See Notes to Financial Statements Page 61
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA -- 1.6%
13,820 Charter Communications, Inc.,
Class A (a) $ 3,245,903
136,795 Interpublic Group of Cos.
(The), Inc. 3,154,493
547,742 Sirius XM Holdings, Inc. (a) 2,404,587
10,768 Walt Disney (The) Co. 1,033,190
---------------
9,838,173
---------------
MULTI-UTILITIES -- 1.7%
100,950 Ameren Corp. 5,293,818
82,832 WEC Energy Group, Inc. 5,376,625
---------------
10,670,443
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.1%
18,132 Cimarex Energy Co. 2,176,203
87,172 Devon Energy Corp. 3,336,944
6,966 Pioneer Natural Resources Co. 1,132,462
---------------
6,645,609
---------------
PHARMACEUTICALS -- 1.8%
29,415 Bristol-Myers Squibb Co. 2,200,536
13,375 Eli Lilly and Co. 1,108,654
7,454 Jazz Pharmaceuticals PLC (a) 1,125,330
35,672 Johnson & Johnson 4,467,205
24,361 Mylan N.V. (a) 1,139,851
22,195 Zoetis, Inc. 1,120,182
---------------
11,161,758
---------------
PROFESSIONAL SERVICES -- 1.3%
42,125 Equifax, Inc. 5,579,877
26,685 Verisk Analytics, Inc. (a) 2,275,697
---------------
7,855,574
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 11.4%
38,087 American Tower Corp. 4,409,332
7,986 Boston Properties, Inc. 1,135,050
39,808 Brixmor Property Group, Inc. 1,130,547
24,470 Camden Property Trust 2,192,267
31,154 Crown Castle International
Corp. 3,022,873
49,627 Digital Realty Trust, Inc. 5,184,036
162,310 Duke Realty Corp. 4,672,905
11,161 Equinix, Inc. 4,161,602
23,381 Extra Space Storage, Inc. 2,011,234
13,070 Federal Realty Investment
Trust 2,217,979
35,323 General Growth Properties,
Inc. 1,128,570
29,772 HCP, Inc. 1,167,956
137,894 Kimco Realty Corp. 4,426,397
25,337 Macerich (The) Co. 2,261,074
29,699 Mid-America Apartment
Communities, Inc. 3,148,688
110,296 Prologis, Inc. 6,010,029
4,121 Public Storage 984,589
62,387 Realty Income Corp. 4,458,799
37,741 Regency Centers Corp. 3,205,343
14,568 Simon Property Group, Inc. 3,307,519
SHARES DESCRIPTION VALUE
------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
9,894 SL Green Realty Corp. $ 1,165,711
426,742 VEREIT, Inc. 4,719,767
56,809 Welltower, Inc. 4,506,658
---------------
70,628,925
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.2%
39,777 CBRE Group, Inc., Class A (a) 1,131,656
---------------
ROAD & RAIL -- 0.5%
8,437 AMERCO 3,336,918
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 3.4%
225,655 Applied Materials, Inc. 5,932,470
12,531 Lam Research Corp. 1,124,908
22,638 Linear Technology Corp. 1,358,053
42,623 Microchip Technology, Inc. 2,371,544
115,060 NVIDIA Corp. 6,569,926
50,439 Texas Instruments, Inc. 3,518,120
---------------
20,875,021
---------------
SOFTWARE -- 4.1%
79,737 Activision Blizzard, Inc. 3,202,238
22,587 Adobe Systems, Inc. (a) 2,210,364
77,981 CDK Global, Inc. 4,506,522
39,456 Citrix Systems, Inc. (a) 3,516,713
41,709 Electronic Arts, Inc. (a) 3,183,231
38,769 Intuit, Inc. 4,302,971
39,792 salesforce.com, Inc. (a) 3,254,986
15,863 ServiceNow, Inc. (a) 1,188,456
---------------
25,365,481
---------------
SPECIALTY RETAIL -- 5.7%
13,385 Advance Auto Parts, Inc. 2,273,576
5,450 AutoZone, Inc. (a) 4,436,136
16,943 Home Depot (The), Inc. 2,342,200
54,656 Lowe's Cos., Inc. 4,497,096
15,960 O'Reilly Automotive, Inc. (a) 4,638,455
55,742 Ross Stores, Inc. 3,446,528
56,030 TJX (The) Cos., Inc. 4,578,772
34,657 Tractor Supply Co. 3,176,314
22,200 Ulta Salon, Cosmetics &
Fragrance, Inc. (a) 5,798,862
---------------
35,187,939
---------------
TOBACCO -- 1.5%
62,750 Altria Group, Inc. 4,248,175
21,269 Philip Morris International,
Inc. 2,132,430
58,594 Reynolds American, Inc. 2,933,215
---------------
9,313,820
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.2%
23,728 Fastenal Co. 1,014,372
---------------
WATER UTILITIES -- 0.9%
64,003 American Water Works Co.,
Inc. 5,285,368
---------------
Page 62 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
WIRELESS TELECOMMUNICATION
SERVICES -- 0.9%
125,005 T-Mobile US, Inc. (a) $ 5,792,732
---------------
TOTAL COMMON STOCKS
-- 100.0% 618,601,807
(Cost $552,175,932) ---------------
MONEY MARKET FUNDS -- 0.0%
428,192 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) 428,192
(Cost $428,192) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.1%
$ 169,556 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $169,560.
Collateralized by U.S.
Treasury Note, interest
rate of 0.875%, due
04/15/17. The value of the
collateral including
accrued interest is
$173,395. (d) 169,556
351,252 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $351,261.
Collateralized by U.S.
Treasury Notes, interest
rates of 1.250% to 1.500%,
due 01/31/19 to 05/31/20.
The value of the collateral
including accrued interest
is $359,399. (d) 351,252
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.1% 520,808
(Cost $520,808) ---------------
TOTAL INVESTMENTS -- 100.1% 619,550,807
(Cost $553,124,932) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (852,470)
---------------
NET ASSETS -- 100.0% $ 618,698,337
===============
(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 $932,100 and the total value of the collateral held by the
Fund is $949,000.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $553,490,025. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $67,976,529 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $1,915,747.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
---------------------------------------
Common Stocks* $618,601,807 $ -- $ --
Money Market Funds 428,192 -- --
Repurchase
Agreements -- 520,808 --
---------------------------------------
Total Investments $619,029,999 $ 520,808 $ --
=======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Financial Statements Page 63
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 932,100
Non-cash Collateral(2) (932,100)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 520,808
Non-cash Collateral(4) (520,808)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 64 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.7%
5,344 AAR Corp. $ 129,111
936 B/E Aerospace, Inc. 44,774
1,242 Cubic Corp. 50,723
513 Curtiss-Wright Corp. 45,652
5,831 DigitalGlobe, Inc. (a) 157,204
2,091 Esterline Technologies
Corp. (a) 127,195
1,259 General Dynamics Corp. 184,934
734 Honeywell International, Inc. 85,386
257 Huntington Ingalls Industries,
Inc. 44,353
789 KLX, Inc. (a) 25,485
1,851 Moog, Inc., Class A (a) 101,935
5,028 Spirit AeroSystems Holdings,
Inc., Class A (a) 218,115
1,310 Teledyne Technologies,
Inc. (a) 137,550
9,589 Textron, Inc. 373,971
---------------
1,726,388
---------------
AIR FREIGHT & LOGISTICS
-- 0.5%
2,409 Atlas Air Worldwide Holdings,
Inc. (a) 104,141
1,740 Expeditors International of
Washington, Inc. 86,008
1,155 FedEx Corp. 186,995
1,649 Forward Air Corp. 76,316
1,914 Hub Group, Inc., Class A (a) 78,359
---------------
531,819
---------------
AIRLINES -- 1.8%
15,480 American Airlines Group, Inc. 549,540
12,029 Delta Air Lines, Inc. 466,124
4,714 SkyWest, Inc. 135,622
4,818 Spirit Airlines, Inc. (a) 205,969
10,678 United Continental Holdings,
Inc. (a) 500,691
---------------
1,857,946
---------------
AUTO COMPONENTS -- 2.1%
6,891 American Axle & Manufacturing
Holdings, Inc. (a) 119,972
14,845 BorgWarner, Inc. 492,557
7,250 Cooper Tire & Rubber Co. 239,178
9,449 Dana, Inc. 128,884
9,977 Goodyear Tire & Rubber (The)
Co. 286,041
4,307 Lear Corp. 488,629
1,846 Standard Motor Products, Inc. 77,421
2,783 Tenneco, Inc. (a) 157,295
3,285 Visteon Corp. 230,246
---------------
2,220,223
---------------
AUTOMOBILES -- 1.4%
34,863 Ford Motor Co. 441,365
15,485 General Motors Co. 488,397
5,652 Harley-Davidson, Inc. 299,104
SHARES DESCRIPTION VALUE
------------------------------------------------------------
AUTOMOBILES (CONTINUED)
2,672 Thor Industries, Inc. $ 204,515
---------------
1,433,381
---------------
BANKS -- 7.7%
2,267 1st Source Corp. 76,194
10,085 Associated Banc-Corp. 187,581
827 BancFirst Corp. 54,226
1,906 BancorpSouth, Inc. 45,401
26,419 Bank of America Corp. 382,811
1,173 Banner Corp. 48,961
7,190 BB&T Corp. 265,095
2,728 Berkshire Hills Bancorp, Inc. 71,937
1,379 BOK Financial Corp. 89,952
4,235 Boston Private Financial
Holdings, Inc. 51,328
6,775 CIT Group, Inc. 234,144
8,270 Citigroup, Inc. 362,309
17,547 Citizens Financial Group,
Inc. 391,825
1,097 City Holding Co. 51,230
2,103 Comerica, Inc. 95,140
596 Community Bank System, Inc. 26,301
1,357 Cullen/Frost Bankers, Inc. 92,127
3,795 East West Bancorp, Inc. 129,865
24,914 Fifth Third Bancorp 472,868
501 First Citizens BancShares,
Inc., Class A 130,150
2,841 First Midwest Bancorp, Inc. 53,041
6,406 Fulton Financial Corp. 87,442
2,812 Hancock Holding Co. 81,520
2,081 Heartland Financial USA, Inc. 76,414
1,166 Hilltop Holdings, Inc. (a) 25,395
39,215 Huntington Bancshares, Inc. 372,542
724 IBERIABANK Corp. 45,228
2,814 International Bancshares
Corp. 77,160
5,642 JPMorgan Chase & Co. 360,919
31,727 KeyCorp 371,206
722 M&T Bank Corp. 82,712
7,963 Old National Bancorp 104,793
5,899 People's United Financial,
Inc. 89,429
4,307 PNC Financial Services Group
(The), Inc. 355,974
7,379 Popular, Inc. 248,599
2,544 Prosperity Bancshares, Inc. 129,973
51,496 Regions Financial Corp. 472,218
8,534 SunTrust Banks, Inc. 360,903
454 SVB Financial Group (a) 45,591
13,672 TCF Financial Corp. 185,802
1,067 Texas Capital Bancshares,
Inc. (a) 51,792
2,955 Trustmark Corp. 77,125
4,346 U.S. Bancorp 183,271
813 UMB Financial Corp. 45,048
2,728 United Community Banks, Inc. 52,487
4,741 Valley National Bancorp 43,001
5,409 Wells Fargo & Co. 259,470
2,365 WesBanco, Inc. 73,126
See Notes to Financial Statements Page 65
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
1,696 Wintrust Financial Corp. $ 89,549
5,162 Zions Bancorporation 143,917
---------------
7,905,092
---------------
BUILDING PRODUCTS -- 0.5%
1,531 NCI Building Systems,
Inc. (a) 24,833
3,357 Owens Corning 177,619
1,248 Simpson Manufacturing Co.,
Inc. 50,918
8,019 USG Corp. (a) 225,815
---------------
479,185
---------------
CAPITAL MARKETS -- 3.3%
1,245 Affiliated Managers Group,
Inc. (a) 182,741
2,849 Ameriprise Financial, Inc. 273,048
605 Cohen & Steers, Inc. 26,076
1,223 Eaton Vance Corp. 46,242
1,502 Federated Investors, Inc.,
Class B 47,418
13,132 Franklin Resources, Inc. 475,247
1,180 Goldman Sachs Group (The),
Inc. 187,396
3,099 Greenhill & Co., Inc. 61,453
10,024 Invesco Ltd. 292,500
9,319 Janus Capital Group, Inc. 140,717
7,502 KCG Holdings, Inc.,
Class A (a) 113,505
1,466 Legg Mason, Inc. 50,049
5,757 LPL Financial Holdings,
Inc. (b) 155,151
13,494 Morgan Stanley 387,683
1,288 Northern Trust Corp. 87,056
1,754 Raymond James Financial, Inc. 96,295
6,502 State Street Corp. 427,702
1,375 Stifel Financial Corp. (a) 48,606
1,032 Virtus Investment Partners,
Inc. 86,987
12,555 Waddell & Reed Financial,
Inc., Class A 229,254
---------------
3,415,126
---------------
CHEMICALS -- 2.9%
3,007 A. Schulman, Inc. 88,135
601 Air Products and Chemicals,
Inc. 89,801
1,636 Albemarle Corp. 137,702
377 Ashland, Inc. 42,692
7,588 Calgon Carbon Corp. 104,714
6,454 Eastman Chemical Co. 420,994
1,829 Ferro Corp. (a) 23,704
3,735 FMC Corp. 177,562
1,134 H.B. Fuller Co. 52,799
9,644 Huntsman Corp. 149,096
2,712 Innospec, Inc. 136,332
4,711 LyondellBasell Industries
N.V., Class A 354,550
1,293 Minerals Technologies, Inc. 84,381
16,739 Mosaic (The) Co. 451,953
104 NewMarket Corp. 44,506
1,227 PolyOne Corp. 43,031
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CHEMICALS (CONTINUED)
819 PPG Industries, Inc. $ 85,758
759 Praxair, Inc. 88,454
559 Quaker Chemical Corp. 53,474
1,676 Stepan Co. 107,784
5,037 Westlake Chemical Corp. 230,392
---------------
2,967,814
---------------
COMMERCIAL SERVICES
& SUPPLIES -- 0.9%
671 ABM Industries, Inc. 24,968
830 Clean Harbors, Inc. (a) 42,679
1,488 Covanta Holding Corp. 23,838
1,954 Deluxe Corp. 132,071
652 G&K Services, Inc., Class A 52,297
2,456 Herman Miller, Inc. 80,483
1,073 HNI Corp. 55,935
4,815 Interface, Inc. 85,996
706 Mobile Mini, Inc. 22,952
466 MSA Safety, Inc. 26,040
787 Multi-Color Corp. 50,824
2,555 R.R. Donnelley & Sons Co. 45,786
9,191 Steelcase, Inc., Class A 133,269
796 Tetra Tech, Inc. 26,212
862 UniFirst Corp. 100,751
---------------
904,101
---------------
COMMUNICATIONS EQUIPMENT
-- 1.0%
1,312 ADTRAN, Inc. 23,878
18,840 Brocade Communications
Systems, Inc. 175,212
12,220 Cisco Systems, Inc. 373,077
3,142 EchoStar Corp., Class A (a) 122,381
2,849 Finisar Corp. (a) 53,447
1,023 Harris Corp. 88,612
7,477 Ixia (a) 85,986
1,049 NETGEAR, Inc. (a) 53,950
1,943 NetScout Systems, Inc. (a) 54,365
556 Plantronics, Inc. 26,822
---------------
1,057,730
---------------
CONSTRUCTION & ENGINEERING
-- 1.0%
2,722 AECOM (a) 96,604
2,633 EMCOR Group, Inc. 146,658
1,755 Fluor Corp. 93,927
1,095 Granite Construction, Inc. 54,509
1,736 Jacobs Engineering Group,
Inc. (a) 92,911
16,329 KBR, Inc. 228,932
3,879 Primoris Services Corp. 70,016
9,351 Quanta Services, Inc. (a) 239,386
---------------
1,022,943
---------------
CONSTRUCTION MATERIALS
-- 0.1%
560 Eagle Materials, Inc. 47,012
2,438 Summit Materials, Inc.,
Class A (a) 53,977
---------------
100,989
---------------
Page 66 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSUMER FINANCE -- 2.5%
25,672 Ally Financial, Inc. $ 463,123
2,885 American Express Co. 185,967
6,900 Capital One Financial Corp. 462,852
4,777 Discover Financial Services 271,525
2,170 Green Dot Corp., Class A (a) 52,514
14,473 Navient Corp. 205,516
3,589 Nelnet, Inc., Class A 145,031
5,167 PRA Group, Inc. (a) 143,953
20,929 Santander Consumer USA
Holdings, Inc. (a) 230,010
20,990 SLM Corp. (a) 150,918
10,127 Synchrony Financial (a) 282,341
---------------
2,593,750
---------------
CONTAINERS & PACKAGING
-- 1.0%
840 Bemis Co., Inc. 42,874
10,344 Graphic Packaging Holding Co. 141,092
657 Greif, Inc., Class A 26,366
4,136 International Paper Co. 189,470
2,401 Owens-Illinois, Inc. (a) 45,115
2,584 Packaging Corp. of America 192,999
1,680 Silgan Holdings, Inc. 83,294
1,741 Sonoco Products Co. 88,669
4,510 WestRock Co. 193,524
---------------
1,003,403
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
6,991 DeVry Education Group, Inc. 155,689
4,007 Regis Corp. (a) 53,854
2,104 Weight Watchers
International, Inc. (a) (b) 25,101
---------------
234,644
---------------
DIVERSIFIED FINANCIAL
SERVICES -- 0.6%
2,421 Berkshire Hathaway, Inc.,
Class B (a) 349,278
2,495 Leucadia National Corp. 45,559
7,080 Voya Financial, Inc. 181,460
---------------
576,297
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.5%
8,113 AT&T, Inc. 351,212
641 ATN International, Inc. 47,126
15,106 CenturyLink, Inc. 474,933
35,011 Frontier Communications Corp. 182,057
8,269 Iridium Communications,
Inc. (a) 74,256
8,511 Level 3 Communications,
Inc. (a) 430,656
---------------
1,560,240
---------------
ELECTRIC UTILITIES -- 3.8%
2,007 ALLETE, Inc. 128,147
4,415 Alliant Energy Corp. 177,704
SHARES DESCRIPTION VALUE
------------------------------------------------------------
ELECTRIC UTILITIES (CONTINUED)
3,653 American Electric Power Co.,
Inc. $ 253,153
3,806 Avangrid, Inc. 171,803
2,984 Duke Energy Corp. 255,401
3,296 Edison International 255,044
1,553 El Paso Electric Co. 74,047
3,147 Entergy Corp. 256,134
2,926 Eversource Energy 171,142
9,642 Exelon Corp. 359,454
10,043 FirstEnergy Corp. 350,702
5,689 Great Plains Energy, Inc. 169,418
2,641 OGE Energy Corp. 84,961
2,192 Otter Tail Corp. 76,391
4,005 PG&E Corp. 256,080
3,158 Pinnacle West Capital Corp. 249,071
1,220 PNM Resources, Inc. 41,919
3,920 Portland General Electric Co. 171,186
4,644 PPL Corp. 175,125
5,717 Xcel Energy, Inc. 251,434
---------------
3,928,316
---------------
ELECTRICAL EQUIPMENT -- 1.1%
3,396 Babcock & Wilcox Enterprises,
Inc. (a) 52,163
5,870 Eaton Corp. PLC 372,217
3,361 Emerson Electric Co. 187,880
2,677 Encore Wire Corp. 100,468
1,454 EnerSys 90,657
410 Hubbell, Inc. 44,210
3,927 Regal Beloit Corp. 239,586
743 Rockwell Automation, Inc. 84,999
---------------
1,172,180
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 3.2%
1,873 Anixter International,
Inc. (a) 114,777
3,493 Arrow Electronics, Inc. (a) 232,250
5,337 Avnet, Inc. 219,351
7,348 AVX Corp. 100,374
826 Belden, Inc. 60,471
5,897 Benchmark Electronics,
Inc. (a) 138,226
544 Coherent, Inc. (a) 57,691
8,559 Corning, Inc. 190,181
1,043 Dolby Laboratories, Inc.,
Class A 52,473
1,220 ePlus, Inc. (a) 102,614
2,794 FLIR Systems, Inc. 91,029
4,797 Insight Enterprises, Inc. (a) 127,600
11,705 Jabil Circuit, Inc. 238,197
5,945 Keysight Technologies,
Inc. (a) 173,832
2,145 Methode Electronics, Inc. 75,139
1,138 MTS Systems Corp. 53,975
1,700 Plexus Corp. (a) 78,098
1,202 Rogers Corp. (a) 82,265
4,652 Sanmina Corp. (a) 117,882
2,689 ScanSource, Inc. (a) 110,330
1,368 SYNNEX Corp. 137,525
See Notes to Financial Statements Page 67
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
(CONTINUED)
7,673 TE Connectivity Ltd. $ 462,528
3,009 Tech Data Corp. (a) 234,491
1,975 Vishay Intertechnology, Inc. 26,327
---------------
3,277,626
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.1%
8,745 Bristow Group, Inc. 94,534
8,886 Diamond Offshore Drilling,
Inc. 201,890
3,700 Dril-Quip, Inc. (a) 201,391
3,242 FMC Technologies, Inc. (a) 82,282
2,960 Frank's International N.V. 36,467
1,288 Helmerich & Payne, Inc. 79,817
14,863 McDermott International,
Inc. (a) 76,990
7,240 Oceaneering International,
Inc. 201,851
1,517 Oil States International,
Inc. (a) 46,906
4,056 Patterson-UTI Energy, Inc. 78,646
422 SEACOR Holdings, Inc. (a) 23,851
---------------
1,124,625
---------------
FOOD & STAPLES RETAILING
-- 1.1%
1,831 CVS Health Corp. 169,770
6,959 Kroger (The) Co. 237,928
15,556 SUPERVALU, Inc. (a) 75,913
1,569 United Natural Foods,
Inc. (a) 78,419
3,506 Wal-Mart Stores, Inc. 255,833
1,974 Weis Markets, Inc. 101,997
7,996 Whole Foods Market, Inc. 243,718
---------------
1,163,578
---------------
FOOD PRODUCTS -- 1.7%
8,174 Archer-Daniels-Midland Co. 368,484
7,409 Bunge Ltd. 487,808
6,697 Darling Ingredients, Inc. (a) 105,679
4,059 Dean Foods Co. 74,929
4,612 Flowers Foods, Inc. 84,815
1,589 Fresh Del Monte Produce, Inc. 90,335
869 Hain Celestial Group (The),
Inc. (a) 45,874
659 Ingredion, Inc. 87,805
560 J.M. Smucker (The) Co. 86,330
6,788 Pilgrim's Pride Corp. 157,821
1,440 Sanderson Farms, Inc. 126,129
---------------
1,716,009
---------------
GAS UTILITIES -- 0.3%
770 Northwest Natural Gas Co. 50,004
1,578 South Jersey Industries, Inc. 50,306
1,648 Southwest Gas Corp. 127,720
1,911 UGI Corp. 86,492
---------------
314,522
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.7%
2,171 Abbott Laboratories $ 97,152
308 Analogic Corp. 25,878
9,691 Baxter International, Inc. 465,362
513 CONMED Corp. 20,849
1,038 Varian Medical Systems,
Inc. (a) 98,340
---------------
707,581
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 2.4%
699 Aetna, Inc. 80,532
1,076 AmerisourceBergen Corp. 91,664
2,669 Anthem, Inc. 350,546
5,601 Brookdale Senior Living,
Inc. (a) 103,450
1,094 Cardinal Health, Inc. 91,458
17,941 Community Health Systems,
Inc. (a) 229,107
2,313 Express Scripts Holding
Co. (a) 175,950
1,114 HealthSouth Corp. 47,958
11,048 Kindred Healthcare, Inc. 135,449
1,346 Laboratory Corp. of America
Holdings (a) 187,848
3,307 LifePoint Health, Inc. (a) 195,708
759 Magellan Health, Inc. (a) 51,969
1,541 National HealthCare Corp. 99,549
1,157 Owens & Minor, Inc. 41,316
2,223 Providence Service (The)
Corp. (a) 107,527
4,306 Quest Diagnostics, Inc. 371,866
9,180 Select Medical Holdings
Corp. (a) 105,570
---------------
2,467,467
---------------
HEALTH CARE TECHNOLOGY
-- 0.0%
1,390 HMS Holdings Corp. (a) 27,633
---------------
HOTELS, RESTAURANTS
& LEISURE -- 1.4%
2,472 Belmond Ltd., Class A (a) 28,403
61 Biglari Holdings, Inc. (a) 25,322
4,839 Bloomin' Brands, Inc. 87,005
1,315 Bob Evans Farms, Inc. 48,366
3,799 Brinker International, Inc. 179,085
2,695 Cheesecake Factory (The),
Inc. 139,412
252 Cracker Barrel Old Country
Store, Inc. (b) 39,667
1,347 Darden Restaurants, Inc. 82,921
1,066 Dave & Buster's
Entertainment, Inc. (a) 47,437
4,575 Fiesta Restaurant Group,
Inc. (a) 102,206
1,015 Hyatt Hotels Corp.,
Class A (a) 51,197
2,983 International Speedway Corp.,
Class A 100,736
1,539 Interval Leisure Group, Inc. 27,671
2,147 La Quinta Holdings, Inc. (a) 26,558
4,031 Las Vegas Sands Corp. 204,170
Page 68 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS
& LEISURE (CONTINUED)
728 Marriott Vacations Worldwide
Corp. $ 55,547
2,630 Red Robin Gourmet Burgers,
Inc. (a) 127,187
1,708 SeaWorld Entertainment,
Inc. (b) 26,303
1,198 Wyndham Worldwide Corp. 85,082
---------------
1,484,275
---------------
HOUSEHOLD DURABLES -- 2.3%
3,534 CalAtlantic Group, Inc. 127,966
2,222 Ethan Allen Interiors, Inc. 77,170
6,035 Garmin Ltd. 327,882
2,408 Harman International
Industries, Inc. 198,997
6,560 KB Home (b) 102,992
2,639 La-Z-Boy, Inc. 79,751
7,605 Lennar Corp., Class A 355,914
3,017 M.D.C. Holdings, Inc. 79,408
3,323 Meritage Homes Corp. (a) 120,924
8,874 PulteGroup, Inc. 187,951
6,427 Toll Brothers, Inc. (a) 180,020
2,028 TopBuild Corp. (a) 76,577
1,537 Tupperware Brands Corp. 96,339
339 Universal Electronics,
Inc. (a) 26,218
1,536 Whirlpool Corp. 295,465
---------------
2,333,574
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.4%
14,046 AES (The) Corp. 173,468
7,235 Dynegy, Inc. (a) 109,466
8,000 NRG Yield, Inc., Class C 143,520
---------------
426,454
---------------
INDUSTRIAL CONGLOMERATES
-- 0.1%
818 Carlisle Cos., Inc. 84,491
---------------
INSURANCE -- 8.2%
2,429 Aflac, Inc. 175,568
466 Alleghany Corp. (a) 253,271
2,506 Allstate (The) Corp. 171,235
8,753 American Equity Investment
Life Holding Co. 139,435
1,170 American Financial Group,
Inc. 85,527
1,614 American International Group,
Inc. 87,866
764 American National Insurance
Co. 87,363
2,403 Argo Group International
Holdings Ltd. 124,692
3,683 Arthur J. Gallagher & Co. 181,167
4,661 Aspen Insurance Holdings Ltd. 214,220
501 Assurant, Inc. 41,588
8,522 Assured Guaranty Ltd. 228,304
3,931 Axis Capital Holdings Ltd. 218,485
SHARES DESCRIPTION VALUE
------------------------------------------------------------
INSURANCE (CONTINUED)
653 Chubb Ltd. $ 81,795
1,140 Cincinnati Financial Corp. 85,158
12,382 CNO Financial Group, Inc. 215,075
4,298 Employers Holdings, Inc. 122,579
2,575 Endurance Specialty Holdings
Ltd. 174,147
2,399 Everest Re Group, Ltd. 453,435
1,210 FBL Financial Group, Inc.,
Class A 75,468
3,225 First American Financial
Corp. 134,837
4,674 FNF Group 176,070
9,486 Genworth Financial, Inc.,
Class A (a) 27,130
2,044 Hanover Insurance Group
(The), Inc. 168,303
5,769 Hartford Financial Services
Group (The), Inc. 229,895
1,477 Horace Mann Educators Corp. 50,484
910 Infinity Property & Casualty
Corp. 74,656
2,370 Kemper Corp. 81,220
6,604 Lincoln National Corp. 288,397
10,190 Maiden Holdings Ltd. 142,354
7,305 MBIA, Inc. (a) 61,654
8,802 MetLife, Inc. 376,198
639 National Western Life Group,
Inc., Class A 120,860
798 Navigators Group (The), Inc. 74,749
6,724 Old Republic International
Corp. 130,311
6,228 Principal Financial Group,
Inc. 290,412
807 ProAssurance Corp. 41,690
2,547 Progressive (The) Corp. 82,803
6,143 Prudential Financial, Inc. 462,506
892 Reinsurance Group of America,
Inc. 88,531
1,473 RenaissanceRe Holdings Ltd. 173,107
810 Safety Insurance Group, Inc. 51,597
1,922 Selective Insurance Group,
Inc. 75,266
2,836 Torchmark Corp. 175,463
2,945 Travelers (The) Cos., Inc. 342,268
2,352 United Fire Group, Inc. 98,784
11,028 Unum Group 368,446
3,559 Validus Holdings Ltd. 175,921
2,165 W. R. Berkley Corp. 125,981
103 White Mountains Insurance
Group Ltd. 84,596
13,156 XL Group Ltd. 455,329
---------------
8,446,196
---------------
INTERNET & CATALOG RETAIL
-- 0.3%
884 HSN, Inc. 45,225
6,909 Liberty Interactive Corp.
QVC Group Class A (a) 185,230
525 Shutterfly, Inc. (a) 27,925
---------------
258,380
---------------
See Notes to Financial Statements Page 69
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES
-- 0.5%
3,134 Akamai Technologies,
Inc. (a) $ 158,361
3,272 Bankrate, Inc. (a) 26,078
3,645 eBay, Inc. (a) 113,578
10,364 Rackspace Hosting, Inc. (a) 242,829
---------------
540,846
---------------
IT SERVICES -- 1.8%
1,459 Booz Allen Hamilton Holding
Corp. 45,054
1,913 CACI International, Inc.,
Class A (a) 182,366
1,742 Computer Sciences Corp. 83,320
1,485 DST Systems, Inc. 183,145
1,687 International Business
Machines Corp. 270,966
2,710 Leidos Holdings, Inc. (b) 135,527
1,941 ManTech International Corp.,
Class A 76,689
5,305 NeuStar, Inc.,
Class A (a) (b) 133,633
2,456 Perficient, Inc. (a) 54,572
13,348 Western Union (The) Co. 266,960
36,942 Xerox Corp. 380,503
---------------
1,812,735
---------------
LEISURE PRODUCTS -- 0.3%
1,908 Brunswick Corp. 94,675
2,397 Callaway Golf Co. 25,648
2,115 Polaris Industries, Inc. 208,856
---------------
329,179
---------------
LIFE SCIENCES TOOLS
& SERVICES -- 0.0%
302 Bio-Rad Laboratories, Inc.,
Class A (a) 43,817
---------------
MACHINERY -- 4.2%
3,670 AGCO Corp. 176,747
3,160 American Railcar Industries,
Inc. 132,752
436 Astec Industries, Inc. 26,282
3,766 Barnes Group, Inc. 142,844
4,711 Briggs & Stratton Corp. 107,081
1,126 Caterpillar, Inc. 93,188
1,422 CLARCOR, Inc. 88,534
4,902 Colfax Corp. (a) 143,923
2,287 Crane Co. 142,480
3,118 Cummins, Inc. 382,797
2,163 Deere & Co. 168,087
1,258 Donaldson Co., Inc. 45,452
3,693 Dover Corp. 263,791
1,249 ESCO Technologies, Inc. 52,895
7,747 Federal Signal Corp. 101,873
957 Flowserve Corp. 45,792
1,510 Franklin Electric Co., Inc. 58,467
4,282 Greenbrier (The) Cos.,
Inc. (b) 140,578
1,661 Hillenbrand, Inc. 53,733
1,340 Ingersoll-Rand PLC 88,788
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MACHINERY (CONTINUED)
6,760 ITT, Inc. $ 214,360
1,107 Kennametal, Inc. 27,520
2,303 Mueller Industries, Inc. 78,394
2,143 Mueller Water Products,
Inc., Class A 25,416
517 Nordson Corp. 45,646
3,625 Oshkosh Corp. 199,701
1,645 PACCAR, Inc. 97,006
1,622 Parker-Hannifin Corp. 185,216
3,827 SPX FLOW, Inc. (a) 104,401
1,680 Sun Hydraulics Corp. 50,736
454 Tennant Co. 29,092
5,641 Timken (The) Co. 188,691
11,642 Trinity Industries, Inc. 270,211
9,821 Wabash National Corp. (a) 142,208
1,231 Wabtec Corp. 84,324
750 Woodward, Inc. 43,905
1,911 Xylem, Inc. 91,365
---------------
4,334,276
---------------
MARINE -- 0.1%
2,772 Kirby Corp. (a) 151,046
---------------
MEDIA -- 2.3%
2,372 Cinemark Holdings, Inc. 89,187
3,927 Comcast Corp., Class A 264,091
17,369 Discovery Communications,
Inc., Class A (a) 435,788
9,032 Gannett Co., Inc. 115,248
2,486 John Wiley & Sons, Inc.,
Class A 143,442
694 Loral Space & Communications,
Inc. (a) 24,380
1,922 Meredith Corp. 104,711
6,902 New Media Investment Group,
Inc. 121,889
3,573 New York Times (The) Co.,
Class A 46,378
3,149 Scholastic Corp. 129,424
7,465 TEGNA, Inc. 163,484
3,481 Time Warner, Inc. 266,819
3,155 Twenty-First Century Fox,
Inc., Class A 84,049
8,454 Viacom, Inc., Class B 384,403
---------------
2,373,293
---------------
METALS & MINING -- 0.6%
9,206 Alcoa, Inc. 97,768
1,920 Allegheny Technologies, Inc. 34,195
2,952 Commercial Metals Co. 48,826
1,748 Compass Minerals
International, Inc. 121,643
2,249 Reliance Steel & Aluminum Co. 176,412
3,067 Worthington Industries, Inc. 135,899
---------------
614,743
---------------
MULTILINE RETAIL -- 1.9%
1,465 Big Lots, Inc. 77,909
3,568 Dillard's, Inc., Class A 241,482
Page 70 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL (CONTINUED)
908 Dollar General Corp. $ 86,024
11,557 Kohl's Corp. 480,656
10,431 Macy's, Inc. 373,743
6,728 Nordstrom, Inc. (b) 297,579
5,021 Target Corp. 378,232
---------------
1,935,625
---------------
MULTI-UTILITIES -- 1.4%
2,895 Avista Corp. 125,933
1,861 CMS Energy Corp. 84,080
2,179 Consolidated Edison, Inc. 174,494
1,768 DTE Energy Co. 172,415
3,218 NiSource, Inc. 82,574
7,522 Public Service Enterprise
Group, Inc. 346,087
2,317 SCANA Corp. 173,636
1,537 Sempra Energy 171,960
2,463 Vectren Corp. 127,411
---------------
1,458,590
---------------
OIL, GAS & CONSUMABLE FUELS
-- 4.5%
19,248 Alon USA Energy, Inc. 136,083
16,868 Antero Resources Corp. (a) 441,773
2,442 Chevron Corp. 250,256
4,020 ConocoPhillips 164,096
1,521 CONSOL Energy, Inc. 29,477
11,158 CVR Energy, Inc. (b) 165,138
9,442 Delek US Holdings, Inc. 118,214
1,870 Exxon Mobil Corp. 166,337
2,530 Green Plains, Inc. 57,380
18,436 HollyFrontier Corp. 468,643
17,057 Marathon Oil Corp. 232,658
11,545 Marathon Petroleum Corp. 454,758
10,683 Oasis Petroleum, Inc. (a) 81,191
3,637 PBF Energy, Inc., Class A 81,251
5,523 Phillips 66 420,079
752 SemGroup Corp., Class A 21,778
1,848 SM Energy Co. 50,136
1,742 Targa Resources Corp. 64,907
5,849 Tesoro Corp. 445,401
8,593 Valero Energy Corp. 449,242
10,480 Western Refining, Inc. 218,508
1,821 World Fuel Services Corp. 86,680
---------------
4,603,986
---------------
PAPER & FOREST PRODUCTS
-- 0.5%
4,348 Boise Cascade Co. (a) 118,135
1,123 Clearwater Paper Corp. (a) 70,648
9,587 KapStone Paper and Packaging
Corp. 136,902
689 Neenah Paper, Inc. 51,971
2,828 Schweitzer-Mauduit
International, Inc. 106,927
---------------
484,583
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
PERSONAL PRODUCTS -- 0.1%
857 Inter Parfums, Inc. $ 27,887
1,080 Nu Skin Enterprises, Inc.,
Class A 57,672
---------------
85,559
---------------
PHARMACEUTICALS -- 0.1%
5,642 Catalent, Inc. (a) 144,097
---------------
PROFESSIONAL SERVICES -- 0.8%
1,805 FTI Consulting, Inc. (a) 77,326
1,215 Huron Consulting Group,
Inc. (a) 74,686
317 Insperity, Inc. 24,881
3,547 Korn/Ferry International 81,617
2,688 ManpowerGroup, Inc. 186,547
7,723 Navigant Consulting, Inc. (a) 152,220
3,399 Robert Half International,
Inc. 124,200
6,592 TrueBlue, Inc. (a) 147,199
---------------
868,676
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 4.4%
6,896 Apple Hospitality REIT, Inc. 140,471
2,574 Brandywine Realty Trust 43,423
10,287 Capstead Mortgage Corp. 102,356
6,599 Care Capital Properties, Inc. 195,198
10,718 CBL & Associates Properties,
Inc. 131,724
4,292 Chesapeake Lodging Trust 108,459
11,016 Chimera Investment Corp. 184,848
2,924 Corporate Office Properties
Trust 87,603
3,704 Corrections Corp. of America 118,713
13,813 DiamondRock Hospitality Co. 135,644
4,453 Equity Commonwealth (a) 133,679
9,690 Forest City Realty Trust,
Inc., Class A 229,168
5,984 Franklin Street Properties
Corp. 76,715
3,795 GEO Group (The), Inc. 131,345
4,504 Hospitality Properties Trust 143,723
21,628 Host Hotels & Resorts, Inc. 383,681
4,186 InfraREIT, Inc. 73,925
1,788 Invesco Mortgage Capital,
Inc. 25,747
15,422 Investors Real Estate Trust 102,094
9,169 LaSalle Hotel Properties 252,606
9,870 Lexington Realty Trust 107,287
23,790 MFA Financial, Inc. 178,901
3,801 Pebblebrook Hotel Trust 112,700
6,148 PennyMac Mortgage Investment
Trust 99,782
7,225 Redwood Trust, Inc. 103,101
10,079 RLJ Lodging Trust 239,275
3,839 Select Income REIT 106,571
2,076 Senior Housing Properties
Trust 46,108
2,087 Starwood Property Trust, Inc. 45,496
9,420 Summit Hotel Properties, Inc. 133,575
17,912 Sunstone Hotel Investors, Inc. 238,230
1,596 Tier REIT, Inc. 27,818
20,205 Two Harbors Investment Corp. 176,794
See Notes to Financial Statements Page 71
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
7,433 Xenia Hotels & Resorts, Inc. $ 133,497
---------------
4,550,257
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.3%
2,219 Jones Lang LaSalle, Inc. 242,914
2,980 Realogy Holdings Corp. (a) 92,350
---------------
335,264
---------------
ROAD & RAIL -- 3.1%
13,443 CSX Corp. 380,840
2,934 Genesee & Wyoming, Inc.,
Class A (a) 189,976
5,738 Heartland Express, Inc. 106,268
11,718 Hertz Global Holdings,
Inc. (a) 570,432
2,166 J.B. Hunt Transport Services,
Inc. 180,059
2,842 Kansas City Southern 273,145
6,507 Knight Transportation, Inc. 194,104
630 Landstar System, Inc. 44,409
4,118 Norfolk Southern Corp. 369,714
2,868 Old Dominion Freight Line,
Inc. (a) 199,785
2,829 Ryder System, Inc. 186,431
6,475 Swift Transportation Co. (a) 124,644
2,934 Union Pacific Corp. 273,009
5,430 Werner Enterprises, Inc. 136,401
---------------
3,229,217
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 2.4%
21,692 Amkor Technology, Inc. (a) 136,443
1,178 Cabot Microelectronics Corp. 61,986
3,908 Diodes, Inc. (a) 72,337
9,039 First Solar, Inc. (a) 421,941
13,361 Intel Corp. 465,765
5,423 Intersil Corp., Class A 82,863
13,611 Marvell Technology Group Ltd. 159,929
2,391 Maxim Integrated Products,
Inc. 97,505
31,848 Micron Technology, Inc. (a) 437,592
19,609 ON Semiconductor Corp. (a) 196,678
489 Power Integrations, Inc. 27,907
4,779 QUALCOMM, Inc. 299,070
1,478 Veeco Instruments, Inc. (a) 24,786
---------------
2,484,802
---------------
SOFTWARE -- 0.5%
7,798 CA, Inc. 270,201
4,068 Mentor Graphics Corp. 86,892
994 Monotype Imaging Holdings,
Inc. 19,671
2,085 Oracle Corp. 85,568
1,565 Rovi Corp. (a) 29,438
756 VMware, Inc., Class A (a) (b) 55,173
---------------
546,943
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SPECIALTY RETAIL -- 5.6%
5,698 Aaron's, Inc. $ 136,467
7,003 Abercrombie & Fitch Co.,
Class A 145,032
13,571 American Eagle Outfitters,
Inc. 243,192
1,392 Asbury Automotive Group,
Inc. (a) 84,634
3,501 Ascena Retail Group, Inc. (a) 28,463
3,681 AutoNation, Inc. (a) 196,381
6,469 Barnes & Noble, Inc. 84,615
10,140 Bed Bath & Beyond, Inc. 455,793
14,321 Best Buy Co., Inc. 481,186
3,839 Buckle (The), Inc. (b) 105,150
1,727 Cabela's, Inc. (a) 89,165
4,121 Caleres, Inc. 108,465
1,741 CarMax, Inc. (a) 101,431
1,947 Cato (The) Corp., Class A 69,644
916 Children's Place (The), Inc. 76,559
2,007 CST Brands, Inc. 89,753
3,838 Dick's Sporting Goods, Inc. 196,851
4,711 DSW, Inc., Class A 114,289
8,596 Express, Inc. (a) 128,596
2,471 Finish Line (The), Inc.,
Class A 53,695
8,134 GameStop Corp., Class A 251,747
20,652 Gap (The), Inc. 532,615
1,939 Genesco, Inc. (a) 134,605
5,340 GNC Holdings, Inc., Class A 108,989
2,022 Group 1 Automotive, Inc. 126,011
6,630 Guess?, Inc. 97,594
2,868 Hibbett Sports, Inc. (a) 100,151
1,749 Murphy USA, Inc. (a) 134,043
5,498 Penske Automotive Group, Inc. 217,831
1,470 Sally Beauty Holdings,
Inc. (a) 43,115
2,334 Select Comfort Corp. (a) 55,689
25,080 Staples, Inc. 232,993
4,222 Tiffany & Co. 272,404
6,289 Urban Outfitters, Inc. (a) 188,041
4,080 Vitamin Shoppe, Inc. (a) 119,381
2,488 Williams-Sonoma, Inc. 134,551
---------------
5,739,121
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.4%
818 Cray, Inc. (a) 25,816
5,023 Diebold, Inc. 141,850
23,986 Hewlett Packard Enterprise
Co. 504,186
20,400 HP, Inc. 285,804
3,471 NetApp, Inc. 91,461
4,015 Super Micro Computer,
Inc. (a) 86,523
7,418 Western Digital Corp. 352,429
---------------
1,488,069
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.3%
2,095 Coach, Inc. 90,315
1,503 Columbia Sportswear Co. 86,047
1,735 Deckers Outdoor Corp. (a) 114,527
4,372 Fossil Group, Inc. (a) 138,155
2,837 G-III Apparel Group Ltd. (a) 113,565
Page 72 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TEXTILES, APPAREL & LUXURY
GOODS (CONTINUED)
2,294 PVH Corp. $ 231,832
3,912 Ralph Lauren Corp. 383,728
2,530 Steven Madden Ltd. (a) 88,601
1,388 VF Corp. 86,653
2,455 Wolverine World Wide, Inc. 60,123
---------------
1,393,546
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.9%
6,715 EverBank Financial Corp. 120,601
4,088 Flagstar Bancorp, Inc. (a) 107,964
36,335 MGIC Investment Corp. (a) 261,249
2,174 Nationstar Mortgage Holdings,
Inc. (a) 27,458
1,650 Northwest Bancshares, Inc. 24,601
14,313 Ocwen Financial Corp. (a) 28,626
1,837 PHH Corp. (a) 26,839
20,748 Radian Group, Inc. 267,649
3,565 Washington Federal, Inc. 89,125
---------------
954,112
---------------
TOBACCO -- 0.1%
2,160 Universal Corp. 128,110
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.1%
8,073 Air Lease Corp. 232,583
2,837 GATX Corp. 126,899
1,727 Kaman Corp. 74,537
1,226 MSC Industrial Direct Co.,
Inc., Class A 88,064
5,788 Rush Enterprises, Inc.,
Class A (a) 133,008
1,933 United Rentals, Inc. (a) 154,002
771 W.W. Grainger, Inc. 168,734
2,422 WESCO International, Inc. (a) 135,002
---------------
1,112,829
---------------
WATER UTILITIES -- 0.0%
701 California Water Service
Group 23,645
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.9%
77,391 Sprint Corp. (a) (b) 475,181
7,289 Telephone and Data Systems,
Inc. 229,531
5,505 United States Cellular
Corp. (a) 222,677
---------------
927,389
---------------
TOTAL COMMON STOCKS
-- 99.9% 103,218,333
(Cost $99,181,511) ---------------
MONEY MARKET FUNDS -- 0.5%
372,584 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) 372,584
SHARES DESCRIPTION VALUE
------------------------------------------------------------
103,243 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) $ 103,243
---------------
TOTAL MONEY MARKET
FUNDS -- 0.5% 475,827
(Cost $475,827) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.4%
$ 147,537 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $147,540.
Collateralized by U.S.
Treasury Note, interest
rate of 0.875%, due
04/15/17. The value of the
collateral including
accrued interest is
$150,877. (d) 147,537
305,636 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $305,644.
Collateralized by U.S.
Treasury Notes, interest
rates of 1.250% to 1.500%,
due 01/31/19 to 05/31/20.
The value of the collateral
including accrued interest
is $312,725. (d) 305,636
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.4% 453,173
(Cost $453,173) ---------------
TOTAL INVESTMENTS -- 100.8% 104,147,333
(Cost $100,110,511) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.8)% (851,603)
---------------
NET ASSETS -- 100.0% $ 103,295,730
===============
(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 $823,137 and the total value of the collateral held by the
Fund is $825,757.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $100,678,507. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $8,109,174 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $4,640,348.
See Notes to Financial Statements Page 73
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
---------------------------------------
Common Stocks* $103,218,333 $ -- $ --
Money Market Funds 475,827 -- --
Repurchase
Agreements -- 453,173 --
---------------------------------------
Total Investments $103,694,160 $ 453,173 $ --
=======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 823,137
Non-cash Collateral(2) (823,137)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 453,173
Non-cash Collateral(4) (453,173)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 74 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.4%
5,751 Aerojet Rocketdyne Holdings,
Inc. (a) $ 108,464
2,728 HEICO Corp. 189,623
1,488 Lockheed Martin Corp. 376,062
4,229 Mercury Systems, Inc. (a) 109,616
1,662 Northrop Grumman Corp. 360,039
2,717 Raytheon Co. 379,103
3,381 TASER International, Inc. (a) 97,914
1,401 TransDigm Group, Inc. (a) 391,608
---------------
2,012,429
---------------
AIR FREIGHT & LOGISTICS
-- 0.3%
2,003 United Parcel Service, Inc.,
Class B 216,525
2,776 XPO Logistics, Inc. (a) 82,225
---------------
298,750
---------------
AIRLINES -- 0.3%
241 Allegiant Travel Co. 31,274
1,630 Hawaiian Holdings, Inc. (a) 74,214
3,768 Southwest Airlines Co. 139,454
---------------
244,942
---------------
AUTO COMPONENTS -- 0.5%
1,331 Cooper-Standard Holding,
Inc. (a) 117,194
1,838 Dorman Products, Inc. (a) 117,081
1,239 Drew Industries, Inc. 113,505
4,718 Gentex Corp. 83,367
---------------
431,147
---------------
BANKS -- 2.9%
2,084 Ameris Bancorp 69,105
1,059 Bank of Hawaii Corp. 72,986
1,186 BankUnited, Inc. 35,604
1,852 BNC Bancorp 44,930
1,870 Brookline Bancorp, Inc. 21,299
716 Capital Bank Financial Corp.,
Class A 21,401
1,660 Chemical Financial Corp. 68,691
2,283 Commerce Bancshares, Inc. 107,963
2,463 Customers Bancorp, Inc. (a) 63,398
874 Eagle Bancorp, Inc. (a) 45,055
1,820 FCB Financial Holdings, Inc.,
Class A (a) 63,645
4,571 First Commonwealth Financial
Corp. 44,110
4,324 First Financial Bancorp 92,144
1,887 First Financial Bankshares,
Inc. 64,479
2,645 First Horizon National Corp. 38,511
1,687 First Merchants Corp. 44,199
3,083 First Republic Bank 220,959
1,582 Glacier Bancorp, Inc. 43,632
2,667 Great Western Bancorp, Inc. 88,464
1,790 Hanmi Financial Corp. 43,891
1,842 Home BancShares, Inc. 38,443
1,383 Hope Bancorp, Inc. (a) 21,257
SHARES DESCRIPTION VALUE
------------------------------------------------------------
BANKS (CONTINUED)
920 Independent Bank Corp. $ 46,193
3,289 Investors Bancorp, Inc. 37,363
895 Lakeland Financial Corp. 45,958
3,125 LegacyTexas Financial Group,
Inc. 89,125
5,023 MB Financial, Inc. 192,833
2,162 NBT Bancorp, Inc. 64,471
1,244 Opus Bank 40,156
458 Park National Corp. 41,000
746 Pinnacle Financial Partners,
Inc. 39,620
638 Renasant Corp. 20,556
844 S&T Bancorp, Inc. 21,514
1,703 ServisFirst Bancshares, Inc. 86,223
1,340 Simmons First National Corp.,
Class A 61,573
303 South State Corp. 22,092
2,066 State Bank Financial Corp. 45,204
1,257 Synovus Financial Corp. 38,263
952 Tompkins Financial Corp. 69,249
2,859 TowneBank 65,614
1,702 Union Bankshares Corp. 45,682
544 Washington Trust Bancorp,
Inc. 20,650
1,116 Western Alliance Bancorp (a) 37,977
822 Yadkin Financial Corp. 20,706
---------------
2,506,188
---------------
BEVERAGES -- 1.5%
1,587 Coca-Cola (The) Co. 69,241
420 Coca-Cola Bottling Co.
Consolidated 59,812
1,787 Constellation Brands, Inc.,
Class A 294,194
3,058 Dr Pepper Snapple Group, Inc. 301,243
1,461 Molson Coors Brewing Co.,
Class B 149,256
919 Monster Beverage Corp. (a) 147,619
1,674 National Beverage Corp. (a) 96,021
1,395 PepsiCo, Inc. 151,943
---------------
1,269,329
---------------
BIOTECHNOLOGY -- 1.7%
3,486 AbbVie, Inc. 230,878
1,821 Acceleron Pharma, Inc. (a) 61,768
1,758 AMAG Pharmaceuticals,
Inc. (a) 46,640
473 Amgen, Inc. 81,370
5,691 ARIAD Pharmaceuticals,
Inc. (a) 54,122
13,461 Exelixis, Inc. (a) 123,572
2,543 Five Prime Therapeutics,
Inc. (a) 128,905
797 Genomic Health, Inc. (a) 23,137
899 Incyte Corp. (a) 81,099
6,433 Ironwood Pharmaceuticals,
Inc. (a) 90,898
729 Kite Pharma, Inc. (a) 41,283
7,326 Lexicon Pharmaceuticals,
Inc. (a) (b) 119,560
1,222 Ligand Pharmaceuticals,
Inc. (a) 164,823
2,585 MiMedx Group, Inc. (a) 19,362
See Notes to Financial Statements Page 75
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY (CONTINUED)
1,910 Momenta Pharmaceuticals,
Inc. (a) $ 21,507
874 Portola Pharmaceuticals,
Inc. (a) 22,689
2,939 PTC Therapeutics, Inc. (a) 17,546
754 Repligen Corp. (a) 21,564
1,645 Spark Therapeutics, Inc. (a) 95,311
---------------
1,446,034
---------------
BUILDING PRODUCTS -- 2.0%
2,068 A.O. Smith Corp. 192,097
2,250 AAON, Inc. 59,580
1,050 Allegion PLC 76,010
634 American Woodmark Corp. (a) 47,062
1,335 Apogee Enterprises, Inc. 62,411
7,476 Builders FirstSource,
Inc. (a) 96,366
5,098 Fortune Brands Home &
Security, Inc. 322,550
4,989 Griffon Corp. 85,511
1,278 Lennox International, Inc. 200,390
6,975 Masco Corp. 254,448
7,216 Ply Gem Holdings, Inc. (a) 110,838
1,378 Trex Co., Inc. (a) 66,833
1,134 Universal Forest Products,
Inc. 122,608
---------------
1,696,704
---------------
CAPITAL MARKETS -- 0.5%
745 Artisan Partners Asset
Management, Inc., Class A 20,830
1,852 Bank of New York Mellon
(The) Corp. 72,969
8,369 BGC Partners, Inc., Class A 74,233
467 Evercore Partners, Inc.,
Class A 23,663
1,030 Interactive Brokers Group,
Inc., Class A 35,885
1,495 SEI Investments Co. 67,275
986 T. Rowe Price Group, Inc. 69,701
1,242 TPG Specialty Lending, Inc. 21,797
2,336 Virtu Financial, Inc.,
Class A 40,179
---------------
426,532
---------------
CHEMICALS -- 1.2%
346 Balchem Corp. 22,099
782 Chemtura Corp. (a) 21,966
1,246 Ecolab, Inc. 147,501
1,712 International Flavors &
Fragrances, Inc. 228,124
4,736 Platform Specialty Products
Corp. (a) 43,571
2,085 Scotts Miracle-Gro (The) Co.,
Class A 153,769
735 Sherwin-Williams (The) Co. 220,302
2,449 Trinseo S.A. 121,936
498 W.R. Grace & Co. 37,285
---------------
996,553
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMERCIAL SERVICES
& SUPPLIES -- 2.4%
3,764 Cintas Corp. $ 403,764
3,718 Copart, Inc. (a) 187,536
4,404 Healthcare Services Group,
Inc. 170,919
4,366 KAR Auction Services, Inc. 186,734
3,464 Knoll, Inc. 87,466
1,512 Matthews International Corp.,
Class A 90,886
7,199 Republic Services, Inc. 369,021
3,736 Rollins, Inc. 105,281
1,347 US Ecology, Inc. 61,019
5,574 Waste Management, Inc. 368,553
---------------
2,031,179
---------------
COMMUNICATIONS EQUIPMENT
-- 0.9%
566 Arista Networks, Inc. (a) 40,339
2,596 F5 Networks, Inc. (a) 320,398
370 InterDigital, Inc. 21,849
3,198 Juniper Networks, Inc. 72,563
4,714 Ubiquiti Networks, Inc. (a) 210,810
1,021 ViaSat, Inc. (a) 75,380
---------------
741,339
---------------
CONSTRUCTION & ENGINEERING
-- 0.3%
3,228 Comfort Systems USA, Inc. 98,067
2,030 Dycom Industries, Inc. (a) 190,921
---------------
288,988
---------------
CONSTRUCTION MATERIALS
-- 1.1%
3,450 Headwaters, Inc. (a) 68,620
1,924 Martin Marietta Materials,
Inc. 389,899
1,726 US Concrete, Inc. (a) 111,327
3,069 Vulcan Materials Co. 380,495
---------------
950,341
---------------
CONSUMER FINANCE -- 0.0%
197 Credit Acceptance Corp. (a) 35,592
---------------
CONTAINERS & PACKAGING
-- 0.7%
1,382 AptarGroup, Inc. 108,045
1,950 Avery Dennison Corp. 151,885
4,691 Berry Plastics Group,
Inc. (a) 192,331
1,420 Crown Holdings, Inc. (a) 75,217
1,565 Sealed Air Corp. 73,837
---------------
601,315
---------------
DISTRIBUTORS -- 0.5%
6,808 LKQ Corp. (a) 234,127
1,938 Pool Corp. 198,219
---------------
432,346
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.6%
1,649 Bright Horizons Family
Solutions, Inc. (a) 110,598
1,053 Grand Canyon Education,
Inc. (a) 44,289
3,128 H&R Block, Inc. 74,415
Page 76 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
6,650 LifeLock, Inc. (a) $ 111,255
4,044 Service Corp. International 112,100
2,747 ServiceMaster Global
Holdings, Inc. (a) 103,919
---------------
556,576
---------------
DIVERSIFIED FINANCIAL
SERVICES -- 1.7%
1,094 CBOE Holdings, Inc. 75,267
739 CME Group, Inc. 75,555
452 FactSet Research Systems,
Inc. 77,726
577 Intercontinental Exchange,
Inc. 152,444
1,253 MarketAxess Holdings, Inc. 202,560
446 Morningstar, Inc. 37,723
3,832 MSCI, Inc. 329,705
3,337 Nasdaq, Inc. 236,126
2,012 S&P Global, Inc. 245,866
---------------
1,432,972
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.0%
23,005 Cincinnati Bell, Inc. (a) 115,025
3,860 Consolidated Communications
Holdings, Inc. 107,887
666 SBA Communications Corp.,
Class A (a) 76,590
5,292 Verizon Communications, Inc. 293,230
17,235 Vonage Holdings Corp. (a) 102,203
5,220 Zayo Group Holdings, Inc. (a) 147,726
---------------
842,661
---------------
ELECTRIC UTILITIES -- 0.9%
1,792 IDACORP, Inc. 144,884
1,488 MGE Energy, Inc. 83,551
2,266 NextEra Energy, Inc. 290,705
4,024 Southern (The) Co. 215,284
---------------
734,424
---------------
ELECTRICAL EQUIPMENT -- 0.6%
1,490 Acuity Brands, Inc. 391,021
1,402 AZZ, Inc. 87,036
---------------
478,057
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.1%
2,577 Amphenol Corp., Class A 153,383
1,440 Badger Meter, Inc. 100,426
5,384 CDW Corp. 231,135
1,691 Cognex Corp. 76,383
2,832 Fabrinet (a) 106,936
2,242 II-VI, Inc. (a) 45,064
617 Littelfuse, Inc. 77,137
2,150 Universal Display Corp. (a) 152,306
727 Zebra Technologies Corp.,
Class A (a) 38,538
---------------
981,308
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES
-- 0.1%
588 Core Laboratories N.V. $ 68,684
---------------
FOOD & STAPLES RETAILING
-- 0.6%
1,386 Casey's General Stores, Inc. 185,086
2,824 Smart & Final Stores,
Inc. (a) 38,943
2,750 SpartanNash Co. 86,625
1,592 Sprouts Farmers Market,
Inc. (a) 36,823
2,592 Walgreens Boots Alliance,
Inc. 205,416
---------------
552,893
---------------
FOOD PRODUCTS -- 4.1%
3,781 B&G Foods, Inc. 195,062
1,569 Calavo Growers, Inc. 103,209
1,645 Cal-Maine Foods, Inc. 68,925
4,442 Campbell Soup Co. 276,603
4,514 ConAgra Foods, Inc. 211,075
5,179 General Mills, Inc. 372,318
1,965 Hormel Foods Corp. 73,393
917 J&J Snack Foods Corp. 111,516
1,670 Kraft Heinz (The) Co. 144,271
1,142 Lancaster Colony Corp. 148,414
2,770 McCormick & Co., Inc. 283,232
1,628 Mead Johnson Nutrition Co. 145,218
3,247 Mondelez International, Inc.,
Class A 142,803
2,362 Pinnacle Foods, Inc. 118,596
2,204 Post Holdings, Inc. (a) 191,021
2,183 Tootsie Roll Industries, Inc. 81,055
5,531 Tyson Foods, Inc., Class A 407,082
7,869 WhiteWave Foods (The) Co. (a) 436,651
---------------
3,510,444
---------------
GAS UTILITIES -- 1.0%
4,542 Atmos Energy Corp. 362,406
935 Chesapeake Utilities Corp. 59,905
2,737 ONE Gas, Inc. 177,796
2,058 Spire, Inc. 142,825
1,545 WGL Holdings, Inc. 109,371
---------------
852,303
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 6.1%
437 Abaxis, Inc. 21,614
1,667 ABIOMED, Inc. (a) 196,656
2,262 Align Technology, Inc. (a) 201,657
145 Atrion Corp. 69,136
2,178 Becton, Dickinson and Co. 383,328
15,806 Boston Scientific Corp. (a) 383,770
1,591 Cantel Medical Corp. 106,517
1,729 Cynosure, Inc., Class A (a) 95,026
3,657 Danaher Corp. 297,826
1,378 DexCom, Inc. (a) 127,093
3,704 Edwards Lifesciences
Corp. (a) 424,182
866 Globus Medical, Inc.,
Class A (a) 19,875
549 ICU Medical, Inc. (a) 64,101
1,962 IDEXX Laboratories, Inc. (a) 184,016
See Notes to Financial Statements Page 77
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT
& SUPPLIES (CONTINUED)
682 Insulet Corp. (a) $ 24,136
1,827 Integra LifeSciences
Holdings Corp. (a) 153,961
447 Intuitive Surgical, Inc. (a) 311,005
2,002 Masimo Corp. (a) 106,046
4,257 Medtronic PLC 373,041
1,058 Meridian Bioscience, Inc. 20,483
3,121 Merit Medical Systems,
Inc. (a) 73,156
1,944 Neogen Corp. (a) 107,212
1,425 Nevro Corp. (a) 117,847
3,051 NuVasive, Inc. (a) 189,772
3,879 NxStage Medical, Inc. (a) 85,765
1,984 Orthofix International
N.V. (a) 94,042
3,413 ResMed, Inc. 235,087
3,083 Stryker Corp. 358,491
1,028 Teleflex, Inc. 185,359
1,921 West Pharmaceutical Services,
Inc. 154,218
1,539 Zeltiq Aesthetics, Inc. (a) 52,249
---------------
5,216,667
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 3.4%
1,316 Acadia Healthcare Co.,
Inc. (a) 74,354
1,921 Aceto Corp. 49,389
814 Adeptus Health, Inc.,
Class A (a) (b) 36,280
1,174 Air Methods Corp. (a) 39,082
2,083 Amedisys, Inc. (a) 111,545
2,630 AMN Healthcare Services,
Inc. (a) 111,249
2,350 AmSurg Corp. (a) 176,273
3,024 Centene Corp. (a) 213,343
535 Chemed Corp. 78,720
1,948 CorVel Corp. (a) 88,050
3,004 Diplomat Pharmacy, Inc. (a) 107,934
2,946 Ensign Group (The), Inc. 63,339
3,837 HCA Holdings, Inc. (a) 295,948
2,768 HealthEquity, Inc. (a) 81,711
1,671 Henry Schein, Inc. (a) 302,418
2,429 LHC Group, Inc. (a) 109,936
4,080 MEDNAX, Inc. (a) 281,153
730 Molina Healthcare, Inc. (a) 41,471
1,705 PharMerica Corp. (a) 45,285
631 Premier, Inc., Class A (a) 20,634
2,205 Surgical Care Affiliates,
Inc. (a) 114,682
2,204 Universal Health Services,
Inc., Class B 285,484
2,695 VCA, Inc. (a) 192,261
---------------
2,920,541
---------------
HEALTH CARE TECHNOLOGY
-- 0.9%
528 athenahealth, Inc. (a) 67,473
3,683 Cerner Corp. (a) 229,782
2,334 HealthStream, Inc. (a) 56,553
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HEALTH CARE TECHNOLOGY (CONTINUED)
1,145 Inovalon Holdings, Inc.,
Class A (a) $ 21,320
1,555 Medidata Solutions, Inc. (a) 82,648
2,672 Press Ganey Holdings,
Inc. (a) 106,666
5,341 Veeva Systems, Inc.,
Class A (a) 202,905
---------------
767,347
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.9%
4,421 Aramark 158,493
1,919 BJ's Restaurants, Inc. (a) 74,534
1,981 Boyd Gaming Corp. (a) 38,847
525 Buffalo Wild Wings, Inc. (a) 88,179
765 Choice Hotels International,
Inc. 36,942
577 Churchill Downs, Inc. 75,662
1,587 ClubCorp Holdings, Inc. 23,011
5,768 Denny's Corp. (a) 64,371
243 DineEquity, Inc. 19,773
1,110 Domino's Pizza, Inc. 163,503
6,558 Hilton Worldwide Holdings,
Inc. 152,080
2,121 Jack in the Box, Inc. 187,475
2,223 Marriott International, Inc.,
Class A (b) 159,389
598 McDonald's Corp. 70,355
860 Panera Bread Co., Class A (a) 188,615
1,237 Papa John's International,
Inc. 91,476
1,479 Penn National Gaming,
Inc. (a) 22,215
770 Popeyes Louisiana Kitchen,
Inc. (a) 44,106
1,887 Six Flags Entertainment Corp. 106,408
763 Sonic Corp. 20,532
1,259 Starbucks Corp. 73,085
3,996 Texas Roadhouse, Inc. 188,691
1,055 Vail Resorts, Inc. 150,939
3,789 Wendy's (The) Co. 36,602
3,086 Wingstop, Inc. 80,236
1,782 Yum! Brands, Inc. 159,346
---------------
2,474,865
---------------
HOUSEHOLD DURABLES -- 1.8%
1,122 Cavco Industries, Inc. (a) 111,504
9,387 D.R. Horton, Inc. 308,645
1,063 Helen of Troy Ltd. (a) 105,885
1,764 iRobot Corp. (a) 66,891
2,852 Leggett & Platt, Inc. 149,930
779 Mohawk Industries, Inc. (a) 162,764
4,443 Newell Brands, Inc. 233,080
207 NVR, Inc. (a) 352,935
5,236 TRI Pointe Group, Inc. (a) 70,424
---------------
1,562,058
---------------
HOUSEHOLD PRODUCTS -- 1.6%
4,843 Central Garden & Pet Co.,
Class A (a) 110,372
3,590 Church & Dwight Co., Inc. 352,682
2,135 Clorox (The) Co. 279,834
2,019 Colgate-Palmolive Co. 150,274
Page 78 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD PRODUCTS (CONTINUED)
5,309 HRG Group, Inc. (a) $ 79,051
1,570 Kimberly-Clark Corp. 203,394
1,222 Spectrum Brands Holdings,
Inc. 157,357
527 WD-40 Co. 60,594
---------------
1,393,558
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.2%
2,471 Calpine Corp. (a) 33,951
1,922 Ormat Technologies, Inc. 87,720
2,694 Pattern Energy Group, Inc. 65,653
---------------
187,324
---------------
INDUSTRIAL CONGLOMERATES
-- 0.3%
1,232 3M Co. 219,740
---------------
INSURANCE -- 1.6%
1,374 AMERISAFE, Inc. 80,420
1,488 AmTrust Financial Services,
Inc. 35,519
2,918 Brown & Brown, Inc. 106,974
450 Enstar Group Ltd. (a) 74,966
2,477 James River Group Holdings
Ltd. 83,376
310 Markel Corp. (a) 294,112
5,396 Marsh & McLennan Cos., Inc. 354,787
6,806 National General Holdings
Corp. 140,408
1,590 RLI Corp. 108,390
3,331 Universal Insurance Holdings,
Inc. 72,416
---------------
1,351,368
---------------
INTERNET & CATALOG RETAIL
-- 0.7%
516 Amazon.com, Inc. (a) 391,546
943 Liberty TripAdvisor Holdings,
Inc., Class A (a) 22,321
58 Priceline Group (The),
Inc. (a) 78,347
2,804 Wayfair, Inc.,
Class A (a) (b) 121,974
---------------
614,188
---------------
INTERNET SOFTWARE & SERVICES
-- 2.3%
2,104 2U, Inc. (a) 73,598
102 Alphabet, Inc., Class A (a) 80,717
1,624 Benefitfocus, Inc. (a) 69,832
1,970 Cimpress N.V. (a) 186,756
2,210 Cornerstone OnDemand,
Inc. (a) 95,450
500 CoStar Group, Inc. (a) 103,950
1,858 Envestnet, Inc. (a) 70,920
1,888 Facebook, Inc., Class A (a) 233,999
2,337 GoDaddy, Inc., Class A (a) 69,923
2,707 GrubHub, Inc. (a) 102,649
577 j2 Global, Inc. 38,567
976 LogMeIn, Inc. (a) 83,848
3,834 NIC, Inc. 89,409
11,710 Pandora Media, Inc. (a) (b) 159,256
SHARES DESCRIPTION VALUE
------------------------------------------------------------
INTERNET SOFTWARE & SERVICES
(CONTINUED)
3,002 Q2 Holdings, Inc. (a) $ 89,099
1,021 SPS Commerce, Inc. (a) 64,650
236 Stamps.com, Inc. (a) 17,890
1,709 VeriSign, Inc. (a) 148,016
1,065 WebMD Health Corp. (a) 64,975
2,770 Yelp, Inc. (a) 89,111
---------------
1,932,615
---------------
IT SERVICES -- 5.1%
1,905 Accenture PLC, Class A 214,903
367 Alliance Data Systems
Corp. (a) 85,004
3,217 Automatic Data Processing,
Inc. 286,152
1,088 Blackhawk Network Holdings,
Inc. (a) 37,851
2,795 Broadridge Financial
Solutions, Inc. 189,166
2,641 Cardtronics PLC, Class A (a) 116,178
1,257 Cognizant Technology
Solutions Corp.,
Class A (a) 72,265
1,458 Convergys Corp. 38,856
4,736 CoreLogic, Inc. (a) 190,766
1,535 CSG Systems International,
Inc. 61,799
1,054 Euronet Worldwide, Inc. (a) 80,378
2,706 EVERTEC, Inc. 46,543
2,006 ExlService Holdings, Inc. (a) 99,317
3,397 Fiserv, Inc. (a) 374,893
503 FleetCor Technologies,
Inc. (a) 76,295
3,034 Gartner, Inc. (a) 304,158
5,432 Genpact Ltd. (a) 145,415
4,140 Global Payments, Inc. 309,092
2,473 Jack Henry & Associates, Inc. 220,715
1,975 MAXIMUS, Inc. 116,367
4,967 Paychex, Inc. 294,444
5,515 Sabre Corp. 160,762
1,452 Sykes Enterprises, Inc. (a) 44,562
805 Syntel, Inc. (a) 36,475
1,550 TeleTech Holdings, Inc. 44,237
6,955 Total System Services, Inc. 354,149
6,526 Vantiv, Inc., Class A (a) 357,429
---------------
4,358,171
---------------
LEISURE PRODUCTS -- 0.7%
3,518 Hasbro, Inc. 285,767
3,868 Smith & Wesson Holding
Corp. (a) 113,913
967 Sturm Ruger & Co., Inc. 65,756
2,291 Vista Outdoor, Inc. (a) 114,664
---------------
580,100
---------------
LIFE SCIENCES TOOLS
& SERVICES -- 1.6%
1,293 Bio-Techne Corp. 145,359
1,626 Cambrex Corp. (a) 85,219
1,326 Charles River Laboratories
International, Inc. (a) 116,595
1,912 INC Research Holdings, Inc.,
Class A (a) 85,103
See Notes to Financial Statements Page 79
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS
& SERVICES (CONTINUED)
2,079 Luminex Corp. (a) $ 44,553
405 Mettler-Toledo International,
Inc. (a) 166,540
1,159 PAREXEL International
Corp. (a) 77,479
1,391 PerkinElmer, Inc. 79,176
1,746 PRA Health Sciences, Inc. (a) 80,980
2,262 Quintiles Transnational
Holdings, Inc. (a) 175,622
1,000 Thermo Fisher Scientific,
Inc. 158,840
1,051 Waters Corp. (a) 167,035
---------------
1,382,501
---------------
MACHINERY -- 1.4%
1,550 Albany International Corp.,
Class A 65,611
923 Graco, Inc. 68,311
444 IDEX Corp. 39,867
1,419 Illinois Tool Works, Inc. 163,752
1,717 John Bean Technologies Corp. 114,902
949 Middleby (The) Corp. (a) 114,241
1,160 RBC Bearings, Inc. (a) 88,195
2,142 Rexnord Corp. (a) 45,603
456 Snap-on, Inc. 71,669
749 Standex International Corp. 66,511
1,328 Stanley Black & Decker, Inc. 161,618
2,066 Toro (The) Co. 189,969
---------------
1,190,249
---------------
MARINE -- 0.0%
639 Matson, Inc. 23,880
---------------
MEDIA -- 1.6%
214 Cable One, Inc. 112,110
944 Charter Communications, Inc.,
Class A (a) 221,717
1,901 Gray Television, Inc. (a) 18,820
9,342 Interpublic Group of Cos.
(The), Inc. 215,427
1,215 Liberty Broadband Corp.,
Class C (a) 76,922
2,717 National CineMedia, Inc. 42,331
1,301 Nexstar Broadcasting Group,
Inc., Class A 65,766
6,615 Regal Entertainment Group,
Class A (b) 155,585
1,756 Scripps Networks Interactive,
Inc., Class A 116,001
2,441 Sinclair Broadcast Group,
Inc., Class A 67,909
37,406 Sirius XM Holdings, Inc. (a) 164,212
735 Walt Disney (The) Co. 70,523
---------------
1,327,323
---------------
METALS & MINING -- 0.1%
685 Kaiser Aluminum Corp. 56,752
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MULTI-UTILITIES -- 1.0%
6,894 Ameren Corp. $ 361,521
1,734 NorthWestern Corp. 105,323
5,657 WEC Energy Group, Inc. 367,196
---------------
834,040
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.4%
575 Carrizo Oil & Gas, Inc. (a) 18,860
1,238 Cimarex Energy Co. 148,585
5,953 Devon Energy Corp. 227,881
1,199 Diamondback Energy, Inc. (a) 105,260
1,166 Gulfport Energy Corp. (a) 33,919
5,905 Laredo Petroleum, Inc. (a) 59,168
3,300 Newfield Exploration Co. (a) 142,890
5,387 Parsley Energy, Inc.,
Class A (a) 153,583
476 Pioneer Natural Resources Co. 77,383
4,770 Rice Energy, Inc. (a) 111,237
3,134 RSP Permian, Inc. (a) 112,667
---------------
1,191,433
---------------
PERSONAL PRODUCTS -- 0.2%
1,245 Herbalife Ltd. (a) 84,673
1,307 Revlon, Inc., Class A (a) 46,385
185 USANA Health Sciences,
Inc. (a) 25,404
---------------
156,462
---------------
PHARMACEUTICALS -- 1.5%
2,559 Akorn, Inc. (a) 87,595
2,009 Bristol-Myers Squibb Co. 150,293
4,287 Depomed, Inc. (a) 81,324
1,438 Dermira, Inc. (a) 48,259
913 Eli Lilly and Co. 75,679
2,213 Horizon Pharma PLC (a) 42,689
1,265 Impax Laboratories, Inc. (a) 39,746
531 Intra-Cellular Therapies,
Inc. (a) 21,665
509 Jazz Pharmaceuticals PLC (a) 76,844
2,436 Johnson & Johnson 305,060
1,768 Lannett Co., Inc. (a) 55,197
1,664 Mylan N.V. (a) 77,859
1,974 Prestige Brands Holdings,
Inc. (a) 105,609
4,947 TherapeuticsMD, Inc. (a) (b) 38,438
1,516 Zoetis, Inc. 76,512
---------------
1,282,769
---------------
PROFESSIONAL SERVICES -- 1.5%
1,188 Advisory Board (The) Co. (a) 49,611
591 CEB, Inc. 35,484
897 Dun & Bradstreet (The) Corp. 115,937
2,877 Equifax, Inc. 381,088
1,440 Exponent, Inc. 73,167
1,973 On Assignment, Inc. (a) 72,902
4,360 TransUnion (a) 142,659
5,057 TriNet Group, Inc. (a) 109,686
1,822 Verisk Analytics, Inc. (a) 155,380
1,758 WageWorks, Inc. (a) 108,662
---------------
1,244,576
---------------
Page 80 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS
-- 14.6%
1,026 Acadia Realty Trust $ 38,639
2,179 Agree Realty Corp. 110,519
103 Alexander's, Inc. 44,215
1,408 Alexandria Real Estate
Equities, Inc. 158,118
991 American Assets Trust, Inc. 45,467
2,757 American Campus
Communities, Inc. 149,071
8,898 American Homes 4 Rent,
Class A 193,087
2,601 American Tower Corp. 301,118
1,651 Apartment Investment &
Management Co., Class A 75,896
2,617 Apollo Commercial Real
Estate Finance, Inc. 42,526
3,952 Blackstone Mortgage Trust,
Inc., Class A 114,647
545 Boston Properties, Inc. 77,461
2,719 Brixmor Property Group, Inc. 77,220
1,671 Camden Property Trust 149,705
1,913 Chatham Lodging Trust 45,874
4,792 Colony Starwood Homes 156,986
3,783 Communications Sales &
Leasing, Inc. 117,576
2,055 CoreSite Realty Corp. 169,599
4,044 Cousins Properties, Inc. 43,028
2,128 Crown Castle International
Corp. 206,480
1,180 CubeSmart 35,058
2,619 CyrusOne, Inc. 143,574
5,024 CYS Investments, Inc. 44,965
3,035 DCT Industrial Trust, Inc. 152,418
4,018 DDR Corp. 79,315
3,389 Digital Realty Trust, Inc. 354,015
5,130 Douglas Emmett, Inc. 195,145
11,084 Duke Realty Corp. 319,108
3,833 DuPont Fabros Technology,
Inc. 183,332
898 EastGroup Properties, Inc. 66,111
2,370 Education Realty Trust, Inc. 114,092
3,838 Empire State Realty Trust,
Inc., Class A 80,560
1,807 EPR Properties 151,824
762 Equinix, Inc. 284,127
1,821 Equity LifeStyle Properties,
Inc. 149,759
3,398 Equity One, Inc. 113,051
1,597 Extra Space Storage, Inc. 137,374
893 Federal Realty Investment
Trust 151,542
6,550 First Industrial Realty
Trust, Inc. 193,028
1,057 Gaming and Leisure
Properties, Inc. 37,872
2,412 General Growth Properties,
Inc. 77,063
5,290 Global Net Lease, Inc. 46,182
3,647 Government Properties Income
Trust 87,017
3,953 Gramercy Property Trust 39,490
SHARES DESCRIPTION VALUE
------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
1,947 Hannon Armstrong Sustainable
Infrastructure Capital,
Inc. $ 43,788
2,033 HCP, Inc. 79,755
4,166 Healthcare Realty Trust, Inc. 150,643
3,381 Healthcare Trust of America,
Inc., Class A 115,123
1,203 Hersha Hospitality Trust 22,737
2,761 Highwoods Properties, Inc. 153,843
3,747 Hudson Pacific Properties,
Inc. 126,686
4,385 iStar, Inc. (a) 45,429
550 Kilroy Realty Corp. 40,265
9,417 Kimco Realty Corp. 302,286
2,601 Kite Realty Group Trust 79,096
1,649 Lamar Advertising Co.,
Class A 111,901
3,670 Liberty Property Trust 151,865
1,626 LTC Properties, Inc. 87,040
1,730 Macerich (The) Co. 154,385
3,115 Mack-Cali Realty Corp. 87,843
11,981 Medical Properties Trust,
Inc. 188,102
2,028 Mid-America Apartment
Communities, Inc. 215,009
6,062 Monogram Residential Trust,
Inc. 64,924
2,427 National Health Investors,
Inc. 190,689
2,819 National Retail Properties,
Inc. 149,858
13,167 New Residential Investment
Corp. 179,993
5,795 New Senior Investment Group,
Inc. 69,482
1,074 Omega Healthcare Investors,
Inc. 37,053
962 Pennsylvania Real Estate
Investment Trust 24,473
5,004 Physicians Realty Trust 108,687
597 Post Properties, Inc. 37,963
7,532 Prologis, Inc. 410,419
1,031 PS Business Parks, Inc. 114,328
281 Public Storage 67,137
1,878 QTS Realty Trust, Inc.,
Class A 107,515
4,289 Ramco-Gershenson Properties
Trust 85,094
4,261 Realty Income Corp. 304,534
2,577 Regency Centers Corp. 218,865
3,881 Retail Opportunity
Investments Corp. 88,603
4,313 Retail Properties of America,
Inc., Class A 76,038
4,985 Rexford Industrial Realty,
Inc. 113,957
720 Ryman Hospitality Properties,
Inc. 40,493
1,000 Sabra Health Care REIT, Inc. 23,910
1,363 Saul Centers, Inc. 91,553
995 Simon Property Group, Inc. 225,905
676 SL Green Realty Corp. 79,646
11,416 Spirit Realty Capital, Inc. 156,057
3,532 STAG Industrial, Inc. 89,642
See Notes to Financial Statements Page 81
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
1,902 Sun Communities, Inc. $ 150,543
3,628 Tanger Factory Outlet
Centers, Inc. 151,433
3,251 Terreno Realty Corp. 90,540
735 Universal Health Realty
Income Trust 43,857
6,103 Urban Edge Properties 182,541
29,143 VEREIT, Inc. 322,322
1,967 Washington Real Estate
Investment Trust 67,448
1,786 Weingarten Realty Investors 77,137
3,880 Welltower, Inc. 307,800
1,575 WP Carey, Inc. 114,424
7,516 WP Glimcher, Inc. 95,303
---------------
12,469,216
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.3%
2,717 CBRE Group, Inc., Class A (a) 77,299
1,456 HFF, Inc., Class A 41,074
638 Howard Hughes (The) Corp. (a) 76,215
812 Marcus & Millichap, Inc. (a) 21,753
1,164 St. Joe (The) Co. (a) 21,453
---------------
237,794
---------------
ROAD & RAIL -- 0.4%
576 AMERCO 227,814
3,392 Avis Budget Group, Inc. (a) 124,588
---------------
352,402
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 3.1%
2,216 Advanced Energy Industries,
Inc. (a) 90,235
20,454 Advanced Micro Devices,
Inc. (a) 140,314
406 Ambarella, Inc. (a) 23,540
15,410 Applied Materials, Inc. 405,129
4,698 Cirrus Logic, Inc. (a) 228,276
4,277 Entegris, Inc. (a) 73,094
2,626 Inphi Corp. (a) 92,383
1,811 Integrated Device Technology,
Inc. (a) 39,824
856 Lam Research Corp. 76,843
1,546 Linear Technology Corp. 92,745
5,847 MaxLinear, Inc., Class A (a) 127,523
2,911 Microchip Technology, Inc. 161,968
1,953 MKS Instruments, Inc. 89,213
2,134 Monolithic Power Systems,
Inc. 155,184
7,858 NVIDIA Corp. 448,692
2,638 Qorvo, Inc. (a) 166,801
1,851 Teradyne, Inc. 36,557
3,444 Texas Instruments, Inc. 240,219
---------------
2,688,540
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SOFTWARE -- 5.6%
7,196 8x8, Inc. (a) $ 98,945
5,445 Activision Blizzard, Inc. 218,671
1,542 Adobe Systems, Inc. (a) 150,900
1,811 Aspen Technology, Inc. (a) 75,863
1,610 Blackbaud, Inc. 107,629
2,050 BroadSoft, Inc. (a) 91,902
4,500 Cadence Design Systems,
Inc. (a) 108,225
4,209 Callidus Software, Inc. (a) 86,411
5,325 CDK Global, Inc. 307,732
2,694 Citrix Systems, Inc. (a) 240,116
2,195 Ebix, Inc. 117,037
2,848 Electronic Arts, Inc. (a) 217,359
1,988 Ellie Mae, Inc. (a) 183,115
1,290 Fair Isaac Corp. 163,366
971 Fleetmatics Group PLC (a) 41,714
2,307 Fortinet, Inc. (a) 80,030
2,812 Gigamon, Inc. (a) 131,377
1,180 Guidewire Software, Inc. (a) 72,535
475 HubSpot, Inc. (a) 25,930
3,299 Infoblox, Inc. (a) 61,757
2,648 Intuit, Inc. 293,902
1,137 Manhattan Associates,
Inc. (a) 66,003
118 MicroStrategy, Inc.,
Class A (a) 20,637
501 NetSuite, Inc. (a) 54,534
2,433 Paycom Software, Inc. (a) 114,862
2,434 Paylocity Holding Corp. (a) 108,654
3,121 Pegasystems, Inc. 87,076
1,733 Proofpoint, Inc. (a) 131,483
1,411 Qualys, Inc. (a) 44,291
3,767 RealPage, Inc. (a) 94,740
3,138 RingCentral, Inc.,
Class A (a) 72,268
2,718 salesforce.com, Inc. (a) 222,332
1,083 ServiceNow, Inc. (a) 81,138
1,345 Splunk, Inc. (a) 84,116
648 Synchronoss Technologies,
Inc. (a) 24,196
745 Tableau Software, Inc.,
Class A (a) 42,100
4,806 Take-Two Interactive
Software, Inc. (a) 193,105
874 Tyler Technologies, Inc. (a) 142,479
693 Ultimate Software Group
(The), Inc. (a) 144,906
5,526 Zendesk, Inc. (a) 167,106
---------------
4,770,542
---------------
SPECIALTY RETAIL -- 3.6%
914 Advance Auto Parts, Inc. 155,252
372 AutoZone, Inc. (a) 302,797
2,732 Burlington Stores, Inc. (a) 209,025
2,265 Five Below, Inc. (a) 115,538
1,867 Francesca's Holdings
Corp. (a) 23,730
1,157 Home Depot (The), Inc. 159,944
290 Lithia Motors, Inc., Class A 25,024
3,733 Lowe's Cos., Inc. 307,151
5,126 Michaels (The) Cos., Inc. (a) 135,121
Page 82 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL (CONTINUED)
573 Monro Muffler Brake, Inc. $ 35,881
1,090 O'Reilly Automotive,
Inc. (a) 316,787
3,807 Ross Stores, Inc. 235,387
5,288 Tile Shop Holdings, Inc. (a) 90,160
3,826 TJX (The) Cos., Inc. 312,661
2,367 Tractor Supply Co. 216,936
1,516 Ulta Salon, Cosmetics &
Fragrance, Inc. (a) 395,994
---------------
3,037,388
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.2%
1,027 Carter's, Inc. 103,984
3,679 Skechers U.S.A., Inc.,
Class A (a) 88,369
---------------
192,353
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.5%
1,622 Beneficial Bancorp, Inc. 21,994
1,165 BofI Holding, Inc. (a) 19,595
4,437 Capitol Federal Financial,
Inc. 62,872
1,928 Essent Group Ltd. (a) 46,195
1,640 Kearny Financial Corp. 21,353
701 LendingTree, Inc. (a) (b) 70,787
4,187 Meridian Bancorp, Inc. 61,549
1,050 Provident Financial Services,
Inc. 21,158
906 Walker & Dunlop, Inc. (a) 21,445
1,306 WSFS Financial Corp. 45,958
---------------
392,906
---------------
TOBACCO -- 0.8%
4,285 Altria Group, Inc. 290,095
1,453 Philip Morris International,
Inc. 145,678
4,001 Reynolds American, Inc. 200,290
1,626 Vector Group Ltd. 35,918
---------------
671,981
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.6%
4,008 Beacon Roofing Supply,
Inc. (a) 188,456
1,620 Fastenal Co. 69,255
3,140 HD Supply Holdings, Inc. (a) 113,637
1,036 Watsco, Inc. 149,225
---------------
520,573
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.1%
984 Macquarie Infrastructure
Corp. 75,424
---------------
WATER UTILITIES -- 0.8%
1,412 American States Water Co. 60,999
4,371 American Water Works Co.,
Inc. 360,957
4,088 Aqua America, Inc. 141,608
2,136 SJW Corp. 90,481
---------------
654,045
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.6%
2,692 Shenandoah
Telecommunications Co. $ 110,587
8,537 T-Mobile US, Inc. (a) 395,605
---------------
506,192
---------------
TOTAL COMMON STOCKS
-- 100.0% 85,257,913
(Cost $74,363,991) ---------------
MONEY MARKET FUNDS -- 0.4%
280,038 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) 280,038
68,299 Morgan Stanley Institutional
Liquidity Fund - Treasury
Portfolio - Institutional
Class - 0.21% (c) 68,299
---------------
TOTAL MONEY MARKET
FUNDS -- 0.4% 348,337
(Cost $348,337) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.4%
$ 110,890 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $110,893.
Collateralized by U.S.
Treasury Note, interest
rate of 0.875%, due
04/15/17. The value of the
collateral including
accrued interest is
$113,401. (d) 110,890
229,720 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $229,725.
Collateralized by U.S.
Treasury Notes, interest
rates of 1.250% to 1.500%,
due 01/31/19 to 05/31/20.
The value of the collateral
including accrued interest
is $235,048. (d) 229,720
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.4% 340,610
(Cost $340,610) ---------------
TOTAL INVESTMENTS -- 100.8% 85,946,860
(Cost $75,052,938) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.8)% (653,586)
---------------
NET ASSETS -- 100.0% $ 85,293,274
===============
See Notes to Financial Statements Page 83
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
(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 $612,307 and the total value of the collateral held by the
Fund is $620,648.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $75,139,159. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $11,193,502 and
the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $385,801.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
--------------------------------------
Common Stocks* $85,257,913 $ -- $ --
Money Market Funds 348,337 -- --
Repurchase
Agreements -- 340,610 --
--------------------------------------
Total Investments $85,606,250 $ 340,610 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 612,307
Non-cash Collateral(2) (612,307)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 340,610
Non-cash Collateral(4) (340,610)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 84 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.0%
1,412 B/E Aerospace, Inc. $ 67,543
773 Curtiss-Wright Corp. 68,789
3,154 Esterline Technologies
Corp. (a) 191,858
388 Huntington Ingalls
Industries, Inc. 66,961
7,582 Spirit AeroSystems Holdings,
Inc., Class A (a) 328,907
1,976 Teledyne Technologies,
Inc. (a) 207,480
---------------
931,538
---------------
AIRLINES -- 0.7%
7,265 Spirit Airlines, Inc. (a) 310,579
---------------
AUTO COMPONENTS -- 2.0%
10,933 Cooper Tire & Rubber Co. 360,679
4,196 Tenneco, Inc. (a) 237,158
4,954 Visteon Corp. 347,226
---------------
945,063
---------------
AUTOMOBILES -- 0.7%
4,029 Thor Industries, Inc. 308,380
---------------
BANKS -- 6.9%
15,206 Associated Banc-Corp. 282,832
2,874 BancorpSouth, Inc. 68,459
2,080 BOK Financial Corp. 135,678
10,215 CIT Group, Inc. 353,030
3,170 Comerica, Inc. 143,411
2,046 Cullen/Frost Bankers, Inc. 138,903
5,723 East West Bancorp, Inc. 195,841
757 First Citizens BancShares,
Inc., Class A 196,654
9,660 Fulton Financial Corp. 131,859
1,091 IBERIABANK Corp. 68,155
8,895 People's United Financial,
Inc. 134,848
11,127 Popular, Inc. 374,869
3,836 Prosperity Bancshares, Inc. 195,981
684 SVB Financial Group (a) 68,687
20,616 TCF Financial Corp. 280,171
1,224 UMB Financial Corp. 67,822
7,148 Valley National Bancorp 64,832
2,557 Wintrust Financial Corp. 135,010
7,783 Zions Bancorporation 216,990
---------------
3,254,032
---------------
BUILDING PRODUCTS -- 1.3%
5,062 Owens Corning 267,830
12,092 USG Corp. (a) 340,511
---------------
608,341
---------------
CAPITAL MARKETS -- 2.6%
1,846 Eaton Vance Corp. 69,797
2,266 Federated Investors, Inc.,
Class B 71,538
14,051 Janus Capital Group, Inc. 212,170
2,211 Legg Mason, Inc. 75,483
8,681 LPL Financial Holdings, Inc. 233,953
2,646 Raymond James Financial, Inc. 145,265
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
2,074 Stifel Financial Corp. (a) $ 73,316
18,933 Waddell & Reed Financial,
Inc., Class A 345,717
---------------
1,227,239
---------------
CHEMICALS -- 2.6%
2,466 Albemarle Corp. 207,563
569 Ashland, Inc. 64,434
5,632 FMC Corp. 267,745
14,541 Huntsman Corp. 224,804
158 NewMarket Corp. 67,614
1,851 PolyOne Corp. 64,915
7,594 Westlake Chemical Corp. 347,350
---------------
1,244,425
---------------
COMMERCIAL SERVICES
& SUPPLIES -- 0.7%
1,251 Clean Harbors, Inc. (a) 64,326
2,947 Deluxe Corp. 199,188
3,852 R.R. Donnelley & Sons Co. 69,028
---------------
332,542
---------------
COMMUNICATIONS EQUIPMENT
-- 0.7%
28,410 Brocade Communications
Systems, Inc. 264,213
2,932 NetScout Systems, Inc. (a) 82,037
---------------
346,250
---------------
CONSTRUCTION & ENGINEERING
-- 2.9%
4,104 AECOM (a) 145,651
3,970 EMCOR Group, Inc. 221,129
2,647 Fluor Corp. 141,668
2,618 Jacobs Engineering Group,
Inc. (a) 140,115
24,621 KBR, Inc. 345,186
14,101 Quanta Services, Inc. (a) 360,986
---------------
1,354,735
---------------
CONSTRUCTION MATERIALS
-- 0.1%
844 Eagle Materials, Inc. 70,854
---------------
CONSUMER FINANCE -- 1.9%
21,824 Navient Corp. 309,901
31,558 Santander Consumer USA
Holdings, Inc. (a) 346,822
31,650 SLM Corp. (a) 227,564
---------------
884,287
---------------
CONTAINERS & PACKAGING
-- 1.9%
1,268 Bemis Co., Inc. 64,719
15,597 Graphic Packaging Holding Co. 212,743
3,620 Owens-Illinois, Inc. (a) 68,020
3,897 Packaging Corp. of America 291,067
2,533 Silgan Holdings, Inc. 125,586
2,626 Sonoco Products Co. 133,742
---------------
895,877
---------------
See Notes to Financial Statements Page 85
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED FINANCIAL
SERVICES -- 0.1%
3,764 Leucadia National Corp. $ 68,731
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
52,794 Frontier Communications Corp. 274,529
---------------
ELECTRIC UTILITIES -- 1.9%
3,028 ALLETE, Inc. 193,338
8,579 Great Plains Energy, Inc. 255,483
3,980 OGE Energy Corp. 128,036
1,838 PNM Resources, Inc. 63,154
5,912 Portland General Electric Co. 258,177
---------------
898,188
---------------
ELECTRICAL EQUIPMENT -- 1.2%
2,194 EnerSys 136,796
617 Hubbell, Inc. 66,531
5,922 Regal Beloit Corp. 361,301
---------------
564,628
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 4.2%
5,268 Arrow Electronics, Inc. (a) 350,269
8,046 Avnet, Inc. 330,691
4,214 FLIR Systems, Inc. 137,292
17,652 Jabil Circuit, Inc. 359,218
8,965 Keysight Technologies,
Inc. (a) 262,137
2,061 SYNNEX Corp. 207,192
4,538 Tech Data Corp. (a) 353,646
---------------
2,000,445
---------------
ENERGY EQUIPMENT & SERVICES
-- 2.8%
13,400 Diamond Offshore Drilling,
Inc. 304,448
5,578 Dril-Quip, Inc. (a) 303,611
4,890 FMC Technologies, Inc. (a) 124,108
4,461 Frank's International
N.V. (b) 54,959
1,943 Helmerich & Payne, Inc. 120,408
10,917 Oceaneering International,
Inc. 304,366
6,116 Patterson-UTI Energy, Inc. 118,589
---------------
1,330,489
---------------
FOOD PRODUCTS -- 1.2%
6,954 Flowers Foods, Inc. 127,884
2,396 Fresh Del Monte Produce, Inc. 136,212
1,311 Hain Celestial Group (The),
Inc. (a) 69,208
10,236 Pilgrim's Pride Corp. 237,987
---------------
571,291
---------------
GAS UTILITIES -- 0.7%
2,486 Southwest Gas Corp. 192,665
2,882 UGI Corp. 130,439
---------------
323,104
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HEALTH CARE PROVIDERS
& SERVICES -- 2.0%
8,446 Brookdale Senior Living,
Inc. (a) $ 155,997
27,053 Community Health Systems,
Inc. (a) 345,467
1,678 HealthSouth Corp. 72,238
4,987 LifePoint Health, Inc. (a) 295,131
1,746 Owens & Minor, Inc. 62,350
---------------
931,183
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.4%
7,297 Bloomin' Brands, Inc. 131,200
5,728 Brinker International, Inc. 270,018
4,063 Cheesecake Factory (The),
Inc. 210,179
381 Cracker Barrel Old Country
Store, Inc. (b) 59,973
---------------
671,370
---------------
HOUSEHOLD DURABLES -- 2.5%
5,330 CalAtlantic Group, Inc. 192,999
3,630 Harman International
Industries, Inc. 299,983
13,381 PulteGroup, Inc. 283,410
9,692 Toll Brothers, Inc. (a) 271,473
2,316 Tupperware Brands Corp. 145,167
---------------
1,193,032
---------------
INDUSTRIAL CONGLOMERATES
-- 0.3%
1,235 Carlisle Cos., Inc. 127,563
---------------
INSURANCE -- 7.6%
1,763 American Financial Group,
Inc. 128,875
1,152 American National Insurance
Co. 131,731
7,030 Aspen Insurance Holdings Ltd. 323,099
757 Assurant, Inc. 62,839
12,851 Assured Guaranty Ltd. 344,278
5,927 Axis Capital Holdings Ltd. 329,423
18,670 CNO Financial Group, Inc. 324,298
3,882 Endurance Specialty Holdings
Ltd. 262,540
4,863 First American Financial
Corp. 203,322
3,081 Hanover Insurance Group
(The), Inc. 253,690
10,140 Old Republic International
Corp. 196,513
1,217 ProAssurance Corp. 62,870
1,344 Reinsurance Group of America,
Inc. 133,392
2,220 RenaissanceRe Holdings Ltd. 260,894
5,368 Validus Holdings Ltd. 265,340
3,264 W. R. Berkley Corp. 189,932
155 White Mountains Insurance
Group Ltd. 127,305
---------------
3,600,341
---------------
Page 86 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET & CATALOG RETAIL
-- 0.1%
1,334 HSN, Inc. $ 68,247
---------------
INTERNET SOFTWARE & SERVICES
-- 0.8%
15,627 Rackspace Hosting, Inc. (a) 366,141
---------------
IT SERVICES -- 2.0%
2,201 Booz Allen Hamilton Holding
Corp. 67,967
2,884 CACI International, Inc.,
Class A (a) 274,932
2,626 Computer Sciences Corp. 125,601
2,240 DST Systems, Inc. 276,259
4,087 Leidos Holdings, Inc. (b) 204,391
---------------
949,150
---------------
LEISURE PRODUCTS -- 1.0%
2,878 Brunswick Corp. 142,807
3,191 Polaris Industries, Inc. (b) 315,111
---------------
457,918
---------------
LIFE SCIENCES TOOLS
& SERVICES -- 0.1%
455 Bio-Rad Laboratories, Inc.,
Class A (a) 66,016
---------------
MACHINERY -- 5.4%
5,534 AGCO Corp. 266,517
2,144 CLARCOR, Inc. 133,485
7,392 Colfax Corp. (a) 217,029
3,449 Crane Co. 214,873
1,897 Donaldson Co., Inc. 68,539
1,443 Flowserve Corp. 69,048
10,195 ITT, Inc. 323,283
779 Nordson Corp. 68,778
5,467 Oshkosh Corp. 301,177
8,507 Timken (The) Co. 284,559
17,556 Trinity Industries, Inc. 407,475
1,857 Wabtec Corp. 127,205
1,130 Woodward, Inc. 66,150
---------------
2,548,118
---------------
MARINE -- 0.5%
4,181 Kirby Corp. (a) 227,823
---------------
MEDIA -- 1.4%
3,577 Cinemark Holdings, Inc. 134,495
3,748 John Wiley & Sons, Inc.,
Class A 216,260
5,387 New York Times (The) Co.,
Class A 69,923
11,257 TEGNA, Inc. 246,528
---------------
667,206
---------------
METALS & MINING -- 1.4%
2,635 Compass Minerals
International, Inc. 183,370
3,391 Reliance Steel & Aluminum Co. 265,990
4,626 Worthington Industries, Inc. 204,978
---------------
654,338
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MULTILINE RETAIL -- 0.8%
5,379 Dillard's, Inc., Class A $ 364,051
---------------
MULTI-UTILITIES -- 0.8%
4,365 Avista Corp. 189,878
3,714 Vectren Corp. 192,125
---------------
382,003
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.8%
16,826 CVR Energy, Inc. (b) 249,025
5,483 PBF Energy, Inc., Class A 122,490
15,803 Western Refining, Inc. 329,492
2,746 World Fuel Services Corp. 130,710
---------------
831,717
---------------
PHARMACEUTICALS -- 0.5%
8,508 Catalent, Inc. (a) 217,294
---------------
PROFESSIONAL SERVICES -- 1.0%
4,054 ManpowerGroup, Inc. 281,348
5,125 Robert Half International,
Inc. 187,267
---------------
468,615
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 8.3%
10,399 Apple Hospitality REIT, Inc. 211,828
3,880 Brandywine Realty Trust 65,456
9,951 Care Capital Properties, Inc. 294,350
16,611 Chimera Investment Corp. 278,733
4,410 Corporate Office Properties
Trust 132,124
5,587 Corrections Corp. of America 179,063
6,715 Equity Commonwealth (a) 201,584
14,613 Forest City Realty Trust,
Inc., Class A 345,597
5,723 GEO Group (The), Inc. 198,073
6,791 Hospitality Properties Trust 216,701
13,825 LaSalle Hotel Properties 380,879
35,873 MFA Financial, Inc. 269,765
15,198 RLJ Lodging Trust 360,800
3,131 Senior Housing Properties
Trust 69,539
3,146 Starwood Property Trust, Inc. 68,583
27,009 Sunstone Hotel Investors, Inc. 359,220
30,467 Two Harbors Investment Corp. 266,586
---------------
3,898,881
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 1.1%
3,347 Jones Lang LaSalle, Inc. 366,396
4,492 Realogy Holdings Corp. (a) 139,207
---------------
505,603
---------------
ROAD & RAIL -- 4.4%
4,423 Genesee & Wyoming, Inc.,
Class A (a) 286,389
17,669 Hertz Global Holdings,
Inc. (a) 860,127
9,813 Knight Transportation, Inc. 292,722
951 Landstar System, Inc. 67,036
4,324 Old Dominion Freight Line,
Inc. (a) 301,210
4,265 Ryder System, Inc. 281,063
---------------
2,088,547
---------------
See Notes to Financial Statements Page 87
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
-- 1.1%
20,523 Marvell Technology Group Ltd. $ 241,145
29,569 ON Semiconductor Corp. (a) 296,577
---------------
537,722
---------------
SOFTWARE -- 0.5%
6,135 Mentor Graphics Corp. 131,044
1,141 VMware, Inc., Class A (a) 83,270
---------------
214,314
---------------
SPECIALTY RETAIL -- 6.8%
20,466 American Eagle Outfitters,
Inc. 366,751
5,550 AutoNation, Inc. (a) 296,092
2,604 Cabela's, Inc. (a) 134,445
3,028 CST Brands, Inc. 135,412
5,788 Dick's Sporting Goods, Inc. 296,867
12,264 GameStop Corp., Class A 379,571
8,054 GNC Holdings, Inc., Class A 164,382
2,636 Murphy USA, Inc. (a) 202,023
8,290 Penske Automotive Group, Inc. 328,450
2,216 Sally Beauty Holdings,
Inc. (a) 64,995
37,819 Staples, Inc. 351,338
9,483 Urban Outfitters, Inc. (a) 283,542
3,751 Williams-Sonoma, Inc. 202,854
---------------
3,206,722
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.7%
2,267 Columbia Sportswear Co. 129,786
4,279 G-III Apparel Group Ltd. (a) 171,288
3,459 PVH Corp. 349,567
3,814 Steven Madden Ltd. (a) 133,566
---------------
784,207
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.0%
54,789 MGIC Investment Corp. (a) 393,933
31,287 Radian Group, Inc. 403,602
5,375 Washington Federal, Inc. 134,375
---------------
931,910
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.5%
12,172 Air Lease Corp. 350,675
1,849 MSC Industrial Direct Co., Inc.,
Class A 132,814
2,915 United Rentals, Inc. (a) 232,238
---------------
715,727
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.4%
10,990 Telephone and Data Systems,
Inc. 346,075
8,300 United States Cellular
Corp. (a) 335,735
---------------
681,810
---------------
TOTAL COMMON STOCKS
-- 99.9% 47,103,116
(Cost $46,057,356) ---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MONEY MARKET FUNDS -- 0.5%
259,023 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) $ 259,023
(Cost $259,023) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.7%
$ 102,569 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $102,571.
Collateralized by U.S.
Treasury Note, interest
rate of 0.875%, due
04/15/17. The value of the
collateral including
accrued interest is
$104,891. (d) 102,569
212,481 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $212,486.
Collateralized by U.S.
Treasury Notes, interest
rates of 1.250% to 1.500%,
due 01/31/19 to 05/31/20.
The value of the collateral
including accrued interest
is $217,409. (d) 212,481
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.7% 315,050
(Cost $315,050) ---------------
TOTAL INVESTMENTS -- 101.1% 47,677,189
(Cost $46,631,429) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.1)% (520,698)
---------------
NET ASSETS -- 100.0% $ 47,156,491
===============
(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 $571,979 and the total value of the collateral held by the
Fund is $574,073.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $46,735,479. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $2,831,834 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $1,890,124.
Page 88 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
--------------------------------------
Common Stocks* $47,103,116 $ -- $ --
Money Market Funds 259,023 -- --
Repurchase
Agreements -- 315,050 --
--------------------------------------
Total Investments $47,362,139 $ 315,050 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 571,979
Non-cash Collateral(2) (571,979)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 315,050
Non-cash Collateral(4) (315,050)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 89
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 0.7%
8,809 HEICO Corp. $ 612,314
---------------
AIR FREIGHT & LOGISTICS
-- 0.3%
8,965 XPO Logistics, Inc. (a) 265,543
---------------
AIRLINES -- 0.1%
777 Allegiant Travel Co. 100,831
---------------
AUTO COMPONENTS -- 0.3%
15,237 Gentex Corp. 269,238
---------------
BANKS -- 2.5%
3,422 Bank of Hawaii Corp. 235,844
3,831 BankUnited, Inc. 115,007
7,372 Commerce Bancshares, Inc. 348,622
8,542 First Horizon National Corp. 124,371
5,948 Home BancShares, Inc. 124,135
10,623 Investors Bancorp, Inc. 120,677
16,222 MB Financial, Inc. 622,763
2,409 Pinnacle Financial Partners,
Inc. 127,942
4,061 Synovus Financial Corp. 123,617
3,605 Western Alliance Bancorp (a) 122,678
---------------
2,065,656
---------------
BIOTECHNOLOGY -- 0.8%
2,354 Kite Pharma, Inc. (a) 133,307
3,947 Ligand Pharmaceuticals,
Inc. (a) 532,371
---------------
665,678
---------------
BUILDING PRODUCTS -- 1.8%
6,680 A.O. Smith Corp. 620,505
3,391 Allegion PLC 245,474
4,127 Lennox International, Inc. 647,114
---------------
1,513,093
---------------
CAPITAL MARKETS -- 0.4%
27,028 BGC Partners, Inc., Class A 239,738
3,325 Interactive Brokers Group,
Inc., Class A 115,843
---------------
355,581
---------------
CHEMICALS -- 0.7%
6,735 Scotts Miracle-Gro (The) Co.,
Class A 496,706
1,607 W.R. Grace & Co. 120,316
---------------
617,022
---------------
COMMERCIAL SERVICES
& SUPPLIES -- 2.5%
12,009 Copart, Inc. (a) 605,734
14,222 Healthcare Services Group,
Inc. 551,956
14,100 KAR Auction Services, Inc. 603,057
12,065 Rollins, Inc. 339,991
---------------
2,100,738
---------------
COMMUNICATIONS EQUIPMENT
-- 1.3%
1,828 Arista Networks, Inc. (a) 130,282
15,223 Ubiquiti Networks,
Inc. (a) (b) 680,773
3,297 ViaSat, Inc. (a) 243,417
---------------
1,054,472
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CONSTRUCTION & ENGINEERING
-- 0.7%
6,557 Dycom Industries, Inc. (a) $ 616,686
---------------
CONSUMER FINANCE -- 0.1%
636 Credit Acceptance Corp. (a) 114,906
---------------
CONTAINERS & PACKAGING
-- 1.8%
4,462 AptarGroup, Inc. 348,839
6,299 Avery Dennison Corp. 490,629
15,149 Berry Plastics Group,
Inc. (a) 621,109
---------------
1,460,577
---------------
DISTRIBUTORS -- 0.8%
6,259 Pool Corp. 640,171
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.3%
5,325 Bright Horizons Family
Solutions, Inc. (a) 357,148
13,059 Service Corp. International 361,995
8,872 ServiceMaster Global
Holdings, Inc. (a) 335,628
---------------
1,054,771
---------------
DIVERSIFIED FINANCIAL
SERVICES -- 1.5%
3,534 CBOE Holdings, Inc. 243,139
1,459 FactSet Research Systems,
Inc. 250,890
4,047 MarketAxess Holdings, Inc. 654,238
1,439 Morningstar, Inc. 121,710
---------------
1,269,977
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
16,858 Zayo Group Holdings, Inc. (a) 477,081
---------------
ELECTRIC UTILITIES -- 0.6%
5,788 IDACORP, Inc. 467,960
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.3%
5,462 Cognex Corp. 246,719
1,992 Littelfuse, Inc. 249,040
6,944 Universal Display Corp. (a) 491,913
2,349 Zebra Technologies Corp.,
Class A (a) 124,520
---------------
1,112,192
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.3%
1,900 Core Laboratories N.V. 221,939
---------------
FOOD & STAPLES RETAILING
-- 0.9%
4,475 Casey's General Stores, Inc. 597,592
5,140 Sprouts Farmers Market,
Inc. (a) 118,888
---------------
716,480
---------------
FOOD PRODUCTS -- 3.3%
12,210 B&G Foods, Inc. 629,914
5,312 Cal-Maine Foods, Inc. 222,573
2,961 J&J Snack Foods Corp. 360,087
Page 90 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
3,690 Lancaster Colony Corp. $ 479,553
7,629 Pinnacle Foods, Inc. 383,052
7,117 Post Holdings, Inc. (a) 616,830
---------------
2,692,009
---------------
GAS UTILITIES -- 1.7%
8,839 ONE Gas, Inc. 574,181
6,646 Spire, Inc. 461,232
4,988 WGL Holdings, Inc. 353,101
---------------
1,388,514
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 6.3%
5,386 ABIOMED, Inc. (a) 635,387
7,307 Align Technology, Inc. (a) 651,419
5,138 Cantel Medical Corp. 343,989
4,451 DexCom, Inc. (a) 410,516
6,338 IDEXX Laboratories, Inc. (a) 594,441
5,901 Integra LifeSciences Holdings
Corp. (a) 497,277
6,277 Neogen Corp. (a) 346,177
9,855 NuVasive, Inc. (a) 612,981
3,320 Teleflex, Inc. 598,629
6,205 West Pharmaceutical Services,
Inc. 498,137
---------------
5,188,953
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 2.2%
4,249 Acadia Healthcare Co.,
Inc. (a) 240,068
7,590 AmSurg Corp. (a) 569,326
1,727 Chemed Corp. 254,111
2,358 Molina Healthcare, Inc. (a) 133,958
8,705 VCA, Inc. (a) 621,015
---------------
1,818,478
---------------
HEALTH CARE TECHNOLOGY
-- 1.4%
1,706 athenahealth, Inc. (a) 218,010
5,023 Medidata Solutions, Inc. (a) 266,972
17,249 Veeva Systems, Inc.,
Class A (a) 655,290
---------------
1,140,272
---------------
HOTELS, RESTAURANTS & LEISURE
-- 4.9%
6,397 Boyd Gaming Corp. (a) 125,445
1,694 Buffalo Wild Wings, Inc. (a) 284,524
2,472 Choice Hotels International,
Inc. 119,373
1,863 Churchill Downs, Inc. 244,295
3,584 Domino's Pizza, Inc. 527,923
6,850 Jack in the Box, Inc. 605,472
2,776 Panera Bread Co., Class A (a) 608,832
6,094 Six Flags Entertainment Corp. 343,641
12,907 Texas Roadhouse, Inc. 609,469
3,406 Vail Resorts, Inc. 487,296
12,236 Wendy's (The) Co. 118,200
---------------
4,074,470
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HOUSEHOLD DURABLES -- 1.0%
3,434 Helen of Troy Ltd. (a) $ 342,061
9,212 Leggett & Platt, Inc. 484,275
---------------
826,336
---------------
HOUSEHOLD PRODUCTS -- 0.9%
17,147 HRG Group, Inc. (a) 255,319
3,946 Spectrum Brands Holdings,
Inc. 508,126
---------------
763,445
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.1%
7,981 Calpine Corp. (a) 109,659
---------------
INSURANCE -- 1.8%
4,805 AmTrust Financial Services,
Inc. 114,695
9,424 Brown & Brown, Inc. 345,484
1,453 Enstar Group Ltd. (a) 242,055
21,981 National General Holdings
Corp. 453,468
5,134 RLI Corp. 349,985
---------------
1,505,687
---------------
INTERNET & CATALOG RETAIL
-- 0.5%
9,055 Wayfair, Inc.,
Class A (a) (b) 393,893
---------------
INTERNET SOFTWARE & SERVICES
-- 2.2%
6,364 Cimpress N.V. (a) 603,307
1,614 CoStar Group, Inc. (a) 335,551
7,547 GoDaddy, Inc., Class A (a) 225,806
1,863 j2 Global, Inc. 124,523
37,818 Pandora Media, Inc. (a) (b) 514,325
---------------
1,803,512
---------------
IT SERVICES -- 3.3%
3,514 Blackhawk Network Holdings,
Inc. (a) 122,252
9,026 Broadridge Financial
Solutions, Inc. 610,880
4,708 Convergys Corp. 125,468
15,295 CoreLogic, Inc. (a) 616,083
3,402 Euronet Worldwide, Inc. (a) 259,437
17,542 Genpact Ltd. (a) 469,599
6,377 MAXIMUS, Inc. 375,733
2,601 Syntel, Inc. (a) 117,851
---------------
2,697,303
---------------
LEISURE PRODUCTS -- 0.5%
7,399 Vista Outdoor, Inc. (a) 370,320
---------------
LIFE SCIENCES TOOLS
& SERVICES -- 2.3%
4,175 Bio-Techne Corp. 469,354
4,284 Charles River Laboratories
International, Inc. (a) 376,692
6,174 INC Research Holdings, Inc.,
Class A (a) 274,805
3,744 PAREXEL International
Corp. (a) 250,286
4,491 PerkinElmer, Inc. 255,628
See Notes to Financial Statements Page 91
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS
& SERVICES (CONTINUED)
5,637 PRA Health Sciences, Inc. (a) $ 261,444
---------------
1,888,209
---------------
MACHINERY -- 1.6%
2,980 Graco, Inc. 220,550
1,434 IDEX Corp. 128,759
3,064 Middleby (The) Corp. (a) 368,844
6,673 Toro (The) Co. 613,582
---------------
1,331,735
---------------
MEDIA -- 2.1%
690 Cable One, Inc. 361,477
3,924 Liberty Broadband Corp.,
Class C (a) 248,429
21,363 Regal Entertainment Group,
Class A (b) 502,458
5,671 Scripps Networks Interactive,
Inc., Class A 374,626
7,884 Sinclair Broadcast Group,
Inc., Class A 219,333
---------------
1,706,323
---------------
MULTI-UTILITIES -- 0.4%
5,599 NorthWestern Corp. 340,083
---------------
OIL, GAS & CONSUMABLE FUELS
-- 2.1%
3,872 Diamondback Energy, Inc. (a) 339,923
3,765 Gulfport Energy Corp. (a) 109,524
10,657 Newfield Exploration Co. (a) 461,448
17,399 Parsley Energy, Inc.,
Class A (a) 496,045
10,121 RSP Permian, Inc. (a) 363,850
---------------
1,770,790
---------------
PERSONAL PRODUCTS -- 0.3%
4,022 Herbalife Ltd. (a) 273,536
---------------
PHARMACEUTICALS -- 1.1%
8,265 Akorn, Inc. (a) 282,911
7,147 Horizon Pharma PLC (a) 137,866
4,084 Impax Laboratories, Inc. (a) 128,319
6,374 Prestige Brands Holdings,
Inc. (a) 341,009
---------------
890,105
---------------
PROFESSIONAL SERVICES -- 1.4%
1,908 CEB, Inc. 114,556
2,899 Dun & Bradstreet (The) Corp. 374,696
6,371 On Assignment, Inc. (a) 235,408
14,080 TransUnion (a) 460,698
---------------
1,185,358
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 21.9%
3,314 Acadia Realty Trust 124,805
4,548 Alexandria Real Estate
Equities, Inc. 510,740
8,905 American Campus
Communities, Inc. 481,493
SHARES DESCRIPTION VALUE
------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
28,737 American Homes 4 Rent,
Class A $ 623,593
5,331 Apartment Investment &
Management Co., Class A 245,066
12,762 Blackstone Mortgage Trust,
Inc., Class A 370,226
15,478 Colony Starwood Homes 507,059
12,219 Communications Sales &
Leasing, Inc. 379,766
6,636 CoreSite Realty Corp. 547,669
3,812 CubeSmart 113,254
8,460 CyrusOne, Inc. 463,777
9,801 DCT Industrial Trust, Inc. 492,206
12,978 DDR Corp. 256,186
16,570 Douglas Emmett, Inc. 630,323
12,380 DuPont Fabros Technology,
Inc. 592,135
7,653 Education Realty Trust, Inc. 368,415
12,397 Empire State Realty Trust,
Inc., Class A 260,213
5,836 EPR Properties 490,341
5,882 Equity LifeStyle Properties,
Inc. 483,736
10,973 Equity One, Inc. 365,072
21,155 First Industrial Realty
Trust, Inc. 623,438
3,413 Gaming and Leisure
Properties, Inc. 122,288
12,767 Gramercy Property Trust 127,542
13,456 Healthcare Realty Trust, Inc. 486,569
10,919 Healthcare Trust of America,
Inc., Class A 371,792
8,917 Highwoods Properties, Inc. 496,855
12,101 Hudson Pacific Properties,
Inc. 409,135
1,775 Kilroy Realty Corp. 129,948
8,398 Kite Realty Group Trust 255,383
5,326 Lamar Advertising Co.,
Class A 361,422
11,854 Liberty Property Trust 490,518
38,694 Medical Properties Trust,
Inc. 607,496
7,838 National Health Investors,
Inc. 615,832
9,104 National Retail Properties,
Inc. 483,969
42,524 New Residential Investment
Corp. 581,303
3,467 Omega Healthcare Investors,
Inc. 119,611
1,928 Post Properties, Inc. 122,602
3,329 PS Business Parks, Inc. 369,153
13,930 Retail Properties of America,
Inc., Class A 245,586
2,324 Ryman Hospitality Properties,
Inc. 130,702
36,871 Spirit Realty Capital, Inc. 504,027
6,144 Sun Communities, Inc. 486,298
11,718 Tanger Factory Outlet
Centers, Inc. 489,109
19,710 Urban Edge Properties 589,526
5,087 W.P. Carey, Inc. 369,571
5,767 Weingarten Realty Investors 249,077
---------------
18,144,827
---------------
Page 92 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.3%
2,059 Howard Hughes (The) Corp. (a) $ 245,968
---------------
ROAD & RAIL -- 0.5%
10,957 Avis Budget Group, Inc. (a) 402,451
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 2.4%
15,172 Cirrus Logic, Inc. (a) 737,207
5,847 Integrated Device Technology,
Inc. (a) 128,576
6,892 Monolithic Power Systems,
Inc. 501,186
8,521 Qorvo, Inc. (a) 538,783
5,978 Teradyne, Inc. 118,066
---------------
2,023,818
---------------
SOFTWARE -- 7.1%
5,850 Aspen Technology, Inc. (a) 245,056
5,201 Blackbaud, Inc. 347,687
14,532 Cadence Design Systems,
Inc. (a) 349,495
6,421 Ellie Mae, Inc. (a) 591,438
4,167 Fair Isaac Corp. 527,709
7,453 Fortinet, Inc. (a) 258,545
3,812 Guidewire Software, Inc. (a) 234,324
3,671 Manhattan Associates,
Inc. (a) 213,102
1,616 NetSuite, Inc. (a) 175,902
5,598 Proofpoint, Inc. (a) 424,720
4,345 Splunk, Inc. (a) 271,736
2,406 Tableau Software, Inc.,
Class A (a) 135,963
15,521 Take-Two Interactive
Software, Inc. (a) 623,634
2,824 Tyler Technologies, Inc. (a) 460,368
2,239 Ultimate Software Group
(The), Inc. (a) 468,175
17,848 Zendesk, Inc. (a) 539,723
---------------
5,867,577
---------------
SPECIALTY RETAIL -- 1.5%
8,822 Burlington Stores, Inc. (a) 674,971
16,555 Michaels Cos., (The) Inc. (a) 436,390
1,852 Monro Muffler Brake, Inc. 115,972
---------------
1,227,333
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.8%
3,317 Carter's, Inc. 335,846
11,882 Skechers U.S.A., Inc.,
Class A (a) 285,406
---------------
621,252
---------------
TOBACCO -- 0.1%
5,250 Vector Group Ltd. 115,972
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.8%
12,943 Beacon Roofing Supply,
Inc. (a) $ 608,580
10,141 HD Supply Holdings, Inc. (a) 367,002
3,346 Watsco, Inc. 481,958
---------------
1,457,540
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.3%
3,179 Macquarie Infrastructure
Corp. 243,670
---------------
WATER UTILITIES -- 0.6%
13,203 Aqua America, Inc. 457,352
---------------
TOTAL COMMON STOCKS
-- 100.0% 82,739,656
(Cost $74,380,121) ---------------
MONEY MARKET FUNDS -- 0.9%
709,616 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) 709,616
(Cost $709,616) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.0%
$ 280,995 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $281,001.
Collateralized by U.S.
Treasury Note, interest
rate of 0.875%, due
04/15/17. The value of the
collateral including
accrued interest is
$287,357. (d) 280,995
582,109 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $582,123.
Collateralized by U.S.
Treasury Notes, interest
rates of 1.250% to 1.500%,
due 01/31/19 to 05/31/20.
The value of the collateral
including accrued interest
is $595,610. (d) 582,109
---------------
TOTAL REPURCHASE
AGREEMENTS -- 1.0% 863,104
(Cost $863,104) ---------------
TOTAL INVESTMENTS -- 101.9% 84,312,376
(Cost $75,952,841) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.9)% (1,587,511)
---------------
NET ASSETS -- 100.0% $ 82,724,865
===============
See Notes to Financial Statements Page 93
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $1,560,427 and the total value of the collateral held by the
Fund is $1,572,720.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $75,984,742. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $8,956,328 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $628,694.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
--------------------------------------
Common Stocks* $82,739,656 $ -- $ --
Money Market Funds 709,616 -- --
Repurchase
Agreements -- 863,104 --
--------------------------------------
Total Investments $83,449,272 $ 863,104 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 1,560,427
Non-cash Collateral(2) (1,560,427)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 863,104
Non-cash Collateral(4) (863,104)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 94 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.2%
13,990 AAR Corp. $ 337,998
3,250 Cubic Corp. 132,730
15,263 DigitalGlobe, Inc. (a) 411,491
2,065 KLX, Inc. (a) 66,700
4,846 Moog, Inc., Class A (a) 266,869
---------------
1,215,788
---------------
AIR FREIGHT & LOGISTICS
-- 1.3%
6,305 Atlas Air Worldwide Holdings,
Inc. (a) 272,565
4,317 Forward Air Corp. 199,791
5,008 Hub Group, Inc., Class A (a) 205,027
---------------
677,383
---------------
AIRLINES -- 0.7%
12,340 SkyWest, Inc. 355,022
---------------
AUTO COMPONENTS -- 1.6%
18,037 American Axle & Manufacturing
Holdings, Inc. (a) 314,024
24,733 Dana, Inc. 337,358
4,830 Standard Motor Products, Inc. 202,571
---------------
853,953
---------------
BANKS -- 5.1%
5,935 1st Source Corp. 199,475
2,164 BancFirst Corp. 141,894
3,068 Banner Corp. 128,058
7,138 Berkshire Hills Bancorp, Inc. 188,229
11,086 Boston Private Financial
Holdings, Inc. 134,362
2,873 City Holding Co. 134,169
1,558 Community Bank System, Inc. 68,755
7,439 First Midwest Bancorp, Inc. 138,886
7,358 Hancock Holding Co. 213,309
5,445 Heartland Financial USA, Inc. 199,940
3,053 Hilltop Holdings, Inc. (a) 66,494
7,368 International Bancshares Corp. 202,031
20,845 Old National Bancorp 274,320
2,795 Texas Capital Bancshares,
Inc. (a) 135,669
7,735 Trustmark Corp. 201,884
7,138 United Community Banks, Inc. 137,335
6,190 WesBanco, Inc. 191,395
---------------
2,756,205
---------------
BUILDING PRODUCTS -- 0.4%
4,005 NCI Building Systems,
Inc. (a) 64,961
3,268 Simpson Manufacturing Co.,
Inc. 133,335
---------------
198,296
---------------
CAPITAL MARKETS -- 1.4%
1,584 Cohen & Steers, Inc. 68,270
8,110 Greenhill & Co., Inc. 160,821
19,635 KCG Holdings, Inc.,
Class A (a) 297,078
2,700 Virtus Investment Partners,
Inc. (b) 227,583
---------------
753,752
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
CHEMICALS -- 3.1%
7,872 A. Schulman, Inc. $ 230,728
19,863 Calgon Carbon Corp. 274,109
4,788 Ferro Corp. (a) 62,053
2,966 H.B. Fuller Co. 138,097
7,098 Innospec, Inc. 356,816
3,384 Minerals Technologies, Inc. 220,840
1,466 Quaker Chemical Corp. 140,238
4,388 Stepan Co. 282,192
---------------
1,705,073
---------------
COMMERCIAL SERVICES
& SUPPLIES -- 3.3%
1,757 ABM Industries, Inc. 65,378
3,894 Covanta Holding Corp. 62,382
1,704 G&K Services, Inc., Class A 136,678
6,432 Herman Miller, Inc. 210,777
2,809 HNI Corp. 146,433
12,602 Interface, Inc. 225,072
1,848 Mobile Mini, Inc. 60,078
1,220 MSA Safety, Inc. 68,174
2,059 Multi-Color Corp. 132,970
24,057 Steelcase, Inc., Class A 348,826
2,084 Tetra Tech, Inc. 68,626
2,259 UniFirst Corp. 264,032
---------------
1,789,426
---------------
COMMUNICATIONS EQUIPMENT
-- 1.8%
3,433 ADTRAN, Inc. 62,481
8,221 EchoStar Corp., Class A (a) 320,208
7,457 Finisar Corp. (a) 139,893
19,573 Ixia (a) 225,090
2,745 NETGEAR, Inc. (a) 141,175
1,454 Plantronics, Inc. 70,141
---------------
958,988
---------------
CONSTRUCTION & ENGINEERING
-- 0.6%
2,869 Granite Construction, Inc. 142,819
10,153 Primoris Services Corp. 183,261
---------------
326,080
---------------
CONSTRUCTION MATERIALS
-- 0.3%
6,381 Summit Materials, Inc.,
Class A (a) 141,275
---------------
CONSUMER FINANCE -- 1.6%
5,681 Green Dot Corp., Class A (a) 137,480
9,395 Nelnet, Inc., Class A 379,652
13,526 PRA Group, Inc. (a) 376,835
---------------
893,967
---------------
CONTAINERS & PACKAGING
-- 0.1%
1,720 Greif, Inc., Class A 69,024
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.1%
18,299 DeVry Education Group, Inc. 407,519
10,487 Regis Corp. (a) 140,945
See Notes to Financial Statements Page 95
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
5,508 Weight Watchers
International, Inc. (a) (b) $ 65,710
---------------
614,174
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.6%
1,680 ATN International, Inc. 123,514
21,642 Iridium Communications,
Inc. (a) 194,345
---------------
317,859
---------------
ELECTRIC UTILITIES -- 0.7%
4,066 El Paso Electric Co. 193,867
5,737 Otter Tail Corp. 199,934
---------------
393,801
---------------
ELECTRICAL EQUIPMENT -- 0.7%
8,890 Babcock & Wilcox Enterprises,
Inc. (a) 136,551
7,008 Encore Wire Corp. 263,010
---------------
399,561
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 6.3%
4,901 Anixter International,
Inc. (a) 300,333
19,232 AVX Corp. 262,709
2,163 Belden, Inc. 158,353
15,437 Benchmark Electronics,
Inc. (a) 361,843
1,425 Coherent, Inc. (a) 151,121
2,730 Dolby Laboratories, Inc.,
Class A 137,346
3,195 ePlus, Inc. (a) 268,732
12,558 Insight Enterprises, Inc. (a) 334,043
5,615 Methode Electronics, Inc. 196,694
2,980 MTS Systems Corp. 141,342
4,451 Plexus Corp. (a) 204,479
3,144 Rogers Corp. (a) 215,175
12,176 Sanmina Corp. (a) 308,540
7,041 ScanSource, Inc. (a) 288,892
5,172 Vishay Intertechnology, Inc. 68,943
---------------
3,398,545
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.2%
22,891 Bristow Group, Inc. 247,452
38,907 McDermott International,
Inc. (a) 201,538
3,970 Oil States International,
Inc. (a) 122,752
1,107 SEACOR Holdings, Inc. (a) 62,568
---------------
634,310
---------------
FOOD & STAPLES RETAILING
-- 1.2%
40,718 SUPERVALU, Inc. (a) 198,704
4,106 United Natural Foods,
Inc. (a) 205,218
5,169 Weis Markets, Inc. 267,082
---------------
671,004
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
FOOD PRODUCTS -- 1.5%
17,529 Darling Ingredients, Inc. (a) $ 276,608
10,624 Dean Foods Co. 196,119
3,770 Sanderson Farms, Inc. 330,214
---------------
802,941
---------------
GAS UTILITIES -- 0.5%
2,015 Northwest Natural Gas Co. 130,854
4,131 South Jersey Industries, Inc. 131,696
---------------
262,550
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.2%
804 Analogic Corp. 67,552
1,341 CONMED Corp. 54,498
---------------
122,050
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 2.4%
28,916 Kindred Healthcare, Inc. 354,510
1,985 Magellan Health, Inc. (a) 135,913
4,034 National HealthCare Corp. 260,596
5,821 Providence Service (The)
Corp. (a) 281,562
24,026 Select Medical Holdings
Corp. (a) 276,299
---------------
1,308,880
---------------
HEALTH CARE TECHNOLOGY
-- 0.1%
3,638 HMS Holdings Corp. (a) 72,323
---------------
HOTELS, RESTAURANTS & LEISURE
-- 3.2%
6,472 Belmond Ltd., Class A (a) 74,363
157 Biglari Holdings, Inc. (a) 65,172
3,443 Bob Evans Farms, Inc. 126,634
2,793 Dave & Buster's
Entertainment, Inc. (a) 124,288
11,977 Fiesta Restaurant Group,
Inc. (a) 267,566
2,658 Hyatt Hotels Corp.,
Class A (a) 134,070
7,809 International Speedway Corp.,
Class A 263,710
4,030 Interval Leisure Group, Inc. 72,459
5,619 La Quinta Holdings, Inc. (a) 69,507
1,907 Marriott Vacations Worldwide
Corp. 145,504
6,882 Red Robin Gourmet Burgers,
Inc. (a) 332,814
4,470 SeaWorld Entertainment, Inc. 68,838
---------------
1,744,925
---------------
HOUSEHOLD DURABLES -- 2.7%
5,819 Ethan Allen Interiors, Inc. 202,094
17,172 KB Home 269,600
6,909 La-Z-Boy, Inc. 208,790
7,894 M.D.C. Holdings, Inc. 207,770
8,699 Meritage Homes Corp. (a) 316,557
5,307 TopBuild Corp. (a) 200,392
888 Universal Electronics,
Inc. (a) 68,678
---------------
1,473,881
---------------
Page 96 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 1.2%
18,937 Dynegy, Inc. (a) $ 286,517
20,943 NRG Yield, Inc., Class C 375,717
---------------
662,234
---------------
INSURANCE -- 6.4%
22,909 American Equity Investment
Life Holding Co. 364,940
6,292 Argo Group International
Holdings Ltd. 326,492
11,253 Employers Holdings, Inc. 320,936
3,168 FBL Financial Group, Inc.,
Class A 197,588
24,832 Genworth Financial, Inc.,
Class A (a) 71,019
3,863 Horace Mann Educators Corp. 132,037
2,382 Infinity Property & Casualty
Corp. 195,419
6,202 Kemper Corp. 212,542
26,674 Maiden Holdings Ltd. 372,636
19,120 MBIA, Inc. (a) 161,373
1,670 National Western Life Group,
Inc., Class A 315,864
2,089 Navigators Group (The), Inc. 195,677
2,121 Safety Insurance Group, Inc. 135,108
5,031 Selective Insurance Group,
Inc. 197,014
6,156 United Fire Group, Inc. 258,552
---------------
3,457,197
---------------
INTERNET & CATALOG RETAIL
-- 0.1%
1,374 Shutterfly, Inc. (a) 73,083
---------------
INTERNET SOFTWARE & SERVICES
-- 0.1%
8,565 Bankrate, Inc. (a) 68,263
---------------
IT SERVICES -- 1.3%
5,081 ManTech International Corp.,
Class A 200,750
13,888 NeuStar, Inc., Class A (a) 349,839
6,432 Perficient, Inc. (a) 142,919
---------------
693,508
---------------
LEISURE PRODUCTS -- 0.1%
6,273 Callaway Golf Co. 67,121
---------------
MACHINERY -- 6.1%
8,273 American Railcar Industries,
Inc. 347,549
1,142 Astec Industries, Inc. 68,840
9,858 Barnes Group, Inc. 373,914
12,334 Briggs & Stratton Corp. 280,352
3,271 ESCO Technologies, Inc. 138,527
20,277 Federal Signal Corp. 266,642
3,953 Franklin Electric Co., Inc. 153,060
11,206 Greenbrier (The) Cos.,
Inc. (b) 367,893
4,348 Hillenbrand, Inc. 140,658
2,895 Kennametal, Inc. 71,970
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MACHINERY (CONTINUED)
6,026 Mueller Industries, Inc. $ 205,125
5,611 Mueller Water Products, Inc.,
Class A 66,546
10,017 SPX FLOW, Inc. (a) 273,264
4,398 Sun Hydraulics Corp. 132,820
1,189 Tennant Co. 76,191
25,707 Wabash National Corp. (a) 372,237
---------------
3,335,588
---------------
MEDIA -- 2.4%
23,642 Gannett Co., Inc. 301,672
1,814 Loral Space & Communications,
Inc. (a) 63,726
5,033 Meredith Corp. 274,198
18,068 New Media Investment Group,
Inc. 319,081
8,243 Scholastic Corp. 338,787
---------------
1,297,464
---------------
METALS & MINING -- 0.4%
5,027 Allegheny Technologies, Inc. 89,531
7,729 Commercial Metals Co. 127,838
---------------
217,369
---------------
MULTILINE RETAIL -- 0.4%
3,838 Big Lots, Inc. 204,105
---------------
OIL, GAS & CONSUMABLE FUELS
-- 2.7%
50,385 Alon USA Energy, Inc. 356,222
3,984 CONSOL Energy, Inc. 77,210
24,717 Delek US Holdings, Inc. 309,457
6,623 Green Plains, Inc. 150,210
27,965 Oasis Petroleum, Inc. (a) 212,534
1,969 SemGroup Corp., Class A 57,022
4,835 SM Energy Co. 131,173
4,562 Targa Resources Corp. 169,980
---------------
1,463,808
---------------
PAPER & FOREST PRODUCTS
-- 2.3%
11,380 Boise Cascade Co. (a) 309,195
2,942 Clearwater Paper Corp. (a) 185,081
25,094 KapStone Paper and Packaging
Corp. 358,342
1,804 Neenah Paper, Inc. 136,076
7,405 Schweitzer-Mauduit
International, Inc. 279,983
---------------
1,268,677
---------------
PERSONAL PRODUCTS -- 0.4%
2,241 Inter Parfums, Inc. 72,922
2,830 Nu Skin Enterprises, Inc.,
Class A 151,122
---------------
224,044
---------------
PROFESSIONAL SERVICES -- 2.7%
4,723 FTI Consulting, Inc. (a) 202,333
3,179 Huron Consulting Group,
Inc. (a) 195,413
829 Insperity, Inc. 65,068
See Notes to Financial Statements Page 97
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES
(CONTINUED)
9,285 Korn/Ferry International $ 213,648
20,218 Navigant Consulting, Inc. (a) 398,497
17,254 TrueBlue, Inc. (a) 385,282
---------------
1,460,241
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 7.6%
26,926 Capstead Mortgage Corp. 267,914
28,053 CBL & Associates Properties,
Inc. 344,771
11,233 Chesapeake Lodging Trust 283,858
36,153 DiamondRock Hospitality Co. 355,022
15,663 Franklin Street Properties
Corp. 200,800
10,955 InfraREIT, Inc. 193,465
4,680 Invesco Mortgage Capital,
Inc. 67,392
40,367 Investors Real Estate Trust 267,230
25,836 Lexington Realty Trust 280,837
9,948 Pebblebrook Hotel Trust 294,958
16,093 PennyMac Mortgage
Investment Trust 261,189
18,911 Redwood Trust, Inc. 269,860
10,049 Select Income REIT 278,960
24,659 Summit Hotel Properties, Inc. 349,665
4,179 Tier REIT, Inc. 72,840
19,454 Xenia Hotels & Resorts, Inc. 349,394
---------------
4,138,155
---------------
ROAD & RAIL -- 1.8%
15,018 Heartland Express, Inc. 278,133
16,950 Swift Transportation Co. (a) 326,288
14,214 Werner Enterprises, Inc. 357,056
---------------
961,477
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 2.0%
56,778 Amkor Technology, Inc. (a) 357,134
3,086 Cabot Microelectronics Corp. 162,385
10,228 Diodes, Inc. (a) 189,320
14,193 Intersil Corp., Class A 216,869
1,282 Power Integrations, Inc. 73,164
3,866 Veeco Instruments, Inc. (a) 64,833
---------------
1,063,705
---------------
SOFTWARE -- 0.2%
2,600 Monotype Imaging Holdings,
Inc. 51,454
4,097 Rovi Corp. (a) 77,065
---------------
128,519
---------------
SPECIALTY RETAIL -- 8.5%
14,913 Aaron's, Inc. 357,166
18,330 Abercrombie & Fitch Co.,
Class A 379,614
3,643 Asbury Automotive Group,
Inc. (a) 221,494
9,167 Ascena Retail Group, Inc. (a) 74,528
16,931 Barnes & Noble, Inc. 221,458
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
10,049 Buckle (The), Inc. (b) $ 275,242
10,790 Caleres, Inc. 283,993
5,098 Cato (The) Corp., Class A 182,356
2,399 Children's Place (The), Inc. 200,508
12,334 DSW, Inc., Class A 299,223
22,500 Express, Inc. (a) 336,600
6,470 Finish Line (The), Inc.,
Class A 140,593
5,077 Genesco, Inc. (a) 352,445
5,291 Group 1 Automotive, Inc. 329,735
17,354 Guess?, Inc. 255,451
7,510 Hibbett Sports, Inc. (a) 262,249
6,110 Select Comfort Corp. (a) 145,785
10,681 Vitamin Shoppe, Inc. (a) 312,526
---------------
4,630,966
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.2%
2,139 Cray, Inc. (a) 67,507
13,147 Diebold, Inc. 371,271
10,511 Super Micro Computer,
Inc. (a) 226,512
---------------
665,290
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.5%
4,540 Deckers Outdoor Corp. (a) 299,686
11,444 Fossil Group, Inc. (a) 361,630
6,429 Wolverine World Wide, Inc. 157,446
---------------
818,762
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.6%
17,575 EverBank Financial Corp. 315,647
10,699 Flagstar Bancorp, Inc. (a) 282,561
5,689 Nationstar Mortgage Holdings,
Inc. (a) 71,852
4,320 Northwest Bancshares, Inc. 64,411
37,466 Ocwen Financial Corp. (a) 74,932
4,812 PHH Corp. (a) 70,303
---------------
879,706
---------------
TOBACCO -- 0.6%
5,654 Universal Corp. 335,339
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 2.3%
7,424 GATX Corp. 332,075
4,522 Kaman Corp. 195,170
15,151 Rush Enterprises, Inc.,
Class A (a) 348,170
6,340 WESCO International, Inc. (a) 353,392
---------------
1,228,807
---------------
WATER UTILITIES -- 0.1%
1,834 California Water Service
Group 61,861
---------------
TOTAL COMMON STOCKS
-- 99.9% 54,316,325
(Cost $51,982,612) ---------------
Page 98 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MONEY MARKET FUNDS -- 0.6%
302,561 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) $ 302,561
(Cost $302,561) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.7%
$ 119,809 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $119,811.
Collateralized by U.S.
Treasury Note, interest
rate of 0.875%, due
04/15/17. The value of the
collateral including
accrued interest is
$122,521. (d) 119,809
248,195 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $248,201.
Collateralized by U.S.
Treasury Notes, interest
rates of 1.250% to 1.500%,
due 01/31/19 to 05/31/20.
The value of the collateral
including accrued interest
is $253,952. (d) 248,195
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.7% 368,004
(Cost $368,004) ---------------
TOTAL INVESTMENTS -- 101.2% 54,986,890
(Cost $52,653,177) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.2)% (645,420)
---------------
NET ASSETS -- 100.0% $ 54,341,470
===============
(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 $675,110 and the total value of the collateral held by the
Fund is $670,565.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $52,739,016. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $3,731,955 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $1,484,081.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
--------------------------------------
Common Stocks* $54,316,325 $ -- $ --
Money Market Funds 302,561 -- --
Repurchase
Agreements -- 368,004 --
--------------------------------------
Total Investments $54,618,886 $ 368,004 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Financial Statements Page 99
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 675,110
Non-cash Collateral(2) (670,565)
---------------
Net Amount $ 4,545
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2016, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 368,004
Non-cash Collateral(4) (368,004)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 100 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.8%
18,679 Aerojet Rocketdyne Holdings,
Inc. (a) $ 352,286
13,736 Mercury Systems, Inc. (a) 356,037
10,980 TASER International, Inc. (a) 317,981
---------------
1,026,304
---------------
AIRLINES -- 0.4%
5,296 Hawaiian Holdings, Inc. (a) 241,127
---------------
AUTO COMPONENTS -- 2.0%
4,323 Cooper-Standard Holding,
Inc. (a) 380,640
5,970 Dorman Products, Inc. (a) 380,289
4,024 Drew Industries, Inc. 368,639
---------------
1,129,568
---------------
BANKS -- 9.5%
6,768 Ameris Bancorp 224,427
6,015 BNC Bancorp 145,924
6,075 Brookline Bancorp, Inc. 69,194
2,326 Capital Bank Financial Corp.,
Class A 69,524
5,391 Chemical Financial Corp. 223,080
7,998 Customers Bancorp, Inc. (a) 205,868
2,838 Eagle Bancorp, Inc. (a) 146,299
5,912 FCB Financial Holdings, Inc.,
Class A (a) 206,743
14,847 First Commonwealth Financial
Corp. 143,274
14,045 First Financial Bancorp 299,299
6,130 First Financial Bankshares,
Inc. 209,462
5,478 First Merchants Corp. 143,524
5,138 Glacier Bancorp, Inc. 141,706
8,662 Great Western Bancorp, Inc. 287,319
5,815 Hanmi Financial Corp. 142,584
4,491 Hope Bancorp, Inc. (a) 69,027
2,989 Independent Bank Corp. 150,078
2,905 Lakeland Financial Corp. 149,172
10,152 LegacyTexas Financial Group,
Inc. 289,535
7,020 NBT Bancorp, Inc. 209,336
4,041 Opus Bank 130,443
1,489 Park National Corp. 133,295
2,073 Renasant Corp. 66,792
2,741 S&T Bancorp, Inc. 69,868
5,532 ServisFirst Bancshares, Inc. 280,085
4,352 Simmons First National Corp.,
Class A 199,974
985 South State Corp. 71,816
6,711 State Bank Financial Corp. 146,837
3,093 Tompkins Financial Corp. 224,985
9,285 TowneBank 213,091
5,528 Union Bankshares Corp. 148,371
1,767 Washington Trust Bancorp,
Inc. 67,075
2,671 Yadkin Financial Corp. 67,282
---------------
5,345,289
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
BEVERAGES -- 0.9%
1,363 Coca-Cola Bottling Co.
Consolidated $ 194,105
5,437 National Beverage Corp. (a) 311,866
---------------
505,971
---------------
BIOTECHNOLOGY -- 4.9%
5,916 Acceleron Pharma, Inc. (a) 200,671
5,710 AMAG Pharmaceuticals,
Inc. (a) 151,486
18,483 ARIAD Pharmaceuticals,
Inc. (a) 175,773
43,722 Exelixis, Inc. (a) 401,368
8,258 Five Prime Therapeutics,
Inc. (a) 418,598
2,587 Genomic Health, Inc. (a) 75,101
20,892 Ironwood Pharmaceuticals,
Inc. (a) 295,204
23,796 Lexicon Pharmaceuticals,
Inc. (a) (b) 388,351
8,397 MiMedx Group, Inc. (a) 62,894
6,203 Momenta Pharmaceuticals,
Inc. (a) 69,846
2,838 Portola Pharmaceuticals,
Inc. (a) 73,674
9,545 PTC Therapeutics, Inc. (a) 56,984
2,449 Repligen Corp. (a) 70,041
5,342 Spark Therapeutics, Inc. (a) 309,515
---------------
2,749,506
---------------
BUILDING PRODUCTS -- 3.7%
7,307 AAON, Inc. 193,489
2,059 American Woodmark Corp. (a) 152,840
4,338 Apogee Enterprises, Inc. 202,802
24,282 Builders FirstSource,
Inc. (a) 312,995
16,203 Griffon Corp. 277,719
23,436 Ply Gem Holdings, Inc. (a) 359,977
4,476 Trex Co., Inc. (a) 217,086
3,683 Universal Forest Products,
Inc. 398,206
---------------
2,115,114
---------------
CAPITAL MARKETS -- 0.6%
2,420 Artisan Partners Asset
Management, Inc., Class A 67,663
1,517 Evercore Partners, Inc.,
Class A 76,866
4,035 TPG Specialty Lending, Inc. 70,814
7,588 Virtu Financial, Inc.,
Class A 130,514
---------------
345,857
---------------
CHEMICALS -- 1.2%
1,123 Balchem Corp. 71,726
2,541 Chemtura Corp. (a) 71,377
15,381 Platform Specialty Products
Corp. (a) 141,505
7,954 Trinseo S.A. 396,030
---------------
680,638
---------------
COMMERCIAL SERVICES
& SUPPLIES -- 1.4%
11,251 Knoll, Inc. 284,088
4,909 Matthews International Corp.,
Class A 295,080
4,375 US Ecology, Inc. 198,187
---------------
777,355
---------------
See Notes to Financial Statements Page 101
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT
-- 0.1%
1,203 InterDigital, Inc. $ 71,037
---------------
CONSTRUCTION & ENGINEERING
-- 0.6%
10,483 Comfort Systems USA, Inc. 318,473
---------------
CONSTRUCTION MATERIALS
-- 1.0%
11,206 Headwaters, Inc. (a) 222,887
5,606 US Concrete, Inc. (a) 361,587
---------------
584,474
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.9%
3,422 Grand Canyon Education,
Inc. (a) 143,929
21,598 LifeLock, Inc. (a) 361,335
---------------
505,264
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.9%
74,720 Cincinnati Bell, Inc. (a) 373,600
12,536 Consolidated Communications
Holdings, Inc. 350,381
55,977 Vonage Holdings Corp. (a) 331,944
---------------
1,055,925
---------------
ELECTRIC UTILITIES -- 0.5%
4,833 MGE Energy, Inc. 271,373
---------------
ELECTRICAL EQUIPMENT -- 0.5%
4,555 AZZ, Inc. 282,774
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.5%
4,677 Badger Meter, Inc. 326,174
9,200 Fabrinet (a) 347,392
7,280 II-VI, Inc. (a) 146,328
---------------
819,894
---------------
FOOD & STAPLES RETAILING
-- 0.7%
9,173 Smart & Final Stores,
Inc. (a) 126,496
8,934 SpartanNash Co. 281,421
---------------
407,917
---------------
FOOD PRODUCTS -- 1.1%
5,097 Calavo Growers, Inc. 335,280
7,091 Tootsie Roll Industries,
Inc. (b) 263,289
---------------
598,569
---------------
GAS UTILITIES -- 0.3%
3,037 Chesapeake Utilities Corp. 194,581
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 4.8%
1,419 Abaxis, Inc. 70,184
470 Atrion Corp. 224,096
5,615 Cynosure, Inc., Class A (a) 308,601
2,812 Globus Medical, Inc.,
Class A (a) 64,535
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES (CONTINUED)
1,782 ICU Medical, Inc. (a) $ 208,066
2,215 Insulet Corp. (a) 78,389
6,502 Masimo Corp. (a) 344,411
3,436 Meridian Bioscience, Inc. 66,521
10,137 Merit Medical Systems,
Inc. (a) 237,611
4,629 Nevro Corp. (a) 382,818
12,601 NxStage Medical, Inc. (a) 278,608
6,442 Orthofix International
N.V. (a) 305,351
4,998 Zeltiq Aesthetics, Inc. (a) 169,682
---------------
2,738,873
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 5.6%
6,241 Aceto Corp. 160,456
2,644 Adeptus Health, Inc.,
Class A (a) (b) 117,843
3,812 Air Methods Corp. (a) 126,901
6,764 Amedisys, Inc. (a) 362,212
8,543 AMN Healthcare Services,
Inc. (a) 361,369
6,326 CorVel Corp. (a) 285,935
9,756 Diplomat Pharmacy, Inc. (a) 350,533
9,567 Ensign Group (The), Inc. 205,691
8,990 HealthEquity, Inc. (a) 265,385
7,890 LHC Group, Inc. (a) 357,101
5,539 PharMerica Corp. (a) 147,116
2,049 Premier, Inc., Class A (a) 67,002
7,164 Surgical Care Affiliates,
Inc. (a) 372,600
---------------
3,180,144
---------------
HEALTH CARE TECHNOLOGY
-- 1.1%
7,580 HealthStream, Inc. (a) 183,664
3,720 Inovalon Holdings, Inc.,
Class A (a) 69,266
8,677 Press Ganey Holdings,
Inc. (a) 346,386
---------------
599,316
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.5%
6,232 BJ's Restaurants, Inc. (a) 242,051
5,155 ClubCorp Holdings, Inc. 74,748
18,734 Denny's Corp. (a) 209,072
790 DineEquity, Inc. 64,282
4,017 Papa John's International,
Inc. 297,057
4,803 Penn National Gaming,
Inc. (a) 72,141
2,501 Popeyes Louisiana Kitchen,
Inc. (a) 143,257
2,477 Sonic Corp. 66,656
10,025 Wingstop, Inc. 260,650
---------------
1,429,914
---------------
HOUSEHOLD DURABLES -- 1.4%
3,644 Cavco Industries, Inc. (a) 362,141
5,731 iRobot Corp. (a) 217,319
17,006 TRI Pointe Group, Inc. (a) 228,731
---------------
808,191
---------------
Page 102 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD PRODUCTS -- 1.0%
15,729 Central Garden & Pet Co.,
Class A (a) $ 358,464
1,711 WD-40 Co. 196,731
---------------
555,195
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.9%
6,243 Ormat Technologies, Inc. 284,931
8,750 Pattern Energy Group, Inc. 213,237
---------------
498,168
---------------
INSURANCE -- 1.4%
4,462 AMERISAFE, Inc. 261,161
8,045 James River Group Holdings
Ltd. 270,795
10,818 Universal Insurance Holdings,
Inc. 235,183
---------------
767,139
---------------
INTERNET & CATALOG RETAIL
-- 0.1%
3,062 Liberty TripAdvisor Holdings,
Inc., Class A (a) 72,477
---------------
INTERNET SOFTWARE & SERVICES
-- 5.2%
6,835 2U, Inc. (a) 239,088
5,273 Benefitfocus, Inc. (a) 226,739
7,177 Cornerstone OnDemand,
Inc. (a) 309,975
6,034 Envestnet, Inc. (a) 230,318
8,793 GrubHub, Inc. (a) 333,430
3,169 LogMeIn, Inc. (a) 272,249
12,450 NIC, Inc. 290,334
9,750 Q2 Holdings, Inc. (a) 289,380
3,318 SPS Commerce, Inc. (a) 210,096
767 Stamps.com, Inc. (a) 58,142
3,460 WebMD Health Corp. (a) 211,094
8,998 Yelp, Inc. (a) 289,466
---------------
2,960,311
---------------
IT SERVICES -- 2.4%
8,577 Cardtronics PLC, Class A (a) 377,302
4,987 CSG Systems International,
Inc. 200,777
8,788 EVERTEC, Inc. 151,154
6,516 ExlService Holdings, Inc. (a) 322,607
4,717 Sykes Enterprises, Inc. (a) 144,765
5,034 TeleTech Holdings, Inc. 143,670
---------------
1,340,275
---------------
LEISURE PRODUCTS -- 1.0%
12,562 Smith & Wesson Holding
Corp. (a) 369,951
3,140 Sturm Ruger & Co., Inc. 213,520
---------------
583,471
---------------
SHARES DESCRIPTION VALUE
------------------------------------------------------------
LIFE SCIENCES TOOLS
& SERVICES -- 0.7%
5,280 Cambrex Corp. (a) $ 276,725
6,753 Luminex Corp. (a) 144,717
---------------
421,442
---------------
MACHINERY -- 2.2%
5,034 Albany International Corp.,
Class A 213,089
5,578 John Bean Technologies Corp. 373,280
3,768 RBC Bearings, Inc. (a) 286,481
6,959 Rexnord Corp. (a) 148,157
2,434 Standex International Corp. 216,139
---------------
1,237,146
---------------
MARINE -- 0.1%
2,075 Matson, Inc. 77,543
---------------
MEDIA -- 0.7%
6,176 Gray Television, Inc. (a) 61,142
8,822 National CineMedia, Inc. 137,447
4,224 Nexstar Broadcasting Group,
Inc., Class A 213,523
---------------
412,112
---------------
METALS & MINING -- 0.3%
2,223 Kaiser Aluminum Corp. 184,176
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.1%
1,869 Carrizo Oil & Gas, Inc. (a) 61,303
19,180 Laredo Petroleum, Inc. (a) 192,184
15,494 Rice Energy, Inc. (a) 361,320
---------------
614,807
---------------
PERSONAL PRODUCTS -- 0.4%
4,245 Revlon, Inc., Class A (a) 150,655
602 USANA Health Sciences,
Inc. (a) 82,667
---------------
233,322
---------------
PHARMACEUTICALS -- 1.4%
13,922 Depomed, Inc. (a) 264,100
4,669 Dermira, Inc. (a) 156,692
1,726 Intra-Cellular Therapies,
Inc. (a) 70,421
5,742 Lannett Co., Inc. (a) 179,265
16,070 TherapeuticsMD, Inc. (a) (b) 124,864
---------------
795,342
---------------
PROFESSIONAL SERVICES -- 2.0%
3,858 Advisory Board (The) Co. (a) 161,110
4,678 Exponent, Inc. 237,689
16,424 TriNet Group, Inc. (a) 356,237
5,709 WageWorks, Inc. (a) 352,873
---------------
1,107,909
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 11.7%
7,078 Agree Realty Corp. 358,996
334 Alexander's, Inc. 143,376
3,219 American Assets Trust, Inc. 147,688
8,499 Apollo Commercial Real Estate
Finance, Inc. 138,109
See Notes to Financial Statements Page 103
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS
(CONTINUED)
6,215 Chatham Lodging Trust $ 149,036
13,133 Cousins Properties, Inc. 139,735
16,319 CYS Investments, Inc. 146,055
2,917 EastGroup Properties, Inc. 214,750
17,180 Global Net Lease, Inc. 149,981
11,845 Government Properties Income
Trust 282,622
6,323 Hannon Armstrong Sustainable
Infrastructure Capital,
Inc. 142,204
3,907 Hersha Hospitality Trust 73,842
14,243 iStar, Inc. (a) 147,558
5,280 LTC Properties, Inc. 282,638
10,118 Mack-Cali Realty Corp. 285,328
19,688 Monogram Residential Trust,
Inc. 210,859
18,822 New Senior Investment Group,
Inc. 225,676
3,124 Pennsylvania Real Estate
Investment Trust 79,475
16,252 Physicians Realty Trust 352,993
6,099 QTS Realty Trust, Inc.,
Class A 349,168
13,931 Ramco-Gershenson Properties
Trust 276,391
12,606 Retail Opportunity
Investments Corp. 287,795
16,190 Rexford Industrial Realty,
Inc. 370,103
3,246 Sabra Health Care REIT, Inc. 77,612
4,426 Saul Centers, Inc. 297,294
11,472 STAG Industrial, Inc. 291,159
10,560 Terreno Realty Corp. 294,096
2,388 Universal Health Realty
Income Trust 142,492
6,390 Washington Real Estate
Investment Trust 219,113
24,412 WP Glimcher, Inc. 309,544
---------------
6,585,688
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.5%
4,729 HFF, Inc., Class A 133,405
2,638 Marcus & Millichap, Inc. (a) 70,672
3,781 St. Joe (The) Co. (a) 69,684
---------------
273,761
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 3.7%
7,197 Advanced Energy Industries,
Inc. (a) 293,062
66,433 Advanced Micro Devices,
Inc. (a) 455,730
1,319 Ambarella, Inc. (a) 76,476
13,893 Entegris, Inc. (a) 237,431
8,529 Inphi Corp. (a) 300,050
18,992 MaxLinear, Inc., Class A (a) 414,215
SHARES DESCRIPTION VALUE
------------------------------------------------------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
(CONTINUED)
6,345 MKS Instruments, Inc. $ 289,840
---------------
2,066,804
---------------
SOFTWARE -- 7.0%
23,371 8x8, Inc. (a) 321,351
6,658 BroadSoft, Inc. (a) 298,478
13,672 Callidus Software, Inc. (a) 280,686
7,129 Ebix, Inc. 380,118
3,153 Fleetmatics Group PLC (a) 135,453
9,133 Gigamon, Inc. (a) 426,694
1,542 HubSpot, Inc. (a) 84,178
10,715 Infoblox, Inc. (a) 200,585
382 MicroStrategy, Inc.,
Class A (a) 66,808
7,902 Paycom Software, Inc. (a) 373,054
7,903 Paylocity Holding Corp. (a) 352,790
10,136 Pegasystems, Inc. 282,794
4,582 Qualys, Inc. (a) 143,829
12,234 RealPage, Inc. (a) 307,685
10,194 RingCentral, Inc.,
Class A (a) 234,768
2,103 Synchronoss Technologies,
Inc. (a) 78,526
---------------
3,967,797
---------------
SPECIALTY RETAIL -- 1.5%
7,357 Five Below, Inc. (a) 375,281
6,063 Francesca's Holdings
Corp. (a) 77,061
943 Lithia Motors, Inc., Class A 81,371
17,176 Tile Shop Holdings, Inc. (a) 292,851
---------------
826,564
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.3%
5,268 Beneficial Bancorp, Inc. 71,434
3,783 BofI Holding, Inc. (a) (b) 63,630
14,410 Capitol Federal Financial,
Inc. 204,190
6,262 Essent Group Ltd. (a) 150,037
5,327 Kearny Financial Corp. 69,358
2,276 LendingTree, Inc. (a) (b) 229,830
13,600 Meridian Bancorp, Inc. 199,920
3,411 Provident Financial Services,
Inc. 68,732
2,940 Walker & Dunlop, Inc. (a) 69,590
4,244 WSFS Financial Corp. 149,346
---------------
1,276,067
---------------
WATER UTILITIES -- 0.9%
4,587 American States Water Co. 198,159
6,937 SJW Corp. 293,851
---------------
492,010
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.6%
8,742 Shenandoah
Telecommunications Co. 359,121
---------------
TOTAL COMMON STOCKS
-- 100.0% 56,492,095
(Cost $49,069,898) ---------------
Page 104 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
MONEY MARKET FUNDS -- 0.4%
223,991 Goldman Sachs Financial
Square Treasury Obligations
Fund - Institutional Class
- 0.23% (c) (d) $ 223,991
(Cost $223,991) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.5%
$ 88,696 JPMorgan Chase & Co.,
0.26% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $88,698.
Collateralized by U.S.
Treasury Note, interest
rate of 0.875%, due
04/15/17. The value of the
collateral including
accrued interest is
$90,704. (d) 88,696
183,743 RBC Capital Markets LLC,
0.30% (c), dated 07/29/16,
due 08/01/16, with a
maturity value of $183,748.
Collateralized by U.S.
Treasury Notes, interest
rates of 1.250% to 1.500%,
due 01/31/19 to 05/31/20.
The value of the collateral
including accrued interest
is $188,005. (d) 183,743
---------------
TOTAL REPURCHASE
AGREEMENTS -- 0.5% 272,439
(Cost $272,439) ---------------
TOTAL INVESTMENTS -- 100.9% 56,988,525
(Cost $49,566,328) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (486,929)
---------------
NET ASSETS -- 100.0% $ 56,501,596
===============
(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 $481,835 and the total value of the collateral held by the
Fund is $496,430.
(c) Interest rate shown reflects yield as of July 31, 2016.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $49,636,353. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $7,661,268 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $309,096.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
--------------------------------------
Common Stocks* $56,492,095 $ -- $ --
Money Market Funds 223,991 -- --
Repurchase
Agreements -- 272,439 --
--------------------------------------
Total Investments $56,716,086 $ 272,439 $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Financial Statements Page 105
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
-----------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 481,835
Non-cash Collateral(2) (481,835)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2016, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 272,439
Non-cash Collateral(4) (272,439)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2016, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 106 See Notes to Financial Statements
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 4.0%
836 Honeywell International, Inc. $ 97,252
1,959 Lockheed Martin Corp. 495,098
---------------
592,350
---------------
AIR FREIGHT & LOGISTICS
-- 0.7%
903 United Parcel Service, Inc.,
Class B 97,614
---------------
AUTOMOBILES -- 6.3%
30,941 Ford Motor Co. 391,713
17,179 General Motors Co. 541,826
---------------
933,539
---------------
BANKS -- 8.2%
29,309 Bank of America Corp. 424,688
9,175 Citigroup, Inc. 401,957
4,694 JPMorgan Chase & Co. 300,275
2,054 Wells Fargo & Co. 98,530
---------------
1,225,450
---------------
BIOTECHNOLOGY -- 5.4%
639 Amgen, Inc. 109,927
804 Biogen, Inc. (a) 233,104
5,828 Gilead Sciences, Inc. 463,151
---------------
806,182
---------------
CAPITAL MARKETS -- 2.2%
11,228 Morgan Stanley 322,580
---------------
COMMUNICATIONS EQUIPMENT
-- 2.8%
13,556 Cisco Systems, Inc. 413,865
---------------
DIVERSIFIED FINANCIAL
SERVICES -- 1.9%
2,015 Berkshire Hathaway, Inc.,
Class B (a) 290,704
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 5.9%
11,251 AT&T, Inc. 487,056
6,965 Verizon Communications, Inc. 385,930
---------------
872,986
---------------
ELECTRIC UTILITIES -- 3.9%
3,400 Duke Energy Corp. 291,006
1,491 NextEra Energy, Inc. 191,280
1,813 Southern (The) Co. 96,996
---------------
579,282
---------------
FOOD & STAPLES RETAILING
-- 2.6%
5,326 Wal-Mart Stores, Inc. 388,638
---------------
FOOD PRODUCTS -- 3.2%
10,683 Mondelez International, Inc.,
Class A 469,838
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 7.4%
2,888 Danaher Corp. 235,199
5,603 Medtronic PLC 490,991
SHARES DESCRIPTION VALUE
------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES (CONTINUED)
3,246 Stryker Corp. $ 377,445
---------------
1,103,635
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 5.8%
2,388 Aetna, Inc. 275,121
1,283 Express Scripts Holding
Co. (a) 97,598
3,443 UnitedHealth Group, Inc. 493,038
---------------
865,757
---------------
INSURANCE -- 2.6%
1,488 Chubb Ltd. 186,387
4,882 MetLife, Inc. 208,657
---------------
395,044
---------------
INTERNET & CATALOG RETAIL
-- 3.5%
679 Amazon.com, Inc. (a) 515,232
---------------
INTERNET SOFTWARE & SERVICES
-- 0.7%
851 Facebook, Inc., Class A (a) 105,473
---------------
IT SERVICES -- 0.7%
641 International Business
Machines Corp. 102,957
---------------
MEDIA -- 4.7%
5,966 Comcast Corp., Class A 401,213
2,644 Time Warner, Inc. 202,663
994 Walt Disney (The) Co. 95,374
---------------
699,250
---------------
OIL, GAS & CONSUMABLE FUELS
-- 5.6%
1,855 Chevron Corp. 190,100
2,075 Exxon Mobil Corp. 184,571
6,128 Phillips 66 466,096
---------------
840,767
---------------
PHARMACEUTICALS -- 1.3%
1,603 Johnson & Johnson 200,744
---------------
REAL ESTATE INVESTMENT TRUSTS
-- 2.7%
3,423 American Tower Corp. 396,281
---------------
ROAD & RAIL -- 1.4%
2,229 Union Pacific Corp. 207,408
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT
-- 6.5%
14,822 Intel Corp. 516,695
5,445 QUALCOMM, Inc. 340,748
1,552 Texas Instruments, Inc. 108,252
---------------
965,695
---------------
SPECIALTY RETAIL -- 3.4%
3,684 Lowe's Cos., Inc. 303,120
2,518 TJX (The) Cos., Inc. 205,771
---------------
508,891
---------------
See Notes to Financial Statements Page 107
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016
SHARES DESCRIPTION VALUE
------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 2.8%
4,068 Apple, Inc. $ 423,926
---------------
TOBACCO -- 3.7%
4,230 Altria Group, Inc. 286,371
5,409 Reynolds American, Inc. 270,775
---------------
557,146
---------------
TOTAL INVESTMENTS -- 99.9% 14,881,234
(Cost $14,228,599) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 16,204
---------------
NET ASSETS -- 100.0% $ 14,897,438
===============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $14,242,119. As of July
31, 2016, the aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost was $877,204 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $238,089.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
Level 1 - Quoted Prices
Level 2 - Other Significant Observable Inputs
Level 3 - Significant Unobservable Inputs
LEVEL 1 LEVEL 2 LEVEL 3
--------------------------------------
Common Stocks* $14,881,234 $ -- $ --
======================================
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
Page 108 See Notes to Financial Statements
This page is intentionally left blank.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2016
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX) (FYX)
---------------- ---------------- ----------------
ASSETS:
Investments, at value............................................... $ 1,513,101,125 $ 655,307,921 $ 455,946,345
Cash................................................................ 751,025 -- --
Receivables:
Investment securities sold.................................... 11,727,504 -- --
Dividends..................................................... 1,254,440 331,610 218,375
Securities lending income..................................... 7,955 20,976 31,143
Interest...................................................... -- 27 22
Prepaid expenses.................................................... 8,055 3,950 3,314
---------------- ---------------- ----------------
TOTAL ASSETS.................................................. 1,526,850,104 655,664,484 456,199,199
---------------- ---------------- ----------------
LIABILITIES:
Due to custodian.................................................... -- -- 8,742
Payables:
Capital shares redeemed....................................... 11,724,792 -- --
Investment advisory fees...................................... 646,926 267,550 182,842
Collateral for securities on loan............................. 7,634,466 11,007,242 13,199,701
Licensing fees................................................ 150,070 57,653 36,688
Printing fees................................................. 72,692 39,375 28,905
Audit and tax fees............................................ 25,525 25,525 25,525
Trustees' fees................................................ 1,055 805 767
Other liabilities................................................... 253,573 122,096 89,312
---------------- ---------------- ----------------
TOTAL LIABILITIES............................................. 20,509,099 11,520,246 13,572,482
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 1,506,341,005 $ 644,144,238 $ 442,626,717
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 1,601,163,875 $ 761,509,894 $ 549,574,308
Par value........................................................... 321,000 122,000 90,500
Accumulated net investment income (loss)............................ 1,362,972 693,958 432,402
Accumulated net realized gain (loss) on investments................. (207,509,918) (165,986,078) (157,258,128)
Net unrealized appreciation (depreciation) on investments........... 111,003,076 47,804,464 49,787,635
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 1,506,341,005 $ 644,144,238 $ 442,626,717
================ ================ ================
NET ASSET VALUE, per share.......................................... $ 46.93 $ 52.80 $ 48.91
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 32,100,002 12,200,002 9,050,002
================ ================ ================
Investments, at cost................................................ $ 1,402,098,049 $ 607,503,457 $ 406,158,710
================ ================ ================
Securities on loan, at value........................................ $ 7,611,347 $ 10,930,169 $ 13,065,305
================ ================ ================
Page 110 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE MID CAP GROWTH
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FTA) (FTC) (FAB) (FAD) (FNK) (FNY)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 834,801,483 $ 619,550,807 $ 104,147,333 $ 85,946,860 $ 47,677,189 $ 84,312,376
-- 161,897 -- -- 52,681 --
-- -- -- -- -- --
716,702 419,562 75,025 45,414 27,295 34,029
3,408 3,547 1,061 1,917 609 3,200
66 -- 7 8 -- --
3,963 3,389 2,189 2,307 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
835,525,622 620,139,202 104,225,615 85,996,506 47,757,774 84,349,605
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
-- -- -- -- -- 4,610
-- -- -- -- -- --
347,458 265,336 43,096 27,813 27,210 47,410
3,630,397 949,000 825,757 620,648 574,073 1,572,720
76,608 57,280 5,065 3,497 -- --
44,154 33,137 7,228 6,688 -- --
25,525 25,525 25,525 25,525 -- --
836 801 715 711 -- --
144,187 109,786 22,499 18,350 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
4,269,165 1,440,865 929,885 703,232 601,283 1,624,740
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 831,256,457 $ 618,698,337 $ 103,295,730 $ 85,293,274 $ 47,156,491 $ 82,724,865
================ ================ ================ ================ ================ ================
$ 996,736,455 $ 652,177,768 $ 139,204,330 $ 100,710,463 $ 59,215,324 $ 95,362,081
198,000 120,000 23,000 16,000 16,000 26,500
1,007,759 226,809 145,530 33,218 56,645 56,940
(193,439,889) (100,252,115) (40,113,952) (26,360,329) (13,177,238) (21,080,191)
26,754,132 66,425,875 4,036,822 10,893,922 1,045,760 8,359,535
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 831,256,457 $ 618,698,337 $ 103,295,730 $ 85,293,274 $ 47,156,491 $ 82,724,865
================ ================ ================ ================ ================ ================
$ 41.98 $ 51.56 $ 44.91 $ 53.31 $ 29.47 $ 31.22
================ ================ ================ ================ ================ ================
19,800,002 12,000,002 2,300,002 1,600,002 1,600,002 2,650,002
================ ================ ================ ================ ================ ================
$ 808,047,351 $ 553,124,932 $ 100,110,511 $ 75,052,938 $ 46,631,429 $ 75,952,841
================ ================ ================ ================ ================ ================
$ 3,635,971 $ 932,100 $ 823,137 $ 612,307 $ 571,979 $ 1,560,427
================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 111
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 2016
FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FYT) (FYC) (FMK)
---------------- ---------------- ----------------
ASSETS:
Investments, at value............................................... $ 54,986,890 $ 56,988,525 $ 14,881,234
Cash................................................................ 22,479 17,876 2,211
Receivables:
Investment securities sold.................................... -- -- --
Dividends..................................................... 30,697 20,631 23,408
Securities lending income..................................... 1,433 2,898 --
Interest...................................................... -- -- --
Prepaid expenses.................................................... -- -- --
---------------- ---------------- ----------------
TOTAL ASSETS.................................................. 55,041,499 57,029,930 14,906,853
---------------- ---------------- ----------------
LIABILITIES:
Due to custodian.................................................... -- -- --
Payables:
Capital shares redeemed....................................... -- -- --
Investment advisory fees...................................... 29,464 31,904 9,415
Collateral for securities on loan............................. 670,565 496,430 --
Licensing fees................................................ -- -- --
Printing fees................................................. -- -- --
Audit and tax fees............................................ -- -- --
Trustees' fees................................................ -- -- --
Other liabilities................................................... -- -- --
---------------- ---------------- ----------------
TOTAL LIABILITIES............................................. 700,029 528,334 9,415
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 54,341,470 $ 56,501,596 $ 14,897,438
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 71,605,337 $ 68,986,183 $ 18,001,664
Par value........................................................... 18,000 17,000 5,500
Accumulated net investment income (loss)............................ 61,097 19,721 26,886
Accumulated net realized gain (loss) on investments................. (19,676,677) (19,943,505) (3,789,247)
Net unrealized appreciation (depreciation) on investments........... 2,333,713 7,422,197 652,635
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 54,341,470 $ 56,501,596 $ 14,897,438
================ ================ ================
NET ASSET VALUE, per share.......................................... $ 30.19 $ 33.24 $ 27.09
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 1,800,002 1,700,002 550,002
================ ================ ================
Investments, at cost................................................ $ 52,653,177 $ 49,566,328 $ 14,228,599
================ ================ ================
Securities on loan, at value........................................ $ 675,110 $ 481,835 $ --
================ ================ ================
Page 112 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2016
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX) (FYX)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends............................................................. $ 33,097,645 $ 12,347,940 $ 6,747,145
Securities lending income (net of fees)............................... 15,133 462,135 845,321
Interest.............................................................. 684 821 557
Foreign tax withholding............................................... -- (3,739) (4,198)
---------------- ---------------- ----------------
Total investment income......................................... 33,113,462 12,807,157 7,588,825
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees.............................................. 8,106,246 3,718,893 2,544,170
Accounting and administration fees.................................... 728,144 361,841 252,652
Licensing fees........................................................ 502,313 239,072 168,589
Custodian fees........................................................ 195,010 137,448 117,388
Printing fees......................................................... 160,729 86,560 63,990
Transfer agent fees................................................... 65,531 37,189 25,442
Legal fees............................................................ 53,623 23,588 17,199
Audit and tax fees.................................................... 23,636 23,636 23,636
Trustees' fees and expenses........................................... 16,557 11,343 9,953
Listing fees.......................................................... 10,861 9,409 8,407
Registration and filing fees.......................................... (24,737) (10,164) (10,122)
Other expenses........................................................ 42,353 23,390 16,726
---------------- ---------------- ----------------
Total expenses.................................................. 9,880,266 4,662,205 3,238,030
Less fees waived and expenses reimbursed by the investment
advisor...................................................... -- -- --
---------------- ---------------- ----------------
Net expenses.................................................... 9,880,266 4,662,205 3,238,030
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS).......................................... 23,233,196 8,144,952 4,350,795
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................................... (110,461,408) (80,514,569) (84,311,787)
In-kind redemptions............................................. 95,191,884 38,009,054 27,736,696
---------------- ---------------- ----------------
Net realized gain (loss).............................................. (15,269,524) (42,505,515) (56,575,091)
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments... 12,871,561 (171,616) 28,813,288
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................... (2,397,963) (42,677,131) (27,761,803)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................... $ 20,835,233 $ (34,532,179) $ (23,411,008)
================ ================ ================
See Notes to Financial Statements Page 113
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED JULY 31, 2016
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FTA) (FTC) (FAB)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends............................................................. $ 23,842,837 $ 8,894,682 $ 2,856,698
Securities lending income (net of fees)............................... 9,392 6,904 2,390
Interest.............................................................. 1,052 121 175
Foreign tax withholding............................................... -- -- (607)
---------------- ---------------- ----------------
Total investment income......................................... 23,853,281 8,901,707 2,858,656
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees.............................................. 4,553,382 3,281,026 625,892
Accounting and administration fees.................................... 439,296 320,933 71,850
Licensing fees........................................................ 289,141 212,800 53,492
Custodian fees........................................................ 117,453 84,789 24,402
Printing fees......................................................... 91,453 74,627 15,646
Transfer agent fees................................................... 44,991 32,810 6,259
Legal fees............................................................ 27,229 20,520 4,050
Audit and tax fees.................................................... 23,636 23,636 23,636
Trustees' fees and expenses........................................... 12,249 10,642 7,372
Listing fees.......................................................... 10,861 9,408 11,411
Registration and filing fees.......................................... (14,535) (5,455) (2,637)
Other expenses........................................................ 28,833 16,590 6,580
---------------- ---------------- ----------------
Total expenses.................................................. 5,623,989 4,082,326 847,953
Less fees waived and expenses reimbursed by the investment
advisor...................................................... -- -- --
---------------- ---------------- ----------------
Net expenses.................................................... 5,623,989 4,082,326 847,953
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS).......................................... 18,229,292 4,819,381 2,010,703
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................................... (93,319,619) (50,192,435) (18,735,408)
In-kind redemptions............................................. 15,510,695 71,582,497 (93,595)
---------------- ---------------- ----------------
Net realized gain (loss).............................................. (77,808,924) 21,390,062 (18,829,003)
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments... 57,696,381 (8,534,955) 10,608,894
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................... (20,112,543) 12,855,107 (8,220,109)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................... $ (1,883,251) $ 17,674,488 $ (6,209,406)
================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
Statements).
Page 114 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP FIRST TRUST
GROWTH VALUE GROWTH VALUE GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FAD) (FNK) (FNY) (FYT) (FYC) (FMK)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,111,005 $ 1,055,205 $ 962,478 $ 811,433 $ 653,894 $ 390,699
4,873 32,804 41,264 3,038 6,970 --
112 -- -- -- -- --
(80) (380) (239) (716) -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,115,910 1,087,629 1,003,503 813,755 660,864 390,699
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
466,567 348,060 (a) 667,117 (a) 357,831 (a) 452,053 (a) 114,252 (a)
55,215 -- -- -- -- --
44,278 -- -- -- -- --
19,133 -- -- -- -- --
14,887 -- -- -- -- --
4,666 -- -- -- -- --
2,495 -- -- -- -- --
23,636 -- -- -- -- --
7,208 -- -- -- -- --
11,006 -- -- -- -- --
(117) -- -- -- -- --
4,780 -- -- -- -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
653,754 348,060 667,117 357,831 452,053 114,252
(561) -- -- -- -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
653,193 348,060 667,117 357,831 452,053 114,252
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
462,717 739,569 336,386 455,924 208,811 276,447
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(8,890,920) (9,104,708) (12,883,544) (13,454,649) (11,508,038) (1,431,163)
7,908,386 1,360,699 8,598,020 2,665,847 7,036,545 1,211,271
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(982,534) (7,744,009) (4,285,524) (10,788,802) (4,471,493) (219,892)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
785,668 5,496,990 (2,084,750) 8,928,504 180,422 (195,421)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(196,866) (2,247,019) (6,370,274) (1,860,298) (4,291,071) (415,313)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 265,851 $ (1,507,450) $ (6,033,888) $ (1,404,374) $ (4,082,260) $ (138,866)
================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 115
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX)
------------------------------------ ------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
7/31/2016 7/31/2015 7/31/2016 7/31/2015
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)......................... $ 23,233,196 $ 20,337,672 $ 8,144,952 $ 8,849,947
Net realized gain (loss)............................. (15,269,524) 65,987,776 (42,505,515) 26,563,931
Net change in unrealized appreciation
(depreciation).................................... 12,871,561 22,668,735 (171,616) 1,230,195
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations................................... 20,835,233 108,994,183 (34,532,179) 36,644,073
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................ (22,823,931) (20,028,256) (7,755,496) (8,693,486)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................ 360,719,580 1,308,357,788 118,232,591 380,892,336
Cost of shares redeemed.............................. (784,813,444) (616,442,267) (448,752,652) (252,985,305)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions..................... (424,093,864) 691,915,521 (330,520,061) 127,907,031
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets.............. (426,082,562) 780,881,448 (372,807,736) 155,857,618
NET ASSETS:
Beginning of period.................................. 1,932,423,567 1,151,542,119 1,016,951,974 861,094,356
--------------- --------------- --------------- ---------------
End of period........................................ $ 1,506,341,005 $ 1,932,423,567 $ 644,144,238 $ 1,016,951,974
=============== =============== =============== ===============
Accumulated net investment income (loss)
at end of period.................................. $ 1,362,972 $ 951,349 $ 693,958 $ 297,557
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.............. 42,050,002 26,650,002 19,200,002 17,000,002
Shares sold.......................................... 8,100,000 28,800,000 2,350,000 7,050,000
Shares redeemed...................................... (18,050,000) (13,400,000) (9,350,000) (4,850,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period.................... 32,100,002 42,050,002 12,200,002 19,200,002
=============== =============== =============== ===============
Page 116 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FYX) (FTA) (FTC) (FAB)
------------------------------- ------------------------------- ------------------------------- -------------------------------
For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year
Ended Ended Ended Ended Ended Ended Ended Ended
7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 4,350,795 $ 4,547,990 $ 18,229,292 $ 21,475,987 $ 4,819,381 $ 3,387,517 $ 2,010,703 $ 2,604,789
(56,575,091) 8,797,083 (77,808,924) 53,998,362 21,390,062 19,423,285 (18,829,003) 6,158,735
28,813,288 11,325,066 57,696,381 (77,570,887) (8,534,955) 53,218,109 10,608,894 (10,980,973)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(23,411,008) 24,670,139 (1,883,251) (2,096,538) 17,674,488 76,028,911 (6,209,406) (2,217,449)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(4,081,541) (4,451,731) (18,294,192) (21,473,202) (4,618,806) (3,360,670) (1,983,056) (2,607,591)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
67,117,666 358,071,930 75,101,924 1,002,793,376 516,977,365 436,368,800 12,659,650 137,296,874
(298,880,828) (196,957,460) (405,415,052) (819,084,676) (593,100,019) (131,564,680) (98,058,016) (111,571,399)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(231,763,162) 161,114,470 (330,313,128) 183,708,700 (76,122,654) 304,804,120 (85,398,366) 25,725,475
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(259,255,711) 181,332,878 (350,490,571) 160,138,960 (63,066,972) 377,472,361 (93,590,828) 20,900,435
701,882,428 520,549,550 1,181,747,028 1,021,608,068 681,765,309 304,292,948 196,886,558 175,986,123
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 442,626,717 $ 701,882,428 $ 831,256,457 $1,181,747,028 $ 618,698,337 $ 681,765,309 $ 103,295,730 $ 196,886,558
============== ============== ============== ============== ============== ============== ============== ==============
$ 432,402 $ 159,294 $ 1,007,759 $ 1,072,659 $ 226,809 $ 24,632 $ 145,530 $ 117,883
============== ============== ============== ============== ============== ============== ============== ==============
14,550,002 11,300,002 28,400,002 24,050,002 13,650,002 7,100,002 4,400,002 3,850,002
1,450,000 7,200,000 1,900,000 23,300,000 10,650,000 9,300,000 300,000 2,950,000
(6,950,000) (3,950,000) (10,500,000) (18,950,000) (12,300,000) (2,750,000) (2,400,000) (2,400,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
9,050,002 14,550,002 19,800,002 28,400,002 12,000,002 13,650,002 2,300,002 4,400,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 117
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
MULTI CAP GROWTH MID CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FAD) (FNK)
------------------------------------ ------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
7/31/2016 7/31/2015 7/31/2016 7/31/2015
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)......................... $ 462,717 $ 348,838 $ 739,569 $ 941,157
Net realized gain (loss)............................. (982,534) 4,513,518 (7,744,009) 307,815
Net change in unrealized appreciation
(depreciation).................................... 785,668 6,006,422 5,496,990 (2,241,372)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations................................... 265,851 10,868,778 (1,507,450) (992,400)
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................ (428,710) (360,300) (728,316) (931,865)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................ 62,083,079 69,661,337 26,848,523 30,751,492
Cost of shares redeemed.............................. (67,906,113) (49,952,550) (52,845,363) (54,611,356)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions..................... (5,823,034) 19,708,787 (25,996,840) (23,859,864)
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets.............. (5,985,893) 30,217,265 (28,232,606) (25,784,129)
NET ASSETS:
Beginning of period.................................. 91,279,167 61,061,902 75,389,097 101,173,226
--------------- --------------- --------------- ---------------
End of period........................................ $ 85,293,274 $ 91,279,167 $ 47,156,491 $ 75,389,097
=============== =============== =============== ===============
Accumulated net investment income (loss)
at end of period.................................. $ 33,218 $ -- $ 56,645 $ 45,244
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.............. 1,750,002 1,350,002 2,550,002 3,350,002
Shares sold.......................................... 1,250,000 1,400,000 950,000 1,000,000
Shares redeemed...................................... (1,400,000) (1,000,000) (1,900,000) (1,800,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period.................... 1,600,002 1,750,002 1,600,002 2,550,002
=============== =============== =============== ===============
Page 118 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FNY) (FYT) (FYC) (FMK)
------------------------------- ------------------------------- ------------------------------- -------------------------------
For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year
Ended Ended Ended Ended Ended Ended Ended Ended
7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 336,386 $ 310,990 $ 455,924 $ 611,454 $ 208,811 $ 39,943 $ 276,447 $ 235,617
(4,285,524) 68,646 (10,788,802) 1,319,785 (4,471,493) (1,453,510) (219,892) 998,668
(2,084,750) 8,532,300 8,928,504 (3,567,066) 180,422 6,782,813 (195,421) (81,912)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(6,033,888) 8,911,936 (1,404,374) (1,635,827) (4,082,260) 5,369,246 (138,866) 1,152,373
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(299,960) (338,555) (405,321) (624,290) (173,635) (34,135) (262,771) (239,441)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
61,500,779 90,321,466 34,468,378 56,706,307 45,751,871 70,180,467 11,625,854 19,813,751
(86,714,895) (26,044,308) (50,807,784) (44,065,997) (73,486,039) (20,581,155) (14,190,560) (15,980,041)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(25,214,116) 64,277,158 (16,339,406) 12,640,310 (27,734,168) 49,599,312 (2,564,706) 3,833,710
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(31,547,964) 72,850,539 (18,149,101) 10,380,193 (31,990,063) 54,934,423 (2,966,343) 4,746,642
114,272,829 41,422,290 72,490,571 62,110,378 88,491,659 33,557,236 17,863,781 13,117,139
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 82,724,865 $ 114,272,829 $ 54,341,470 $ 72,490,571 $ 56,501,596 $ 88,491,659 $ 14,897,438 $ 17,863,781
============== ============== ============== ============== ============== ============== ============== ==============
$ 56,940 $ -- $ 61,097 $ 10,494 $ 19,721 $ -- $ 26,886 $ 13,210
============== ============== ============== ============== ============== ============== ============== ==============
3,650,002 1,500,002 2,400,002 2,000,002 2,750,002 1,200,002 650,002 500,002
2,100,000 3,000,000 1,200,000 1,750,000 1,500,000 2,250,000 450,000 750,000
(3,100,000) (850,000) (1,800,000) (1,350,000) (2,550,000) (700,000) (550,000) (600,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
2,650,002 3,650,002 1,800,002 2,400,002 1,700,002 2,750,002 550,002 650,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 119
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 45.96 $ 43.21 $ 37.10 $ 28.66 $ 28.38
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.64 0.57 0.49 0.48 0.35
Net realized and unrealized gain (loss) 0.95 2.75 6.10 8.45 0.26
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.59 3.32 6.59 8.93 0.61
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.62) (0.57) (0.48) (0.49) (0.33)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 46.93 $ 45.96 $ 43.21 $ 37.10 $ 28.66
========== ========== ========== ========== ==========
TOTAL RETURN (a) 3.59% 7.67% 17.83% 31.41% 2.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,506,341 $1,932,424 $1,151,542 $ 500,829 $ 326,690
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.64% 0.66% 0.70%
Ratio of net expenses to average net assets 0.61% 0.61% 0.64% 0.66% 0.70%
Ratio of net investment income (loss) to
average net assets 1.43% 1.25% 1.25% 1.47% 1.27%
Portfolio turnover rate (b) 109% 91% 78% 78% 95%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 52.97 $ 50.65 $ 44.95 $ 34.19 $ 34.17
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.56 0.51 0.31 0.42 0.21
Net realized and unrealized gain (loss) (0.21) 2.31 5.75 10.71 0.01
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.35 2.82 6.06 11.13 0.22
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.52) (0.50) (0.36) (0.37) (0.20)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 52.80 $ 52.97 $ 50.65 $ 44.95 $ 34.19
========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.76% 5.55% 13.49% 32.71% 0.66%
RATIOS/SUPPLEMENTAL DATA: $ 644,144 $1,016,952 $ 861,094 $ 485,456 $ 294,075
Net assets, end of period (in 000's)
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.62% 0.64% 0.66% 0.70%
Ratio of net expenses to average net assets 0.63% 0.62% 0.64% 0.66% 0.70%
Ratio of net investment income (loss) to
average net assets 1.10% 0.97% 0.64% 1.04% 0.63%
Portfolio turnover rate (b) 126% 102% 81% 81% 94%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 120 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 48.24 $ 46.07 $ 42.20 $ 31.20 $ 30.93
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.39 0.35 0.22 0.34 0.17
Net realized and unrealized gain (loss) 0.64 2.17 3.86 11.00 0.27
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.03 2.52 4.08 11.34 0.44
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.36) (0.35) (0.21) (0.34) (0.17)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 48.91 $ 48.24 $ 46.07 $ 42.20 $ 31.20
========== ========== ========== ========== ==========
TOTAL RETURN (a) 2.20% 5.45% 9.66% 36.58% 1.42%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 442,627 $ 701,882 $ 520,550 $ 289,082 $ 140,384
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.64% 0.63% 0.66% 0.70% 0.70%
Ratio of net expenses to average net assets 0.64% 0.63% 0.66% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.86% 0.73% 0.49% 0.87% 0.56%
Portfolio turnover rate (b) 126% 97% 89% 85% 101%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 41.61 $ 42.48 $ 36.78 $ 28.11 $ 27.18
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.78 (c) 0.77 0.69 0.58 0.40
Net realized and unrealized gain (loss) 0.38 (0.87) 5.69 8.66 0.93
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.16 (0.10) 6.38 9.24 1.33
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.79) (0.77) (0.68) (0.57) (0.40)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 41.98 $ 41.61 $ 42.48 $ 36.78 $ 28.11
========== ========== ========== ========== ==========
TOTAL RETURN (a) 2.94% (0.29)% 17.46% 33.15% 4.96%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 831,256 $1,181,747 $1,021,608 $ 467,124 $ 247,370
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.62% 0.62% 0.64% 0.67% 0.70%
Ratio of net expenses to average net assets 0.62% 0.62% 0.64% 0.67% 0.70%
Ratio of net investment income (loss) to
average net assets 2.00% 1.77% 1.80% 1.85% 1.56%
Portfolio turnover rate (b) 94% 78% 68% 69% 88%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(c) Based on average shares outstanding.
See Notes to Financial Statements Page 121
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 49.95 $ 42.86 $ 36.26 $ 28.54 $ 29.33
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.35 0.32 0.23 0.30 0.24
Net realized and unrealized gain (loss) 1.60 7.09 6.61 7.75 (0.80)
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.95 7.41 6.84 8.05 (0.56)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.34) (0.32) (0.24) (0.33) (0.23)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 51.56 $ 49.95 $ 42.86 $ 36.26 $ 28.54
========== ========== ========== ========== ==========
TOTAL RETURN (a) 3.96% 17.32% 18.88% 28.42% (1.89)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 618,698 $ 681,765 $ 304,293 $ 170,419 $ 129,864
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.62% 0.63% 0.66% 0.70% 0.70%
Ratio of net expenses to average net assets 0.62% 0.63% 0.66% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.73% 0.68% 0.58% 0.88% 0.86%
Portfolio turnover rate (b) 149% 143% 138% 141% 162%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 44.75 $ 45.71 $ 40.10 $ 29.93 $ 29.24
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.70 0.64 0.55 0.51 0.36
Net realized and unrealized gain (loss) 0.13 (0.96) 5.60 10.16 0.69
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.83 (0.32) 6.15 10.67 1.05
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.67) (0.64) (0.54) (0.50) (0.36)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 44.91 $ 44.75 $ 45.71 $ 40.10 $ 29.93
========== ========== ========== ========== ==========
TOTAL RETURN (a) 1.98% (0.74)% 15.38% 35.92% 3.62%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 103,296 $ 196,887 $ 175,986 $ 92,227 $ 47,882
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.68% 0.70% 0.70% 0.76% 0.80%
Ratio of net expenses to average net assets 0.68% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.61% 1.36% 1.29% 1.46% 1.24%
Portfolio turnover rate (b) 96% 82% 74% 70% 90%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 122 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 52.16 $ 45.23 $ 39.59 $ 31.16 $ 31.66
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.24 0.23 0.12 0.26 0.16
Net realized and unrealized gain (loss) 1.13 6.94 5.67 8.42 (0.51)
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.37 7.17 5.79 8.68 (0.35)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.22) (0.24) (0.15) (0.25) (0.15)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 53.31 $ 52.16 $ 45.23 $ 39.59 $ 31.16
========== ========== ========== ========== ==========
TOTAL RETURN (a) 2.66% 15.89% 14.63% 28.01% (1.10)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 85,293 $ 91,279 $ 61,062 $ 37,609 $ 29,606
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.72% 0.74% 0.85% 0.85%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.50% 0.48% 0.27% 0.74% 0.48%
Portfolio turnover rate (b) 160% 135% 139% 147% 155%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 123
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 29.56 $ 30.20 $ 26.63 $ 19.74 $ 19.27
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.43 0.39 0.24 0.25 0.15
Net realized and unrealized gain (loss) (0.10) (0.64) 3.56 6.89 0.47
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.33 (0.25) 3.80 7.14 0.62
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.42) (0.39) (0.23) (0.25) (0.15)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 29.47 $ 29.56 $ 30.20 $ 26.63 $ 19.74
========== ========== ========== ========== ==========
TOTAL RETURN (a) 1.22% (0.87)% 14.30% 36.37% 3.23%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 47,156 $ 75,389 $ 101,173 $ 21,302 $ 8,885
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.49% 1.27% 0.90% 0.96% 0.98%
Portfolio turnover rate (b) 114% 88% 84% 66% 100%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 31.31 $ 27.61 $ 24.62 $ 19.50 $ 19.93
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.13 0.07 0.18 0.02
Net realized and unrealized gain (loss) (0.11) 3.71 3.00 5.07 (0.44)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.00 3.84 3.07 5.25 (0.42)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.09) (0.14) (0.08) (0.13) (0.01)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 31.22 $ 31.31 $ 27.61 $ 24.62 $ 19.50
========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.03% 13.91% 12.49% 27.05% (2.11)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 82,725 $ 114,273 $ 41,422 $ 22,161 $ 16,572
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.35% 0.42% 0.08% 0.83% 0.11%
Portfolio turnover rate (b) 193% 159% 148% 156% 166%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 124 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 30.20 $ 31.06 $ 27.96 $ 19.81 $ 19.80
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.26 0.28 0.23 0.20 0.14
Net realized and unrealized gain (loss) (0.04) (0.85) 3.09 8.15 0.01
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.22 (0.57) 3.32 8.35 0.15
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.23) (0.29) (0.22) (0.20) (0.14)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 30.19 $ 30.20 $ 31.06 $ 27.96 $ 19.81
========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.79% (1.89)% 11.86% 42.34% 0.75%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 54,341 $ 72,491 $ 62,110 $ 44,743 $ 5,944
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.89% 0.86% 0.72% 1.32% 0.82%
Portfolio turnover rate (b) 125% 96% 86% 104% 103%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 32.18 $ 27.96 $ 26.01 $ 20.37 $ 19.92
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.09 0.04 (0.01) 0.05 0.02
Net realized and unrealized gain (loss) 1.04 4.20 1.97 5.66 0.46
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.13 4.24 1.96 5.71 0.48
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.07) (0.02) (0.01) (0.07) (0.03)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 33.24 $ 32.18 $ 27.96 $ 26.01 $ 20.37
========== ========== ========== ========== ==========
TOTAL RETURN (a) 3.54% 15.17% 7.52% 28.14% 2.38%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 56,502 $ 88,492 $ 33,557 $ 13,007 $ 9,167
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.32% 0.09% (0.10)% 0.17% 0.14%
Portfolio turnover rate (b) 161% 153% 175% 147% 162%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 125
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2016 2015 2014 2013 2012
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 27.48 $ 26.23 $ 22.97 $ 18.00 $ 18.89
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.45 0.37 0.31 0.28 0.18
Net realized and unrealized gain (loss) (0.42) 1.27 3.24 4.97 (0.90)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.03 1.64 3.55 5.25 (0.72)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.42) (0.39) (0.29) (0.28) (0.17)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 27.09 $ 27.48 $ 26.23 $ 22.97 $ 18.00
========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.19% 6.29% 15.54% 29.42% (3.78)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 14,897 $ 17,864 $ 13,117 $ 10,335 $ 10,801
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.69% 1.40% 1.28% 1.32% 1.28%
Portfolio turnover rate (b) 145% 134% 125% 135% 164%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 126 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds considered
either a Sector Fund or Style Fund. This report covers the twelve Style Funds
listed below. The shares of each Style Fund are listed and traded on The Nasdaq
Stock Market LLC ("Nasdaq").
First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX") (1)
First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX") (1)
First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX") (1)
First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA") (1)
First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC") (1)
First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB") (1)
First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD") (1)
First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK") (1)
First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY") (1)
First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT") (1)
First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC") (1)
First Trust Mega Cap AlphaDEX(R) Fund - (ticker "FMK") (1)
(1) Formerly traded on the NYSE Arca, Inc.
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Creation Units are issued and redeemed principally in-kind
for securities included in a Fund's relevant index. Except when aggregated in
Creation Units, each Fund's shares are not redeemable securities.
Effective April 8, 2016, the investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:
FUND INDEX
First Trust Large Cap Core AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Large Cap Core Index (2)
First Trust Mid Cap Core AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Mid Cap Core Index (2)
First Trust Small Cap Core AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Small Cap Core Index (2)
First Trust Large Cap Value AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Large Cap Value Index (2)
First Trust Large Cap Growth AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Large Cap Growth Index (2)
First Trust Multi Cap Value AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Multi Cap Value Index (2)
First Trust Multi Cap Growth AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Multi Cap Growth Index (2)
First Trust Mid Cap Value AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Mid Cap Value Index (2)
First Trust Mid Cap Growth AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Mid Cap Growth Index (2)
First Trust Small Cap Value AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Small Cap Value Index (2)
First Trust Small Cap Growth AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Small Cap Growth Index (2)
First Trust Mega Cap AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Mega Cap Index (2)
(2) Effective April 8, 2016, the Fund's underlying index was changed from
Defined Index.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds, each of which is an investment company within the scope of Financial
Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follow
accounting and reporting guidance under FASB Accounting Standards Codification
Topic 946, "Financial Services-Investment Companies." The following is a summary
of significant accounting policies consistently followed by the Funds in the
preparation of the financial statements. The preparation of the financial
statements in accordance with accounting principles generally accepted in the
United States of America ("U.S. GAAP") requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
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STYLE FUNDS
JULY 31, 2016
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a 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.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
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STYLE FUNDS
JULY 31, 2016
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of July 31, 2016, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities". For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
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 July 31, 2016, all the
Funds except for FMK 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
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury Notes. The U.S. Treasury Notes are held in a joint custody account at
BBH on behalf of the Funds participating in the securities lending program. In
the event the counterparty defaults on the repurchase agreement, the U.S.
Treasury Notes can either be maintained as part of a Fund's portfolio or sold
for cash. A Fund could suffer a loss to the extent that the proceeds from the
sale of the underlying collateral held by the Fund is less than the repurchase
price and the Fund's costs associated with the delay and enforcement of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended July 31, 2016, were received as
collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from 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
significantly modified portfolio securities held by the Funds and have no impact
on net assets or NAV per share. Temporary differences, which arise from
recognizing certain items of income, expense and gain/loss in different periods
for financial statement and tax purposes, will reverse at some time in the
future.
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2016, was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 22,823,931 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 7,755,496 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 4,081,541 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 18,294,192 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 4,618,806 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 1,983,056 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 428,710 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 728,316 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 299,960 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 405,321 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 173,635 -- --
First Trust Mega Cap AlphaDEX(R) Fund 262,771 -- --
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2015 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 20,028,256 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 8,693,486 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 4,451,731 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 21,473,202 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 3,360,670 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 2,607,591 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 360,300 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 931,865 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 338,555 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 624,290 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 34,135 -- --
First Trust Mega Cap AlphaDEX(R) Fund 239,441 -- --
As of July 31, 2016, the components of distributable earnings on a tax basis for
each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
---------------- ---------------- ----------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 1,362,972 $ (203,935,009) $ 107,428,167
First Trust Mid Cap Core AlphaDEX(R) Fund 693,958 (164,617,654) 46,436,040
First Trust Small Cap Core AlphaDEX(R) Fund 432,402 (156,107,945) 48,637,452
First Trust Large Cap Value AlphaDEX(R) Fund 1,007,759 (190,559,804) 23,874,047
First Trust Large Cap Growth AlphaDEX(R) Fund 226,809 (99,887,022) 66,060,782
First Trust Multi Cap Value AlphaDEX(R) Fund 145,530 (39,545,956) 3,468,826
First Trust Multi Cap Growth AlphaDEX(R) Fund 33,218 (26,274,108) 10,807,701
First Trust Mid Cap Value AlphaDEX(R) Fund 56,645 (13,073,188) 941,710
First Trust Mid Cap Growth AlphaDEX(R) Fund 56,940 (21,048,290) 8,327,634
First Trust Small Cap Value AlphaDEX(R) Fund 61,097 (19,590,838) 2,247,874
First Trust Small Cap Growth AlphaDEX(R) Fund 19,721 (19,873,480) 7,352,172
First Trust Mega Cap AlphaDEX(R) Fund 26,886 (3,775,727) 639,115
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of the Fund's taxable income exceeds
the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2013, 2014,
2015 and 2016 remain open to federal and state audit. As of July 31, 2016,
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 arising in taxable years beginning after December 22, 2010,
may be carried forward indefinitely, and their character is retained as
short-term and/or long-term losses. Previously, net capital losses were carried
forward for up to eight years and treated as short-term losses. As a transition
rule, the Act requires that post-enactment net capital losses be used before
pre-enactment net capital losses. At July 31, 2016, the Funds had pre-enactment
and post-enactment net capital losses for federal income tax purposes as shown
in the following table. To the extent that these loss carryforwards are used to
offset future capital gains, it is probable that the capital gains so offset
will not be distributed to Fund shareholders. The Funds are subject to certain
limitations, under U.S. tax rules, on the use of capital loss carryforwards and
net unrealized built-in losses. These limitations apply when there has been a
50% change in ownership.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
Capital Loss Capital Loss Capital Loss Post Total
Available Available Available Enactment - Capital
through through through No Loss
7/31/2017 7/31/2018 7/31/2019 Expiration Available
------------- ------------- ------------- -------------- -------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 2,600,275 $ 2,800,653 $ 1,020,863 $197,513,218 $203,935,009
First Trust Mid Cap Core AlphaDEX(R) Fund 1,985,474 2,119,642 1,502,304 159,010,234 164,617,654
First Trust Small Cap Core AlphaDEX(R) Fund 1,882,188 1,600,982 1,258,833 151,365,942 156,107,945
First Trust Large Cap Value AlphaDEX(R) Fund 2,272,260 5,098,300 298,768 182,890,476 190,559,804
First Trust Large Cap Growth AlphaDEX(R) Fund 10,217,162 3,224,180 1,803,151 84,642,529 99,887,022
First Trust Multi Cap Value AlphaDEX(R) Fund 1,331,945 1,180,819 322,362 36,710,830 39,545,956
First Trust Multi Cap Growth AlphaDEX(R) Fund 2,554,292 1,438,794 345,171 21,935,851 26,274,108
First Trust Mid Cap Value AlphaDEX(R) Fund -- -- -- 13,073,188 13,073,188
First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- -- 21,048,290 21,048,290
First Trust Small Cap Value AlphaDEX(R) Fund -- -- -- 19,590,838 19,590,838
First Trust Small Cap Growth AlphaDEX(R) Fund -- -- -- 19,873,480 19,873,480
First Trust Mega Cap AlphaDEX(R) Fund -- -- -- 3,775,727 3,775,727
At the taxable year ended July 31, 2016, the following Funds' capital loss
carryforwards expired in the following amounts:
Capital Loss
Expired
-------------
First Trust Large Cap Core AlphaDEX(R)Fund $ 8,528
First Trust Mid Cap Core AlphaDEX(R) Fund 84,882
First Trust Small Cap Core AlphaDEX(R) Fund 111,735
First Trust Large Cap Value AlphaDEX(R) Fund 80,299
First Trust Large Cap Growth AlphaDEX(R) Fund 162,514
First Trust Multi Cap Value AlphaDEX(R) Fund 56,799
First Trust Multi Cap Growth AlphaDEX(R) Fund 241,100
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 fiscal year ended July 31, 2016, the adjustments
for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
----------------- ----------------- -----------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 2,358 $ (89,766,295) $ 89,763,937
First Trust Mid Cap Core AlphaDEX(R) Fund 6,945 (33,975,059) 33,968,114
First Trust Small Cap Core AlphaDEX(R) Fund 3,854 (23,462,325) 23,458,471
First Trust Large Cap Value AlphaDEX(R) Fund -- (11,620,171) 11,620,171
First Trust Large Cap Growth AlphaDEX(R) Fund 1,602 (70,320,107) 70,318,505
First Trust Multi Cap Value AlphaDEX(R) Fund -- 1,953,298 (1,953,298)
First Trust Multi Cap Growth AlphaDEX(R) Fund (789) (7,519,026) 7,519,815
First Trust Mid Cap Value AlphaDEX(R) Fund 148 (737,373) 737,225
First Trust Mid Cap Growth AlphaDEX(R) Fund 20,514 (8,385,119) 8,364,605
First Trust Small Cap Value AlphaDEX(R) Fund -- (2,038,319) 2,038,319
First Trust Small Cap Growth AlphaDEX(R) Fund (15,455) (6,609,315) 6,624,770
First Trust Mega Cap AlphaDEX(R) Fund -- (1,172,351) 1,172,351
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JULY 31, 2016
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund, except for the First Trust Mid Cap Value AlphaDEX(R) Fund,
First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value
AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund and First Trust
Mega Cap AlphaDEX(R) Fund (the "Unitary Fee Funds"), for which expenses other
than excluded expenses (discussed in Note 3) are paid by the Advisor. General
expenses of the Trust are allocated to all the Funds based upon the net assets
of each Fund.
Effective April 8, 2016, First Trust Portfolios L.P. ("FTP") entered into
licensing agreements with Nasdaq, Inc. for each of the Style Funds. Prior to
April 8, 2016, FTP had licensing agreements with Standard & Poors Financial
Services LLP. The license agreements allow for the use by FTP of certain
trademarks and trade names. The Funds and First Trust are sub-licensees to the
applicable license agreement. The Funds, except for the Unitary Fee Funds, are
required to pay licensing fees, which are shown on the Statements of Operations.
The licensing fees for the Unitary Fee Funds are paid by First Trust from the
unitary investment advisory fees it receives from each of these Funds.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For the Unitary Fee Funds, First Trust is paid an annual unitary management fee
of 0.70% of such Fund's average daily net assets and is responsible for the
expenses of such Fund including the cost of transfer agency, custody, fund
administration, legal, audit and other services, and excluding distribution and
service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired
fund fees and expenses, taxes, interest, and extraordinary expenses.
For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core
AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large
Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First
Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each
Fund's average daily net assets. For such Funds, the Trust and First Trust have
entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement
("Recovery Agreement") in which First Trust has agreed to waive fees and/or
reimburse Fund expenses to the extent that the operating expenses of each such
Fund (excluding interest expense, brokerage commissions and other trading
expenses, acquired fund fees and expenses, taxes and extraordinary expenses)
exceed 0.70% of average daily net assets per year (the "Expense Cap"). These
Funds will have the Expense Cap in effect until at least November 30, 2017.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee was waived or expense was incurred, but no reimbursement payment will be
made by a Fund if it results in the Fund exceeding an expense ratio equal to the
Expense Cap in place at the time the expenses were reimbursed or fees waived by
First Trust. These amounts would be included in "Expenses previously waived or
reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the fiscal year ended
July 31, 2016 and fees waived or expenses borne by First Trust subject to
recovery from the applicable Fund for the periods indicated were as follows:
Fees Waived or Expenses Borne by
First Trust Subject to Recovery
-----------------------------------------------------
Advisory Expense Year Year Year
Fee Reim- Ended Ended Ended
Waivers bursements 7/31/2014 7/31/2015 7/31/2016 Total
----------- ----------- ----------- ----------- ----------- -----------
First Trust Multi Cap Growth AlphaDEX(R) Fund $ 561 $ -- $ 23,302 $ 11,781 $ 561 $ 35,644
At July 31, 2016, none of the Funds, other than First Trust Multi Cap Growth
AlphaDEX(R) Fund, had previously waived fees or expenses reimbursed that are
subject to recovery.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
At a meeting held on December 7, 2015, the Board of Trustees accepted Mr. Mark
Bradley's resignation from his position as the President and Chief Executive
Officer of the Trust, effective December 31, 2015. At the same meeting, the
Board of Trustees elected Mr. James Dykas, formerly Chief Financial Officer and
Treasurer of the Trust, to serve as the President and Chief Executive Officer,
and Mr. Donald Swade, formerly an Assistant Treasurer of the Trust, to serve as
the Treasurer, Chief Financial Officer and Chief Accounting Officer of 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 equally among each fund in the First Trust Fund
Complex. Prior to January 1, 2016, the fixed annual retainer was allocated pro
rata based on each Fund's 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.
Independent 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 fiscal year ended July 31, 2016, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 1,778,232,147 $ 1,775,916,462
First Trust Mid Cap Core AlphaDEX(R) Fund 946,959,860 946,845,545
First Trust Small Cap Core AlphaDEX(R) Fund 645,815,218 645,416,276
First Trust Large Cap Value AlphaDEX(R) Fund 862,251,777 862,123,543
First Trust Large Cap Growth AlphaDEX(R) Fund 981,063,808 975,790,779
First Trust Multi Cap Value AlphaDEX(R) Fund 122,742,268 122,718,190
First Trust Multi Cap Growth AlphaDEX(R) Fund 148,880,225 148,705,924
First Trust Mid Cap Value AlphaDEX(R) Fund 58,477,754 58,514,650
First Trust Mid Cap Growth AlphaDEX(R) Fund 184,639,943 184,342,912
First Trust Small Cap Value AlphaDEX(R) Fund 66,124,306 66,242,328
First Trust Small Cap Growth AlphaDEX(R) Fund 104,307,858 104,251,824
First Trust Mega Cap AlphaDEX(R) Fund 23,701,042 23,677,962
For the fiscal year ended July 31, 2016, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 360,380,556 $ 783,456,525
First Trust Mid Cap Core AlphaDEX(R) Fund 118,177,655 448,042,552
First Trust Small Cap Core AlphaDEX(R) Fund 66,878,111 298,370,737
First Trust Large Cap Value AlphaDEX(R) Fund 75,022,827 404,261,845
First Trust Large Cap Growth AlphaDEX(R) Fund 513,082,190 592,725,519
First Trust Multi Cap Value AlphaDEX(R) Fund 12,625,142 97,865,553
First Trust Multi Cap Growth AlphaDEX(R) Fund 62,034,434 67,869,983
First Trust Mid Cap Value AlphaDEX(R) Fund 26,828,796 52,783,935
First Trust Mid Cap Growth AlphaDEX(R) Fund 61,430,467 86,798,038
First Trust Small Cap Value AlphaDEX(R) Fund 34,350,858 50,599,017
First Trust Small Cap Growth AlphaDEX(R) Fund 45,686,152 73,488,303
First Trust Mega Cap AlphaDEX(R) Fund 11,615,978 14,198,213
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). Such transactions are generally permitted on an
in-kind basis, with a balancing cash component to equate the transaction to the
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
daily NAV per Share of each Fund on the transaction date times the number of
Shares in a Creation Unit. Authorized Participants purchasing Creation Units
must pay to BNYM, as transfer agent, a standard creation transaction fee (the
"Creation Transaction Fee"), which is based on the number of different
securities in a Creation Unit of each Fund according to the fee schedule set
forth below:
Number of Securities Creation
in a Creation Unit Transaction Fee
-------------------- -----------------
1-100 $ 500
101-499 $1,000
500 or more $1,500
The Creation Transaction Fee is applicable to each purchase transaction
regardless of the number of Creation Units purchased in the transaction. An
additional variable fee of up to three times the Creation Transaction Fee may be
charged to approximate additional expenses incurred by a Fund with respect to
transactions effected outside of the clearing process (i.e., through a DTC
Participant) or to the extent that cash is used in lieu of securities to
purchase Creation Units. The price for each Creation Unit will equal the daily
NAV per Share of a Fund on the transaction date times the number of Shares in a
Creation Unit plus the fees described above and, if applicable, any transfer
taxes.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
which is based on the number of different securities in a Creation Unit of each
Fund according to the fee schedule set forth below:
Number of Securities Redemption
in a Creation Unit Transaction Fee
-------------------- -----------------
1-100 $ 500
101-499 $1,000
500 or more $1,500
The Redemption Transaction Fee is applicable to each redemption transaction
regardless of the number of Creation Units redeemed in the transaction. An
additional variable fee of up to three times the Redemption Transaction Fee may
be charged to approximate additional expenses incurred by a Fund with respect to
redemptions effected outside of the clearing process or to the extent that
redemptions are for cash. Each Fund reserves the right to effect redemptions in
cash. A shareholder may request cash redemption in lieu of securities; however,
a Fund may, in its discretion, reject any such request.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP, the distributor of the Funds, for amounts expended to
finance activities primarily intended to result in the sale of Creation Units or
the provision of investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before June 30, 2017.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
We have audited the accompanying statements of assets and liabilities of First
Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R)
Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value
AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust
Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund,
First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth
AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust
Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund,
each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"),
including the portfolios of investments, as of July 31, 2016, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended. These financial
statements and financial highlights are the responsibility of the Funds'
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 audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Funds
are not required to have, nor were we engaged to perform, an audit of their
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 Funds' internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of July 31, 2016 by correspondence with the Funds'
custodian and brokers; when replies were not received from brokers, we performed
other auditing procedures. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the funds listed above included in the First Trust Exchange-Traded
AlphaDEX(R) Fund as of July 31, 2016, the results of their operations for the
year then ended, the changes in their net assets for each of the two years in
the period then ended, and the financial highlights for each of the five years
in the period then ended, in conformity with accounting principles generally
accepted in the United States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 22, 2016
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ADDITIONAL INFORMATION
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
the Funds' website located at http://www.ftportfolios.com; and (3) on the
Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Trust files its complete schedule of each Fund's portfolio holdings with the
SEC for the first and third quarters of each fiscal year on Form N-Q. The
Trust's Form N-Qs 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 July 31, 2016, the following percentages of income
dividend paid by the Funds qualified for the dividends received deduction
available to corporations:
Dividends Received Deduction
----------------------------
First Trust Large Cap Core AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Core AlphaDEX(R) Fund 100.00%
First Trust Small Cap Core AlphaDEX(R) Fund 100.00%
First Trust Large Cap Value AlphaDEX(R) Fund 100.00%
First Trust Large Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Value AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Value AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Small Cap Value AlphaDEX(R) Fund 100.00%
First Trust Small Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mega Cap AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2016, the following percentages of income
dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income
----------------------------
First Trust Large Cap Core AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Core AlphaDEX(R) Fund 100.00%
First Trust Small Cap Core AlphaDEX(R) Fund 100.00%
First Trust Large Cap Value AlphaDEX(R) Fund 100.00%
First Trust Large Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Value AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Value AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Small Cap Value AlphaDEX(R) Fund 100.00%
First Trust Small Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mega Cap AlphaDEX(R) Fund 100.00%
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT
OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN
DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST
TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS
THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE
RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF
ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE
DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE
DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND.
The following summarizes some of the risks that should be considered for the
Funds.
CONSUMER DISCRETIONARY COMPANIES RISK. Certain of the Funds invest in consumer
discretionary companies. Consumer discretionary companies are companies that
provide non-essential goods and services, such as retailers, media companies and
consumer services. These companies 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.
ENERGY COMPANIES RISK. Certain of the Funds invest in energy companies. Energy
companies include integrated oil companies that are involved in the exploration,
production and refining process, gas distributors and pipeline-related companies
and other energy companies involved with mining, producing and delivering
energy-related services and drilling. General problems of energy companies
include volatile fluctuations in price and supply of energy fuels, international
politics, terrorist attacks, reduced demand, the success of exploration
projects, clean-up and litigation costs relating to oil spills and environmental
damage, and tax and other regulatory policies of various governments. Natural
disasters such as hurricanes in the Gulf of Mexico also impact the petroleum
industry. Oil production and refining companies are subject to extensive
federal, state and local environmental laws and regulations regarding air
emissions and the disposal of hazardous materials. In addition, oil prices are
generally subject to extreme volatility.
EQUITY SECURITIES RISK. Because the Funds invest in equity securities, the value
of the Funds' shares will fluctuate with changes in the value of these equity
securities. Equity securities prices fluctuate for several reasons, including
changes in investors' perceptions of the financial condition of an issuer or the
general condition of the relevant stock market, such as market volatility, or
when political or economic events affecting the issuers occur. In addition,
common stock prices may be particularly sensitive to rising interest rates, as
the cost of capital rises and borrowing costs increase.
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 residential and
real estate loans, and competition from new entrants in their fields of
business.
GROWTH STOCKS INVESTMENT RISK. Certain of the Funds utilize a growth stocks
investment strategy and are thus subject to growth stocks investment risk.
Growth stocks tend to be more volatile than certain other types of stocks and
their prices usually fluctuate more dramatically than the overall stock market.
A stock with growth characteristics can have sharp price declines due to
decreases in current or expected earnings.
HEALTH CARE COMPANIES RISK. Certain of the Funds invest in health care
companies. Health care companies are companies involved in medical services or
health care, including biotechnology research and production, drugs and
pharmaceuticals and health care facilities and services. These companies are
subject to extensive competition, generic drug sales or the loss of patent
protection, product liability litigation and increased government regulation.
Research and development costs of bringing new drugs to market are substantial,
and there is no guarantee that the product will ever come to market. Health care
facility operators may be affected by the demand for services, efforts by
government or insurers to limit rates, restriction of government financial
assistance and competition from other providers.
INDEX CONSTITUENT RISK. One or more of the Funds may be a constituent of one or
more indices. As a result, the Fund may be included in one or more
index-tracking ETFs or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving the Fund, the size
of the Fund and the market volatility of the Fund. Inclusion in an index could
significantly increase demand for the Fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, the Fund's NAV could be negatively impacted and the Fund's market price
may be significantly below the Fund's net asset value during certain periods In
addition, index rebalances may potentially result in increased trading activity.
To the extent buying or selling activity increases, the Fund can be exposed to
increased brokerage costs and adverse tax consequences and the market price of
the Fund can be negatively affected.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
INDUSTRIALS COMPANIES RISK. Industrials companies convert unfinished goods into
finished durables used to manufacture other goods or provide services. These
companies produce 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.
INFORMATION TECHNOLOGY COMPANIES RISK. Certain of the Funds invest in
information technology companies. Information technology companies are generally
subject to the following risks: rapidly changing technologies; short product
life cycles; fierce competition; aggressive pricing and reduced profit margins;
the loss of patent, copyright and trademark protections; cyclical market
patterns; evolving industry standards; and frequent new product introductions.
Information technology companies may be smaller and less experienced companies,
with limited product lines, markets or financial resources and fewer experienced
management or marketing personnel. Information technology company stocks,
especially those which are Internet related, have experienced extreme price and
volume fluctuations that are often unrelated to their operating performance.
MARKET CAPITALIZATION RISK. The Funds normally invest at least 90% of their
assets in common stocks that comprise the applicable Index. The securities of
companies represented in the Indices generally have market capitalizations that
are consistent with the name of each Index. To determine the market
capitalization range of such securities, each Fund uses the current range of the
applicable Index. However, the Funds will not sell a security because the
security has exceeded or fallen below the current market capitalization range of
the applicable Index. Because of market movement, there can be no assurance that
the securities in the Funds will stay within a given market capitalization
range. As a result, the Funds may be exposed to additional risk or may not give
investors the opportunity to invest fully in a given market capitalization
range.
MARKET RISK. Market risk is the risk that a particular security owned by a Fund
or shares of a Fund in general may fall in value. Securities are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in
securities prices. Shares of the Funds could decline in value or underperform
other investments.
NON-CORRELATION RISK. A Fund's return may not match the return of its Index for
a number of reasons. For example, a Fund incurs operating expenses not
applicable to its 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 Index. In addition, a Fund's portfolio holdings may not
exactly replicate the securities included in its Index or the ratios between the
securities included in the Index.
PORTFOLIO TURNOVER RISK. Certain Funds' strategies may frequently involve buying
and selling portfolio securities to rebalance the Funds' exposure to various
market sectors. High portfolio turnover may result in a Fund paying higher
levels of transaction costs and generating greater tax liabilities for
shareholders. Portfolio turnover risk may cause a Fund's performance to be less
than you expect.
REPLICATION MANAGEMENT RISK. The Funds are exposed to additional market risk due
to their policy of investing principally in the securities included in the
Indices. As a result of this policy, securities held by the Funds will generally
not be bought or sold in response to market fluctuations.
SMALLER COMPANIES RISK. Certain of the Funds invest in small and/or mid
capitalization companies. Small and/or mid capitalization companies may be more
vulnerable to adverse general market or economic developments, and their
securities may be less liquid and may experience greater price volatility than
larger, more established companies as a result of several factors, including
limited trading volumes, products or financial resources, management
inexperience and less publicly available information. Accordingly, such
companies are generally subject to greater market risk than larger, more
established companies.
VALUE STOCKS INVESTMENT RISK. Certain of the Funds utilize a value investment
strategy and thus are exposed to value investment risk. The intrinsic value of a
stock with value characteristics may not be fully recognized by the market for a
long time or a stock judged to be undervalued may actually be appropriately
priced at a low level.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of the
First Trust Exchange-Traded AlphaDEX(R) Funds it manages (the "Funds") in the
United Kingdom in accordance with the cooperation arrangements in Article 42 of
the Alternative Investment Fund Managers Directive (the "Directive"). First
Trust is required under the Directive to make disclosures in respect of
remuneration. The following disclosures are made in line with First Trust's
interpretation of currently available regulatory guidance on remuneration
disclosures.
During the year ended December 31, 2015, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $9,067,727.
This figure is comprised of $453,849 paid (or to be paid) in fixed compensation
and $8,613,878 paid (or to be paid) in variable compensation. There were a total
of 13 beneficiaries of the remuneration described above. Those amounts include
$5,011,396 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $4,056,331 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT
The Board of Trustees (the "Board") of the First Trust Exchange-Traded
AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously
approved the continuation of the Investment Management Agreements (as applicable
to a specific Fund, the "Agreement" and collectively, the "Agreements") with
First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the
following twelve series of the Trust (each a "Fund" and collectively, the
"Funds"):
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)
First Trust Mega Cap AlphaDEX(R) Fund (FMK)
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2017 at a meeting held on June 13, 2016. The
Board determined for each Fund that the continuation of the Agreement is in the
best interests of the Fund in light of the extent and quality of the services
provided and such other matters as the Board considered to be relevant in the
exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. At meetings held on April 22, 2016 and June 13, 2016, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees that, among other things, outlined the services provided by the Advisor
to each Fund (including the relevant personnel responsible for these services
and their experience); the advisory fee rate or unitary fee rate payable by each
Fund as compared to fees charged to a peer group of funds (all of which were
exchange-traded funds ("ETFs")) compiled by Management Practice, Inc. ("MPI"),
an independent source (the "MPI Peer Group"), and as compared to fees charged to
other clients of the Advisor, including other ETFs managed by the Advisor;
expenses of each Fund as compared to expense ratios of the funds in the Fund's
MPI Peer Group; performance information for each Fund; the nature of expenses
incurred in providing services to each Fund and the potential for economies of
scale, if any; financial data on the Advisor; any fall-out benefits to the
Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information
on the Advisor's compliance program. The Board reviewed initial materials with
the Advisor at a special meeting held on April 22, 2016, prior to which the
Independent Trustees and their counsel met separately to discuss the information
provided by the Advisor. Following the April meeting, independent legal counsel
on behalf of the Independent Trustees requested certain clarifications and
supplements to the materials provided, and the information provided in response
to those requests was considered at an executive session of the Independent
Trustees and independent legal counsel held prior to the June 13, 2016 meeting,
as well as at the meeting held that day. The Board applied its business judgment
to determine whether the arrangement between the Trust and the Advisor continues
to be a reasonable business arrangement from each Fund's perspective as well as
from the perspective of shareholders. The Board determined that, given the
totality of the information provided with respect to the Agreements, the Board
had received sufficient information to renew the Agreements. The Board
considered that shareholders chose to invest or remain invested in a Fund
knowing that the Advisor manages the Fund and knowing the Fund's advisory fee or
unitary fee.
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of the services provided by the Advisor under the Agreement.
The Board considered that the Advisor is responsible for the overall management
and administration of the Trust and each Fund and reviewed all of the services
provided by the Advisor to the Funds, as well as the background and experience
of the persons responsible for such services. In reviewing the services
provided, the Board noted the compliance program that had been developed by the
Advisor and considered that it includes a robust program for monitoring the
Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's
compliance with its investment objective and policies. In addition, as part of
the Board's consideration of the Advisor's services, the Advisor, in its written
materials and at the April 22, 2016 meeting, described to the Board the scope of
its ongoing investment in additional infrastructure and personnel to maintain
and improve the quality of services provided to the Funds and the other funds in
the First Trust Fund Complex. In light of the information presented and the
considerations made, the Board concluded that the nature, extent and quality of
the services provided to the Trust and each Fund by the Advisor under the
Agreements have been and are expected to remain satisfactory and that the
Advisor has managed each Fund consistent with the Fund's investment objective
and policies.
For FEX, FNX, FYX, FAD, FAB, FTC and FTA (the "Non-Unitary Fee Funds"), the
Board considered the advisory fee rate payable by each Non-Unitary Fee Fund
under the applicable Agreement for the services provided. The Board considered
that the Advisor agreed to extend the current expense cap for each Non-Unitary
Fee Fund through November 30, 2017. For each Non-Unitary Fee Fund, the Board
noted that expenses borne or fees waived by the Advisor are to be subject to
reimbursement by the Non-Unitary Fee Fund for up to three years from the date
the expense was incurred or fee was waived, but no reimbursement payment would
be made by the Non-Unitary Fee Fund if it would result in the Non-Unitary Fee
Fund exceeding an expense ratio equal to the expense cap in place at the time
the expenses were borne or fees were waived by the Advisor.
For FNK, FNY, FYT, FYC and FMK (the "Unitary Fee Funds"), the Board considered
the unitary fee rate payable by each Unitary Fee Fund under the applicable
Agreement for the services provided. The Board considered that, as part of the
unitary fee, the Advisor is responsible for each Unitary Fee Fund's expenses,
including the cost of transfer agency, custody, fund administration, legal,
audit, licensing and other services, but excluding 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 received and reviewed information showing the advisory or unitary fee
rates and expense ratios of the peer funds in the MPI Peer Groups, as well as
advisory fee and unitary fee rates charged by the Advisor to other fund
(including ETFs) and non-fund clients. Because each Fund's MPI Peer Group
included peer funds that pay a unitary fee and because the Unitary Fee Funds pay
a unitary fee, the Board determined that expense ratios were the most relevant
comparative data point. Based on the information provided, the Board noted that
Page 141
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2016
the total (net) expense ratio of each Non-Unitary Fee Fund and the unitary fee
for each Unitary Fee Fund was above the median total (net) expense ratio of the
peer funds in each Fund's respective MPI Peer Group. With respect to the MPI
Peer Groups, the Board discussed with representatives of the Advisor limitations
in creating peer groups for index ETFs, including differences in underlying
indexes and index-tracking methodologies that can result in greater management
complexities across seemingly comparable ETFs, and different business models
that may affect the pricing of services among ETF sponsors. The Board took these
limitations and differences into account in considering the peer data. With
respect to fees charged to other clients, the Board considered differences
between the Funds and other clients that limited their comparability. In
considering the advisory and unitary fee rates overall, the Board also
considered the Advisor's statement that it seeks to meet investor needs through
innovative and value-added investment solutions and the Advisor's description of
its long-term commitment to each Fund.
The Board considered performance information for each Fund. The Board noted the
process it has established for monitoring each Fund's performance and portfolio
risk on an ongoing basis, which includes quarterly performance reporting from
the Advisor for the Funds. The Board determined that this process continues to
be effective for reviewing each Fund's performance. The Board received and
reviewed information for periods ended December 31, 2015 regarding the
performance of each Fund's underlying index, the correlation between each Fund's
performance and that of its underlying index, each Fund's tracking difference
and each Fund's excess return as compared to its benchmark index. The Board
considered the Advisor's explanations of how the AlphaDEX(R) stock selection
methodology impacts Fund performance in various market environments, and the
Advisor's statement that AlphaDEX(R) is designed to provide long-term
outperformance. Based on the information provided and its ongoing review of
performance, the Board concluded that each Fund was correlated to its underlying
index and that the tracking difference for each Fund was consistent with the
Fund's prospectus. The Board noted that effective April 8, 2016, each Fund
changed its underlying index to an index developed and maintained by Nasdaq,
Inc. using the AlphaDEX stock selection methodology. In addition, the Board
reviewed data prepared by MPI comparing each Fund's performance to its
respective MPI Peer Group and to one or more broad-based benchmark indexes, but
given each Fund's objective of seeking investment results that correspond
generally to the performance of its underlying index, the Board placed more
emphasis on its review of correlation and tracking difference.
On the basis of all the information provided on the fees, expenses and
performance of each Fund and the ongoing oversight by the Board, the Board
concluded that the advisory fee and unitary fee for each Fund continues to be
reasonable and appropriate in light of the nature, extent and quality of the
services provided by the Advisor to each Fund under the Agreements.
The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it expects its expenses to
increase over the next twelve months as the Advisor continues to make
investments in personnel and infrastructure. For the Unitary Fee Funds, the
Board noted that any reduction in fixed costs associated with the management of
the Unitary Fee Funds would benefit the Advisor, but that the unitary fee
structure provides a level of certainty in expenses for the Unitary Fee Funds.
The Board considered the revenues and allocated costs (including the allocation
methodology) of the Advisor in serving as investment advisor to each Fund for
the twelve months ended December 31, 2015 and the estimated profitability level
for each Fund calculated by the Advisor based on such data, as well as
complex-wide and product-line profitability data for the same period. The Board
noted the inherent limitations in the profitability analysis, and concluded
that, based on the information provided, the Advisor's profitability level for
each Fund was not unreasonable. The Board considered that the Advisor had
identified as a fall-out benefit to the Advisor and FTP their exposure to
investors and brokers who, absent their exposure to the Funds, may have had no
dealings with the Advisor or FTP, and noted that the Advisor does not utilize
soft dollars in connection with its management of the Funds' portfolios.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreements continue to be fair and reasonable and that the continuation
of the Agreements is in the best interests of the Trust and each Fund. No single
factor was determinative in the Board's analysis.
Page 142
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2016 (UNAUDITED)
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton 126 None
c/o First Trust Advisors L.P. Orthopedics; Limited Partner
120 E. Liberty Drive, o Since Inception Gundersen Real Estate Limited
Suite 400 Partnership; Member, Sportsmed LLC
Wheaton, IL 60187 (April 2007 to November 2015)
D.O.B.: 04/51
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investor Services, Inc. 126 Director of ADM
c/o First Trust Advisors L.P. (Futures Commission Merchant) Investor Services,
120 E. Liberty Drive, o Since Inception Inc., ADM
Suite 400 Investor Services
Wheaton, IL 60187 International and
D.O.B.: 11/57 Futures Industry
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises 126 Director of Trust
c/o First Trust Advisors L.P. (Financial and Management Consulting) Company of
120 E. Liberty Drive, o Since Inception Illinois
Suite 400
Wheaton, IL 60187
D.O.B.: 11/56
Niel B. Nielson, Trustee o Indefinite Term Managing Director and Chief Operating 126 Director of
c/o First Trust Advisors L.P. Officer (January 2015 to Present), Pelita Covenant
120 E. Liberty Drive, o Since Inception Harapan Educational Foundation (Educational Transport Inc.
Suite 400 Products and Services); President and Chief (May 2003 to
Wheaton, IL 60187 Executive Officer (June 2012 to September May 2014)
D.O.B.: 03/54 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
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 126 None
Chairman of the Board Advisors L.P. and First Trust
120 E. Liberty Drive, o Since Inception Portfolios L.P.; Chairman of the
Suite 400 Board of Directors, BondWave LLC
Wheaton, IL 60187 (Software Development Company/
D.O.B.: 09/55 Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
Page 143
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2016 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME, ADDRESS OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
--------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and o Indefinite Term Managing Director and Chief Financial Officer
120 E. Liberty Drive, Chief Executive (January 2016 to Present), Controller (January 2011
Suite 400 Officer o Since January 2016 to January 2016), Senior Vice President (April 2007
Wheaton, IL 60187 to January 2016), First Trust Advisors L.P. and First
D.O.B: 01/66 Trust Portfolios L.P.
Donald P. Swade Treasurer, Chief o Indefinite Term Senior Vice President (July 2016 to Present),
120 E. Liberty Drive, Financial Officer Vice President (April 2012 to July 2016),
Suite 400 and Chief o Since January 2016 First Trust Advisors L.P. and First Trust Portfolios
Wheaton, IL 60187 Accounting Officer L.P., Vice President (September 2006 to April 2012),
D.O.B.: 08/72 Guggenheim Funds Investment Advisors, LLC/
Claymore Securities, Inc.
W. Scott Jardine Secretary and o Indefinite Term General Counsel, First Trust Advisors L.P. and First
120 E. Liberty Drive, Chief Legal Trust Portfolios L.P.; Secretary and General Counsel,
Suite 400 Officer o Since Inception BondWave LLC (Software Development Company/
Wheaton, IL 60187 Investment Advisor); Secretary of Stonebridge
D.O.B.: 05/60 Advisors LLC (Investment Advisor)
Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), Senior Vice
120 E. Liberty Drive, President (September 2005 to July 2012), First Trust
Suite 400 o Since Inception Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 02/70
Kristi A. Maher Chief Compliance o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
120 E. Liberty Drive, Officer and and First Trust Portfolios L.P.
Suite 400 Assistant o Chief Compliance
Wheaton, IL 60187 Secretary Officer Since
D.O.B.: 12/66 January 2011
o Assistant
Secretary Since
Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
120 E. Liberty Drive, and First Trust Portfolios L.P.
Suite 400 o Since Inception
Wheaton, IL 60187
D.O.B.: 06/66
Stan Ueland Vice President o Indefinite Term Senior Vice President (September 2012 to Present),
120 E. Liberty Drive, Vice President (August 2005 to September 2012), First
Suite 400 o Since Inception Trust Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187
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 144
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2016 (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 may collect nonpublic personal information about you from the following
sources:
o Information we receive from you or 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 by law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information with affiliates of the Fund.
PRIVACY ONLINE
We allow third-party companies, including AddThis, 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, we restrict access to your
nonpublic personal information to those individuals 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
STYLE FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions, regardless
of whether these individuals are employed by the registrant or a third
party.
(c) There have been no amendments, during the period covered by this report,
to a provision of the code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or
a third party, and that relates to any element of the code of ethics
description.
(d) The registrant, during the period covered by this report, has not granted
any waivers, including an implicit waiver, from a provision of the code of
ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller,
or persons performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party, that relates
to one or more of the items set forth in paragraph (b) of this item's
instructions.
(e) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of
trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified
to serve as audit committee financial experts serving on its audit committee and
that each of them is "independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the
last two fiscal years for professional services rendered by the principal
accountant for the audit of the registrant's annual financial statements or
services that are normally provided by the accountant in connection with
statutory and regulatory filings or engagements were $420,000 for 2015 and
$420,000 for 2016.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each
of the last two fiscal years for assurance and related services by the principal
accountant that are reasonably related to the performance of the audit of the
registrant's financial statements and are not reported under paragraph (a) of
this Item were $0 for 2015 and $0 for 2016.
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 2015 and $0 for 2016.
(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 $61,425
for 2015 and $61,425 for 2016. These fees were for tax consultation.
Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed
in each of the last two fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and tax planning to the
registrant's adviser and distributor were $0 for 2015 and $0 for 2016.
(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 2015 and $0 for 2016.
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 2015 and $0 for 2016 for the Adviser and $0 for 2015 and
$0 for 2016 for the Distributor.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval
Policy, the Audit Committee (the "Committee") is responsible for the
pre-approval of all audit services and permitted non-audit services (including
the fees and terms thereof) to be performed for the registrant by its
independent auditors. The Chairman of the Committee is authorized to give such
pre-approvals on behalf of the Committee up to $25,000 and report any such
pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent
auditor's engagements for non-audit services with the registrant's adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted or overseen by another investment adviser) and any entity
controlling, controlled by or under common control with the investment adviser
that provides ongoing services to the registrant, if the engagement relates
directly to the operations and financial reporting of the registrant, subject to
the de minimis exceptions for non-audit services described in Rule 2-01 of
Regulation S-X. If the independent auditor has provided non-audit services to
the registrant's adviser (other than any sub-adviser whose role is primarily
portfolio management and is sub-contracted with or overseen by another
investment adviser) and any entity controlling, controlled by or under common
control with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to its policies, the Committee
will consider whether the provision of such non-audit services is compatible
with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b)
through (d) for the registrant and the registrant's investment adviser and
distributor of this Item that were approved by the audit committee pursuant to
the pre-approval exceptions included in paragraph (c)(7)(i)(C) or
paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: Adviser and Distributor:
----------- ------------------------
(b) 0% (b) 0%
(c) 0% (c) 0%
(d) 0% (d) 0%
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most recent
fiscal year that were attributed to work performed by persons other than the
principal accountant's full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's investment
adviser (not including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another investment adviser),
and any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant for 2015 were $61,425
for the registrant, $12,700 for the registrant's investment adviser and $36,700
for the registrant's distributor, and for 2016 were $61,425 for the registrant,
$23,000 for the registrant's investment adviser and $42,100 for the registrant's
distributor.
(h) The registrant's audit committee of its Board of Trustees has
determined that the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal accountant's
independence.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately designated standing audit committee established
in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934.
The audit committee of the registrant is comprised of: Richard E. Erickson,
Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
ITEM 6. INVESTMENTS.
(a) Schedule of Investments in securities of unaffiliated issuers as of the
close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this form.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3 (c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this
paragraph, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter of
the period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 12. EXHIBITS.
(a) (1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a) (3) Not Applicable
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section
906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) First Trust Exchange-Traded AlphaDEX(R) Fund
--------------------------------------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: September 22, 2016
---------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: September 22, 2016
---------------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: September 22, 2016
---------------------
* Print the name and title of each signing officer under his or her signature.